UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: | 811-03623 | |
Exact name of registrant as specified in charter: | The Prudential Series Fund | |
Address of principal executive offices: | 655 Broad Street, 17th Floor | |
Newark, New Jersey 07102 | ||
Name and address of agent for service: | Deborah A. Docs | |
655 Broad Street, 17th Floor | ||
Newark, New Jersey 07102 | ||
Registrant’s telephone number, including area code: | 973-367-7521 | |
Date of fiscal year end: | 12/31/2016 | |
Date of reporting period: | 12/31/2016 |
Item 1 – Reports to Stockholders –
The Prudential Series Fund
ANNUAL REPORT | December 31, 2016 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
Conservative Balanced Portfolio
Diversified Bond Portfolio
Equity Portfolio
Flexible Managed Portfolio
Global Portfolio
Government Income Portfolio
Government Money Market Portfolio
High Yield Bond Portfolio
Jennison Portfolio
Natural Resources Portfolio
Small Capitalization Stock Portfolio
Stock Index Portfolio
Value Portfolio
Join the e-movement.SM
Enroll in e-delivery today!
By enrolling in e-Delivery, you’ll gain secure, online access to important documents with the flexibility to choose which documents you receive in the mail… and which ones you don’t!
Individual Annuity Contract Owners
Get started by visiting www.prudentialannuities.com/investor/edelivery and follow the instructions on the screen, or scan the code below.
Individual Life Insurance Contract Owners
To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.
Group Variable Universal Life Contract Owners
To receive your reports online, go to www.prudential.com/gulgvul, or scan the code.
Save paper and reduce clutter.
Receive Prospectuses and Reports electronically by enrolling today! |
The Prudential Series Fund
Table of Contents | Annual Report | December 31, 2016 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | MARKET OVERVIEW |
∎ | REPORT OF THE INVESTMENT MANAGER |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Conservative Balanced Portfolio | A1 | |||
Diversified Bond Portfolio | A36 | |||
Equity Portfolio | A66 | |||
Flexible Managed Portfolio | A71 | |||
Global Portfolio | A105 | |||
Government Income Portfolio | A113 | |||
Government Money Market Portfolio | A123 | |||
High Yield Bond Portfolio | A127 | |||
Jennison Portfolio | A146 | |||
Natural Resources Portfolio | A150 | |||
Small Capitalization Stock Portfolio | A154 | |||
Stock Index Portfolio | A166 | |||
Value Portfolio | A177 | |||
Glossary | A181 | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights | |||
Section D | Report of Independent Registered Public Accounting Firm | |||
Section E | Information about Trustees and Officers |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Annual Report | December 31, 2016 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | January 31, 2017 |
Market Overview — unaudited | Annual Report | December 31, 2016 |
Equity Market Overview
US Equities lifted by post-election optimism
In a year of surprises, US equities left no surprise regarding investor sentiment. After a powerful fourth quarter of 2016, the S&P 500, including dividends, returned 3.82% for the quarter and 11.94% for the year.
The year began on a down note. US stocks entered into a correction in January, jolted by a steep decline in manufacturing in China, followed by a massive selloff in China’s equity markets, which spilled over to all global markets. Market woes continued roughly through the first half of February, as stocks performed poorly, but then turned upward. In March, a strong rally powered stocks in the S&P 500 to rise by one of the largest gains in any single month in recent history. Continued low interest rates and a stabilization in oil prices helped stocks to rebound.
One of the biggest surprises took place in late June. The UK’s vote to leave the European Union, known as “Brexit,” briefly increased market volatility, although the macroeconomic fallout appeared manageable, if not limited. Volatility was generally kept in check during the third quarter. Also, riskier equities, such as companies in the technology and financial sectors, outperformed.
In the fourth quarter, the presidential election delivered the year’s biggest surprise as Donald Trump was elected the 45th president of the US. Stocks, especially financials, surged on the news, as Trump’s US-focus on a growth-friendly agenda was also seen as a boon for the US financial sector. In December, to no one’s surprise, the Fed raised interest rates by 0.25%.
Sector performance reflects strength in the economy
Sector performance was positive except for health care. Cyclical stocks, which are more sensitive to developments in the economy, outpaced most of their defensive counterparts. Energy led all sectors with a 27.36% gain, as oil prices climbed. The defensive, but dividend-paying, telecommunications sector rose by 23.49%, as the search for yield continues. Financials, were boosted by the election results, shot up 22.80%, with banks and diversified financial companies achieving impressive returns. Industrials churned out an 18.86% gain, led by construction and engineering companies. Materials turned in a strong performance, rising by 16.69%, as metals & mining and construction materials industries surged.
Utilities gained 16.29%, as independent power and renewable energy producers charge forward. Information technology clicked up by 13.85% on strength in the semi-conductor & semi-conductor equipment industry. The media industry and Internet catalogue & retail industries boosted consumer discretionary, which rose by 6.03%. Consumer staples rang up a 5.38% return on gains in the tobacco and food industries. Real estate posted a gain of 3.39%, on concerns over rising interest rates. Health care stumbled to a -2.69% return on weakness in the health care technology and biotechnology industries.
Small-caps show leadership in Russell Indexes
The Russell US Indexes, which measure equity performance with respect to stock-specific styles (value and growth) and capitalization levels (small-, mid-, and large-cap), were all in positive territory. Small-cap stocks, as measured by the Russell 2000® Index, gained 21.31% against their larger counterparts, which also reflected stronger business activity. The Russell Midcap® Index returned 13.80%. In large-cap stocks, the Russell 1000® Value Index gained 17.34% against the 7.08% return of the Russell 1000® Growth Index.
International and emerging markets mixed
The MSCI-EAFE Index, which measures the performance of developed markets excluding the United States and Canada, eked out a positive return of 1.0% net of dividends, for the year.
A lackluster fourth quarter hindered market performance for the year, especially in Europe which was fraught with political uncertainty. Most heavily weighted countries in Europe turned in a moderate performance. Germany returned 2.28%, France rose by 4.88%, and the UK fell by -0.10%. Austria gained 11.26% to lead the region, while Belgium lagged the region, falling to a -15.77% return.
Countries in the Pacific region generally gained. Hong Kong rose by 2.26%. Singapore gained 1.42%. Japan was positive with a 2.37% gain. Australia rose by 11.44% and New Zealand gained 18.37% on low interest rates and strong dividend-paying companies.
The MSCI Emerging Markets Index generally recorded solid gains, rising by 11.19%. The Brazil, Russia, India, and China (BRIC) group rose by 12.12%. Brazil rose by a whopping 66.24%, as a result of its new, pro-growth leadership. Re-energized Russian markets posted a huge 54.82% gain on rising oil prices. India dipped into negative territory with a -1.43% return, and China was slightly positive, returning 0.93%.
Market Overview — unaudited | Annual Report | December 31, 2016 |
Fixed Income Market Overview
Bond Market Review
According to the Bloomberg Barclays bond indexes, the US Aggregate Bond Index returned 2.68%, US Treasury securities returned 1.04%, and US investment-grade corporate bonds returned 6.11% and US corporate high yield bonds returned 17.13% for the fourth quarter of 2016.
Between the Brexit vote and the Trump sweep, 2016 was certainly a year of surprises and bumps, but it was a generally productive year for the bond market, even after subtracting out the fourth-quarter setback.
Bonds took a hit during the fourth quarter as US interest rates rose and the Federal Reserve hiked its benchmark rate by 0.25% in December. This comes in the wake of the US economy presumably approaching full employment and fiscal policy seemingly about to turn stimulative. While the US economy may be reasonably solid, it nonetheless has to fit within a larger global puzzle — which is perhaps best characterized as having plenty of excess capacity, but not enough growth.
The US elections resulted in an upset Republican sweep. The market’s immediate reaction was a flight to quality, presumably driven by fears of trade wars. After the initial lapse in confidence, however, the markets have seemingly come to the firm conclusion that the prevailing outcome of the new political landscape could be a stronger US economy as evidenced by the rise in Treasury yields and the US dollar.
US and European Corporate Bonds
US corporate bond spreads (the extra yield investors receive to compensate for the risk between investment-grade corporate bonds and US Treasuries with similar maturities) tightened in the fourth quarter of 2016 but not by enough to overcome the run-up in interest rates following the November presidential election. For the year, US corporate bonds delivered a respectable return. Long-term corporate bonds were the clear winner.
European corporate bonds were also volatile in the fourth quarter with yields first rising over concerns that the European Central Bank (ECB) may begin tapering its quantitative easing program. Yields then tightened again in early/mid December. Also, concerns over rising populism and the duration of the ECB’s quantitative easing program dominated sentiment in the European corporate bond markets.
Global Leveraged Finance
In global leveraged bond markets, high yield spreads (the extra yield investors receive to compensate for the risk between non-investment grade and investment-grade bonds) drifted wider in the run-up to the US elections, and while the surprise victory by president-elect Trump prompted a substantial selloff — which led to further spread widening — the tone of the market improved on the prospects for faster economic growth, less regulation, tax reform, and increased fiscal spending. High yield spreads tightened sharply and the high yield bonds had the strongest annual return since 2009.
Emerging Markets Debt
It was a year of recovery for the emerging markets debt sector. The Emerging Market Foreign Exchange just posted its third consecutive year of negative returns, Emerging Market local yields rose to levels last seen during 2013’s taper tantrum. Brazil faced a political and confidence crisis not seen in recent decades, and concerns mounted about China’s growth outlook.
Mortgages
Agency mortgage-backed securities underperformed US Treasuries in the fourth quarter as rates rose sharply following the November presidential election. Mortgages posted a moderate return in 2016. Mortgage-backed securities (MBS) benefitted from strong demand from the Federal Reserve, as well as US. and overseas investors.
The Prudential Series Fund, Conservative Balanced Portfolio
| December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 7.28 | % | 8.64 | % | 5.88 | % | ||||||
Blended Index | 7.11 | 8.21 | 5.58 | |||||||||
S&P 500 Index | 11.94 | 14.65 | 6.94 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2016, the Conservative Balanced Portfolio returned 7.28%.
The net assets of the Portfolio at December 31, 2016 were $2,473.2 million.
The Portfolio’s investment objective is total investment return consistent with a conservatively managed diversified portfolio.
The Portfolio’s subadvisers are PGIM Fixed Income and Quantitative Management Associates LLC.
What were market conditions during the reporting period?
Following a global market sell-off from January through mid-February and after the UK’s June referendum to leave the European Union, 2016 culminated in Donald Trump’s victory in the November US presidential election. The election results had an immediate effect on global markets as investors looked to a reflationary environment and fiscal spending to boost economic growth. In December, the Federal Reserve raised short-term interest rates, only the second rate hike in the last decade. These two fourth-quarter events worked together to push interest rates higher, spark a rally in the US dollar, and provide a tailwind for US equity markets. The rise in interest rates had a negative impact on fixed income, while the strengthening US dollar weighed on international equity prices. Value stocks, however, had one of their best periods of the past few years, as did the small-cap segment of the US stock market.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio benefited from asset allocation decisions throughout the reporting period. In the middle of the period, the Portfolio’s higher allocation to international equities was reduced in favor of US equities and maintained a smaller allocation to international equities through the fourth quarter when the asset class lagged US equities. In addition, the Portfolio shifted away from fixed income and into US equities early in the fourth quarter, which resulted in positive returns as bonds underperformed and US stocks outperformed through end of the period. The Portfolio’s cash position was kept below benchmark levels throughout the period, as investments in both fixed income and equities consistently seemed more attractive from a fundamental standpoint. At the close of the period, the portfolio was positioned with a slight overweight in equities, a slight underweight in fixed income, and a position in cash that was within guidelines.
Did the Portfolio use derivatives, and how did they affect performance?
The Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage interest rate risk, which is a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. The Portfolio used credit default swaps to hedge credit risk of the portfolio in order to increase or decrease credit risk. Credit default swaps establish exposure to a desired credit or index within the letter and spirit of the investment guidelines. The use of credit default swaps had no material impact on performance in 2016. In addition, the Portfolio traded foreign exchange derivatives, which had no material impact on performance during the reporting period.
The Blended Index consists of the S&P 500 Index (50%), the Bloomberg Barclays US Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the US Treasury with maturities of three months, excluding zero coupon strips. The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
1
The Prudential Series Fund, Diversified Bond Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 5.59 | % | 4.39 | % | 6.12 | % | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 2.65 | 2.23 | 4.34 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2016, the Diversified Bond Portfolio returned 5.59%.
The net assets of the Portfolio at December 31, 2016 were $1,104.6 million.
The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital. The Portfolio’s subadviser is PGIM Fixed Income.
What were market conditions during the reporting period?
The broad fixed income market generated positive returns during 2016, in spite of setbacks during February and the fourth quarter. The gain came amid a number of surprises, including a commodity price decline and rebound, Britain’s decision to leave the European Union (commonly called Brexit), and the Republican sweep of Congress and the White House.
Investment-grade corporate bonds began the reporting period under pressure, as commodity price weakness, global growth concerns, and a stronger US dollar caused credit spreads to widen. (Credit spreads are the amount of extra yield that corporate bonds provide over similar-duration Treasuries.) Spreads then tightened at the beginning of the second quarter as commodity prices stabilized and were buoyed by strong investor demand. During the rest of the reporting period, despite political uncertainty, a pickup in mergers and acquisitions activity, and hawkishness from central bank officials, investment-grade corporate bonds advanced. They generally benefited from improved economic data, supportive central bank policies, and Donald Trump’s surprise victory in the US election, even during a calendar year of record issuance.
What strategies or holdings affected the Portfolio’s performance?
During the period, security selection was a large positive contributor to the Portfolio’s performance, highlighted by positions in non-agency mortgage-backed securities, investment-grade corporate bonds, emerging markets debt, collateralized loan obligations, and commercial mortgage-backed securities (CMBS). Security selection in high yield corporate bonds detracted from results. Within its holdings of corporate bonds, the Portfolio benefited from positions in upstream energy and consumer non-cyclical names and was hurt by positions in health care & pharmaceutical, midstream energy, and banking bonds. Investments in non-US, non-corporate bonds added to performance. At the sector level, the Portfolio’s exposure to high yield corporate bonds, CMBS, investment-grade corporate bonds, bank loans, and emerging markets debt added to returns. The combined impact of the Portfolio’s duration and yield curve strategies was negative during the period. Duration is a measure of a bond’s price sensitivity to interest rates over time.
Did the Portfolio use derivatives, and how did they affect performance?
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage interest rate risk, which is a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. In addition, the Portfolio traded foreign exchange derivatives, which had no material impact on performance during the reporting period. The Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage interest rate risk, which is a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. The Portfolio used credit default swaps to hedge credit risk of the portfolio in order to increase or decrease credit risk. Credit default swaps establish exposure to a desired credit or index within the letter and spirit of the investment guidelines. The use of credit default swaps had no material impact on performance in 2016. In addition, the Portfolio traded foreign exchange derivatives, which had no material impact on performance during the reporting period.
The Bloomberg Barclays US Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
2
The Prudential Series Fund, Equity Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio: Class I | 3.78 | % | 11.67 | % | 5.77 | % | ||||||
Portfolio: Class II | 3.35 | 11.23 | 5.35 | |||||||||
Russell 1000® Index | 12.05 | 14.69 | 7.08 | |||||||||
S&P 500 Index | 11.94 | 14.65 | 6.94 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS1
The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
For the year ended December 31, 2016, Equity Portfolio Class I shares returned 3.78% and Class II shares returned 3.35%.
The net assets of the Portfolio at December 31, 2016 were $3,743.4 million.
The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadviser is Jennison Associates LLC.
What were market conditions during the reporting period?
2016 was a year of volatility and surprises. China’s decelerating economic growth; the negative effect of lower energy prices on industrials; fears of slowing US economic growth; uncertainty about the course of Federal Reserve monetary tightening; the United Kingdom’s vote to leave the European Union; and anxiety about the unconventional US presidential election contributed to volatility. US dollar strength persisted throughout 2016, as superior US economic growth drove a strong preference for the dollar and dollar-denominated assets.
What strategies or holdings affected the Portfolio’s performance?
There was significant disparity among market segments during the year. Value significantly outperformed growth across capitalizations and small outperformed large and midcaps.
The Portfolio underperformed the Russell 1000 Index. Health care positions, especially those in pharmaceuticals and biotechnology, detracted from absolute and relative returns. Many health care companies faced concerns about drug pricing. Biotechnology companies that sell innovative, high-priced drugs lost ground, including Alexion Pharmaceuticals and Regeneron Pharmaceuticals. Jennison believes that the long-term fundamentals of the Portfolio’s biotechnology holdings remain intact and that current valuations underestimate the potential of pipeline drugs.
Allergan has grown in size and scope and appears to be on track to be a leader in global growth pharmaceuticals. Although Allergan’s development pipeline could be meaningfully more productive than investors currently assume, and its strong balance sheet should allow for significant capital deployment, the company has hit bumps in the road that may indicate that its transition is still in progress.
Shire — with product franchises in neuroscience, gastrointestinal, and rare diseases — has been transforming itself into a leading orphan disease company. The stock’s recent weakness may have been related to news that Roche expects to release clinical trial data for a developmental hemophilia treatment that could potentially compete with Shire hemophilia drugs.
Uncertainty around mergers and acquisitions for Teva, and pharmaceutical companies in general, caused volatility in its share price. The US Federal Trade Commission approved its acquisition to acquire Allergan’s generics business. The position was eliminated due to a reduced outlook on its generics business.
Stock selection in information technology also detracted from performance. LinkedIn is a leading global online professional network that provides what is considered unique access to a job candidate database. While its long-term potential is attractive, the position was eliminated due to decelerating growth.
Semiconductor maker NVIDIA posted a substantial gain in the period. Jennison believes it is uniquely positioned in its markets, potentially driving several years of strong growth.
Financials were the largest source of absolute and relative gain as a better outlook for a fiscal spending stimulus, higher rates, better economic growth, and regulatory relief benefited many positions in the sector. Goldman Sachs, JP Morgan, and SLM were standouts in the sector and the overall Portfolio.
1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
The Russell 1000® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market. The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial company.
3
The Prudential Series Fund, Flexible Managed Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 8.52 | % | 10.64 | % | 6.40 | % | ||||||
Blended Index | 8.16 | 9.56 | 6.02 | |||||||||
S&P 500 Index | 11.94 | 14.65 | 6.94 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ending December 31, 2016, the Flexible Managed Portfolio returned 8.52%.
The net assets of the Portfolio at December 31, 2016 were $3,889.8 million.
The Portfolio’s investment objective is total investment return consistent with an aggressively managed diversified portfolio.
The Portfolio’s subadvisers are PGIM, Inc. and Quantitative Management Associates LLC.
What were market conditions during the reporting period?
Following a global market sell-off from January through mid-February and the leave result in the UK’s June referendum about membership in the European Union, 2016 culminated in Donald Trump’s victory in the November US presidential election. The election results had an immediate effect on global markets, as investors looked to a reflationary environment and fiscal spending to boost economic growth. In December, the Federal Reserve raised short-term interest rates, only the second rate hike in the last decade. These two fourth-quarter events worked together to push up interest rates, spark a rally in the US dollar, and provide a tailwind for US equity markets. The rise in interest rates had a negative impact on fixed income, while the strengthening US dollar weighed on international equity prices. However, value stocks had one of their best periods of the past few years, as did the small-cap segment of the US stock market.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio benefited from our asset allocation decisions throughout the reporting period. In the middle of the period, we reduced the Portfolio’s higher allocation to international equities in favor of cash and maintained a smaller allocation to international equities through the fourth quarter when the asset class lagged US equities. After keeping the Portfolio at a guideline weight in fixed income for most of the year, we shifted it away from fixed income and into US equities early in the fourth quarter, which resulted in positive returns as bonds underperformed and US stocks outperformed through the end of the period. The Portfolio’s cash position slightly below benchmark levels throughout the period, as investments in both fixed income and equities consistently seemed more attractive from a fundamental standpoint. At the close of the period, the Portfolio was positioned with a slight overweight in equities, a slight underweight in fixed income, and a position in cash that was within guidelines.
Did the Portfolio use derivatives, and how did they affect performance?
Derivatives, in the form of international futures contracts, were used during the year to gain exposure to international equity markets. The impact on the Portfolio was immaterial to performance. The Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage interest rate risk, which is a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. The Portfolio used options to buy or sell a specific amount of a given security, at a specific price during a specific period of time. Options are used as an efficient and cost effective way to gain exposure to a particular security. They are also used to manage risk and portfolio volatility. The use of options had no material impact on performance in 2016. The Portfolio also used credit default swaps to hedge credit risk of the portfolio in order to increase or decrease credit risk. Credit default swaps establish exposure to a desired credit or index within the letter and spirit of the investment guidelines. The use of credit default swaps had no material impact on performance in 2016. In addition, the Portfolio traded foreign exchange derivatives, which had no material impact on performance during the reporting period.
The Blended Index consists of the S&P 500 Index (60%), the Bloomberg Barclays U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and the 3-Month T-Bill Index (5%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
PGIM, Inc., and Quantitative Management Associates LLC are registered investment advisers and are Prudential Financial companies.
4
The Prudential Series Fund, Global Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 4.44 | % | 10.55 | % | 3.68 | % | ||||||
MSCI World Index (GD) | 8.15 | 11.04 | 4.41 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2016, the Global Portfolio returned 4.44%.
The net assets of the Portfolio at December 31, 2016 were $955.4 million.
The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadvisers are: Brown Advisory (Brown), LLC, (US growth stocks), T. Rowe Price Associates, Inc. (US value stocks), William Blair & Company LLC (international growth stocks), LSV Asset Management (international value stocks), and Quantitative Management Associates LLC.
What were market conditions during the reporting period?
In a difficult environment for active managers, investors moved between buying and selling high-dividend-yielding stocks, as speculation swirled around the timing and magnitude of Federal Reserve rate hikes. In addition, volatility surrounding the UK’s vote to leave the European Union (commonly known as Brexit) and the US elections caused many managers to underperform, as markets tended to move against consensus expectations for these events.
What strategies or holdings affected the Portfolio’s performance?
All of the Portfolio’s subadvisers underperformed their respective style-specific indices in this challenging environment for active managers. Furthermore, only one of the Portfolio’s four subadvisers was able to outperform the Portfolio’s benchmark index. The large-cap value portion of the Portfolio was the only positive contributor to overall relative performance, driven primarily by strong absolute returns in US large-cap value stocks relative to other areas of the global equity markets. The Portfolio was hurt by its underexposure to dividend-paying stocks, as these higher-quality stocks were strongly rewarded in the first half of the reporting period.
The MSCI World Index (GD) - The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom, and United States. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
5
The Prudential Series Fund, Government Income Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 2.17 | % | 1.96 | % | 4.18 | % | ||||||
Bloomberg Barclays Government Bond Index | 1.05 | 1.22 | 3.86 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2016, the Government Income Portfolio returned 2.17%.
The net assets of the Portfolio at December 31, 2016 were $226.3 million.
The Portfolio’s investment objective is a high level of income over the long term consistent with the preservation of capital. The Portfolio’s subadviser is PGIM Fixed Income.
What were market conditions during the reporting period?
The broad fixed income market generated positive returns during 2016, in spite of a setback during the fourth quarter. The gain came amid a number of surprises, including a commodity price decline and rebound, Britain’s decision to leave the European Union (commonly called Brexit), and the Republican sweep of Congress and the White House.
Interest rates in most developed countries encountered steady headwinds in late 2016 amid expectations for expanded fiscal policies in the US, signs of policy restraint or tightening from major central banks, and firming inflation prospects as oil prices rose.
The Federal Reserve (Fed) raised short-term rates in December, as widely expected, but its hawkish trajectory for rate hikes in 2017 was a surprise. The Fed’s “dot plot,” which shows the projections of the 16 members of the Fed’s rate-setting body, anticipated three rate increases in 2017 — an increase from the prior projection of two hikes — and three increases in 2018 and 2019, respectively. Nevertheless, long-term Fed fund futures, which are used by investors to hedge against or speculate on changes in Fed monetary policy, remained stable at the end of the reporting period.
What strategies or holdings affected the Portfolio’s performance?
During the period, security selection was a strong driver of the Portfolio’s outperformance, highlighted by positions among interest rate swaps, collateralized loan obligations, and agency securities. Security selection in commercial mortgage-backed securities (CMBS) hurt performance.
Sector allocations also added to performance, with the Portfolio’s overweight in CMBS the largest positive contributor to returns. The Portfolio’s positioning for a flatter US yield curve detracted from performance, while its tactical long duration position bolstered results. Yield curves are single line graphs that illustrate the relationship between the yields and maturities of fixed income securities. They are created by plotting the yields of different maturities for the same type of bonds. Duration measures the approximate price change of a bond portfolio for a given change in interest rates.
Did the Portfolio use derivatives, and how did they affect performance?
During the period, the Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage the Portfolio’s interest rate risk, which is a more efficient way of managing interest rate risk than through the purchases and sales of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period.
The Bloomberg Barclays Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the US Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
6
The Prudential Series Fund, Government Money Market Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 7-Day* Current Net Yield | 1-Year | 5-Year | 10-Year | ||||||||||||
Portfolio | 0.00 | % | 0.10 | % | 0.02 | % | 0.81 | % | ||||||||
Lipper (VIP) Money Market Funds Average | N/A | 0.05 | 0.02 | 0.75 | ||||||||||||
Lipper US Government Money Market Index | N/A | 0.05 | 0.02 | 0.75 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
The yield quotation more closely reflects the current earnings of the Portfolio than the total return quotation. Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
7-DAY CURRENT NET YIELD*
For the year ended December 31, 2016, the Government Money Market Portfolio returned 0.10%.
The net assets of the Portfolio at December 31, 2016 were $724.2 million.
The Portfolio’s investment objective is to seek maximum current income consistent with the stability of capital and maintenance of liquidity. The Portfolio’s subadviser is PGIM Fixed Income.
What were market conditions during the reporting period?
2016 was a turbulent year, marked by a sharp sell-off in equities and other riskier asset classes during the first quarter, the UK’s vote to leave the European Union (commonly known as Brexit), continued geopolitical risk worldwide, and the election of Donald Trump as US president.
After raising the targeted fed funds rate in December 2015, the Federal Reserve eased its expected pace of 2016 rate hikes during the first quarter, citing uncertainty about the sustainability of US economic growth, as well as concerns about tightening US financial conditions and rising international vulnerabilities. Mid-year, as the negative interest rate policies and aggressive bond-buying programs of the Bank of Japan and the European Central Bank powered ahead, Japanese, German and UK government bonds staged spectacular rallies, thanks in part to economic slowdown fears brought on by Brexit. US yields also fell, following the global trend of low short-term rates and based on some evidence of moderating US growth, which kept the Fed at bay. In December, the Fed raised the fed funds rate 0.25% to a range of between 0.50% and 0.75%. As the move was well communicated, the markets had priced in the rate hike ahead of the announcement.
During the reporting period, short-term money market mutual funds navigated through reforms directed by the Securities and Exchange Commission (SEC). The reforms led many money market mutual funds, including the Portfolio, to invest exclusively in government assets to maintain a stable net asset value and so as not to be required to adopt liquidity fees or temporarily suspend withdrawals should large outflows occur. As such funds shifted out of short-term credit assets into short-term government assets ahead of the SEC’s October 14 deadline, the difference between the yields in these segments widened significantly. By December 31, 2016, the three-month LIBOR rate had risen to 1.0% from 0.61% on December 31, 2015, while the yield on a three-month Treasury bill had climbed to 0.50% from 0.33%.
What strategies or holdings affected the Portfolio’s performance?
Early in the period, the Portfolio maintained a weighted average maturity (WAM) in line with its peers. It kept its weighted average life longer than its peers through the addition of longer-maturity agency and government paper in anticipation of the SEC’s regulatory changes, which we believed would dampen yields on government paper. We shortened the Portfolio’s WAM mid-year in anticipation of a June fed funds rate hike, reversing this stance as market expectations evaporated.
Beginning in the second quarter, the subadviser reduced the Portfolio’s position in credit-related issuers, limiting exposure to those maturing before the Portfolio’s conversion in September to a government money market strategy. As these issues matured, the subadviser invested the proceeds in government and agency securities. Following the Portfolio’s conversion, we began to focus its positioning on potential action by Fed, which was widely expected to raise the fed funds rate in December. Therefore, the Portfolio maintained a shorter WAM in anticipation of the hike.
* | Source: iMoneyNet, Inc. based on 113 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Government Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/27/2016. |
The Lipper Variable Insurance Products (VIP) Funds Average is calculated by Lipper Analytical Services, Inc., and reflects the investment return of certain portfolios underlying variable life and annuity products. Returns for the Lipper Average reflect the deduction of operating expenses. Lipper US Government Money Market Index invests principally in financial instruments issued or guaranteed by the US government, its agencies, or its instrumentalities, with dollar-weighted average maturities of less than 90 days. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.
An investment in the Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $10.00 per share, it is possible to lose money by investing in the Portfolio.
7
The Prudential Series Fund, High Yield Bond Portfolio
| December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 16.24 | % | 7.41 | % | 7.24 | % | ||||||
Bloomberg Barclays US High Yield 1% Issuer Capped Index | 17.21 | 7.31 | 7.49 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2016, the High Yield Bond Portfolio returned 16.24%.
The net assets of the Portfolio at December 31, 2016 were $3,567.6 million.
The Portfolio’s objective is high total return. The Portfolio’s subadviser is PGIM Fixed Income.
What were market conditions during the reporting period?
During the reporting period, the high yield corporate bond market posted its strongest annual performance since 2009. CCC-rated bonds outpaced BB- and B-rated bonds. CCC-rated bonds were up significantly. during the period, more than double the returns generated by higher-rated bonds. Commodity-related sectors performed strongly, with integrated energy, independent energy, and metals & mining all returning more than 45% for the period. Elsewhere, chemicals, aerospace & defense, gaming, and technology sectors all experienced strong performance. Pharmaceuticals was the only sector with a negative return. Although banking, health care insurance, and environmental posted positive returns, they were amongst the worst-performing high yield bond sectors of the period.
According to J.P. Morgan, the par-weighted US high yield default rate ended the year at 3.6%. Excluding the energy and metals & mining sectors, the rate was only 0.7%. Continued improvement in commodity fundamentals suggest overall default activity will decline in 2017. The progression of default activity throughout 2016 supports this view. More than half of the default volume occurred in the first quarter of 2016 and moved lower each subsequent quarter.
What strategies or holdings affected the Portfolio’s performance?
During the period, the Portfolio’s relative underperformance was driven by its underweight in commodity-related sectors which significantly outperformed. Underweights in the upstream energy and metals & mining sectors were the biggest detractors from performance. An overweight in the health care & pharmaceutical sector was also negative. Underweight allocations in the finance & insurance and telecommunications sectors, as well as an overweight in the chemicals sector, added to performance.
The Portfolio benefited from issue selection, highlighted by positioning in the chemicals, technology, telecommunications, and paper & packaging sectors. Selection in the electric & water, metals & mining, and building materials & home construction sectors was negative. In terms of specific issuers, the Portfolio’s overweights in Hexion (chemicals), BMC Software (technology), and Scientific Games (gaming) contributed most positively to performance during the period. An underweight in Chesapeake Energy (upstream energy) and overweights in Community Health Systems (health care) and NRG Energy (electric & water) detracted from returns.
Did the Portfolio use derivatives, and how did they affect performance?
During the period, the Portfolio used futures to manage the Fund’s interest rate risk, a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. The Portfolio used interest rate swaps to help manage duration and yield curve exposure. The use of interest rate swaps had a positive impact on performance during the reporting period. The Portfolio used futures to manage interest rate risk, which is a more efficient way of managing interest rate risk than through the purchase and sale of cash bonds. The use of futures had no material impact on the Portfolio’s performance during the reporting period. The Portfolio used credit default swaps to hedge credit risk of the portfolio in order to increase or decrease credit risk. Credit default swaps establish exposure to a desired credit or index within the letter and spirit of the investment guidelines. The use of credit default swaps had no material impact on performance in 2016. In addition, the Portfolio traded foreign exchange derivatives, which had no material impact on performance during the reporting period.
The Bloomberg Barclays US High Yield 1% Issuer Capped Index is an unmanaged index that covers the universe of US dollar denominated, non-convertible, fixed-rate, non-investment-grade debt. Issuers are capped at 1% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
8
The Prudential Series Fund, Jennison Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio: Class I | -0.90 | % | 14.21 | % | 8.17 | % | ||||||
Portfolio: Class II | -1.29 | 13.76 | 7.74 | |||||||||
Russell 1000® Growth Index | 7.08 | 14.50 | 8.33 | |||||||||
S&P 500 Index | 11.94 | 14.65 | 6.94 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS1
The Russell 1000® Growth Index is a trademark/service of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
For the year ended December 31, 2016, the Jennison Portfolio Class I shares returned -0.90% and Class II shares returned -1.29%.
The net assets of the Portfolio at December 31, 2016 were $1,561.5 million.
The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadviser is Jennison Associates LLC.
What were market conditions during the reporting period?
2016 was a year of volatility and surprises. Decelerating economic growth in China; concerns that emerging economies might face balance sheet risks; the negative effect of lower energy prices on industrials; fears of slowing US economic growth; uncertainty about the course of Federal Reserve monetary tightening; the United Kingdom’s vote to leave the European Union; and the unconventional US presidential election contributed to volatility. Low-volatility/high-dividend-paying stocks were significant drivers of market returns, while stocks of higher-growth companies generally underperformed. After the election, speculation about policy initiatives of the new administration favored companies – many of them exhibiting little secular growth — expected to benefit from less onerous regulations, lower corporate tax rates, and increased infrastructure and defense spending.
What strategies or holdings affected the Portfolio’s performance?
Investor risk aversion hurt higher-growth, higher-valuation stocks. Health care companies faced the additional headwind of growing concerns about drug pricing. Companies that sell innovative, high-priced drugs sold off, among them Portfolio holdings Alexion Pharmaceuticals, Regeneron Pharmaceuticals, and Vertex Pharmaceuticals. Health care companies where acquired growth plays a greater role, such as Allergan, declined as regulatory changes threatened tax benefits of mergers between US and offshore companies. The Portfolio no longer holds a position in Vertex.
Information technology positions advanced but lagged the benchmark sector, with declines in LinkedIn and Salesforce.com tempering strong gains in Nvidia and Tencent. LinkedIn has experienced deceleration in previously high growth rates, and the Portfolio sold its holdings. Salesforce.com also faced slower growth rates. Nvidia’s revenue, gross margin, and earnings exceeded forecasts, and Jennison believes it can leverage its graphics expertise to offer high-value-added solutions. Tencent, China’s largest Internet service portal, continued to perform well driven by its dominant position in China’s online gaming and instant messaging markets and its growing advertising and payment service efforts.
In consumer discretionary, Nike’s decline based on increased competition partially offset solid advances in Amazon, Marriott, and Time Warner. Amazon benefited from continued strong execution, margin expansion, and development of its cloud infrastructure. Marriott, which acquired Starwood Hotels, benefitted from increased demand and limited supply growth in the US. Time Warner rose on news that AT&T was acquiring it at a significant premium to the stock price.
Concho Resources, which announced deals that should improve its balance sheet, was a strong performer in the energy sector.
The financial sector, including Portfolio position Goldman Sachs, benefited as the market reacted favorably to the new US administration. Goldman’s strong capital base and leading global positions should provide attractive exposure to long-term global economic expansion.
1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
The Russell 1000 Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
9
The Prudential Series Fund, Natural Resources Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio: Class I | 25.36 | % | -4.96 | % | -0.08 | % | ||||||
Portfolio: Class II | 24.82 | -5.36 | -0.49 | |||||||||
Blended Index | 25.23 | 1.65 | 1.91 | |||||||||
MSCI World Index (GD) | 8.15 | 11.04 | 4.41 | |||||||||
S&P 500 Index | 11.94 | 14.65 | 6.94 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Unless noted otherwise, Index returns reflect performance beginning the closest month-end date to the Portfolio’s inception (Class II). Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS1
For the year ended December 31, 2016, the Natural Resources Portfolio Class I returned 25.36% and Class II
returned 24.82%.
The net assets of the Portfolio at December 31, 2016 were $498.1 million.
The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadviser is Allianz Global Investors U.S. LLC.
What were market conditions during the reporting period?
Crude oil markets rebounded sharply in 2016, bouncing off lows in the high $20’s per barrel for Brent crude which occurred in January and February, and reaching over $55 per barrel at year end. Crude prices sprang back from oversold conditions, culminating in an OPEC-led accord in November. This improvement in crude prices, coupled with relatively accommodative global monetary conditions and moderate global economic growth helped natural resource sector strategies which rebounded from a difficult performance environment in 2015.
What strategies or holdings affected the Portfolio’s performance?
For the 12 months, the Portfolio’s Class I shares outperformed its benchmarks due largely to stock selection effects in energy. Given the improvement in energy prices over the course of the year, the top contributors to performance were all energy-related themes. The sand supplier, US Silica Holdings, was the top performer as US land rig utilization improved in the second half of the year. Other top contributors were oil and gas exploration and production companies including SM Energy Corp., Continental Resources, Whiting Petroleum Corporation, and Laredo Petroleum.
The primary detractors were also energy-related. Weatherford International and Southwestern Energy were the largest detractors after both companies’ stocks were negatively impacted by balance sheet leverage concerns which were somewhat mitigated by equity raises. Also, Southwestern is primarily a gas producer, and gas producers have generally lagged the energy rebound given the ongoing concerns related to a long-term supply glut of natural gas in the US. The zero weight in Chevron also hurt performance as the Portfolio was generally underweight integrated oil companies in hopes of investing in those areas of the energy market which were more leveraged to a rise energy prices.
Did the Portfolio’s use of derivatives affect performance?
The Portfolio utilizes a buy-write strategy with call options written against long equity positions. At any given time, call options may be written against some of the long exposures depending on the premium income, market volatility, and outlook on the underlying positions. In 2016, these call positions detracted from overall performance on an absolute basis, but the negative impact was less than 100 bps. A basis point is one hundredth of a percentage point.
1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
Blended Index consists of MSCI (Morgan Stanley Capital International) World Energy Index (60%), is an unmanaged capitalization-weighted index that is designed to capture the large and mid-cap segments across twenty-three Developed Markets countries. All securities in the index are classified in the Energy sector. MSCI (Morgan Stanley Capital International) Materials Energy Index (40%), is an unmanaged capitalization-weighted index that is designed to capture the large and mid-cap segments across twenty-three Developed Markets countries. All securities in the index are classified in the Materials sector. MSCI World Index (GD) — Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom and United States. The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. These returns are net of investment fees and fund expenses, but not product charges. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.
10
The Prudential Series Fund, Small Capitalization Stock Portfolio
| December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 26.50 | % | 16.33 | % | 8.76 | % | ||||||
S&P SmallCap 600 Index | 26.56 | 16.62 | 9.03 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2016, the Small Capitalization Stock Portfolio returned 26.50%.
The net assets of the Portfolio at December 31, 2016 were $810.9 million.
The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadviser is Quantitative Management Associates LLC (QMA).
What were market conditions during the reporting period?
Following a global market selloff from January through mid-February and later the UK’s decision to leave the European Union, 2016 culminated in Donald Trump’s victory in the November US presidential election. The election results had an immediate effect on global markets, as investors looked to a reflationary environment and fiscal spending to boost economic growth. In December, the Federal Reserve raised short-term interest rates, only the second rate hike in the last decade. These two fourth-quarter events worked together to push up interest rates, spark a rally in the US dollar, and provide a tailwind for US equity markets. The rise in interest rates had a negative impact on fixed income, while the strengthening US dollar weighed on international equity returns. However, value stocks had one of their best periods of the past few years, as did the small-cap segment of the US stock market.
What strategies or holdings affected the Portfolio’s performance?
Potential tracking error differences (the difference between the return of the portfolio and the return of the benchmark), brokerage costs, as well as other costs and expenses of the Portfolio, may cause its return to be lower than that of the S&P Small Cap 600 Index. The Portfolio slightly underperformed the Index during the reporting period.
Did the Portfolio’s use of derivatives affect performance?
During the period, the Portfolio had a small exposure to derivative instruments to help enhance its liquidity, but the position did not have a material impact on its performance.
The S&P SmallCap 600 Index is an unmanaged index representing the aggregate market value of the common equity of 600 small-company stocks. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
11
The Prudential Series Fund, Stock Index Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 11.83 | % | 14.36 | % | 6.68 | % | ||||||
S&P 500 Index | 11.94 | 14.65 | 6.94 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2016, the Stock Index Portfolio returned 11.83%.
The net assets of the Portfolio at December 31, 2016 were $3,305.1 million.
The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly traded common stocks.
The Portfolio’s subadviser is Quantitative Management Associates LLC (QMA).
What were market conditions during the reporting period?
Following a global market sell-off from January through mid-February and the UK’s vote to leave the European Union in June, 2016 culminated in Donald Trump’s victory in the November US presidential election. The election results had an immediate effect on global markets, as investors looked to a reflationary environment and fiscal spending to boost economic growth. In December, the Federal Reserve raised short-term interest rates, only the second rate hike in the last decade. These two fourth-quarter events worked together to push up interest rates, spark a rally in the US dollar, and provide a tailwind for US equity markets. The rise in interest rates had a negative impact on fixed income, while the strengthening US dollar weighed on international equity returns. However, value stocks had one of their best periods of the past few years, as did the small-cap segment of the US stock market.
What strategies or holdings affected the Portfolio’s performance?
Potential tracking error differences (the difference between the return of the Portfolio and the return of the benchmark), brokerage costs, and other costs and expenses of the Portfolio may cause its return to be lower than that of the S&P 500 Index. The Portfolio slightly underperformed the Index during the reporting period.
Did the Portfolio’s use of derivatives affect performance?
During the period, the Portfolio had a small exposure to derivative instruments to help enhance its liquidity, but the position did not have a material impact on its performance.
The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
12
The Prudential Series Fund, Value Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio: Class I | 11.39 | % | 11.43 | % | 4.55 | % | ||||||
Portfolio: Class II | 10.95 | 10.98 | 4.14 | |||||||||
Russell 1000® Value Index | 17.34 | 14.80 | 5.72 | |||||||||
S&P 500 Index | 11.94 | 14.65 | 6.94 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. The Russell 1000® Value Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS1
For the year ended December 31, 2016, the Value Portfolio Class I shares returned 11.39% and Class II shares returned 10.95%.
The net assets of the Portfolio at December 31, 2016 were $1,382.1 million.
The Portfolio’s investment objective is capital appreciation. The Portfolio’s subadviser is Jennison Associates LLC.
What were market conditions during the reporting period?
The year 2016 was filled with volatility and surprises. Decelerating economic growth in China; the negative effect of lower energy prices on industrial sectors; fears of slowing economic growth in the US; uncertainty about the course of future Federal Reserve monetary tightening; Brexit, the United Kingdom’s vote to leave the European Union; and anxiety about the highly unconventional US presidential election all contributed to volatility. US dollar strength persisted throughout the year, as superior US economic growth drove a strong preference for the dollar and dollar-denominated assets.
What strategies or holdings affected the Portfolio’s performance?
2016 was a tale of two halves for Portfolio performance. Relative results were strong in the second half of the year; however, underperformance in the first half resulted in underperformance for the year.
Positions in health care, especially Allergan, Teva, and Express Scripts, were mostly responsible for the shortfall. After several acquisitions, Allergan has grown in size and scope, and is now on track to be a leader in growth pharma. Although Jennison believes that Allergan’s development pipeline could be meaningfully more productive than investors currently assume, the company has hit bumps in the road that may indicate that its transition is a work in progress.
Uncertainty around mergers and acquisitions for Teva and pharmaceutical companies in general caused volatility in Allergan’s share price. The US Federal Trade Commission approved its acquisition of Allergan’s generics business. The Portfolio subsequently sold the position due to a reduced outlook on its generics business.
Express Scripts was hurt by a contract re-pricing discussion with its largest customer. The Portfolio eliminated the position due to a narrowing reward-to-risk ratio.
Hertz was a disappointing position, as excess fleet and higher depreciation costs weighed on margins. The cyclical recovery took longer than expected, and the Portfolio eliminated the position.
Vodafone recently reported better-than-expected revenue growth, but tightened guidance. Jennison believes the company is positioned to continue solid growth in Europe, while remaining attractively valued on a risk/reward basis.
Financials benefited from the outlook for fiscal stimulus, higher interest rates, stronger economic growth, and regulatory relief. Goldman Sachs, JP Morgan, and SLM were standouts in the sector and the overall Portfolio.
The crude oil market rebounded due to falling US shale production, and Halliburton and Chevron contributed to Portfolio returns.
Strong demand drove better results for Texas Instruments. Jennison likes its focus on free cash flow margins, capital returns, product mix, and dominant share in analog and strong channel relationships.
1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
The Russell 1000 Value Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial company.
13
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | December 31, 2016 |
Conservative Balanced | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 1.6% | |||
U.S. Treasury Inflation Indexed Bonds | 1.4% | |||
Microsoft Corp. | 1.2% | |||
Federal National Mortgage Assoc. | 1.1% | |||
Exxon Mobil Corp. | 1.0% |
Diversified Bond | ||||
Allocation | (% of Net Assets | ) | ||
Commercial Mortgage-Backed Securities | 12.9% | |||
Residential Mortgage-Backed Securities | 12.5% | |||
Banks | 10.2% | |||
Collateralized Loan Obligations | 4.7% | |||
Sovereign Bonds | 3.7% |
Equity | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Microsoft Corp. | 3.2% | |||
JPMorgan Chase & Co. | 3.1% | |||
Amazon.com, Inc. | 2.9% | |||
Goldman Sachs Group, Inc. (The) | 2.8% | |||
Apple, Inc. | 2.4% |
Flexible Managed | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 1.7% | |||
JPMorgan Chase & Co. | 1.4% | |||
Bank of America Corp. | 1.2% | |||
Facebook, Inc. | 1.1% | |||
AT&T, Inc. | 1.1% |
Global | ||||
Top Five Countries | (% of Net Assets | ) | ||
United States | 61.6% | |||
Japan | 8.4% | |||
United Kingdom | 5.7% | |||
France | 4.4% | |||
Switzerland | 3.5% |
Government Income | ||||
Allocation | (% of Net Assets | ) | ||
U.S. Government Agency Obligations | 43.4% | |||
Commercial Mortgage-Backed Securities | 27.2% | |||
U.S. Treasury Obligations | 20.7% | |||
Collateralized Loan Obligations | 5.3% | |||
Diversified Financial Services | 1.1% |
High Yield Bond | ||||
Allocation | (% of Net Assets | ) | ||
Media | 7.6% | |||
Oil & Gas | 6.4% | |||
Software | 5.5% | |||
Healthcare-Services | 5.4% | |||
Telecommunications | 5.3% |
Jennison | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Amazon.com, Inc. | 5.7% | |||
Apple, Inc. | 4.7% | |||
Facebook, Inc. (Class A Stock) | 3.9% | |||
Microsoft Corp. | 3.5% | |||
Visa, Inc. (Class A Stock) | 3.2% |
Natural Resources | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
U.S. Silica Holdings, Inc. | 5.9% | |||
SM Energy Co. | 4.5% | |||
EOG Resources, Inc. | 4.5% | |||
Pioneer Natural Resources Co. | 4.4% | |||
Range Resources Corp. | 4.4% |
Small Capitalization Stock | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
iShares Core S&P Small-Cap ETF | 1.0% | |||
Take-Two Interactive Software, Inc. | 0.6% | |||
U.S. Silica Holdings, Inc. | 0.6% | |||
Chemours Co. (The) | 0.5% | |||
PDC Energy, Inc. | 0.5% |
Stock Index | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Apple, Inc. | 3.1% | |||
Microsoft Corp. | 2.4% | |||
Exxon Mobil Corp. | 1.9% | |||
Johnson & Johnson | 1.6% | |||
JPMorgan Chase & Co. | 1.6% |
Value | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
JPMorgan Chase & Co. | 4.6% | |||
Bank of America Corp. | 3.0% | |||
Goldman Sachs Group, Inc. (The) | 2.7% | |||
PG&E Corp. | 2.6% | |||
Citigroup, Inc. | 2.5% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | December 31, 2016 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2016 through December 31, 2016.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fees and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolios | Beginning Account Value July 1, 2016 | Ending Account Value December 31, 2016 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,029.40 | 0.58 | % | $ | 2.96 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.22 | 0.58 | % | $ | 2.95 | ||||||||||
Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 986.30 | 0.42 | % | $ | 2.10 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.03 | 0.42 | % | $ | 2.14 | ||||||||||
Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,092.60 | 0.47 | % | $ | 2.47 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.77 | 0.47 | % | $ | 2.39 | ||||||||||
Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,090.20 | 0.87 | % | $ | 4.57 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.76 | 0.87 | % | $ | 4.42 | ||||||||||
Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,048.40 | 0.63 | % | $ | 3.24 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.97 | 0.63 | % | $ | 3.20 | ||||||||||
Global (Class I) | Actual | $ | 1,000.00 | $ | 1,051.20 | 0.79 | % | $ | 4.07 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.17 | 0.79 | % | $ | 4.01 | ||||||||||
Government Income (Class I) | Actual | $ | 1,000.00 | $ | 973.00 | 0.52 | % | $ | 2.58 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.52 | 0.52 | % | $ | 2.64 | ||||||||||
Government Money Market (Class I) | Actual | $ | 1,000.00 | $ | 1,000.50 | 0.33 | % | $ | 1.66 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.48 | 0.33 | % | $ | 1.68 | ||||||||||
High Yield Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,074.70 | 0.57 | % | $ | 2.97 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.27 | 0.57 | % | $ | 2.90 | ||||||||||
Jennison (Class I) | Actual | $ | 1,000.00 | $ | 1,060.60 | 0.63 | % | $ | 3.26 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.97 | 0.63 | % | $ | 3.20 | ||||||||||
Jennison (Class II) | Actual | $ | 1,000.00 | $ | 1,058.50 | 1.03 | % | $ | 5.33 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.96 | 1.03 | % | $ | 5.23 |
The Prudential Series Fund
Fees and Expenses — unaudited (continued) | December 31, 2016 |
The Prudential Series Fund Portfolios | Beginning Account Value July 1, 2016 | Ending Account Value December 31, 2016 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
Natural Resources (Class I) | Actual | $ | 1,000.00 | $ | 1,108.00 | 0.59 | % | $ | 3.13 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,022.17 | 0.59 | % | $ | 3.00 | ||||||||||
Natural Resources (Class II) | Actual | $ | 1,000.00 | $ | 1,106.00 | 0.99 | % | $ | 5.24 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.16 | 0.99 | % | $ | 5.03 | ||||||||||
Small Capitalization Stock (Class I) | Actual | $ | 1,000.00 | $ | 1,189.90 | 0.39 | % | $ | 2.15 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.18 | 0.39 | % | $ | 1.98 | ||||||||||
Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,076.20 | 0.32 | % | $ | 1.67 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.53 | 0.32 | % | $ | 1.63 | ||||||||||
Value (Class I) | Actual | $ | 1,000.00 | $ | 1,131.20 | 0.42 | % | $ | 2.25 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,023.03 | 0.42 | % | $ | 2.14 | ||||||||||
Value (Class II) | Actual | $ | 1,000.00 | $ | 1,129.20 | 0.82 | % | $ | 4.39 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.01 | 0.82 | % | $ | 4.17 |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2016, and divided by the 366 days in the Portfolio's fiscal year ended December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
CONSERVATIVE BALANCED PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 87.8% | Value (Note 2) | |||||||
COMMON STOCKS — 50.5% | Shares | |||||||
Aerospace & Defense — 1.1% |
| |||||||
Arconic, Inc. | 26,980 | $ | 500,209 | |||||
BAE Systems PLC (United Kingdom) | 6,267 | 45,583 | ||||||
Boeing Co. (The) | 37,150 | 5,783,512 | ||||||
General Dynamics Corp. | 18,300 | 3,159,678 | ||||||
L3 Technologies, Inc. | 5,100 | 775,761 | ||||||
Lockheed Martin Corp. | 16,300 | 4,074,022 | ||||||
Northrop Grumman Corp. | 11,362 | 2,642,574 | ||||||
Raytheon Co. | 18,800 | 2,669,600 | ||||||
Rockwell Collins, Inc. | 8,200 | 760,632 | ||||||
Safran SA (France) | 568 | 40,853 | ||||||
Textron, Inc. | 17,100 | 830,376 | ||||||
Thales SA (France) | 1,785 | 172,933 | ||||||
TransDigm Group, Inc.(a) | 3,400 | 846,464 | ||||||
United Technologies Corp. | 49,300 | 5,404,266 | ||||||
27,706,463 | ||||||||
Air Freight & Logistics — 0.4% |
| |||||||
C.H. Robinson Worldwide, Inc.(a) | 9,200 | 673,992 | ||||||
Deutsche Post AG (Germany) | 1,764 | 57,851 | ||||||
Expeditors International of Washington, Inc.(a) | 11,000 | 582,560 | ||||||
FedEx Corp. | 15,700 | 2,923,340 | ||||||
United Parcel Service, Inc. (Class B Stock) | 43,800 | 5,021,232 | ||||||
9,258,975 | ||||||||
Airlines — 0.3% |
| |||||||
Alaska Air Group, Inc. | 8,000 | 709,840 | ||||||
American Airlines Group, Inc.(a) | 33,100 | 1,545,439 | ||||||
Delta Air Lines, Inc.(a) | 48,500 | 2,385,715 | ||||||
Deutsche Lufthansa AG (Germany) | 11,224 | 144,686 | ||||||
International Consolidated Airlines Group SA (United Kingdom) | 3,186 | 17,164 | ||||||
Singapore Airlines Ltd. (Singapore) | 3,300 | 21,984 | ||||||
Southwest Airlines Co. | 39,600 | 1,973,664 | ||||||
United Continental Holdings, Inc.* | 19,200 | 1,399,296 | ||||||
8,197,788 | ||||||||
Auto Components — 0.1% |
| |||||||
Aisin Seiki Co. Ltd. (Japan) | 3,600 | 155,770 | ||||||
BorgWarner, Inc. | 14,000 | 552,160 | ||||||
Cie Generale des Etablissements Michelin (France) | 997 | 110,826 | ||||||
Delphi Automotive PLC | 16,900 | 1,138,215 | ||||||
Goodyear Tire & Rubber Co. (The) | 16,300 | 503,181 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 400 | 21,124 | ||||||
Valeo SA (France) | 1,685 | 96,732 | ||||||
2,578,008 | ||||||||
Automobiles — 0.3% |
| |||||||
Bayerische Motoren Werke AG (Germany) | 541 | 50,387 | ||||||
Ferrari NV (Italy) | 218 | 12,692 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom) | 3,504 | 31,875 | ||||||
Ford Motor Co. | 244,185 | 2,961,964 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 1,000 | 40,744 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Automobiles (continued) |
| |||||||
General Motors Co. | 88,000 | $ | 3,065,920 | |||||
Harley-Davidson, Inc. | 11,000 | 641,740 | ||||||
Honda Motor Co. Ltd. (Japan) | 3,300 | 96,345 | ||||||
Mazda Motor Corp. (Japan) | 2,200 | 35,825 | ||||||
Mitsubishi Motors Corp. (Japan) | 1,400 | 7,959 | ||||||
Nissan Motor Co. Ltd. (Japan) | 4,400 | 44,137 | ||||||
Peugeot SA (France)* | 974 | 15,864 | ||||||
Renault SA (France) | 342 | 30,375 | ||||||
Suzuki Motor Corp. (Japan) | 5,000 | 175,544 | ||||||
Toyota Motor Corp. (Japan) | 4,400 | 257,965 | ||||||
Volkswagen AG (Germany) | 123 | 17,654 | ||||||
7,486,990 | ||||||||
Banks — 3.5% |
| |||||||
Aozora Bank Ltd. (Japan) | 2,000 | 7,066 | ||||||
Bank Hapoalim BM (Israel) | 27,327 | 162,200 | ||||||
Bank of America Corp. | 649,121 | 14,345,574 | ||||||
BB&T Corp. | 52,100 | 2,449,742 | ||||||
Bendigo & Adelaide Bank Ltd. (Australia) | 18,079 | 165,383 | ||||||
BNP Paribas SA (France) | 4,997 | 318,000 | ||||||
BOC Hong Kong Holdings Ltd. (Hong Kong) | 46,000 | 163,832 | ||||||
Citigroup, Inc. | 183,685 | 10,916,400 | ||||||
Citizens Financial Group, Inc. | 31,700 | 1,129,471 | ||||||
Comerica, Inc. | 11,000 | 749,210 | ||||||
Commonwealth Bank of Australia (Australia) | 882 | 52,324 | ||||||
Concordia Financial Group Ltd. (Japan) | 4,700 | 22,617 | ||||||
Credit Agricole SA (France) | 19,000 | 235,196 | ||||||
DBS Group Holdings Ltd. (Singapore) | 3,900 | 46,530 | ||||||
DNB ASA (Norway) | 1,430 | 21,229 | ||||||
Erste Group Bank AG (Austria) | 607 | 17,747 | ||||||
Fifth Third Bancorp | 47,021 | 1,268,156 | ||||||
Fukuoka Financial Group, Inc. (Japan) | 13,000 | 57,655 | ||||||
HSBC Holdings PLC (United Kingdom) | 58,862 | 474,938 | ||||||
Huntington Bancshares, Inc. | 64,236 | 849,200 | ||||||
ING Groep NV (Netherlands) | 22,342 | 314,549 | ||||||
Intesa Sanpaolo SpA (Italy) | 22,976 | 58,202 | ||||||
Intesa Sanpaolo SpA, RSP (Italy) | 10,665 | 24,980 | ||||||
JPMorgan Chase & Co. | 229,245 | 19,781,551 | ||||||
KeyCorp. | 65,500 | 1,196,685 | ||||||
M&T Bank Corp.(a) | 10,100 | 1,579,943 | ||||||
Mediobanca SpA (Italy) | 7,358 | 59,924 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 2,100 | 12,951 | ||||||
Mizuho Financial Group, Inc. (Japan) | 47,500 | 85,240 | ||||||
National Australia Bank Ltd. (Australia) | 5,302 | 117,113 | ||||||
People’s United Financial, Inc. | 19,100 | 369,776 | ||||||
PNC Financial Services Group, Inc. (The) | 31,433 | 3,676,404 | ||||||
Regions Financial Corp. | 78,203 | 1,122,995 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) |
| |||||||
Resona Holdings, Inc. (Japan) | 8,700 | $ | 44,588 | |||||
Societe Generale SA (France) | 5,693 | 280,021 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 4,400 | 167,565 | ||||||
SunTrust Banks, Inc. | 31,800 | 1,744,230 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock) | 3,046 | 42,188 | ||||||
Swedbank AB (Sweden) (Class A Stock) | 1,840 | 44,334 | ||||||
U.S. Bancorp | 102,085 | 5,244,106 | ||||||
UniCredit SpA (Italy) | 10,217 | 29,341 | ||||||
Wells Fargo & Co. | 287,964 | 15,869,696 | ||||||
Westpac Banking Corp. (Australia) | 410 | 9,624 | ||||||
Zions Bancorporation(a) | 12,850 | 553,064 | ||||||
85,881,540 | ||||||||
Beverages — 1.0% |
| |||||||
Anheuser-Busch InBev SA/NV (Belgium) | 255 | 26,990 | ||||||
Asahi Group Holdings Ltd. (Japan) | 600 | 18,891 | ||||||
Brown-Forman Corp. | 12,500 | 561,500 | ||||||
Coca-Cola Amatil Ltd. (Australia) | 20,856 | 152,103 | ||||||
Coca-Cola Co. (The) | 245,201 | 10,166,033 | ||||||
Coca-Cola European Partners PLC (United Kingdom) | 850 | 26,827 | ||||||
Constellation Brands, Inc. (Class A Stock) | 11,100 | 1,701,741 | ||||||
Diageo PLC (United Kingdom) | 10,771 | 279,508 | ||||||
Dr. Pepper Snapple Group, Inc. | 12,000 | 1,088,040 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 11,700 | 1,138,527 | ||||||
Monster Beverage Corp.* | 26,700 | 1,183,878 | ||||||
PepsiCo, Inc. | 90,907 | 9,511,599 | ||||||
25,855,637 | ||||||||
Biotechnology — 1.4% |
| |||||||
AbbVie, Inc. | 103,300 | 6,468,646 | ||||||
Actelion Ltd. (Switzerland) | 761 | 164,459 | ||||||
Alexion Pharmaceuticals, Inc.* | 14,300 | 1,749,605 | ||||||
Amgen, Inc. | 47,737 | 6,979,627 | ||||||
Biogen, Inc.* | 14,060 | 3,987,135 | ||||||
Celgene Corp.* | 49,500 | 5,729,625 | ||||||
Gilead Sciences, Inc. | 83,800 | 6,000,918 | ||||||
Regeneron Pharmaceuticals, Inc.* | 5,040 | 1,850,133 | ||||||
Shire PLC | 1,045 | 59,669 | ||||||
Vertex Pharmaceuticals, Inc.* | 15,900 | 1,171,353 | ||||||
34,161,170 | ||||||||
Building Products — 0.2% |
| |||||||
Allegion PLC | 6,433 | 411,712 | ||||||
Asahi Glass Co. Ltd. (Japan) | 4,000 | 27,139 | ||||||
Cie de Saint-Gobain (France) | 865 | 40,238 | ||||||
Daikin Industries Ltd. (Japan) | 500 | 45,804 | ||||||
Fortune Brands Home & Security, Inc. | 9,700 | 518,562 | ||||||
Johnson Controls International PLC | 59,522 | 2,451,711 | ||||||
Masco Corp. | 21,400 | 676,668 | ||||||
4,171,834 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Capital Markets — 1.5% |
| |||||||
3i Group PLC (United Kingdom) | 22,175 | $ | 191,824 | |||||
Affiliated Managers Group, Inc.* | 3,500 | 508,550 | ||||||
Ameriprise Financial, Inc. | 10,820 | 1,200,371 | ||||||
ASX Ltd. (Australia) | 541 | 19,381 | ||||||
Bank of New York Mellon Corp. (The) | 67,358 | 3,191,422 | ||||||
BlackRock, Inc. | 8,000 | 3,044,320 | ||||||
Charles Schwab Corp. (The) | 75,650 | 2,985,905 | ||||||
CME Group, Inc. | 21,600 | 2,491,560 | ||||||
E*TRADE Financial Corp.* | 17,520 | 607,068 | ||||||
Franklin Resources, Inc. | 22,900 | 906,382 | ||||||
Goldman Sachs Group, Inc. (The) | 24,100 | 5,770,745 | ||||||
Intercontinental Exchange, Inc. | 38,355 | 2,163,989 | ||||||
Invesco Ltd. | 25,400 | 770,636 | ||||||
London Stock Exchange Group PLC (United Kingdom) | 630 | 22,517 | ||||||
Macquarie Group Ltd. (Australia) | 3,592 | 225,011 | ||||||
Moody’s Corp. | 10,900 | 1,027,543 | ||||||
Morgan Stanley | 95,080 | 4,017,130 | ||||||
Nasdaq, Inc. | 7,700 | 516,824 | ||||||
Northern Trust Corp. | 13,600 | 1,211,080 | ||||||
Partners Group Holding AG (Switzerland) | 66 | 30,897 | ||||||
S&P Global, Inc. | 17,000 | 1,828,180 | ||||||
SBI Holdings, Inc. (Japan) | 300 | 3,812 | ||||||
State Street Corp. | 24,200 | 1,880,824 | ||||||
T. Rowe Price Group, Inc. | 15,900 | 1,196,634 | ||||||
UBS Group AG (Switzerland) | 7,305 | 114,217 | ||||||
35,926,822 | ||||||||
Chemicals — 1.1% |
| |||||||
Air Products & Chemicals, Inc. | 13,700 | 1,970,334 | ||||||
Albemarle Corp. | 7,400 | 636,992 | ||||||
Asahi Kasei Corp. (Japan) | 4,000 | 34,805 | ||||||
BASF SE (Germany) | 1,846 | 171,081 | ||||||
CF Industries Holdings, Inc.(a) | 13,400 | 421,832 | ||||||
Croda International PLC (United Kingdom) | 513 | 20,176 | ||||||
Daicel Corp. (Japan) | 12,700 | 139,624 | ||||||
Dow Chemical Co. (The) | 71,031 | 4,064,394 | ||||||
E.I. du Pont de Nemours & Co. | 55,420 | 4,067,828 | ||||||
Eastman Chemical Co. | 9,300 | 699,453 | ||||||
Ecolab, Inc. | 16,700 | 1,957,574 | ||||||
FMC Corp. | 8,200 | 463,792 | ||||||
Givaudan SA (Switzerland) | 19 | 34,773 | ||||||
Hitachi Chemical Co. Ltd. (Japan) | 400 | 9,979 | ||||||
International Flavors & Fragrances, Inc.(a) | 5,000 | 589,150 | ||||||
JSR Corp. (Japan) | 400 | 6,296 | ||||||
K+S AG (Germany) | 389 | 9,266 | ||||||
Kuraray Co. Ltd. (Japan) | 1,300 | 19,494 | ||||||
LyondellBasell Industries NV (Class A Stock) | 21,700 | 1,861,426 | ||||||
Mitsubishi Chemical Holdings Corp. (Japan) | 5,300 | 34,268 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 6,200 | 105,645 | ||||||
Mitsui Chemicals, Inc. (Japan) | 1,000 | 4,481 | ||||||
Monsanto Co. | 27,494 | 2,892,644 |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) |
| |||||||
Mosaic Co. (The)(a) | 21,900 | $ | 642,327 | |||||
PPG Industries, Inc. | 17,300 | 1,639,348 | ||||||
Praxair, Inc. | 18,200 | 2,132,858 | ||||||
Sherwin-Williams Co. (The) | 5,000 | 1,343,700 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 600 | 46,433 | ||||||
Sika AG (Switzerland) | 3 | 14,394 | ||||||
Solvay SA (Belgium) | 135 | 15,783 | ||||||
Sumitomo Chemical Co. Ltd. (Japan) | 6,000 | 28,442 | ||||||
Teijin Ltd. (Japan) | 600 | 12,123 | ||||||
Toray Industries, Inc. (Japan) | 4,000 | 32,302 | ||||||
Yara International ASA (Norway) | 4,830 | 190,008 | ||||||
26,313,025 | ||||||||
Commercial Services & Supplies — 0.2% |
| |||||||
Cintas Corp. | 5,400 | 624,024 | ||||||
Pitney Bowes, Inc. | 9,400 | 142,786 | ||||||
Republic Services, Inc. | 15,465 | 882,279 | ||||||
Stericycle, Inc.* | 5,600 | 431,424 | ||||||
Waste Management, Inc. | 26,242 | 1,860,820 | ||||||
3,941,333 | ||||||||
Communications Equipment — 0.5% |
| |||||||
Cisco Systems, Inc. | 318,500 | 9,625,070 | ||||||
F5 Networks, Inc.* | 4,500 | 651,240 | ||||||
Harris Corp. | 8,000 | 819,760 | ||||||
Juniper Networks, Inc. | 23,200 | 655,632 | ||||||
Motorola Solutions, Inc. | 11,089 | 919,167 | ||||||
12,670,869 | ||||||||
Construction & Engineering — 0.1% |
| |||||||
Fluor Corp. | 8,800 | 462,176 | ||||||
Jacobs Engineering Group, Inc.* | 7,700 | 438,900 | ||||||
Kajima Corp. (Japan) | 22,000 | 151,956 | ||||||
Obayashi Corp. (Japan) | 16,500 | 157,531 | ||||||
Quanta Services, Inc.* | 8,400 | 292,740 | ||||||
Shimizu Corp. (Japan) | 2,000 | 18,256 | ||||||
Taisei Corp. (Japan) | 13,000 | 90,779 | ||||||
1,612,338 | ||||||||
Construction Materials — 0.1% |
| |||||||
Fletcher Building Ltd. (New Zealand) | 1,253 | 9,207 | ||||||
HeidelbergCement AG (Germany) | 328 | 30,530 | ||||||
Martin Marietta Materials, Inc. | 4,000 | 886,120 | ||||||
Vulcan Materials Co. | 8,600 | 1,076,290 | ||||||
2,002,147 | ||||||||
Consumer Finance — 0.4% |
| |||||||
American Express Co. | 50,500 | 3,741,040 | ||||||
Capital One Financial Corp. | 31,761 | 2,770,830 | ||||||
Discover Financial Services | 26,440 | 1,906,060 | ||||||
Navient Corp. | 18,300 | 300,669 | ||||||
Synchrony Financial | 52,172 | 1,892,278 | ||||||
10,610,877 | ||||||||
Containers & Packaging — 0.2% |
| |||||||
Avery Dennison Corp. | 5,400 | 379,188 | ||||||
Ball Corp.(a) | 10,500 | 788,235 | ||||||
International Paper Co. | 26,273 | 1,394,045 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Containers & Packaging (continued) |
| |||||||
Sealed Air Corp. | 12,000 | $ | 544,080 | |||||
WestRock Co. | 15,544 | 789,169 | ||||||
3,894,717 | ||||||||
Distributors — 0.1% |
| |||||||
Genuine Parts Co. | 9,600 | 917,184 | ||||||
Jardine Cycle & Carriage Ltd. (Singapore) | 2,200 | 62,480 | ||||||
LKQ Corp.* | 18,300 | 560,895 | ||||||
1,540,559 | ||||||||
Diversified Consumer Services |
| |||||||
H&R Block, Inc.(a) | 12,800 | 294,272 | ||||||
Diversified Financial Services — 0.8% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 120,800 | 19,687,984 | ||||||
Challenger Ltd. (Australia) | 5,328 | 43,050 | ||||||
Investor AB (Sweden) (Class B Stock) | 916 | 34,130 | ||||||
Leucadia National Corp. | 18,600 | 432,450 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 900 | 4,642 | ||||||
ORIX Corp. (Japan) | 11,600 | 180,545 | ||||||
20,382,801 | ||||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
AT&T, Inc. | 389,738 | 16,575,557 | ||||||
CenturyLink, Inc.(a) | 33,336 | 792,730 | ||||||
Deutsche Telekom AG (Germany) | 5,933 | 101,794 | ||||||
Frontier Communications Corp.(a) | 66,190 | 223,722 | ||||||
HKT Trust & HKT Ltd. (Hong Kong) | 4,000 | 4,900 | ||||||
Level 3 Communications, Inc.* | 17,800 | 1,003,208 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 4,800 | 202,057 | ||||||
Orange SA (France) | 3,659 | 55,485 | ||||||
Spark New Zealand Ltd. (New Zealand) | 3,575 | 8,459 | ||||||
Telecom Italia SpA (Italy)* | 149,299 | 131,823 | ||||||
Telecom Italia SpA, RSP (Italy) | 210,856 | 153,038 | ||||||
Telefonica SA (Spain) | 8,048 | 74,302 | ||||||
Verizon Communications, Inc. | 258,376 | 13,792,111 | ||||||
33,119,186 | ||||||||
Electric Utilities — 1.0% |
| |||||||
Alliant Energy Corp. | 13,700 | 519,093 | ||||||
American Electric Power Co., Inc. | 30,760 | 1,936,650 | ||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 2,000 | 15,885 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 2,400 | 33,397 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 500 | 5,852 | ||||||
CLP Holdings Ltd. (Hong Kong) | 7,000 | 64,196 | ||||||
Duke Energy Corp. | 43,761 | 3,396,729 | ||||||
Edison International | 21,200 | 1,526,188 | ||||||
EDP-Energias de Portugal SA (Portugal) | 30,232 | 92,013 | ||||||
Electricite de France SA (France) | 1,013 | 10,307 | ||||||
Enel SpA (Italy) | 51,672 | 227,135 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electric Utilities (continued) |
| |||||||
Entergy Corp. | 11,400 | $ | 837,558 | |||||
Eversource Energy | 19,600 | 1,082,508 | ||||||
Exelon Corp. | 57,613 | 2,044,685 | ||||||
FirstEnergy Corp. | 25,806 | 799,212 | ||||||
Hokuriku Electric Power Co. (Japan) | 300 | 3,356 | ||||||
Iberdrola SA (Spain) | 10,270 | 67,247 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 2,700 | 29,434 | ||||||
Kyushu Electric Power Co., Inc. (Japan) | 1,600 | 17,334 | ||||||
NextEra Energy, Inc. | 29,700 | 3,547,962 | ||||||
PG&E Corp. | 31,700 | 1,926,409 | ||||||
Pinnacle West Capital Corp. | 7,400 | 577,422 | ||||||
PPL Corp. | 42,100 | 1,433,505 | ||||||
Shikoku Electric Power Co., Inc. (Japan) | 300 | 3,032 | ||||||
Southern Co. (The) | 61,300 | 3,015,347 | ||||||
SSE PLC (United Kingdom) | 1,852 | 35,362 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 1,700 | 21,430 | ||||||
Tokyo Electric Power Co. Holdings, Inc. (Japan)* | 5,600 | 22,538 | ||||||
Xcel Energy, Inc. | 32,110 | 1,306,877 | ||||||
24,598,663 | ||||||||
Electrical Equipment — 0.3% |
| |||||||
ABB Ltd. (Switzerland) | 2,564 | 53,951 | ||||||
Acuity Brands, Inc.(a) | 2,900 | 669,494 | ||||||
AMETEK, Inc. | 14,900 | 724,140 | ||||||
Eaton Corp. PLC | 29,137 | 1,954,801 | ||||||
Emerson Electric Co. | 40,100 | 2,235,575 | ||||||
Nidec Corp. (Japan) | 500 | 43,045 | ||||||
Rockwell Automation, Inc. | 8,500 | 1,142,400 | ||||||
Vestas Wind Systems A/S (Denmark) | 2,563 | 165,992 | ||||||
6,989,398 | ||||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
Amphenol Corp. (Class A Stock) | 19,500 | 1,310,400 | ||||||
Corning, Inc. | 64,500 | 1,565,415 | ||||||
FLIR Systems, Inc. | 8,800 | 318,472 | ||||||
Hitachi High-Technologies Corp. (Japan) | 3,700 | 148,816 | ||||||
Hitachi Ltd. (Japan) | 9,000 | 48,529 | ||||||
TDK Corp. (Japan) | 2,400 | 164,564 | ||||||
TE Connectivity Ltd. | 22,500 | 1,558,800 | ||||||
5,114,996 | ||||||||
Energy Equipment & Services — 0.6% |
| |||||||
Baker Hughes, Inc. | 27,398 | 1,780,048 | ||||||
FMC Technologies, Inc.* | 14,300 | 508,079 | ||||||
Halliburton Co. | 54,100 | 2,926,269 | ||||||
Helmerich & Payne, Inc.(a) | 6,700 | 518,580 | ||||||
National Oilwell Varco, Inc.(a) | 22,700 | 849,888 | ||||||
Schlumberger Ltd. | 87,724 | 7,364,430 | ||||||
Transocean Ltd.*(a) | 20,500 | 302,170 | ||||||
14,249,464 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Equity Real Estate Investment Trusts (REITs) — 1.4% |
| |||||||
American Tower Corp. | 27,100 | $ | 2,863,928 | |||||
Apartment Investment & Management Co. (Class A Stock) | 9,533 | 433,275 | ||||||
AvalonBay Communities, Inc. | 8,875 | 1,572,206 | ||||||
Boston Properties, Inc. | 9,800 | 1,232,644 | ||||||
Crown Castle International Corp. | 22,900 | 1,987,033 | ||||||
Dexus Property Group (Australia) | 6,477 | 44,932 | ||||||
Digital Realty Trust, Inc.(a) | 9,500 | 933,470 | ||||||
Equinix, Inc. | 4,494 | 1,606,201 | ||||||
Equity Residential(a) | 22,800 | 1,467,408 | ||||||
Essex Property Trust, Inc.(a) | 4,150 | 964,875 | ||||||
Extra Space Storage, Inc.(a) | 8,000 | 617,920 | ||||||
Federal Realty Investment Trust | 4,500 | 639,495 | ||||||
General Growth Properties, Inc. | 35,800 | 894,284 | ||||||
Goodman Group (Australia) | 6,830 | 35,076 | ||||||
GPT Group (The) (Australia) | 7,268 | 26,351 | ||||||
HCP, Inc.(a) | 28,800 | 855,936 | ||||||
Host Hotels & Resorts, Inc.(a) | 45,582 | 858,765 | ||||||
Iron Mountain, Inc. | 14,902 | 484,017 | ||||||
Kimco Realty Corp. | 25,600 | 644,096 | ||||||
Land Securities Group PLC (United Kingdom) | 2,906 | 38,177 | ||||||
Link REIT (Hong Kong) | 4,500 | 29,174 | ||||||
Macerich Co. (The)(a) | 8,100 | 573,804 | ||||||
Mid-America Apartment Communities, Inc. | 6,600 | 646,272 | ||||||
Mirvac Group (Australia) | 96,402 | 148,044 | ||||||
Prologis, Inc. | 32,877 | 1,735,577 | ||||||
Public Storage | 9,500 | 2,123,250 | ||||||
Realty Income Corp. | 16,100 | 925,428 | ||||||
Simon Property Group, Inc. | 19,693 | 3,498,855 | ||||||
SL Green Realty Corp. | 6,400 | 688,320 | ||||||
UDR, Inc. | 15,900 | 580,032 | ||||||
Unibail-Rodamco SE (France) | 196 | 46,708 | ||||||
Ventas, Inc.(a) | 22,218 | 1,389,069 | ||||||
Vornado Realty Trust | 11,425 | 1,192,427 | ||||||
Welltower, Inc. | 22,800 | 1,526,004 | ||||||
Weyerhaeuser Co. | 46,818 | 1,408,754 | ||||||
34,711,807 | ||||||||
Food & Staples Retailing — 1.0% |
| |||||||
Carrefour SA (France) | 1,094 | 26,339 | ||||||
Casino Guichard Perrachon SA (France) | 488 | 23,382 | ||||||
Costco Wholesale Corp. | 27,400 | 4,387,014 | ||||||
CVS Health Corp. | 67,548 | 5,330,213 | ||||||
ICA Gruppen AB (Sweden) | 5,153 | 156,846 | ||||||
J. Sainsbury PLC (United Kingdom) | 58,582 | 180,050 | ||||||
Kroger Co. (The) | 60,292 | 2,080,677 | ||||||
METRO AG (Germany) | 5,220 | 173,499 | ||||||
Sysco Corp. | 32,800 | 1,816,136 | ||||||
Wal-Mart Stores, Inc. | 96,100 | 6,642,432 | ||||||
Walgreens Boots Alliance, Inc. | 54,700 | 4,526,972 | ||||||
Whole Foods Market, Inc.(a) | 19,000 | 584,440 | ||||||
25,928,000 | ||||||||
Food Products — 0.8% |
| |||||||
Archer-Daniels-Midland Co. | 36,726 | 1,676,542 | ||||||
Campbell Soup Co. | 11,700 | 707,499 |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food Products (continued) |
| |||||||
Conagra Brands, Inc. | 26,900 | $ | 1,063,895 | |||||
General Mills, Inc. | 37,800 | 2,334,906 | ||||||
Hershey Co. (The) | 9,200 | 951,556 | ||||||
Hormel Foods Corp. | 16,800 | 584,808 | ||||||
J.M. Smucker Co. (The) | 7,500 | 960,450 | ||||||
Kellogg Co. | 15,800 | 1,164,618 | ||||||
Kraft Heinz Co. (The) | 37,917 | 3,310,912 | ||||||
Marine Harvest ASA (Norway) | 8,837 | 159,777 | ||||||
McCormick & Co., Inc.(a) | 7,500 | 699,975 | ||||||
Mead Johnson Nutrition Co. | 11,967 | 846,785 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 400 | 31,291 | ||||||
Mondelez International, Inc. (Class A Stock) | 97,553 | 4,324,525 | ||||||
Nestle SA (Switzerland) | 4,224 | 302,597 | ||||||
Orkla ASA (Norway) | 1,982 | 17,935 | ||||||
Tate & Lyle PLC (United Kingdom) | 3,149 | 27,405 | ||||||
Tyson Foods, Inc. (Class A Stock) | 19,400 | 1,196,592 | ||||||
WH Group Ltd. (Hong Kong), 144A | 220,500 | 177,744 | ||||||
Wilmar International Ltd. (Singapore) | 3,800 | 9,388 | ||||||
20,549,200 | ||||||||
Gas Utilities |
| |||||||
Gas Natural SDG SA (Spain) | 1,629 | 30,647 | ||||||
Tokyo Gas Co. Ltd. (Japan) | 7,000 | 31,599 | ||||||
62,246 | ||||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
Abbott Laboratories | 92,300 | 3,545,243 | ||||||
Baxter International, Inc. | 31,900 | 1,414,446 | ||||||
Becton, Dickinson & Co. | 13,778 | 2,280,948 | ||||||
Boston Scientific Corp.* | 84,467 | 1,827,021 | ||||||
C.R. Bard, Inc. | 4,700 | 1,055,902 | ||||||
Cooper Cos., Inc. (The) | 2,800 | 489,804 | ||||||
Danaher Corp. | 38,900 | 3,027,976 | ||||||
DENTSPLY SIRONA, Inc. | 14,400 | 831,312 | ||||||
Edwards Lifesciences Corp.* | 13,700 | 1,283,690 | ||||||
Hologic, Inc.* | 17,500 | 702,100 | ||||||
Intuitive Surgical, Inc.* | 2,450 | 1,553,716 | ||||||
Medtronic PLC | 88,490 | 6,303,143 | ||||||
St. Jude Medical, Inc. | 17,800 | 1,427,382 | ||||||
Stryker Corp. | 20,000 | 2,396,200 | ||||||
Varian Medical Systems, Inc.* | 6,200 | 556,636 | ||||||
Zimmer Biomet Holdings, Inc. | 12,600 | 1,300,320 | ||||||
29,995,839 | ||||||||
Health Care Providers & Services — 1.3% |
| |||||||
Aetna, Inc. | 22,269 | 2,761,579 | ||||||
Alfresa Holdings Corp. (Japan) | 5,800 | 95,798 | ||||||
AmerisourceBergen Corp. | 11,600 | 907,004 | ||||||
Anthem, Inc. | 16,800 | 2,415,336 | ||||||
Cardinal Health, Inc. | 20,650 | 1,486,181 | ||||||
Centene Corp.* | 11,000 | 621,610 | ||||||
Cigna Corp. | 16,600 | 2,214,274 | ||||||
DaVita, Inc.* | 10,700 | 686,940 | ||||||
Envision Healthcare Corp.* | 6,500 | 411,385 | ||||||
Express Scripts Holding Co.* | 40,649 | 2,796,245 | ||||||
Fresenius SE & Co. KGaA (Germany) | 756 | 58,976 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services (continued) |
| |||||||
HCA Holdings, Inc.* | 18,800 | $ | 1,391,576 | |||||
Henry Schein, Inc.* | 5,300 | 804,063 | ||||||
Humana, Inc. | 9,600 | 1,958,688 | ||||||
Laboratory Corp. of America Holdings* | 6,700 | 860,146 | ||||||
McKesson Corp. | 14,330 | 2,012,649 | ||||||
Medipal Holdings Corp. (Japan) | 10,500 | 165,397 | ||||||
Patterson Cos., Inc.(a) | 5,400 | 221,562 | ||||||
Quest Diagnostics, Inc. | 9,300 | 854,670 | ||||||
Ramsay Health Care Ltd. (Australia) | 540 | 26,550 | ||||||
Sonic Healthcare Ltd. (Australia) | 1,516 | 23,331 | ||||||
Suzuken Co. Ltd. (Japan) | 210 | 6,859 | ||||||
UnitedHealth Group, Inc. | 60,600 | 9,698,424 | ||||||
Universal Health Services, Inc. (Class B Stock) | 5,700 | 606,366 | ||||||
33,085,609 | ||||||||
Health Care Technology |
| |||||||
Cerner Corp.* | 18,700 | 885,819 | ||||||
Hotels, Restaurants & Leisure — 0.8% |
| |||||||
Aristocrat Leisure Ltd. (Australia) | 15,595 | 173,988 | ||||||
Carnival Corp. | 27,600 | 1,436,856 | ||||||
Chipotle Mexican Grill, Inc.*(a) | 1,950 | 735,774 | ||||||
Compass Group PLC (United Kingdom) | 11,699 | 216,217 | ||||||
Darden Restaurants, Inc.(a) | 8,450 | 614,484 | ||||||
Marriott International, Inc. (Class A Stock) | 20,568 | 1,700,562 | ||||||
McDonald’s Corp. | 54,000 | 6,572,880 | ||||||
Paddy Power Betfair PLC (Ireland) | 716 | 76,188 | ||||||
Royal Caribbean Cruises Ltd. | 10,800 | 886,032 | ||||||
Starbucks Corp. | 92,600 | 5,141,152 | ||||||
TUI AG (Germany) | 1,957 | 28,019 | ||||||
Wyndham Worldwide Corp. | 7,520 | 574,302 | ||||||
Wynn Resorts Ltd.(a) | 5,300 | 458,503 | ||||||
Yum! Brands, Inc. | 23,400 | 1,481,922 | ||||||
20,096,879 | ||||||||
Household Durables — 0.2% |
| |||||||
D.R. Horton, Inc. | 20,200 | 552,066 | ||||||
Electrolux AB (Sweden) (Class B Stock) | 5,844 | 144,704 | ||||||
Garmin Ltd.(a) | 7,000 | 339,430 | ||||||
Harman International Industries, Inc. | 4,700 | 522,452 | ||||||
Iida Group Holdings Co. Ltd. (Japan) | 7,500 | 142,179 | ||||||
Leggett & Platt, Inc. | 8,400 | 410,592 | ||||||
Lennar Corp. (Class A Stock) | 11,700 | 502,281 | ||||||
Mohawk Industries, Inc.* | 4,200 | 838,656 | ||||||
Newell Brands, Inc. | 29,414 | 1,313,335 | ||||||
Panasonic Corp. (Japan) | 4,000 | 40,569 | ||||||
PulteGroup, Inc. | 18,222 | 334,920 | ||||||
Sekisui House Ltd. (Japan) | 2,300 | 38,213 | ||||||
Sony Corp. (Japan) | 2,600 | 72,649 | ||||||
Whirlpool Corp.(a) | 4,926 | 895,399 | ||||||
6,147,445 | ||||||||
Household Products — 0.9% |
| |||||||
Church & Dwight Co., Inc. | 16,400 | 724,716 | ||||||
Clorox Co. (The) | 8,600 | 1,032,172 |
SEE NOTES TO FINANCIAL STATEMENTS.
A5
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Household Products (continued) |
| |||||||
Colgate-Palmolive Co. | 56,600 | $ | 3,703,904 | |||||
Henkel AG & Co. KGaA (Germany) | 191 | 19,878 | ||||||
Kimberly-Clark Corp. | 23,000 | 2,624,760 | ||||||
Procter & Gamble Co. (The) | 169,525 | 14,253,662 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 1,179 | 99,872 | ||||||
Svenska Cellulosa AB SCA (Sweden) (Class B Stock) | 1,127 | 31,721 | ||||||
22,490,685 | ||||||||
Independent Power & Renewable Electricity Producers |
| |||||||
AES Corp. | 39,500 | 458,990 | ||||||
Electric Power Development Co. Ltd. (Japan) | 500 | 11,476 | ||||||
NRG Energy, Inc. | 18,200 | 223,132 | ||||||
693,598 | ||||||||
Industrial Conglomerates — 1.3% |
| |||||||
3M Co. | 38,200 | 6,821,374 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 3,916 | 44,206 | ||||||
DCC PLC (United Kingdom) | 163 | 12,116 | ||||||
General Electric Co. | 566,730 | 17,908,668 | ||||||
Honeywell International, Inc. | 48,012 | 5,562,190 | ||||||
Jardine Matheson Holdings Ltd. (Hong Kong) | 500 | 27,625 | ||||||
Roper Technologies, Inc. | 6,600 | 1,208,328 | ||||||
Siemens AG (Germany) | 2,072 | 253,696 | ||||||
Toshiba Corp. (Japan)* | 15,000 | 36,233 | ||||||
31,874,436 | ||||||||
Insurance — 1.3% |
| |||||||
Aflac, Inc. | 26,000 | 1,809,600 | ||||||
AIA Group Ltd. (Hong Kong) | 23,800 | 133,324 | ||||||
Allianz SE (Germany) | 517 | 85,325 | ||||||
Allstate Corp. (The) | 23,400 | 1,734,408 | ||||||
American International Group, Inc. | 64,139 | 4,188,918 | ||||||
Aon PLC | 17,200 | 1,918,316 | ||||||
Arthur J. Gallagher & Co. | 10,700 | 555,972 | ||||||
Assicurazioni Generali SpA (Italy) | 2,322 | 34,418 | ||||||
Assurant, Inc. | 4,300 | 399,298 | ||||||
AXA SA (France) | 3,864 | 97,407 | ||||||
Chubb Ltd. | 29,286 | 3,869,266 | ||||||
Cincinnati Financial Corp.(a) | 9,237 | 699,703 | ||||||
Hartford Financial Services Group, Inc. (The) | 24,000 | 1,143,600 | ||||||
Legal & General Group PLC (United Kingdom) | 64,188 | 195,542 | ||||||
Lincoln National Corp. | 14,918 | 988,616 | ||||||
Loews Corp. | 17,075 | 799,622 | ||||||
Marsh & McLennan Cos., Inc. | 32,700 | 2,210,193 | ||||||
MetLife, Inc. | 68,700 | 3,702,243 | ||||||
MS&AD Insurance Group Holdings, Inc. (Japan) | 1,000 | 30,967 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 322 | 60,819 | ||||||
NN Group NV (Netherlands) | 4,229 | 143,163 | ||||||
Principal Financial Group, Inc. | 17,000 | 983,620 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Insurance (continued) |
| |||||||
Progressive Corp. (The) | 36,300 | $ | 1,288,650 | |||||
QBE Insurance Group Ltd. (Australia) | 2,802 | 25,035 | ||||||
St. James’s Place PLC (United Kingdom) | 6,542 | 81,604 | ||||||
Swiss Life Holding AG (Switzerland) | 613 | 173,160 | ||||||
Swiss Re AG (Switzerland) | 675 | 63,864 | ||||||
Tokio Marine Holdings, Inc. (Japan) | 1,400 | 57,320 | ||||||
Torchmark Corp. | 6,925 | 510,788 | ||||||
Travelers Cos., Inc. (The) | 18,335 | 2,244,571 | ||||||
Unum Group | 15,310 | 672,568 | ||||||
Willis Towers Watson PLC | 8,700 | 1,063,836 | ||||||
XL Group Ltd. (Ireland) | 18,000 | 670,680 | ||||||
32,636,416 | ||||||||
Internet & Direct Marketing Retail — 1.1% |
| |||||||
Amazon.com, Inc.* | 25,020 | 18,761,747 | ||||||
Expedia, Inc. | 7,650 | 866,592 | ||||||
Netflix, Inc.* | 27,350 | 3,385,930 | ||||||
Priceline Group, Inc. (The)* | 3,180 | 4,662,071 | ||||||
TripAdvisor, Inc.* | 7,350 | 340,820 | ||||||
28,017,160 | ||||||||
Internet Software & Services — 2.1% |
| |||||||
Akamai Technologies, Inc.* | 11,000 | 733,480 | ||||||
Alphabet, Inc. (Class A Stock)* | 18,860 | 14,945,607 | ||||||
Alphabet, Inc. (Class C Stock)* | 18,903 | 14,589,713 | ||||||
eBay, Inc.* | 66,500 | 1,974,385 | ||||||
Facebook, Inc. (Class A Stock)* | 148,700 | 17,107,935 | ||||||
VeriSign, Inc.*(a) | 6,400 | 486,848 | ||||||
Yahoo!, Inc.* | 55,300 | 2,138,451 | ||||||
51,976,419 | ||||||||
IT Services — 1.9% |
| |||||||
Accenture PLC (Class A Stock) | 39,800 | 4,661,774 | ||||||
Alliance Data Systems Corp. | 3,840 | 877,440 | ||||||
Amadeus IT Group SA (Spain) | 1,801 | 81,683 | ||||||
Atos SE (France) | 1,247 | 131,432 | ||||||
Automatic Data Processing, Inc. | 29,200 | 3,001,176 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 38,200 | 2,140,346 | ||||||
CSRA, Inc. | 8,700 | 277,008 | ||||||
Fidelity National Information Services, Inc. | 20,300 | 1,535,492 | ||||||
Fiserv, Inc.* | 14,300 | 1,519,804 | ||||||
Fujitsu Ltd. (Japan) | 24,000 | 132,901 | ||||||
Global Payments, Inc. | 9,800 | 680,218 | ||||||
International Business Machines Corp. | 55,600 | 9,229,044 | ||||||
Mastercard, Inc. (Class A Stock) | 61,500 | 6,349,875 | ||||||
Paychex, Inc.(a) | 20,300 | 1,235,864 | ||||||
PayPal Holdings, Inc.* | 69,700 | 2,751,059 | ||||||
Teradata Corp.* | 8,400 | 228,228 | ||||||
Total System Services, Inc. | 11,096 | 544,037 | ||||||
Visa, Inc. (Class A Stock)(a) | 119,800 | 9,346,796 | ||||||
Western Union Co. (The)(a) | 30,410 | 660,505 | ||||||
Worldpay Group PLC (United Kingdom), 144A | 12,018 | 39,901 | ||||||
Xerox Corp. | 58,163 | 507,763 | ||||||
45,932,346 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Leisure Products |
| |||||||
Bandai Namco Holdings, Inc. (Japan) | 2,700 | $ | 74,317 | |||||
Hasbro, Inc. | 7,000 | 544,530 | ||||||
Mattel, Inc. | 21,351 | 588,220 | ||||||
1,207,067 | ||||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
Agilent Technologies, Inc. | 20,714 | 943,730 | ||||||
Illumina, Inc.* | 9,500 | 1,216,380 | ||||||
Mettler-Toledo International, Inc.* | 1,700 | 711,552 | ||||||
PerkinElmer, Inc. | 6,600 | 344,190 | ||||||
QIAGEN NV* | 406 | 11,377 | ||||||
Thermo Fisher Scientific, Inc. | 25,000 | 3,527,500 | ||||||
Waters Corp.* | 5,200 | 698,828 | ||||||
7,453,557 | ||||||||
Machinery — 0.8% |
| |||||||
Amada Holdings Co. Ltd. (Japan) | 600 | 6,684 | ||||||
Atlas Copco AB (Sweden) (Class A Stock) | 6,396 | 194,033 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 1,000 | 27,187 | ||||||
Caterpillar, Inc.(a) | 37,100 | 3,440,654 | ||||||
Cummins, Inc. | 10,000 | 1,366,700 | ||||||
Deere & Co.(a) | 19,200 | 1,978,368 | ||||||
Dover Corp. | 10,100 | 756,793 | ||||||
Flowserve Corp.(a) | 8,300 | 398,815 | ||||||
Fortive Corp. | 18,750 | 1,005,563 | ||||||
Illinois Tool Works, Inc. | 20,500 | 2,510,430 | ||||||
Ingersoll-Rand PLC | 16,400 | 1,230,656 | ||||||
Kone OYJ (Finland) (Class B Stock) | 680 | 30,385 | ||||||
PACCAR, Inc. | 22,043 | 1,408,548 | ||||||
Parker-Hannifin Corp. | 8,765 | 1,227,100 | ||||||
Pentair PLC (United Kingdom) | 11,577 | 649,122 | ||||||
Sandvik AB (Sweden) | 2,161 | 26,658 | ||||||
Schindler Holding AG (Switzerland) | 270 | 47,128 | ||||||
Snap-on, Inc. | 3,900 | 667,953 | ||||||
Stanley Black & Decker, Inc. | 9,697 | 1,112,149 | ||||||
Volvo AB (Sweden) (Class B Stock) | 652 | 7,591 | ||||||
Xylem, Inc. | 11,600 | 574,432 | ||||||
18,666,949 | ||||||||
Marine |
| |||||||
A.P. Moeller-Maersk A/S (Denmark) (Class A Stock) | 6 | 9,055 | ||||||
Media — 1.5% |
| |||||||
CBS Corp. (Class B Stock) | 25,934 | 1,649,921 | ||||||
Charter Communications, Inc. (Class A Stock)* | 13,550 | 3,901,316 | ||||||
Comcast Corp. (Class A Stock) | 152,090 | 10,501,814 | ||||||
Discovery Communications, Inc. (Class A Stock)*(a) | 8,500 | 232,985 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 13,100 | 350,818 | ||||||
Interpublic Group of Cos., Inc. (The) | 23,131 | 541,497 | ||||||
News Corp. (Class A Stock) | 21,475 | 246,103 | ||||||
News Corp. (Class B Stock) | 4,800 | 56,640 | ||||||
Omnicom Group, Inc.(a) | 15,300 | 1,302,183 | ||||||
RTL Group SA (Luxembourg) | 287 | 21,027 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media (continued) |
| |||||||
Scripps Networks Interactive, Inc. (Class A Stock)(a) | 6,100 | $ | 435,357 | |||||
TEGNA, Inc. | 11,400 | 243,846 | ||||||
Time Warner, Inc. | 49,466 | 4,774,953 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 67,800 | 1,901,112 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 29,400 | 801,150 | ||||||
Viacom, Inc. (Class B Stock) | 21,334 | 748,823 | ||||||
Walt Disney Co. (The) | 93,900 | 9,786,258 | ||||||
WPP PLC (United Kingdom) | 9,878 | 219,821 | ||||||
37,715,624 | ||||||||
Metals & Mining — 0.2% |
| |||||||
Anglo American PLC (United Kingdom)* | 2,378 | 33,599 | ||||||
BHP Billiton Ltd. (Australia) | 5,784 | 103,619 | ||||||
Boliden AB (Sweden) | 5,128 | 133,200 | ||||||
Fortescue Metals Group Ltd. (Australia) | 41,517 | 173,500 | ||||||
Freeport-McMoRan, Inc.* | 82,088 | 1,082,741 | ||||||
Mitsubishi Materials Corp. (Japan) | 900 | 27,528 | ||||||
Newmont Mining Corp. | 33,800 | 1,151,566 | ||||||
Nucor Corp. | 20,400 | 1,214,208 | ||||||
Rio Tinto PLC (United Kingdom) | 2,246 | 85,748 | ||||||
voestalpine AG (Austria) | 3,347 | 130,879 | ||||||
4,136,588 | ||||||||
Multi-Utilities — 0.5% |
| |||||||
Ameren Corp. | 15,100 | 792,146 | ||||||
CenterPoint Energy, Inc. | 25,300 | 623,392 | ||||||
CMS Energy Corp. | 17,200 | 715,864 | ||||||
Consolidated Edison, Inc.(a) | 19,800 | 1,458,864 | ||||||
Dominion Resources, Inc.(a) | 38,932 | 2,981,802 | ||||||
DTE Energy Co. | 11,700 | 1,152,567 | ||||||
National Grid PLC (United Kingdom) | 8,921 | 104,231 | ||||||
NiSource, Inc. | 19,600 | 433,944 | ||||||
Public Service Enterprise Group, Inc. | 31,600 | 1,386,608 | ||||||
SCANA Corp. | 9,600 | 703,488 | ||||||
Sempra Energy(a) | 15,419 | 1,551,768 | ||||||
WEC Energy Group, Inc. | 19,913 | 1,167,898 | ||||||
13,072,572 | ||||||||
Multiline Retail — 0.3% |
| |||||||
Dollar General Corp. | 17,200 | 1,274,004 | ||||||
Dollar Tree, Inc.*(a) | 14,765 | 1,139,563 | ||||||
Harvey Norman Holdings Ltd. (Australia) | 2,314 | 8,574 | ||||||
Kohl’s Corp.(a) | 11,700 | 577,746 | ||||||
Macy’s, Inc. | 19,474 | 697,364 | ||||||
Nordstrom, Inc.(a) | 8,600 | 412,198 | ||||||
Target Corp.(a) | 37,000 | 2,672,510 | ||||||
6,781,959 | ||||||||
Oil, Gas & Consumable Fuels — 3.2% |
| |||||||
Anadarko Petroleum Corp. | 34,654 | 2,416,423 | ||||||
Apache Corp. | 23,914 | 1,517,822 | ||||||
BP PLC (United Kingdom) | 54,358 | 340,469 | ||||||
Cabot Oil & Gas Corp. | 27,700 | 647,072 | ||||||
Chesapeake Energy Corp.* | �� | 38,100 | 267,462 |
SEE NOTES TO FINANCIAL STATEMENTS.
A7
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Chevron Corp. | 119,722 | $ | 14,091,279 | |||||
Cimarex Energy Co. | 6,200 | 842,580 | ||||||
Concho Resources, Inc.*(a) | 9,000 | 1,193,400 | ||||||
ConocoPhillips | 78,577 | 3,939,851 | ||||||
Devon Energy Corp. | 33,400 | 1,525,378 | ||||||
EOG Resources, Inc. | 36,200 | 3,659,820 | ||||||
EQT Corp. | 11,200 | 732,480 | ||||||
Exxon Mobil Corp. | 263,899 | 23,819,524 | ||||||
Galp Energia SGPS SA (Portugal) | 13,233 | 197,281 | ||||||
Hess Corp. | 17,100 | 1,065,159 | ||||||
Kinder Morgan, Inc. | 119,298 | 2,470,662 | ||||||
Marathon Oil Corp. | 51,882 | 898,077 | ||||||
Marathon Petroleum Corp. | 33,082 | 1,665,679 | ||||||
Murphy Oil Corp.(a) | 10,200 | 317,526 | ||||||
Neste Oyj (Finland) | 4,433 | 169,641 | ||||||
Newfield Exploration Co.* | 12,100 | 490,050 | ||||||
Noble Energy, Inc. | 26,300 | 1,000,978 | ||||||
Occidental Petroleum Corp. | 48,300 | 3,440,409 | ||||||
ONEOK, Inc.(a) | 12,900 | 740,589 | ||||||
Phillips 66 | 29,338 | 2,535,097 | ||||||
Pioneer Natural Resources Co. | 10,450 | 1,881,731 | ||||||
Range Resources Corp. | 10,300 | 353,908 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 8,689 | 239,849 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 6,920 | 198,826 | ||||||
Southwestern Energy Co.* | 28,800 | 311,616 | ||||||
Spectra Energy Corp. | 43,762 | 1,798,181 | ||||||
Statoil ASA (Norway) | 450 | 8,213 | ||||||
Tesoro Corp.(a) | 7,800 | 682,110 | ||||||
TOTAL SA (France) | 4,090 | 209,785 | ||||||
Valero Energy Corp. | 30,100 | 2,056,432 | ||||||
Williams Cos., Inc. (The) | 42,500 | 1,323,450 | ||||||
79,048,809 | ||||||||
Paper & Forest Products |
| |||||||
Mondi PLC (South Africa) | 2,108 | 43,050 | ||||||
Stora Enso OYJ (Finland) (Class R Stock) | 2,120 | 22,678 | ||||||
UPM-Kymmene OYJ (Finland) | 5,941 | 145,291 | ||||||
211,019 | ||||||||
Personal Products — 0.1% |
| |||||||
Coty, Inc. (Class A Stock) | 26,800 | 490,708 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 13,900 | 1,063,211 | ||||||
Kao Corp. (Japan) | 900 | 42,601 | ||||||
Unilever NV (United Kingdom), CVA | 3,257 | 133,794 | ||||||
Unilever PLC (United Kingdom) | 2,044 | 82,660 | ||||||
1,812,974 | ||||||||
Pharmaceuticals — 2.6% |
| |||||||
Allergan PLC*(a) | 24,375 | 5,118,994 | ||||||
Astellas Pharma, Inc. (Japan) | 9,100 | 126,248 | ||||||
AstraZeneca PLC (United Kingdom) | 2,302 | 125,708 | ||||||
Bayer AG (Germany) | 3,107 | 323,699 | ||||||
Bristol-Myers Squibb Co. | 105,070 | 6,140,291 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 1,200 | 24,503 | ||||||
Eli Lilly & Co. | 61,400 | 4,515,970 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Pharmaceuticals (continued) |
| |||||||
Endo International PLC* | 12,500 | $ | 205,875 | |||||
GlaxoSmithKline PLC (United Kingdom) | 9,498 | 182,443 | ||||||
Johnson & Johnson | 173,248 | 19,959,902 | ||||||
Mallinckrodt PLC* | 6,900 | 343,758 | ||||||
Merck & Co., Inc. | 175,133 | 10,310,080 | ||||||
Mitsubishi Tanabe Pharma Corp. (Japan) | 5,200 | 101,815 | ||||||
Mylan NV* | 28,400 | 1,083,460 | ||||||
Novartis AG (Switzerland) | 4,229 | 307,548 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 3,450 | 123,759 | ||||||
Perrigo Co. PLC(a) | 9,300 | 774,039 | ||||||
Pfizer, Inc. | 386,170 | 12,542,802 | ||||||
Roche Holding AG (Switzerland) | 1,659 | 378,173 | ||||||
Sanofi (France) | 2,160 | 174,669 | ||||||
Shionogi & Co. Ltd. (Japan) | 500 | 23,896 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 3,561 | 128,222 | ||||||
Zoetis, Inc. | 31,300 | 1,675,489 | ||||||
64,691,343 | ||||||||
Professional Services — 0.1% |
| |||||||
Adecco Group AG (Switzerland) | 1,874 | 122,329 | ||||||
Dun & Bradstreet Corp. (The) | 2,300 | 279,036 | ||||||
Equifax, Inc. | 7,500 | 886,725 | ||||||
Intertek Group PLC (United Kingdom) | 322 | 13,800 | ||||||
Nielsen Holdings PLC | 21,200 | 889,340 | ||||||
Randstad Holding NV (Netherlands) | 3,016 | 163,370 | ||||||
RELX PLC (United Kingdom) | 5,807 | 103,484 | ||||||
Robert Half International, Inc. | 8,400 | 409,752 | ||||||
Verisk Analytics, Inc.* | 10,000 | 811,700 | ||||||
Wolters Kluwer NV (Netherlands) | 593 | 21,449 | ||||||
3,700,985 | ||||||||
Real Estate Management & Development |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 18,200 | 573,118 | ||||||
Cheung Kong Property Holdings Ltd. (Hong Kong) | 5,500 | 33,589 | ||||||
Daito Trust Construction Co. Ltd. (Japan) | 1,100 | 165,372 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 1,000 | 27,270 | ||||||
Kerry Properties Ltd. (Hong Kong) | 5,000 | 13,521 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 2,000 | 39,729 | ||||||
Mitsui Fudosan Co. Ltd. (Japan) | 2,000 | 46,301 | ||||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 13,000 | 163,702 | ||||||
Wharf Holdings Ltd. (The) (Hong Kong) | 3,000 | 19,872 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 3,000 | 16,837 | ||||||
1,099,311 | ||||||||
Road & Rail — 0.5% |
| |||||||
CSX Corp. | 59,200 | 2,127,056 | ||||||
East Japan Railway Co. (Japan) | 600 | 51,731 | ||||||
JB Hunt Transport Services, Inc. | 6,000 | 582,420 | ||||||
Kansas City Southern | 6,900 | 585,465 |
SEE NOTES TO FINANCIAL STATEMENTS.
A8
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Road & Rail (continued) |
| |||||||
Norfolk Southern Corp. | 18,700 | $ | 2,020,909 | |||||
Ryder System, Inc. | 3,600 | 267,984 | ||||||
Union Pacific Corp. | 52,900 | 5,484,672 | ||||||
11,120,237 | ||||||||
Semiconductors & Semiconductor Equipment — 1.7% |
| |||||||
Analog Devices, Inc. | 19,600 | 1,423,352 | ||||||
Applied Materials, Inc. | 67,700 | 2,184,679 | ||||||
Broadcom Ltd. (Singapore) | 25,080 | 4,433,392 | ||||||
First Solar, Inc.*(a) | 5,100 | 163,659 | ||||||
Intel Corp. | 300,300 | 10,891,881 | ||||||
KLA-Tencor Corp. | 10,000 | 786,800 | ||||||
Lam Research Corp.(a) | 10,250 | 1,083,732 | ||||||
Linear Technology Corp. | 14,900 | 929,015 | ||||||
Microchip Technology, Inc.(a) | 13,600 | 872,440 | ||||||
Micron Technology, Inc.* | 63,300 | 1,387,536 | ||||||
NVIDIA Corp.(a) | 33,850 | 3,613,149 | ||||||
Qorvo, Inc.*(a) | 7,707 | 406,390 | ||||||
QUALCOMM, Inc. | 94,000 | 6,128,800 | ||||||
Skyworks Solutions, Inc. | 12,100 | 903,386 | ||||||
Texas Instruments, Inc. | 64,000 | 4,670,080 | ||||||
Tokyo Electron Ltd. (Japan) | 300 | 28,215 | ||||||
Xilinx, Inc. | 16,200 | 977,994 | ||||||
40,884,500 | ||||||||
Software — 2.2% |
| |||||||
Activision Blizzard, Inc. | 42,200 | 1,523,842 | ||||||
Adobe Systems, Inc.* | 31,500 | 3,242,925 | ||||||
Autodesk, Inc.* | 13,700 | 1,013,937 | ||||||
CA, Inc. | 18,864 | 599,309 | ||||||
Check Point Software Technologies Ltd. (Israel)* | 900 | 76,014 | ||||||
Citrix Systems, Inc.* | 9,900 | 884,169 | ||||||
Electronic Arts, Inc.* | 19,400 | 1,527,944 | ||||||
Intuit, Inc. | 16,400 | 1,879,604 | ||||||
Konami Holdings Corp. (Japan) | 3,200 | 129,147 | ||||||
Microsoft Corp. | 494,700 | 30,740,658 | ||||||
Oracle Corp. | 191,200 | 7,351,640 | ||||||
Red Hat, Inc.* | 11,400 | 794,580 | ||||||
Sage Group PLC (The) (United Kingdom) | 4,244 | 34,211 | ||||||
salesforce.com, inc.* | 40,200 | 2,752,092 | ||||||
SAP SE (Germany) | 1,214 | 105,018 | ||||||
Symantec Corp. | 38,178 | 912,072 | ||||||
53,567,162 | ||||||||
Specialty Retail — 1.3% |
| |||||||
Advance Auto Parts, Inc. | 4,800 | 811,776 | ||||||
AutoNation, Inc.* | 4,674 | 227,390 | ||||||
AutoZone, Inc.* | 1,950 | 1,540,090 | ||||||
Bed Bath & Beyond, Inc.(a) | 9,400 | 382,016 | ||||||
Best Buy Co., Inc.(a) | 18,025 | 769,127 | ||||||
CarMax, Inc.*(a) | 12,100 | 779,119 | ||||||
Foot Locker, Inc. | 8,900 | 630,921 | ||||||
Gap, Inc. (The)(a) | 13,300 | 298,452 | ||||||
Home Depot, Inc. (The) | 78,450 | 10,518,576 | ||||||
Industria de Diseno Textil SA (Spain) | 5,306 | 180,755 | ||||||
Kingfisher PLC (United Kingdom) | 8,899 | 38,341 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail (continued) |
| |||||||
L Brands, Inc. | 15,806 | $ | 1,040,667 | |||||
Lowe’s Cos., Inc. | 55,800 | 3,968,496 | ||||||
O’Reilly Automotive, Inc.*(a) | 6,200 | 1,726,142 | ||||||
Ross Stores, Inc. | 25,700 | 1,685,920 | ||||||
Signet Jewelers Ltd.(a) | 5,200 | 490,152 | ||||||
Staples, Inc. | 37,049 | 335,293 | ||||||
Tiffany & Co.(a) | 7,400 | 572,982 | ||||||
TJX Cos., Inc. (The) | 42,000 | 3,155,460 | ||||||
Tractor Supply Co. | 8,800 | 667,128 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 4,000 | 1,019,760 | ||||||
Urban Outfitters, Inc.* | 4,300 | 122,464 | ||||||
30,961,027 | ||||||||
Technology Hardware, Storage & Peripherals — 1.9% |
| |||||||
Apple, Inc. | 340,590 | 39,447,134 | ||||||
Brother Industries Ltd. (Japan) | 9,200 | 165,392 | ||||||
FUJIFILM Holdings Corp. (Japan) | 900 | 34,079 | ||||||
Hewlett Packard Enterprise Co. | 104,448 | 2,416,927 | ||||||
HP, Inc. | 106,548 | 1,581,172 | ||||||
NEC Corp. (Japan) | 11,000 | 29,094 | ||||||
NetApp, Inc. | 17,800 | 627,806 | ||||||
Seagate Technology PLC(a) | 18,800 | 717,596 | ||||||
Western Digital Corp. | 17,803 | 1,209,714 | ||||||
46,228,914 | ||||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
adidas AG (Germany) | 372 | 58,671 | ||||||
Coach, Inc. | 17,300 | 605,846 | ||||||
Hanesbrands, Inc. | 23,600 | 509,052 | ||||||
Hermes International (France) | 52 | 21,331 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 548 | 104,489 | ||||||
Michael Kors Holdings Ltd.* | 10,700 | 459,886 | ||||||
NIKE, Inc. (Class B Stock)(a) | 84,400 | 4,290,052 | ||||||
PVH Corp. | 5,300 | 478,272 | ||||||
Ralph Lauren Corp.(a) | 3,800 | 343,216 | ||||||
Swatch Group AG (The) (Switzerland) | 363 | 22,153 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 11,900 | 345,695 | ||||||
Under Armour, Inc. (Class C Stock)*(a) | 12,074 | 303,903 | ||||||
VF Corp. | 21,300 | 1,136,355 | ||||||
8,678,921 | ||||||||
Tobacco — 0.8% |
| |||||||
Altria Group, Inc. | 123,100 | 8,324,022 | ||||||
British American Tobacco PLC (United Kingdom) | 5,979 | 338,864 | ||||||
Japan Tobacco, Inc. (Japan) | 3,800 | 124,730 | ||||||
Philip Morris International, Inc. | 98,700 | 9,030,063 | ||||||
Reynolds American, Inc. | 51,638 | 2,893,794 | ||||||
20,711,473 | ||||||||
Trading Companies & Distributors — 0.1% |
| |||||||
Ashtead Group PLC (United Kingdom) | 1,960 | 38,103 | ||||||
Fastenal Co.(a) | 18,200 | 855,036 | ||||||
ITOCHU Corp. (Japan) | 13,700 | 181,399 |
SEE NOTES TO FINANCIAL STATEMENTS.
A9
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Trading Companies & Distributors (continued) |
| |||||||
Mitsubishi Corp. (Japan) | 5,300 | $ | 112,565 | |||||
Mitsui & Co. Ltd. (Japan) | 16,000 | 219,237 | ||||||
United Rentals, Inc.* | 6,000 | 633,480 | ||||||
W.W. Grainger, Inc. | 3,800 | 882,550 | ||||||
2,922,370 | ||||||||
Transportation Infrastructure |
| |||||||
Abertis Infraestructuras SA (Spain) | 2,121 | 29,633 | ||||||
Aena SA (Spain), 144A, RegS | 782 | 106,541 | ||||||
Atlantia SpA (Italy) | 757 | 17,711 | ||||||
Auckland International Airport Ltd. (New Zealand) | 3,721 | 16,140 | ||||||
Sydney Airport (Australia) | 4,183 | 18,056 | ||||||
188,081 | ||||||||
Water Utilities |
| |||||||
American Water Works Co., Inc. | 11,100 | 803,196 | ||||||
Wireless Telecommunication Services |
| |||||||
KDDI Corp. (Japan) | 3,500 | 88,386 | ||||||
NTT DOCOMO, Inc. (Japan) | 2,700 | 61,412 | ||||||
SoftBank Group Corp. (Japan) | 2,300 | 152,200 | ||||||
Vodafone Group PLC (United Kingdom) | 48,846 | 120,205 | ||||||
422,203 | ||||||||
TOTAL COMMON STOCKS | 1,249,739,672 | |||||||
PREFERRED STOCKS — 0.1% | Shares | Value (Note 2) | ||||||
Automobiles |
| |||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 212 | $ | 16,191 | |||||
Volkswagen AG (Germany) (PRFC) | 1,519 | 212,535 | ||||||
228,726 | ||||||||
Banks |
| |||||||
Citigroup Capital XIII 7.257%, (Capital Security, fixed to floating preferred) | 20,000 | 516,400 | ||||||
Capital Markets — 0.1% |
| |||||||
State Street Corp. 5.350%, (Capital Security, fixed to floating preferred) | 30,000 | 750,600 | ||||||
Household Products |
| |||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 355 | 42,259 | ||||||
TOTAL PREFERRED STOCKS | 1,537,985 | |||||||
UNAFFILIATED EXCHANGE TRADED FUND |
| |||||||
iShares MSCI EAFE ETF(a) (cost $177,380) | 3,226 | 186,237 | ||||||
ASSET-BACKED SECURITIES — 5.2% | Interest Rate | Maturity Date | Principal Amount (000)# | |||||||||||
Collateralized Loan Obligations — 1.7% |
| |||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 2.061% | (b) | 04/20/25 | 2,100 | 2,097,629 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A | 2.288% | (b) | 04/28/26 | 400 | 400,839 | |||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.480% | (b) | 10/15/26 | 2,000 | 2,005,078 | |||||||||
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 2.432% | (b) | 04/18/27 | 1,000 | 1,001,456 | |||||||||
Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A | 2.420% | (b) | 10/15/26 | 600 | 600,633 | |||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 2.480% | (b) | 10/17/26 | 250 | 250,353 | |||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A | 2.412% | (b) | 04/18/27 | 1,000 | 1,000,365 | |||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 2.080% | (b) | 07/15/24 | 1,000 | 996,275 | |||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.030% | (b) | 04/17/25 | 2,200 | 2,197,045 | |||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.431% | (b) | 04/20/26 | 1,650 | 1,652,202 | |||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.280% | (b) | 01/17/26 | 250 | 249,917 | |||||||||
Galaxy CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A | 2.350% | (b) | 10/15/26 | 750 | 751,482 | |||||||||
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A | 2.331% | (b) | 05/05/27 | 250 | 249,807 | |||||||||
ICG US CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A(c) | 3.280% | 01/25/27 | 750 | 740,510 | ||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.420% | (b) | 04/15/27 | 250 | 250,167 | |||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.496% | (b) | 05/15/26 | 250 | 250,312 | |||||||||
Magnetite Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A(c) | 2.302% | (b) | 07/25/26 | 2,000 | 2,003,305 | |||||||||
Magnetite Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A(c) | 2.332% | (b) | 01/18/27 | 500 | 500,992 | |||||||||
Mill Creek CLO Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A | 2.631% | (b) | 04/20/28 | 1,250 | 1,252,214 | |||||||||
OZLM Funding Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 2.032% | (b) | 07/22/25 | 1,000 | 1,000,421 | |||||||||
Race Point CLO Ltd. (Cayman Islands), Series 2011-5A, Class AR, 144A | 2.263% | (b) | 12/15/22 | 201 | 201,327 | |||||||||
Race Point CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A | 2.161% | (b) | 02/20/25 | 250 | 250,103 | |||||||||
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.292% | (b) | 07/25/26 | 1,250 | 1,250,768 |
SEE NOTES TO FINANCIAL STATEMENTS.
A10
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligations (continued) |
| |||||||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 2.360% | (b) | 07/17/26 | 500 | $ | 500,775 | ||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.381% | (b) | 05/07/26 | 2,500 | 2,508,290 | |||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1, 144A | 2.360% | (b) | 07/17/26 | 1,500 | 1,502,361 | |||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.930% | (b) | 04/15/25 | 2,600 | 2,595,427 | |||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 3.556% | (b) | 08/17/22 | 500 | 499,007 | |||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 3.581% | (b) | 10/20/23 | 900 | 901,435 | |||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A | 2.502% | (b) | 01/22/27 | 1,750 | 1,749,695 | |||||||||
TIAA CLO Ltd. (Cayman Islands), Series 2016-1A, Class A, 144A | 2.581% | (b) | 07/20/28 | 1,750 | 1,752,682 | |||||||||
Trinitas CLO Ltd (Cayman Islands), Series 2016-5A, Class A, 144A | 2.434% | (b) | 10/25/28 | 2,500 | 2,499,437 | |||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.000% | (b) | 07/15/25 | 2,200 | 2,200,936 | |||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.020% | (b) | 04/15/24 | 1,500 | 1,500,594 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.381% | (b) | 04/20/26 | 1,300 | 1,298,873 | |||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 504,026 | ||||||||||
41,166,738 | ||||||||||||||
Non-Residential Mortgage-Backed Securities — 2.7% |
| |||||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 1.504% | (b) | 05/15/20 | 2,700 | 2,698,349 | |||||||||
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B | 1.399% | (b) | 04/08/19 | 1,383 | 1,384,203 | |||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B | 1.349% | (b) | 10/08/19 | 2,494 | 2,499,589 | |||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B | 1.209% | (b) | 11/08/19 | 800 | 800,863 | |||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-4, Class C | 2.410% | 07/08/22 | 800 | 792,720 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,475 | 1,467,584 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 4,800 | 4,763,482 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 3,800 | 3,753,520 | ||||||||||
Chase Issuance Trust, Series 2007-C1, Class C1 | 1.164% | (b) | 04/15/19 | 6,200 | 6,199,487 | |||||||||
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A | 1.740% | 02/22/22 | 2,100 | 2,094,055 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A | 2.260% | 11/15/25 | 2,325 | 2,344,846 | ||||||||||
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A | 2.310% | 04/15/26 | 2,400 | 2,420,072 | ||||||||||
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A | 2.310% | 08/15/27 | 4,100 | 4,092,039 | ||||||||||
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A | 2.030% | 12/15/27 | 2,500 | 2,458,700 | ||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c) | 1.038% | (b) | 05/15/20 | 1,600 | 1,600,697 | |||||||||
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A(c) | 1.554% | (b) | 05/17/21 | 1,700 | 1,708,954 | |||||||||
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A | 2.730% | 03/25/21 | 4,200 | 4,169,749 | ||||||||||
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A | 2.670% | 09/25/21 | 2,500 | 2,460,149 | ||||||||||
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A | 2.320% | 03/25/20 | 2,400 | 2,384,166 | ||||||||||
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A | 2.040% | 01/15/21 | 854 | 855,442 | ||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 3,800 | 3,800,133 | ||||||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B | 1.404% | (b) | 12/17/18 | 115 | 114,988 | |||||||||
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B | 1.454% | (b) | 12/17/18 | 329 | 328,768 | |||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 1,118 | 1,118,067 | ||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A | 2.580% | 09/20/32 | 1,116 | 1,110,274 | ||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A | 3.080% | 03/21/33 | 2,080 | 2,100,043 | ||||||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A | 3.050% | 04/25/29 | 2,259 | 2,270,367 | ||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 4,665 | 4,701,854 | ||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 527 | 517,955 | ||||||||||
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A | 1.740% | 09/15/21 | 1,200 | 1,200,638 | ||||||||||
68,211,753 | ||||||||||||||
Residential Mortgage-Backed Securities — 0.8% |
| |||||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 2.406% | (b) | 03/25/33 | 208 | 199,914 | |||||||||
Credit Suisse Mortgage Trust, Series 2016-RPL1, Class A1, 144A | 3.767% | (b) | 12/26/46 | 4,132 | 4,116,755 | |||||||||
Credit Suisse Mortgage Trust, Series 2016-12R, Class 1A1, 144A(d) | 3.239% | (b) | 02/28/47 | 2,820 | 2,820,000 | |||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.765% | (b) | 07/25/35 | 368 | 351,484 | |||||||||
CWABS, Inc., Asset-Backed Certificates, Series 2004-1, Class M1 | 1.506% | (b) | 03/25/34 | 1,626 | 1,568,842 |
SEE NOTES TO FINANCIAL STATEMENTS.
A11
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.792% | 07/25/34 | 346 | $ | 328,474 | |||||||||||
Fremont Home Loan Trust, Series 2004-2, Class M1 | 1.611% | (b) | 07/25/34 | 506 | 463,032 | |||||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 1.379% | (b) | 06/25/34 | 424 | 411,392 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.956% | (b) | 05/25/33 | 113 | 109,627 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.806% | (b) | 12/27/33 | 674 | 656,551 | |||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.656% | (b) | 07/25/32 | 245 | 236,978 | |||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 2.031% | (b) | 09/25/32 | 2,619 | 2,517,865 | |||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 1.521% | (b) | 02/25/34 | 772 | 722,364 | |||||||||||
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A | 4.250% | 04/25/46 | 1,647 | 1,659,019 | ||||||||||||
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A | 3.375% | 02/25/55 | 694 | 695,612 | ||||||||||||
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A | 3.625% | 07/25/45 | 2,139 | 2,137,155 | ||||||||||||
18,995,064 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 128,373,555 | ||||||||||||||
BANK LOANS(b) — 0.3% | ||||||||||||||||
Food |
| |||||||||||||||
Aramark Corp. | 3.430% | 02/24/21 | 381 | 384,233 | ||||||||||||
Media & Entertainment |
| |||||||||||||||
Nielsen Finance LLC | 3.442% | 10/04/23 | 672 | 676,917 | ||||||||||||
Pharmaceuticals — 0.1% |
| |||||||||||||||
RPI Finance Trust | 3.498% | 10/14/22 | 1,006 | 1,016,854 | ||||||||||||
Technology — 0.2% |
| |||||||||||||||
Avago Technologies Cayman Finance Ltd. (Singapore) | 3.881% | 02/01/23 | 727 | 736,638 | ||||||||||||
Dell International LLC | 2.998% | 12/31/18 | 500 | 499,219 | ||||||||||||
Dell International LLC | 4.020% | 09/07/23 | 610 | 619,913 | ||||||||||||
First Data Corp. | 3.998% | 03/24/21 | 940 | 948,981 | ||||||||||||
Trans Union LLC | 3.520% | 04/09/21 | 389 | 391,436 | ||||||||||||
Western Digital Corp. | 4.748% | 04/29/23 | 700 | 709,361 | ||||||||||||
3,905,548 | ||||||||||||||||
Telecommunications |
| |||||||||||||||
T-Mobile USA, Inc. | 3.707% | 11/09/22 | 733 | 740,188 | ||||||||||||
TOTAL BANK LOANS |
| 6,723,740 | ||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.6% | ||||||||||||||||
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A | 3.172% | 05/15/49 | 3,100 | 3,052,396 | ||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.587% | (b) | 04/10/49 | 2,191 | 2,201,715 | |||||||||||
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A3 | 3.014% | 05/10/58 | 2,500 | 2,431,497 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.711% | (b) | 12/10/49 | 800 | 806,936 | |||||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 900 | 905,278 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,090 | 2,164,670 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3 | 2.944% | 05/10/49 | 2,700 | 2,640,788 | ||||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 994,960 | ||||||||||||
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,400 | 1,415,034 | ||||||||||||
Commercial Mortgage Trust, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,000 | 2,042,116 | ||||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,100 | 2,168,950 | ||||||||||||
Commercial Mortgage Trust, Series 2014-LC17, Class A4 | 3.648% | 10/10/47 | 5,000 | 5,185,823 | ||||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 1,700 | 1,733,196 | ||||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3 | 3.544% | 11/15/48 | 2,500 | 2,558,252 | ||||||||||||
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A | 3.555% | (b) | 09/10/35 | 1,100 | 1,131,841 | |||||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 1,925 | 2,005,234 | |||||||||||
Fannie Mae-Aces, Series 2015-M8, Class AB2 | 2.829% | (b) | 01/25/25 | 4,100 | 4,066,914 | |||||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 2.940% | (b) | 11/25/25 | 3,000 | 3,013,884 | |||||||||||
Fannie Mae-Aces, Series 2016-M7, Class AB2 | 2.385% | 09/25/26 | 1,800 | 1,669,215 |
SEE NOTES TO FINANCIAL STATEMENTS.
A12
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.442% | (b) | 05/25/22 | 20,259 | $ | 1,274,814 | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.481% | (b) | 06/25/22 | 5,603 | 368,576 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2 | 3.023% | 01/25/25 | 4,965 | 5,045,286 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K048, Class A2 | 3.284% | (b) | 06/25/25 | 3,650 | 3,771,258 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1,IO | 1.369% | (b) | 03/25/26 | 9,331 | 916,951 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.759% | (b) | 05/25/19 | 15,802 | 526,934 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.692% | (b) | 07/25/19 | 16,616 | 562,502 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | (b) | 05/25/25 | 1,900 | 1,921,057 | |||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 3,000 | 3,002,028 | ||||||||||
GS Mortgage Securities Trust, Series 2015-GC34, Class A3 | 3.244% | 10/10/48 | 4,800 | 4,808,330 | ||||||||||
GS Mortgage Securities Trust, Series 2016-GS4, Class A3 | 3.178% | 11/10/49 | 4,000 | 3,993,376 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,100 | 1,127,553 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 5,000 | 4,932,718 | ||||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A3A | 2.881% | 06/15/49 | 2,500 | 2,441,701 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 792 | 805,773 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,500 | 1,502,230 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,200 | 3,235,584 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 1,219 | 1,243,755 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,100 | 1,112,004 | ||||||||||
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM | 6.114% | (b) | 07/15/40 | 2,500 | 2,565,752 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,200 | 1,210,809 | ||||||||||
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A3 | 3.540% | 12/15/48 | 5,000 | 5,135,655 | ||||||||||
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3 | 2.531% | 08/15/49 | 6,300 | 5,959,370 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,400 | 1,411,029 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,200 | 3,218,562 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,500 | 1,513,070 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 3,838 | 3,897,378 | |||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XB, IO | 1.343% | (b) | 08/15/49 | 9,000 | 948,935 | |||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3 | 2.642% | 11/15/49 | 4,500 | 4,266,067 | ||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 114,907,756 | ||||||||||||
CORPORATE BONDS — 10.7% | ||||||||||||||
Agriculture — 0.2% |
| |||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,585 | 1,674,738 | ||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 690 | 790,501 | ||||||||||
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 1,680 | 1,681,559 | ||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 290 | 330,843 | ||||||||||
4,477,641 | ||||||||||||||
Airlines — 0.2% |
| |||||||||||||
American Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A | 3.375% | 11/01/28 | 2,449 | 2,411,785 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A | 6.648% | 03/15/19 | 34 | 34,604 |
SEE NOTES TO FINANCIAL STATEMENTS.
A13
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Airlines (continued) |
| |||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 | 6.703% | 12/15/22 | 30 | $ | 31,582 | |||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 05/10/21 | 487 | 544,139 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 07/12/22 | 509 | 537,294 | ||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A | 4.000% | 04/29/26 | 343 | 350,836 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | 6.821% | 02/10/24 | 264 | 303,256 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 11/23/20 | 311 | 325,410 | ||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 10/15/20 | 593 | 625,692 | ||||||||||
5,164,598 | ||||||||||||||
Auto Manufacturers — 0.3% |
| |||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes | 4.750% | 01/15/43 | 1,090 | 1,034,854 | ||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN | 4.389% | 01/08/26 | 1,240 | 1,256,709 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,065 | 1,177,335 | ||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.600% | 04/01/36 | 585 | 668,659 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN | 2.700% | 03/15/17 | 380 | 380,888 | ||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN | 2.850% | 01/15/21 | 2,300 | 2,309,752 | ||||||||||
6,828,197 | ||||||||||||||
Banks — 2.9% |
| |||||||||||||
Bank of America Corp., Jr. Sub. Notes | 6.300% | (b) | 12/29/49 | 275 | 287,375 | |||||||||
Bank of America Corp., Jr. Sub. Notes | 8.000% | (b) | 07/29/49 | 2,100 | 2,157,750 | |||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,290 | 1,448,977 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,330 | 1,368,542 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.300% | 01/11/23 | 360 | 361,202 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.500% | 04/19/26 | 4,770 | 4,706,425 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 745 | 768,348 | ||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 5.650% | 05/01/18 | 105 | 110,015 | ||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.000% | 01/22/25 | 1,700 | 1,702,135 | ||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 850 | 856,583 | ||||||||||
Bank of America NA, Sub. Notes | 6.000% | 10/15/36 | 805 | 971,212 | ||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.375% | 01/12/26 | 1,205 | 1,220,451 | ||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 3,325 | 3,368,291 | ||||||||||
Citigroup, Inc., Jr. Sub. Notes | 5.950% | (b) | 12/29/49 | 1,590 | 1,613,770 | |||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.125% | (b) | 12/29/49 | 945 | 978,075 | |||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.250% | (b) | 12/29/49 | 640 | 658,560 | |||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.700% | 01/12/26 | 1,610 | 1,601,712 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 4.500% | 01/14/22 | 1,125 | 1,199,448 | ||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 850 | 1,263,044 | ||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 1,485 | 1,508,531 | ||||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,050 | 1,047,617 | ||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN | 3.375% | 05/12/21 | 1,240 | 1,227,461 | ||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 595 | 606,141 | ||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 485 | 538,533 | ||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.300% | (b) | 12/29/49 | 560 | 536,900 | |||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (b) | 12/29/49 | 1,800 | 1,818,000 | |||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.750% | 02/25/26 | 1,165 | 1,168,423 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,305 | 2,526,257 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 1,250 | 1,405,269 | ||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 220 | 272,705 | ||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 1,100 | 1,358,332 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,230 | 1,327,832 | ||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 920 | 994,250 |
SEE NOTES TO FINANCIAL STATEMENTS.
A14
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Banks (continued) |
| |||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 6.100% | (b) | 10/29/49 | 1,175 | $ | 1,188,953 | ||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 12/29/49 | 2,000 | 2,071,000 | |||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 1,660 | 1,756,672 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,525 | 3,566,725 | ||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 195 | 207,930 | ||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN | 5.800% | 01/13/20 | 1,770 | 1,930,150 | ||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 2,385 | 2,323,686 | ||||||||||
Morgan Stanley, Jr. Sub. Notes | 5.450% | (b) | 07/29/49 | 640 | 633,600 | |||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 3.750% | 02/25/23 | 605 | 621,422 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.450% | 01/09/17 | 1,530 | 1,530,753 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 840 | 930,835 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 6.625% | 04/01/18 | 100 | 105,753 | ||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.375% | 07/24/42 | 640 | 822,507 | ||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 3,050 | 3,125,481 | ||||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | 2,687 | 2,957,541 | ||||||||||
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN | 1.875% | 09/17/18 | 1,590 | 1,589,216 | ||||||||||
PNC Bank NA, Sr. Unsec’d. Notes | 1.950% | 03/04/19 | 455 | 455,480 | ||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 480 | 494,908 | ||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 925 | 930,063 | ||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 915 | 920,423 | ||||||||||
71,141,264 | ||||||||||||||
Beverages — 0.1% |
| |||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.700% | 02/01/36 | 2,005 | 2,108,995 | ||||||||||
Biotechnology — 0.1% |
| |||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes, 144A | 4.663% | 06/15/51 | 1,527 | 1,467,612 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 4.150% | 03/01/47 | 30 | 28,494 | ||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 110 | 127,141 | ||||||||||
1,623,247 | ||||||||||||||
Building Materials |
| |||||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(c) | 5.375% | 11/15/24 | 1,135 | 1,166,212 | ||||||||||
Chemicals — 0.2% |
| |||||||||||||
Celanese US Holdings LLC, Gtd. Notes | 5.875% | 06/15/21 | 1,160 | 1,288,193 | ||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 445 | 367,263 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 5 | 5,017 | ||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 30 | 46,545 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 955 | 887,428 | ||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 800 | 845,322 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes(a) | 5.450% | 11/15/33 | 265 | 262,829 | ||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 860 | 828,778 | ||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 500 | 601,944 | ||||||||||
Westlake Chemical Corp., Gtd. Notes, 144A | 4.625% | 02/15/21 | 750 | 776,250 | ||||||||||
5,909,569 | ||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(c) | 6.375% | 10/15/17 | 1,198 | 1,241,302 | ||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(c) | 7.000% | 10/15/37 | 390 | 494,152 | ||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.875% | 09/15/26 | 400 | 411,500 | ||||||||||
2,146,954 | ||||||||||||||
Computers — 0.2% |
| |||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 3.480% | 06/01/19 | 825 | 842,165 | ||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 4.420% | 06/15/21 | 700 | 724,322 | ||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.450% | (b) | 10/05/17 | 2,915 | 2,931,207 | |||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.850% | (b) | 10/05/18 | 545 | 550,271 | |||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 455 | 466,204 | ||||||||||
5,514,169 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Diversified Financial Services — 0.3% | ||||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes | 3.750% | 05/15/19 | 600 | $ | 611,250 | |||||||||||
Bear Stearns Cos. LLC (The), Gtd. Notes | 6.400% | 10/02/17 | 270 | 279,706 | ||||||||||||
Bear Stearns Cos. LLC (The), Gtd. Notes | 7.250% | 02/01/18 | 1,135 | 1,201,100 | ||||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 913,710 | ||||||||||||
GE Capital International Funding Co., Gtd. Notes | 4.418% | 11/15/35 | 922 | 966,170 | ||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 465 | 478,480 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(e) | 5.250% | 02/06/12 | 1,850 | 106,375 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(e) | 6.875% | 05/02/18 | 700 | 41,370 | ||||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 295 | 317,863 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 1.875% | 07/15/18 | 55 | 55,426 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 2.450% | 07/15/24 | 285 | 277,625 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 3.250% | 06/15/25 | 895 | 924,511 | ||||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,175 | 2,168,551 | ||||||||||||
8,342,137 | ||||||||||||||||
Electric — 0.6% | ||||||||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 530 | 672,831 | ||||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 340 | 424,619 | ||||||||||||
Black Hills Corp., Sr. Unsec’d. Notes | 2.500% | 01/11/19 | 950 | 953,788 | ||||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. | 6.950% | 03/15/33 | 300 | 399,483 | ||||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes | 5.500% | 12/01/39 | 145 | 170,731 | ||||||||||||
Dominion Resources, Inc., Jr. Sub. Notes | 4.104% | 04/01/21 | 2,470 | 2,572,920 | ||||||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 530 | 668,515 | ||||||||||||
Dynegy, Inc., Gtd. Notes | 6.750% | 11/01/19 | 345 | 351,037 | ||||||||||||
Dynegy, Inc., Gtd. Notes | 7.375% | 11/01/22 | 255 | 243,525 | ||||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 845 | 974,330 | ||||||||||||
Emera U.S. Finance LP (Canada), Gtd. Notes, 144A | 3.550% | 06/15/26 | 745 | 732,357 | ||||||||||||
Eversource Energy, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 605 | 642,164 | ||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,375 | 1,384,441 | ||||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 265 | 281,315 | ||||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 380 | 473,883 | ||||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 140 | 160,410 | ||||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 545 | 581,597 | ||||||||||||
NRG Energy, Inc., Gtd. Notes, 144A | 7.250% | 05/15/26 | 685 | 681,575 | ||||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 135 | 145,739 | ||||||||||||
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 515 | 638,104 | ||||||||||||
Southern California Edison Co., First Mortgage | 3.600% | 02/01/45 | 690 | 652,671 | ||||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 511,441 | ||||||||||||
14,317,476 | ||||||||||||||||
Entertainment | ||||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 4.875% | 11/01/20 | 800 | 840,000 | ||||||||||||
Food — 0.1% | ||||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 3.000% | 06/01/26 | 1,510 | 1,417,644 | ||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 4.375% | 06/01/46 | 360 | 338,752 | ||||||||||||
Lamb Weston Holdings, Inc., Gtd. Notes, 144A | 4.875% | 11/01/26 | 715 | 707,403 | ||||||||||||
2,463,799 | ||||||||||||||||
Forest Products & Paper — 0.1% | ||||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A(c) | 5.400% | 11/01/20 | 275 | 302,329 | ||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,270 | 1,426,225 | ||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 304 | 329,985 | ||||||||||||
2,058,539 | ||||||||||||||||
Gas | ||||||||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 45 | 46,629 | ||||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 500 | 545,994 | ||||||||||||
592,623 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Healthcare-Products — 0.3% | ||||||||||||||||
Becton Dickinson & Co., Sr. Unsec’d. Notes | 3.734% | 12/15/24 | 372 | $ | 380,415 | |||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 2,515 | 2,589,731 | ||||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 997 | 1,054,754 | ||||||||||||
St. Jude Medical, Inc., Sr. Unsec’d. Notes | 2.000% | 09/15/18 | 3,700 | 3,705,221 | ||||||||||||
7,730,121 | ||||||||||||||||
Healthcare-Services — 0.4% | ||||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 480 | 610,650 | ||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,050 | 1,364,592 | ||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 330 | 331,574 | ||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 260 | 261,013 | ||||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a) | 5.125% | 08/15/18 | 181 | 177,380 | ||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 540 | 620,726 | ||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 640 | 742,113 | ||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 1,235 | 1,278,225 | ||||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 900 | 925,875 | ||||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 350 | 365,312 | ||||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 06/15/26 | 700 | 723,625 | ||||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 160 | 161,329 | ||||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 340 | 329,994 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 440 | 428,498 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 115 | 117,368 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 410 | 536,306 | ||||||||||||
8,974,580 | ||||||||||||||||
Home Builders | ||||||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 375 | 378,750 | ||||||||||||
Housewares — 0.1% | ||||||||||||||||
Newell Brands, Inc., Sr. Unsec’d. Notes | 4.200% | 04/01/26 | 610 | 636,706 | ||||||||||||
Newell Brands, Inc., Sr. Unsec’d. Notes | 6.250% | 04/15/18 | 1,600 | 1,683,841 | ||||||||||||
2,320,547 | ||||||||||||||||
Insurance — 0.7% | ||||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 480 | 517,790 | ||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes(a) | 4.500% | 07/16/44 | 1,910 | 1,883,403 | ||||||||||||
AXIS Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | �� | 990 | 1,085,165 | |||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 3.125% | 03/15/26 | 1,350 | 1,341,232 | ||||||||||||
Chubb Corp. (The), Gtd. Notes | 6.375%(b) | 03/29/67 | 1,260 | 1,184,400 | ||||||||||||
Chubb INA Holdings, Inc., Gtd. Notes(a) | 3.350% | 05/03/26 | 705 | 714,102 | ||||||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 100 | 105,630 | ||||||||||||
Hartford Financial Services Group, Inc. (The), Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 635 | 704,333 | ||||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 215 | 254,911 | ||||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 7.000% | 03/15/34 | 910 | 1,080,492 | ||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 701 | 825,639 | ||||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 165 | 167,352 | ||||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 650 | 854,948 | ||||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 350 | 430,985 | ||||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 640 | 703,689 | ||||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 695 | 1,026,601 | ||||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 105 | 108,749 | ||||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700%(b) | 06/15/67 | 715 | 698,913 | ||||||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 570 | 531,975 | ||||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,430 | 1,855,745 | ||||||||||||
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes | 4.300% | 08/25/45 | 660 | 683,665 | ||||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 315 | 343,037 | ||||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 575 | 626,352 | ||||||||||||
17,729,108 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Lodging — 0.2% | ||||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 555 | $ | 592,463 | |||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 490 | 498,574 | ||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 805 | 811,740 | ||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,700 | 2,878,240 | ||||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 405 | 408,409 | ||||||||||||
5,189,426 | ||||||||||||||||
Machinery-Diversified — 0.1% | ||||||||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 1,100 | 1,156,375 | ||||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,060 | 1,144,346 | ||||||||||||
2,300,721 | ||||||||||||||||
Media — 0.6% | ||||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 250 | 292,566 | ||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 35 | 43,951 | ||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,265 | 1,621,611 | ||||||||||||
AMC Networks, Inc., Gtd. Notes | 5.000% | 04/01/24 | 1,225 | 1,231,125 | ||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 900 | 936,000 | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.375% | 05/01/25 | 720 | 741,600 | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.384% | 10/23/35 | 630 | 719,354 | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.484% | 10/23/45 | 1,000 | 1,156,079 | ||||||||||||
Comcast Cable Holdings LLC, Gtd. Notes | 9.875% | 06/15/22 | 1,440 | 1,859,639 | ||||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 625 | 801,530 | ||||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 750 | 764,820 | ||||||||||||
Time Warner Cable, Inc., Sr. Sec’d. Notes | 5.850% | 05/01/17 | 1,240 | 1,257,597 | ||||||||||||
Time Warner, Inc., Gtd. Notes | 3.800% | 02/15/27 | 585 | 581,678 | ||||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 175 | 202,009 | ||||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 495 | 577,557 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 50 | 41,449 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 150 | 130,038 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.250% | 04/01/44 | 340 | 309,312 | ||||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 850 | 871,250 | ||||||||||||
14,139,165 | ||||||||||||||||
Mining — 0.1% | ||||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 700 | 781,872 | ||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A(a) | 6.250% | (b) | 10/19/75 | 845 | 914,882 | |||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 400 | 392,690 | ||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 300 | 323,672 | ||||||||||||
2,413,116 | ||||||||||||||||
Miscellaneous Manufacturing — 0.1% | ||||||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,040 | 1,066,000 | ||||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 1,050 | 1,064,437 | ||||||||||||
2,130,437 | ||||||||||||||||
Multi-National — 0.1% | ||||||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.000% | 05/10/19 | 1,065 | 1,058,059 | ||||||||||||
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes | 2.400% | 10/26/22 | 855 | 830,001 | ||||||||||||
North American Development Bank (Supranational Bank), Sr. Unsec’d. Notes | 4.375% | 02/11/20 | 800 | 851,156 | ||||||||||||
2,739,216 | ||||||||||||||||
Oil & Gas — 0.6% | ||||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (f) | 10/10/36 | 1,000 | 404,312 | |||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 1,040 | 1,237,773 | ||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.600% | 03/15/46 | 195 | 240,505 | ||||||||||||
ConocoPhillips Co., Gtd. Notes | 4.950% | 03/15/26 | 1,700 | 1,876,803 | ||||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.000% | 06/15/45 | 85 | 83,498 |
SEE NOTES TO FINANCIAL STATEMENTS.
A18
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Oil & Gas (continued) | ||||||||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.600% | 07/15/41 | 225 | $ | 231,749 | |||||||||||
Devon Financing Co. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,350 | 1,712,939 | ||||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/35 | 830 | 786,036 | ||||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes | 4.650% | 03/15/25 | 1,555 | 1,606,738 | ||||||||||||
Hess Corp., Sr. Unsec’d. Notes | 4.300% | 04/01/27 | 780 | 776,429 | ||||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 890 | 904,703 | ||||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 5.050% | 11/15/44 | 925 | 927,727 | ||||||||||||
Occidental Petroleum Corp., Sr. Unsec’d. Notes | 3.000% | 02/15/27 | 415 | 401,544 | ||||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 415 | 417,315 | ||||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,450 | 1,539,366 | ||||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 400 | 432,441 | ||||||||||||
Valero Energy Corp., Sr. Unsec’d. Notes(a) | 4.900% | 03/15/45 | 225 | 224,222 | ||||||||||||
13,804,100 | ||||||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||||||
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A | 4.000% | 12/21/25 | 2,170 | 2,274,138 | ||||||||||||
Packaging & Containers — 0.1% | ||||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/20 | 465 | 485,925 | ||||||||||||
WestRock RKT Co., Gtd. Notes | 4.900% | 03/01/22 | 675 | 732,738 | ||||||||||||
1,218,663 | ||||||||||||||||
Pharmaceuticals — 0.3% | ||||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 950 | 940,964 | ||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,595 | 1,567,130 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 805 | 805,948 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,625 | 1,608,412 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 230 | 225,799 | ||||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 440 | 480,713 | ||||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes(a) | 2.750% | 02/10/25 | 340 | 333,833 | ||||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 3.700% | 02/10/45 | 1,105 | 1,053,664 | ||||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes | 4.400% | 05/06/44 | 700 | 754,908 | ||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a) | 3.150% | 10/01/26 | 460 | 424,086 | ||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes | 4.100% | 10/01/46 | 145 | 124,245 | ||||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes | 4.700% | 02/01/43 | 90 | 87,604 | ||||||||||||
8,407,306 | ||||||||||||||||
Pipelines — 0.2% |
| |||||||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A | 5.350% | 03/15/20 | 473 | 490,738 | ||||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 4.650% | 06/01/21 | 610 | 633,344 | ||||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.900% | 03/15/35 | 200 | 186,906 | ||||||||||||
Enterprise Products Operating LLC, Gtd. Notes(a) | 3.700% | 02/15/26 | 550 | 551,994 | ||||||||||||
Enterprise Products Operating LLC, Gtd. Notes(a) | 3.750% | 02/15/25 | 1,055 | 1,071,945 | ||||||||||||
Enterprise Products Operating LLC, Gtd. Notes(a) | 3.950% | 02/15/27 | 810 | 829,758 | ||||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 530 | 552,854 | ||||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,140 | 1,108,086 | ||||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 130 | 147,474 | ||||||||||||
5,573,099 | ||||||||||||||||
Real Estate |
| |||||||||||||||
Prologis LP, Gtd. Notes | 6.875% | 03/15/20 | 68 | 76,279 | ||||||||||||
Real Estate Investment Trusts (REITs) |
| |||||||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 550 | 552,350 | ||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 190 | 196,434 | ||||||||||||
748,784 | ||||||||||||||||
Retail — 0.3% |
| |||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 590 | 657,524 | ||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 170 | 192,624 | ||||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 3.000% | 04/01/26 | 585 | 583,877 |
SEE NOTES TO FINANCIAL STATEMENTS.
A19
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Retail (continued) |
| |||||||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 565 | $ | 602,118 | |||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,300 | 1,387,750 | ||||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 345 | 445,650 | ||||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 300 | 307,268 | ||||||||||||
McDonald’s Corp., Sr. Unsec’d. Notes, MTN | 3.700% | 01/30/26 | 1,925 | 1,959,837 | ||||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes | 5.625% | 12/01/25 | 1,020 | 1,060,800 | ||||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 265 | 275,266 | ||||||||||||
7,472,714 | ||||||||||||||||
Savings & Loans |
| |||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,195 | 1,201,718 | ||||||||||||
Semiconductors — 0.1% |
| |||||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 5.750% | 03/15/23 | 1,200 | 1,266,000 | ||||||||||||
Software — 0.2% |
| |||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 2.850% | 10/15/18 | 1,225 | 1,246,306 | ||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 3.625% | 10/15/20 | 1,640 | 1,697,840 | ||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 4.000% | 02/12/55 | 360 | 340,481 | ||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 700 | 723,789 | ||||||||||||
4,008,416 | ||||||||||||||||
Telecommunications — 0.6% |
| |||||||||||||||
AT&T Corp., Gtd. Notes | 8.250% | (b) | 11/15/31 | 10 | 13,901 | |||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,130 | 3,016,766 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 350 | 338,158 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 03/09/48 | 12 | 10,783 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.550% | 03/09/49 | 1,174 | 1,060,434 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 560 | 530,555 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 305 | 288,199 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.150% | 03/15/42 | 520 | 518,009 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 113 | 116,051 | ||||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.125% | (b) | 12/15/30 | 350 | 533,988 | |||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Sr. Sec’d. Notes, 144A | 3.360% | 03/20/23 | 1,400 | 1,402,618 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.522% | 09/15/48 | 1,827 | 1,751,932 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,288 | 2,148,684 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 2,349 | 2,336,696 | ||||||||||||
14,066,774 | ||||||||||||||||
Transportation — 0.1% |
| |||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 3.450% | 09/15/21 | 1,180 | 1,232,346 | ||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 735 | 936,190 | ||||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 690 | 847,635 | ||||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 120 | 137,265 | ||||||||||||
3,153,436 | ||||||||||||||||
TOTAL CORPORATE BONDS |
| 264,012,034 | ||||||||||||||
MUNICIPAL BONDS — 0.6% | ||||||||||||||||
Alabama |
| |||||||||||||||
Alabama Economic Settlement Authority, Revenue Bonds, BABs | 4.263% | 09/15/32 | 180 | 185,000 | ||||||||||||
California — 0.3% |
| |||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,305 | 1,772,869 | ||||||||||||
California Educational Facilities Authority, Revenue Bonds, BABs | 5.000% | 06/01/46 | 550 | 704,352 | ||||||||||||
Central Puget Sound Regional Transit Authority, Revenue Bonds, BABs | 5.000% | 11/01/46 | 700 | 888,846 | ||||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,250 | 1,765,487 | ||||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 350 | 492,331 | ||||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | 363,827 | ||||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 205 | 301,211 | ||||||||||||
6,288,923 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Colorado |
| |||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 565 | $ | 732,336 | |||||||||||
Illinois — 0.1% |
| |||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 970 | 1,266,093 | ||||||||||||
New Jersey — 0.1% |
| |||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,000 | 1,440,530 | ||||||||||||
New York — 0.1% | ||||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,100 | 1,360,898 | ||||||||||||
Ohio | ||||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 415 | 474,801 | ||||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 275 | 309,477 | ||||||||||||
784,278 | ||||||||||||||||
Oregon | ||||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 425 | 535,122 | ||||||||||||
Pennsylvania | ||||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 505 | 606,631 | ||||||||||||
Tennessee | ||||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 945 | 1,222,159 | ||||||||||||
TOTAL MUNICIPAL BONDS |
| 14,421,970 | ||||||||||||||
NON-CORPORATE FOREIGN AGENCIES — 0.8% | ||||||||||||||||
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A | 2.625% | 04/28/21 | 2,086 | 2,117,753 | ||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 1,300 | 1,318,447 | ||||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.750% | 02/23/27 | 355 | 340,800 | ||||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 490 | 486,938 | ||||||||||||
Dexia Credit Local SA (France), Gov’t. Liq. Gtd. Notes, 144A | 1.875% | 09/15/21 | 1,000 | 965,013 | ||||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 265 | 286,836 | ||||||||||||
Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN | 2.375% | 06/04/25 | 400 | 382,736 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 4.950% | 07/19/22 | 255 | 262,387 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 440 | 485,373 | ||||||||||||
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes | 1.500% | 07/21/21 | 600 | 575,267 | ||||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.125% | 04/13/21 | 600 | 586,865 | ||||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.125% | 10/25/23 | 1,000 | 951,284 | ||||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 2,634 | 2,623,617 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 795 | 817,856 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 6.500% | 06/02/41 | 955 | 894,405 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 8.625% | (b) | 12/01/23 | 350 | 379,750 | |||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A | 5.375% | 03/13/22 | 330 | 337,913 | ||||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.299% | 05/15/17 | 560 | 566,729 | ||||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,035 | 1,034,661 | ||||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,000 | 993,371 | ||||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 500 | 506,517 | ||||||||||||
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN | 1.750% | 03/10/21 | 2,385 | 2,340,560 | ||||||||||||
TOTAL NON-CORPORATE FOREIGN AGENCIES |
| 19,255,078 | ||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.7% | ||||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 163 | 163,464 | ||||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,026 | 872,011 | ||||||||||||
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A | 3.500% | (b) | 07/26/36 | 1,430 | 1,430,580 |
SEE NOTES TO FINANCIAL STATEMENTS.
A21
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A | 0.739% | (b) | 08/26/36 | 790 | $ | 744,886 | ||||||||||
Banc of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.961% | (b) | 02/25/35 | 236 | 235,128 | |||||||||||
Banc of America Mortgage Trust, Series 2005-B, Class 2A1 | 3.063% | (b) | 03/25/35 | 268 | 241,340 | |||||||||||
Bayview Opportunity Master Fund Trust, Series 2016-CRT1, Class M1, 144A | 2.511% | (b) | 10/27/27 | 511 | 509,664 | |||||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 3.167% | (b) | 02/25/37 | 500 | 479,429 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2014-C04, Class 1M1(g) | 2.706% | (b) | 11/25/24 | 623 | 624,422 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(g) | 1.906% | (b) | 05/25/25 | 252 | 251,845 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(g) | 2.906% | (b) | 09/25/28 | 1,080 | 1,090,938 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(g) | 2.956% | (b) | 10/25/28 | 1,379 | 1,392,873 | |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1(g) | 2.206% | (b) | 01/25/29 | 1,308 | 1,316,324 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(g) | 1.656% | (b) | 10/25/27 | 3,785 | 3,787,735 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(g) | 2.106% | (b) | 04/25/28 | 305 | 305,592 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(g) | 2.206% | (b) | 07/25/28 | 1,967 | 1,974,558 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(g) | 2.756% | (b) | 12/25/28 | 1,425 | 1,438,264 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4, Class M2(g) | 2.056% | (b) | 03/25/29 | 1,040 | 1,038,022 | |||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(g) | 3.006% | (b) | 11/25/28 | 1,200 | 1,224,645 | |||||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 3.182% | (b) | 07/25/35 | 259 | 258,137 | |||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-6, Class A, 144A(d) | 2.533% | (b) | 05/01/20 | 3,951 | 3,896,453 | |||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-7, Class A, 144A(d) | 2.533% | (b) | 07/01/20 | 1,557 | 1,547,018 | |||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-8, Class A1, 144A | 2.617% | (b) | 08/01/20 | 1,147 | 1,145,391 | |||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-10, Class A1, 144A(d) | 2.617% | (b) | 11/01/20 | 402 | 398,704 | |||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-1, Class A1, 144A | 2.617% | (b) | 01/01/21 | 1,738 | 1,707,624 | |||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, Class A, 144A(d) | 2.617% | (b) | 09/01/21 | 1,934 | 1,910,279 | |||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-6, Class A, 144A | 2.635% | (b) | 11/01/21 | 1,250 | 1,232,583 | |||||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 32 | 32,464 | ||||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-3, Class A1, 144A(d) | 1.664% | (b) | 11/10/18 | 1,770 | 1,770,000 | |||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, Class A1, 144A(d) | 1.737% | (b) | 05/10/19 | 7,380 | 7,363,963 | |||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, Class A, 144A(d) | 1.871% | (b) | 06/10/19 | 1,300 | 1,300,000 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 3.093% | (b) | 02/25/34 | 326 | 326,423 | |||||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 113 | 113,604 | ||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 42,124,363 | ||||||||||||||
SOVEREIGN BONDS — 0.6% | ||||||||||||||||
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, RegS, EMTN | 1.125% | 08/03/19 | 1,200 | 1,181,266 | ||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 220 | 222,200 | ||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.375% | 07/12/21 | 400 | 419,000 | ||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 392 | 405,720 | ||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.375% | 03/29/21 | 1,760 | 1,970,778 | ||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 7.625% | 03/29/41 | 688 | 961,308 |
SEE NOTES TO FINANCIAL STATEMENTS.
A22
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 5.250% | 01/08/47 | 705 | $ | 702,971 | |||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) | 5.875% | 03/13/20 | 770 | 840,373 | ||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN | 5.875% | 01/15/24 | 750 | 827,478 | ||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS | 4.875% | 05/05/21 | 750 | 793,958 | ||||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 4.000% | 10/02/23 | 438 | 439,051 | ||||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 766 | 696,524 | ||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 490 | 486,325 | ||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 395 | 401,912 | ||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 5.200% | 01/30/20 | 375 | 402,750 | ||||||||||||
Province of Alberta (Canada), Sr. Unsec’d. Notes | 1.900% | 12/06/19 | 800 | 801,225 | ||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS, MTN | 6.125% | 01/22/44 | 350 | 408,537 | ||||||||||||
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN | 2.375% | 10/26/21 | 980 | 951,517 | ||||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,260 | 1,352,890 | ||||||||||||
TOTAL SOVEREIGN BONDS |
| 14,265,783 | ||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.3% | ||||||||||||||||
Federal Home Loan Banks(h) | 5.500% | 07/15/36 | 850 | 1,114,973 | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | TBA | 5,000 | 5,008,985 | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 804 | 806,911 | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.665% | (b) | 12/01/35 | 296 | 312,204 | |||||||||||
Federal Home Loan Mortgage Corp. | 2.875% | (b) | 06/01/36 | 278 | 294,489 | |||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28 | 700 | 719,846 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29 | 1,331 | 1,368,856 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/42 | 523 | 523,173 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/42 | 873 | 872,993 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 01/01/43 | 1,088 | 1,087,500 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 07/01/43 | 2,847 | 2,841,618 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 12/01/44 | 1,233 | 1,226,620 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 03/01/45 | 957 | 951,906 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 03/01/45 | 1,375 | 1,367,877 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 04/01/45 | 939 | 936,477 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 15,000 | 15,359,144 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26 | 936 | 981,269 | ||||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 06/01/42 | 530 | 545,465 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 7,500 | 7,877,490 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26 | 923 | 971,610 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 09/01/26 | 340 | 358,179 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/39 | 894 | 943,534 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 12/01/40 | 626 | 661,004 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/41 | 799 | 839,389 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 01/01/42 | 232 | 244,758 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/45 | 1,224 | 1,286,650 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19 | 24 | 24,745 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/19 | 174 | 179,011 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/20 | 95 | 98,086 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/39 | 142 | 152,069 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 244 | 263,301 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 10/01/39 | 2,224 | 2,393,632 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 12/01/39 | 220 | 236,759 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/41 | 325 | 350,675 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/41 | 2,447 | 2,641,927 | ||||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 804 | 863,964 |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 243 | $ | 261,354 | |||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 175 | 188,059 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 10/01/41 | 674 | 727,706 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18 | 95 | 97,165 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 12/01/18 | 55 | 56,019 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 116 | 118,961 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 130 | 134,041 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 12/01/19 | 24 | 24,498 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 30 | 32,600 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 501 | 548,905 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 10/01/35 | 12 | 13,161 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/37 | 837 | 915,559 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/39 | 114 | 124,582 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 12/01/33 | 156 | 173,161 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 01/01/34 | 65 | 73,577 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 06/01/34 | 106 | 118,710 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 07/01/34 | 342 | 383,567 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37 | 97 | 107,987 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 02/01/38 | 783 | 873,204 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/38 | 82 | 91,863 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 07/01/38 | 203 | 225,746 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32 | 336 | 386,900 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 12/01/33 | 110 | 123,832 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 11/01/36 | 98 | 111,113 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/37 | 86 | 97,352 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 05/01/37 | 46 | 51,931 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 02/01/38 | 8 | 8,963 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 08/01/39 | 112 | 128,228 | ||||||||||
Federal Home Loan Mortgage Corp.(i) | 6.750% | 03/15/31 | 550 | 775,163 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 05/01/31 | 23 | 25,629 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 06/01/31 | 15 | 16,203 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 06/01/31 | 12 | 12,102 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 08/01/31 | 179 | 200,496 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/31 | 7 | 7,841 | ||||||||||
Federal National Mortgage Assoc. | 1.875% | 09/24/26 | 200 | 183,745 | ||||||||||
Federal National Mortgage Assoc. | 2.000% | 08/01/31 | 1,180 | 1,149,838 | ||||||||||
Federal National Mortgage Assoc. | 2.432% | (b) | 07/01/33 | 315 | 330,047 | |||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 1,500 | 1,427,025 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28 | 1,230 | 1,234,133 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 10/01/43 | 875 | 837,351 | ||||||||||
Federal National Mortgage Assoc. | 2.560% | (b) | 06/01/37 | 74 | 74,420 | |||||||||
Federal National Mortgage Assoc. | 2.678% | (b) | 07/01/37 | 401 | 420,267 | |||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27 | 2,832 | 2,913,009 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/30 | 1,721 | 1,767,998 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/31 | 3,728 | 3,828,482 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 05/01/31 | 2,179 | 2,237,787 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 11/01/36 | 2,977 | 3,016,224 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 12/01/42 | 2,457 | 2,456,033 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 04/01/43 | 7,418 | 7,416,241 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 07/01/43 | 1,781 | 1,780,322 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/43 | 4,787 | 4,785,151 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27 | 2,039 | 2,129,128 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/39 | 791 | 812,471 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 01/01/42 | 6,448 | 6,649,302 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 05/01/42 | 3,357 | 3,462,275 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/42 | 1,329 | 1,370,954 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/42 | 1,229 | 1,267,377 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 08/01/42 | 1,489 | 1,535,690 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 08/01/42 | 485 | 499,936 |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 09/01/42 | 2,382 | $ | 2,456,004 | |||||||||
Federal National Mortgage Assoc. | 3.500% | 09/01/42 | 615 | 633,745 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 11/01/42 | 452 | 465,614 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 03/01/43 | 3,784 | 3,900,900 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 04/01/43 | 860 | 886,798 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 04/01/43 | 1,304 | 1,343,383 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 01/01/46 | 2,651 | 2,719,044 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 25,000 | 26,282,715 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 10/01/41 | 3,528 | 3,725,786 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 4,296 | 4,516,928 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 1,000 | 1,075,586 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18 | 120 | 123,484 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/19 | 91 | 93,534 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/19 | 66 | 67,904 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 06/01/19 | 19 | 19,724 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/33 | 90 | 97,126 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 08/01/33 | 83 | 89,640 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 09/01/33 | 176 | 189,411 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 10/01/33 | 16 | 16,858 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 10/01/33 | 47 | 51,448 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 10/01/33 | 215 | 232,321 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/35 | 2 | 2,461 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/39 | 1,379 | 1,492,488 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 08/01/39 | 2,192 | 2,377,167 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 03/01/41 | 761 | 824,570 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | TBA | 6,500 | 7,080,938 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18 | 31 | 31,904 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 01/01/19 | 108 | 111,102 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 03/01/34 | 411 | 448,189 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 06/01/35 | 154 | 168,551 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/35 | 213 | 232,965 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 09/01/35 | 140 | 154,102 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 11/01/35 | 137 | 150,751 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 02/01/36 | 197 | 215,206 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 05/01/36 | 100 | 109,223 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/17 | 22 | 22,287 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/18 | 11 | 11,597 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/20 | 49 | 50,922 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/21 | 112 | 118,341 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 09/01/33 | 475 | 530,010 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/33 | 120 | 134,210 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/33 | 84 | 94,689 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/34 | 2 | 2,374 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/34 | 339 | 380,237 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/35 | 1,264 | 1,417,926 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/36 | 229 | 255,432 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/36 | 174 | 194,220 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/37 | 182 | 203,229 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17 | 3 | 2,570 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/21 | 89 | 94,915 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/22 | 73 | 77,551 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 04/01/33 | 32 | 36,392 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/33 | 7 | 8,079 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/33 | 551 | 638,992 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 10 | 11,577 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 76 | 86,388 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 32 | 36,393 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/33 | 42 | 47,729 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/34 | 494 | 564,156 |
SEE NOTES TO FINANCIAL STATEMENTS.
A25
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/34 | 114 | $ | 131,300 | |||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 123 | 141,154 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 79 | 89,380 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 07/01/34 | 271 | 308,229 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/34 | 1 | 938 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/34 | 7 | 8,099 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 6 | 7,340 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 64 | 72,883 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/34 | 25 | 28,575 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 97 | 112,044 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 327 | 375,524 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 6 | 6,885 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 139 | 156,869 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 377 | 435,303 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/35 | 4 | 4,756 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 04/01/35 | 1 | 1,718 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 07/01/36 | 76 | 86,698 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/37 | 133 | 151,073 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/37 | 51 | 57,456 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/37 | 1 | 1,566 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/37 | 35 | 39,270 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/37 | 1 | 636 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/37 | 1 | 953 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/37 | 53 | 59,546 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/38 | 126 | 143,050 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/38 | 3 | 3,534 | ||||||||||
Federal National Mortgage Assoc.(h) | 6.250% | 05/15/29 | 1,245 | 1,650,261 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17 | 1 | 1,350 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/17 | 10 | 10,119 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/32 | 62 | 70,385 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/32 | 2 | 2,794 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 92 | 103,708 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 15 | 17,334 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 103 | 116,576 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 85 | 96,063 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 11 | 12,869 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 04/01/33 | 161 | 187,664 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/33 | 98 | 111,142 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/34 | 82 | 92,248 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/34 | 98 | 110,834 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/34 | 217 | 245,859 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/36 | 104 | 117,314 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/36 | 54 | 62,334 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/36 | 46 | 51,564 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/37 | 43 | 48,325 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/37 | 121 | 137,158 | ||||||||||
Federal National Mortgage Assoc.(i) | 6.625% | 11/15/30 | 480 | 667,721 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32 | 41 | 46,667 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 03/01/32 | 3 | 2,937 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32 | 23 | 26,922 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 06/01/32 | 25 | 28,583 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 07/01/32 | 75 | 84,620 | ||||||||||
Federal National Mortgage Assoc.(h)(i) | 7.125% | 01/15/30 | 3,195 | 4,559,156 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 18 | 18,141 | ||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 15,500 | 15,694,052 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 1,643 | 1,662,172 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 12,500 | 12,993,896 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43 | 651 | 679,592 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 04/20/45 | 3,166 | 3,294,462 |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 3,000 | $ | 3,185,918 | |||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40 | 155 | 164,731 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 05/20/41 | 121 | 128,848 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 1,000 | 1,081,367 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40 | 1,179 | 1,279,507 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 01/20/41 | 861 | 929,067 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41 | 1,471 | 1,584,368 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 03/20/41 | 736 | 793,721 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 10/20/37 | 192 | 212,203 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 04/20/45 | 1,246 | 1,341,449 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33 | 274 | 305,952 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33 | 308 | 344,997 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 09/15/33 | 88 | 98,618 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 12/15/33 | 57 | 64,087 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/34 | 206 | 232,218 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 12/15/34 | 470 | 534,309 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 07/15/35 | 124 | 139,515 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 04/15/36 | 173 | 195,574 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/23 | 1 | 717 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 05/15/32 | 1 | 647 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 04/15/33 | 14 | 16,137 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/33 | 159 | 181,565 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 65 | 73,336 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 96 | 110,689 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 53 | 63,149 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 06/20/34 | 173 | 200,905 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 07/15/34 | 125 | 142,563 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23 | 2 | 1,752 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 12/15/23 | 7 | 8,490 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 29 | 33,522 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 84 | 95,676 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 30 | 34,241 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 54 | 61,811 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | — | (j) | 237 | |||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 2 | 2,530 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 2 | 1,736 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 5 | 5,276 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 15 | 17,605 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 3 | 2,924 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 10 | 11,976 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 33 | 37,870 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 32 | 36,444 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 10 | 11,946 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 12 | 13,290 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 4 | 4,750 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 03/15/24 | 3 | 3,179 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 03/15/24 | 5 | 5,911 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 03/15/24 | 5 | 5,937 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 2 | 2,188 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 1 | 1,172 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 7 | 7,555 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 4 | 4,541 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 9 | 10,658 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 22 | 24,945 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 5 | 5,730 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 3 | 3,939 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 5 | 6,158 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 9 | 10,355 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 40 | 45,847 |
SEE NOTES TO FINANCIAL STATEMENTS.
A27
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/24 | 36 | $ | 40,539 | |||||||||
Government National Mortgage Assoc. | 6.500% | 11/15/28 | 9 | 9,844 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/31 | 8 | 9,353 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 12/15/31 | 15 | 16,656 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/32 | 29 | 33,332 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/32 | 57 | 64,713 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 06/15/32 | 26 | 29,854 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32 | 52 | 59,599 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 9 | 9,713 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 11 | 12,493 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 9 | 10,609 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 43 | 48,866 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 285 | 328,790 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/34 | 31 | 35,286 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 06/15/35 | 61 | 71,071 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/36 | 63 | 75,251 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24 | 13 | 13,035 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 07/15/24 | 1 | 919 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 2,835 | 2,883,856 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000% | 06/30/25 | 915 | 933,337 | ||||||||||
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 12/04/23 | 190 | 226,030 | ||||||||||
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 04/26/24 | 500 | 599,375 | ||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.804% | (f) | 01/15/30 | 870 | 568,667 | |||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.962% | (f) | 04/15/30 | 1,705 | 1,104,192 | |||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 950 | 1,353,311 | ||||||||||
Tunisia Government, USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.416% | 08/05/21 | 600 | 579,985 | ||||||||||
Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.471% | 09/29/21 | 800 | 780,995 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 254,191,879 | ||||||||||||
U.S. TREASURY OBLIGATIONS — 2.4% | ||||||||||||||
U.S. Treasury Bonds | 2.250% | 08/15/46 | 540 | 454,043 | ||||||||||
U.S. Treasury Bonds | 2.875% | 11/15/46 | 1,125 | 1,086,153 | ||||||||||
U.S. Treasury Bonds | 4.250% | 11/15/40 | 440 | 534,187 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 2.375% | 01/15/25 | 30,058 | 34,512,833 | ||||||||||
U.S. Treasury Notes(a) | 1.750% | 11/30/21 | 5,855 | 5,811,316 | ||||||||||
U.S. Treasury Notes | 2.000% | 11/15/26 | 1,320 | 1,270,035 | ||||||||||
U.S. Treasury Notes(a) | 2.125% | 11/30/23 | 5,030 | 4,996,596 | ||||||||||
U.S. Treasury Notes | 2.125% | 05/15/25 | 2,150 | 2,107,671 | ||||||||||
U.S. Treasury Strips Coupon | 2.184% | (f) | 02/15/28 | 2,115 | 1,564,628 | |||||||||
U.S. Treasury Strips Coupon | 2.241% | (f) | 05/15/28 | 1,055 | 772,773 | |||||||||
U.S. Treasury Strips Coupon | 2.280% | (f) | 02/15/29 | 1,055 | 753,730 | |||||||||
U.S. Treasury Strips Coupon | 2.384% | (f) | 05/15/29 | 2,175 | 1,543,156 | |||||||||
U.S. Treasury Strips Coupon | 2.519% | (f) | 08/15/25 | 1,930 | 1,553,478 | |||||||||
U.S. Treasury Strips Coupon | 2.783% | (f) | 08/15/29 | 1,000 | 703,671 | |||||||||
U.S. Treasury Strips Coupon | 2.878% | (f) | 05/15/31 | 1,000 | 662,633 | |||||||||
U.S. Treasury Strips Coupon | 3.042% | (f) | 11/15/35 | 2,000 | 1,132,774 | |||||||||
U.S. Treasury Strips Coupon | 3.202% | (f) | 08/15/40 | 2,000 | 944,778 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 60,404,455 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 2,170,144,507 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A28
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Shares | Value (Note 2) | |||||||||||||
SHORT-TERM INVESTMENTS — 19.4% | ||||||||||||||
AFFILIATED MUTUAL FUNDS — 19.2% | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(k) | 10,793,450 | $ | 100,055,283 | |||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(k) | 288,393,616 | 288,393,616 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 86,646,351 | 86,663,681 | ||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 475,112,580 | ||||||||||||
Interest Rate | Maturity Date | Principal Amount (000)# | ||||||||||||
U.S. TREASURY OBLIGATION — 0.2% | ||||||||||||||
U.S. Treasury Bills(h) | 0.480% | (m) | 03/16/17 | 5,195,000 | 5,189,805 | |||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 480,302,385 | ||||||||||||
TOTAL INVESTMENTS — 107.2% |
| 2,650,446,892 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (7.2)% |
| (177,219,891 | ) | |||||||||||
NET ASSETS — 100.0% |
| $ | 2,473,227,001 | |||||||||||
See the Glossary for abbreviations used in the annual report.
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $84,452,982; cash collateral of $86,591,303 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2016. |
(c) | Indicates a security that has been deemed illiquid. (unaudited) |
(d) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $21,006,417 and 0.8% of net assets. |
(e) | Represents issuer in default on interest payments and/or principal re-payments; non-income producing security. Such securities may be post maturity. |
(f) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(g) | Represents CAS issued by Fannie Mae or STACR securities issued by Freddie Mac. |
(h) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(i) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
(j) | Less than $500 par. |
(k) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(l) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(m) | Rate quoted represents yield-to-maturity as of purchase date. |
(n) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Futures contracts outstanding at December 31, 2016:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Long Positions: | ||||||||||||||||||||||
582 | 2 Year U.S. Treasury Notes | Mar. 2017 | $ | 126,082,732 | $ | 126,112,125 | $ | 29,393 | ||||||||||||||
1,039 | 5 Year U.S. Treasury Notes | Mar. 2017 | 122,578,326 | 122,252,961 | (325,365 | ) | ||||||||||||||||
499 | 10 Year U.S. Treasury Notes | Mar. 2017 | 62,021,376 | 62,016,343 | (5,033 | ) | ||||||||||||||||
321 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2017 | 51,751,616 | 51,440,250 | (311,366 | ) | ||||||||||||||||
9 | Mini MSCI EAFE Index | Mar. 2017 | 758,539 | 754,020 | (4,519 | ) | ||||||||||||||||
98 | S&P 500 E-Mini Index | Mar. 2017 | 11,081,081 | 10,957,380 | (123,701 | ) | ||||||||||||||||
61 | S&P 500 Index | Mar. 2017 | 34,395,968 | 34,102,050 | (293,918 | ) | ||||||||||||||||
(1,034,509 | ) | |||||||||||||||||||||
Short Position: | ||||||||||||||||||||||
212 | 20 Year U.S. Treasury Bonds | Mar. 2017 | 31,997,134 | 31,939,125 | 58,009 | |||||||||||||||||
$ | (976,500 | ) | ||||||||||||||||||||
A U.S. Treasury Obligation with a market value of $5,189,805 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations with a combined market value of $3,595,449 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2016.
Credit default swap agreements outstanding at December 31, 2016:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at December 31, 2016(4) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared credit default swap on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.24.V1 | 06/20/20 | 1.000% | 53,000 | $ | (997,536 | ) | $ | (886,257 | ) | $ | 111,279 | |||||||||||||
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The fair value of credit default swap agreements on credit indices, asset-backed securities and centrally cleared corporate and/or sovereign issues serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of OTC credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
SEE NOTES TO FINANCIAL STATEMENTS.
A30
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Interest rate swap agreements outstanding at December 31, 2016:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: |
| ||||||||||||||||||||||
115,305 | 09/09/17 | 0.539% | 1 Day USOIS(1) | $ | 404 | $ | 144,058 | $ | 143,654 | |||||||||||||||
94,515 | 10/18/17 | 0.607% | 1 Day USOIS(1) | 235 | 109,392 | 109,157 | ||||||||||||||||||
52,530 | 11/09/17 | 0.626% | 1 Day USOIS(1) | 268 | 69,806 | 69,538 | ||||||||||||||||||
2,270 | 07/11/18 | 0.947% | 3 Month LIBOR(1) | 155 | 13,085 | 12,930 | ||||||||||||||||||
7,060 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (14,313 | ) | (70,337 | ) | (56,024 | ) | |||||||||||||||
20,465 | 11/30/22 | 1.850% | 3 Month LIBOR(1) | 261 | 239,580 | 239,319 | ||||||||||||||||||
6,240 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 184 | 26,396 | 26,212 | ||||||||||||||||||
1,900 | 12/31/22 | 1.405% | 3 Month LIBOR(1) | 160 | 71,750 | 71,590 | ||||||||||||||||||
1,500 | 12/31/22 | 1.406% | 3 Month LIBOR(1) | 158 | 56,519 | 56,361 | ||||||||||||||||||
2,900 | 12/31/22 | 1.409% | 3 Month LIBOR(1) | 166 | 108,857 | 108,691 | ||||||||||||||||||
700 | 12/31/22 | 1.412% | 3 Month LIBOR(1) | 154 | 26,168 | 26,014 | ||||||||||||||||||
1,000 | 12/31/22 | 1.495% | 3 Month LIBOR(1) | 156 | 32,600 | 32,444 | ||||||||||||||||||
2,080 | 05/31/23 | 1.203% | 3 Month LIBOR(1) | 161 | 114,318 | 114,157 | ||||||||||||||||||
1,785 | 05/31/23 | 1.399% | 3 Month LIBOR(1) | (32,437 | ) | 76,817 | 109,254 | |||||||||||||||||
8,410 | 08/02/23 | —(3) | —(3) | (2,727 | ) | 22,891 | 25,618 | |||||||||||||||||
12,748 | 08/02/23 | —(4) | —(4) | 1,092 | 36,772 | 35,680 | ||||||||||||||||||
3,245 | 08/03/23 | —(5) | —(5) | (1,211 | ) | 9,120 | 10,331 | |||||||||||||||||
6,160 | 08/19/23 | 0.898% | 1 Day USOIS(1) | 183 | 330,150 | 329,967 | ||||||||||||||||||
8,025 | 10/27/23 | 1.073% | 1 Day USOIS(1) | 193 | 363,519 | 363,326 | ||||||||||||||||||
5,570 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 190 | 21,803 | 21,613 | ||||||||||||||||||
22,150 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 238 | 136,895 | 136,657 | ||||||||||||||||||
140 | 05/15/26 | 1.652% | 3 Month LIBOR(1) | 6 | 7,814 | 7,808 | ||||||||||||||||||
1,670 | 05/15/37 | 2.726% | 3 Month LIBOR(2) | 177 | 38,069 | 37,892 | ||||||||||||||||||
2,190 | 11/15/41 | 1.869% | 3 Month LIBOR(1) | 8,538 | 301,372 | 292,834 | ||||||||||||||||||
$ | (37,609 | ) | $ | 2,287,414 | $ | 2,325,023 | ||||||||||||||||||
U.S. Government Agency Obligations with a combined market value of $4,149,973 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared credit default and interest rate swap contracts at December 31, 2016.
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
(3) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.25 bps. |
(4) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.50 bps. |
(5) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.375 bps. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A31
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks | $ | 1,225,848,357 | $ | 23,891,315 | $ | — | ||||||
Preferred Stocks | 1,267,000 | 270,985 | — | |||||||||
Unaffiliated Exchange Traded Fund | 186,237 | — | — | |||||||||
Asset-Backed Securities |
| |||||||||||
Collateralized Loan Obligations | — | 41,166,738 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 68,211,753 | — | |||||||||
Residential Mortgage-Backed Securities | — | 16,175,064 | 2,820,000 | |||||||||
Bank Loans | — | 6,723,740 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 114,907,756 | — | |||||||||
Corporate Bonds | — | 264,012,034 | — | |||||||||
Municipal Bonds | — | 14,421,970 | — | |||||||||
Non-Corporate Foreign Agencies | — | 19,255,078 | — | |||||||||
Residential Mortgage-Backed Securities | — | 23,937,946 | 18,186,417 | |||||||||
Sovereign Bonds | — | 14,265,783 | — | |||||||||
U.S. Government Agency Obligations | — | 254,191,879 | — | |||||||||
U.S. Treasury Obligations | — | 65,594,260 | — | |||||||||
Affiliated Mutual Funds | 475,112,580 | — | — | |||||||||
Other Financial Instruments* |
| |||||||||||
Futures Contracts | (976,500 | ) | — | — | ||||||||
Centrally Cleared Credit Default Swap Agreement | — | 111,279 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 2,325,023 | — | |||||||||
Total | $ | 1,701,437,674 | $ | 929,462,603 | $ | 21,006,417 | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Affiliated Mutual Funds (including 3.5% of collateral for securities on loan) | 19.2 | % | ||
U.S. Government Agency Obligations | 10.3 | |||
Banks | 6.4 | |||
Commercial Mortgage-Backed Securities | 4.6 | |||
Oil, Gas & Consumable Fuels | 3.2 | |||
Pharmaceuticals | 3.0 | |||
Non-Residential Mortgage-Backed Securities | 2.7 | |||
U.S. Treasury Obligations | 2.6 | |||
Residential Mortgage-Backed Securities | 2.5 | |||
Software | 2.4 | |||
Internet Software & Services | 2.1 | |||
Media | 2.1 | |||
Insurance | 2.0 | |||
Technology Hardware, Storage & Peripherals | 1.9 | |||
IT Services | 1.9 | |||
Collateralized Loan Obligations | 1.7 | |||
Semiconductors & Semiconductor Equipment | 1.7 | |||
Capital Markets | 1.6 | |||
Biotechnology | 1.5 | |||
Equity Real Estate Investment Trusts (REITs) | 1.4 | |||
Diversified Telecommunication Services | 1.3 | |||
Health Care Providers & Services | 1.3 | |||
Chemicals | 1.3 | |||
Industrial Conglomerates | 1.3 |
Specialty Retail | 1.3 | % | ||
Health Care Equipment & Supplies | 1.2 | |||
Diversified Financial Services | 1.1 | |||
Internet & Direct Marketing Retail | 1.1 | |||
Beverages | 1.1 | |||
Aerospace & Defense | 1.1 | |||
Food & Staples Retailing | 1.0 | |||
Electric Utilities | 1.0 | |||
Household Products | 0.9 | |||
Tobacco | 0.8 | |||
Food Products | 0.8 | |||
Hotels, Restaurants & Leisure | 0.8 | |||
Non-Corporate Foreign Agencies | 0.8 | |||
Machinery | 0.8 | |||
Telecommunications | 0.6 | |||
Municipal Bonds | 0.6 | |||
Electric | 0.6 | |||
Sovereign Bonds | 0.6 | |||
Energy Equipment & Services | 0.6 | |||
Oil & Gas | 0.6 | |||
Airlines | 0.5 | |||
Multi-Utilities | 0.5 | |||
Communications Equipment | 0.5 | |||
Road & Rail | 0.5 | |||
Consumer Finance | 0.4 |
SEE NOTES TO FINANCIAL STATEMENTS.
A32
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Industry table (cont.) | ||||
Air Freight & Logistics | 0.4 | % | ||
Healthcare-Services | 0.4 | |||
Textiles, Apparel & Luxury Goods | 0.4 | |||
Healthcare-Products | 0.3 | |||
Automobiles | 0.3 | |||
Retail | 0.3 | |||
Life Sciences Tools & Services | 0.3 | |||
Electrical Equipment | 0.3 | |||
Auto Manufacturers | 0.3 | |||
Multiline Retail | 0.3 | |||
Household Durables | 0.2 | |||
Pipelines | 0.2 | |||
Computers | 0.2 | |||
Lodging | 0.2 | |||
Electronic Equipment, Instruments & Components | 0.2 | |||
Agriculture | 0.2 | |||
Building Products | 0.2 | |||
Metals & Mining | 0.2 | |||
Commercial Services & Supplies | 0.2 | |||
Technology | 0.2 | |||
Containers & Packaging | 0.2 | |||
Professional Services | 0.1 |
Transportation | 0.1 | % | ||
Trading Companies & Distributors | 0.1 | |||
Food | 0.1 | |||
Multi-National | 0.1 | |||
Auto Components | 0.1 | |||
Mining | 0.1 | |||
Housewares | 0.1 | |||
Machinery-Diversified | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Commercial Services | 0.1 | |||
Miscellaneous Manufacturing | 0.1 | |||
Forest Products & Paper | 0.1 | |||
Construction Materials | 0.1 | |||
Personal Products | 0.1 | |||
Construction & Engineering | 0.1 | |||
Distributors | 0.1 | |||
Semiconductors | 0.1 | |||
Packaging & Containers | 0.1 | |||
107.2 | ||||
Liabilities in excess of other assets | (7.2 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2016 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Due from/to broker — variation margin swaps | $ | 111,279 | * | — | $ | — | |||||
Equity contracts | — | — | Due from/to broker — variation margin futures | 422,138 | * | |||||||
Interest rate contracts | Due from/to broker — variation margin futures | 87,402 | * | Due from/to broker — variation margin futures | 641,764 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 2,381,047 | * | Due from/to broker — variation margin swaps | 56,024 | * | ||||||
Total | $ | 2,579,728 | $ | 1,119,926 | ||||||||
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Forward Rate Agreements | Swaps | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (631,785 | ) | $ | (631,785 | ) | ||||||||||||
Equity contracts | 22 | — | — | 7,279,186 | — | — | 7,279,208 | |||||||||||||||||||||
Interest rate contracts | — | (745,107 | ) | (403,265 | ) | (4,915,630 | ) | 17,708 | (1,501,249 | ) | (7,547,543 | ) | ||||||||||||||||
Total | $ | 22 | $ | (745,107 | ) | $ | (403,265 | ) | $ | 2,363,556 | $ | 17,708 | $ | (2,133,034 | ) | $ | (900,120 | ) | ||||||||||
* Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
A33
CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (457,392 | ) | $ | (457,392 | ) | ||||||||||||
Equity contracts | (34 | ) | — | — | (687,841 | ) | — | (687,875 | ) | |||||||||||||||||
Interest rate contracts | — | 300,971 | (177,697 | ) | (846,024 | ) | 3,558,589 | 2,835,839 | ||||||||||||||||||
Total | $ | (34 | ) | $ | 300,971 | $ | (177,697 | ) | $ | (1,533,865 | ) | $ | 3,101,197 | $ | 1,690,572 | |||||||||||
* | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2016, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— | Futures Contracts— | |||
$87,742 | $192,260,000 | $338,657,642 | $71,509,435 | |||
Interest Rate Swap | Credit Default | Credit Default | Total Return Swap | |||
$221,572,800 | $53,000,000 | $2,554,000 | $3,600,000 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Trade Date. |
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 84,452,982 | $ | (84,452,982 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A34
CONSERVATIVE BALANCED PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $84,452,982: | ||||
Unaffiliated investments (cost $1,421,402,758) | $ | 2,175,334,312 | ||
Affiliated investments (cost $478,326,417) | 475,112,580 | |||
Cash | 12,645 | |||
Foreign currency, at value (cost $63,940) | 62,765 | |||
Receivable for investments sold | 20,829,142 | |||
Dividends and interest receivable | 7,438,828 | |||
Tax reclaim receivable | 527,213 | |||
Due from broker—variation margin futures | 522,380 | |||
Receivable for Series shares sold | 109,157 | |||
Prepaid expenses | 19,144 | |||
Receivable from affiliate | 2,300 | |||
Total Assets | 2,679,970,466 | |||
LIABILITIES | ||||
Payable for investments purchased | 118,254,831 | |||
Payable to broker for collateral for securities on loan | 86,591,303 | |||
Management fee payable | 1,154,093 | |||
Accrued expenses and other liabilities | 273,082 | |||
Due to broker—variation margin futures | 176,950 | |||
Payable for Series shares repurchased | 148,408 | |||
Due to broker—variation margin swaps | 143,818 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 206,743,465 | |||
NET ASSETS | $ | 2,473,227,001 | ||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 1,153,785,703 | ||
Retained earnings | 1,319,441,298 | |||
Net assets, December 31, 2016 | $ | 2,473,227,001 | ||
Net asset value and redemption price per share | $ | 24.18 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax of $291,761, of which $24,389 is reimbursable by an affiliate) | $ | 27,766,840 | ||
Interest income | 27,279,906 | |||
Affiliated dividend income | 3,662,538 | |||
Income from securities lending, net (including affiliated income of $319,996) | 346,200 | |||
Total income | 59,055,484 | |||
EXPENSES | ||||
Management fee | 13,680,400 | |||
Custodian and accounting fees (net of $17,100 fee credit) | 383,000 | |||
Shareholders’ reports | 254,000 | |||
Audit fee | 53,000 | |||
Trustees’ fees | 33,000 | |||
Insurance expenses | 30,000 | |||
Legal fees and expenses | 15,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Commitment fee on syndicated credit agreement | 5,000 | |||
Miscellaneous | 46,221 | |||
Total expenses | 14,511,621 | |||
NET INVESTMENT INCOME (LOSS) | 44,543,863 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: |
| |||
Investment transactions (including affiliated of $2,284) | 28,856,570 | |||
Futures transactions | 2,363,556 | |||
Options written transactions | (403,265 | ) | ||
Swap agreement transactions | (2,133,034 | ) | ||
Forward rate agreement transactions | 17,708 | |||
Foreign currency transactions | (43,231 | ) | ||
28,658,304 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $13,988) | 97,179,829 | |||
Futures | (1,533,865 | ) | ||
Options written | (177,697 | ) | ||
Swap agreements | 3,101,197 | |||
Foreign currencies | (5,477 | ) | ||
98,563,987 | ||||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 127,222,291 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 171,766,154 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 44,543,863 | $ | 42,958,646 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 28,658,304 | 125,966,448 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 98,563,987 | (158,615,573 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 171,766,154 | 10,309,521 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [338,782 and 6,321,083 shares, respectively] | 7,843,814 | 143,898,043 | ||||||
Series shares repurchased [11,378,786 and 7,700,902 shares, respectively] | (262,953,434 | ) | (174,291,543 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (255,109,620 | ) | (30,393,500 | ) | ||||
CAPITAL CONTRIBUTIONS (Note 4) | 2,299,220 | — | ||||||
TOTAL INCREASE (DECREASE) | (81,044,246 | ) | (20,083,979 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 2,554,271,247 | 2,574,355,226 | ||||||
End of year | $ | 2,473,227,001 | $ | 2,554,271,247 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A35
DIVERSIFIED BOND PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 89.3% ASSET-BACKED SECURITIES — 13.9% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Collateralized Loan Obligations — 4.7% |
| |||||||||||||||||
A Voce CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A | 2.330% | (a) | 07/15/26 | 500 | $ | 498,930 | ||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 2.061% | (a) | 04/20/25 | 3,300 | 3,296,274 | |||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.480% | (a) | 10/15/26 | 1,750 | 1,754,443 | |||||||||||||
Avery Point V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.340% | (a) | 07/17/26 | 1,000 | 1,001,649 | |||||||||||||
Battalion CLO IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 2.282% | (a) | 10/22/25 | 1,300 | 1,305,265 | |||||||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 2.480% | (a) | 10/17/26 | 2,750 | 2,753,886 | |||||||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 2.080% | (a) | 07/15/24 | 900 | 896,647 | |||||||||||||
Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2012-IA, Class A2R, 144A | 3.132% | (a) | 10/15/25 | 1,000 | 1,004,015 | |||||||||||||
Benefit Street Partners CLO V Ltd. (Cayman Islands), Series 2014-VA, Class A, 144A | 2.481% | (a) | 10/20/26 | 1,250 | 1,255,938 | |||||||||||||
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 2.360% | (a) | 01/15/26 | 700 | 701,123 | |||||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.030% | (a) | 04/17/25 | 2,600 | 2,596,508 | |||||||||||||
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1A, 144A | 2.346% | (a) | 07/27/26 | 250 | 250,428 | |||||||||||||
ECP CLO Ltd. (Cayman Islands), Series 2014-6A, Class A1A, 144A | 2.330% | (a) | 07/15/26 | 1,500 | 1,497,755 | |||||||||||||
Flagship VII CLO Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 2.351% | (a) | 01/20/26 | 2,500 | 2,504,840 | |||||||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.280% | (a) | 01/17/26 | 1,250 | 1,249,586 | |||||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.420% | (a) | 04/15/27 | 2,250 | 2,251,500 | |||||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A | 2.430% | (a) | 07/15/26 | 250 | 250,012 | |||||||||||||
Palmer Square CLO Ltd. (Cayman Islands), Series 2015-2A, Class A1A, 144A | 2.381% | (a) | 07/20/27 | 1,000 | 1,001,794 | |||||||||||||
Regatta V Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1A, 144A | 2.442% | (a) | 10/25/26 | 4,375 | 4,386,720 | |||||||||||||
Shackleton III CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A | 3.440% | 04/15/25 | 700 | 699,499 | ||||||||||||||
Shackleton V CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.381% | (a) | 05/07/26 | 1,250 | 1,254,145 | |||||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.930% | (a) | 04/15/25 | 7,300 | 7,287,160 | |||||||||||||
Sound Point CLO VI Ltd. (Cayman Islands), Series 2014-2A, Class A1, 144A | 2.241% | (a) | 10/20/26 | 750 | 748,767 | |||||||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A | 2.332% | (a) | 01/18/26 | 3,300 | 3,305,675 | |||||||||||||
Trinitas CLO V Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A | 2.434% | (a) | 10/25/28 | 3,250 | 3,249,268 | |||||||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.000% | (a) | 07/15/25 | 300 | 300,128 | |||||||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.020% | (a) | 04/15/24 | 4,200 | 4,201,663 | |||||||||||||
51,503,618 | ||||||||||||||||||
Non-Residential Mortgage-Backed Securities — 3.1% |
| |||||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 144A | 2.990% | 06/20/22 | 2,500 | 2,494,619 | ||||||||||||||
Earnest Student Loan Program LLC, Series 2016-D, Class A1, 144A | 2.156% | (a) | 01/25/41 | 689 | 690,637 | |||||||||||||
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A | 2.730% | 03/25/21 | 3,200 | 3,176,951 | ||||||||||||||
Hertz Vehicle Financing LLC, Series 2016-2A, Class A, 144A | 2.950% | 03/25/22 | 1,600 | 1,581,454 | ||||||||||||||
Lendmark Funding Trust, Series 2016-2A, Class A, 144A | 3.260% | 04/21/25 | 700 | 695,488 | ||||||||||||||
Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A | 3.540% | 10/20/32 | 1,155 | 1,166,859 |
SEE NOTES TO FINANCIAL STATEMENTS.
A36
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Non-Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||||
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class C, 144A | 4.580% | 09/15/21 | 1,600 | $ | 1,609,740 | |||||||||||||
OneMain Financial Issuance Trust, Series 2015-1A, Class A, 144A | 3.190% | 03/18/26 | 1,000 | 1,007,097 | ||||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 4,100 | 4,100,144 | ||||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class C, 144A | 4.320% | 07/18/25 | 1,100 | 1,084,873 | ||||||||||||||
OneMain Financial Issuance Trust, Series 2016-1A, Class A, 144A | 3.660% | 02/20/29 | 2,500 | 2,527,491 | ||||||||||||||
OneMain Financial Issuance Trust, Series 2016-2A, Class A, 144A | 4.100% | 03/20/28 | 2,600 | 2,650,690 | ||||||||||||||
Oportun Funding IV LLC, Series 2016-C, Class A, 144A | 3.280% | 11/08/21 | 2,300 | 2,284,218 | ||||||||||||||
SpringCastle America Funding LLC, Series 2016-AA, Class A, 144A | 3.050% | 04/25/29 | 4,048 | 4,067,741 | ||||||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 5,200 | 5,241,081 | ||||||||||||||
34,379,083 | ||||||||||||||||||
Residential Mortgage-Backed Securities — 6.1% |
| |||||||||||||||||
ABFC Trust, Series 2004-OPT1, Class M1 | 1.806% | (a) | 08/25/33 | 1,054 | 1,008,219 | |||||||||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1 | 1.656% | (a) | 09/25/33 | 1,081 | 1,013,397 | |||||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-AR1, Class M3 | 5.092% | (a) | 01/25/33 | 1,892 | 1,863,484 | |||||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 | 1.716% | (a) | 09/25/34 | 595 | 592,576 | |||||||||||||
Ameriquest Mortgage Securities, Inc. Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3 | 3.681% | (a) | 10/25/31 | 329 | 328,367 | |||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, | 3.878% | (a) | 09/25/33 | 2,400 | 2,241,970 | |||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2 | 1.364% | (a) | 10/25/34 | 1,589 | 1,551,477 | |||||||||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W6, Class M1 | 1.581% | (a) | 05/25/34 | 856 | 821,539 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1 | 1.949% | (a) | 06/15/33 | 948 | 912,475 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1 | 1.754% | (a) | 01/15/34 | 981 | 951,553 | |||||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1 | 1.484% | (a) | 08/25/34 | 1,336 | 1,282,367 | |||||||||||||
Bayview Opportunity Master Fund IIIa Trust, Series 2016-RN3, Class A1, 144A | 3.598% | 09/29/31 | 1,003 | 998,969 | ||||||||||||||
Bayview Opportunity Master Fund lIIb NPL Trust, Series 2015-NPLA, Class A, 144A | 3.721% | 07/28/35 | 3,125 | 3,124,726 | ||||||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1 | 1.484% | (a) | 03/25/34 | 2,993 | 2,879,517 | |||||||||||||
Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2 | 2.309% | (a) | 04/25/34 | 1,935 | 1,810,422 | |||||||||||||
Centex Home Equity Loan Trust, Series 2004-B, Class AF6 | 4.686% | 03/25/34 | 747 | 766,740 | ||||||||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-HE4, Class M2 | 3.006% | (a) | 08/25/32 | 37 | 33,880 | |||||||||||||
Credit Suisse Mortgage Trust, Series 16-RPL1, Class A1, 144A | 3.767% | (a) | 12/26/46 | 5,051 | 5,032,684 | |||||||||||||
Credit Suisse Mortgage Trust, Series 2016-12R, Class 1A1, 144A(b) | 3.239% | 02/28/47 | 3,440 | 3,440,000 | ||||||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.792% | 07/25/34 | 438 | 415,540 | ||||||||||||||
FBR Securitization Trust, Series 2005-2, Class M1 | 1.304% | (a) | 09/25/35 | 1,762 | 1,748,580 | |||||||||||||
Fremont Home Loan Trust, Series 2003-B, Class M1 | 1.806% | (a) | 12/25/33 | 157 | 148,976 | |||||||||||||
GSAMP Trust, Series 2004-FM1, Class M1 | 1.731% | (a) | 11/25/33 | 1,408 | 1,330,903 | |||||||||||||
Long Beach Mortgage Loan Trust, Series 2004-1, Class M1 | 1.506% | (a) | 02/25/34 | 2,774 | 2,676,289 | |||||||||||||
MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1 | 1.536% | (a) | 02/25/34 | 1,556 | 1,495,857 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1 | 1.956% | (a) | 08/25/35 | 439 | 419,443 | |||||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A | 1.276% | (a) | 06/25/35 | 1,242 | 1,199,060 | |||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.956% | (a) | 05/25/33 | 839 | 816,719 |
SEE NOTES TO FINANCIAL STATEMENTS.
A37
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||||
Residential Mortgage-Backed Securities (continued) |
| |||||||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1 | 1.776% | (a) | 10/25/33 | 631 | $ | 595,407 | ||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.806% | (a) | 12/27/33 | 548 | 533,448 | |||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1 | 1.626% | (a) | 11/25/34 | 3,688 | 3,431,654 | |||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1 | 1.686% | (a) | 06/25/34 | 1,510 | 1,469,215 | |||||||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1 | 1.671% | (a) | 07/25/34 | 1,236 | 1,181,640 | |||||||||||||||
New Century Home Equity Loan Trust, Series 2003-4, Class M1 | 1.881% | (a) | 10/25/33 | 2,245 | 2,166,044 | |||||||||||||||
New Century Home Equity Loan Trust, Series 2004-4, Class M1 | 1.521% | (a) | 02/25/35 | 2,540 | 2,363,623 | |||||||||||||||
Residential Asset Securities Corp., Series 2004-KS1, Class AI5 | 5.721% | 02/25/34 | 882 | 906,329 | ||||||||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1 | 1.536% | (a) | 02/25/34 | 2,448 | 2,302,385 | |||||||||||||||
Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1 | 1.521% | (a) | 02/25/35 | 1,038 | 969,807 | |||||||||||||||
Structured Asset Investment Loan Trust, Series 2004-2, Class A4 | 1.461% | (a) | 03/25/34 | 2,020 | 1,862,064 | |||||||||||||||
Structured Asset Investment Loan Trust, Series 2004-7, Class A8 | 1.956% | (a) | 08/25/34 | 1,400 | 1,259,116 | |||||||||||||||
VOLT LI LLC, Series 2016-NP11, Class A1, 144A | 3.500% | 10/25/46 | 1,504 | 1,500,332 | ||||||||||||||||
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A | 4.250% | 04/25/46 | 2,290 | 2,306,037 | ||||||||||||||||
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A | 3.625% | 07/25/45 | 3,862 | 3,858,752 | ||||||||||||||||
67,611,582 | ||||||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 153,494,283 | ||||||||||||||||||
BANK LOANS(a) — 2.9% | ||||||||||||||||||||
Aerospace & Defense — 0.2% |
| |||||||||||||||||||
TransDigm, Inc. | 3.845% | 05/14/22 | 1,967 | 1,978,052 | ||||||||||||||||
Automotive — 0.1% |
| |||||||||||||||||||
Chrysler Group LLC | 3.270% | 12/31/18 | 406 | 407,183 | ||||||||||||||||
Chrysler Group LLC | 3.500% | 05/24/17 | 778 | 779,657 | ||||||||||||||||
1,186,840 | ||||||||||||||||||||
Chemicals — 0.1% |
| |||||||||||||||||||
Axalta Coating Systems US Holding | 3.453% | 02/01/23 | 509 | 513,982 | ||||||||||||||||
MacDermid, Inc. | 4.500% | 06/07/20 | 611 | 617,959 | ||||||||||||||||
1,131,941 | ||||||||||||||||||||
Consumer — 0.1% |
| |||||||||||||||||||
Generac Power Systems, Inc. | 3.748% | 05/31/23 | 876 | 882,258 | ||||||||||||||||
Diversified Manufacturing — 0.1% |
| |||||||||||||||||||
CeramTec GmbH (Germany) | 3.750% | 08/30/20 | EUR | 900 | 953,310 | |||||||||||||||
Gaming — 0.1% |
| |||||||||||||||||||
CCM Merger, Inc.(b) | 4.020% | 08/06/21 | 1,494 | 1,509,078 | ||||||||||||||||
Health Care & Pharmaceutical — 0.1% |
| |||||||||||||||||||
RPI Finance Trust | 3.498% | 10/14/22 | 1,010 | 1,021,041 | ||||||||||||||||
Healthcare & Pharmaceutical — 0.3% |
| |||||||||||||||||||
Mallinckrodt International Finance (Luxembourg) | 3.748% | 03/19/21 | 993 | 994,651 | ||||||||||||||||
Select Med Corp. | 6.000% | 03/03/21 | 941 | 956,680 | ||||||||||||||||
Valeant Pharmaceuticals International, Inc. | 5.500% | 04/01/22 | 1,078 | 1,078,349 | ||||||||||||||||
3,029,680 | ||||||||||||||||||||
IT Services — 0.1% |
| |||||||||||||||||||
Vantiv LLC | 2.704% | 10/14/21 | 1,331 | 1,324,261 | ||||||||||||||||
Retailers — 0.2% |
| |||||||||||||||||||
Euro Garages (United Kingdom) | 5.761% | 01/30/23 | GBP | 1,000 | 1,199,177 | |||||||||||||||
Rite Aid Corp. | 4.875% | 06/21/21 | 1,375 | 1,377,864 | ||||||||||||||||
2,577,041 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A38
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
BANK LOANS(a) (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Supermarkets — 0.1% |
| |||||||||||||||||
Albertsons LLC | 4.000% | 08/25/21 | 856 | $ | 864,567 | |||||||||||||
Technology — 1.0% |
| |||||||||||||||||
Action Nederland BV(c) | 4.250% | 02/25/22 | EUR | 1,100 | 1,169,981 | |||||||||||||
Avago Technologies Cayman Finance Ltd. (Singapore) | 3.881% | 02/01/23 | 1,170 | 1,186,090 | ||||||||||||||
BMC Software Finance, Inc. | 5.000% | 09/10/20 | 487 | 485,225 | ||||||||||||||
Dell International LLC | 2.998% | 12/31/18 | 2,800 | 2,795,626 | ||||||||||||||
Dell International LLC | 4.020% | 09/07/23 | 800 | 813,000 | ||||||||||||||
First Data Corp. | 3.998% | 03/24/21 | 2,328 | 2,349,521 | ||||||||||||||
ON Semiconductor Corp. | 4.248% | 03/31/23 | 574 | 579,935 | ||||||||||||||
TransUnion LLC | 3.520% | 04/09/21 | 442 | 444,721 | ||||||||||||||
Western Digital Corp. | 4.000% | 04/28/23 | EUR | 821 | 875,389 | |||||||||||||
Western Digital Corp. | 4.748% | 04/29/23 | 776 | 785,940 | ||||||||||||||
11,485,428 | ||||||||||||||||||
Telecommunications — 0.2% |
| |||||||||||||||||
LTS Buyer LLC | 4.207% | 04/13/20 | 814 | 819,835 | ||||||||||||||
SBA Senior Finance II LLC | 3.270% | 03/24/21 | 1,121 | 1,123,878 | ||||||||||||||
1,943,713 | ||||||||||||||||||
Transportation Services — 0.2% |
| |||||||||||||||||
Scandlines GmbH (Germany) | 4.250% | 12/03/20 | EUR | 1,675 | 1,782,255 | |||||||||||||
TOTAL BANK LOANS |
| 31,669,465 | ||||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 12.9% | ||||||||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.650% | (a) | 04/10/49 | 993 | 998,111 | |||||||||||||
Banc of America Commercial Mortgage Trust, Series 2016-UB10, Class A3 | 2.903% | 07/15/49 | 2,300 | 2,236,886 | ||||||||||||||
BBCMS Mortgage Trust, Series 2016-ETC, Class A, 144A | 2.937% | 08/14/36 | 1,170 | 1,131,356 | ||||||||||||||
BBCMS Mortgage Trust, Series 2016-ETC, Class B, 144A | 3.189% | 08/14/36 | 510 | 495,953 | ||||||||||||||
BBCMS Mortgage Trust, Series 2016-ETC, Class C, 144A | 3.391% | 08/14/36 | 430 | 422,138 | ||||||||||||||
BBCMS Mortgage Trust, Series 2016-ETC, Class D, 144A | 3.609% | (a) | 08/14/36 | 1,560 | 1,510,456 | |||||||||||||
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class B, 144A | 2.389% | (a) | 12/15/27 | 5,000 | 5,006,276 | |||||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 3,200 | 3,314,328 | ||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A4 | 3.209% | 05/10/49 | 3,500 | 3,487,139 | ||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C2, Class A4 | 2.832% | 08/10/49 | 2,500 | 2,406,691 | ||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4 | 3.314% | 04/10/49 | 100 | 100,171 | ||||||||||||||
Cityline Commercial Mortgage Trust, Series 2016-CLNE, Class B, 144A | 2.778% | (a) | 11/10/31 | 2,400 | 2,331,615 | |||||||||||||
Cityline Commercial Mortgage Trust, Series 2016-CLNE, Class C, 144A | 2.778% | (a) | 11/10/31 | 900 | 853,706 | |||||||||||||
COMM Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 2,000 | 1,989,920 | ||||||||||||||
COMM Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 3,900 | 3,941,881 | ||||||||||||||
COMM Mortgage Trust, Series 2014-UBS4, Class A4 | 3.420% | 08/10/47 | 3,200 | 3,258,035 | ||||||||||||||
COMM Mortgage Trust, Series 2014-UBS5, Class A4 | 3.838% | 09/10/47 | 3,600 | 3,759,994 | ||||||||||||||
COMM Mortgage Trust, Series 2015-CR26, Class A4 | 3.630% | 10/10/48 | 1,700 | 1,749,788 | ||||||||||||||
COMM Mortgage Trust, Series 2015-DC1, Class A4 | 3.078% | 02/10/48 | 5,000 | 4,964,032 | ||||||||||||||
COMM Mortgage Trust, Series 2015-LC21, Class A4 | 3.708% | 07/10/48 | 2,600 | 2,699,422 | ||||||||||||||
COMM Mortgage Trust, Series 2015-PC1, Class A5 | 3.902% | 07/10/50 | 2,100 | 2,194,452 | ||||||||||||||
COMM Mortgage Trust, Series 2016-COR1, Class A3 | 2.826% | 10/10/49 | 2,500 | 2,416,514 | ||||||||||||||
COMM Mortgage Trust, Series 2016-DC2, Class A5 | 3.765% | 02/10/49 | 600 | 622,571 | ||||||||||||||
DBWF Mortgage Trust, Series 2016-85T, Class D, 144A | 3.808% | (a) | 12/10/36 | 1,400 | 1,334,142 | |||||||||||||
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class C, 144A | 3.555% | (a) | 09/10/35 | 3,000 | 2,964,363 |
SEE NOTES TO FINANCIAL STATEMENTS.
A39
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO | 1.621% | (a) | 06/25/20 | 8,902 | $ | 362,707 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.442% | (a) | 05/25/22 | 27,797 | 1,749,164 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.481% | (a) | 06/25/22 | 15,860 | 1,043,257 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO | 0.883% | (a) | 10/25/22 | 10,914 | 450,646 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K027, Class X1, IO | 0.819% | (a) | 01/25/23 | 136,713 | 5,352,500 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class X1, IO | 0.755% | (a) | 01/25/25 | 83,596 | 4,073,037 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K053, Class X1, IO | 0.893% | (a) | 12/25/25 | 89,764 | 5,769,357 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO | 1.369% | (a) | 03/25/26 | 27,993 | 2,750,854 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.759% | (a) | 05/25/19 | 21,843 | 728,408 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.692% | (a) | 07/25/19 | 26,586 | 900,004 | |||||||||||
GS Mortgage Securities Trust, Series 2013-GC12, Class A3 | 2.860% | 06/10/46 | 1,430 | 1,438,017 | ||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class A4 | 3.493% | 08/15/47 | 3,200 | 3,297,657 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 2,000 | 2,002,974 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 4,600 | 4,651,152 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 4,600 | 4,650,199 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class A3 | 2.559% | 08/15/49 | 2,900 | 2,761,907 | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, | 1.718% | (a) | 08/15/45 | 49,340 | 2,650,339 | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3 | 3.969% | (a) | 07/15/46 | 4,800 | 5,096,163 | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3 | 3.766% | 11/15/46 | 4,000 | 4,176,582 | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,700 | 1,715,313 | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3 | 2.834% | 05/15/46 | 2,300 | 2,306,204 | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class A5 | 2.860% | 09/15/49 | 3,100 | 2,969,375 | ||||||||||||
Shops at Crystals Trust, Series 2016-CSTL, Class A, 144A | 3.126% | 07/05/36 | 2,900 | 2,831,281 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 4,600 | 4,626,682 | ||||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 3,800 | 3,833,110 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 5.509% | 04/15/47 | 3,480 | 3,486,986 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A | 5.707% | (a) | 06/15/49 | 1,844 | 1,858,289 | |||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class A4 | 3.548% | 08/15/50 | 4,300 | 4,432,308 | ||||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class A3 | 2.674% | 07/15/48 | 4,600 | 4,383,291 | ||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 142,537,703 | ||||||||||||||
CORPORATE BONDS — 42.7% | ||||||||||||||||
Aerospace & Defense — 0.1% |
| |||||||||||||||
United Technologies Corp., Sr. Unsec’d. Notes | 1.125% | 12/15/21 | EUR | 700 | 762,738 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A40
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||||
Agriculture — 0.3% |
| |||||||||||||||||||
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,375 | $ | 2,377,204 | |||||||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 895 | 1,021,048 | ||||||||||||||||
3,398,252 | ||||||||||||||||||||
Airlines — 0.6% |
| |||||||||||||||||||
American Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2016-1, Class AA | 3.575% | 07/15/29 | 1,831 | 1,830,504 | ||||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class A-1 | 6.703% | 12/15/22 | 1 | 596 | ||||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A | 5.983% | 10/19/23 | 1,396 | 1,542,282 | ||||||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 07/12/22 | 388 | 409,367 | ||||||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A | 6.821% | 02/10/24 | 978 | 1,125,080 | ||||||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 11/23/20 | 360 | 376,914 | ||||||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 10/15/20 | 442 | 466,524 | ||||||||||||||||
United Airlines, Pass-Through Trust, Pass-Through Certificates, Series 2007-071A, Class A | 6.636% | 01/02/24 | 736 | 792,977 | ||||||||||||||||
6,544,244 | ||||||||||||||||||||
Apparel — 0.1% |
| |||||||||||||||||||
Hanesbrands Finance Luxembourg SCA, Gtd. Notes, 144A | 3.500% | 06/15/24 | EUR | 575 | 631,303 | |||||||||||||||
Auto Manufacturers — 0.8% |
| |||||||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes | 4.750% | 01/15/43 | 1,755 | 1,666,209 | ||||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes | 2.375% | 01/16/18 | 2,225 | 2,234,935 | ||||||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN(e) | 4.389% | 01/08/26 | 1,095 | 1,109,755 | ||||||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 4.875% | 10/02/23 | 1,350 | 1,415,167 | ||||||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,885 | 2,083,828 | ||||||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.600% | 04/01/36 | 210 | 240,032 | ||||||||||||||||
8,749,926 | ||||||||||||||||||||
Auto Parts & Equipment — 0.4% |
| |||||||||||||||||||
Adient Global Holdings Ltd., Gtd. Notes, 144A | 3.500% | 08/15/24 | EUR | 701 | 748,610 | |||||||||||||||
IHO Verwaltungs GmbH (Germany), 1st Lien, 144A | 3.750% | 09/15/26 | EUR | 1,050 | 1,104,623 | |||||||||||||||
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, PIK, 144A | 3.250% | 09/15/23 | EUR | 1,075 | 1,165,551 | |||||||||||||||
LKQ Italia Bondco SpA, Gtd. Notes, 144A | 3.875% | 04/01/24 | EUR | 1,275 | 1,426,688 | |||||||||||||||
4,445,472 | ||||||||||||||||||||
Banks — 10.2% |
| |||||||||||||||||||
Bank of America Corp., Jr. Sub. Notes, Series K | 8.000% | (a) | 07/29/49 | 3,500 | 3,596,250 | |||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.300% | 01/11/23 | 4,275 | 4,289,278 | ||||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 1,150 | 1,186,040 | ||||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,750 | 3,897,191 | ||||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 1,775 | 1,993,747 | ||||||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 4,590 | 4,723,014 | ||||||||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.450% | 03/03/26 | 1,735 | 1,787,983 | ||||||||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 790 | 796,119 | ||||||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.375% | 01/12/26 | 1,290 | 1,306,540 | ||||||||||||||||
Branch Banking & Trust Co., Sr. Unsec’d. Notes | 2.850% | 04/01/21 | 3,700 | 3,756,647 | ||||||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 2,400 | 2,431,248 | ||||||||||||||||
Citigroup, Inc., Jr. Sub. Notes, Series Q | 5.950% | (a) | 12/29/49 | 1,355 | 1,375,257 | |||||||||||||||
Citigroup, Inc., Jr. Sub. Notes, Series R(e) | 6.125% | (a) | 12/29/49 | 1,085 | 1,122,975 | |||||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 2,995 | 4,450,372 | ||||||||||||||||
Citigroup, Inc., Sub. Notes | 4.450% | 09/29/27 | 2,630 | 2,671,675 | ||||||||||||||||
Credit Suisse/New York NY (Switzerland), Sr. Unsec’d. Notes, MTN | 3.625% | 09/09/24 | 1,050 | 1,057,015 | ||||||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN | 3.375% | 05/12/21 | 900 | 890,899 |
SEE NOTES TO FINANCIAL STATEMENTS.
A41
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Banks (continued) |
| |||||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, MTN | 3.700% | 05/30/24 | 159 | $ | 154,617 | |||||||||||
Discover Bank, Sr. Unsec’d. Notes | 3.450% | 07/27/26 | 280 | 270,371 | ||||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 1,150 | 1,171,533 | ||||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 2,005 | 2,226,308 | ||||||||||||
Fifth Third Bank, Sr. Unsec’d. Notes | 2.375% | 04/25/19 | 425 | 428,195 | ||||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes, Series M | 5.375% | (a) | 12/29/49 | 1,950 | 1,969,500 | |||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.750% | 02/25/26 | 125 | 125,367 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 4,200 | 4,721,703 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.150% | 04/01/18 | 1,355 | 1,425,345 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 2,195 | 2,720,850 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes, Series D, MTN | 6.000% | 06/15/20 | 2,420 | 2,683,637 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 440 | 543,333 | ||||||||||||
HSBC Holdings PLC (United Kingdom), Sub. Notes | 4.375% | 11/23/26 | 270 | 272,004 | ||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series 1 | 7.900% | (a) | 12/29/49 | 6,130 | 6,347,615 | |||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes, Series X | 6.100% | (a) | 10/29/49 | 1,450 | 1,467,219 | |||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 2.750% | 06/23/20 | 5,400 | 5,448,838 | ||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 2.950% | 10/01/26 | 1,740 | 1,660,809 | ||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.200% | 06/15/26 | 3,020 | 2,955,834 | ||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 3.250% | 09/23/22 | 500 | 505,645 | ||||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 600 | 634,942 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.250% | 10/01/27 | 420 | 431,520 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 715 | 762,411 | ||||||||||||
KeyCorp, Sr. Unsec’d. Notes, MTN | 5.100% | 03/24/21 | 1,155 | 1,263,032 | ||||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN | 5.800% | 01/13/20 | 2,650 | 2,889,772 | ||||||||||||
Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A | 1.850% | 03/21/18 | 1,125 | 1,123,040 | ||||||||||||
Morgan Stanley, Jr. Sub. Notes, Series H | 5.450% | (a) | 07/29/49 | 975 | 965,250 | |||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 3.125% | 07/27/26 | 2,725 | 2,603,400 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 3.750% | 02/25/23 | 1,535 | 1,576,666 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.450% | 01/09/17 | 4,035 | 4,036,985 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 2,080 | 2,304,925 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 2,635 | 2,856,235 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,920 | 2,130,386 | ||||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 750 | 768,561 | ||||||||||||
Northern Trust Corp., Sub. Notes | 3.950% | 10/30/25 | 2,725 | 2,857,691 | ||||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 550 | 541,779 | ||||||||||||
PNC Financial Services Group, Inc. (The), Sub. Notes | 3.900% | 04/29/24 | 975 | 999,474 | ||||||||||||
Santander UK Group Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 2.875% | 10/16/20 | 1,550 | 1,536,036 | ||||||||||||
State Street Corp., Jr. Sub. Notes | 4.956% | 03/15/18 | 3,025 | 3,125,191 | ||||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 625 | 628,421 | ||||||||||||
112,466,690 | ||||||||||||||||
Beverages — 0.1% |
| |||||||||||||||
Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A | 4.750% | 10/01/18 | 375 | 385,929 | ||||||||||||
Cott Beverages, Inc. (Canada), Gtd. Notes | 6.750% | 01/01/20 | 1,250 | 1,295,312 | ||||||||||||
1,681,241 | ||||||||||||||||
Biotechnology — 0.3% |
| |||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes, 144A | 4.663% | 06/15/51 | 2,948 | 2,833,346 | ||||||||||||
Building Materials — 0.5% |
| |||||||||||||||
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A | 9.375% | 10/12/22 | 1,200 | 1,308,000 | ||||||||||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A | 4.750% | 01/11/22 | EUR | 900 | 981,968 | |||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(c) | 5.375% | 11/15/24 | 3,000 | 3,082,500 | ||||||||||||
US Concrete, Inc., Gtd. Notes | 6.375% | 06/01/24 | 600 | 634,500 | ||||||||||||
6,006,968 | ||||||||||||||||
Chemicals — 1.5% |
| |||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 4.900% | 06/01/43 | 870 | 866,718 | ||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 5.250% | 01/15/45 | 420 | 437,378 |
SEE NOTES TO FINANCIAL STATEMENTS.
A42
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Chemicals (continued) |
| |||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 6.125% | 01/15/41 | 450 | $ | 511,278 | |||||||||||
Ashland, Inc., Gtd. Notes | 6.875% | 05/15/43 | 3,000 | 3,097,500 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 4.950% | 06/01/43 | 675 | 551,812 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 700 | 577,717 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 6.875% | 05/01/18 | 380 | 400,003 | ||||||||||||
CF Industries, Inc., Gtd. Notes(e) | 7.125% | 05/01/20 | 300 | 327,000 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 125 | 125,429 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 1,002 | 1,554,614 | ||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 6.000% | 11/15/21 | 3,550 | 4,025,945 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes(e) | 5.450% | 11/15/33 | 465 | 461,190 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 155 | 149,373 | ||||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.875% | 04/01/23 | 3,058 | 3,686,817 | ||||||||||||
16,772,774 | ||||||||||||||||
Commercial Services — 0.8% |
| |||||||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A | 6.500% | 07/15/22 | 1,375 | 1,440,312 | ||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, 144A | 6.375% | 04/01/24 | 650 | 649,188 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(c) | 6.700% | 06/01/34 | 920 | 1,115,746 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(c) | 7.000% | 10/15/37 | 770 | 975,633 | ||||||||||||
Hertz Corp. (The), Gtd. Notes(e) | 6.750% | 04/15/19 | 632 | 632,000 | ||||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 7.625% | 10/01/18 | 2,000 | 2,185,000 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.500% | 07/15/25 | 650 | 663,000 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.500% | 05/15/27 | 450 | 446,625 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.625% | 04/15/22 | 920 | 968,300 | ||||||||||||
9,075,804 | ||||||||||||||||
Computers — 0.5% |
| |||||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 3.480% | 06/01/19 | 905 | 923,829 | ||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 4.420% | 06/15/21 | 770 | 796,754 | ||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.450% | 10/05/17 | 3,360 | 3,378,681 | ||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.850% | 10/05/18 | 630 | 636,093 | ||||||||||||
5,735,357 | ||||||||||||||||
Diversified Financial Services — 1.1% |
| |||||||||||||||
Ally Financial, Inc., Sr. Unsec’d. Notes | 4.125% | (a) | 02/13/22 | 3,000 | 2,973,750 | |||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.000% | 08/15/22 | 1,350 | 1,407,375 | ||||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A | 5.500% | 02/15/19 | 4,000 | 4,220,000 | ||||||||||||
GE Capital International Funding Co. Unlimited Co., Gtd. Notes | 4.418% | 11/15/35 | 354 | 370,959 | ||||||||||||
HSBC Finance Corp., Sub. Notes | 6.676% | 01/15/21 | 295 | 331,592 | ||||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 6.250% | 05/15/19 | 1,400 | 1,505,000 | ||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 650 | 668,843 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f) | 6.875% | 05/02/18 | 2,740 | 161,934 | ||||||||||||
Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(c) | 1.717% | (a) | 07/03/33 | 373 | 320,723 | |||||||||||
11,960,176 | ||||||||||||||||
Electric — 3.5% |
| |||||||||||||||
AES Corp., Sr. Unsec’d. Notes | 5.500% | 04/15/25 | 5,000 | 5,000,000 | ||||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 3.350% | 07/01/23 | 550 | 563,011 | ||||||||||||
Calpine Corp., Sr. Unsec’d. Notes | 5.500% | 02/01/24 | 1,500 | 1,447,500 | ||||||||||||
Calpine Corp., Sr. Unsec’d. Notes(e) | 5.375% | 01/15/23 | 800 | 782,000 | ||||||||||||
Calpine Corp., Sr. Unsec’d. Notes(e) | 5.750% | 01/15/25 | 1,350 | 1,302,750 | ||||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes(e) | 4.300% | 12/01/56 | 235 | 234,677 | ||||||||||||
ContourGlobal Power Holdings SA (France), Sr. Sec’d. Notes, 144A(c) | 5.125% | 06/15/21 | EUR | 1,350 | 1,487,873 | |||||||||||
Dominion Resources Inc., Jr. Sub. Notes | 4.104% | 04/01/21 | 2,710 | 2,822,920 |
SEE NOTES TO FINANCIAL STATEMENTS.
A43
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Electric (continued) | ||||||||||||||||||
Dynegy, Inc., Gtd. Notes | 5.875% | 06/01/23 | 2,400 | $ | 2,082,000 | |||||||||||||
Dynegy, Inc., Gtd. Notes | 7.375% | 11/01/22 | 2,500 | 2,387,500 | ||||||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 2,325 | 2,680,848 | ||||||||||||||
Emera US Finance LP (Canada), Gtd. Notes, 144A | 3.550% | 06/15/26 | 820 | 806,085 | ||||||||||||||
Enel Finance International NV (Italy), Gtd. Notes, 144A | 6.000% | 10/07/39 | 1,450 | 1,619,911 | ||||||||||||||
Enersis Americas SA (Chile), Sr. Unsec’d. Notes | 4.000% | 10/25/26 | 235 | 224,350 | ||||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.200% | 10/01/17 | 1,930 | 1,994,813 | ||||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,900 | 1,913,045 | ||||||||||||||
FirstEnergy Corp., Sr. Unsec’d. Notes, Series A | 2.750% | 03/15/18 | 1,800 | 1,816,351 | ||||||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 400 | 424,627 | ||||||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 1,150 | 1,317,650 | ||||||||||||||
NRG Energy, Inc., Gtd. Notes | 6.625% | 03/15/23 | 3,263 | 3,271,158 | ||||||||||||||
Pacific Gas & Electric Co., Sr. Unsec’d. Notes | 4.600% | 06/15/43 | 1,950 | 2,056,874 | ||||||||||||||
South Carolina Electric & Gas Co., First Mortgage | 4.600% | 06/15/43 | 2,025 | 2,128,393 | ||||||||||||||
38,364,336 | ||||||||||||||||||
Electronics — 0.1% | ||||||||||||||||||
Honeywell International, Inc., Sr. Unsec’d. Notes | 0.650% | 02/21/20 | EUR | 900 | 962,348 | |||||||||||||
Entertainment — 0.3% | ||||||||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | 5.375% | 06/01/24 | 425 | 437,750 | ||||||||||||||
Cinemark USA, Inc., Gtd. Notes | 4.875% | 06/01/23 | 1,508 | 1,526,850 | ||||||||||||||
CPUK Finance Ltd. (United Kingdom), Sr. Sec’d. Notes, RegS | 7.000% | 02/28/42 | GBP | 1,100 | 1,431,772 | |||||||||||||
3,396,372 | ||||||||||||||||||
Food — 1.1% | ||||||||||||||||||
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, Sr. Unsec’d. Notes, 144A | 5.750% | (a) | 03/15/25 | 225 | 222,750 | |||||||||||||
B&G Foods, Inc., Gtd. Notes | 4.625% | 06/01/21 | 2,000 | 2,040,000 | ||||||||||||||
Ingles Markets, Inc., Sr. Unsec’d. Notes | 5.750% | 06/15/23 | 1,925 | 1,977,938 | ||||||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(c) | 5.750% | 06/15/25 | 2,025 | 2,050,312 | ||||||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(c) | 7.250% | 06/01/21 | 1,330 | 1,376,563 | ||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 3.000% | 06/01/26 | 1,360 | 1,276,818 | ||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 4.375% | 06/01/46 | 400 | 376,392 | ||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 5.000% | 07/15/35 | 725 | 760,597 | ||||||||||||||
Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A | 12.250% | 02/10/22 | 725 | 779,375 | ||||||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 6.000% | 12/15/22 | 1,500 | 1,565,625 | ||||||||||||||
12,426,370 | ||||||||||||||||||
Forest Products & Paper — 0.3% | ||||||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 675 | 758,033 | ||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.300% | 11/15/39 | 1,000 | 1,274,218 | ||||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 922 | 1,000,810 | ||||||||||||||
3,033,061 | ||||||||||||||||||
Gas — 0.2% | ||||||||||||||||||
NiSource Finance Corp., Gtd. Notes | 4.800% | 02/15/44 | 300 | 315,838 | ||||||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 1,345 | 1,468,724 | ||||||||||||||
Southern Co. Gas Capital Corp., Gtd. Notes | 4.400% | 06/01/43 | 1,050 | 1,038,259 | ||||||||||||||
2,822,821 | ||||||||||||||||||
Healthcare-Products — 0.7% | ||||||||||||||||||
Abbott Laboratories, Sr. Unsec’d. Notes | 2.900% | 11/30/21 | 2,780 | 2,772,077 | ||||||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 3,435 | 3,537,068 | ||||||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 1,358 | 1,436,666 | ||||||||||||||
7,745,811 | ||||||||||||||||||
Healthcare-Services — 2.5% | ||||||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,900 | 2,469,261 | ||||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 385 | 386,499 |
SEE NOTES TO FINANCIAL STATEMENTS.
A44
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||||
Healthcare-Services (continued) | ||||||||||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(e) | 7.125% | 07/15/20 | 750 | $ | 570,225 | |||||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(e) | 8.000% | 11/15/19 | 3,400 | 2,822,000 | ||||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 4.375% | 12/15/20 | 745 | 791,977 | ||||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.375% | 03/15/17 | 2,125 | 2,141,203 | ||||||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 750 | 862,120 | ||||||||||||||||
DaVita, Inc., Gtd. Notes | 5.000% | 05/01/25 | 500 | 491,875 | ||||||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 2,705 | 2,799,675 | ||||||||||||||||
HCA, Inc., Gtd. Notes | 5.375% | 02/01/25 | 5,025 | 5,037,562 | ||||||||||||||||
HCA, Inc., Gtd. Notes | 5.875% | 02/15/26 | 725 | 746,750 | ||||||||||||||||
HealthSouth Corp., Gtd. Notes | 5.125% | 03/15/23 | 300 | 297,000 | ||||||||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 240 | 241,994 | ||||||||||||||||
Select Medical Corp., Gtd. Notes | 6.375% | 06/01/21 | 2,600 | 2,600,000 | ||||||||||||||||
Synlab Bondco PLC (United Kingdom), Sr. Sec’d. Notes, RegS | 6.250% | 07/01/22 | EUR | 1,100 | 1,262,132 | |||||||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 6.750% | 02/01/20 | 500 | 481,250 | ||||||||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 8.000% | 08/01/20 | 1,570 | 1,550,532 | ||||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 1,260 | 1,227,064 | ||||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.500% | 06/15/37 | 760 | 976,731 | ||||||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 195 | 255,072 | ||||||||||||||||
28,010,922 | ||||||||||||||||||||
Home Builders — 1.0% | ||||||||||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A | 6.125% | 07/01/22 | 2,000 | 2,010,000 | ||||||||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 6.250% | 12/15/21 | 3,500 | 3,771,250 | ||||||||||||||||
PulteGroup, Inc., Gtd. Notes | 5.000% | 01/15/27 | 975 | 926,250 | ||||||||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | 5.250% | 04/15/21 | 2,175 | 2,229,375 | ||||||||||||||||
William Lyon Homes, Inc., Gtd. Notes | 8.500% | 11/15/20 | 2,000 | 2,090,000 | ||||||||||||||||
11,026,875 | ||||||||||||||||||||
Home Furnishings — 0.1% | ||||||||||||||||||||
Tempur Sealy International, Inc., Gtd. Notes | 5.500% | 06/15/26 | 650 | 653,250 | ||||||||||||||||
Housewares — 0.1% | ||||||||||||||||||||
Newell Brands, Inc., Sr. Unsec’d. Notes | 4.200% | 04/01/26 | 670 | 699,333 | ||||||||||||||||
Insurance — 2.1% | ||||||||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | (a) | 11/15/20 | 430 | 463,853 | |||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/26 | 2,120 | 2,157,274 | ||||||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,075 | 1,060,031 | ||||||||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 2.750% | 03/15/23 | 4,760 | 4,742,131 | ||||||||||||||||
Chubb Corp. (The), Gtd. Notes | 6.375% | (a) | 04/15/37 | 1,775 | 1,668,500 | |||||||||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 115 | 121,475 | ||||||||||||||||
Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes | 7.000% | 07/15/34 | 1,350 | 1,630,857 | ||||||||||||||||
Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes | 5.125% | 04/15/22 | 500 | 554,592 | ||||||||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 03/15/35 | 1,030 | 1,230,677 | ||||||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000% | 06/15/40 | 405 | 511,334 | ||||||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 388 | 446,426 | ||||||||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 350 | 354,989 | ||||||||||||||||
Nippon Life Insurance Co. (Japan), Sub. Notes, 144A | 5.100% | (a) | 10/16/44 | 565 | 582,656 | |||||||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 500 | 615,693 | ||||||||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 850 | 934,587 | ||||||||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 150 | 155,356 | ||||||||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (a) | 06/15/37 | 1,015 | 992,162 | |||||||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 2,310 | 2,997,742 | ||||||||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 500 | 544,503 | ||||||||||||||||
XLIT Ltd. (Ireland), Gtd. Notes, Series E | 6.500% | (a) | 10/29/49 | 1,880 | 1,466,400 | |||||||||||||||
23,231,238 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Iron/Steel — 0.1% | ||||||||||||||||||
Vale Overseas Ltd. (Brazil), Gtd. Notes(e) | 6.250% | 08/10/26 | 580 | $ | 603,200 | |||||||||||||
Leisure Time — 0.1% | ||||||||||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A(c) | 8.500% | 10/15/22 | 1,225 | 1,270,937 | ||||||||||||||
Lodging — 0.4% | ||||||||||||||||||
Boyd Gaming Corp., Gtd. Notes, 144A | 6.375% | 04/01/26 | 575 | 619,275 | ||||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 1,325 | 1,336,094 | ||||||||||||||
MGM Resorts International, Gtd. Notes | 6.625% | 12/15/21 | 2,525 | 2,821,688 | ||||||||||||||
4,777,057 | ||||||||||||||||||
Machinery-Diversified — 0.4% | ||||||||||||||||||
CNH Industrial Capital LLC, Gtd. Notes | 4.875% | 04/01/21 | 1,050 | 1,092,000 | ||||||||||||||
Rockwell Automation, Inc., Sr. Unsec’d. Notes | 5.200% | 01/15/98 | 1,100 | 1,091,231 | ||||||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,960 | 2,115,961 | ||||||||||||||
4,299,192 | ||||||||||||||||||
Media — 3.5% | ||||||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 65 | 81,624 | ||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 7.625% | 11/30/28 | 1,415 | 1,813,897 | ||||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 2,000 | 2,080,000 | ||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.500% | 05/01/26 | 3,300 | 3,366,000 | ||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A(e) | 5.875% | 04/01/24 | 800 | 854,000 | ||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.875% | 05/01/27 | 1,000 | 1,037,500 | ||||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Sec’d. Notes, 144A | 7.750% | (a) | 07/15/25 | 1,500 | 1,650,000 | |||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125% | 12/15/21 | 1,425 | 1,449,937 | ||||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 6.375% | 09/15/20 | 950 | 978,500 | ||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.384% | 10/23/35 | 710 | 810,701 | ||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.484% | 10/23/45 | 855 | 988,448 | ||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.834% | 10/23/55 | 225 | 263,772 | ||||||||||||||
Comcast Corp., Gtd. Notes | 3.150% | 03/01/26 | 1,190 | 1,174,141 | ||||||||||||||
DISH DBS Corp., Gtd. Notes | 4.250% | 04/01/18 | 2,850 | 2,922,304 | ||||||||||||||
Grupo Televisa SAB (Mexico), Sr. Unsec’d. Notes | 6.125% | 01/31/46 | 495 | 491,231 | ||||||||||||||
Historic TW, Inc., Gtd. Notes | 6.625% | 05/15/29 | 690 | 843,866 | ||||||||||||||
Liberty Interactive LLC, Sr. Unsec’d. Notes(e) | 8.250% | 02/01/30 | 2,250 | 2,396,250 | ||||||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, 144A | 6.375% | 07/28/17 | 1,035 | 1,055,452 | ||||||||||||||
NBCUniversal Media LLC, Gtd. Notes | 4.450% | 01/15/43 | 290 | 296,341 | ||||||||||||||
Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A | 5.000% | 04/15/22 | 1,500 | 1,528,125 | ||||||||||||||
Sinclair Television Group, Inc., Gtd. Notes, 144A | 5.875% | 03/15/26 | 775 | 776,938 | ||||||||||||||
Sky PLC (United Kingdom), Gtd. Notes, 144A | 6.100% | 02/15/18 | 210 | 219,110 | ||||||||||||||
TCI Communications, Inc., Sr. Unsec’d. Notes | 7.875% | 02/15/26 | 750 | 1,006,701 | ||||||||||||||
TEGNA, Inc., Gtd. Notes, 144A | 4.875% | 09/15/21 | 475 | 483,313 | ||||||||||||||
Time Warner Cable, Inc., Sr. Sec’d. Notes | 6.750% | 07/01/18 | 2,620 | 2,797,164 | ||||||||||||||
Time Warner Cos., Inc., Gtd. Notes | 7.250% | 10/15/17 | 1,440 | 1,504,557 | ||||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany), Sr. Sec’d. Notes, RegS | 4.000% | 01/15/25 | EUR | 1,100 | 1,204,236 | |||||||||||||
Univision Communications, Inc., Sr. Sec’d. Notes, 144A(c) | 5.125% | 02/15/25 | 1,175 | 1,123,594 | ||||||||||||||
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 5.375% | 01/15/25 | 1,140 | 1,148,550 | ||||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 475 | 411,785 | ||||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 95 | 78,753 |
SEE NOTES TO FINANCIAL STATEMENTS.
A46
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Media (continued) | ||||||||||||||||||
Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A | 6.000% | 04/15/21 | GBP | 611 | $ | 783,004 | ||||||||||||
Ziggo Secured Finance BV (Netherlands), Sr. Sec’d. Notes, RegS | 3.750% | 01/15/25 | EUR | 1,000 | 1,065,180 | |||||||||||||
38,684,974 | ||||||||||||||||||
Mining — 0.4% | ||||||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A | 6.750% | (a) | 10/19/75 | 1,730 | 1,941,925 | |||||||||||||
Goldcorp, Inc. (Canada), Sr. Unsec’d. Notes | 3.625% | 06/09/21 | 825 | 838,123 | ||||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 820 | 805,015 | ||||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 990 | 1,068,118 | ||||||||||||||
4,653,181 | ||||||||||||||||||
Miscellaneous Manufacturing — 0.4% | ||||||||||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 500 | 504,425 | ||||||||||||||
General Electric Co., Sub. Notes, MTN | 5.300% | 02/11/21 | 340 | 377,080 | ||||||||||||||
Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes | 5.750% | 06/15/43 | 425 | 502,895 | ||||||||||||||
Pentair Finance SA (United Kingdom), Gtd. Notes | 1.875% | 09/15/17 | 625 | 625,932 | ||||||||||||||
Textron, Inc., Sr. Unsec’d. Notes | 7.250% | 10/01/19 | 2,350 | 2,641,196 | �� | |||||||||||||
4,651,528 | ||||||||||||||||||
Multi-National — 0.2% | ||||||||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.000% | 05/10/19 | 1,180 | 1,172,310 | ||||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.125% | 09/27/21 | 1,060 | 1,026,260 | ||||||||||||||
2,198,570 | ||||||||||||||||||
Office/Business Equipment — 0.1% | ||||||||||||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes | 5.000% | 09/01/23 | 1,150 | 1,151,437 | ||||||||||||||
Oil & Gas — 1.4% | ||||||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (g) | 10/10/36 | 2,000 | 808,624 | |||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 945 | 1,124,707 | ||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.600% | 03/15/46 | 165 | 203,504 | ||||||||||||||
Apache Corp., Sr. Unsec’d. Notes | 5.100% | 09/01/40 | 650 | 680,018 | ||||||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.600% | 07/15/41 | 1,650 | 1,699,493 | ||||||||||||||
Lukoil International Finance BV (Russia), Gtd. Notes, 144A | 6.125% | 11/09/20 | 600 | 650,100 | ||||||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,650 | 1,677,258 | ||||||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 6.000% | 03/01/41 | 1,530 | 1,698,788 | ||||||||||||||
Occidental Petroleum Corp., Sr. Unsec’d. Notes | 3.000% | 02/15/27 | 470 | 454,760 | ||||||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,750 | 1,857,856 | ||||||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 510 | 551,362 | ||||||||||||||
Sasol Financing International PLC (South Africa), Gtd. Notes | 4.500% | 11/14/22 | 1,525 | 1,513,563 | ||||||||||||||
Sunoco LP/Sunoco Finance Corp., Gtd. Notes | 6.250% | 04/15/21 | 2,100 | 2,139,375 | ||||||||||||||
15,059,408 | ||||||||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||||||||
Cameron International Corp., Gtd. Notes | 7.000% | 07/15/38 | 450 | 561,928 | ||||||||||||||
Packaging & Containers — 0.6% | ||||||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/23 | EUR | 1,125 | 1,308,012 | |||||||||||||
Greif Nevada Holdings, Sr. Unsec’d. Notes, 144A, MTN | 7.375% | 07/15/21 | EUR | 1,470 | 1,875,481 | |||||||||||||
Greif, Inc., Sr. Unsec’d. Notes | 7.750% | 08/01/19 | 1,815 | 2,014,650 | ||||||||||||||
WestRock RKT Co., Gtd. Notes | 4.450% | 03/01/19 | 1,165 | 1,215,646 | ||||||||||||||
6,413,789 | ||||||||||||||||||
Pharmaceuticals — 1.0% | ||||||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,020 | 1,010,298 | ||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,715 | 1,685,034 | ||||||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 875 | 876,031 | ||||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 1,850 | 1,831,115 | ||||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 250 | 245,434 | ||||||||||||||
Endo Ltd./Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A | 6.000% | 07/15/23 | 625 | 547,656 |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Pharmaceuticals (continued) | ||||||||||||||||||
Merck & Co, Inc., Sr. Unsec’d. Notes | 4.150% | 05/18/43 | 2,075 | $ | 2,131,390 | |||||||||||||
Pfizer, Inc., Sr. Unsec’d. Notes | 4.125% | 12/15/46 | 1,690 | 1,719,173 | ||||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(e) | 3.150% | 10/01/26 | 505 | 465,573 | ||||||||||||||
Teva Pharmaceutical Finance Netherlands Ill BV (Israel), Gtd. Notes | 4.100% | 10/01/46 | 160 | 137,098 | ||||||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 6.125% | 04/15/25 | 450 | 338,062 | ||||||||||||||
10,986,864 | ||||||||||||||||||
Pipelines — 0.3% | ||||||||||||||||||
Enterprise Products Operating LLC, Gtd. Notes | 4.900% | 05/15/46 | 2,110 | 2,165,917 | ||||||||||||||
Fermaca Enterprises S de RL de CV (Mexico), Sr. Sec’d. Notes, 144A(c) | 6.375% | 03/30/38 | 415 | 408,642 | ||||||||||||||
ONEOK Partners LP, Gtd. Notes | 2.000% | 10/01/17 | 750 | 752,072 | ||||||||||||||
Western Gas Partners LP, Sr. Unsec’d. Notes | 5.450% | 04/01/44 | 575 | 592,229 | ||||||||||||||
3,918,860 | ||||||||||||||||||
Real Estate | ||||||||||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 8 | 8,974 | ||||||||||||||
Real Estate Investment Trusts (REITs) — 0.3% | ||||||||||||||||||
DuPont Fabros Technology LP, Gtd. Notes | 5.875% | 09/15/21 | 2,000 | 2,092,500 | ||||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 325 | 336,006 | ||||||||||||||
Trust F/1401 (Mexico), Sr. Unsec’d. Notes, 144A | 5.250% | 12/15/24 | 1,235 | 1,208,756 | ||||||||||||||
3,637,262 | ||||||||||||||||||
Retail — 0.7% | ||||||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 765 | 852,552 | ||||||||||||||
Dufry Finance SCA (Switzerland), Gtd. Notes, 144A | 4.500% | 08/01/23 | EUR | 1,425 | 1,605,034 | |||||||||||||
Limited Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 2,200 | 2,348,500 | ||||||||||||||
PVH Corp., Sr. Unsec’d. Notes, 144A | 3.625% | 07/15/24 | EUR | 1,250 | 1,388,107 | |||||||||||||
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A(c) | 8.000% | 06/15/22 | 1,350 | 1,161,000 | ||||||||||||||
7,355,193 | ||||||||||||||||||
Savings & Loans — 0.1% |
| |||||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,675 | 1,684,417 | ||||||||||||||
Semiconductors — 0.6% |
| |||||||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 3.750% | 06/01/18 | 1,925 | 1,953,875 | ||||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 4.625% | 06/01/23 | 2,975 | 3,123,750 | ||||||||||||||
Sensata Technologies BV, Gtd. Notes, 144A | 5.000% | 10/01/25 | 1,750 | 1,715,000 | ||||||||||||||
6,792,625 | ||||||||||||||||||
Software — 0.9% |
| |||||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 3.000% | 08/15/26 | 1,050 | 985,878 | ||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 4.500% | 10/15/22 | 2,355 | 2,505,152 | ||||||||||||||
First Data Corp., Gtd. Notes, 144A | 7.000% | 12/01/23 | 2,225 | 2,369,625 | ||||||||||||||
Infor US, Inc., Gtd. Notes(c) | 6.500% | 05/15/22 | 950 | 990,375 | ||||||||||||||
Infor US, Inc., Sr. Sec’d. Notes, 144A(c) | 5.750% | 08/15/20 | 1,350 | 1,414,125 | ||||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 4.000% | 02/12/55 | 435 | 411,415 | ||||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 1,070 | 1,106,363 | ||||||||||||||
9,782,933 | ||||||||||||||||||
Telecommunications — 1.7% |
| |||||||||||||||||
AT&T Corp., Gtd. Notes | 8.250% | 11/15/31 | 55 | 76,457 | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 2,320 | 2,236,069 | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 300 | 289,850 | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 03/09/48 | 74 | 66,494 | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.550% | 03/09/49 | 499 | 450,730 | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 850 | 805,306 | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,515 | 1,431,545 | ||||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 49 | 50,323 |
SEE NOTES TO FINANCIAL STATEMENTS.
A48
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Telecommunications (continued) |
| |||||||||||||||||
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | 5.125% | 03/11/23 | 1,305 | $ | 1,360,128 | |||||||||||||
Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A | 5.350% | 05/20/24 | 690 | 722,730 | ||||||||||||||
Sprint Capital Corp., Gtd. Notes | 6.900% | 05/01/19 | 1,300 | 1,376,375 | ||||||||||||||
Sprint Corp., Gtd. Notes(c)(e) | 7.625% | 02/15/25 | 500 | 525,625 | ||||||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.500% | 01/15/26 | 1,675 | 1,811,094 | ||||||||||||||
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, EMTN | 6.375% | 06/24/19 | GBP | 950 | 1,280,230 | |||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,796 | 2,625,752 | ||||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.750% | 11/01/41 | 745 | 735,646 | ||||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 2,517 | 2,503,816 | ||||||||||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC (Russia), Sr. Unsec’d. Notes, 144A | 9.125% | 04/30/18 | 200 | 215,248 | ||||||||||||||
18,563,418 | ||||||||||||||||||
Textiles |
| |||||||||||||||||
Mohawk Industries, Inc., Sr. Unsec’d. Notes | 3.850% | 02/01/23 | 294 | 300,412 | ||||||||||||||
Transportation — 0.1% |
| |||||||||||||||||
Silk Bidco AS (Norway), Sr. Sec’d. Notes, RegS | 7.500% | 02/01/22 | EUR | 1,300 | 1,446,862 | |||||||||||||
TOTAL CORPORATE BONDS |
| 472,240,049 | ||||||||||||||||
NON-CORPORATE FOREIGN AGENCIES — 1.7% | ||||||||||||||||||
CITIC Ltd. (China), Sr. Unsec’d. Notes, RegS, EMTN | 6.875% | 01/21/18 | 1,100 | 1,149,986 | ||||||||||||||
CNOOC Finance 2013 Ltd. (China), Gtd. Notes | 3.000% | 05/09/23 | 750 | 723,900 | ||||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 1,665 | 1,836,695 | ||||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS | 4.950% | 07/19/22 | 390 | 401,298 | ||||||||||||||
KazMunayGas National Co. JSC (Kazakhstan), Sr. Unsec’d. Notes, 144A, MTN | 9.125% | 07/02/18 | 1,610 | 1,749,426 | ||||||||||||||
Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes | 4.625% | 11/16/21 | 600 | 649,945 | ||||||||||||||
Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS | 4.250% | 11/02/20 | 1,750 | 1,856,409 | ||||||||||||||
Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A | 4.750% | 07/13/21 | 250 | 270,103 | ||||||||||||||
Majapahit Holding BV (Indonesia), Gtd. Notes, RegS | 7.750% | 01/20/20 | 1,500 | 1,683,750 | ||||||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 8.375% | 05/23/21 | 2,475 | 2,666,812 | ||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 4.875% | 01/24/22 | 1,100 | 1,103,300 | ||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A | 5.375% | 03/13/22 | 405 | 414,712 | ||||||||||||||
Provincia de Buenos Aires (Argentina), Sr. Unsec’d. Notes, 144A | 9.950% | 06/09/21 | 440 | 496,100 | ||||||||||||||
Provincia de Buenos Aires (Argentina), Sr. Unsec’d. Notes, 144A | 9.950% | 06/09/21 | 1,500 | 1,691,250 | ||||||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,250 | 1,241,714 | ||||||||||||||
YPF SA (Argentina), Sr. Unsec’d. Notes, 144A | 8.500% | 03/23/21 | 1,000 | 1,072,600 | ||||||||||||||
TOTAL NON-CORPORATE FOREIGN AGENCIES |
| 19,008,000 | ||||||||||||||||
MUNICIPAL BONDS — 1.8% | ||||||||||||||||||
California — 0.7% |
| |||||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.907% | 10/01/50 | 1,125 | 1,579,163 | ||||||||||||||
State of California, General Obligation Unlimited, BABs | 7.300% | 10/01/39 | 2,280 | 3,220,249 | ||||||||||||||
State of California, General Obligation Unlimited, BABs | 7.625% | 03/01/40 | 725 | 1,065,257 | ||||||||||||||
University of California, Revenue Bonds, BABs | 5.770% | 05/15/43 | 1,400 | 1,711,724 | ||||||||||||||
7,576,393 | ||||||||||||||||||
Colorado — 0.1% |
| |||||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 770 | 998,051 | ||||||||||||||
Illinois — 0.2% |
| |||||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,380 | 1,801,245 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A49
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||||
New Jersey — 0.4% |
| |||||||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series A, BABs | 7.102% | 01/01/41 | 1,175 | $ | 1,641,499 | |||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 2,050 | 2,953,086 | ||||||||||||||||
4,594,585 | ||||||||||||||||||||
Ohio — 0.1% |
| |||||||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 695 | 795,149 | ||||||||||||||||
Ohio State Water Development Authority Water Pollution Control Loan Fund, Revenue Bonds, BABs | 4.879% | 12/01/34 | 450 | 506,417 | ||||||||||||||||
1,301,566 | ||||||||||||||||||||
Oregon — 0.1% |
| |||||||||||||||||||
Oregon State Department of Transportation, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 615 | 774,352 | ||||||||||||||||
Pennsylvania — 0.1% |
| |||||||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 800 | 961,000 | ||||||||||||||||
Tennessee — 0.1% |
| |||||||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,375 | 1,778,274 | ||||||||||||||||
TOTAL MUNICIPAL BONDS |
| 19,785,466 | ||||||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 6.4% | ||||||||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 201 | 202,179 | ||||||||||||||||
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A | 0.739% | (a) | 08/26/36 | 2,765 | 2,607,100 | |||||||||||||||
Bayview Opportunity Master Fund IVb Trust, Series 2016-CRT1, Class M1, 144A | 2.511% | (a) | 10/27/27 | 579 | 578,272 | |||||||||||||||
Citigroup Mortgage Loan Trust, Series 2011-12, Class 3A2, 144A | 3.130% | (a) | 09/25/47 | 1,152 | 1,041,481 | |||||||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1(h) | 2.206% | (a) | 01/25/29 | 1,435 | 1,444,027 | |||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN4, | 5.306% | (a) | 10/25/24 | 660 | 706,185 | |||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, | 2.756% | (a) | 12/25/28 | 1,550 | 1,564,428 | |||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, | 3.006% | (a) | 11/25/28 | 1,450 | 1,479,779 | |||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, | 2.106% | (a) | 03/25/29 | 760 | 758,044 | |||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, | 2.056% | (a) | 04/25/29 | 1,740 | 1,727,485 | |||||||||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A1, 144A | 0.732% | (a) | 01/26/37 | 3,264 | 3,142,113 | |||||||||||||||
GSMSC Resecuritization Trust, Series 2015-3R, Class 1A2, 144A | 0.732% | (a) | 01/26/37 | 1,400 | 1,154,169 | |||||||||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A1, 144A | 0.730% | (a) | 03/26/37 | 2,701 | 2,573,767 | |||||||||||||||
GSMSC Resecuritization Trust, Series 2015-4R, Class A2, 144A | 0.730% | (a) | 03/26/37 | 700 | 550,570 | |||||||||||||||
Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1 | 0.956% | (a) | 07/19/47 | 2,306 | 1,927,827 | |||||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-6, Class A, 144A(b) | 2.530% | (a) | 05/01/20 | 5,675 | 5,596,929 | |||||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-7, Class A, 144A(b) | 2.530% | (a) | 07/01/20 | 3,892 | 3,867,545 | |||||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-8, Class A1, 144A | 2.620% | (a) | 08/01/20 | 2,724 | 2,720,303 | |||||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-9, Class A1, | 2.620% | (a) | 10/01/20 | 4,243 | 4,226,425 | |||||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2015-10, Class A2, | 4.120% | (a) | 11/01/20 | 1,500 | 1,488,750 |
SEE NOTES TO FINANCIAL STATEMENTS.
A50
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-1, | 2.620% | (a) | 01/01/21 | 3,776 | $ | 3,710,090 | ||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-2, | 2.620% | (a) | 03/01/21 | 2,129 | 2,117,357 | |||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-3, | 2.620% | (a) | 09/01/21 | 2,031 | 2,005,793 | |||||||||||||
LSTAR Securities Investment Trust (Cayman Islands), Series 2016-5, | 2.620% | (a) | 11/01/21 | 2,103 | 2,079,840 | |||||||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-6, | 2.630% | (a) | 11/01/21 | 3,820 | 3,766,226 | |||||||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 32 | 32,464 | ||||||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-3, | 1.664% | (a) | 11/10/18 | 1,510 | 1,510,000 | |||||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-4, | 1.737% | (a) | 05/10/19 | 6,310 | 6,296,288 | |||||||||||||
Mortgage Repurchase Agreement Financing Trust, Series 2016-5, | 1.872% | (a) | 06/10/19 | 1,100 | 1,100,000 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 3.093% | (a) | 02/25/34 | 912 | 913,988 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-18, Class 3A1 | 3.258% | (a) | 12/25/34 | 4,911 | 4,756,202 | |||||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3 | 3.756% | (a) | 07/25/32 | 537 | 521,483 | |||||||||||||
Towd Point Mortgage Funding PLC (United Kingdom), Series 2016-V1A, Class A1, 144A | 1.538% | (a) | 02/20/54 | GBP | 2,200 | 2,687,797 | ||||||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 174 | 174,279 | ||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 71,029,185 | ||||||||||||||||
SOVEREIGN BONDS — 3.7% | ||||||||||||||||||
Argentine Republic Government International Bond (Argentina), Sr. Unsec’d. Notes, 144A | 6.875% | 04/22/21 | 1,175 | 1,251,375 | ||||||||||||||
Brazilian Government International Bond (Brazil), Unsec’d. Notes | 11.000% | 06/26/17 | EUR | 2,200 | 2,427,411 | |||||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 250 | 252,500 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A | 6.850% | 01/27/45 | 600 | 566,832 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A | 7.450% | 04/30/44 | 290 | 292,900 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A | 7.500% | 05/06/21 | 600 | 651,204 | ||||||||||||||
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, RegS | 7.500% | 05/06/21 | 2,250 | 2,442,015 | ||||||||||||||
Hellenic Republic Government International Bond (Greece), Sr. Unsec’d. Notes(c) | 3.800% | 08/08/17 | JPY | 680,000 | 5,658,182 | |||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.375% | 03/29/21 | 2,776 | 3,108,454 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.125% | 02/19/18 | 2,020 | 2,066,504 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 5.375% | 02/21/23 | 436 | 472,559 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 5.375% | 03/25/24 | 290 | 316,100 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 5.750% | 11/22/23 | 2,300 | 2,550,125 | ||||||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes, RegS | 6.000% | 01/11/19 | EUR | 715 | 842,953 |
SEE NOTES TO FINANCIAL STATEMENTS.
A51
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
SOVEREIGN BONDS (Continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN | 2.875% | 07/08/21 | EUR | 825 | $ | 905,891 | ||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 3.375% | 07/30/25 | EUR | 1,625 | 1,751,544 | |||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 5.250% | 01/08/47 | 1,280 | 1,276,316 | ||||||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, RegS, EMTN, RegS | 3.750% | 06/14/28 | EUR | 500 | 535,107 | |||||||||||||
Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS | 3.450% | 03/24/17 | JPY | 170,000 | 1,468,131 | |||||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 4.600% | 01/23/46 | 700 | 628,250 | ||||||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 462 | 420,097 | ||||||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 450 | 446,625 | ||||||||||||||
Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A | 3.974% | (g) | 05/31/18 | 296 | 288,325 | |||||||||||||
Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes | 9.500% | 02/02/30 | 450 | 709,065 | ||||||||||||||
Portugal Government International Bond (Portugal), Sr. Unsec’d. Notes, RegS, RegS, MTN | 5.125% | 10/15/24 | 2,100 | 2,031,750 | ||||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, 144A, MTN | 3.875% | 10/29/35 | EUR | 945 | 1,045,739 | |||||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS, MTN | 3.875% | 10/29/35 | EUR | 1,000 | 1,106,602 | |||||||||||||
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A | 3.250% | 10/26/26 | 1,450 | 1,374,635 | ||||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.250% | 02/18/24 | 600 | 657,300 | ||||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.500% | 10/26/22 | 1,300 | 1,436,469 | ||||||||||||||
Slovenia Government International Bond (Slovenia), Sr. Unsec’d. Notes, RegS | 5.850% | 05/10/23 | 200 | 225,285 | ||||||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 5.625% | 03/30/21 | 500 | 512,700 | ||||||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,510 | 1,621,320 | ||||||||||||||
TOTAL SOVEREIGN BONDS |
| 41,340,265 | ||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.5% | ||||||||||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 10/01/33 | 854 | 976,144 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 06/01/34 | 14 | 16,147 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 11/01/33 | 297 | 342,699 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 05/01/34 | 145 | 163,986 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 06/01/34 | 165 | 186,926 | ||||||||||||||
Federal Home Loan Mortgage Corp.(i) | 6.250% | 07/15/32 | 830 | 1,142,196 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 07/01/32 | 33 | 37,256 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 07/01/32 | 35 | 38,967 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 08/01/32 | 79 | 89,708 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 08/01/32 | 80 | 90,094 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 08/01/32 | 67 | 77,620 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 184 | 207,706 | ||||||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 66 | 74,453 | ||||||||||||||
Federal Home Loan Mortgage Corp.(i) | 6.750% | 03/15/31 | 600 | 845,633 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/33 | 33 | 37,468 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/33 | 27 | 29,722 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/33 | 95 | 107,008 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/33 | 84 | 93,756 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/33 | 40 | 45,044 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/33 | 54 | 60,248 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/33 | 59 | 66,412 |
SEE NOTES TO FINANCIAL STATEMENTS.
A52
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (Continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/33 | 12 | $ | 13,632 | |||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/33 | 43 | 47,472 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 07/01/33 | 63 | 70,833 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 07/01/33 | 64 | 71,795 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 08/01/33 | 20 | 22,752 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/34 | 49 | 55,382 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/34 | 61 | 68,921 | ||||||||||||||
Federal National Mortgage Assoc. | 5.500% | 06/01/34 | 44 | 49,159 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/33 | 393 | 456,184 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/33 | 4 | 4,442 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 165 | 188,205 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 310 | 357,792 | ||||||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/36 | 99 | 112,602 | ||||||||||||||
Federal National Mortgage Assoc.(i) | 6.250% | 05/15/29 | 1,090 | 1,444,807 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 08/01/32 | 184 | 209,059 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 153 | 172,846 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 286 | 332,290 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/32 | 125 | 141,882 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 04/01/33 | 273 | 317,399 | ||||||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/33 | 8 | 9,138 | ||||||||||||||
Federal National Mortgage Assoc.(i) | 6.625% | 11/15/30 | 530 | 737,276 | ||||||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32 | 125 | 135,297 | ||||||||||||||
Federal National Mortgage Assoc. | 7.000% | 06/01/32 | 10 | 11,502 | ||||||||||||||
Federal National Mortgage Assoc.(i) | 7.125% | 01/15/30 | 785 | 1,120,168 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 01/15/33 | 110 | 124,110 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 02/15/33 | 87 | 98,584 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 05/15/33 | 206 | 230,139 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 05/15/33 | 151 | 167,891 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 06/15/33 | 236 | 268,507 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 09/15/33 | 159 | 179,673 | ||||||||||||||
Government National Mortgage Assoc. | 5.500% | 07/15/35 | 124 | 139,515 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/32 | 190 | 225,511 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/33 | 92 | 106,842 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 17 | 19,843 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 06/20/34 | 518 | 602,715 | ||||||||||||||
Government National Mortgage Assoc. | 6.000% | 11/15/34 | 851 | 1,002,213 | ||||||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32 | 246 | 281,318 | ||||||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32 | 270 | 308,222 | ||||||||||||||
Government National Mortgage Assoc. | 6.500% | 09/15/32 | 128 | 145,853 | ||||||||||||||
Government National Mortgage Assoc. | 6.500% | 11/15/33 | 223 | 254,226 | ||||||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 950 | 1,353,311 | ||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 16,388,501 | ||||||||||||||||
U.S. TREASURY OBLIGATIONS — 1.6% | ||||||||||||||||||
U.S. Treasury Bonds(j) | 2.250% | 08/15/46 | 1,680 | 1,412,578 | ||||||||||||||
U.S. Treasury Bonds(i)(j) | 2.500% | 05/15/46 | 2,105 | 1,870,654 | ||||||||||||||
U.S. Treasury Bonds(i)(j) | 2.875% | 05/15/43 | 3,955 | 3,820,126 | ||||||||||||||
U.S. Treasury Bonds(j) | 4.250% | 11/15/40 | 2,350 | 2,853,046 | ||||||||||||||
U.S. Treasury Notes(i) | 1.375% | 04/30/21 | 285 | 279,578 | ||||||||||||||
U.S. Treasury Notes | 2.000% | 11/15/26 | 2,120 | 2,039,754 | ||||||||||||||
U.S. Treasury Notes(i) | 2.250% | 07/31/21 | 805 | 817,609 | ||||||||||||||
U.S. Treasury Strips Coupon, IO(j) | 2.783% | (g) | 08/15/29 | 1,200 | 844,405 | |||||||||||||
U.S. Treasury Strips Coupon, IO(j) | 2.878% | (g) | 05/15/31 | 1,200 | 795,160 | |||||||||||||
U.S. Treasury Strips Coupon, IO(i)(j) | 3.042% | (g) | 11/15/35 | 2,400 | 1,359,329 | |||||||||||||
U.S. Treasury Strips Coupon, IO(i) | 3.202% | (g) | 08/15/40 | 2,400 | 1,133,734 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 17,225,973 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A53
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
PREFERRED STOCKS — 0.2% | Principal Amount (000)# | Value (Note 2) | ||||||||||||||
Banking |
| |||||||||||||||
Citigroup Capital XIII, 7.257%, (Capital Security, fixed to floating preferred)(a) | 45,000 | $ | 1,161,900 | |||||||||||||
State Street Corp., 5.35%(a) | 35,000 | 875,700 | ||||||||||||||
TOTAL PREFERRED STOCKS |
| 2,037,600 | ||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 986,756,490 | ||||||||||||||
Shares | ||||||||||||||||
SHORT-TERM INVESTMENTS — 9.1% | ||||||||||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(k) | 8,928,002 | 82,762,575 | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(k) | 7,204,262 | 7,204,262 | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 10,071,571 | 10,073,585 | ||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 100,040,422 | ||||||||||||||
TOTAL INVESTMENTS — 98.4% |
| 1,086,796,912 | ||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES(m) — 1.6% |
| 17,781,706 | ||||||||||||||
NET ASSETS — 100.0% |
| $ | 1,104,578,618 | |||||||||||||
See the Glossary for abbreviations used in the annual report.
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2016. |
(b) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $31,059,799 and 2.8% of net assets. |
(c) | Indicates a security or securities that have been deemed illiquid. (unaudited) |
(d) | Indicates a restricted security; the aggregate original cost of such securities is $1,317,944. The aggregate value, $1,334,142, is approximately 0.1% of net assets. |
(e) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $9,861,400; cash collateral of $10,066,753 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(f) | Represents issuer in default on interest payments. Non-income producing security. |
(g) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
(h) | Represents CAS issued by Fannie Mae or a STACR securities issued by Freddie Mac. |
(i) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
(j) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(k) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(l) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(m) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Futures contracts outstanding at December 31, 2016:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Long Positions: | ||||||||||||||||||||||
4,694 | 5 Year U.S. Treasury Notes | Mar. | 2017 | $ | 555,006,605 | $ | 552,315,109 | $ | (2,691,496 | ) | ||||||||||||
2,272 | 10 Year U.S. Treasury Notes | Mar. | 2017 | 283,201,306 | 282,367,000 | (834,306 | ) | |||||||||||||||
81 | 20 Year U.S. Treasury Bonds | Mar. | 2017 | 12,056,975 | 12,203,156 | 146,181 | ||||||||||||||||
487 | 30 Year U.S. Ultra Treasury Bonds | Mar. | 2017 | 78,712,591 | 78,041,750 | (670,841 | ) | |||||||||||||||
(4,050,462 | ) | |||||||||||||||||||||
Short Position: | ||||||||||||||||||||||
342 | 2 Year U.S. Treasury Notes | Mar. | 2017 | 74,027,194 | 74,107,125 | (79,931 | ) | |||||||||||||||
$ | (4,130,393 | ) | ||||||||||||||||||||
Cash of $3,010,000 and U.S. Treasury Obligations with a combined market value of $7,967,406 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2016.
Forward foreign currency exchange contracts outstanding at December 31, 2016:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||
OTC forward foreign currency exchange contracts: |
| |||||||||||||||||
Mexican Peso, | ||||||||||||||||||
Expiring 01/24/17 | Goldman Sachs & Co. | MXN | 24,824 | $ | 1,211,100 | $ | 1,192,981 | $ | (18,119 | ) | ||||||||
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation (Depreciation) | |||||||||||||
OTC forward foreign currency exchange contracts: |
| |||||||||||||||||
Australian Dollar, | ||||||||||||||||||
Expiring 01/13/17 | BNP Paribas | AUD | 559 | $ | 421,860 | $ | 403,519 | $ | 18,341 | |||||||||
British Pound, | ||||||||||||||||||
Expiring 01/27/17 | Goldman Sachs & Co. | GBP | 2,078 | 2,640,357 | 2,562,526 | 77,831 | ||||||||||||
Expiring 01/27/17 | UBS AG | GBP | 3,839 | 4,666,257 | 4,734,507 | (68,250 | ) | |||||||||||
Euro, | ||||||||||||||||||
Expiring 01/27/17 | Goldman Sachs & Co. | EUR | 16,967 | 18,548,092 | 17,887,230 | 660,862 | ||||||||||||
Expiring 01/27/17 | JPMorgan Chase | EUR | 419 | 458,859 | 442,089 | 16,770 | ||||||||||||
Hungarian Forint, | ||||||||||||||||||
Expiring 01/25/17 | Citigroup Global Markets | HUF | 219,665 | 786,908 | 748,329 | 38,579 | ||||||||||||
Israeli Shekel, | ||||||||||||||||||
Expiring 01/19/17 | Citigroup Global Markets | ILS | 400 | 104,693 | 104,008 | 685 | ||||||||||||
Japanese Yen, | ||||||||||||||||||
Expiring 01/27/17 | UBS AG | JPY | 45,193 | 435,024 | 387,300 | 47,724 | ||||||||||||
Mexican Peso, | ||||||||||||||||||
Expiring 01/24/17 | Goldman Sachs & Co. | MXN | 16,772 | 892,322 | 805,993 | 86,329 | ||||||||||||
Polish Zloty, | ||||||||||||||||||
Expiring 01/25/17 | Goldman Sachs & Co. | PLN | 2,314 | 587,203 | 552,682 | 34,521 | ||||||||||||
South African Rand, | ||||||||||||||||||
Expiring 01/13/17 | Toronto Dominion | ZAR | 9,060 | 618,700 | 657,916 | (39,216 | ) | |||||||||||
$ | 30,160,275 | $ | 29,286,099 | 874,176 | ||||||||||||||
$ | 856,057 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A55
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Credit default swap agreements outstanding at December 31, 2016:
|
| |||||||||||||||||||||||
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at December 31, 2016(4) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared credit default swap on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.HY.27.V1 | 12/20/21 | 5.000% | 13,900 | $ | (484,261 | ) | $ | (860,521 | ) | $ | (376,260 | ) | ||||||||||||
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at December 31, 2016(4) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared credit default swaps on corporate and/or sovereign issues—Sell Protection(2): |
| |||||||||||||||||||||||
CIT Group, Inc. | 06/20/18 | 5.000% | 5,350 | $ | 341,964 | $ | 347,123 | $ | 5,159 | |||||||||||||||
General Motors Co. | 06/20/19 | 5.000% | 1,925 | 216,698 | 197,218 | (19,480 | ) | |||||||||||||||||
$ | 558,662 | $ | 544,341 | $ | (14,321 | ) | ||||||||||||||||||
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value(4) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC credit default swaps on asset-backed securities—Sell Protection(2)(b): | ||||||||||||||||||||||||||
Ameriquest Home Equity | 01/30/17 | 1.500% | 261 | $ | 380 | $ | — | $ | 380 | Goldman Sachs & Co. | ||||||||||||||||
Ameriquest Home Equity | 01/30/17 | 1.500% | 110 | 160 | — | 160 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 01/30/17 | 1.500% | 172 | 251 | — | 251 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 01/30/17 | 1.500% | 178 | 259 | — | 259 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 01/30/17 | 1.500% | 137 | 199 | — | 199 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 01/30/17 | 1.500% | 220 | 320 | — | 320 | Goldman Sachs & Co. | |||||||||||||||||||
Ameriquest Home Equity | 01/30/17 | 1.500% | 273 | 398 | — | 398 | Goldman Sachs & Co. | |||||||||||||||||||
Bank of America Prime Mortgage | 01/30/17 | 1.500% | 595 | 867 | — | 867 | Goldman Sachs & Co. | |||||||||||||||||||
Bear Stearns Asset Backed Securities Trust | 01/30/17 | 1.500% | 422 | 53 | — | 53 | Goldman Sachs & Co. | |||||||||||||||||||
Bear Stearns Asset Backed Securities Trust | 01/30/17 | 1.500% | 116 | 170 | — | 170 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 01/30/17 | 1.500% | 161 | 234 | — | 234 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 01/30/17 | 1.500% | 414 | 604 | — | 604 | Goldman Sachs & Co. | |||||||||||||||||||
Chase Mortgage | 01/30/17 | 1.500% | 414 | 603 | — | 603 | Goldman Sachs & Co. | |||||||||||||||||||
Citigroup Commercial Mortgage Trust | 01/23/17 | 1.500% | 92 | 134 | — | 134 | Goldman Sachs & Co. | |||||||||||||||||||
Citigroup Mortgage Loan Trust | 01/30/17 | 1.500% | 143 | 208 | — | 208 | Goldman Sachs & Co. | |||||||||||||||||||
Citigroup Mortgage Loan Trust | 01/30/17 | 1.500% | 170 | 248 | — | 248 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 01/23/17 | 1.500% | 61 | 89 | — | 89 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 01/23/17 | 1.500% | 380 | 554 | — | 554 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 01/23/17 | 1.500% | 411 | 599 | — | 599 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 01/23/17 | 1.500% | 205 | 299 | — | 299 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 01/23/17 | 1.500% | 49 | 71 | — | 71 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 01/23/17 | 1.500% | 45 | 66 | — | 66 | Goldman Sachs & Co. | |||||||||||||||||||
COMM Mortgage Trust | 01/23/17 | 1.500% | 104 | 152 | — | 152 | Goldman Sachs & Co. | |||||||||||||||||||
Commercial Mortgage Pass Through Certificate | 01/23/17 | 1.500% | 88 | 128 | — | 128 | Goldman Sachs & Co. | |||||||||||||||||||
Countrywide Home Equity | 01/30/17 | 1.500% | 154 | 225 | — | 225 | Goldman Sachs & Co. | |||||||||||||||||||
Countrywide Home Equity | 01/30/17 | 1.500% | 217 | 316 | — | 316 | Goldman Sachs & Co. | |||||||||||||||||||
Countrywide Home Equity | 01/30/17 | 1.500% | 173 | 252 | — | 252 | Goldman Sachs & Co. | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 01/03/17 | 1.500% | 79 | 16 | — | 16 | Goldman Sachs & Co. | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 01/03/17 | 1.500% | 920 | 190 | — | 190 | Goldman Sachs & Co. | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | 01/03/17 | 1.500% | 314 | 62 | — | 62 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 01/23/17 | 1.500% | 100 | 146 | — | 146 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 01/23/17 | 1.500% | 380 | 554 | — | 554 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 01/23/17 | 1.500% | 143 | 208 | — | 208 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 01/23/17 | 1.500% | 80 | 117 | — | 117 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 01/23/17 | 1.500% | 84 | 122 | — | 122 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 01/23/17 | 1.500% | 162 | 236 | — | 236 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 01/23/17 | 1.500% | 139 | 203 | — | 203 | Goldman Sachs & Co. | |||||||||||||||||||
GS Mortgage Securities Trust | 01/23/17 | 1.500% | 53 | 77 | — | 77 | Goldman Sachs & Co. |
SEE NOTES TO FINANCIAL STATEMENTS.
A56
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Credit default swap agreements outstanding at December 31, 2016 (continued):
Reference Entity/ | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value(4) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||||||||||||
OTC credit default swaps on asset-backed securities—Sell Protection(2)(b) (continued): | ||||||||||||||||||||||||||
GS Mortgage Securities Trust | 01/23/17 | 1.500% | 150 | $ | 219 | $ | — | $ | 219 | Goldman Sachs & Co. | ||||||||||||||||
GSAMP Home Equity | 01/30/17 | 1.500% | 175 | 254 | — | 254 | Goldman Sachs & Co. | |||||||||||||||||||
GSAMP Home Equity | 01/30/17 | 1.500% | 265 | 386 | — | 386 | Goldman Sachs & Co. | |||||||||||||||||||
Indymac Subprime Mortgage | 01/30/17 | 1.500% | 144 | 187 | — | 187 | Goldman Sachs & Co. | |||||||||||||||||||
Indymac Subprime Mortgage | 01/30/17 | 1.500% | 389 | (193 | ) | — | (193 | ) | Goldman Sachs & Co. | |||||||||||||||||
JPMBB Commercial Mortgage Securities Trust | 01/23/17 | 1.500% | 193 | 281 | — | 281 | Goldman Sachs & Co. | |||||||||||||||||||
JPMBB Commercial Mortgage Securities Trust | 01/23/17 | 1.500% | 57 | 83 | — | 83 | Goldman Sachs & Co. | |||||||||||||||||||
JPMorgan Chase Commercial Mortgage | 01/23/17 | 1.500% | 53 | 77 | — | 77 | Goldman Sachs & Co. | |||||||||||||||||||
Lehman Home Equity | 01/30/17 | 1.500% | 330 | 481 | — | 481 | Goldman Sachs & Co. | |||||||||||||||||||
LNR CDO Ltd. | 01/11/17 | 1.500% | 1,560 | 2,143 | — | 2,143 | Goldman Sachs & Co. | |||||||||||||||||||
Long Beach Home Equity | 01/30/17 | 1.500% | 310 | 452 | — | 452 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 01/23/17 | 1.500% | 395 | 576 | — | 576 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 01/23/17 | 1.500% | 57 | 83 | — | 83 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 01/23/17 | 1.500% | 73 | 106 | — | 106 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley BAML Trust | 01/23/17 | 1.500% | 88 | 128 | — | 128 | Goldman Sachs & Co. | |||||||||||||||||||
Morgan Stanley Home Equity | 01/30/17 | 1.500% | 134 | 195 | — | 195 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 01/30/17 | 1.500% | 339 | 493 | — | 493 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 01/30/17 | 1.500% | 300 | 438 | — | 438 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 01/30/17 | 1.500% | 153 | 223 | — | 223 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 01/30/17 | 1.500% | 179 | 260 | — | 260 | Goldman Sachs & Co. | |||||||||||||||||||
New Century Home Equity | 01/30/17 | 1.500% | 184 | 268 | — | 268 | Goldman Sachs & Co. | |||||||||||||||||||
Option One Home Equity | 01/30/17 | 1.500% | 564 | 822 | — | 822 | Goldman Sachs & Co. | |||||||||||||||||||
Option One Home Equity | 01/30/17 | 1.500% | 318 | 463 | — | 463 | Goldman Sachs & Co. | |||||||||||||||||||
UBS-Barclays Commercial Mortgage Trust | 01/23/17 | 1.500% | 42 | 61 | — | 61 | Goldman Sachs & Co. | |||||||||||||||||||
Wells Fargo Home Equity | 01/30/17 | 1.500% | 116 | 169 | — | 169 | Goldman Sachs & Co. | |||||||||||||||||||
WF-RBS Commercial Mortgage Trust | 01/23/17 | 1.500% | 49 | 71 | — | 71 | Goldman Sachs & Co. | |||||||||||||||||||
WF-RBS Commercial Mortgage Trust | 01/23/17 | 1.500% | 57 | 83 | — | 83 | Goldman Sachs & Co. | |||||||||||||||||||
WFCG Chase Commercial Mortgage | 01/23/17 | 1.500% | 283 | 412 | — | 412 | Goldman Sachs & Co. | |||||||||||||||||||
$ | 18,991 | $ | — | $ | 18,991 | |||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2016(5) | Fair Value | Upfront Premiums Paid (Received) | Unrealized | Counterparty | ||||||||||||||||||||
OTC credit default swaps on corporate and/or sovereign Issues — Sell Protection(2): | ||||||||||||||||||||||||||||
Petroleo Brasileriro SA | 06/20/18 | 1.000% | 2,250 | 2.166 | % | $ | (37,270 | ) | $ | (172,518 | ) | $ 135,248 | Morgan Stanley | |||||||||||||||
Republic of Italy | 09/20/20 | 1.000% | 9,680 | 1.421 | % | (140,432 | ) | 44,911 | (185,343) | JPMorgan Chase | ||||||||||||||||||
Republic of Italy | 09/20/20 | 1.000% | 2,000 | 1.421 | % | (29,014 | ) | 5,762 | (34,776) | JPMorgan Chase | ||||||||||||||||||
$ | (206,716 | ) | $ | (121,845 | ) | $ (84,871) | ||||||||||||||||||||||
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
SEE NOTES TO FINANCIAL STATEMENTS.
A57
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The fair value of credit default swap agreements on credit indices, asset-backed securities and centrally cleared corporate and/or sovereign issues serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of OTC credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Currency swap agreements outstanding at December 31, 2016:
Notional Amount (000)# | Fund Receives | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
| OTC currency swap agreements: |
| ||||||||||||||||||||||||||||
278 | 3 Month LIBOR | EUR | 240 | 3 Month EURIBOR minus 24.50 bps | Citigroup Global Markets | 01/16/17 | $ | 26,630 | $ | — | $ | 26,630 | ||||||||||||||||||
1,541 | | 3 Month LIBOR plus 432 bps | | JPY | 120,000 | 3.450% | Citigroup Global Markets | 03/24/17 | 492,834 | 37,018 | 455,816 | |||||||||||||||||||
5,882 | 3 Month LIBOR | JPY | 600,000 | 3 Month JPY LIBOR minus 31.25 bps | Deutsche Bank AG | 05/14/17 | 741,412 | — | 741,412 | |||||||||||||||||||||
1,157 | 3 Month LIBOR | EUR | 900 | 3 Month EURIBOR minus 31.75 bps | Hong Kong & Shanghai Bank | 09/28/17 | 209,463 | — | 209,463 | |||||||||||||||||||||
13,099 | 3 Month LIBOR | EUR | 11,400 | 3 Month EURIBOR minus 26.95 bps | JPMorgan Chase | 02/17/17 | 1,117,404 | — | 1,117,404 | |||||||||||||||||||||
1,003 | 3 Month LIBOR | EUR | 900 | (0.613)% | JPMorgan Chase | 02/22/20 | 60,611 | — | 60,611 | |||||||||||||||||||||
719 | 3 Month LIBOR | EUR | 640 | (0.443)% | JPMorgan Chase | 08/22/21 | 44,423 | — | 44,423 | |||||||||||||||||||||
$ | 2,692,777 | $ | 37,018 | $ | 2,655,759 | |||||||||||||||||||||||||
Interest rate swap agreements outstanding at December 31, 2016:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: | |||||||||||||||||||||||
AUD | 2,490 | 10/26/18 | 1.765% | 3 Month BBSW(1) | $ | 119 | $ | 6,967 | $ | 6,848 | ||||||||||||||
AUD | 3,630 | 10/27/18 | 1.793% | 3 Month BBSW(1) | 120 | 8,992 | 8,872 | |||||||||||||||||
AUD | 15,895 | 11/29/18 | 1.900% | 3 Month BBSW(1) | 138 | 20,336 | 20,198 | |||||||||||||||||
AUD | 2,020 | 10/26/21 | 2.115% | 6 Month BBSW(2) | 121 | (32,819 | ) | (32,940 | ) | |||||||||||||||
AUD | 2,990 | 10/27/21 | 2.125% | 6 Month BBSW(2) | 123 | (47,742 | ) | (47,865 | ) | |||||||||||||||
AUD | 9,570 | 10/27/21 | 2.173% | 6 Month BBSW(2) | (1,730 | ) | (137,754 | ) | (136,024 | ) | ||||||||||||||
AUD | 19,585 | 11/29/21 | 2.458% | 6 Month BBSW(2) | (284 | ) | (105,810 | ) | (105,526 | ) | ||||||||||||||
AUD | 790 | 10/27/26 | 2.355% | 6 Month BBSW(1) | 119 | 31,338 | 31,219 | |||||||||||||||||
AUD | 3,490 | 11/29/26 | 2.823% | 6 Month BBSW(1) | 131 | 36,893 | 36,762 | |||||||||||||||||
CAD | 15,470 | 10/26/18 | 0.904% | 3 Month Canadian Banker’s Acceptance(2) | 104 | (34,962 | ) | (35,066 | ) | |||||||||||||||
EUR | 8,000 | 08/01/19 | 0.346% | 1 Day EUROIS(1) | (131,181 | ) | (171,557 | ) | (40,376 | ) | ||||||||||||||
EUR | 1,255 | 10/06/21 | (0.385%) | 1 Day EONIA(1) | 173 | 13,017 | 12,844 | |||||||||||||||||
EUR | 1,150 | 06/20/24 | (0.050%) | 1 Day EUROIS(1) | 99 | 15,413 | 15,314 | |||||||||||||||||
EUR | 1,380 | 09/13/24 | (0.104%) | 1 Day EUROIS(1) | 180 | 29,845 | 29,665 |
SEE NOTES TO FINANCIAL STATEMENTS.
A58
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements (continued): | |||||||||||||||||||||||
EUR | 2,000 | 07/28/25 | 0.780% | 1 Day EUROIS(1) | $ | 180 | $ | (102,007 | ) | $ | (102,187 | ) | ||||||||||||
EUR | 3,900 | 02/23/26 | 0.324% | 1 Day EUROIS(1) | (2,798 | ) | (13,412 | ) | (10,614 | ) | ||||||||||||||
EUR | 705 | 03/04/36 | 0.865% | 1 Day EUROIS(1) | (798 | ) | 12,772 | 13,570 | ||||||||||||||||
EUR | 550 | 04/11/36 | 0.962% | 6 Month EURIBOR(1) | 179 | 21,519 | 21,340 | |||||||||||||||||
GBP | 1,950 | 02/23/21 | 0.639% | 1 Day GBP OIS(1) | 222 | (25,222 | ) | (25,444 | ) | |||||||||||||||
MXN | 48,200 | 05/25/22 | 6.370% | 28 Day Mexican Interbank Rate(2) | 29 | (135,629 | ) | (135,658 | ) | |||||||||||||||
MXN | 38,000 | 08/13/24 | 6.120% | 28 Day Mexican Interbank Rate(2) | 25 | (185,054 | ) | (185,079 | ) | |||||||||||||||
MXN | 38,100 | 12/27/24 | 5.795% | 28 Day Mexican Interbank Rate(2) | 26 | (231,827 | ) | (231,853 | ) | |||||||||||||||
MXN | 69,000 | 10/15/26 | 6.445% | 28 Day Mexican Interbank Rate(2) | 38 | (352,890 | ) | (352,928 | ) | |||||||||||||||
MXN | 37,560 | 12/09/26 | 7.780% | 28 Day Mexican Interbank Rate(2) | (148 | ) | (19,665 | ) | (19,517 | ) | ||||||||||||||
MXN | 13,900 | 07/27/34 | 6.720% | 28 Day Mexican Interbank Rate(2) | 18 | (105,582 | ) | (105,600 | ) | |||||||||||||||
NOK | 28,010 | 11/01/26 | 1.650% | 6 Month NIBOR(2) | 43 | (83,274 | ) | (83,317 | ) | |||||||||||||||
NZD | 21,750 | 12/15/17 | 2.125% | 3 Month New Zealand Bank Bill(2) | 122 | (8,021 | ) | (8,143 | ) | |||||||||||||||
NZD | 6,340 | 11/01/26 | 2.835% | 3 Month New Zealand Bank Bill(2) | (16,628 | ) | (243,737 | ) | (227,109 | ) | ||||||||||||||
118,285 | 02/18/17 | 0.466% | 1 Day USOIS(1) | 256 | 17,094 | 16,838 | ||||||||||||||||||
57,350 | 08/19/17 | 0.524% | 1 Day USOIS(1) | 202 | 62,731 | 62,529 | ||||||||||||||||||
231,530 | 09/09/17 | 0.539% | 1 Day USOIS(1) | 31,678 | 289,266 | 257,588 | ||||||||||||||||||
56,750 | 10/21/17 | 0.590% | 1 Day USOIS(1) | 202 | 79,334 | 79,132 | ||||||||||||||||||
55,860 | 11/01/17 | 0.639% | 1 Day USOIS(1) | 276 | 59,554 | 59,278 | ||||||||||||||||||
110,140 | 11/14/17 | 0.675% | 1 Day USOIS(1) | (9,329 | ) | 102,156 | 111,485 | |||||||||||||||||
54,980 | 11/22/17 | 0.716% | 1 Day USOIS(1) | 274 | 36,311 | 36,037 | ||||||||||||||||||
45,150 | 09/30/18 | 0.655% | 1 Day USOIS(1) | 252 | 315,200 | 314,948 | ||||||||||||||||||
22,510 | 09/30/18 | 0.747% | 1 Day USOIS(1) | 200 | 121,102 | 120,902 | ||||||||||||||||||
55,120 | 11/17/18 | 1.080% | 1 Day USOIS(1) | 274 | 144,915 | 144,641 | ||||||||||||||||||
82,865 | 11/18/18 | 0.911% | 1 Day USOIS(1) | (4,269 | ) | 242,942 | 247,211 | |||||||||||||||||
35,980 | 11/22/18 | 1.297% | 3 Month LIBOR(1) | 232 | 85,503 | 85,271 | ||||||||||||||||||
1,575 | 03/11/20 | 1.824% | 3 Month LIBOR(1) | 28 | (5,006 | ) | (5,034 | ) | ||||||||||||||||
107,735 | 12/31/21 | 1.787% | 3 Month LIBOR(1) | (140,427 | ) | 923,418 | 1,063,845 | |||||||||||||||||
17,000 | 12/31/21 | 1.850% | 3 Month LIBOR(1) | 242 | 93,717 | 93,475 | ||||||||||||||||||
51,250 | 05/31/22 | 1.741% | 3 Month LIBOR(1) | 375,423 | 711,374 | 335,951 | ||||||||||||||||||
29,120 | 05/31/22 | 2.237% | 3 Month LIBOR(1) | (77,973 | ) | (345,497 | ) | (267,524 | ) | |||||||||||||||
22,700 | 08/31/22 | 1.788% | 3 Month LIBOR(1) | 273 | 298,045 | 297,772 | ||||||||||||||||||
87,900 | 08/31/22 | 2.013% | 3 Month LIBOR(1) | (161,643 | ) | 80,676 | 242,319 | |||||||||||||||||
12,360 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 217 | 52,284 | 52,067 | ||||||||||||||||||
5,800 | 12/31/22 | 1.405% | 3 Month LIBOR(1) | 181 | 219,026 | 218,845 | ||||||||||||||||||
4,400 | 12/31/22 | 1.406% | 3 Month LIBOR(1) | 174 | 165,788 | 165,614 | ||||||||||||||||||
8,700 | 12/31/22 | 1.409% | 3 Month LIBOR(1) | 197 | 326,572 | 326,375 | ||||||||||||||||||
2,400 | 12/31/22 | 1.412% | 3 Month LIBOR(1) | 163 | 89,718 | 89,555 | ||||||||||||||||||
12,100 | 12/31/22 | 1.416% | 3 Month LIBOR(1) | 216 | 449,280 | 449,064 | ||||||||||||||||||
4,850 | 12/31/22 | 1.495% | 3 Month LIBOR(1) | 177 | 158,106 | 157,929 | ||||||||||||||||||
10,495 | 05/31/23 | 1.394% | 3 Month LIBOR(1) | 207 | 454,777 | 454,570 | ||||||||||||||||||
10,495 | 05/31/23 | 1.395% | 3 Month LIBOR(1) | 208 | 454,081 | 453,873 | ||||||||||||||||||
10,290 | 05/31/23 | 1.513% | 3 Month LIBOR(1) | 206 | 371,269 | 371,063 | ||||||||||||||||||
8,910 | 05/31/23 | 1.578% | 3 Month LIBOR(1) | (16,958 | ) | 285,974 | 302,932 | |||||||||||||||||
3,950 | 05/31/23 | 1.584% | 3 Month LIBOR(1) | 172 | 125,448 | 125,276 | ||||||||||||||||||
38,325 | 08/02/23 | —(3) | —(3) | (14,022 | ) | 104,320 | 118,342 | |||||||||||||||||
58,445 | 08/02/23 | —(4) | —(4) | 2,858 | 168,597 | 165,739 | ||||||||||||||||||
18,580 | 08/03/23 | —(5) | —(5) | (13,138 | ) | 52,220 | 65,358 | |||||||||||||||||
10,920 | 08/15/23 | 1.459% | 3 Month LIBOR(2) | 130 | (454,659 | ) | (454,789 | ) | ||||||||||||||||
7,400 | 05/15/37 | 2.726% | 3 Month LIBOR(2) | 271 | 168,688 | 168,417 | ||||||||||||||||||
14,685 | 11/15/41 | 1.869% | 3 Month LIBOR(1) | 46,940 | 2,020,844 | 1,973,904 | ||||||||||||||||||
2,905 | 02/15/42 | 1.369% | 1 Day USOIS(1) | 202 | 466,733 | 466,531 | ||||||||||||||||||
1,835 | 09/27/46 | 1.380% | 1 Day USOIS(1) | 183 | 323,497 | 323,314 | ||||||||||||||||||
$ | (126,503 | ) | $ | 7,475,526 | $ | 7,602,029 | ||||||||||||||||||
Cash of $8,748,000, U.S. Government Agency Obligations, and U.S. Treasury Obligations with a combined market value of $12,484,612 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared credit default and interest rate swap contracts at December 31, 2016.
SEE NOTES TO FINANCIAL STATEMENTS.
A59
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
(3) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.25 bps. |
(4) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.50 bps. |
(5) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.375 bps. |
Total return swap agreements outstanding at December 31, 2016:
Counterparty | Termination Date | Long (Short) Notional Amount (000)# | Description | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(1) | ||||||||||||||||
OTC total return swap agreements: |
| |||||||||||||||||||||
Credit Suisse First Boston Corp. | 01/12/41 | 5,231 | Pay variable payments based on 1 Month LIBOR and receive fixed payments based on the IOS.FN30.450.10 Index | $ | (4,157 | ) | $ | (15,649 | ) | $ | 11,492 | |||||||||||
(1) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | $ | — | $ | 51,503,618 | $ | — | ||||||
Non-Residential Mortgage-Backed Securities | — | 34,379,083 | — | |||||||||
Residential Mortgage-Backed Securities | — | 64,171,582 | 3,440,000 | |||||||||
Bank Loans | — | 30,160,387 | 1,509,078 | |||||||||
Commercial Mortgage-Backed Securities | — | 142,537,703 | — | |||||||||
Corporate Bonds | — | 472,240,049 | — | |||||||||
Non-Corporate Foreign Agencies | — | 19,008,000 | — | |||||||||
Municipal Bonds | — | 19,785,466 | — | |||||||||
Residential Mortgage-Backed Securities | — | 44,937,455 | 26,091,730 | |||||||||
Sovereign Bonds | — | 41,340,265 | — | |||||||||
U.S. Government Agency Obligations | — | 16,388,501 | — | |||||||||
U.S. Treasury Obligations | — | 17,225,973 | — | |||||||||
Preferred Stocks | 2,037,600 | — | — | |||||||||
Affiliated Mutual Funds | 100,040,422 | — | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | (4,130,393 | ) | — | — | ||||||||
OTC Forward Foreign Currency Exchange Contracts | — | 856,057 | — | |||||||||
Centrally Cleared Credit Default Swap Agreements | — | (390,581 | ) | — | ||||||||
OTC Credit Default Swap Agreements | — | (206,716 | ) | 18,991 | ||||||||
OTC Currency Swap Agreements | — | 2,692,777 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 7,602,029 | — | |||||||||
OTC Total Return Swap Agreement | — | (4,157 | ) | — | ||||||||
Total | $ | 97,947,629 | $ | 964,227,491 | $ | 31,059,799 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A60
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
Bank Loans | Residential Mortgage-Backed Securities*** | Credit Default Swaps | ||||||||||
Balance as of 12/31/15 | $ | — | $ | 18,076,943 | $ | 2,839 | ||||||
Realized gain (loss) | 5,824 | 75,982 | — | |||||||||
Change in unrealized appreciation (depreciation)** | 20,740 | 112,441 | 16,152 | |||||||||
Purchases / Exchanges / Issuances | — | 16,094,369 | — | |||||||||
Sales/Paydowns | (669,422 | ) | (9,505,952 | ) | — | |||||||
Accrued discount/premium | — | 51,082 | — | |||||||||
Transfers into Level 3 | 2,151,936 | 4,626,865 | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Balance as of 12/31/16 | $ | 1,509,078 | $ | 29,531,730 | $ | 18,991 | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
** | Of which, $152,709 was relating to securities held at the reporting period end. |
*** | Residential Mortgage-Backed and Asset-Backed Residential Mortgage-Backed Level 3 securities rollforward. |
During the period, there were no transfers between Level 1 and Level 2 to report.
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by Board, which contain unobservable inputs as follows:
Level 3 Securities | Fair Value as of December 31, 2016 | Valuation Methodology | Unobservable Inputs | |||||||
Bank Loans | $ | 1,509,078 | Market Approach | Single Broker Indicative Quote | ||||||
Residential Mortgage-Backed Securities | 29,531,730 | Market Approach | Single Broker Indicative Quote | |||||||
Credit Default Swap Agreements | 18,991 | Market Approach | Single Broker Indicative Quote | |||||||
$ | 31,059,799 | |||||||||
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. Securities transferred levels as follows:
Investments in Securities | Amount Transferred | Level Transfer | Logic | |||||||
Bank Loans | $ | 2,151,936 | L2 to L3 | Multiple Broker Quotes to Single Broker Indicative Quote | ||||||
Residential Mortgage-Backed Securities | $ | 4,626,865 | L2 to L3 | Evaluated Bid to Single Broker Indicative Quote |
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Commercial Mortgage-Backed Securities | 12.9 | % | ||
Residential Mortgage-Backed Securities | 12.5 | |||
Banks | 10.2 | |||
Affiliated Mutual Funds (including 0.9% of collateral for securities on loan) | 9.1 | |||
Collateralized Loan Obligations | 4.7 | |||
Sovereign Bonds | 3.7 | |||
Media | 3.5 | |||
Electric | 3.5 | |||
Non-Residential Mortgage-Backed Securities | 3.1 | |||
Healthcare-Services | 2.5 | |||
Insurance | 2.1 | |||
Telecommunications | 1.9 | |||
Municipal Bonds | 1.8 | |||
Non-Corporate Foreign Agencies | 1.7 | |||
Chemicals | 1.6 | |||
U.S. Treasury Obligations | 1.6 |
U.S. Government Agency Obligations | 1.5 | % | ||
Oil & Gas | 1.4 | |||
Food | 1.1 | |||
Diversified Financial Services | 1.1 | |||
Technology | 1.0 | |||
Home Builders | 1.0 | |||
Pharmaceuticals | 1.0 | |||
Software | 0.9 | |||
Commercial Services | 0.8 | |||
Auto Manufacturers | 0.8 | |||
Healthcare-Products | 0.7 | |||
Retail | 0.7 | |||
Semiconductors | 0.6 | |||
Airlines | 0.6 | |||
Packaging & Containers | 0.6 | |||
Building Materials | 0.5 | |||
Computers | 0.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
A61
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Industry table (cont.) | ||||
Lodging | 0.4 | % | ||
Mining | 0.4 | |||
Miscellaneous Manufacturing | 0.4 | |||
Auto Parts & Equipment | 0.4 | |||
Machinery-Diversified | 0.4 | |||
Pipelines | 0.3 | |||
Real Estate Investment Trusts (REITs) | 0.3 | |||
Agriculture | 0.3 | |||
Entertainment | 0.3 | |||
Forest Products & Paper | 0.3 | |||
Healthcare & Pharmaceutical | 0.3 | |||
Biotechnology | 0.3 | |||
Aerospace & Defense | 0.3 | |||
Gas | 0.2 | |||
Retailers | 0.2 | |||
Multi-National | 0.2 | |||
Banking | 0.2 | |||
Transportation Services | 0.2 | |||
Savings & Loans | 0.1 | |||
Beverages | 0.1 |
Gaming | 0.1 | % | ||
Transportation | 0.1 | |||
IT Services | 0.1 | |||
Leisure Time | 0.1 | |||
Automotive | 0.1 | |||
Office/Business Equipment | 0.1 | |||
Health Care & Pharmaceutical | 0.1 | |||
Electronics | 0.1 | |||
Diversified Manufacturing | 0.1 | |||
Consumer | 0.1 | |||
Supermarkets | 0.1 | |||
Housewares | 0.1 | |||
Home Furnishings | 0.1 | |||
Apparel | 0.1 | |||
Iron/Steel | 0.1 | |||
Oil & Gas Services | 0.1 | |||
98.4 | ||||
Other assets in excess of liabilities | 1.6 | |||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, foreign exchange risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2016 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Credit contracts | Due from/to broker—variation margin swaps | $ | 5,159 | * | Due from/to broker—variation margin swaps | $ | 395,740 | * | ||||
Credit contracts | Premiums paid for OTC swap agreements | 50,673 | Premiums received for OTC swap agreements | 172,518 | ||||||||
Credit contracts | Unrealized appreciation on OTC swap agreements | 154,432 | Unrealized depreciation on OTC swap agreements | 220,312 | ||||||||
Foreign exchange contracts | Unrealized appreciation on OTC forward foreign currency exchange contracts | 981,642 | Unrealized depreciation on OTC forward foreign currency exchange contracts | 125,585 | ||||||||
Interest rate contracts | Due from/to broker—variation margin futures | 146,181 | * | Due from/to broker—variation margin futures | 4,276,574 | * | ||||||
Interest rate contracts | Due from/to broker—variation margin swaps | 10,214,622 | * | Due from/to broker—variation margin swaps | 2,612,593 | * | ||||||
Interest rate contracts | Premiums paid for OTC swap agreements | 37,018 | Premiums received for OTC swap agreements | 15,649 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 2,667,251 | — | — | ||||||||
Total | $ | 14,256,978 | $ | 7,818,971 | ||||||||
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures contracts and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A62
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Forward Rate Agreements | Forward Contracts** | Swaps | Total | |||||||||||||||||||||
Credit contracts | $ | (518,630 | ) | $ | 265,120 | $ | — | $ | — | $ | — | $ | (1,631,610 | ) | $ | (1,885,120 | ) | |||||||||||
Foreign exchange contracts | — | — | — | — | 1,522,976 | — | 1,522,976 | |||||||||||||||||||||
Interest rate contracts | (434,072 | ) | (134,313 | ) | 3,369,998 | 128,858 | — | (6,278,412 | ) | (3,347,941 | ) | |||||||||||||||||
Total | $ | (952,702 | ) | $ | 130,807 | $ | 3,369,998 | $ | 128,858 | $ | 1,522,976 | $ | (7,910,022 | ) | $ | (3,710,085 | ) | |||||||||||
* | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
** | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not designated as hedging | Options Purchased* | Options Written | Futures | Forward Contracts** | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | 357,855 | $ | (209,859 | ) | $ | — | $ | — | $ | 944,847 | $ | 1,092,843 | |||||||||||
Foreign exchange contracts | — | — | — | 493,771 | — | 493,771 | ||||||||||||||||||
Interest rate contracts | 428,204 | (284,376 | ) | (3,552,236 | ) | — | 9,331,414 | 5,923,006 | ||||||||||||||||
Total | $ | 786,059 | $ | (494,235 | ) | $ | (3,552,236 | ) | $ | 493,771 | $ | 10,276,261 | $ | 7,509,620 | ||||||||||
* | Included in net unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
** | Included in net unrealized appreciation (depreciation) on foreign currency transactions in the Statement of Operations. |
For the year ended December 31, 2016, the Portfolio’s average volume of derivative activities is as follows:
Options | Options | Futures | Futures | Forward Foreign | ||||
$527,430 | $148,946,000 | $823,350,509 | $103,673,248 | $4,509,743 | ||||
Forward Foreign | Interest Rate | Credit Default | Credit Default | Currency | ||||
$26,204,359 | $978,491,000 | $18,970,000 | $52,294,000 | $45,268,000 | ||||
Total | ||||||||
$17,779,000 |
(1) | Cost. |
(2) | Value at Trade Date. |
(3) | Value at Settlement Date. |
(4) | Notional Amount in USD. |
The Portfolio invested in OTC derivatives and entered into other financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and other financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(3) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 9,861,400 | $ | (9,861,400 | ) | $ | — | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A63
DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Offsetting of OTC derivative assets and liabilities:
Counterparty | Gross amounts of recognized assets(1) | Gross amounts available for offset | Collateral Received | Net Amount | ||||||||||||
BNP Paribas | $ | 18,341 | $ | — | $ | — | $ | 18,341 | ||||||||
Citigroup Global Markets | 558,728 | — | (424,000 | ) | 134,728 | |||||||||||
Credit Suisse First Boston Corp. | 11,492 | (11,492 | ) | — | — | |||||||||||
Deutsche Bank AG | 741,412 | — | (700,918 | ) | 40,494 | |||||||||||
Goldman Sachs & Co. | 878,727 | (18,312 | ) | — | 860,415 | |||||||||||
Hong Kong & Shanghai Bank | 209,463 | — | — | 209,463 | ||||||||||||
JPMorgan Chase | 1,289,881 | (220,119 | ) | (1,042,052 | ) | 27,710 | ||||||||||
Morgan Stanley | 135,248 | (135,248 | ) | — | — | |||||||||||
Toronto Dominion | — | — | — | — | ||||||||||||
UBS AG | 47,724 | (47,724 | ) | — | — | |||||||||||
$ | 3,891,016 | |||||||||||||||
Counterparty | Gross amounts of recognized liabilities(2) | Gross amounts available for offset | Collateral Pledged | Net Amount | ||||||||||||
BNP Paribas | $ | — | $ | — | $ | — | $ | — | ||||||||
Citigroup Global Markets | — | — | — | — | ||||||||||||
Credit Suisse First Boston Corp. | (15,649 | ) | 11,492 | — | (4,157 | ) | ||||||||||
Deutsche Bank AG | — | — | — | — | ||||||||||||
Goldman Sachs & Co. | (18,312 | ) | 18,312 | — | — | |||||||||||
Hong Kong & Shanghai Bank | — | — | — | — | ||||||||||||
JPMorgan Chase | (220,119 | ) | 220,119 | — | — | |||||||||||
Morgan Stanley | (172,518 | ) | 135,248 | — | (37,270 | ) | ||||||||||
Toronto Dominion | (39,216 | ) | — | — | (39,216 | ) | ||||||||||
UBS AG | (68,250 | ) | 47,724 | — | (20,526 | ) | ||||||||||
$ | (534,064 | ) | ||||||||||||||
(1) | Includes unrealized appreciation on swaps and forwards, premiums paid on swap agreements and market value of purchased options. |
(2) | Includes unrealized depreciation on swaps and forwards, premiums received on swap agreements and market value of written options. |
(3) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A64
DIVERSIFIED BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $9,861,400: | ||||
Unaffiliated investments (cost $969,576,022) | $ | 986,756,490 | ||
Affiliated investments (cost $103,890,836) | 100,040,422 | |||
Cash | 1,815,642 | |||
Foreign currency, at value (cost $181,085) | 182,192 | |||
Dividends and interest receivable | 9,032,117 | |||
Deposit with broker for centrally cleared swaps | 8,748,000 | |||
Deposit with broker for futures | 3,010,000 | |||
Unrealized appreciation on OTC swap agreements | 2,821,683 | |||
Due from broker—variation margin futures | 2,053,122 | |||
Unrealized appreciation on OTC forward foreign currency exchange contracts | 981,642 | |||
Receivable for investments sold | 487,002 | |||
Premiums paid for OTC swap agreements | 87,691 | |||
Tax reclaim receivable | 51,758 | |||
Receivable for Series shares sold | 48,410 | |||
Prepaid expenses | 8,794 | |||
Total Assets | 1,116,124,965 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 10,066,753 | |||
Management fee payable | 372,267 | |||
Due to broker—variation margin swaps | 289,026 | |||
Unrealized depreciation on OTC swap agreements | 220,312 | |||
Premium received for OTC swap agreements | 188,167 | |||
Unrealized depreciation on OTC forward foreign currency exchange contracts | 125,585 | |||
Accrued expenses and other liabilities | 121,294 | |||
Payable for investments purchased | 120,961 | |||
Payable for Series shares repurchased | 39,804 | |||
Deferred trustees’ fees | 1,047 | |||
Affiliated transfer agent fee payable | 980 | |||
Loan interest payable | 151 | |||
Total Liabilities | 11,546,347 | |||
NET ASSETS | $ | 1,104,578,618 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 946,610,460 | ||
Retained earnings | 157,968,158 | |||
Net assets, December 31, 2016 | $ | 1,104,578,618 | ||
Net asset value and redemption price per share $1,104,578,618 / 89,941,589 outstanding shares of beneficial interest | $ | 12.28 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income (net of foreign withholding taxes of $4,383) | $ | 42,468,723 | ||
Affiliated dividend income | 1,683,782 | |||
Unaffiliated dividend income | 111,476 | |||
Income from securities lending, net (including affiliated of $93,198) | 99,115 | |||
Total income | 44,363,096 | |||
EXPENSES | ||||
Management fee | 4,482,241 | |||
Custodian and accounting fees (net of $8,800 fee credit) | 184,000 | |||
Shareholders’ reports | 106,000 | |||
Audit fee | 58,000 | |||
Trustees’ fees | 21,000 | |||
Insurance expenses | 13,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Legal fees and expenses | 10,000 | |||
Loan interest expense | 160 | |||
Miscellaneous | 10,997 | |||
Total expenses | 4,897,398 | |||
NET INVESTMENT INCOME (LOSS) | 39,465,698 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(394,871)) | (817,002 | ) | ||
Futures transactions | 3,369,998 | |||
Options written transactions | 130,807 | |||
Forward rate agreement transactions | 128,858 | |||
Swap agreement transactions | (7,910,022 | ) | ||
Foreign currency transactions | 1,749,403 | |||
(3,347,958 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $393,515) | 16,997,966 | |||
Futures | (3,552,236 | ) | ||
Options written | (494,235 | ) | ||
Swap agreements | 10,276,261 | |||
Foreign currencies | 366,248 | |||
23,594,004 | ||||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 20,246,046 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 59,711,744 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 39,465,698 | $ | 37,422,495 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (3,347,958 | ) | 6,161,154 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 23,594,004 | (45,769,143 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 59,711,744 | (2,185,494 | ) | |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [2,764,375 and 8,670,539 shares, respectively] | 34,011,481 | 101,626,083 | ||||||
Series shares repurchased [6,055,908 and 7,014,473 shares, respectively] | (74,059,176 | ) | (82,418,630 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (40,047,695 | ) | 19,207,453 | |||||
CAPITAL CONTRIBUTIONS (Note 4) | 20,597 | — | ||||||
TOTAL INCREASE (DECREASE) | 19,684,646 | 17,021,959 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,084,893,972 | 1,067,872,013 | ||||||
End of year | $ | 1,104,578,618 | $ | 1,084,893,972 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A65
EQUITY PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 98.1% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.0% |
| |||||||
Boeing Co. (The) | 223,500 | $ | 34,794,480 | |||||
United Technologies Corp. | 353,316 | 38,730,500 | ||||||
73,524,980 | ||||||||
Air Freight & Logistics — 0.7% |
| |||||||
FedEx Corp. | 137,552 | 25,612,182 | ||||||
Automobiles — 0.5% | ||||||||
Tesla Motors, Inc.*(a) | 88,564 | 18,925,241 | ||||||
Banks — 9.3% |
| |||||||
Bank of America Corp. | 2,675,677 | 59,132,462 | ||||||
BB&T Corp. | 783,808 | 36,854,652 | ||||||
Citigroup, Inc. | 920,153 | 54,684,693 | ||||||
JPMorgan Chase & Co. | 1,348,342 | 116,348,431 | ||||||
PNC Financial Services Group, Inc. (The) | 396,938 | 46,425,868 | ||||||
Wells Fargo & Co. | 628,123 | 34,615,859 | ||||||
348,061,965 | ||||||||
Beverages — 0.6% | ||||||||
Monster Beverage Corp.* | 503,201 | 22,311,932 | ||||||
Biotechnology — 5.6% | ||||||||
Alexion Pharmaceuticals, Inc.* | 252,458 | 30,888,236 | ||||||
BioMarin Pharmaceutical, Inc.* | 247,779 | 20,526,012 | ||||||
Celgene Corp.* | 523,807 | 60,630,660 | ||||||
Regeneron Pharmaceuticals, Inc.* | 85,688 | 31,455,208 | ||||||
Shire PLC, ADR | 394,262 | 67,174,360 | ||||||
210,674,476 | ||||||||
Capital Markets — 2.8% | ||||||||
Goldman Sachs Group, Inc. (The) | 432,367 | 103,530,278 | ||||||
Chemicals — 1.5% | ||||||||
Dow Chemical Co. (The) | 450,936 | 25,802,558 | ||||||
FMC Corp. | 553,391 | 31,299,795 | ||||||
57,102,353 | ||||||||
Communications Equipment — 0.5% |
| |||||||
Palo Alto Networks, Inc.*(a) | 155,722 | 19,473,036 | ||||||
Consumer Finance — 2.0% |
| |||||||
Capital One Financial Corp. | 441,465 | 38,513,407 | ||||||
SLM Corp.* | 3,430,362 | 37,802,589 | ||||||
76,315,996 | ||||||||
Diversified Financial Services — 0.5% |
| |||||||
Voya Financial, Inc. | 492,407 | 19,312,203 | ||||||
Electric Utilities — 1.8% | ||||||||
Exelon Corp. | 408,139 | 14,484,853 | ||||||
PG&E Corp. | 855,791 | 52,006,419 | ||||||
66,491,272 | ||||||||
Electrical Equipment — 0.8% | ||||||||
Eaton Corp. PLC | 450,412 | 30,218,141 | ||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
Flex Ltd.* | 2,489,691 | 35,776,860 | ||||||
Energy Equipment & Services — 2.3% |
| |||||||
Halliburton Co.(a) | 1,602,068 | 86,655,858 | ||||||
Equity Real Estate Investment Trusts (REITs) — 0.6% |
| |||||||
American Tower Corp. | 220,753 | 23,329,177 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing — 1.6% |
| |||||||
Costco Wholesale Corp. | 200,370 | $ | 32,081,241 | |||||
Wal-Mart Stores, Inc. | 395,129 | 27,311,316 | ||||||
59,392,557 | ||||||||
Food Products — 1.6% |
| |||||||
ConAgra Foods, Inc. | 813,870 | 32,188,559 | ||||||
Mondelez International, Inc. (Class A Stock) | 645,395 | 28,610,360 | ||||||
60,798,919 | ||||||||
Health Care Equipment & Supplies — 0.7% |
| |||||||
Zimmer Biomet Holdings, Inc. | 245,413 | 25,326,622 | ||||||
Health Care Providers & Services — 1.5% |
| |||||||
Cigna Corp. | 215,116 | 28,694,323 | ||||||
Laboratory Corp. of America Holdings* | 219,616 | 28,194,302 | ||||||
56,888,625 | ||||||||
Hotels, Restaurants & Leisure — 4.0% |
| |||||||
Carnival Corp. | 706,022 | 36,755,505 | ||||||
Marriott International, Inc. (Class A Stock) | 644,583 | 53,294,122 | ||||||
McDonald’s Corp. | 215,586 | 26,241,128 | ||||||
Starbucks Corp. | 619,749 | 34,408,465 | ||||||
150,699,220 | ||||||||
Household Products — 1.2% |
| |||||||
Procter & Gamble Co. (The) | 531,330 | 44,674,226 | ||||||
Industrial Conglomerates — 1.1% | ||||||||
General Electric Co. | 1,349,085 | 42,631,086 | ||||||
Insurance — 2.1% |
| |||||||
Chubb Ltd. | 371,411 | 49,070,821 | ||||||
MetLife, Inc. | 545,414 | 29,392,361 | ||||||
78,463,182 | ||||||||
Internet & Direct Marketing Retail — 4.9% |
| |||||||
Amazon.com, Inc.* | 145,893 | 109,400,784 | ||||||
Netflix, Inc.* | 317,159 | 39,264,284 | ||||||
Priceline Group, Inc. (The)* | 24,342 | 35,686,833 | ||||||
184,351,901 | ||||||||
Internet Software & Services — 9.9% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR*(a) | 630,950 | 55,403,720 | ||||||
Alphabet, Inc. (Class A Stock)* | 102,514 | 81,237,219 | ||||||
Alphabet, Inc. (Class C Stock)* | 74,674 | 57,634,887 | ||||||
eBay, Inc.* | 1,105,186 | 32,812,972 | ||||||
Facebook, Inc. (Class A Stock)* | 716,002 | 82,376,030 | ||||||
Tencent Holdings Ltd. (China) | 2,467,503 | 59,829,827 | ||||||
369,294,655 | ||||||||
IT Services — 2.9% |
| |||||||
MasterCard, Inc. (Class A Stock) | 529,693 | 54,690,802 | ||||||
Visa, Inc. (Class A Stock)(a) | 688,476 | 53,714,898 | ||||||
108,405,700 | ||||||||
Machinery — 0.3% |
| |||||||
Parker-Hannifin Corp. | 78,533 | 10,994,620 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
EQUITY PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media — 2.0% |
| |||||||
Charter Communications, Inc. (Class A Stock)* | 74,965 | $ | 21,583,923 | |||||
Comcast Corp. (Class A Stock) | 567,743 | 39,202,654 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 508,040 | 14,245,442 | ||||||
75,032,019 | ||||||||
Oil, Gas & Consumable Fuels — 6.5% |
| |||||||
Anadarko Petroleum Corp. | 277,508 | 19,350,633 | ||||||
Chevron Corp. | 571,052 | 67,212,820 | ||||||
Concho Resources, Inc.* | 265,393 | 35,191,112 | ||||||
EOG Resources, Inc. | 170,952 | 17,283,247 | ||||||
Noble Energy, Inc. | 679,410 | 25,858,345 | ||||||
Occidental Petroleum Corp. | 566,880 | 40,378,862 | ||||||
Suncor Energy, Inc. (Canada) | 1,158,063 | 37,864,645 | ||||||
243,139,664 | ||||||||
Pharmaceuticals — 4.5% |
| |||||||
Allergan PLC*(a) | 134,022 | 28,145,960 | ||||||
Bristol-Myers Squibb Co. | 639,148 | 37,351,809 | ||||||
Eli Lilly & Co. | 206,804 | 15,210,434 | ||||||
Merck & Co., Inc. | 758,760 | 44,668,201 | ||||||
Pfizer, Inc. | 1,316,280 | 42,752,775 | ||||||
168,129,179 | ||||||||
Road & Rail — 0.5% |
| |||||||
Ryder System, Inc. | 237,420 | 17,673,545 | ||||||
Semiconductors & Semiconductor Equipment — 5.0% |
| |||||||
Analog Devices, Inc. | 249,110 | 18,090,368 | ||||||
NVIDIA Corp.(a) | 596,128 | 63,630,703 | ||||||
QUALCOMM, Inc. | 1,092,542 | 71,233,738 | ||||||
Texas Instruments, Inc. | 481,631 | 35,144,614 | ||||||
188,099,423 | ||||||||
Software — 8.0% |
| |||||||
Adobe Systems, Inc.* | 519,900 | 53,523,705 | ||||||
Microsoft Corp. | 1,921,311 | 119,390,266 | ||||||
PTC, Inc.* | 740,007 | 34,240,124 | ||||||
salesforce.com, Inc.* | 640,315 | 43,835,965 | ||||||
Splunk, Inc.*(a) | 449,988 | 23,016,886 | ||||||
Workday, Inc. (Class A Stock)*(a) | 362,801 | 23,977,518 | ||||||
297,984,464 | ||||||||
Specialty Retail — 2.1% |
| |||||||
Industria de Diseno Textil SA (Spain), ADR | 2,693,274 | 45,704,860 | ||||||
O’Reilly Automotive, Inc.*(a) | 116,650 | 32,476,526 | ||||||
78,181,386 | ||||||||
Technology Hardware, Storage & Peripherals — 2.4% |
| |||||||
Apple, Inc. | 781,905 | 90,560,237 | ||||||
Textiles, Apparel & Luxury Goods — 2.0% |
| |||||||
adidas AG (Germany), ADR(a) | 534,382 | 41,975,706 | ||||||
Coach, Inc. | 888,793 | 31,125,531 | ||||||
73,101,237 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Wireless Telecommunication Services — 0.8% |
| |||||||
Vodafone Group PLC (United Kingdom), ADR | 1,172,370 | $ | 28,640,999 | |||||
TOTAL LONG-TERM INVESTMENTS |
| 3,669,779,416 | ||||||
SHORT-TERM INVESTMENTS — 11.3% | ||||||||
AFFILIATED MUTUAL FUNDS | ||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(b) | 83,702,783 | 83,702,783 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 340,076,342 | 340,144,358 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 423,847,141 | ||||||
TOTAL INVESTMENTS — 109.4% |
| 4,093,626,557 | ||||||
LIABILITIES IN EXCESS OF |
| (350,235,586 | ) | |||||
NET ASSETS — 100.0% |
| $ | 3,743,390,971 | |||||
See the Glossary for abbreviations used in the annual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $329,720,861; cash collateral of $339,889,748 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(c) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A67
EQUITY PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 73,524,980 | $ | — | $ | — | ||||||
Air Freight & Logistics | 25,612,182 | — | — | |||||||||
Automobiles | 18,925,241 | — | — | |||||||||
Banks | 348,061,965 | — | — | |||||||||
Beverages | 22,311,932 | — | — | |||||||||
Biotechnology | 210,674,476 | — | — | |||||||||
Capital Markets | 103,530,278 | — | — | |||||||||
Chemicals | 57,102,353 | — | — | |||||||||
Communications Equipment | 19,473,036 | — | — | |||||||||
Consumer Finance | 76,315,996 | — | — | |||||||||
Diversified Financial Services | 19,312,203 | — | — | |||||||||
Electric Utilities | 66,491,272 | — | — | |||||||||
Electrical Equipment | 30,218,141 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 35,776,860 | — | — | |||||||||
Energy Equipment & Services | 86,655,858 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 23,329,177 | — | — | |||||||||
Food & Staples Retailing | 59,392,557 | — | — | |||||||||
Food Products | 60,798,919 | — | — | |||||||||
Health Care Equipment & Supplies | 25,326,622 | — | — | |||||||||
Health Care Providers & Services | 56,888,625 | — | — | |||||||||
Hotels, Restaurants & Leisure | 150,699,220 | — | — | |||||||||
Household Products | 44,674,226 | — | — | |||||||||
Industrial Conglomerates | 42,631,086 | — | — | |||||||||
Insurance | 78,463,182 | — | — | |||||||||
Internet & Direct Marketing Retail | 184,351,901 | — | — | |||||||||
Internet Software & Services | 309,464,828 | 59,829,827 | — | |||||||||
IT Services | 108,405,700 | — | — | |||||||||
Machinery | 10,994,620 | — | — | |||||||||
Media | 75,032,019 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 243,139,664 | — | — | |||||||||
Pharmaceuticals | 168,129,179 | — | — | |||||||||
Road & Rail | 17,673,545 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 188,099,423 | — | — | |||||||||
Software | 297,984,464 | — | — | |||||||||
Specialty Retail | 78,181,386 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 90,560,237 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 73,101,237 | — | — | |||||||||
Wireless Telecommunication Services | 28,640,999 | — | — | |||||||||
Affiliated Mutual Funds | 423,847,141 | — | — | |||||||||
Total | $ | 4,033,796,730 | $ | 59,829,827 | $ | — | ||||||
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Affiliated Mutual Funds (including 9.1% of collateral for securities on loan) | 11.3 | % | ||
Internet Software & Services | 9.9 | |||
Banks | 9.3 | |||
Software | 8.0 | |||
Oil, Gas & Consumable Fuels | 6.5 | |||
Biotechnology | 5.6 | |||
Semiconductors & Semiconductor Equipment | 5.0 | |||
Internet & Direct Marketing Retail | 4.9 | |||
Pharmaceuticals | 4.5 | |||
Hotels, Restaurants & Leisure | 4.0 | |||
IT Services | 2.9 |
Capital Markets | 2.8 | % | ||
Technology Hardware, Storage & Peripherals | 2.4 | |||
Energy Equipment & Services | 2.3 | |||
Insurance | 2.1 | |||
Specialty Retail | 2.1 | |||
Consumer Finance | 2.0 | |||
Media | 2.0 | |||
Aerospace & Defense | 2.0 | |||
Textiles, Apparel & Luxury Goods | 2.0 | |||
Electric Utilities | 1.8 | |||
Food Products | 1.6 | |||
Food & Staples Retailing | 1.6 |
SEE NOTES TO FINANCIAL STATEMENTS.
A68
EQUITY PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Industry table (cont.) | ||||
Chemicals | 1.5 | % | ||
Health Care Providers & Services | 1.5 | |||
Household Products | 1.2 | |||
Industrial Conglomerates | 1.1 | |||
Electronic Equipment, Instruments & Components | 1.0 | |||
Electrical Equipment | 0.8 | |||
Wireless Telecommunication Services | 0.8 | |||
Air Freight & Logistics | 0.7 | |||
Health Care Equipment & Supplies | 0.7 | |||
Equity Real Estate Investment Trusts (REITs) | 0.6 |
Beverages | 0.6 | % | ||
Communications Equipment | 0.5 | |||
Diversified Financial Services | 0.5 | |||
Automobiles | 0.5 | |||
Road & Rail | 0.5 | |||
Machinery | 0.3 | |||
109.4 | ||||
Liabilities in excess of other assets | (9.4 | ) | ||
100.0 | % | |||
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 329,720,861 | $ | (329,720,861 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A69
EQUITY PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $329,720,861: | ||||
Unaffiliated investments (cost $2,709,437,236) | $ | 3,669,779,416 | ||
Affiliated investments (cost $423,790,739) | 423,847,141 | |||
Dividends receivable | 3,624,376 | |||
Tax reclaim receivable | 1,551,067 | |||
Receivable for Series shares sold | 11,787 | |||
Prepaid expenses | 27,382 | |||
Total assets | 4,098,841,169 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 339,889,748 | |||
Payable for investments purchased | 13,180,477 | |||
Management fee payable | 1,435,010 | |||
Payable for Series shares repurchased | 595,536 | |||
Accrued expenses and other liabilities | 347,514 | |||
Affiliated transfer agent fee payable | 980 | |||
Distribution fee payable | 391 | |||
Administration fee payable | 311 | |||
Deferred trustees’ fees | 231 | |||
Total liabilities | 355,450,198 | |||
NET ASSETS | $ | 3,743,390,971 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 1,656,568,389 | ||
Retained earnings | 2,086,822,582 | |||
Net assets, December 31, 2016 | $ | 3,743,390,971 | ||
Class I: | ||||
Net asset value and redemption price per share | $ | 40.96 | ||
Class II: | ||||
Net asset value and redemption price per share | $ | 40.74 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $696,529) | $ | 50,864,127 | ||
Income from securities lending, net (including affiliated: $1,491,131) | 2,172,835 | |||
Affiliated dividend income | 444,656 | |||
Total income | 53,481,618 | |||
EXPENSES | ||||
Management fee | 16,276,223 | |||
Distribution fee—Class II | 4,541 | |||
Administration fee—Class II | 2,710 | |||
Custodian and accounting fees | 426,000 | |||
Shareholders’ reports | 263,000 | |||
Insurance expenses | 46,000 | |||
Trustees’ fees | 42,000 | |||
Audit fee | 27,000 | |||
Legal fees and expenses | 15,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Commitment fee on syndicated credit agreement | 6,000 | |||
Miscellaneous | 17,761 | |||
Total expenses | 17,138,235 | |||
NET INVESTMENT INCOME (LOSS) | 36,343,383 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $14,839) | 217,865,740 | |||
Foreign currency transactions | 10,656 | |||
217,876,396 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $56,402) | (128,105,402 | ) | ||
Foreign currencies | 7,087 | |||
(128,098,315 | ) | |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 89,778,081 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 126,121,464 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 36,343,383 | $ | 34,018,287 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 217,876,396 | 164,739,137 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (128,098,315 | ) | (104,802,733 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 126,121,464 | 93,954,691 | ||||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 9,112,648 | 11,599,955 | ||||||
Series shares repurchased | (243,276,531 | ) | (277,235,158 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (234,163,883 | ) | (265,635,203 | ) | ||||
CAPITAL CONTRIBUTIONS (Note 4) | 3,315,979 | — | ||||||
TOTAL INCREASE (DECREASE) | (104,726,440 | ) | (171,680,512 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 3,848,117,411 | 4,019,797,923 | ||||||
End of year | $ | 3,743,390,971 | $ | 3,848,117,411 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A70
FLEXIBLE MANAGED PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 93.9% | Value (Note 2) | |||||||
COMMON STOCKS — 62.2% | Shares | |||||||
Aerospace & Defense — 1.9% | ||||||||
BAE Systems PLC (United Kingdom) | 9,581 | $ | 69,688 | |||||
Boeing Co. (The) | 78,800 | 12,267,584 | ||||||
BWX Technologies, Inc. | 87,200 | 3,461,840 | ||||||
General Dynamics Corp. | 56,500 | 9,755,290 | ||||||
Huntington Ingalls Industries, Inc. | 68,300 | 12,580,177 | ||||||
Lockheed Martin Corp. | 59,200 | 14,796,448 | ||||||
Northrop Grumman Corp. | 42,500 | 9,884,650 | ||||||
Spirit AeroSystems Holdings, Inc. (Class A Stock) | 129,300 | 7,544,655 | ||||||
Textron, Inc. | 4,900 | 237,944 | ||||||
Thales SA (France) | 2,763 | 267,683 | ||||||
United Technologies Corp. | 15,700 | 1,721,034 | ||||||
72,586,993 | ||||||||
Air Freight & Logistics — 0.5% | ||||||||
Deutsche Post AG (Germany) | 6,890 | 225,959 | ||||||
FedEx Corp. | 97,600 | 18,173,120 | ||||||
18,399,079 | ||||||||
Airlines — 0.5% | ||||||||
Deutsche Lufthansa AG (Germany) | 17,155 | 221,141 | ||||||
International Consolidated Airlines Group SA (United Kingdom) | 2,273 | 12,245 | ||||||
Singapore Airlines Ltd. (Singapore) | 2,100 | 13,990 | ||||||
Southwest Airlines Co. | 390,800 | 19,477,472 | ||||||
United Continental Holdings, Inc.* | 21,200 | 1,545,056 | ||||||
21,269,904 | ||||||||
Auto Components — 0.4% | ||||||||
Aisin Seiki Co. Ltd. (Japan) | 1,300 | 56,250 | ||||||
Cie Generale des Etablissements Michelin (France) | 2,598 | 288,792 | ||||||
Continental AG (Germany) | 330 | 63,577 | ||||||
Cooper-Standard Holding, Inc.* | 29,400 | 3,039,372 | ||||||
Dana Holding Corp. | 81,400 | 1,544,972 | ||||||
GKN PLC (United Kingdom) | 8,424 | 34,335 | ||||||
Koito Manufacturing Co. Ltd. (Japan) | 300 | 15,843 | ||||||
Lear Corp. | 78,300 | 10,364,571 | ||||||
Valeo SA (France) | 715 | 41,047 | ||||||
15,448,759 | ||||||||
Automobiles — 0.3% | ||||||||
Bayerische Motoren Werke AG (Germany) | 1,277 | 118,935 | ||||||
Ferrari NV (Italy) | 347 | 20,203 | ||||||
Fiat Chrysler Automobiles NV (United Kingdom) | 2,674 | 24,325 | ||||||
Ford Motor Co. | 919,300 | 11,151,109 | ||||||
Fuji Heavy Industries Ltd. (Japan) | 1,900 | 77,414 | ||||||
Honda Motor Co. Ltd. (Japan) | 5,000 | 145,977 | ||||||
Mazda Motor Corp. (Japan) | 1,600 | 26,054 | ||||||
Mitsubishi Motors Corp. (Japan) | 5,300 | 30,128 | ||||||
Nissan Motor Co. Ltd. (Japan) | 7,600 | 76,237 | ||||||
Peugeot SA (France)* | 13,902 | 226,425 | ||||||
Suzuki Motor Corp. (Japan) | 7,700 | 270,338 | ||||||
Thor Industries, Inc. | 10,000 | 1,000,500 | ||||||
Toyota Motor Corp. (Japan) | 7,000 | 410,399 | ||||||
Volkswagen AG (Germany) | 91 | 13,061 | ||||||
13,591,105 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks — 4.8% | ||||||||
Abn Amro Group NV (Netherlands), 144A | 850 | $ | 18,821 | |||||
Aozora Bank Ltd. (Japan) | 4,000 | 14,133 | ||||||
Bank Hapoalim BM (Israel) | 34,253 | 203,309 | ||||||
Bank of America Corp. | 2,072,500 | 45,802,250 | ||||||
Bendigo & Adelaide Bank Ltd. (Australia) | 27,922 | 255,424 | ||||||
BNP Paribas SA (France) | 7,735 | 492,241 | ||||||
BOC Hong Kong Holdings Ltd. (Hong Kong) | 76,500 | 272,459 | ||||||
Chiba Bank Ltd. (The) (Japan) | 2,000 | 12,260 | ||||||
Citigroup, Inc. | 616,100 | 36,614,823 | ||||||
Commonwealth Bank of Australia (Australia) | 1,398 | 82,935 | ||||||
Concordia Financial Group Ltd. (Japan) | 3,400 | 16,361 | ||||||
Credit Agricole SA (France) | 28,051 | 347,236 | ||||||
DBS Group Holdings Ltd. (Singapore) | 5,400 | 64,427 | ||||||
DNB ASA (Norway) | 3,003 | 44,581 | ||||||
Erste Group Bank AG (Austria) | 928 | 27,132 | ||||||
Fukuoka Financial Group, Inc. (Japan) | 22,000 | 97,570 | ||||||
Hiroshima Bank Ltd. (The) (Japan) | 2,000 | 9,320 | ||||||
HSBC Holdings PLC (United Kingdom) | 90,563 | 730,722 | ||||||
ING Groep NV , CVA (Netherlands) | 32,794 | 461,700 | ||||||
Intesa Sanpaolo SpA (Italy) | 36,407 | 92,224 | ||||||
Intesa Sanpaolo SpA, RSP (Italy) | 2,701 | 6,326 | ||||||
JPMorgan Chase & Co. | 619,894 | 53,490,653 | ||||||
KBC Groep NV (Belgium) | 202 | 12,481 | ||||||
Kyushu Financial Group, Inc. (Japan) | 1,100 | 7,453 | ||||||
Lloyds Banking Group PLC (United Kingdom) | 195,417 | 150,057 | ||||||
Mebuki Financial Group, Inc. (Japan) | 2,850 | 10,533 | ||||||
Mediobanca SpA (Italy) | 24,619 | 200,500 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | 2,800 | 17,269 | ||||||
Mizuho Financial Group, Inc. (Japan) | 71,600 | 128,489 | ||||||
National Australia Bank Ltd. (Australia) | 1,107 | 24,452 | ||||||
PNC Financial Services Group, Inc. (The) | 181,800 | 21,263,328 | ||||||
Resona Holdings, Inc. (Japan) | 6,800 | 34,850 | ||||||
Societe Generale SA (France) | 8,701 | 427,976 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | 4,000 | 152,332 | ||||||
SunTrust Banks, Inc. | 71,200 | 3,905,320 | ||||||
Svenska Handelsbanken AB (Sweden) (Class A Stock) | 4,656 | 64,488 | ||||||
Swedbank AB (Sweden) (Class A Stock) | 2,767 | 66,670 | ||||||
UniCredit SpA (Italy) | 15,629 | 44,883 | ||||||
Wells Fargo & Co. | 346,112 | 19,074,232 | ||||||
Westpac Banking Corp. (Australia) | 650 | 15,258 | ||||||
184,757,478 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A71
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Beverages — 1.3% | ||||||||
Anheuser-Busch InBev SA/NV (Belgium) | 390 | $ | 41,279 | |||||
Asahi Group Holdings Ltd. (Japan) | 1,100 | 34,634 | ||||||
Coca-Cola Amatil Ltd. (Australia) | 32,744 | 238,801 | ||||||
Coca-Cola European Partners PLC (United Kingdom) | 644 | 20,326 | ||||||
Diageo PLC (United Kingdom) | 16,817 | 436,401 | ||||||
Dr. Pepper Snapple Group, Inc. | 162,900 | 14,770,143 | ||||||
PepsiCo, Inc. | 320,120 | 33,494,156 | ||||||
49,035,740 | ||||||||
Biotechnology — 2.0% | ||||||||
Actelion Ltd. (Switzerland) | 299 | 64,616 | ||||||
Amgen, Inc. | 153,408 | 22,429,784 | ||||||
Biogen Idec, Inc.* | 49,000 | 13,895,420 | ||||||
Celgene Corp.* | 201,200 | 23,288,900 | ||||||
Gilead Sciences, Inc. | 267,700 | 19,169,997 | ||||||
78,848,717 | ||||||||
Building Products — 0.1% | ||||||||
Asahi Glass Co. Ltd. (Japan) | 43,000 | 291,740 | ||||||
Continental Building Products, Inc.* | 54,600 | 1,261,260 | ||||||
Daikin Industries Ltd. (Japan) | 700 | 64,126 | ||||||
Universal Forest Products, Inc. | 24,800 | 2,534,064 | ||||||
4,151,190 | ||||||||
Capital Markets — 1.5% | ||||||||
3i Group PLC (United Kingdom) | 35,139 | 303,968 | ||||||
Aberdeen Asset Management PLC (United Kingdom) | 2,747 | 8,685 | ||||||
Ameriprise Financial, Inc. | 45,100 | 5,003,394 | ||||||
ASX Ltd. (Australia) | 600 | 21,495 | ||||||
BlackRock, Inc. | 9,100 | 3,462,914 | ||||||
Goldman Sachs Group, Inc. (The) | 121,100 | 28,997,395 | ||||||
Invesco Ltd. | 66,500 | 2,017,610 | ||||||
Macquarie Group Ltd. (Australia) | 5,349 | 335,073 | ||||||
Morgan Stanley | 139,400 | 5,889,650 | ||||||
Partners Group Holding AG (Switzerland) | 106 | 49,623 | ||||||
Raymond James Financial, Inc. | 116,400 | 8,063,028 | ||||||
Schroders PLC (United Kingdom) | 406 | 14,912 | ||||||
State Street Corp. | 47,200 | 3,668,384 | ||||||
UBS Group AG (Switzerland) | 11,166 | 174,586 | ||||||
58,010,717 | ||||||||
Chemicals — 0.9% | ||||||||
AdvanSix, Inc.* | 7,116 | 157,548 | ||||||
Arkema SA (France) | 201 | 19,648 | ||||||
Asahi Kasei Corp. (Japan) | 3,000 | 26,104 | ||||||
BASF SE (Germany) | 2,815 | 260,885 | ||||||
Celanese Corp. Series A | 64,100 | 5,047,234 | ||||||
Chemours Co. (The) | 163,400 | 3,609,506 | ||||||
Covestro AG (Germany), 144A | 551 | 37,715 | ||||||
Croda International PLC (United Kingdom) | 401 | 15,771 | ||||||
Daicel Corp. (Japan) | 17,900 | 196,794 | ||||||
Evonik Industries AG (Germany) | 625 | 18,631 | ||||||
GCP Applied Technologies, Inc.* | 26,600 | 711,550 | ||||||
Givaudan SA (Switzerland) | 35 | 64,056 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Chemicals (continued) | ||||||||
Hitachi Chemical Co. Ltd. (Japan) | 300 | $ | 7,484 | |||||
Johnson Matthey PLC (United Kingdom) | 594 | 23,242 | ||||||
K+S AG (Germany) | 585 | 13,935 | ||||||
Kuraray Co. Ltd. (Japan) | 1,000 | 14,996 | ||||||
LyondellBasell Industries NV (Class A Stock) | 200,100 | 17,164,578 | ||||||
Mitsubishi Chemical Holdings Corp. (Japan) | 3,600 | 23,276 | ||||||
Mitsubishi Gas Chemical Co., Inc. (Japan) | 11,700 | 199,361 | ||||||
Mitsui Chemicals, Inc. (Japan) | 2,000 | 8,961 | ||||||
PPG Industries, Inc. | 53,000 | 5,022,280 | ||||||
Shin-Etsu Chemical Co. Ltd. (Japan) | 1,200 | 92,867 | ||||||
Sika AG (Switzerland) | 5 | 23,989 | ||||||
Solvay SA (Belgium) | 214 | 25,018 | ||||||
Teijin Ltd. (Japan) | 400 | 8,082 | ||||||
Toray Industries, Inc. (Japan) | 4,000 | 32,302 | ||||||
Trinseo SA | 5,000 | 296,500 | ||||||
Westlake Chemical Corp. | 45,700 | 2,558,743 | ||||||
Yara International ASA (Norway) | 5,105 | 200,826 | ||||||
35,881,882 | ||||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Brink’s Co. (The) | 20,400 | 841,500 | ||||||
Herman Miller, Inc. | 25,900 | 885,780 | ||||||
Steelcase, Inc. (Class A Stock) | 169,600 | 3,035,840 | ||||||
4,763,120 | ||||||||
Communications Equipment — 0.6% |
| |||||||
Cisco Systems, Inc. | 609,800 | 18,428,156 | ||||||
F5 Networks, Inc.* | 38,400 | 5,557,248 | ||||||
23,985,404 | ||||||||
Construction & Engineering — 0.2% |
| |||||||
Argan, Inc. | 27,200 | 1,918,960 | ||||||
Eiffage SA (France) | 182 | 12,677 | ||||||
EMCOR Group, Inc. | 53,100 | 3,757,356 | ||||||
Kajima Corp. (Japan) | 35,000 | 241,749 | ||||||
MasTec, Inc.* | 40,300 | 1,541,475 | ||||||
Obayashi Corp. (Japan) | 26,200 | 250,140 | ||||||
Shimizu Corp. (Japan) | 6,000 | 54,768 | ||||||
Skanska AB (Sweden) (Class B Stock) | 1,065 | 25,075 | ||||||
Taisei Corp. (Japan) | 11,000 | 76,813 | ||||||
7,879,013 | ||||||||
Construction Materials | ||||||||
Fletcher Building Ltd. (New Zealand) | 1,986 | 14,593 | ||||||
HeidelbergCement AG (Germany) | 406 | 37,790 | ||||||
52,383 | ||||||||
Consumer Finance — 0.6% | ||||||||
Capital One Financial Corp. | 56,200 | 4,902,888 | ||||||
Discover Financial Services | 42,100 | 3,034,989 | ||||||
Synchrony Financial | 446,600 | 16,198,182 | ||||||
24,136,059 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Containers & Packaging — 0.2% | ||||||||
Amcor Ltd. (Australia) | 3,536 | $ | 38,057 | |||||
Greif, Inc. (Class A Stock) | 37,400 | 1,918,994 | ||||||
Owens-Illinois, Inc.* | 232,900 | 4,054,789 | ||||||
6,011,840 | ||||||||
Distributors | ||||||||
Jardine Cycle & Carriage Ltd. (Singapore) | 4,100 | 116,440 | ||||||
Diversified Financial Services — 0.7% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 160,900 | 26,223,482 | ||||||
Challenger Ltd. (Australia) | 8,862 | 71,604 | ||||||
Investor AB (Sweden) (Class B Stock) | 4,787 | 178,364 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) | 1,400 | 7,221 | ||||||
ORIX Corp. (Japan) | 17,300 | 269,262 | ||||||
26,749,933 | ||||||||
Diversified Telecommunication Services — 2.1% |
| |||||||
AT&T, Inc. | 1,014,520 | 43,147,536 | ||||||
Deutsche Telekom AG (Germany) | 10,156 | 174,249 | ||||||
Nippon Telegraph & Telephone Corp. (Japan) | 7,700 | 324,133 | ||||||
Orange SA (France) | 5,798 | 87,921 | ||||||
Telecom Italia SpA (Italy)* | 65,746 | 58,050 | ||||||
Telecom Italia SpA (Italy) | 353,674 | 256,695 | ||||||
Telefonica SA (Spain) | 13,765 | 127,084 | ||||||
Verizon Communications, Inc. | 731,488 | 39,046,829 | ||||||
83,222,497 | ||||||||
Electric Utilities — 1.6% | ||||||||
American Electric Power Co., Inc. | 254,400 | 16,017,024 | ||||||
AusNet Services (Australia) | 5,286 | 6,018 | ||||||
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong) | 1,000 | 7,942 | ||||||
Chubu Electric Power Co., Inc. (Japan) | 1,900 | 26,439 | ||||||
Chugoku Electric Power Co., Inc. (The) (Japan) | 800 | 9,364 | ||||||
CLP Holdings Ltd. (Hong Kong) | 8,000 | 73,367 | ||||||
Duke Energy Corp. | 196,900 | 15,283,378 | ||||||
EDP-Energias de Portugal SA (Portugal) | 46,235 | 140,719 | ||||||
Electricite de France (France) | 763 | 7,763 | ||||||
Enel SpA (Italy) | 81,879 | 359,917 | ||||||
Exelon Corp. | 289,100 | 10,260,159 | ||||||
FirstEnergy Corp. | 215,700 | 6,680,229 | ||||||
Hokuriku Electric Power Co. (Japan) | 400 | 4,474 | ||||||
Iberdrola SA (Spain) | 16,274 | 106,561 | ||||||
Kansai Electric Power Co., Inc. (The) (Japan)* | 2,000 | 21,803 | ||||||
Kyushu Electric Power Co., Inc. (Japan) | 1,200 | 13,000 | ||||||
PPL Corp. | 394,300 | 13,425,915 | ||||||
Red Electrica Corp. SA (Spain) | 1,262 | 23,776 | ||||||
Shikoku Electric Power Co., Inc. (Japan) | 1,200 | 12,127 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electric Utilities (continued) | ||||||||
SSE PLC (United Kingdom) | 2,935 | $ | 56,041 | |||||
Terna Rete Elettrica Nazionale SpA (Italy) | 4,613 | 21,097 | ||||||
Tohoku Electric Power Co., Inc. (Japan) | 1,300 | 16,388 | ||||||
Tokyo Electric Power Co., Inc. (Japan)* | 4,200 | 16,904 | ||||||
62,590,405 | ||||||||
Electrical Equipment — 0.3% | ||||||||
Emerson Electric Co. | 140,600 | 7,838,450 | ||||||
EnerSys | 22,600 | 1,765,060 | ||||||
Nidec Corp. (Japan) | 700 | 60,263 | ||||||
Regal Beloit Corp. | 500 | 34,625 | ||||||
Vestas Wind Systems A/S (Denmark) | 3,917 | 253,683 | ||||||
9,952,081 | ||||||||
Electronic Equipment, Instruments & Components |
| |||||||
Hitachi High-Technologies Corp. (Japan) | 5,700 | 229,256 | ||||||
Hitachi Ltd. (Japan) | 15,000 | 80,882 | ||||||
TDK Corp. (Japan) | 3,500 | 239,989 | ||||||
550,127 | ||||||||
�� | ||||||||
Energy Equipment & Services — 0.3% | ||||||||
Ensco PLC (Class A Stock) | 810,700 | 7,880,004 | ||||||
McDermott International, Inc.* | 144,800 | 1,070,072 | ||||||
Unit Corp.* | 67,300 | 1,808,351 | ||||||
10,758,427 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 1.3% |
| |||||||
Apple Hospitality REIT, Inc. | 24,100 | 481,518 | ||||||
CoreCivic, Inc. | 55,200 | 1,350,192 | ||||||
Crown Castle International Corp. | 109,800 | 9,527,346 | ||||||
Dexus Property Group (Australia) | 4,998 | 34,672 | ||||||
Forest City Realty Trust, Inc. (Class A Stock) | 161,000 | 3,355,240 | ||||||
Franklin Street Properties Corp. | 82,100 | 1,064,016 | ||||||
GEO Group, Inc. (The)(a) | 168,900 | 6,068,577 | ||||||
HCP, Inc.(a) | 95,900 | 2,850,148 | ||||||
Land Securities Group PLC (United Kingdom) | 2,407 | 31,621 | ||||||
Link REIT (The) (Hong Kong) | 7,000 | 45,382 | ||||||
Mirvac Group (Australia) | 154,867 | 237,829 | ||||||
Prologis, Inc. | 196,600 | 10,378,514 | ||||||
Ryman Hospitality Properties, Inc. | 44,800 | 2,822,848 | ||||||
Simon Property Group, Inc. | 34,700 | 6,165,149 | ||||||
Unibail-Rodamco SE (France) | 309 | 73,636 | ||||||
VEREIT, Inc. | 451,100 | 3,816,306 | ||||||
WP Carey, Inc. | 20,000 | 1,181,800 | ||||||
49,484,794 | ||||||||
Food & Staples Retailing — 1.2% | ||||||||
Carrefour SA (France) | 1,445 | 34,790 | ||||||
Distribuidora Internacional de Alimentacion SA (Spain) | 1,871 | 9,176 | ||||||
ICA Gruppen AB (Sweden) | 8,166 | 248,556 | ||||||
J. Sainsbury PLC (United Kingdom) | 92,828 | 285,304 | ||||||
Kroger Co. (The) | 338,900 | 11,695,439 |
SEE NOTES TO FINANCIAL STATEMENTS.
A73
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing (continued) | ||||||||
METRO AG (Germany) | 7,879 | $ | 261,876 | |||||
Wal-Mart Stores, Inc. | 362,600 | 25,062,912 | ||||||
Walgreens Boots Alliance, Inc. | 97,400 | 8,060,824 | ||||||
Wesfarmers Ltd. (Australia) | 408 | 12,384 | ||||||
45,671,261 | ||||||||
Food Products — 1.4% | ||||||||
Archer-Daniels-Midland Co. | 46,000 | 2,099,900 | ||||||
Bunge Ltd. | 108,800 | 7,859,712 | ||||||
ConAgra Foods, Inc. | 256,000 | 10,124,800 | ||||||
Fresh Del Monte Produce, Inc. | 5,300 | 321,339 | ||||||
General Mills, Inc. | 189,900 | 11,730,123 | ||||||
J.M. Smucker Co. (The) | 16,600 | 2,125,796 | ||||||
Marine Harvest ASA (Norway) | 16,965 | 306,736 | ||||||
MEIJI Holdings Co. Ltd. (Japan) | 300 | 23,468 | ||||||
Nestle SA (Switzerland) | 7,545 | 540,506 | ||||||
Sanderson Farms, Inc.(a) | 56,100 | 5,286,864 | ||||||
Tate & Lyle PLC (United Kingdom) | 1,387 | 12,071 | ||||||
Tyson Foods, Inc. (Class A Stock) | 246,300 | 15,191,784 | ||||||
WH Group Ltd. (Hong Kong), 144A | 334,000 | 269,236 | ||||||
Wilmar International Ltd. (Singapore) | 17,300 | 42,739 | ||||||
55,935,074 | ||||||||
Gas Utilities — 0.1% | ||||||||
Enagas SA (Spain) | 691 | 17,512 | ||||||
Gas Natural SDG SA (Spain) | 1,223 | 23,009 | ||||||
Tokyo Gas Co. Ltd. (Japan) | 2,000 | 9,028 | ||||||
UGI Corp. | 117,000 | 5,391,360 | ||||||
5,440,909 | ||||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
Abbott Laboratories | 414,800 | 15,932,468 | ||||||
Baxter International, Inc. | 310,900 | 13,785,306 | ||||||
Becton Dickinson and Co. | 38,200 | 6,324,010 | ||||||
Boston Scientific Corp.* | 340,100 | 7,356,363 | ||||||
C.R. Bard, Inc. | 38,300 | 8,604,478 | ||||||
Cochlear Ltd. (Australia) | 175 | 15,446 | ||||||
Danaher Corp. | 159,200 | 12,392,128 | ||||||
Hologic, Inc.* | 297,000 | 11,915,640 | ||||||
76,325,839 | ||||||||
Health Care Providers & Services — 1.7% |
| |||||||
Alfresa Holdings Corp. (Japan) | 12,800 | 211,417 | ||||||
Anthem, Inc. | 87,200 | 12,536,744 | ||||||
Express Scripts Holding Co.* | 248,500 | 17,094,315 | ||||||
Fresenius SE & Co. KGaA (Germany) | 244 | 19,035 | ||||||
McKesson Corp. | 39,300 | 5,519,685 | ||||||
Medipal Holdings Corp. (Japan) | 16,700 | 263,060 | ||||||
Ramsay Health Care Ltd. (Australia) | 417 | 20,503 | ||||||
Ryman Healthcare Ltd. (New Zealand) | 1,106 | 6,228 | ||||||
Sonic Healthcare Ltd. (Australia) | 4,962 | 76,365 | ||||||
UnitedHealth Group, Inc. | 199,400 | 31,911,976 | ||||||
67,659,328 | ||||||||
Health Care Technology — 0.1% | ||||||||
Cerner Corp.* | 56,500 | 2,676,405 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hotels, Restaurants & Leisure — 0.7% | ||||||||
Aristocrat Leisure Ltd. (Australia) | 24,712 | $ | 275,702 | |||||
Compass Group PLC (United Kingdom) | 5,038 | 93,110 | ||||||
Domino’s Pizza Enterprises Ltd. (Australia) | 1,113 | 52,048 | ||||||
Extended Stay America, Inc. | 147,300 | 2,378,895 | ||||||
Galaxy Entertainment Group Ltd. (Hong Kong) | 7,000 | 30,318 | ||||||
McDonald’s Corp. | 203,400 | 24,757,848 | ||||||
Paddy Power Betfair PLC (Ireland) | 2,421 | 257,612 | ||||||
Tui AG (Germany) | 1,434 | 20,531 | ||||||
27,866,064 | ||||||||
Household Durables — 0.4% | ||||||||
D.R. Horton, Inc. | 457,600 | 12,506,208 | ||||||
Electrolux AB (Sweden) (Class B Stock) | 714 | 17,679 | ||||||
Iida Group Holdings Co. Ltd. (Japan) | 4,100 | 77,725 | ||||||
Lennar Corp. (Class A Stock) | 22,800 | 978,804 | ||||||
Nikon Corp. (Japan) | 1,000 | 15,530 | ||||||
Panasonic Corp. (Japan) | 6,400 | 64,910 | ||||||
Persimmon PLC (United Kingdom) | 951 | 20,749 | ||||||
Sekisui House Ltd. (Japan) | 1,700 | 28,244 | ||||||
Sony Corp. (Japan) | 3,900 | 108,974 | ||||||
Taylor Wimpey PLC (United Kingdom) | 9,768 | 18,423 | ||||||
TRI Pointe Group, Inc.* | 210,200 | 2,413,096 | ||||||
16,250,342 | ||||||||
Household Products — 0.9% | ||||||||
Colgate-Palmolive Co. | 266,400 | 17,433,216 | ||||||
Henkel AG & Co. KGaA (Germany) | 304 | 31,639 | ||||||
Kimberly-Clark Corp. | 84,800 | 9,677,376 | ||||||
Procter & Gamble Co. (The) | 70,905 | 5,961,692 | ||||||
Reckitt Benckiser Group PLC (United Kingdom) | 2,034 | 172,297 | ||||||
Svenska Cellulosa AB SCA (Sweden) (Class B Stock) | 1,865 | 52,493 | ||||||
33,328,713 | ||||||||
Independent Power & Renewable Electricity Producers — 0.3% |
| |||||||
AES Corp. | 900,000 | 10,458,000 | ||||||
Electric Power Development Co. Ltd. (Japan) | 400 | 9,181 | ||||||
10,467,181 | ||||||||
Industrial Conglomerates — 1.2% | ||||||||
3M Co. | 89,800 | 16,035,586 | ||||||
Carlisle Cos., Inc. | 35,700 | 3,937,353 | ||||||
CK Hutchison Holdings Ltd. (Hong Kong) | 8,000 | 90,308 | ||||||
DCC PLC (United Kingdom) | 259 | 19,252 | ||||||
General Electric Co. | 387,592 | 12,247,907 | ||||||
Honeywell International, Inc. | 136,700 | 15,836,695 | ||||||
Jardine Matheson Holdings Ltd. (Hong Kong) | 800 | 44,200 | ||||||
NWS Holdings Ltd. (Hong Kong) | 5,000 | 8,128 |
SEE NOTES TO FINANCIAL STATEMENTS.
A74
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Industrial Conglomerates (continued) |
| |||||||
Siemens AG (Germany) | 2,411 | $ | 295,204 | |||||
Toshiba Corp. (Japan)* | 12,000 | 28,986 | ||||||
48,543,619 | ||||||||
Insurance — 1.3% | ||||||||
Aflac, Inc. | 154,600 | 10,760,160 | ||||||
AIA Group Ltd. (Hong Kong) | 36,400 | 203,907 | ||||||
Alleghany Corp.* | 2,300 | 1,398,676 | ||||||
Allianz SE (Germany) | 456 | 75,258 | ||||||
Allstate Corp. (The) | 213,400 | 15,817,208 | ||||||
Aon PLC | 14,100 | 1,572,573 | ||||||
Assicurazioni Generali SpA (Italy) | 3,595 | 53,287 | ||||||
AXA SA (France) | 5,568 | 140,363 | ||||||
Hannover Rueck SE (Germany) | 183 | 19,769 | ||||||
Hanover Insurance Group, Inc. (The) | 13,500 | 1,228,635 | ||||||
Legal & General Group PLC (United Kingdom) | 109,099 | 332,359 | ||||||
Mapfre SA (Spain) | 3,284 | 10,003 | ||||||
MetLife, Inc. | 66,900 | 3,605,241 | ||||||
MS&AD Insurance Group Holdings, Inc. (Japan) | 3,100 | 95,999 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) | 184 | 34,754 | ||||||
NN Group NV (Netherlands) | 4,426 | 149,832 | ||||||
QBE Insurance Group Ltd. (Australia) | 4,283 | 38,268 | ||||||
RSA Insurance Group PLC (United Kingdom) | 3,056 | 22,038 | ||||||
St. James’s Place PLC (United Kingdom) | 9,947 | 124,077 | ||||||
Suncorp Group Ltd. (Australia) | 3,650 | 35,541 | ||||||
Swiss Life Holding AG (Switzerland) | 971 | 274,287 | ||||||
Swiss Re AG (Switzerland) | 1,017 | 96,221 | ||||||
Tokio Marine Holdings, Inc. (Japan) | 2,100 | 85,980 | ||||||
Unum Group | 122,500 | 5,381,425 | ||||||
XL Group Ltd. (Ireland) | 265,900 | 9,907,434 | ||||||
51,463,295 | ||||||||
Internet & Direct Marketing Retail — 1.0% |
| |||||||
Amazon.com, Inc.* | 17,800 | 13,347,686 | ||||||
HSN, Inc. | 67,000 | 2,298,100 | ||||||
Liberty TripAdvisor Holdings, Inc. (Class A Stock)* | 94,500 | 1,422,225 | ||||||
Netflix, Inc.* | 156,000 | 19,312,800 | ||||||
Shutterfly, Inc.* | 22,500 | 1,129,050 | ||||||
37,509,861 | ||||||||
Internet Software & Services — 3.0% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 35,800 | 28,369,710 | ||||||
Alphabet, Inc. (Class C Stock)* | 51,682 | 39,889,201 | ||||||
eBay, Inc.* | 169,400 | 5,029,486 | ||||||
Facebook, Inc. (Class A Stock)* | 388,300 | 44,673,915 | ||||||
117,962,312 | ||||||||
IT Services — 1.8% | ||||||||
Accenture PLC (Class A Stock) | 177,100 | 20,743,723 | ||||||
Amadeus IT Holding SA (Spain) (Class A Stock) | 5,242 | 237,747 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services (continued) | ||||||||
Atos SE (France) | 1,132 | $ | 119,311 | |||||
Booz Allen Hamilton Holding Corp. | 103,400 | 3,729,638 | ||||||
Cardtronics PLC (Class A Stock)*(a) | 60,700 | 3,312,399 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 300,800 | 16,853,824 | ||||||
CoreLogic, Inc.* | 26,600 | 979,678 | ||||||
Fujitsu Ltd. (Japan) | 38,000 | 210,427 | ||||||
MasterCard, Inc. (Class A Stock) | 218,600 | 22,570,450 | ||||||
Travelport Worldwide Ltd. (United Kingdom) | 58,000 | 817,800 | ||||||
Worldpay Group PLC (United Kingdom), 144A | 7,202 | 23,911 | ||||||
69,598,908 | ||||||||
Leisure Products — 0.1% | ||||||||
Bandai Namco Holdings, Inc. (Japan) | 8,000 | 220,200 | ||||||
Sega Sammy Holdings, Inc. (Japan) | 1,100 | 16,346 | ||||||
Smith & Wesson Holding Corp.*(a) | 229,800 | 4,844,184 | ||||||
5,080,730 | ||||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
Lonza Group AG (Switzerland) | 161 | 27,826 | ||||||
QIAGEN NV* | 644 | 18,047 | ||||||
Thermo Fisher Scientific, Inc. | 90,100 | 12,713,110 | ||||||
VWR Corp.* | 25,900 | 648,277 | ||||||
13,407,260 | ||||||||
Machinery — 1.2% | ||||||||
Atlas Copco AB (Sweden) (Class A Stock) | 9,901 | 300,362 | ||||||
Atlas Copco AB (Sweden) (Class B Stock) | 1,137 | 30,912 | ||||||
Fortive Corp. | 169,000 | 9,063,470 | ||||||
Illinois Tool Works, Inc. | 50,300 | 6,159,738 | ||||||
Ingersoll-Rand PLC(a) | 190,500 | 14,295,120 | ||||||
JTEKT Corp. (Japan) | 700 | 11,162 | ||||||
Kone OYJ (Finland) (Class B Stock) | 1,037 | 46,337 | ||||||
Minebea Co. Ltd. (Japan) | 1,000 | 9,331 | ||||||
Sandvik AB (Sweden) | 3,138 | 38,711 | ||||||
Schindler Holding AG (Switzerland) | 539 | 94,082 | ||||||
Schindler Holding AG (Switzerland) (Part. Cert.) | 136 | 23,951 | ||||||
SKF AB (Sweden) (Class B Stock) | 754 | 13,826 | ||||||
Stanley Black & Decker, Inc. | 112,400 | 12,891,156 | ||||||
Sumitomo Heavy Industries Ltd. (Japan) | 2,000 | 12,842 | ||||||
Wabash National Corp.*(a) | 160,300 | 2,535,946 | ||||||
45,526,946 | ||||||||
Marine | ||||||||
A.P. Moeller – Maersk A/S (Denmark) (Class A Stock) | 10 | 15,091 | ||||||
Media — 1.4% | ||||||||
Altice NV (Netherlands), (Class A Stock)* | 1,125 | 22,264 | ||||||
CBS Corp. (Class B Stock) | 172,300 | 10,961,726 | ||||||
Cinemark Holdings, Inc. | 75,000 | 2,877,000 | ||||||
Comcast Corp. (Class A Stock) | 283,273 | 19,560,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A75
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media (continued) | ||||||||
Discovery Communications, Inc. (Class C Stock)* | 79,500 | $ | 2,129,010 | |||||
RTL Group SA (Luxembourg) | 111 | 8,132 | ||||||
TEGNA, Inc. | 232,600 | 4,975,314 | ||||||
Toho Co. Ltd. (Japan) | 300 | 8,463 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 131,600 | 3,690,064 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 219,700 | 5,986,825 | ||||||
Walt Disney Co. (The) | 52,700 | 5,492,394 | ||||||
WPP PLC (United Kingdom) | 15,653 | 348,335 | ||||||
56,059,527 | ||||||||
Metals & Mining — 0.7% | ||||||||
Anglo American PLC (United Kingdom)* | 4,642 | 65,586 | ||||||
BHP Billiton Ltd. (Australia) | 9,166 | 164,208 | ||||||
Boliden AB (Sweden) | 11,368 | 295,284 | ||||||
Fortescue Metals Group Ltd. (Australia) | 63,457 | 265,188 | ||||||
Mitsubishi Materials Corp. (Japan) | 300 | 9,176 | ||||||
Newmont Mining Corp. | 435,600 | 14,840,892 | ||||||
Norsk Hydro ASA (Norway) | 4,020 | 19,186 | ||||||
Rio Tinto PLC (United Kingdom) | 2,275 | 86,855 | ||||||
Steel Dynamics, Inc. | 279,100 | 9,930,378 | ||||||
Voestalpine AG (Austria) | 4,296 | 167,988 | ||||||
25,844,741 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||
Chimera Investment Corp. | 229,400 | 3,904,388 | ||||||
Multi-Utilities — 0.4% | ||||||||
National Grid PLC (United Kingdom) | 13,495 | 157,673 | ||||||
Public Service Enterprise Group, Inc. | 355,600 | 15,603,728 | ||||||
15,761,401 | ||||||||
Multiline Retail — 0.8% | ||||||||
Harvey Norman Holdings Ltd. (Australia) | 1,628 | 6,032 | ||||||
Kohl’s Corp.(a) | 136,200 | 6,725,556 | ||||||
Macy’s, Inc. | 387,600 | 13,879,956 | ||||||
Target Corp.(a) | 120,900 | 8,732,607 | ||||||
29,344,151 | ||||||||
Multi-Utilities | ||||||||
DUET Group (Australia) | 7,448 | 14,709 | ||||||
Engie SA (France) | 817 | 10,400 | ||||||
Innogy SE (Germany), 144A* | 431 | 14,976 | ||||||
40,085 | ||||||||
Oil, Gas & Consumable Fuels — 4.4% | ||||||||
Anadarko Petroleum Corp. | 218,200 | 15,215,086 | ||||||
BP PLC (United Kingdom) | 72,956 | 456,957 | ||||||
Chevron Corp. | 110,100 | 12,958,770 | ||||||
ConocoPhillips | 419,900 | 21,053,786 | ||||||
Devon Energy Corp. | 149,500 | 6,827,665 | ||||||
Energen Corp.* | 31,300 | 1,805,071 | ||||||
EOG Resources, Inc. | 135,800 | 13,729,380 | ||||||
Exxon Mobil Corp. | 351,116 | 31,691,730 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Galp Energia SGPS SA (Portugal) | 20,128 | $ | 300,074 | |||||
Kinder Morgan, Inc. | 693,500 | 14,362,385 | ||||||
Neste OYJ (Finland) | 6,813 | 260,718 | ||||||
Newfield Exploration Co.* | 303,200 | 12,279,600 | ||||||
Phillips 66 | 209,000 | 18,059,690 | ||||||
Rice Energy, Inc.* | 98,400 | 2,100,840 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 13,069 | 360,753 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 11,445 | 328,839 | ||||||
Statoil ASA (Norway) | 3,433 | 62,658 | ||||||
Tesoro Corp.(a) | 59,700 | 5,220,765 | ||||||
Total SA (France) | 6,482 | 332,476 | ||||||
Valero Energy Corp. | 104,300 | 7,125,776 | ||||||
Williams Cos., Inc. (The) | 162,100 | 5,047,794 | ||||||
169,580,813 | ||||||||
Paper & Forest Products | ||||||||
Mondi PLC (South Africa) | 4,276 | 87,326 | ||||||
Stora Enso OYJ (Finland) (Class R Stock) | 1,619 | 17,319 | ||||||
UPM-Kymmene OYJ (Finland) | 10,502 | 256,833 | ||||||
361,478 | ||||||||
Personal Products | ||||||||
Avon Products, Inc.* | 257,500 | 1,297,800 | ||||||
Kao Corp. (Japan) | 1,500 | 71,002 | ||||||
Unilever NV (United Kingdom) | 5,045 | 207,244 | ||||||
Unilever PLC (United Kingdom) | 2,617 | 105,832 | ||||||
1,681,878 | ||||||||
Pharmaceuticals — 2.8% | ||||||||
Allergan PLC*(a) | 107,900 | 22,660,079 | ||||||
Astellas Pharma, Inc. (Japan) | 20,200 | 280,242 | ||||||
AstraZeneca PLC (United Kingdom) | 3,648 | 199,210 | ||||||
Bayer AG (Germany) | 4,923 | 512,897 | ||||||
Bristol-Myers Squibb Co. | 36,300 | 2,121,372 | ||||||
Daiichi Sankyo Co. Ltd. (Japan) | 1,800 | 36,755 | ||||||
GlaxoSmithKline PLC (United Kingdom) | 14,610 | 280,638 | ||||||
Jazz Pharmaceuticals PLC* | 41,700 | 4,546,551 | ||||||
Johnson & Johnson | 369,398 | 42,558,344 | ||||||
Mallinckrodt PLC* | 199,200 | 9,924,144 | ||||||
Merck & Co., Inc. | 43,000 | 2,531,410 | ||||||
Mitsubishi Tanabe Pharma Corp. (Japan) | 4,100 | 80,278 | ||||||
Novartis AG (Switzerland) | 6,701 | 487,320 | ||||||
Novo Nordisk A/S (Denmark) (Class B Stock) | 4,357 | 156,295 | ||||||
Otsuka Holdings Co. Ltd. (Japan) | 500 | 21,780 | ||||||
Pfizer, Inc. | 624,497 | 20,283,663 | ||||||
Roche Holding AG (Switzerland) | 3,009 | 685,909 | ||||||
Sanofi (France) | 3,424 | 276,883 | ||||||
Shionogi & Co. Ltd. (Japan) | 800 | 38,234 | ||||||
Taro Pharmaceutical Industries Ltd.* | 100 | 10,527 | ||||||
Teva Pharmaceutical Industries Ltd. (Israel) | 6,209 | 223,569 | ||||||
107,916,100 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A76
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Professional Services — 0.1% | ||||||||
Adecco Group AG (Switzerland) | 3,495 | $ | 228,142 | |||||
Insperity, Inc. | 20,700 | 1,468,665 | ||||||
Intertek Group PLC (United Kingdom) | 493 | 21,129 | ||||||
Randstad Holding NV (Netherlands) | 4,182 | 226,530 | ||||||
RELX PLC (United Kingdom) | 15,162 | 270,196 | ||||||
Wolters Kluwer NV (Netherlands) | 913 | 33,023 | ||||||
2,247,685 | ||||||||
Real Estate Management & Development — 0.2% |
| |||||||
Daito Trust Construction Co. Ltd. (Japan) | 1,600 | 240,540 | ||||||
Daiwa House Industry Co. Ltd. (Japan) | 1,600 | 43,633 | ||||||
Hulic Co. Ltd. (Japan) | 1,800 | 15,970 | ||||||
Jones Lang LaSalle, Inc. | 64,800 | 6,547,392 | ||||||
Kerry Properties Ltd. (Hong Kong) | 7,000 | 18,930 | ||||||
Mitsubishi Estate Co. Ltd. (Japan) | 4,000 | 79,459 | ||||||
Sun Hung Kai Properties Ltd. (Hong Kong) | 21,000 | 264,442 | ||||||
Wharf Holdings Ltd. (The) (Hong Kong) | 4,000 | 26,496 | ||||||
Wheelock & Co. Ltd. (Hong Kong) | 6,000 | 33,673 | ||||||
7,270,535 | ||||||||
Real Estate Management & Development |
| |||||||
Cheung Kong Property Holdings Ltd. (Hong Kong) | 8,000 | 48,856 | ||||||
LendLease Group (Australia) | 1,738 | 18,264 | ||||||
Mitsui Fudosan Co. Ltd. (Japan) | 3,000 | 69,451 | ||||||
136,571 | ||||||||
Road & Rail — 0.1% | ||||||||
CSX Corp. | 33,300 | 1,196,469 | ||||||
East Japan Railway Co. (Japan) | 1,000 | 86,219 | ||||||
Landstar System, Inc. | 12,500 | 1,066,250 | ||||||
MTR Corp. Ltd. (Hong Kong) | 4,500 | 21,817 | ||||||
Nippon Express Co. Ltd. (Japan) | 3,000 | 16,108 | ||||||
Tokyu Corp. (Japan) | 3,000 | 22,014 | ||||||
Union Pacific Corp. | 13,500 | 1,399,680 | ||||||
3,808,557 | ||||||||
Semiconductors & Semiconductor Equipment — 2.4% |
| |||||||
Applied Materials, Inc. | 525,200 | 16,948,204 | ||||||
Infineon Technologies AG (Germany) | 1,733 | 29,976 | ||||||
Intel Corp. | 886,800 | 32,164,236 | ||||||
QUALCOMM, Inc. | 363,100 | 23,674,120 | ||||||
Texas Instruments, Inc. | 284,900 | 20,789,153 | ||||||
Tokyo Electron Ltd. (Japan) | 400 | 37,620 | ||||||
93,643,309 | ||||||||
Software — 3.0% | ||||||||
Adobe Systems, Inc.* | 151,300 | 15,576,335 | ||||||
Check Point Software Technologies Ltd. (Israel)* | 1,900 | 160,474 | ||||||
Citrix Systems, Inc.* | 131,100 | 11,708,541 | ||||||
Electronic Arts, Inc.* | 71,800 | 5,654,968 | ||||||
Intuit, Inc. | 137,300 | 15,735,953 | ||||||
Konami Holdings Corp. (Japan) | 5,900 | 238,114 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Software (continued) | ||||||||
Microsoft Corp. | 649,800 | $ | 40,378,572 | |||||
Oracle Corp. | 666,300 | 25,619,235 | ||||||
Sage Group PLC (The) (United Kingdom) | 8,348 | 67,294 | ||||||
SAP SE (Germany) | 664 | 57,439 | ||||||
115,196,925 | ||||||||
Specialty Retail — 1.8% | ||||||||
Bed Bath & Beyond, Inc.(a) | 61,600 | 2,503,424 | ||||||
Best Buy Co., Inc.(a) | 336,200 | 14,345,654 | ||||||
Express, Inc.* | 326,300 | 3,510,988 | ||||||
Francesca’s Holdings Corp.*(a) | 173,100 | 3,120,993 | ||||||
GameStop Corp. (Class A Stock)(a) | 129,000 | 3,258,540 | ||||||
GNC Holdings, Inc. (Class A Stock) | 800 | 8,832 | ||||||
Home Depot, Inc. (The) | 216,200 | 28,988,096 | ||||||
Industria de Diseno Textil SA (Spain) | 8,614 | 293,445 | ||||||
Kingfisher PLC (United Kingdom) | 6,911 | 29,776 | ||||||
Penske Automotive Group, Inc.(a) | 13,400 | 694,656 | ||||||
Ross Stores, Inc. | 231,400 | 15,179,840 | ||||||
71,934,244 | ||||||||
Technology Hardware, Storage & Peripherals — 2.3% |
| |||||||
Apple, Inc. | 552,300 | 63,967,386 | ||||||
Brother Industries Ltd. (Japan) | 14,100 | 253,482 | ||||||
FUJIFILM Holdings Corp. (Japan) | 1,300 | 49,226 | ||||||
Hewlett Packard Enterprise Co. | 728,300 | 16,852,862 | ||||||
HP, Inc. | 639,900 | 9,496,116 | ||||||
NEC Corp. (Japan) | 8,000 | 21,159 | ||||||
90,640,231 | ||||||||
Textiles, Apparel & Luxury Goods | ||||||||
adidas AG (Germany) | 569 | 89,742 | ||||||
Hermes International (France) | 80 | 32,818 | ||||||
LVMH Moet Hennessy Louis Vuitton SE (France) | 853 | 162,643 | ||||||
PVH Corp. | 400 | 36,096 | ||||||
Swatch Group AG (The) (Switzerland) | 140 | 8,544 | ||||||
329,843 | ||||||||
Tobacco — 0.8% | ||||||||
Altria Group, Inc. | 436,300 | 29,502,606 | ||||||
British American Tobacco PLC (United Kingdom) | 9,597 | 543,917 | ||||||
Japan Tobacco, Inc. (Japan) | 6,500 | 213,354 | ||||||
30,259,877 | ||||||||
Trading Companies & Distributors | ||||||||
Ashtead Group PLC (United Kingdom) | 1,439 | 27,975 | ||||||
ITOCHU Corp. (Japan) | 22,600 | 299,241 | ||||||
Mitsubishi Corp. (Japan) | 6,700 | 142,299 | ||||||
Mitsui & Co. Ltd. (Japan) | 21,600 | 295,970 | ||||||
Sumitomo Corp. (Japan) | 3,700 | 43,436 | ||||||
808,921 | ||||||||
Transportation Infrastructure | ||||||||
Abertis Infraestructuras SA (Spain) | 1,866 | 26,071 | ||||||
Aena SA (Spain), 144A | 196 | 26,703 |
SEE NOTES TO FINANCIAL STATEMENTS.
A77
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Transportation Infrastructure (continued) |
| |||||||
Atlantia SpA (Italy) | 1,200 | $ | 28,076 | |||||
Auckland International Airport Ltd. (New Zealand) | 2,752 | 11,937 | ||||||
Sydney Airport (Australia) | 3,216 | 13,881 | ||||||
106,668 | ||||||||
Wireless Telecommunication Services | ||||||||
KDDI Corp. (Japan) | 8,300 | 209,600 | ||||||
NTT DOCOMO, Inc. (Japan) | 4,200 | 95,530 | ||||||
SoftBank Corp. (Japan) | 4,100 | 271,313 | ||||||
Vodafone Group PLC (United Kingdom) | 82,153 | 202,170 | ||||||
778,613 | ||||||||
TOTAL COMMON STOCKS |
| 2,420,619,766 | ||||||
UNAFFILIATED EXCHANGE TRADED FUND | ||||||||
iShares MSCI EAFE Index | 3,850 | 222,260 | ||||||
PREFERRED STOCKS | Shares | Value (Note 2) | ||||||
Automobiles | ||||||||
Bayerische Motoren Werke AG (Germany) (PRFC) | 155 | $ | 11,837 | |||||
Volkswagen AG (Germany) (PRFC) | 2,408 | 336,922 | ||||||
348,759 | ||||||||
Banks | ||||||||
Citigroup Capital XIII, 7.1215%, (Capital Security, fixed to floating preferred)(b) | 22,000 | 568,040 | ||||||
Household Products | ||||||||
Henkel AG & Co. KGaA (Germany) (PRFC) | 541 | 64,401 | ||||||
TOTAL PREFERRED STOCKS |
| 981,200 | ||||||
ASSET-BACKED SECURITIES — 4.1% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Collateralized Loan Obligations — 1.4% | ||||||||||||||||
ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 2.061% | (b) | 04/20/25 | 2,550 | 2,547,120 | |||||||||||
AIMCO CLO (Cayman Islands), Series 2015-AA, Class A1, 144A | 2.580% | (b) | 01/15/28 | 2,500 | 2,493,804 | |||||||||||
Anchorage Capital CLO 3 Ltd. (Cayman Islands), Series 2014-3A, Class A1R, 144A | 2.288% | (b) | 04/28/26 | 1,500 | 1,503,147 | |||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.480% | (b) | 10/15/26 | 2,500 | 2,506,347 | |||||||||||
Arrowpoint CLO Ltd. (Cayman Islands), Series 2015-4A, Class A, 144A | 2.432% | (b) | 04/18/27 | 1,000 | 1,001,456 | |||||||||||
Atlas Senior Loan Fund VI Ltd. (Cayman Islands), Series 2014-6A, Class A, 144A | 2.420% | (b) | 10/15/26 | 750 | 750,791 | |||||||||||
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 2.480% | (b) | 10/17/26 | 250 | 250,353 | |||||||||||
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A | 2.412% | (b) | 04/18/27 | 1,250 | 1,250,456 | |||||||||||
Benefit Street Partners CLO II Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A | 2.080% | (b) | 07/15/24 | 1,200 | 1,195,530 | |||||||||||
Benefit Street Partners CLO VII Ltd. (Cayman Islands), Series 2015-VIIA, Class A1A, 144A | 2.412% | (b) | 07/18/27 | 750 | 752,240 | |||||||||||
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.030% | (b) | 04/17/25 | 2,100 | 2,097,180 | |||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.431% | (b) | 04/20/26 | 2,200 | 2,202,937 | |||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-1A, Class A2, 144A | 2.681% | (b) | 04/20/26 | 450 | 441,760 | |||||||||||
Catamaran CLO Ltd. (Cayman Islands), Series 2014-2, Class A1R, 144A | 2.108% | (b) | 10/18/26 | 500 | 499,616 | |||||||||||
Flagship VII Ltd. (Cayman Islands), Series 2013-7A, Class A1, 144A | 2.351% | (b) | 01/20/26 | 2,300 | 2,304,453 | |||||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.280% | (b) | 01/17/26 | 500 | 499,834 | |||||||||||
Galaxy XVIII CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A | 2.350% | (b) | 10/15/26 | 1,250 | 1,252,471 | |||||||||||
Highbridge Loan Management Ltd. (Cayman Islands), Series 2015-6A, Class A, 144A | 2.331% | (b) | 05/05/27 | 250 | 249,807 | |||||||||||
ICG U.S. CLO Ltd. (Cayman Islands), Series 2014-3A, Class A1B, 144A(c) | 3.280% | 01/25/27 | 1,000 | 987,346 | ||||||||||||
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class A, 144A | 2.420% | (b) | 04/15/27 | 500 | 500,333 | |||||||||||
KVK CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.496% | (b) | 05/15/26 | 300 | 300,375 | |||||||||||
Limerock CLO II Ltd. (Cayman Islands), Series 2014-2A, Class A, 144A | 2.382% | (b) | 04/18/26 | 750 | 750,815 | |||||||||||
Magnetite IX Ltd. (Cayman Islands), Series 2014-9A, Class A1, 144A(c) | 2.302% | (b) | 07/25/26 | 3,000 | 3,004,957 | |||||||||||
Magnetite XI Ltd. (Cayman Islands), Series 2014-11A, Class A1, 144A(c) | 2.332% | (b) | 01/18/27 | 500 | 500,992 | |||||||||||
OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A | 2.032% | (b) | 07/22/25 | 1,200 | 1,200,506 | |||||||||||
Race Point V CLO Ltd. (Cayman Islands), Series 2011-5AR, Class AR, 144A | 2.263% | (b) | 12/15/22 | 201 | 201,327 | |||||||||||
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class A, 144A | 2.161% | (b) | 02/20/25 | 250 | 250,103 |
SEE NOTES TO FINANCIAL STATEMENTS.
A78
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Collateralized Loan Obligations (continued) | ||||||||||||||||
Regatta IV Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.292% | (b) | 07/25/26 | 1,000 | $ | 1,000,614 | ||||||||||
Seneca Park CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 2.360% | (b) | 07/17/26 | 800 | 801,241 | |||||||||||
Shackleton CLO V Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.381% | (b) | 05/07/26 | 1,250 | 1,254,145 | |||||||||||
Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 1.930% | (b) | 04/15/25 | 3,200 | 3,194,371 | |||||||||||
Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A | 3.556% | (b) | 08/17/22 | 500 | 499,007 | |||||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A | 3.581% | (b) | 10/20/23 | 1,100 | 1,101,754 | |||||||||||
THL Credit Wind River CLO Ltd. (Cayman Islands), Series 2014-3A, Class A, 144A | 2.502% | (b) | 01/22/27 | 2,250 | 2,249,608 | |||||||||||
Trinitas CLO V Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A | 2.434% | (b) | 10/25/28 | 3,250 | 3,249,268 | |||||||||||
Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.000% | (b) | 07/15/25 | 2,700 | 2,701,148 | |||||||||||
Voya CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.020% | (b) | 04/15/24 | 1,850 | 1,850,733 | |||||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.381% | (b) | 04/20/26 | 1,850 | 1,848,397 | |||||||||||
Washington Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class B2, 144A | 4.250% | 04/20/26 | 500 | 504,026 | ||||||||||||
51,750,368 | ||||||||||||||||
Non-Residential Mortgage-Backed Securities — 2.2% | ||||||||||||||||
American Express Credit Account Secured Note Trust, Series 2012-4, Class C, 144A | 1.504% | (b) | 05/15/20 | 3,900 | 3,897,615 | |||||||||||
AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B | 1.399% | (b) | 04/08/19 | 1,843 | 1,845,604 | |||||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class A2B | 1.349% | (b) | 10/08/19 | 3,243 | 3,249,465 | |||||||||||
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A2B | 1.209% | (b) | 11/08/19 | 1,000 | 1,001,079 | |||||||||||
Americredit Automobile Receivables Trust, Series 2016-4, Class C | 2.410% | 07/08/22 | 1,000 | 990,900 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A, 144A | 1.920% | 09/20/19 | 1,700 | 1,691,452 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 144A | 2.500% | 07/20/21 | 6,000 | 5,954,352 | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 144A | 2.630% | 12/20/21 | 4,700 | 4,642,511 | ||||||||||||
Chase Issuance Trust, Series 2007-C1, Class C1 | 1.164% | (b) | 04/15/19 | 8,300 | 8,299,314 | |||||||||||
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 144A | 1.740% | 02/22/22 | 2,700 | 2,692,357 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2014-1, Class A, 144A | 2.260% | 11/15/25 | 2,000 | 2,017,072 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2014-2, Class A, 144A | 2.310% | 04/15/26 | 3,200 | 3,226,763 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2016-1, Class A, 144A | 2.310% | 08/15/27 | 5,400 | 5,389,515 | ||||||||||||
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 144A | 2.030% | 12/15/27 | 3,300 | 3,245,485 | ||||||||||||
GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 144A(c) | 1.038% | (b) | 05/15/20 | 1,800 | 1,800,784 | |||||||||||
GMF Floorplan Owner Revolving Trust, Series 2016-1, Class A2, 144A(c) | 1.554% | (b) | 05/17/21 | 2,300 | 2,312,114 | |||||||||||
Hertz Vehicle Financing II LP, Series 2015-1A, Class A, 144A | 2.730% | 03/25/21 | 4,300 | 4,269,028 | ||||||||||||
Hertz Vehicle Financing II LP, Series 2015-3A, Class A, 144A | 2.670% | 09/25/21 | 3,400 | 3,345,802 | ||||||||||||
Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 144A | 2.320% | 03/25/20 | 3,000 | 2,980,208 | ||||||||||||
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A, 144A | 2.040% | 01/15/21 | 1,182 | 1,184,458 | ||||||||||||
OneMain Financial Issuance Trust, Series 2015-2A, Class A, 144A | 2.570% | 07/18/25 | 4,700 | 4,700,165 | ||||||||||||
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B | 1.404% | (b) | 12/17/18 | 153 | 153,317 | |||||||||||
Santander Drive Auto Receivables Trust, Series 2015-5, Class A2B | 1.454% | (b) | 12/17/18 | 452 | 452,057 | |||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A, 144A | 2.580% | 09/20/32 | 1,522 | 1,514,010 | ||||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2016-1A, Class A, 144A | 3.080% | 03/21/33 | 2,647 | 2,672,782 | ||||||||||||
Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 144A | 2.200% | 10/20/30 | 1,423 | 1,422,994 | ||||||||||||
SpringCastle America Funding LLC, Series 2016-AA. Class A, 144A | 3.050% | 04/25/29 | 2,918 | 2,932,557 | ||||||||||||
Springleaf Funding Trust, Series 2015-AA, Class A, 144A | 3.160% | 11/15/24 | 5,795 | 5,840,781 | ||||||||||||
SVO VOI Mortgage LLC, Series 2012-AA, Class A, 144A | 2.000% | 09/20/29 | 638 | 626,999 | ||||||||||||
Synchrony Credit Card Master Note Trust, Series 2015-3, Class A | 1.740% | 09/15/21 | 1,700 | 1,700,903 | ||||||||||||
86,052,443 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
ASSET-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Residential Mortgage-Backed Securities — 0.5% | ||||||||||||||||
Banc of America Funding Trust, Series 2015-R6, Class 1A1, 144A | 0.739% | (b) | 08/26/36 | 1,185 | $ | 1,117,329 | ||||||||||
CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 | 2.406% | (b) | 03/25/33 | 165 | 158,682 | |||||||||||
Credit Suisse Mortgage Trust, Series 16-RPL1, Class A1, 144A | 3.767% | (b) | 12/26/46 | 5,595 | 5,574,362 | |||||||||||
Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB6, Class A3 | 3.765% | (b) | 07/25/35 | 296 | 282,803 | |||||||||||
Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 | 4.792% | (b) | 07/25/34 | 267 | 253,281 | |||||||||||
GSAMP Trust, Series 2004-HE2, Class A3C | 1.916% | (b) | 09/25/34 | 389 | 386,071 | |||||||||||
Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 | 1.379% | (b) | 06/25/34 | 424 | 411,392 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 | 1.956% | (b) | 05/25/33 | 282 | 274,067 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1 | 1.701% | (b) | 06/25/34 | 659 | 626,890 | |||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 | 1.806% | (b) | 12/27/33 | 548 | 533,448 | |||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-HE1, Class M1 | 1.656% | (b) | 07/25/32 | 225 | 218,270 | |||||||||||
Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2002-NC4, Class M1 | 2.031% | (b) | 09/25/32 | 3,375 | 3,245,223 | |||||||||||
Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 | 1.521% | (b) | 02/25/34 | 616 | 576,245 | |||||||||||
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 144A | 4.250% | 04/25/46 | 2,059 | 2,073,774 | ||||||||||||
VOLT XXXI LLC, Series 2015-NPL2, Class A1, 144A | 3.375% | 02/25/55 | 1,041 | 1,043,418 | ||||||||||||
VOLT XXXVII LLC, Series 2015-NP11, Class A1, 144A | 3.625% | 07/25/45 | 3,149 | 3,146,367 | ||||||||||||
19,921,622 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 157,724,433 | ||||||||||||||
BANK LOANS(b) — 0.2% | ||||||||||||||||
Food | ||||||||||||||||
ARAMARK Corp. | 3.430% | 02/24/21 | 466 | 469,619 | ||||||||||||
Health Care & Pharmaceutical — 0.1% | ||||||||||||||||
RPI Finance Trust | 3.498% | 10/14/22 | 1,325 | 1,338,972 | ||||||||||||
Media & Entertainment | ||||||||||||||||
Nielsen Finance LLC | 3.442% | 10/04/23 | 751 | 757,144 | ||||||||||||
Technology — 0.1% | ||||||||||||||||
Avago Technologies Cayman Finance Ltd. (Singapore) | 3.881% | 02/01/23 | 905 | 917,387 | ||||||||||||
Dell International LLC | 2.998% | 12/31/18 | 600 | 599,063 | ||||||||||||
Dell International LLC | 4.020% | 09/07/23 | 815 | 828,244 | ||||||||||||
First Data Corp. | 3.998% | 03/24/21 | 1,020 | 1,029,108 | ||||||||||||
TransUnion LLC | 3.520% | 04/09/21 | 486 | 489,295 | ||||||||||||
Western Digital Corp. | 4.748% | 04/29/23 | 872 | 882,671 | ||||||||||||
4,745,768 | ||||||||||||||||
Telecommunications | ||||||||||||||||
T-Mobile USA, Inc. | 3.707% | 11/09/22 | 1,025 | 1,035,262 | ||||||||||||
TOTAL BANK LOANS |
| 8,346,765 | ||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.0% | ||||||||||||||||
Assurant Commercial Mortgage Trust, Series 2016-1A, Class AS, 144A | 3.172% | 05/15/49 | 4,000 | 3,938,576 | ||||||||||||
Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A | 5.587% | (b) | 04/10/49 | 3,857 | 3,875,019 | |||||||||||
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | 5.711% | (b) | 12/10/49 | 1,000 | 1,008,670 | |||||||||||
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 | 2.815% | 04/10/46 | 1,100 | 1,106,451 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class A4 | 3.575% | 05/10/47 | 2,750 | 2,848,250 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3 | 3.356% | 07/10/47 | 2,800 | 2,857,492 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class A3 | 2.944% | 05/10/49 | 5,000 | 4,890,348 | ||||||||||||
Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A3 | 3.050% | 04/10/49 | 6,500 | 6,391,947 | ||||||||||||
Citigroup Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class AMFX | 5.366% | (b) | 12/11/49 | 6,000 | 6,006,033 | |||||||||||
Commercial Mortgage Trust, Series 2015-CR27, Class A3 | 3.349% | 10/10/48 | 6,100 | 6,180,028 |
SEE NOTES TO FINANCIAL STATEMENTS.
A80
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | $ | 994,960 | |||||||||
Commercial Mortgage Trust, Series 2013-CR7, Class A3 | 2.929% | 03/10/46 | 1,700 | 1,718,256 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR15, Class A2 | 2.928% | 02/10/47 | 2,700 | 2,756,857 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR18, Class A4 | 3.550% | 07/15/47 | 2,800 | 2,891,933 | ||||||||||
Commercial Mortgage Trust, Series 2014-CR20, Class A3 | 3.326% | 11/10/47 | 5,000 | 5,090,328 | ||||||||||
Commercial Mortgage Trust, Series 2014-UBS3, Class A2 | 2.844% | 06/10/47 | 2,300 | 2,344,913 | ||||||||||
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3 | 3.544% | 11/15/48 | 3,000 | 3,069,902 | ||||||||||
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 144A | 3.555% | (b) | 09/10/35 | 1,100 | 1,131,841 | |||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 | 3.513% | (b) | 12/25/23 | 2,515 | 2,619,825 | |||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 2.940% | (b) | 11/25/25 | 3,900 | 3,918,050 | |||||||||
Fannie Mae-Aces, Series 2016-M7, Class AB2 | 2.385% | 09/25/26 | 2,400 | 2,225,619 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 | 2.873% | 12/25/21 | 3,500 | 3,590,313 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 | 2.373% | 05/25/22 | 2,000 | 2,003,526 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.442% | (b) | 05/25/22 | 24,499 | 1,541,636 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.481% | (b) | 06/25/22 | 6,933 | 456,034 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 | 3.320% | (b) | 02/25/23 | 5,800 | 6,072,692 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 | 3.531% | (b) | 07/25/23 | 2,400 | 2,542,343 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K055, Class X1, IO | 1.369% | (b) | 03/25/26 | 27,988 | 2,750,364 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.759% | (b) | 05/25/19 | 18,590 | 619,922 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.692% | (b) | 07/25/19 | 19,940 | 675,003 | |||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | (b) | 05/25/25 | 2,500 | 2,527,706 | |||||||||
GS Mortgage Securities Trust, Series 2015-GC28, Class A4 | 3.136% | 02/10/48 | 4,000 | 4,002,704 | ||||||||||
GS Mortgage Securities Trust, Series 2015-GC32, Class A3 | 3.498% | 07/10/48 | 5,800 | 5,955,613 | ||||||||||
GS Mortgage Securities Trust, Series GS4, Class A3 | 3.178% | 11/10/49 | 5,500 | 5,490,891 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class A4A1 | 3.408% | 11/15/47 | 1,400 | 1,435,067 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class A3A1 | 2.920% | 02/15/48 | 6,000 | 5,919,262 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 | 3.139% | 06/15/45 | 924 | 940,069 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 | 2.611% | 12/15/47 | 1,700 | 1,702,528 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 | 2.875% | 12/15/47 | 3,900 | 3,943,368 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 | 3.070% | 12/15/46 | 1,936 | 1,975,376 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,400 | 1,415,278 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 | 2.863% | 12/15/48 | 1,500 | 1,513,512 | ||||||||||
Morgan Stanley Capital I Trust, Series 2016-UB11, Class A3 | 2.531% | 08/15/49 | 10,400 | 9,837,691 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 | 2.792% | 12/10/45 | 1,700 | 1,713,392 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 | 2.920% | 03/10/46 | 3,900 | 3,922,622 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 | 2.971% | 04/10/46 | 1,800 | 1,815,684 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | 5.509% | 04/15/47 | 3,041 | 3,046,881 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | 5.608% | (b) | 05/15/46 | 1,204 | 1,222,707 | |||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class A3 | 2.642% | 11/15/49 | 8,000 | 7,584,119 | ||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 154,081,601 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A81
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS — 9.4% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Agriculture — 0.1% | ||||||||||||||||
Altria Group, Inc., Gtd. Notes | 4.000% | 01/31/24 | 1,500 | $ | 1,584,926 | |||||||||||
Bunge Ltd. Finance Corp., Gtd. Notes | 8.500% | 06/15/19 | 930 | 1,065,458 | ||||||||||||
Imperial Brands Finance PLC (United Kingdom), Gtd. Notes, 144A | 2.050% | 02/11/18 | 2,050 | 2,051,902 | ||||||||||||
Reynolds American, Inc., Gtd. Notes | 8.125% | 06/23/19 | 325 | 370,772 | ||||||||||||
5,073,058 | ||||||||||||||||
Airlines — 0.2% |
| |||||||||||||||
American Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2015-1, Class A | 3.375% | 11/01/28 | 3,029 | 2,983,840 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 1998-1, Class A | 6.648% | 03/15/19 | 37 | 37,917 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2009-2, Class A | 7.250% | 05/10/21 | 531 | 592,924 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A | 4.750% | 07/12/22 | 592 | 625,016 | ||||||||||||
Continental Airlines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2012-2, Class A | 4.000% | 04/29/26 | 597 | 610,715 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2007-1 Class A | 6.821% | 02/10/24 | 274 | 315,386 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A | 4.950% | 11/23/20 | 342 | 358,185 | ||||||||||||
Delta Air Lines, Inc., Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A | 5.300% | 10/15/20 | 773 | 815,046 | ||||||||||||
6,339,029 | ||||||||||||||||
Auto Manufacturers — 0.3% |
| |||||||||||||||
Ford Motor Co., Sr. Unsec’d. Notes | 4.750% | 01/15/43 | 1,430 | 1,357,652 | ||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes(a) | 4.134% | 08/04/25 | 390 | 390,469 | ||||||||||||
Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, GMTN | 4.389% | 01/08/26 | 1,255 | 1,271,911 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.250% | 10/02/43 | 1,395 | 1,542,143 | ||||||||||||
General Motors Co., Sr. Unsec’d. Notes | 6.600% | 04/01/36 | 760 | 868,686 | ||||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN | 2.700% | 03/15/17 | 450 | 451,051 | ||||||||||||
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN | 2.850% | 01/15/21 | 4,705 | 4,724,949 | ||||||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 4.250% | 11/15/19 | 715 | 739,131 | ||||||||||||
11,345,992 | ||||||||||||||||
Banks — 2.6% |
| |||||||||||||||
Bank of America Corp., Jr. Sub. Notes | 6.300% | (b) | 12/29/49 | 445 | 465,025 | |||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 5.700% | 01/24/22 | 2,330 | 2,617,145 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes | 6.000% | 09/01/17 | 1,075 | 1,106,152 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, GMTN | 3.300% | 01/11/23 | 780 | 782,605 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.000% | 04/01/24 | 975 | 1,005,556 | ||||||||||||
Bank of America Corp., Sr. Unsec’d. Notes, MTN | 4.125% | 01/22/24 | 3,820 | 3,969,939 | ||||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.450% | 03/03/26 | 3,880 | 3,998,487 | ||||||||||||
Bank of America Corp., Sub. Notes, MTN | 4.000% | 01/22/25 | 2,000 | 2,002,512 | ||||||||||||
Bank of America Corp., Series K, Jr. Sub. Notes | 8.000% | (b) | 07/29/49 | 2,200 | 2,260,500 | |||||||||||
Bank of America NA, Sub. Notes | 5.300% | 03/15/17 | 930 | 937,203 | ||||||||||||
Bank of America NA, Sub. Notes | 6.000% | 10/15/36 | 410 | 494,654 | ||||||||||||
Barclays PLC (United Kingdom), Sr. Unsec’d. Notes | 4.375% | 01/12/26 | 1,590 | 1,610,387 | ||||||||||||
Capital One Financial Corp., Sr. Unsec’d. Notes | 3.750% | 04/24/24 | 4,560 | 4,619,371 | ||||||||||||
Citigroup, Inc., Jr. Sub. Notes(a) | 6.125% | (b) | 12/29/49 | 1,375 | 1,423,125 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 6.250% | (b) | 12/29/49 | 625 | 643,125 | |||||||||||
Citigroup, Inc., Jr. Sub. Notes | 5.950% | (b) | 12/29/49 | 2,205 | 2,237,965 | |||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 3.700% | 01/12/26 | 2,440 | 2,427,439 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes(a) | 4.500% | 01/14/22 | 2,450 | 2,612,131 | ||||||||||||
Citigroup, Inc., Sr. Unsec’d. Notes | 8.125% | 07/15/39 | 710 | 1,055,013 | ||||||||||||
Citigroup, Inc., Sub. Notes(a) | 4.450% | 09/29/27 | 1,965 | 1,996,137 | ||||||||||||
Compass Bank, Sr. Unsec’d. Notes | 1.850% | 09/29/17 | 1,270 | 1,267,117 | ||||||||||||
Deutsche Bank AG (Germany), Sr. Unsec’d. Notes, GMTN | 3.375% | 05/12/21 | 1,640 | 1,623,416 |
SEE NOTES TO FINANCIAL STATEMENTS.
A82
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Banks (continued) | ||||||||||||||||
Dexia Credit Local SA (France), Govt. Liquid Gtd. Notes, 144A | 1.875% | 09/15/21 | 1,250 | $ | 1,206,266 | |||||||||||
Discover Bank, Sr. Unsec’d. Notes | 4.250% | 03/13/26 | 970 | 988,162 | ||||||||||||
Discover Bank, Sub. Notes | 7.000% | 04/15/20 | 570 | 632,916 | ||||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.300% | (b) | 12/29/49 | 740 | 709,475 | |||||||||||
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes | 5.375% | (b) | 12/29/49 | 2,215 | 2,237,150 | |||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.500% | 01/23/25 | 4,100 | 4,045,466 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 3.750% | 02/25/26 | 1,010 | 1,012,967 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.250% | 07/27/21 | 2,055 | 2,252,260 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 5.750% | 01/24/22 | 3,620 | 4,069,658 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes | 6.250% | 02/01/41 | 270 | 334,683 | ||||||||||||
Goldman Sachs Group, Inc. (The), Sub. Notes | 6.750% | 10/01/37 | 104 | 128,424 | ||||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 4.875% | 01/14/22 | 1,910 | 2,061,918 | ||||||||||||
HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes | 5.100% | 04/05/21 | 1,025 | 1,107,724 | ||||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes(a) | 6.100% | (b) | 10/29/49 | 1,275 | 1,290,141 | |||||||||||
JPMorgan Chase & Co., Jr. Sub. Notes | 7.900% | (b) | 12/29/49 | 2,000 | 2,071,000 | |||||||||||
JPMorgan Chase & Co., Sr. Unsec’d. Notes | 4.250% | 10/15/20 | 2,930 | 3,100,632 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 4.950% | 06/01/45 | 515 | 549,149 | ||||||||||||
JPMorgan Chase & Co., Sub. Notes | 3.875% | 09/10/24 | 3,775 | 3,819,685 | ||||||||||||
Lloyds Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN | 5.800% | 01/13/20 | 1,870 | 2,039,198 | ||||||||||||
Manufacturers & Traders Trust Co., Sr. Unsec’d. Notes | 2.900% | 02/06/25 | 3,080 | 3,000,819 | ||||||||||||
Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, GMTN | 6.400% | 08/28/17 | 20 | 20,613 | ||||||||||||
Morgan Stanley, Jr. Sub. Notes(a) | 5.450% | (b) | 07/29/49 | 840 | 831,600 | |||||||||||
Morgan Stanley, Sr. Unsec’d. Notes | 5.750% | 01/25/21 | 1,400 | 1,553,406 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 3.750% | 02/25/23 | 940 | 965,515 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.450% | 01/09/17 | 1,345 | 1,345,662 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 5.500% | 07/28/21 | 1,290 | 1,429,497 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, GMTN | 6.625% | 04/01/18 | 105 | 111,040 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 5.625% | 09/23/19 | 1,415 | 1,533,803 | ||||||||||||
Morgan Stanley, Sr. Unsec’d. Notes, MTN | 6.375% | 07/24/42 | 780 | 1,002,430 | ||||||||||||
Morgan Stanley, Sub. Notes, GMTN | 4.350% | 09/08/26 | 3,825 | 3,919,661 | ||||||||||||
National City Corp., Sub. Notes | 6.875% | 05/15/19 | �� | 3,370 | 3,709,309 | |||||||||||
Nordea Bank AB (Sweden), Sr. Unsec’d. Notes, 144A, MTN | 1.875% | 09/17/18 | 2,110 | 2,108,960 | ||||||||||||
People’s United Bank, Sub. Notes | 4.000% | 07/15/24 | 465 | 458,049 | ||||||||||||
PNC Bank NA, Sr. Unsec’d. Notes | 1.950% | 03/04/19 | 515 | 515,543 | ||||||||||||
PNC Bank NA, Sub. Notes | 3.800% | 07/25/23 | 270 | 278,386 | ||||||||||||
Sumitomo Mitsui Banking Corp. (Japan), Gtd. Notes | 2.450% | 01/10/19 | 1,210 | 1,216,624 | ||||||||||||
US Bancorp, Sub. Notes, MTN | 2.950% | 07/15/22 | 1,120 | 1,126,638 | ||||||||||||
99,939,433 | ||||||||||||||||
Beverages — 0.1% |
| |||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.700% | 02/01/36 | 855 | 899,347 | ||||||||||||
Anheuser-Busch InBev Finance, Inc. (Belgium), Gtd. Notes | 4.900% | 02/01/46 | 225 | 243,196 | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.000% | 11/15/39 | 1,285 | 1,889,753 | ||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.200% | 01/15/39 | 250 | 375,973 | ||||||||||||
Constellation Brands, Inc., Gtd. Notes | 4.250% | 05/01/23 | 1,400 | 1,451,646 | ||||||||||||
4,859,915 | ||||||||||||||||
Biotechnology — 0.1% |
| |||||||||||||||
Amgen, Inc., Sr. Unsec’d. Notes, 144A | 4.663% | 06/15/51 | 1,834 | 1,762,672 | ||||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 3.500% | 02/01/25 | 1,460 | 1,476,146 | ||||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 4.150% | 03/01/47 | 40 | 37,992 | ||||||||||||
Gilead Sciences, Inc., Sr. Unsec’d. Notes | 5.650% | 12/01/41 | 145 | 167,596 | ||||||||||||
3,444,406 | ||||||||||||||||
Building Materials — 0.1% |
| |||||||||||||||
Owens Corning, Inc., Gtd. Notes | 4.200% | 12/15/22 | 775 | 804,865 | ||||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(c) | 5.375% | 11/15/24 | 1,400 | 1,438,500 | ||||||||||||
2,243,365 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A83
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Chemicals — 0.2% |
| |||||||||||||||
Agrium, Inc. (Canada), Sr. Unsec’d. Notes | 3.150% | 10/01/22 | 780 | $ | 775,467 | |||||||||||
Celanese US Holdings LLC, Gtd. Notes(a) | 5.875% | 06/15/21 | 1,500 | 1,665,767 | ||||||||||||
CF Industries, Inc., Gtd. Notes | 5.375% | 03/15/44 | 585 | 482,806 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 4.625% | 10/01/44 | 45 | 45,154 | ||||||||||||
Dow Chemical Co. (The), Sr. Unsec’d. Notes | 9.400% | 05/15/39 | 347 | 538,374 | ||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 4.625% | 02/26/55 | 1,185 | 1,101,154 | ||||||||||||
LyondellBasell Industries NV, Sr. Unsec’d. Notes | 5.000% | 04/15/19 | 1,000 | 1,056,652 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes(a) | 5.450% | 11/15/33 | 345 | 342,173 | ||||||||||||
Mosaic Co. (The), Sr. Unsec’d. Notes | 5.625% | 11/15/43 | 1,135 | 1,093,794 | ||||||||||||
Union Carbide Corp., Sr. Unsec’d. Notes | 7.500% | 06/01/25 | 460 | 553,789 | ||||||||||||
Westlake Chemical Corp., Gtd. Notes, 144A | 4.625% | 02/15/21 | 950 | 983,250 | ||||||||||||
8,638,380 | ||||||||||||||||
Commercial Services — 0.1% |
| |||||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(c) | 6.375% | 10/15/17 | 1,302 | 1,349,061 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(c) | 6.700% | 06/01/34 | 420 | 509,362 | ||||||||||||
ERAC USA Finance LLC, Gtd. Notes, 144A(c) | 7.000% | 10/15/37 | 380 | 481,481 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.875% | 09/15/26 | 485 | 498,944 | ||||||||||||
2,838,848 | ||||||||||||||||
Computers — 0.2% |
| |||||||||||||||
Apple, Inc., Sr. Unsec’d. Notes | 3.450% | 02/09/45 | 890 | 785,557 | ||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 3.480% | 06/01/19 | 1,085 | 1,107,575 | ||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 4.420% | 06/15/21 | 920 | 951,965 | ||||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.450% | (b) | 10/05/17 | 3,925 | 3,946,823 | |||||||||||
Hewlett Packard Enterprise Co., Sr. Unsec’d. Notes | 2.850% | (b) | 10/05/18 | 735 | 742,108 | |||||||||||
Seagate HDD Cayman, Gtd. Notes | 3.750% | 11/15/18 | 605 | 619,898 | ||||||||||||
�� | ||||||||||||||||
8,153,926 | ||||||||||||||||
Diversified Financial Services — 0.3% |
| |||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Netherlands), Gtd. Notes | 3.750% | 05/15/19 | 775 | 789,531 | ||||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 6.400% | 10/02/17 | 330 | 341,862 | ||||||||||||
Bear Stearns Cos. LLC, Sr. Unsec’d. Notes | 7.250% | 02/01/18 | 1,175 | 1,243,430 | ||||||||||||
Capital One Bank USA NA, Sub. Notes | 3.375% | 02/15/23 | 1,560 | 1,545,355 | ||||||||||||
Discover Financial Services, Sr. Unsec’d. Notes | 3.850% | 11/21/22 | 900 | 913,710 | ||||||||||||
GE Capital International Funding Co., Gtd. Notes | 2.342% | 11/15/20 | 766 | 765,635 | ||||||||||||
GE Capital International Funding Co., Gtd. Notes | 4.418% | 11/15/35 | 760 | 796,409 | ||||||||||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500% | 01/20/43 | 560 | 576,234 | ||||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes | 6.875% | (f) | 02/06/12 | 1,715 | 98,613 | |||||||||||
Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes | 6.875% | (f) | 05/02/18 | 700 | 41,370 | |||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.450% | 06/15/18 | 240 | 258,600 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 2.450% | 07/15/24 | 475 | 462,709 | ||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 3.250% | 06/15/25 | 1,155 | 1,193,084 | ||||||||||||
Synchrony Financial, Sr. Unsec’d. Notes | 2.700% | 02/03/20 | 2,700 | 2,691,994 | ||||||||||||
11,718,536 | ||||||||||||||||
Electric — 0.5% |
| |||||||||||||||
Baltimore Gas & Electric Co., Sr. Unsec’d. Notes | 6.350% | 10/01/36 | 550 | 698,221 | ||||||||||||
Berkshire Hathaway Energy Co., Sr. Unsec’d. Notes | 6.125% | 04/01/36 | 310 | 387,153 | ||||||||||||
Black Hills Corp., Sr. Unsec’d. Notes | 2.500% | 01/11/19 | 1,245 | 1,249,964 | ||||||||||||
CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. | 6.950% | 03/15/33 | 590 | 785,649 | ||||||||||||
Comision Federal De Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.750% | 02/23/27 | 480 | 460,800 | ||||||||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes | 5.500% | 12/01/39 | 220 | 259,041 | ||||||||||||
Dominion Resources, Inc., Jr. Sub. Notes | 4.104% | 04/01/21 | 3,210 | 3,343,754 | ||||||||||||
Duke Energy Carolinas LLC, First Mortgage | 6.050% | 04/15/38 | 550 | 693,742 | ||||||||||||
Duke Energy Carolinas LLC, First Ref. Mortgage | 4.000% | 09/30/42 | 570 | 566,066 |
SEE NOTES TO FINANCIAL STATEMENTS.
A84
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Electric (continued) | ||||||||||||||||
Dynegy, Inc., Gtd. Notes | 6.750% | 11/01/19 | 455 | $ | 462,963 | |||||||||||
Dynegy, Inc., Gtd. Notes | 7.375% | 11/01/22 | 345 | 329,475 | ||||||||||||
El Paso Electric Co., Sr. Unsec’d. Notes | 6.000% | 05/15/35 | 670 | 772,546 | ||||||||||||
Emera US Finance LP (Canada), Gtd. Notes, 144A | 3.550% | 06/15/26 | 990 | 973,200 | ||||||||||||
Eversource Energy, Sr. Unsec’d. Notes | 4.500% | 11/15/19 | 615 | 652,778 | ||||||||||||
Exelon Generation Co. LLC, Sr. Unsec’d. Notes | 6.250% | 10/01/39 | 1,425 | 1,434,784 | ||||||||||||
FirstEnergy Transmission LLC, Sr. Unsec’d. Notes, 144A | 5.450% | 07/15/44 | 355 | 376,856 | ||||||||||||
Florida Power & Light Co., First Mortgage | 5.950% | 10/01/33 | 295 | 367,883 | ||||||||||||
Iberdrola International BV (Spain), Gtd. Notes | 6.750% | 09/15/33 | 145 | 166,139 | ||||||||||||
Nevada Power Co., Gen. Ref. Mtge. | 6.500% | 05/15/18 | 1,260 | 1,343,965 | ||||||||||||
Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A | 4.881% | 08/15/19 | 610 | 650,962 | ||||||||||||
NRG Energy, Inc., Gtd. Notes, 144A | 7.250% | 05/15/26 | 895 | 890,525 | ||||||||||||
Public Service Co. of New Mexico, Sr. Unsec’d. Notes | 7.950% | 05/15/18 | 140 | 151,137 | ||||||||||||
Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN | 5.800% | 05/01/37 | 535 | 662,884 | ||||||||||||
Southern California Edison Co., First Mortgage | 3.600% | 02/01/45 | 860 | 813,474 | ||||||||||||
Xcel Energy, Inc., Sr. Unsec’d. Notes | 4.800% | 09/15/41 | 480 | 511,441 | ||||||||||||
19,005,402 | ||||||||||||||||
Entertainment |
| |||||||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 4.375% | 11/01/18 | 1,000 | 1,034,690 | ||||||||||||
Food — 0.1% |
| |||||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 3.000% | 06/01/26 | 1,630 | 1,530,304 | ||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 4.375% | 06/01/46 | 475 | 446,965 | ||||||||||||
Kraft Heinz Foods Co., Gtd. Notes | 5.000% | 07/15/35 | 815 | 855,016 | ||||||||||||
Lamb Weston Holdings, Inc., Gtd. Notes, 144A | 4.875% | 11/01/26 | 980 | 969,587 | ||||||||||||
Smithfield Foods, Inc., Sr. Unsec’d. Notes | 6.625% | 08/15/22 | 1,600 | 1,686,000 | ||||||||||||
5,487,872 | ||||||||||||||||
Forest & Paper Products — 0.1% |
| |||||||||||||||
Georgia-Pacific LLC, Gtd. Notes, 144A(c) | 5.400% | 11/01/20 | 290 | 318,820 | ||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 6.000% | 11/15/41 | 1,595 | 1,791,204 | ||||||||||||
International Paper Co., Sr. Unsec’d. Notes | 7.950% | 06/15/18 | 286 | 310,446 | ||||||||||||
2,420,470 | ||||||||||||||||
Gas |
| |||||||||||||||
Dominion Gas Holdings LLC, Sr. Unsec’d. Notes | 4.800% | 11/01/43 | 65 | 67,352 | ||||||||||||
NiSource Finance Corp., Gtd. Notes | 5.450% | 09/15/20 | 350 | 382,196 | ||||||||||||
449,548 | ||||||||||||||||
Healthcare-Products — 0.3% |
| |||||||||||||||
Becton Dickinson and Co., Sr. Unsec’d. Notes | 3.734% | 12/15/24 | 474 | 484,723 | ||||||||||||
Medtronic, Inc., Gtd. Notes | 3.500% | 03/15/25 | 3,205 | 3,300,233 | ||||||||||||
Medtronic, Inc., Gtd. Notes | 4.375% | 03/15/35 | 1,269 | 1,342,511 | ||||||||||||
St Jude Medical, Inc., Sr. Unsec’d. Notes | 2.000% | 09/15/18 | 4,910 | 4,916,928 | ||||||||||||
10,044,395 | ||||||||||||||||
Healthcare-Services — 0.4% |
| |||||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.625% | 06/15/36 | 515 | 655,176 | ||||||||||||
Aetna, Inc., Sr. Unsec’d. Notes | 6.750% | 12/15/37 | 1,380 | 1,793,463 | ||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.625% | 05/15/42 | 390 | 391,860 | ||||||||||||
Anthem, Inc., Sr. Unsec’d. Notes | 4.650% | 01/15/43 | 360 | 361,402 | ||||||||||||
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a) | 5.125% | 08/15/18 | 221 | 216,580 | ||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 5.875% | 03/15/41 | 650 | 747,170 | ||||||||||||
Cigna Corp., Sr. Unsec’d. Notes | 6.150% | 11/15/36 | 670 | 776,899 | ||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. (Germany), Gtd. Notes, 144A | 4.125% | 10/15/20 | 1,665 | 1,723,275 | ||||||||||||
HCA, Inc., Sr. Sec’d. Notes | 4.250% | 10/15/19 | 555 | 577,200 | ||||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.000% | 03/15/24 | 1,100 | 1,131,625 | ||||||||||||
HCA, Inc., Sr. Sec’d. Notes | 5.250% | 04/15/25 | 400 | 417,500 | ||||||||||||
Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes | 3.200% | 02/01/22 | 190 | 191,578 |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Healthcare-Services (continued) | ||||||||||||||||
New York & Presbyterian Hospital (The), Unsec’d. Notes | 4.024% | 08/01/45 | 445 | $ | 431,904 | |||||||||||
Roche Holdings, Inc. (Switzerland), Gtd. Notes, 144A | 2.875% | 09/29/21 | 5,305 | 5,396,151 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 3.950% | 10/15/42 | 720 | 701,179 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.000% | 06/15/17 | 195 | 199,016 | ||||||||||||
UnitedHealth Group, Inc., Sr. Unsec’d. Notes | 6.625% | 11/15/37 | 420 | 549,387 | ||||||||||||
16,261,365 | ||||||||||||||||
Home Builders | ||||||||||||||||
D.R. Horton, Inc., Gtd. Notes | 3.625% | 02/15/18 | 450 | 454,500 | ||||||||||||
Housewares — 0.1% | ||||||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 4.200% | 04/01/26 | 795 | 829,805 | ||||||||||||
Newell Rubbermaid, Inc., Sr. Unsec’d. Notes | 6.250% | 04/15/18 | 1,700 | 1,789,082 | ||||||||||||
2,618,887 | ||||||||||||||||
Insurance — 0.6% | ||||||||||||||||
Allied World Assurance Co. Holdings Ltd., Gtd. Notes | 5.500% | 11/15/20 | 525 | 566,332 | ||||||||||||
American International Group, Inc., Sr. Unsec’d. Notes | 4.500% | 07/16/44 | 1,980 | 1,952,428 | ||||||||||||
Axis Specialty Finance LLC, Gtd. Notes | 5.875% | 06/01/20 | 1,030 | 1,129,010 | ||||||||||||
Berkshire Hathaway, Inc., Sr. Unsec’d. Notes | 3.125% | 03/15/26 | 2,455 | 2,439,055 | ||||||||||||
Chubb Corp. (The), Gtd. Notes | 6.375% | (b) | 03/29/67 | 1,300 | 1,222,000 | |||||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 3.350% | 05/03/26 | 945 | 957,201 | ||||||||||||
Chubb INA Holdings, Inc., Gtd. Notes | 4.350% | 11/03/45 | 130 | 137,319 | ||||||||||||
Hartford Financial Services Group, Inc., Sr. Unsec��d. Notes | 5.125% | 04/15/22 | 755 | 837,435 | ||||||||||||
Liberty Mutual Group, Inc., Gtd. Notes, 144A | 6.500% | 05/01/42 | 365 | 432,756 | ||||||||||||
Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 03/15/34 | 850 | 1,009,251 | ||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 6.300% | 10/09/37 | 772 | 909,262 | ||||||||||||
Lincoln National Corp., Sr. Unsec’d. Notes | 8.750% | 07/01/19 | 186 | 214,008 | ||||||||||||
Markel Corp., Sr. Unsec’d. Notes | 5.000% | 03/30/43 | 200 | 202,851 | ||||||||||||
New York Life Global Funding, Sec’d. Notes, 144A | 1.950% | 02/11/20 | 3,030 | 3,008,108 | ||||||||||||
New York Life Insurance Co., Sub. Notes, 144A | 6.750% | 11/15/39 | 660 | 868,101 | ||||||||||||
Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A | 6.063% | 03/30/40 | 370 | 455,613 | ||||||||||||
Ohio National Financial Services, Inc., Sr. Unsec’d. Notes, 144A | 6.375% | 04/30/20 | 680 | 747,670 | ||||||||||||
Pacific Life Insurance Co., Sub. Notes, 144A | 9.250% | 06/15/39 | 910 | 1,344,183 | ||||||||||||
Principal Financial Group, Inc., Gtd. Notes | 4.625% | 09/15/42 | 130 | 134,642 | ||||||||||||
Progressive Corp. (The), Jr. Sub. Notes | 6.700% | (b) | 06/15/67 | 735 | 718,462 | |||||||||||
Progressive Corp. (The), Sr. Unsec’d. Notes | 3.700% | 01/26/45 | 710 | 662,636 | ||||||||||||
Teachers Insurance & Annuity Association of America, Sub. Notes, 144A | 6.850% | 12/16/39 | 1,450 | 1,881,700 | ||||||||||||
Travelers Cos., Inc. (The), Sr. Unsec’d. Notes | 4.300% | 08/25/45 | 885 | 916,733 | ||||||||||||
Unum Group, Sr. Unsec’d. Notes | 5.625% | 09/15/20 | 350 | 381,152 | ||||||||||||
W.R. Berkley Corp., Sr. Unsec’d. Notes | 6.150% | 08/15/19 | 460 | 501,082 | ||||||||||||
23,628,990 | ||||||||||||||||
Lodging — 0.1% | ||||||||||||||||
Choice Hotels International, Inc., Gtd. Notes | 5.750% | 07/01/22 | 450 | 480,375 | ||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.000% | 03/01/19 | 580 | 590,148 | ||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250% | 09/15/22 | 980 | 988,206 | ||||||||||||
Marriott International, Inc., Sr. Unsec’d. Notes | 6.750% | 05/15/18 | 2,800 | 2,984,842 | ||||||||||||
Wyndham Worldwide Corp., Sr. Unsec’d. Notes | 2.500% | 03/01/18 | 490 | 494,125 | ||||||||||||
5,537,696 | ||||||||||||||||
Machinery-Diversified — 0.1% | ||||||||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 1,255 | 1,319,319 | �� | |||||||||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875% | 10/01/21 | 1,260 | 1,360,260 | ||||||||||||
2,679,579 | ||||||||||||||||
Media — 0.4% | ||||||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.150% | 03/01/37 | 515 | 602,686 | ||||||||||||
21st Century Fox America, Inc., Gtd. Notes | 6.900% | 08/15/39 | 90 | 113,018 | ||||||||||||
AMC Networks, Inc., Gtd. Notes | 5.000% | 04/01/24 | 1,520 | 1,527,600 |
SEE NOTES TO FINANCIAL STATEMENTS.
A86
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Media (continued) | ||||||||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 1,000 | $ | 1,040,000 | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 5.375% | 05/01/25 | 880 | 906,400 | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.384% | 10/23/35 | 875 | 999,103 | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Sec’d. Notes | 6.484% | 10/23/45 | 1,386 | 1,602,326 | ||||||||||||
Comcast Cable Communications Holdings, Inc., Gtd. Notes | 9.455% | 11/15/22 | 255 | 345,143 | ||||||||||||
Comcast Corp., Gtd. Notes | 6.400% | 05/15/38 | 530 | 678,665 | ||||||||||||
Historic TW, Inc., Gtd. Notes | 9.150% | 02/01/23 | 505 | 647,636 | ||||||||||||
Myriad International Holdings BV (South Africa), Gtd. Notes, RegS | 6.375% | 07/28/17 | 1,300 | 1,325,688 | ||||||||||||
Time Warner Cable, Inc., Sr. Sec’d. Notes | 5.850% | 05/01/17 | 1,710 | 1,734,267 | ||||||||||||
Time Warner, Inc., Gtd. Notes | 3.800% | 02/15/27 | 385 | 382,814 | ||||||||||||
Time Warner, Inc., Gtd. Notes | 6.200% | 03/15/40 | 210 | 242,411 | ||||||||||||
Time Warner, Inc., Gtd. Notes | 6.250% | 03/29/41 | 1,465 | 1,709,334 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.875% | 06/15/43 | 200 | 173,383 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 4.500% | 02/27/42 | 50 | 41,449 | ||||||||||||
Viacom, Inc., Sr. Unsec’d. Notes | 5.250% | 04/01/44 | 450 | 409,383 | ||||||||||||
Videotron Ltd. (Canada), Gtd. Notes | 5.000% | 07/15/22 | 1,040 | 1,066,000 | ||||||||||||
15,547,306 | ||||||||||||||||
Mining — 0.1% | ||||||||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes, 144A(a) | 6.250% | (b) | 10/19/75 | 1,135 | 1,228,865 | |||||||||||
BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes | 5.000% | 09/30/43 | 920 | 1,027,603 | ||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 5.875% | 04/23/45 | 530 | 520,315 | ||||||||||||
Southern Copper Corp. (Peru), Sr. Unsec’d. Notes | 6.750% | 04/16/40 | 425 | 458,535 | ||||||||||||
3,235,318 | ||||||||||||||||
Miscellaneous Manufacturing — 0.1% | ||||||||||||||||
Actuant Corp., Gtd. Notes | 5.625% | 06/15/22 | 1,205 | 1,235,125 | ||||||||||||
General Electric Co., Sr. Unsec’d. Notes | 4.125% | 10/09/42 | 190 | 191,682 | ||||||||||||
General Electric Co., Sr. Unsec’d. Notes, GMTN | 6.000% | 08/07/19 | 264 | 291,684 | ||||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 1,300 | 1,317,875 | ||||||||||||
3,036,366 | ||||||||||||||||
Multi-National — 0.1% | ||||||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.000% | 05/10/19 | 1,410 | 1,400,811 | ||||||||||||
Corp. Andina de Fomento (Supranational Bank), Sr. Unsec’d. Notes | 2.125% | 09/27/21 | 1,260 | 1,219,894 | ||||||||||||
North American Development Bank (Supranational Bank), | 2.400% | 10/26/22 | 1,095 | 1,062,984 | ||||||||||||
North American Development Bank (Supranational Bank), | 4.375% | 02/11/20 | 1,000 | 1,063,945 | ||||||||||||
4,747,634 | ||||||||||||||||
Oil & Gas — 0.5% | ||||||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.600% | 03/15/46 | 225 | 277,506 | ||||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 4.677% | (g) | 10/10/36 | 2,000 | 808,624 | |||||||||||
Anadarko Petroleum Corp., Sr. Unsec’d. Notes | 6.450% | 09/15/36 | 1,155 | 1,374,642 | ||||||||||||
Apache Corp., Sr. Unsec’d. Notes | 5.100% | 09/01/40 | 325 | 340,009 | ||||||||||||
ConocoPhillips Co., Gtd. Notes | 4.950% | 03/15/26 | 2,250 | 2,484,004 | ||||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.600% | 07/15/41 | 300 | 308,999 | ||||||||||||
Devon Energy Corp., Sr. Unsec’d. Notes | 5.000% | 06/15/45 | 110 | 108,057 | ||||||||||||
Devon Financing Corp. LLC, Gtd. Notes | 7.875% | 09/30/31 | 1,700 | 2,157,035 | ||||||||||||
EOG Resources, Inc., Sr. Unsec’d. Notes | 3.900% | 04/01/35 | 1,020 | 965,972 | ||||||||||||
Helmerich & Payne International Drilling Co., Gtd. Notes | 4.650% | 03/15/25 | 1,995 | 2,061,378 | ||||||||||||
Hess Corp., Sr. Unsec’d. Notes | 4.300% | 04/01/27 | 1,055 | 1,050,170 | ||||||||||||
Nabors Industries, Inc., Gtd. Notes | 4.625% | 09/15/21 | 1,070 | 1,087,676 | ||||||||||||
Noble Energy, Inc., Sr. Unsec’d. Notes | 5.050% | 11/15/44 | 1,200 | 1,203,537 | ||||||||||||
Occidental Petroleum Corp., Sr. Unsec’d. Notes | 3.000% | 02/15/27 | 555 | 537,004 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 6.500% | 06/02/41 | 1,255 | 1,175,370 |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Oil & Gas (continued) | ||||||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes, 144A | 5.375% | 03/13/22 | 450 | $ | 460,791 | |||||||||||
Phillips 66, Gtd. Notes | 2.950% | 05/01/17 | 490 | 492,733 | ||||||||||||
Pioneer Natural Resources Co., Sr. Unsec’d. Notes | 6.875% | 05/01/18 | 1,500 | 1,592,448 | ||||||||||||
Reliance Holding USA, Inc. (India), Gtd. Notes, 144A | 5.400% | 02/14/22 | 550 | 594,606 | ||||||||||||
19,080,561 | ||||||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||||||
Cameron International Corp., Sr. Unsec’d. Notes | 4.500% | 06/01/21 | 2,200 | 2,274,505 | ||||||||||||
Schlumberger Holdings Corp., Sr. Unsec’d. Notes, 144A | 4.000% | 12/21/25 | 2,845 | 2,981,532 | ||||||||||||
5,256,037 | ||||||||||||||||
Packaging & Containers | ||||||||||||||||
Ball Corp., Gtd. Notes | 4.375% | 12/15/20 | 630 | 658,350 | ||||||||||||
WestRock RKT Co., Gtd. Notes | 4.900% | 03/01/22 | 800 | 868,430 | ||||||||||||
1,526,780 | ||||||||||||||||
Pharmaceuticals — 0.3% | ||||||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 3.600% | 05/14/25 | 1,175 | 1,163,823 | ||||||||||||
AbbVie, Inc., Sr. Unsec’d. Notes | 4.500% | 05/14/35 | 1,910 | 1,876,627 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 3.800% | 03/15/25 | 1,000 | 1,001,178 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.550% | 03/15/35 | 2,010 | 1,989,482 | ||||||||||||
Actavis Funding SCS, Gtd. Notes | 4.750% | 03/15/45 | 285 | 279,794 | ||||||||||||
Actavis, Inc., Gtd. Notes | 6.125% | 08/15/19 | 445 | 486,175 | ||||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes(a) | 2.750% | 02/10/25 | 420 | 412,382 | ||||||||||||
Merck & Co., Inc., Sr. Unsec’d. Notes | 3.700% | 02/10/45 | 1,380 | 1,315,888 | ||||||||||||
Novartis Capital Corp. (Switzerland), Gtd. Notes | 4.400% | 05/06/44 | 1,325 | 1,428,933 | ||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Netherlands), Gtd. Notes(a) | 3.150% | 10/01/26 | 610 | 562,376 | ||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Israel), Gtd. Notes(a) | 4.100% | 10/01/46 | 195 | 167,088 | ||||||||||||
Wyeth LLC, Gtd. Notes | 6.450% | 02/01/24 | 60 | 73,058 | ||||||||||||
Zoetis, Inc., Sr. Unsec’d. Notes | 4.700% | 02/01/43 | 120 | 116,805 | ||||||||||||
10,873,609 | ||||||||||||||||
Pipelines — 0.2% | ||||||||||||||||
DCP Midstream LLC, Sr. Unsec’d. Notes, 144A | 5.350% | 03/15/20 | 717 | 743,887 | ||||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes(a) | 4.650% | 06/01/21 | 675 | 700,831 | ||||||||||||
Energy Transfer Partners LP, Sr. Unsec’d. Notes | 4.900% | 03/15/35 | 250 | 233,633 | ||||||||||||
Enterprise Products Operating LLC, Gtd. Notes(a) | 3.950% | 02/15/27 | 1,080 | 1,106,344 | ||||||||||||
Enterprise Products Operating LLC, Gtd. Notes(a) | 3.700% | 02/15/26 | 690 | 692,502 | ||||||||||||
Enterprise Products Operating LLC, Gtd. Notes(a) | 3.750% | 02/15/25 | 1,345 | 1,366,603 | ||||||||||||
Kinder Morgan Energy Partners LP, Gtd. Notes | 5.950% | 02/15/18 | 510 | 531,992 | ||||||||||||
MPLX LP, Sr. Unsec’d. Notes | 4.000% | 02/15/25 | 1,430 | 1,389,967 | ||||||||||||
ONEOK Partners LP, Gtd. Notes | 6.650% | 10/01/36 | 145 | 164,490 | ||||||||||||
6,930,249 | ||||||||||||||||
Real Estate | ||||||||||||||||
ProLogis LP, Gtd. Notes | 6.875% | 03/15/20 | 72 | 80,766 | ||||||||||||
Real Estate Investment Trusts (REITs) | ||||||||||||||||
Select Income REIT, Sr. Unsec’d. Notes | 2.850% | 02/01/18 | 715 | 718,055 | ||||||||||||
Simon Property Group LP, Sr. Unsec’d. Notes | 3.375% | 03/15/22 | 230 | 237,789 | ||||||||||||
955,844 | ||||||||||||||||
Retail — 0.2% | ||||||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.125% | 07/20/45 | 820 | 913,847 | ||||||||||||
CVS Health Corp., Sr. Unsec’d. Notes | 5.300% | 12/05/43 | 225 | 254,944 | ||||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 3.000% | 04/01/26 | 730 | 728,599 | ||||||||||||
Home Depot, Inc. (The), Sr. Unsec’d. Notes | 4.400% | 03/15/45 | 755 | 804,601 | ||||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 1,450 | 1,547,875 | ||||||||||||
Lowe’s Cos., Inc., Sr. Unsec’d. Notes | 6.500% | 03/15/29 | 385 | 497,319 | ||||||||||||
Macy’s Retail Holdings, Inc., Gtd. Notes | 3.875% | 01/15/22 | 360 | 368,721 |
SEE NOTES TO FINANCIAL STATEMENTS.
A88
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Retail (continued) | ||||||||||||||||
McDonald’s Corp., Sr. Unsec’d. Notes, MTN | 3.700% | 01/30/26 | 2,620 | $ | 2,667,414 | |||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes | 5.625% | 12/01/25 | 1,375 | 1,430,000 | ||||||||||||
Target Corp., Sr. Unsec’d. Notes | 3.500% | 07/01/24 | 345 | 358,365 | ||||||||||||
9,571,685 | ||||||||||||||||
Savings & Loans | ||||||||||||||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650% | 12/06/22 | 1,455 | 1,463,180 | ||||||||||||
Semiconductors | ||||||||||||||||
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A | 5.750% | 03/15/23 | 1,500 | 1,582,500 | ||||||||||||
Software — 0.2% | ||||||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 2.850% | 10/15/18 | 1,650 | 1,678,699 | ||||||||||||
Fidelity National Information Services, Inc., Sr. Unsec’d. Notes | 3.625% | 10/15/20 | 2,210 | 2,287,942 | ||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes | 2.375% | 02/12/22 | 3,085 | 3,072,583 | ||||||||||||
Microsoft Corp., Sr. Unsec’d. Notes(a) | 3.125% | 11/03/25 | 1,380 | 1,395,413 | ||||||||||||
Oracle Corp., Sr. Unsec’d. Notes | 4.300% | 07/08/34 | 920 | 951,265 | ||||||||||||
9,385,902 | ||||||||||||||||
Telecommunications — 0.5% | ||||||||||||||||
AT&T Corp., Gtd. Notes | 8.250% | (b) | 11/15/31 | 4 | 5,561 | |||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 3.400% | 05/15/25 | 3,460 | 3,334,828 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 05/15/35 | 430 | 415,451 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.500% | 03/09/48 | 4 | 3,594 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.550% | 03/09/49 | 844 | 762,356 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.750% | 05/15/46 | 875 | 828,992 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 4.800% | 06/15/44 | 1,000 | 944,914 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.150% | 03/15/42 | 860 | 856,708 | ||||||||||||
AT&T, Inc., Sr. Unsec’d. Notes | 5.350% | 09/01/40 | 82 | 84,214 | ||||||||||||
British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes | 9.125% | (b) | 12/15/30 | 400 | 610,272 | |||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Sr. Sec’d. Notes, 144A | 3.360% | 03/20/23 | 2,000 | 2,003,740 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.522% | 09/15/48 | 2,025 | 1,941,797 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.672% | 03/15/55 | 2,056 | 1,930,810 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 4.862% | 08/21/46 | 1,256 | 1,272,697 | ||||||||||||
Verizon Communications, Inc., Sr. Unsec’d. Notes | 5.012% | 08/21/54 | 3,127 | 3,110,621 | ||||||||||||
18,106,555 | ||||||||||||||||
Transportation — 0.1% | ||||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes | 6.700% | 08/01/28 | 670 | 853,398 | ||||||||||||
CSX Corp., Sr. Unsec’d. Notes | 6.150% | 05/01/37 | 715 | 878,346 | ||||||||||||
Norfolk Southern Corp., Sr. Unsec’d. Notes | 5.590% | 05/17/25 | 100 | 114,387 | ||||||||||||
1,846,131 | ||||||||||||||||
TOTAL CORPORATE BONDS |
| 367,444,705 | ||||||||||||||
MUNICIPAL BONDS — 0.4% | ||||||||||||||||
Alabama | ||||||||||||||||
Alabama Economic Settlement Authority | 4.263% | 09/15/32 | 240 | 246,667 | ||||||||||||
California — 0.2% | ||||||||||||||||
Bay Area Toll Authority, Revenue Bonds, BABs | 6.263% | 04/01/49 | 1,325 | 1,800,039 | ||||||||||||
California Educational Facilities Authority | 5.000% | 06/01/46 | 750 | 960,480 | ||||||||||||
State of California, GO, BABs | 7.300% | 10/01/39 | 1,270 | 1,793,735 | ||||||||||||
State of California, GO, BABs | 7.500% | 04/01/34 | 475 | 668,164 | ||||||||||||
State of California, GO, BABs | 7.550% | 04/01/39 | 245 | 363,827 | ||||||||||||
State of California, GO, BABs | 7.625% | 03/01/40 | 215 | 315,904 | ||||||||||||
5,902,149 | ||||||||||||||||
Colorado | ||||||||||||||||
Regional Transportation District, Revenue Bonds, Series 2010-B, BABs | 5.844% | 11/01/50 | 680 | 881,396 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A89
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
MUNICIPAL BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Illinois | ||||||||||||||||
Chicago O’Hare International Airport, Revenue Bonds, BABs | 6.395% | 01/01/40 | 1,030 | $ | 1,344,407 | |||||||||||
New Jersey — 0.1% | ||||||||||||||||
New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs | 7.414% | 01/01/40 | 1,070 | 1,541,367 | ||||||||||||
New York — 0.1% | ||||||||||||||||
New York City Transitional Finance Authority, Revenue Bonds, BABs | 5.767% | 08/01/36 | 1,130 | 1,398,013 | ||||||||||||
Ohio | ||||||||||||||||
Ohio State University (The), Revenue Bonds, BABs | 4.910% | 06/01/40 | 455 | 520,566 | ||||||||||||
Ohio State Water Development Authority, Revenue Bonds, BABs | 4.879% | 12/01/34 | 300 | 337,611 | ||||||||||||
858,177 | ||||||||||||||||
Oregon | ||||||||||||||||
Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs | 5.834% | 11/15/34 | 445 | 560,304 | ||||||||||||
Pennsylvania | ||||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs | 5.511% | 12/01/45 | 550 | 660,688 | ||||||||||||
Tennessee | ||||||||||||||||
Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs | 6.731% | 07/01/43 | 1,000 | 1,293,290 | ||||||||||||
Washington | ||||||||||||||||
Central Puget Sound Regional Transit Authority | 5.000% | 11/01/46 | 950 | 1,206,291 | ||||||||||||
TOTAL MUNICIPAL BONDS |
| 15,892,749 | ||||||||||||||
NON-CORPORATE FOREIGN AGENCIES — 0.5% | ||||||||||||||||
Bank Nederlandse Gemeenten NV (Netherlands), Sr. Unsec’d. Notes, 144A | 2.625% | 04/28/21 | 2,570 | 2,609,121 | ||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 800 | 811,352 | ||||||||||||
Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A | 4.875% | 01/15/24 | 645 | 640,969 | ||||||||||||
Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes | 5.125% | 06/29/20 | 400 | 432,960 | ||||||||||||
Finnvera OYJ (Finland), Gov’t. Gtd. Notes, 144A, MTN | 2.375% | 06/04/25 | 400 | 382,736 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 4.950% | 07/19/22 | 350 | 360,139 | ||||||||||||
Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.510% | 03/07/22 | 580 | 639,810 | ||||||||||||
Japan Bank for International Cooperation (Japan), Gov’t. Gtd. Notes | 1.500% | 07/21/21 | 600 | 575,267 | ||||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.125% | 04/13/21 | 800 | 782,486 | ||||||||||||
Japan Finance Organization for Municipalities (Japan), Sr. Unsec’d. Notes, 144A, MTN | 2.125% | 10/25/23 | 1,400 | 1,331,798 | ||||||||||||
Kommunalbanken AS (Norway), Sr. Unsec’d. Notes, 144A | 1.125% | 05/23/18 | 3,158 | 3,145,551 | ||||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 8.625% | (b) | 12/01/23 | 350 | 379,750 | |||||||||||
Petroleos Mexicanos (Mexico), Gtd. Notes | 5.500% | 01/21/21 | 1,110 | 1,141,912 | ||||||||||||
Russian Agricultural Bank OJSC via RSHB Capital SA (Russia), Sr. Unsec’d. Notes, 144A | 6.299% | 05/15/17 | 1,030 | 1,042,376 | ||||||||||||
Sinopec Group Overseas Development 2014 Ltd. (China), Gtd. Notes, 144A | 1.750% | 04/10/17 | 1,620 | 1,619,469 | ||||||||||||
Sinopec Group Overseas Development 2015 Ltd. (China), Gtd. Notes, 144A | 2.500% | 04/28/20 | 1,250 | 1,241,714 | ||||||||||||
State Grid Overseas Investment 2014 Ltd. (China), Gtd. Notes, 144A | 2.750% | 05/07/19 | 665 | 673,667 | ||||||||||||
Svensk Exportkredit AB (Sweden), Sr. Unsec’d. Notes, GMTN | 1.750% | 03/10/21 | 3,100 | 3,042,238 | ||||||||||||
TOTAL NON-CORPORATE FOREIGN AGENCIES |
| 20,853,315 | ||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 1.7% | ||||||||||||||||
Alternative Loan Trust, Series 2004-18CB, Class 3A1 | 5.250% | 09/25/19 | 129 | 129,050 | ||||||||||||
Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 | 6.000% | 01/25/36 | 1,231 | 1,046,413 | ||||||||||||
Banc of America Funding Trust, Series 2015-R4, Class 4A1, 144A | 3.500% | (b) | 07/26/36 | 1,755 | 1,755,711 | |||||||||||
Bank of America Mortgage Trust, Series 2005-A, Class 2A1 | 2.961% | (b) | 02/25/35 | 638 | 636,412 | |||||||||||
Bank of America Mortgage Trust, Series 2005-B, Class 2A1 | 3.063% | (b) | 03/25/35 | 221 | 199,507 | |||||||||||
Bayview Opportunity Master Fund Trust, Series 2016-CRT1, Class M1, 144A | 2.511% | (b) | 10/27/27 | 697 | 695,887 |
SEE NOTES TO FINANCIAL STATEMENTS.
A90
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1A5 | 3.167% | (b) | 02/25/37 | 518 | $ | 496,551 | ||||||||
Credit Suisse Mortgage Trust, Series 2016-12R, Class 1A1, 144A(d) | 3.239% | 02/28/47 | 3,820 | 3,820,000 | ||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2014-CO4, Class 1M1(h) | 2.706% | (b) | 11/25/24 | 779 | 780,527 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2015-C02, Class 1M1(h) | 1.906% | (b) | 05/25/25 | 302 | 302,214 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C02, Class 1M1(h) | 2.906% | (b) | 09/25/28 | 1,402 | 1,416,305 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C03, Class 2M1(h) | 2.956% | (b) | 10/25/28 | 1,854 | 1,873,174 | |||||||||
Fannie Mae Connecticut Avenue Securities, Series 2016-C04, Class 1M1(h) | 2.206% | (b) | 01/25/29 | 1,718 | 1,728,904 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1(h) | 1.656% | (b) | 10/25/27 | 5,241 | 5,244,556 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1(h) | 2.106% | (b) | 04/25/28 | 382 | 381,990 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1(h) | 2.206% | (b) | 07/25/28 | 2,589 | 2,598,463 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M2(h) | 2.756% | (b) | 12/25/28 | 1,725 | 1,741,057 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-DNA4 M2(h) | 2.056% | (b) | 03/25/29 | 1,430 | 1,427,281 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA2, Class M2(h) | 3.006% | (b) | 11/25/28 | 1,600 | 1,632,860 | |||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M2(h) | 2.056% | (b) | 04/25/29 | 2,050 | 2,035,255 | |||||||||
JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 | 3.182% | (b) | 07/25/35 | 279 | 278,611 | |||||||||
LSTAR Securities Investment Trust, Series 2015-3, Class A, 144A | 2.617% | (b) | 03/01/20 | 2,695 | 2,691,795 | |||||||||
LSTAR Securities Investment Trust, Series 2015-4, Class A1, 144A(d) | 2.617% | (b) | 04/01/20 | 619 | 618,102 | |||||||||
LSTAR Securities Investment Trust, Series 2015-6, Class A, 144A(d) | 2.771% | (b) | 05/01/20 | 4,876 | 4,808,629 | |||||||||
LSTAR Securities Investment Trust, Series 2015-7, Class A, 144A(d) | 2.771% | (b) | 07/01/20 | 1,557 | 1,547,018 | |||||||||
LSTAR Securities Investment Trust, Series 2015-8, Class A1, 144A | 2.771% | (b) | 08/01/20 | 1,577 | 1,574,912 | |||||||||
LSTAR Securities Investment Trust, Series 2015-9, Class A1, 144A(d) | 2.771% | (b) | 10/01/20 | 1,748 | 1,741,287 | |||||||||
LSTAR Securities Investment Trust, Series 2015-10, Class A1, 144A(d) | 2.771% | (b) | 11/01/20 | 584 | 579,580 | |||||||||
LSTAR Securities Investment Trust, Series 2016-1, Class A1, 144A | 2.771% | (b) | 01/01/21 | 2,375 | 2,334,163 | |||||||||
LSTAR Securities Investment Ltd., Series 2016-3, Class A, 144A(d) | 2.771% | (b) | 09/01/21 | 2,321 | 2,292,335 | |||||||||
LSTAR Securities Investment Ltd. (Cayman Islands), Series 2016-6, Class A, 144A | 2.630% | (b) | 11/01/21 | 1,687 | 1,663,009 | |||||||||
MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 | 5.000% | 04/25/19 | 32 | 32,464 | ||||||||||
Mortgage Repurchase Agreement Financing Trust 2016-3, 3, Class A1, 144A(d) | 1.664% | (b) | 11/10/18 | 2,390 | 2,390,000 | |||||||||
Mortgage Repurchase Agreement Financing Trust 2016-4, 4, Class A1, 144A(d) | 1.737% | (b) | 05/10/19 | 9,990 | 9,968,292 | |||||||||
Mortgage Repurchase Agreement Financing Trust 2016-5, 5, Class A, 144A(d) | 1.872% | (b) | 06/10/19 | 1,700 | 1,700,000 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 3.093% | (b) | 02/25/34 | 261 | 261,139 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A | 5.000% | 03/25/20 | 58 | 58,093 | ||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 64,481,546 | ||||||||||||
SOVEREIGN BONDS — 0.5% | ||||||||||||||
Belgium Government International Bond (Belgium), Sr. Unsec’d. Notes, 144A, RegS, EMTN | 1.125% | 08/03/19 | 1,600 | 1,575,021 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.000% | 02/26/24 | 175 | 176,750 | ||||||||||
Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes | 4.375% | 07/12/21 | 500 | 523,750 | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 4.000% | 03/25/19 | 580 | 600,300 |
SEE NOTES TO FINANCIAL STATEMENTS.
A91
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
SOVEREIGN BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 6.375% | 03/29/21 | 2,280 | $ | 2,553,053 | |||||||||
Hungary Government International Bond (Hungary), Sr. Unsec’d. Notes | 7.625% | 03/29/41 | 880 | 1,229,580 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, | 4.875% | 05/05/21 | 1,120 | 1,185,644 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A | 5.875% | 03/13/20 | 1,135 | 1,238,731 | ||||||||||
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A, MTN | 5.875% | 01/15/24 | 950 | 1,048,139 | ||||||||||
Indonesia Government International Bond (Indonesia), Series 20470108, Sr. Unsec’d. Notes, 144A | 5.250% | 01/08/47 | 570 | 568,360 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes | 4.000% | 10/02/23 | 566 | 567,358 | ||||||||||
Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN | 4.750% | 03/08/44 | 1,006 | 914,756 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 3.750% | 03/16/25 | 600 | 595,500 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 4.000% | 09/22/24 | 515 | 524,012 | ||||||||||
Panama Government International Bond (Panama), Sr. Unsec’d. Notes | 5.200% | 01/30/20 | 620 | 665,880 | ||||||||||
Province Of Alberta Canada (Canada), Sr. Unsec’d. Notes | 1.900% | 12/06/19 | 1,000 | 1,001,531 | ||||||||||
Province of Manitoba (Canada), Sr. Unsec’d. Notes | 2.125% | 06/22/26 | 200 | 186,570 | ||||||||||
Republic Of Indonesia | 4.750% | 01/08/26 | 700 | 722,599 | ||||||||||
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, RegS, EMTN | 6.125% | 01/22/44 | 400 | 466,900 | ||||||||||
Saudi Government International Bond (Saudi Arabia), Sr. Unsec’d. Notes, 144A, MTN | 2.375% | 10/26/21 | 1,325 | 1,286,490 | ||||||||||
Turkey Government International Bond (Turkey), Sr. Unsec’d. Notes | 7.000% | 06/05/20 | 1,710 | 1,836,065 | ||||||||||
TOTAL SOVEREIGN BONDS |
| 19,466,989 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.7% | ||||||||||||||
Federal Home Loan Banks(i) | 5.500% | 07/15/36 | 1,080 | 1,416,672 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | TBA | 1,000 | 1,026,099 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/45 | 1,352 | 1,347,410 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/45 | 5,524 | 5,496,087 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/41 | 799 | 839,389 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 01/01/42 | 251 | 263,910 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 07/01/43 | 2,847 | 2,841,618 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 01/20/30 | 7,500 | 7,513,477 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 804 | 806,911 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.665% | (b) | 12/01/35 | 275 | 290,003 | |||||||||
Federal Home Loan Mortgage Corp. | 2.875% | (b) | 06/01/36 | 418 | 441,733 | |||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 10/01/28 | 700 | 719,846 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29 | 1,664 | 1,711,071 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 01/01/43 | 1,451 | 1,450,000 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 12/01/25 | 686 | 719,624 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26 | 1,247 | 1,308,358 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 06/01/42 | 530 | 545,465 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 21,000 | 21,502,801 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26 | 1,077 | 1,133,545 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 09/01/26 | 574 | 603,536 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/39 | 1,192 | 1,258,045 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 12/01/40 | 626 | 661,004 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 11,000 | 11,553,652 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/45 | 1,633 | 1,715,533 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 02/01/19 | 4 | 4,502 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/19 | 158 | 162,478 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/20 | 95 | 98,252 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 488 | 526,602 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 10/01/39 | 2,830 | 3,046,440 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 12/01/39 | 880 | 947,035 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/41 | 341 | 367,922 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 07/01/41 | 2,567 | 2,771,858 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 844 | 906,455 |
SEE NOTES TO FINANCIAL STATEMENTS.
A92
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 255 | $ | 274,208 | |||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 08/01/41 | 184 | 197,308 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 10/01/41 | 674 | 727,706 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/18 | 82 | 83,570 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 12/01/18 | 44 | 44,815 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 66 | 68,307 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/19 | 130 | 134,041 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 12/01/19 | 24 | 24,884 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 40 | 44,340 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 401 | 439,124 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 08/01/35 | 44 | 47,822 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 09/01/35 | 63 | 68,603 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 10/01/36 | 65 | 70,569 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/37 | 43 | 47,277 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 07/01/37 | 871 | 951,816 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 09/01/38 | 120 | 130,602 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 09/01/38 | 101 | 109,572 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 09/01/38 | 105 | 114,234 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 02/01/39 | 41 | 44,722 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 06/01/39 | 108 | 117,532 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 02/01/34 | 38 | 42,405 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 04/01/34 | 347 | 385,876 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 06/01/34 | 218 | 245,022 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 06/01/34 | 236 | 265,609 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37 | 97 | 107,987 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 02/01/38 | 783 | 873,204 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/38 | 137 | 153,105 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 07/01/38 | 670 | 744,961 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 03/01/32 | 336 | 386,900 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 12/01/33 | 110 | 123,832 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 07/01/36 | 7 | 7,613 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 12/01/36 | 16 | 18,345 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 05/01/37 | 25 | 28,585 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 12/01/37 | 66 | 74,607 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/38 | 15 | 17,254 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/38 | 533 | 603,506 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/38 | 27 | 30,987 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 10/01/38 | 115 | 131,823 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 08/01/39 | 78 | 89,313 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.750% | 03/15/31 | 700 | 986,572 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 01/01/31 | 37 | 41,816 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 06/01/31 | 34 | 38,128 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 09/01/31 | 5 | 6,261 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/31 | 70 | 78,346 | ||||||||||
Federal Home Loan Mortgage Corp. | 7.000% | 10/01/32 | 34 | 35,911 | ||||||||||
Federal National Mortgage Assoc. | 2.000% | 08/01/31 | 1,966 | 1,916,397 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/30 | 1,721 | 1,767,998 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/31 | 5,125 | 5,264,163 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 05/01/31 | 3,379 | 3,470,895 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 04/01/43 | 9,600 | 9,597,488 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 07/01/43 | 4,452 | 4,450,804 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 04/01/43 | 860 | 886,798 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 04/01/43 | 2,173 | 2,238,972 | ||||||||||
Federal National Mortgage Assoc. | 1.875% | 09/24/26 | 300 | 275,618 | ||||||||||
Federal National Mortgage Assoc. | 2.432% | (b) | 07/01/33 | 258 | 270,438 | |||||||||
Federal National Mortgage Assoc. | 2.500% | 01/01/28 | 1,846 | 1,851,199 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 10/01/43 | 1,313 | 1,256,027 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 2,500 | 2,378,376 | ||||||||||
Federal National Mortgage Assoc. | 2.560% | (b) | 06/01/37 | 138 | 138,399 |
SEE NOTES TO FINANCIAL STATEMENTS.
A93
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/27 | 3,133 | $ | 3,222,836 | |||||||||
Federal National Mortgage Assoc. | 3.000% | 11/01/36 | 3,970 | 4,021,632 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 12/01/42 | 1,757 | 1,756,411 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 12/01/42 | 2,948 | 2,947,240 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/43 | 5,744 | 5,742,111 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/27 | 2,379 | 2,483,983 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/39 | 989 | 1,015,589 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 01/01/42 | 9,482 | 9,778,385 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 05/01/42 | 4,699 | 4,846,797 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/42 | 1,329 | 1,370,954 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/42 | 1,229 | 1,267,377 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 08/01/42 | 1,489 | 1,535,690 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 08/01/42 | 485 | 499,936 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 09/01/42 | 1,230 | 1,267,489 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 09/01/42 | 2,281 | 2,351,774 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 11/01/42 | 903 | 931,229 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 03/01/43 | 4,816 | 4,964,783 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 07/01/43 | 423 | 436,528 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 34,500 | 36,270,147 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 10/01/41 | 4,410 | 4,657,232 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 4,909 | 5,162,203 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 11/01/18 | 88 | 90,025 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/19 | 105 | 108,229 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/19 | 31 | 32,195 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 02/01/19 | 63 | 64,956 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 05/01/19 | 51 | 52,724 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/33 | 90 | 97,126 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 08/01/33 | 25 | 27,318 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 09/01/33 | 76 | 81,688 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 10/01/33 | 215 | 232,321 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 03/01/34 | 61 | 65,686 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 01/01/35 | 4 | 4,397 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | TBA | 5,500 | 5,915,722 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/39 | 1,379 | 1,492,488 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 08/01/39 | 1,096 | 1,188,584 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 09/01/39 | 827 | 890,735 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 12/01/39 | 9 | 9,487 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 03/01/41 | 2,664 | 2,885,995 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 07/01/42 | 228 | 246,011 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 10/01/18 | 31 | 31,904 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 01/01/19 | 72 | 74,068 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 03/01/34 | 411 | 448,189 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 01/01/35 | 7,000 | 7,625,625 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 04/01/35 | 986 | 1,082,325 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 06/01/35 | 244 | 267,744 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/35 | 256 | 279,558 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/35 | 176 | 191,940 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 09/01/35 | 154 | 169,513 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 11/01/35 | 151 | 165,826 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 02/01/36 | 141 | 154,421 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/17 | 22 | 22,287 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/18 | 11 | 11,597 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/20 | 49 | 50,922 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/21 | 169 | 178,334 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/33 | 278 | 311,180 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 08/01/33 | 312 | 354,169 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/33 | 80 | 89,473 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/33 | 84 | 94,689 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 12/01/34 | 271 | 304,189 |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/35 | 1,138 | $ | 1,276,134 | |||||||||
Federal National Mortgage Assoc. | 5.500% | 03/01/36 | 161 | 178,357 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/36 | 196 | 219,871 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 01/01/37 | 122 | 136,086 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/37 | 69 | 77,328 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 05/01/37 | 407 | 457,719 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 08/01/37 | 485 | 544,598 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 09/01/17 | 3 | 2,570 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/21 | 145 | 155,272 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/33 | 472 | 547,707 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 48 | 54,758 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/33 | 51 | 58,530 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/33 | 21 | 23,865 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/34 | 432 | 493,637 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/34 | 183 | 210,443 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 4 | 4,041 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 82 | 94,102 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 03/01/34 | 34 | 37,950 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 88 | 99,411 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 245 | 281,643 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 98 | 113,419 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 5 | 5,497 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 326 | 376,383 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/35 | 249 | 282,418 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 04/01/35 | 31 | 35,461 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/35 | 317 | 359,280 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/36 | 72 | 82,010 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/36 | 37 | 41,732 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/37 | 133 | 151,073 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 06/01/37 | 89 | 101,320 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/38 | 366 | 415,162 | ||||||||||
Federal National Mortgage Assoc.(i)(j) | 6.250% | 05/15/29 | 1,935 | 2,564,864 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/17 | 1 | 1,012 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/17 | 8 | 7,589 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 61 | 69,139 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 15 | 17,081 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 10 | 11,556 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 52 | 58,582 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/32 | 8 | 8,579 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/32 | 73 | 82,680 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 04/01/33 | 106 | 123,415 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/33 | 98 | 111,142 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/34 | 82 | 92,248 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/34 | 81 | 91,895 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/34 | 145 | 163,906 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/36 | 229 | 259,030 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/36 | 78 | 89,451 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 11/01/36 | 81 | 91,495 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/37 | 43 | 48,325 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 01/01/37 | 121 | 137,158 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 09/01/37 | 33 | 37,748 | ||||||||||
Federal National Mortgage Assoc.(j) | 6.625% | 11/15/30 | 630 | 876,384 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 02/01/32 | 41 | 46,667 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 03/01/32 | 2 | 2,098 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 05/01/32 | 23 | 26,922 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 06/01/32 | 18 | 20,417 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 07/01/32 | 75 | 84,620 | ||||||||||
Federal National Mortgage Assoc.(i)(j) | 7.125% | 01/15/30 | 4,210 | 6,007,527 | ||||||||||
Federal National Mortgage Assoc. | 7.500% | 05/01/32 | 18 | 18,141 |
SEE NOTES TO FINANCIAL STATEMENTS.
A95
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 20,500 | $ | 20,756,650 | |||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 2,053 | 2,077,714 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 13,500 | 14,033,408 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 05/20/43 | 651 | 679,592 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 03/20/45 | 3,188 | 3,317,160 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 04/20/45 | 4,523 | 4,706,374 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40 | 315 | 335,792 | ||||||||||
Government National Mortgage Assoc. | 4.000% | TBA | 4,000 | 4,247,890 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 05/20/41 | 541 | 577,901 | ||||||||||
Government National Mortgage Assoc. | 4.500% | TBA | 2,000 | 2,162,734 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 04/15/40 | 1,474 | 1,599,383 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 01/20/41 | 2,344 | 2,528,442 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41 | 1,527 | 1,644,501 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 10/20/37 | 253 | 279,601 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 04/20/45 | 1,647 | 1,772,179 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 11/15/32 | 121 | 137,002 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 02/15/33 | 104 | 117,208 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33 | 181 | 201,729 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 08/15/33 | 175 | 198,590 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 09/15/33 | 112 | 124,415 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 09/15/33 | 86 | 95,543 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 10/15/33 | 141 | 161,451 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 12/15/33 | 28 | 32,044 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 02/15/34 | 48 | 53,142 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 04/15/34 | 528 | 602,117 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 07/15/35 | 124 | 139,515 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 02/15/36 | 165 | 187,404 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 02/15/33 | 4 | 4,635 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 04/15/33 | 25 | 28,764 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 09/15/33 | 34 | 38,936 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/33 | 159 | 181,565 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 12/15/33 | 53 | 61,619 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 30 | 35,176 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 01/15/34 | 53 | 63,149 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 06/20/34 | 115 | 133,937 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 07/15/34 | 249 | 285,126 | ||||||||||
Government National Mortgage Assoc. | 6.000% | 10/15/34 | 218 | 250,850 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/23 | 2 | 1,752 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 12/15/23 | 7 | 8,490 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 29 | 33,522 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 84 | 95,676 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 8 | 9,385 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 30 | 34,402 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 2 | 2,633 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 3 | 3,508 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 2 | 2,823 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/24 | 7 | 7,920 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 7 | 7,619 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 33 | 37,870 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 40 | 46,168 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 32 | 36,444 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 6 | 6,649 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 6 | 6,428 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 1 | 964 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 1 | 772 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 19 | 21,375 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 27 | 30,320 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/24 | 8 | 9,035 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 03/15/24 | 11 | 12,946 |
SEE NOTES TO FINANCIAL STATEMENTS.
A96
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 3 | $ | 3,815 | |||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 8 | 9,562 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 13 | 14,737 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 1 | 1,655 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 7 | 7,704 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 22 | 24,945 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 3 | 3,939 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 04/15/24 | 4 | 4,261 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | — | (k) | 566 | |||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 21 | 23,919 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 05/15/24 | 23 | 26,004 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 10/15/24 | 36 | 40,539 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 12/15/30 | 12 | 13,821 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 01/15/32 | 27 | 30,746 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 02/15/32 | 26 | 29,606 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32 | 56 | 63,725 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 9 | 10,263 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 12 | 13,268 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 45 | 51,893 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 303 | 349,222 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 06/15/35 | 60 | 69,614 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 06/15/35 | 6 | 6,535 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/35 | 8 | 8,797 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 01/15/24 | 13 | 13,035 | ||||||||||
Government National Mortgage Assoc. | 8.000% | 04/15/25 | 11 | 12,609 | ||||||||||
Hashemite Kingdom of Jordan Government USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 3,948 | 4,016,036 | ||||||||||
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 12/04/23 | 250 | 297,409 | ||||||||||
Israel Government USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 04/26/24 | 1,090 | 1,306,636 | ||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.804% | (g) | 01/15/30 | 950 | 620,958 | |||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.967% | (g) | 04/15/30 | 2,100 | 1,360,002 | |||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 1,310 | 1,866,145 | ||||||||||
Tunisia Government AID Bonds, U.S. Gov’t. Gtd. Notes | 1.416% | 08/05/21 | 1,000 | 966,642 | ||||||||||
Ukraine Government AID Bonds, U.S. Gov’t. Gtd. Notes | 1.471% | 09/29/21 | 1,200 | 1,171,493 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 337,721,379 | ||||||||||||
U.S. TREASURY OBLIGATIONS — 2.2% | ||||||||||||||
U.S. Treasury Bonds | 2.250% | 08/15/46 | 720 | 605,390 | ||||||||||
U.S. Treasury Bonds | 2.875% | 11/15/46 | 1,520 | 1,467,513 | ||||||||||
U.S. Treasury Inflation Indexed Bonds, TIPS | 2.375% | 01/15/25 | 22,672 | 26,031,864 | ||||||||||
U.S. Treasury Notes | 1.375% | 12/15/19 | 145 | 144,655 | ||||||||||
U.S. Treasury Notes | 1.625% | 04/30/23 | 3,955 | 3,825,229 | ||||||||||
U.S. Treasury Notes(a) | 1.750% | 11/30/21 | 8,915 | 8,848,485 | ||||||||||
U.S. Treasury Notes(a) | 2.000% | 11/15/26 | 2,081 | 2,002,230 | ||||||||||
U.S. Treasury Notes(a) | 2.125% | 11/30/23 | 9,380 | 9,317,707 | ||||||||||
U.S. Treasury Notes | 2.125% | 05/15/25 | 12,560 | 12,312,719 | ||||||||||
U.S. Treasury Notes | 2.250% | 12/31/23 | 3,390 | 3,391,590 | ||||||||||
U.S. Treasury Strips Coupon | 2.184% | (g) | 02/15/28 | 5,465 | 4,042,881 | |||||||||
U.S. Treasury Strips Coupon(i) | 2.241% | (g) | 05/15/28 | 2,735 | 2,003,349 | |||||||||
U.S. Treasury Strips Coupon | 2.280% | (g) | 02/15/29 | 2,735 | 1,953,983 | |||||||||
U.S. Treasury Strips Coupon | 2.384% | (g) | 05/15/29 | 5,640 | 4,001,563 | |||||||||
U.S. Treasury Strips Coupon | 2.783% | (g) | 08/15/29 | 1,400 | 985,139 | |||||||||
U.S. Treasury Strips Coupon | 2.878% | (g) | 05/15/31 | 1,400 | 927,686 | |||||||||
U.S. Treasury Strips Coupon | 3.042% | (g) | 11/15/35 | 2,800 | 1,585,884 | |||||||||
U.S. Treasury Strips Coupon | 3.202% | (g) | 08/15/40 | 2,800 | 1,322,689 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 84,770,556 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,652,607,264 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A97
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
SHORT-TERM INVESTMENTS — 12.3% | ||||||||||||||||
AFFILIATED MUTUAL FUNDS — 12.2% | Shares | Value (Note 2) | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(l) |
| 14,048,305 | $ | 130,227,786 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(l) |
| 232,009,632 | 232,009,632 | |||||||||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund |
| 113,089,176 | 113,111,794 | |||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 475,349,212 | ||||||||||||||
Interest Rate | Maturity Date | Principal Amount (000)# | ||||||||||||||
U.S. TREASURY OBLIGATION — 0.1% | ||||||||||||||||
U.S. Treasury Bills | 0.448% | (e) | 03/16/17 | 4,150 | 4,145,850 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 479,495,062 | ||||||||||||||
TOTAL INVESTMENTS — 106.2% |
| 4,132,102,326 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (6.2)% |
| (242,269,102 | ) | |||||||||||||
NET ASSETS — 100.0% |
| $ | 3,889,833,224 | |||||||||||||
See Glossary for abbreviations used in the annual report.
# | Principal amount is shown in U.S. dollars unless otherwise stated. |
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $110,460,076; cash collateral of $113,030,605 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2016. |
(c) | Indicates a security or securities that have been deemed illiquid (unaudited). |
(d) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $29,465,243 and 0.8% of net assets. |
(e) | Rate quoted represents yield-to-maturity as of purchase date. |
(f) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
(g) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
(h) | Represents CAS issued by Fannie Mae or STACR security issued by Freddie Mac. |
(i) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(j) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
(k) | Principal amount is less than $500 par. |
(l) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(m) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(n) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
SEE NOTES TO FINANCIAL STATEMENTS.
A98
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Futures contracts outstanding at December 31, 2016:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Long Positions: | ||||||||||||||||||||||
972 | 2 Year U.S. Treasury Notes | Mar. 2017 | $ | 210,591,224 | $ | 210,620,250 | $ | 29,026 | ||||||||||||||
1,366 | 5 Year U.S. Treasury Notes | Mar. 2017 | 161,126,649 | 160,729,109 | (397,540 | ) | ||||||||||||||||
375 | 10 Year U.S. Treasury Notes | Mar. 2017 | 46,501,197 | 46,605,469 | 104,272 | |||||||||||||||||
474 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2017 | 76,454,617 | 75,958,500 | (496,117 | ) | ||||||||||||||||
12 | Mini MSCI EAFE Index | Mar. 2017 | 1,011,385 | 1,005,360 | (6,025 | ) | ||||||||||||||||
(766,384 | ) | |||||||||||||||||||||
Short Position: | ||||||||||||||||||||||
247 | 20 Year U.S. Treasury Bonds | Mar. 2017 | 37,259,984 | 37,212,094 | 47,890 | |||||||||||||||||
$ | (718,494 | ) | ||||||||||||||||||||
A U.S. Treasury Obligation with a market value of $4,145,850 has been segregated with Goldman Sachs & Co. and U.S. Government Agency Obligations and a U.S. Treasury Obligation with a combined market value of $4,834,200 have been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2016. |
Credit default swap agreements outstanding at December 31, 2016:
|
| |||||||||||||||||||||||
Reference Entity/Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at December 31, 2016(4) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Centrally cleared credit default swap on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
CDX.NA.IG.24.V1 | 06/20/20 | 1.000% | 51,500 | $ | (969,274 | ) | $ | (861,175 | ) | $ | 108,099 | |||||||||||||
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The fair value of credit default swap agreements on credit indices, asset-backed securities and centrally cleared corporate and/or sovereign issues serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of OTC credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
SEE NOTES TO FINANCIAL STATEMENTS.
A99
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Interest rate swap agreements outstanding at December 31, 2016:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: |
| ||||||||||||||||||||||
152,125 | 09/09/17 | 0.539% | 1 Day USOIS(1) | $ | 437 | $ | 190,060 | $ | 189,623 | |||||||||||||||
127,920 | 10/18/17 | 0.607% | 1 Day USOIS(1) | 265 | 148,055 | 147,790 | ||||||||||||||||||
71,095 | 11/09/17 | 0.626% | 1 Day USOIS(1) | 310 | 94,476 | 94,166 | ||||||||||||||||||
2,720 | 07/11/18 | 0.947% | 3 Month LIBOR(1) | 156 | 15,679 | 15,523 | ||||||||||||||||||
11,300 | 05/31/22 | 2.200% | 3 Month LIBOR(1) | (22,921 | ) | (112,579 | ) | (89,658 | ) | |||||||||||||||
26,415 | 11/30/22 | 1.850% | 3 Month LIBOR(1) | 293 | 309,236 | 308,943 | ||||||||||||||||||
8,160 | 11/30/22 | 1.982% | 3 Month LIBOR(1) | 195 | 34,518 | 34,323 | ||||||||||||||||||
2,300 | 12/31/22 | 1.405% | 3 Month LIBOR(1) | 162 | 86,854 | 86,692 | ||||||||||||||||||
1,600 | 12/31/22 | 1.406% | 3 Month LIBOR(1) | 159 | 60,286 | 60,127 | ||||||||||||||||||
3,400 | 12/31/22 | 1.409% | 3 Month LIBOR(1) | 169 | 127,626 | 127,457 | ||||||||||||||||||
900 | 12/31/22 | 1.412% | 3 Month LIBOR(1) | 155 | 33,644 | 33,489 | ||||||||||||||||||
1,350 | 12/31/22 | 1.495% | 3 Month LIBOR(1) | 157 | 44,009 | 43,852 | ||||||||||||||||||
2,730 | 05/31/23 | 1.203% | 3 Month LIBOR(2) | 165 | 150,043 | 149,878 | ||||||||||||||||||
2,470 | 05/31/23 | 1.399% | 3 Month LIBOR(1) | (44,914 | ) | 106,296 | 151,210 | |||||||||||||||||
11,115 | 08/02/23 | —(3) | —(3) | (3,748 | ) | 30,255 | 34,003 | |||||||||||||||||
4,285 | 08/03/23 | —(4) | —(4) | (1,695 | ) | 12,043 | 13,738 | |||||||||||||||||
16,870 | 08/02/23 | —(5) | —(5) | 1,251 | 48,664 | 47,413 | ||||||||||||||||||
8,140 | 08/19/23 | 0.898% | 1 Day USOIS(1) | 194 | 436,270 | 436,076 | ||||||||||||||||||
10,850 | 10/27/23 | 1.073% | 1 Day USOIS(1) | 209 | 491,486 | 491,277 | ||||||||||||||||||
7,420 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 203 | 29,044 | 28,841 | ||||||||||||||||||
28,775 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 292 | 177,840 | 177,548 | ||||||||||||||||||
330 | 05/15/26 | 1.652% | 3 Month LIBOR(1) | 11 | 18,420 | 18,409 | ||||||||||||||||||
2,150 | 05/15/37 | 2.726% | 3 Month LIBOR(2) | 185 | 49,011 | 48,826 | ||||||||||||||||||
2,970 | 11/15/41 | 1.869% | 3 Month LIBOR(1) | 11,525 | 408,710 | 397,185 | ||||||||||||||||||
$ | (56,785 | ) | $ | 2,989,946 | $ | 3,046,731 | ||||||||||||||||||
U.S. Government Agency Obligations with a combined market value of $5,474,675 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared credit default and interest rate swap contracts at December 31, 2016.
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
(3) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.25 bps. |
(4) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.375 bps. |
(5) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.50 bps. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1—quoted | prices generally in active markets for identical securities. |
Level 2—quoted | prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange ratesand other observable inputs. |
Level 3—unobservable | inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A100
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 2,384,111,305 | $ | 36,508,461 | $ | — | ||||||
Unaffiliated Exchange Traded Fund | 222,260 | — | — | |||||||||
Preferred Stocks | 568,040 | 413,160 | — | |||||||||
Asset-Backed Securities | ||||||||||||
Collateralized Loan Obligations | — | 51,750,368 | — | |||||||||
Non-Residential Mortgage-Backed Securities | — | 86,052,443 | — | |||||||||
Residential Mortgage-Backed Securities | — | 19,921,622 | — | |||||||||
Bank Loans | — | 8,346,765 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 154,081,601 | — | |||||||||
Corporate Bonds | — | 367,444,705 | — | |||||||||
Municipal Bonds | — | 15,892,749 | — | |||||||||
Non-Corporate Foreign Agencies | — | 20,853,315 | — | |||||||||
Residential Mortgage-Backed Securities | — | 35,016,303 | 29,465,243 | |||||||||
Sovereign Bonds | — | 19,466,989 | — | |||||||||
U.S. Government Agency Obligations | — | 337,721,379 | — | |||||||||
U.S. Treasury Obligations | — | 88,916,406 | — | |||||||||
Affiliated Mutual Funds | 475,349,212 | — | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | (718,494 | ) | — | — | ||||||||
Centrally Cleared Credit Default Swap Agreement | — | 108,099 | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 3,046,731 | — | |||||||||
Total | $ | 2,859,532,323 | $ | 1,245,541,096 | $ | 29,465,243 | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Affiliated Mutual Funds (including 2.9% of collateral for securities on loan) | 12.2 | % | ||
U.S. Government Agency Obligations | 8.7 | |||
Banks | 7.4 | |||
Oil, Gas & Consumable Fuels | 4.4 | |||
Commercial Mortgage-Backed Securities | 4.0 | |||
Software | 3.2 | |||
Pharmaceuticals | 3.1 | |||
Internet Software & Services | 3.0 | |||
Semiconductors & Semiconductor Equipment | 2.4 | |||
Technology Hardware, Storage & Peripherals | 2.3 | |||
U.S. Treasury Obligations | 2.3 | |||
Non-Residential Mortgage-Backed Securities | 2.2 | |||
Residential Mortgage-Backed Securities | 2.2 | |||
Diversified Telecommunication Services | 2.1 | |||
Biotechnology | 2.1 | |||
Health Care Equipment & Supplies | 2.0 | |||
Insurance | 1.9 | |||
Aerospace & Defense | 1.9 | |||
Specialty Retail | 1.8 | |||
Media | 1.8 | |||
IT Services | 1.8 | |||
Health Care Providers & Services | 1.7 | |||
Electric Utilities | 1.6 |
Capital Markets | 1.5 | % | ||
Food Products | 1.4 | |||
Beverages | 1.4 | |||
Collateralized Loan Obligations | 1.4 | |||
Equity Real Estate Investment Trusts (REITs) | 1.3 | |||
Industrial Conglomerates | 1.2 | |||
Food & Staples Retailing | 1.2 | |||
Machinery | 1.2 | |||
Chemicals | 1.1 | |||
Diversified Financial Services | 1.0 | |||
Internet & Direct Marketing Retail | 1.0 | |||
Household Products | 0.9 | |||
Tobacco | 0.8 | |||
Multiline Retail | 0.8 | |||
Hotels, Restaurants & Leisure | 0.7 | |||
Airlines | 0.7 | |||
Metals & Mining | 0.7 | |||
Consumer Finance | 0.6 | |||
Communications Equipment | 0.6 | |||
Non-Corporate Foreign Agencies | 0.5 | |||
Sovereign Bonds | 0.5 | |||
Telecommunications | 0.5 | |||
Oil & Gas | 0.5 | |||
Electric | 0.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Industry table (cont.) | ||||
Air Freight & Logistics | 0.5 | % | ||
Healthcare-Services | 0.4 | |||
Household Durables | 0.4 | |||
Municipal Bonds | 0.4 | |||
Multi-Utilities | 0.4 | |||
Auto Components | 0.4 | |||
Automobiles | 0.3 | |||
Life Sciences Tools & Services | 0.3 | |||
Auto Manufacturers | 0.3 | |||
Energy Equipment & Services | 0.3 | |||
Independent Power & Renewable Electricity Producers | 0.3 | |||
Healthcare-Products | 0.3 | |||
Electrical Equipment | 0.3 | |||
Retail | 0.2 | |||
Computers | 0.2 | |||
Construction & Engineering | 0.2 | |||
Real Estate Management & Development | 0.2 | |||
Pipelines | 0.2 | |||
Containers & Packaging | 0.2 | |||
Food | 0.1 | |||
Lodging | 0.1 | |||
Gas Utilities | 0.1 | |||
Oil & Gas Services | 0.1 |
Leisure Products | 0.1 | % | ||
Agriculture | 0.1 | |||
Commercial Services & Supplies | 0.1 | |||
Multi-National | 0.1 | |||
Technology | 0.1 | |||
Building Products | 0.1 | |||
Mortgage Real Estate Investment Trusts (REITs) | 0.1 | |||
Road & Rail | 0.1 | |||
Mining | 0.1 | |||
Miscellaneous Manufacturing | 0.1 | |||
Commercial Services | 0.1 | |||
Machinery-Diversified | 0.1 | |||
Health Care Technology | 0.1 | |||
Housewares | 0.1 | |||
Forest & Paper Products | 0.1 | |||
Professional Services | 0.1 | |||
Building Materials | 0.1 | |||
Transportation | 0.1 | |||
Health Care & Pharmaceutical | 0.1 | |||
106.2 | ||||
Liabilities in excess of other assets | (6.2 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2016 as presented in the Statement of Assets and Liabilities:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging | Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | ||||||||
Credit contracts | Due from/to broker — variation margin swaps | $ | 108,099 | * | — | $ | — | |||||
Equity contracts | — | — | Due from/to broker — variation margin futures | 6,025 | * | |||||||
Interest rate contracts | Due from/to broker — variation margin futures | 181,188 | * | Due from/to broker — variation margin futures | 893,657 | * | ||||||
Interest rate contracts | Due from/to broker — variation margin swaps | 3,136,389 | * | Due from/to broker — variation margin swaps | 89,658 | * | ||||||
Total | $ | 3,425,676 | $ | 989,340 | ||||||||
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Forward Rate Agreements | Swaps | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (637,192 | ) | $ | (637,192 | ) | ||||||||||||
Equity contracts | 51 | — | — | 2,921,649 | — | — | 2,921,700 | |||||||||||||||||||||
Interest rate contracts | — | (999,424 | ) | (515,972 | ) | (4,431,718 | ) | 23,986 | (2,067,055 | ) | (7,990,183 | ) | ||||||||||||||||
Total | $ | 51 | $ | (999,424 | ) | $ | (515,972 | ) | $ | (1,510,069 | ) | $ | 23,986 | $ | (2,704,247 | ) | $ | (5,705,675 | ) | |||||||||
* | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
A102
FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Rights* | Options Purchased* | Options Written | Futures | Swaps | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (419,113 | ) | $ | (419,113 | ) | ||||||||||
Equity contracts | (32 | ) | — | — | (41,298 | ) | — | (41,330 | ) | |||||||||||||||
Interest rate contracts | — | 409,545 | (241,909 | ) | (1,180,112 | ) | 4,756,378 | 3,743,902 | ||||||||||||||||
Total | $ | (32 | ) | $ | 409,545 | $ | (241,909 | ) | $ | (1,221,410 | ) | $ | 4,337,265 | $ | 3,283,459 | |||||||||
* | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
For the year ended December 31, 2016, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— | Futures Contracts— | |||
$119,463 | $259,640,000 | $394,987,234 | $89,008,014 | |||
Interest Rate Swap | Credit Default | Credit Default | Total Return Swap | |||
$296,221,000 | $51,500,000 | $3,210,000 | $5,040,000 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Trade Date. |
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 110,460,076 | $ | (110,460,076 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
FLEXIBLE MANAGED PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $110,460,076: | ||||
Unaffiliated investments (cost $3,140,695,047) | $ | 3,656,753,114 | ||
Affiliated investments (cost $483,006,410) | 475,349,212 | |||
Cash | 15,775 | |||
Foreign currency, at value (cost $89,390) | 88,260 | |||
Receivable for investments sold | 29,199,700 | |||
Dividends and interest receivable | 10,065,318 | |||
Due from broker—variation margin futures | 681,988 | |||
Tax reclaim receivable | 589,907 | |||
Receivable for Series shares sold | 31,875 | |||
Prepaid expenses | 29,451 | |||
Receivable from affiliate | 2,990 | |||
Total Assets | 4,172,807,590 | |||
LIABILITIES | ||||
Payable for investments purchased | 167,331,586 | |||
Payable to broker for collateral for securities on loan | 113,030,605 | |||
Management fee payable | 1,982,403 | |||
Accrued expenses and other liabilities | 330,165 | |||
Due to broker—variation margin swaps | 186,376 | |||
Payable for Series shares repurchased | 112,251 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 282,974,366 | |||
NET ASSETS | $ | 3,889,833,224 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 2,048,324,617 | ||
Retained earnings | 1,841,508,607 | |||
Net assets, December 31, 2016 | $ | 3,889,833,224 | ||
Net asset value and redemption price per share $3,889,833,224 / 149,668,676 outstanding shares of beneficial interest | $ | 25.99 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $449,375, of which $35,507 is reimbursable by an affiliate) | $ | 51,876,687 | ||
Interest income (net) (foreign withholding tax $6,552) | 35,374,745 | |||
Affiliated dividend income | 3,891,974 | |||
Income from securities lending, net (including affiliated income of $358,638) | 394,648 | |||
Total income | 91,538,054 | |||
EXPENSES | ||||
Management fee | 22,795,712 | |||
Custodian and accounting fees (net of $25,300 fee credit) | 552,000 | |||
Shareholders’ reports | 248,000 | |||
Audit fee | 50,000 | |||
Insurance expenses | 47,000 | |||
Trustees’ fees | 43,000 | |||
Legal fees and expenses | 18,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Commitment fee on syndicated credit agreement | 7,000 | |||
Miscellaneous | 53,612 | |||
Total expenses | 23,826,324 | |||
NET INVESTMENT INCOME (LOSS) | 67,711,730 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $6,390) | 134,161,861 | |||
Futures transactions | (1,510,069 | ) | ||
Forward rate agreement transactions | 23,986 | |||
Options written transactions | (515,972 | ) | ||
Short sales transactions | (22,015 | ) | ||
Swap agreement transactions | (2,704,247 | ) | ||
Foreign currency transactions | (6,249 | ) | ||
129,427,295 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $4,062) | 108,639,367 | |||
Futures | (1,221,410 | ) | ||
Options written | (241,909 | ) | ||
Swap agreements | 4,337,265 | |||
Foreign currencies | (15,803 | ) | ||
111,497,510 | ||||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 240,924,805 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 308,636,535 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 67,711,730 | $ | 67,622,207 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 129,427,295 | 227,213,152 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 111,497,510 | (255,176,199 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 308,636,535 | 39,659,160 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [950,649 and 441,580 shares, respectively] | 23,434,776 | 10,576,788 | ||||||
Series shares repurchased [8,662,738 and 9,397,959 shares, respectively] | (214,255,950 | ) | (225,231,619 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (190,821,174 | ) | (214,654,831 | ) | ||||
CAPITAL CONTRIBUTIONS (Note 4) | 3,201,924 | — | ||||||
TOTAL INCREASE (DECREASE) | 121,017,285 | (174,995,671 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 3,768,815,939 | 3,943,811,610 | ||||||
End of year | $ | 3,889,833,224 | $ | 3,768,815,939 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A104
GLOBAL PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 97.1% | ||||||||
COMMON STOCKS — 96.9% | Shares | Value (Note 2) | ||||||
Australia — 1.5% |
| |||||||
Arrium Ltd.*(a) | 894,400 | $ | 14,105 | |||||
Asaleo Care Ltd. | 733,400 | 781,852 | ||||||
Ausdrill Ltd.* | 123,200 | 111,754 | ||||||
Bendigo & Adelaide Bank Ltd. | 158,500 | 1,449,923 | ||||||
Bradken Ltd.* | 98,900 | 229,355 | ||||||
Caltex Australia Ltd. | 26,000 | 570,068 | ||||||
Challenger Ltd. | 8,400 | 67,871 | ||||||
CSR Ltd. | 452,900 | 1,505,744 | ||||||
Downer EDI Ltd. | 182,200 | 797,801 | ||||||
Fortescue Metals Group Ltd. | 129,900 | 542,854 | ||||||
Harvey Norman Holdings Ltd. | 168,800 | 625,447 | ||||||
LendLease Group | 124,300 | 1,306,216 | ||||||
Macquarie Group Ltd. | 48,800 | 3,056,939 | ||||||
Metcash Ltd.* | 412,500 | 678,387 | ||||||
Mineral Resources Ltd. | 49,900 | 434,342 | ||||||
Myer Holdings Ltd. | 567,600 | 564,261 | ||||||
National Australia Bank Ltd. | 33,588 | 741,910 | ||||||
Primary Health Care Ltd. | 139,400 | 409,486 | ||||||
Qantas Airways Ltd. | 387,619 | 928,556 | ||||||
14,816,871 | ||||||||
Austria — 0.3% |
| |||||||
OMV AG | 36,200 | 1,276,187 | ||||||
Voestalpine AG | 28,800 | 1,126,176 | ||||||
2,402,363 | ||||||||
Belgium — 0.1% |
| |||||||
AGFA-Gevaert NV* | 86,100 | 332,288 | ||||||
Bekaert NV | 13,500 | 545,665 | ||||||
877,953 | ||||||||
Brazil — 0.2% |
| |||||||
Cielo SA | 209,800 | 1,797,807 | ||||||
Canada — 2.3% |
| |||||||
Alimentation Couche-Tard, Inc. (Class B Stock) | 55,431 | 2,513,417 | ||||||
Brookfield Asset Management, Inc. (Class A Stock) | 115,957 | 3,827,740 | ||||||
Canadian Natural Resources Ltd. | 75,750 | 2,414,910 | ||||||
Canadian Pacific Railway Ltd. | 18,400 | 2,626,968 | ||||||
Constellation Software, Inc. | 6,507 | 2,956,877 | ||||||
Suncor Energy, Inc. | 99,479 | 3,252,618 | ||||||
Toronto-Dominion Bank (The) | 69,858 | 3,445,423 | ||||||
TransCanada Corp.(b) | 24,252 | 1,094,978 | ||||||
22,132,931 | ||||||||
China — 1.0% |
| |||||||
Alibaba Group Holding Ltd., ADR*(b) | 40,468 | 3,553,495 | ||||||
China Overseas Land & Investment Ltd. | 486,000 | 1,278,739 | ||||||
NetEase, Inc., ADR | 12,081 | 2,601,522 | ||||||
Tencent Holdings Ltd. | 91,600 | 2,221,036 | ||||||
Universal Health International Group Holding Ltd.* | 2,473,000 | 113,012 | ||||||
9,767,804 | ||||||||
Denmark — 0.2% |
| |||||||
Danske Bank A/S | 61,200 | 1,851,530 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Finland — 0.7% |
| |||||||
Kone OYJ (Class B Stock) | 48,286 | $ | 2,157,599 | |||||
Sampo OYJ (Class A Stock) | 62,726 | 2,804,028 | ||||||
Tieto OYJ | 18,100 | 492,499 | ||||||
UPM-Kymmene OYJ | 57,300 | 1,401,308 | ||||||
6,855,434 | ||||||||
France — 4.4% |
| |||||||
Arkema SA | 34,521 | 3,374,464 | ||||||
Atos SE | 15,600 | 1,644,208 | ||||||
AXA SA | 46,300 | 1,167,171 | ||||||
BNP Paribas SA | 82,959 | 5,279,355 | ||||||
Carrefour SA | 47,800 | 1,150,835 | ||||||
Cie Generale des Etablissements Michelin | 12,000 | 1,333,910 | ||||||
CNP Assurances | 46,700 | 864,388 | ||||||
Credit Agricole SA | 78,500 | 971,730 | ||||||
Electricite de France SA(b) | 61,800 | 628,809 | ||||||
Engie SA | 35,200 | 448,061 | ||||||
Orange SA | 79,700 | 1,208,573 | ||||||
Renault SA | 12,300 | 1,092,450 | ||||||
Sanofi | 44,400 | 3,590,426 | ||||||
SCOR SE | 22,000 | 759,239 | ||||||
Societe Generale SA | 28,600 | 1,406,748 | ||||||
Total SA | 110,316 | 5,658,358 | ||||||
Total SA, ADR | 118,650 | 6,047,591 | ||||||
Valeo SA | 85,854 | 4,928,707 | ||||||
Vinci SA | 12,619 | 858,406 | ||||||
42,413,429 | ||||||||
Germany — 2.6% |
| |||||||
Allianz SE | 9,800 | 1,617,377 | ||||||
Aurubis AG | 14,200 | 817,248 | ||||||
BASF SE | 18,900 | 1,751,590 | ||||||
Bayer AG | 19,100 | 1,989,911 | ||||||
Bayerische Motoren Werke AG | 12,200 | �� | 1,136,263 | |||||
Daimler AG | 27,600 | 2,048,358 | ||||||
Deutsche Bank AG* | 27,100 | 491,578 | ||||||
Deutsche Lufthansa AG | 54,200 | 698,680 | ||||||
Deutsche Post AG | 45,000 | 1,475,782 | ||||||
E.ON SE | 46,000 | 323,609 | ||||||
Evonik Industries AG | 36,500 | 1,088,025 | ||||||
Hannover Rueck SE | 4,500 | 486,125 | ||||||
Metro AG | 46,000 | 1,528,913 | ||||||
Muenchener Rueckversicherungs AG | 6,800 | 1,284,374 | ||||||
Rational AG | 2,354 | 1,049,870 | ||||||
Rheinmetall AG | 13,300 | 892,576 | ||||||
Siemens AG | 40,611 | 4,972,426 | ||||||
STADA Arzneimittel AG | 8,800 | 454,626 | ||||||
Uniper SE* | 4,600 | 63,317 | ||||||
Volkswagen AG | 7,400 | 1,062,088 | ||||||
25,232,736 | ||||||||
Hong Kong — 1.2% |
| |||||||
AIA Group Ltd. | 609,400 | 3,413,762 | ||||||
China Resources Cement Holdings Ltd. | 886,000 | 342,582 | ||||||
Huabao International Holdings Ltd.* | 1,045,000 | 442,122 | ||||||
Kingboard Chemical Holdings Ltd. | 216,000 | 652,337 |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hong Kong (continued) | ||||||||
Lee & Man Paper Manufacturing Ltd. | 1,244,000 | $ | 959,232 | |||||
PCCW Ltd. | 870,000 | 470,307 | ||||||
Sands China Ltd. | 316,400 | 1,365,005 | ||||||
Singamas Container Holdings Ltd.* | 2,676,000 | 288,800 | ||||||
Skyworth Digital Holdings Ltd. | 1,072,000 | 608,172 | ||||||
WH Group Ltd. | 1,914,500 | 1,543,273 | ||||||
Wheelock & Co. Ltd. | 97,000 | 544,388 | ||||||
Yue Yuen Industrial Holdings Ltd. | 220,500 | 799,248 | ||||||
11,429,228 | ||||||||
India — 0.8% |
| |||||||
HDFC Bank Ltd., ADR | 76,217 | 4,624,847 | ||||||
Tata Motors Ltd., ADR | 74,679 | 2,568,211 | ||||||
7,193,058 | ||||||||
Ireland — 2.1% |
| |||||||
Experian PLC | 179,529 | 3,475,996 | ||||||
Johnson Controls International PLC | 113,948 | 4,693,518 | ||||||
Kingspan Group PLC | 98,407 | 2,660,190 | ||||||
Paddy Power Betfair PLC | 17,203 | 1,830,523 | ||||||
Ryanair Holdings PLC, ADR* | 38,703 | 3,222,412 | ||||||
Smurfit Kappa Group PLC | 35,200 | 806,161 | ||||||
XL Group Ltd. | 97,502 | 3,632,924 | ||||||
20,321,724 | ||||||||
Israel — 0.3% |
| |||||||
Bank Hapoalim BM | 200,200 | 1,188,290 | ||||||
Elbit Systems Ltd. | 6,400 | 646,522 | ||||||
Teva Pharmaceutical Industries Ltd. | 16,300 | 586,918 | ||||||
2,421,730 | ||||||||
Italy — 0.7% |
| |||||||
A2A SpA | 420,800 | 543,457 | ||||||
Astaldi SpA(b) | 62,200 | 353,478 | ||||||
Enel SpA | 348,600 | 1,532,346 | ||||||
Luxottica Group SpA | 63,307 | 3,402,538 | ||||||
Mediobanca SpA | 87,600 | 713,425 | ||||||
6,545,244 | ||||||||
Japan — 8.4% |
| |||||||
Aisan Industry Co. Ltd. | 68,400 | 584,225 | ||||||
Aoyama Trading Co. Ltd. | 9,900 | 344,022 | ||||||
Aozora Bank Ltd. | 156,000 | 551,188 | ||||||
Asahi Kasei Corp. | 103,000 | 896,231 | ||||||
Astellas Pharma, Inc. | 75,600 | 1,048,826 | ||||||
Calsonic Kansei Corp. | 105,000 | 1,609,375 | ||||||
Concordia Financial Group Ltd. | 121,000 | 582,267 | ||||||
Daikin Industries Ltd. | 39,300 | 3,600,230 | ||||||
Daito Trust Construction Co. Ltd. | 14,400 | 2,164,865 | ||||||
Dowa Holdings Co. Ltd. | 75,000 | 570,334 | ||||||
Enplas Corp. | 18,500 | 544,566 | ||||||
FANUC Corp. | 19,000 | 3,178,595 | ||||||
Fuji Electric Co. Ltd. | 131,000 | 676,445 | ||||||
Fuji Heavy Industries Ltd. | 85,274 | 3,474,439 | ||||||
Fujikura Ltd. | 254,000 | 1,375,500 | ||||||
Fujitec Co. Ltd. | 77,100 | 901,854 | ||||||
Heiwa Corp. | 34,800 | 795,053 | ||||||
Hoya Corp. | 44,300 | 1,857,473 | ||||||
Isuzu Motors Ltd. | 78,200 | 988,802 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Japan (continued) | ||||||||
ITOCHU Corp. | 37,100 | $ | 491,232 | |||||
Japan Airlines Co. Ltd. | 28,000 | 817,062 | ||||||
Kaneka Corp. | 74,000 | 601,910 | ||||||
KDDI Corp. | 44,800 | 1,131,333 | ||||||
Keihin Corp. | 54,300 | 949,023 | ||||||
Keyence Corp. | 4,700 | 3,215,973 | ||||||
Komori Corp. | 40,000 | 522,580 | ||||||
Konica Minolta, Inc. | 129,600 | 1,284,427 | ||||||
Kureha Corp. | 25,500 | 957,097 | ||||||
KYORIN Holdings, Inc. | 37,400 | 800,332 | ||||||
Kyowa Exeo Corp. | 66,900 | 960,990 | ||||||
Lintec Corp. | 30,000 | 652,763 | ||||||
Makita Corp. | 38,100 | 2,545,800 | ||||||
Marubeni Corp. | 109,700 | 620,472 | ||||||
Matsumotokiyoshi Holdings Co. Ltd. | 15,400 | 757,618 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 117,000 | 1,993,613 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 755,200 | 4,657,563 | ||||||
Mizuho Financial Group, Inc. | 597,700 | 1,072,594 | ||||||
NEC Corp. | 213,000 | 563,369 | ||||||
Nippon Prologis REIT, Inc. | 903 | 1,846,519 | ||||||
Nippon Telegraph & Telephone Corp. | 62,800 | 2,643,576 | ||||||
Nishi-Nippon Financial Holdings, Inc.* | 48,600 | 508,559 | ||||||
Nissan Motor Co. Ltd. | 161,600 | 1,621,033 | ||||||
Nisshinbo Holdings, Inc. | 81,000 | 779,937 | ||||||
Nitori Holdings Co. Ltd. | 22,600 | 2,576,739 | ||||||
NTT DOCOMO, Inc. | 39,300 | 893,889 | ||||||
ORIX Corp. | 213,400 | 3,321,412 | ||||||
Park24 Co. Ltd. | 30,300 | 820,505 | ||||||
Resona Holdings, Inc. | 416,800 | 2,136,108 | ||||||
Sankyu, Inc. | 126,000 | 760,291 | ||||||
Sawai Pharmaceutical Co. Ltd. | 9,200 | 493,159 | ||||||
Seino Holdings Co. Ltd. | 52,600 | 582,832 | ||||||
Shimachu Co. Ltd. | 30,700 | 816,894 | ||||||
SKY Perfect JSAT Holdings, Inc. | 151,000 | 693,741 | ||||||
Sumitomo Heavy Industries Ltd. | 116,000 | 744,854 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 33,900 | 1,291,013 | ||||||
Sumitomo Osaka Cement Co. Ltd. | 184,500 | 695,167 | ||||||
T-Gaia Corp. | 39,000 | 633,657 | ||||||
Toagosei Co. Ltd. | 73,500 | 721,427 | ||||||
Toho Holdings Co. Ltd. | 36,900 | 735,423 | ||||||
Towa Pharmaceutical Co. Ltd. | 9,400 | 367,900 | ||||||
Toyo Tire & Rubber Co. Ltd. | 35,200 | 437,206 | ||||||
Toyoda Gosei Co. Ltd. | 33,200 | 774,861 | ||||||
Toyota Motor Corp. | 15,730 | 922,225 | ||||||
Tsubakimoto Chain Co. | 85,000 | 689,215 | ||||||
Tsumura & Co. | 15,700 | 432,120 | ||||||
Ube Industries Ltd. | 301,000 | 628,971 | ||||||
Yokohama Rubber Co. Ltd. (The) | 45,000 | 804,387 | ||||||
80,713,661 | ||||||||
Liechtenstein |
| |||||||
VP Bank AG | 1,765 | 187,093 | ||||||
Mexico — 0.1% |
| |||||||
Wal-Mart de Mexico SAB de CV | 419,400 | 750,603 | ||||||
Netherlands — 3.0% |
| |||||||
ABN AMRO Group NV | 28,800 | 637,685 | ||||||
Aegon NV | 95,000 | 521,898 |
SEE NOTES TO FINANCIAL STATEMENTS.
A106
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Netherlands (continued) | ||||||||
ING Groep NV , CVA | 75,400 | $ | 1,061,542 | |||||
Koninklijke Ahold Delhaize NV | 70,500 | 1,484,946 | ||||||
Koninklijke Philips NV | 89,883 | 2,747,905 | ||||||
NN Group NV | 46,800 | 1,584,304 | ||||||
NXP Semiconductors NV* | 118,962 | 11,659,466 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 137,501 | 3,750,434 | ||||||
Royal Dutch Shell PLC (Class A Stock), ADR | 79,650 | 4,331,367 | ||||||
Royal Dutch Shell PLC (Class B Stock) | 36,900 | 1,060,214 | ||||||
28,839,761 | ||||||||
New Zealand — 0.2% |
| |||||||
Air New Zealand Ltd. | 606,600 | 923,800 | ||||||
Fletcher Building Ltd. | 88,500 | 650,276 | ||||||
1,574,076 | ||||||||
Norway — 0.3% |
| |||||||
DNB ASA | 68,200 | 1,012,450 | ||||||
Salmar ASA | 18,100 | 540,482 | ||||||
Statoil ASA | 37,300 | 680,788 | ||||||
Yara International ASA | 23,200 | 912,666 | ||||||
3,146,386 | ||||||||
Singapore — 0.2% |
| |||||||
DBS Group Holdings Ltd. | 81,200 | 968,784 | ||||||
Wilmar International Ltd. | 302,500 | 747,314 | ||||||
1,716,098 | ||||||||
South Africa — 0.3% |
| |||||||
Bid Corp. Ltd. | 89,464 | 1,585,665 | ||||||
Mondi PLC | 52,500 | 1,072,174 | ||||||
2,657,839 | ||||||||
Spain — 1.1% |
| |||||||
Amadeus IT Holding SA (Class A Stock) | 49,623 | 2,250,616 | ||||||
Banco Santander SA | 137,900 | 717,396 | ||||||
Distribuidora Internacional de Alimentacion SA | 175,100 | 858,795 | ||||||
Gas Natural SDG SA | 47,300 | 889,872 | ||||||
Iberdrola SA | 150,200 | 983,495 | ||||||
Industria de Diseno Textil SA | 90,645 | 3,087,920 | ||||||
Mapfre SA | 219,300 | 668,012 | ||||||
Repsol SA | 73,100 | 1,027,288 | ||||||
10,483,394 | ||||||||
Sweden — 0.8% |
| |||||||
Atlas Copco AB (Class A Stock) | 76,482 | 2,320,201 | ||||||
Boliden AB | 36,700 | 953,283 | ||||||
Hexagon AB (Class B Stock) | 60,971 | 2,171,540 | ||||||
Nordea Bank AB | 83,600 | 926,340 | ||||||
Swedbank AB (Class A Stock) | 29,700 | 715,606 | ||||||
Telia Co. AB | 196,000 | 787,370 | ||||||
7,874,340 | ||||||||
Switzerland — 3.5% |
| |||||||
Actelion Ltd.* | 17,841 | 3,855,593 | ||||||
Aryzta AG | 18,700 | 822,357 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Switzerland (continued) | ||||||||
Baloise Holding AG | 10,300 | $ | 1,296,100 | |||||
Bucher Industries AG | 2,800 | 688,783 | ||||||
Cembra Money Bank AG | 12,000 | 872,914 | ||||||
Credit Suisse Group AG | 113,100 | 1,616,316 | ||||||
Geberit AG | 6,944 | 2,780,077 | ||||||
Georg Fischer AG | 1,100 | 899,608 | ||||||
Helvetia Holding AG | 1,800 | 968,492 | ||||||
Lonza Group AG | 11,540 | 1,994,449 | ||||||
Partners Group Holding AG | 5,036 | 2,357,543 | ||||||
Roche Holding AG | 6,300 | 1,436,101 | ||||||
Swiss Life Holding AG* | 7,200 | 2,033,848 | ||||||
Swiss Re AG | 25,500 | 2,412,629 | ||||||
TE Connectivity Ltd. | 38,350 | 2,656,888 | ||||||
UBS Group AG | 66,800 | 1,044,449 | ||||||
Wolseley PLC | 52,266 | 3,190,659 | ||||||
Zurich Insurance Group AG | 8,400 | 2,308,486 | ||||||
33,235,292 | ||||||||
Taiwan — 0.5% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 788,000 | 4,413,790 | ||||||
United Kingdom — 5.7% |
| |||||||
3i Group PLC | 120,600 | 1,043,244 | ||||||
Ashtead Group PLC | 35,000 | 680,417 | ||||||
AstraZeneca PLC | 11,300 | 617,071 | ||||||
Aviva PLC | 129,800 | 773,175 | ||||||
BAE Systems PLC | 709,374 | 5,159,697 | ||||||
Barclays PLC | 266,300 | 730,824 | ||||||
Barratt Developments PLC | 109,300 | 621,387 | ||||||
Beazley PLC | 129,500 | 618,982 | ||||||
Bellway PLC | 25,400 | 774,266 | ||||||
Berkeley Group Holdings PLC | 25,300 | 874,597 | ||||||
Bovis Homes Group PLC | 66,300 | 669,176 | ||||||
BP PLC | 385,500 | 2,414,566 | ||||||
BT Group PLC | 100,400 | 453,239 | ||||||
Carillion PLC(b) | 145,900 | 423,336 | ||||||
Centrica PLC | 289,000 | 832,338 | ||||||
Compass Group PLC | 214,216 | 3,959,069 | ||||||
Crest Nicholson Holdings PLC | 143,814 | 800,727 | ||||||
Debenhams PLC | 301,400 | 212,721 | ||||||
easyJet PLC | 25,500 | 315,422 | ||||||
GKN PLC | 188,200 | 767,088 | ||||||
GlaxoSmithKline PLC | 130,000 | 2,497,121 | ||||||
Go-Ahead Group PLC | 15,200 | 418,506 | ||||||
HSBC Holdings PLC | 196,000 | 1,581,458 | ||||||
IG Group Holdings PLC | 176,211 | 1,070,917 | ||||||
Imperial Brands PLC | 10,600 | 461,956 | ||||||
Intermediate Capital Group | 53,155 | 457,644 | ||||||
Interserve PLC | 82,200 | 346,128 | ||||||
J. Sainsbury PLC | 536,900 | 1,650,145 | ||||||
Johnson Matthey PLC | 68,451 | 2,678,316 | ||||||
Keller Group PLC | 48,200 | 503,254 | ||||||
Kingfisher PLC | 160,800 | 692,793 | ||||||
Lloyds Banking Group PLC | 1,133,000 | 870,011 | ||||||
Man Group PLC | 308,300 | 448,578 | ||||||
Meggitt PLC | 115,600 | 652,819 | ||||||
Micro Focus International PLC | 63,295 | 1,699,864 | ||||||
Mitie Group PLC | 247,100 | 682,305 |
SEE NOTES TO FINANCIAL STATEMENTS.
A107
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United Kingdom (continued) | ||||||||
National Express Group PLC | 197,400 | $ | 860,217 | |||||
Old Mutual PLC | 274,800 | 700,736 | ||||||
Paragon Group Cos. PLC (The) | 105,900 | 539,649 | ||||||
Premier Foods PLC* | 357,756 | 206,525 | ||||||
QinetiQ Group PLC | 214,000 | 692,775 | ||||||
Relx PLC | 158,509 | 2,824,728 | ||||||
Rio Tinto PLC | 81,768 | 3,121,758 | ||||||
Royal Mail PLC | 120,900 | 687,247 | ||||||
St. James’s Place PLC | 153,379 | 1,913,228 | ||||||
Vesuvius PLC | 81,100 | 394,332 | ||||||
WM Morrison Supermarkets PLC | 30,600 | 86,913 | ||||||
WPP PLC | 139,811 | 3,111,292 | ||||||
54,592,557 | ||||||||
United States — 54.4% |
| |||||||
A.O. Smith Corp. | 70,704 | 3,347,834 | ||||||
Adient PLC* | 25,694 | 1,505,668 | ||||||
Adobe Systems, Inc.* | 88,012 | 9,060,835 | ||||||
AES Corp. | 252,470 | 2,933,701 | ||||||
Aetna, Inc. | 36,550 | 4,532,565 | ||||||
Akamai Technologies, Inc.* | 107,134 | 7,143,695 | ||||||
Alexion Pharmaceuticals, Inc.*(b) | 70,735 | 8,654,427 | ||||||
Alphabet, Inc. (Class A Stock)* | 4,892 | 3,876,665 | ||||||
Alphabet, Inc. (Class C Stock)* | 11,088 | 8,557,940 | ||||||
Amazon.com, Inc.* | 16,097 | 12,070,657 | ||||||
American Express Co. | 55,500 | 4,111,440 | ||||||
Ameriprise Financial, Inc. | 37,900 | 4,204,626 | ||||||
Amgen, Inc. | 4,900 | 716,429 | ||||||
Amphenol Corp. (Class A Stock) | 154,610 | 10,389,792 | ||||||
ANSYS, Inc.* | 54,232 | 5,015,918 | ||||||
Apache Corp. | 49,400 | 3,135,418 | ||||||
Apple, Inc. | 29,250 | 3,387,735 | ||||||
Applied Materials, Inc. | 73,150 | 2,360,551 | ||||||
Bank of America Corp. | 142,550 | 3,150,355 | ||||||
Bank of New York Mellon Corp. (The) | 122,050 | 5,782,729 | ||||||
Boeing Co. (The) | 28,600 | 4,452,448 | ||||||
Bunge Ltd. | 37,400 | 2,701,776 | ||||||
Carnival Corp. | 52,450 | 2,730,547 | ||||||
Cisco Systems, Inc. | 171,350 | 5,178,197 | ||||||
Citigroup, Inc. | 83,450 | 4,959,433 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 135,691 | 7,602,767 | ||||||
Comcast Corp. (Class A Stock) | 74,400 | 5,137,320 | ||||||
Costco Wholesale Corp.(b) | 67,261 | 10,769,159 | ||||||
Coty, Inc. (Class A Stock) | 67,830 | 1,241,967 | ||||||
Cummins, Inc. | 16,100 | 2,200,387 | ||||||
Danaher Corp. | 133,195 | 10,367,899 | ||||||
DaVita, Inc.* | 97,801 | 6,278,824 | ||||||
DexCom, Inc.*(b) | 104,745 | 6,253,276 | ||||||
E.I. du Pont de Nemours & Co. | 49,300 | 3,618,620 | ||||||
Ecolab, Inc. | 86,209 | 10,105,419 | ||||||
Entergy Corp. | 19,950 | 1,465,727 | ||||||
EQT Corp. | 24,100 | 1,576,140 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 115,801 | 8,857,618 | ||||||
Exelon Corp. | 127,200 | 4,514,328 | ||||||
Exxon Mobil Corp. | 72,000 | 6,498,720 | ||||||
Facebook, Inc. (Class A Stock)* | 100,963 | 11,615,793 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) | ||||||||
Fifth Third Bancorp | 193,900 | $ | 5,229,483 | |||||
FirstEnergy Corp. | 59,821 | 1,852,656 | ||||||
FleetCor Technologies, Inc.* | 45,553 | 6,446,661 | ||||||
Fortive Corp. | 142,873 | 7,662,279 | ||||||
General Electric Co. | 213,600 | 6,749,760 | ||||||
General Motors Co. | 41,850 | 1,458,054 | ||||||
Genpact Ltd.* | 258,037 | 6,280,621 | ||||||
Gilead Sciences, Inc. | 22,650 | 1,621,967 | ||||||
Hess Corp. | 45,700 | 2,846,653 | ||||||
Hologic, Inc.* | 64,750 | 2,597,770 | ||||||
Illinois Tool Works, Inc. | 27,350 | 3,349,281 | ||||||
International Paper Co. | 42,800 | 2,270,968 | ||||||
Intuitive Surgical, Inc.* | 15,069 | 9,556,308 | ||||||
Invesco Ltd. | 67,050 | 2,034,297 | ||||||
Johnson & Johnson | 49,200 | 5,668,332 | ||||||
JPMorgan Chase & Co. | 130,200 | 11,234,958 | ||||||
Kohl’s Corp.(b) | 39,850 | 1,967,793 | ||||||
Las Vegas Sands Corp. | 40,000 | 2,136,400 | ||||||
Loews Corp. | 72,150 | 3,378,785 | ||||||
Lowe’s Cos., Inc. | 45,850 | 3,260,852 | ||||||
Marsh & McLennan Cos., Inc. | 55,430 | 3,746,514 | ||||||
Mattel, Inc.(b) | 86,900 | 2,394,095 | ||||||
Mead Johnson Nutrition Co. | 103,981 | 7,357,696 | ||||||
Medtronic PLC | 71,571 | 5,098,002 | ||||||
Merck & Co., Inc. | 77,350 | 4,553,594 | ||||||
MetLife, Inc. | 114,900 | 6,191,961 | ||||||
Microsoft Corp. | 127,200 | 7,904,208 | ||||||
Morgan Stanley | 180,800 | 7,638,800 | ||||||
News Corp. (Class A Stock) | 148,200 | 1,698,372 | ||||||
Occidental Petroleum Corp. | 53,400 | 3,803,682 | ||||||
PayPal Holdings, Inc. | 200,276 | 7,904,894 | ||||||
PepsiCo, Inc. | 42,250 | 4,420,617 | ||||||
Pfizer, Inc. | 249,250 | 8,095,640 | ||||||
PG&E Corp. | 136,650 | 8,304,220 | ||||||
Philip Morris International, Inc. | 57,650 | 5,274,398 | ||||||
Procter & Gamble Co. (The) | 41,446 | 3,484,780 | ||||||
QUALCOMM, Inc. | 59,300 | 3,866,360 | ||||||
Raytheon Co. | 13,850 | 1,966,700 | ||||||
Roper Technologies, Inc. | 48,621 | 8,901,533 | ||||||
salesforce.com, inc.* | 111,469 | 7,631,168 | ||||||
SBA Communications Corp. (Class A Stock)* | 75,230 | 7,768,250 | ||||||
Shire PLC | 51,554 | 2,943,712 | ||||||
Southwest Airlines Co. | 61,250 | 3,052,700 | ||||||
Starbucks Corp. | 209,837 | 11,650,150 | ||||||
Stericycle, Inc.* | 18,370 | 1,415,225 | ||||||
T-Mobile U.S., Inc.* | 21,850 | 1,256,594 | ||||||
Texas Instruments, Inc. | 34,750 | 2,535,708 | ||||||
Thermo Fisher Scientific, Inc. | 25,650 | 3,619,215 | ||||||
TripAdvisor, Inc.*(b) | 145,673 | 6,754,857 | ||||||
Twenty-First Century Fox (Class B Stock) | 163,550 | 4,456,737 | ||||||
Tyson Foods, Inc. (Class A Stock) | 53,900 | 3,324,552 | ||||||
U.S. Bancorp | 47,300 | 2,429,801 | ||||||
Under Armour, Inc. (Class A Stock)*(b) | 70,259 | 2,041,024 | ||||||
Under Armour, Inc. (Class C Stock)*(b) | 145,504 | 3,662,336 |
SEE NOTES TO FINANCIAL STATEMENTS.
A108
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
United States (continued) | ||||||||
United Technologies Corp. | 32,650 | $ | 3,579,093 | |||||
VEREIT, Inc. | 207,745 | 1,757,523 | ||||||
Verizon Communications, Inc. | 55,450 | 2,959,921 | ||||||
Visa, Inc. (Class A Stock)(b) | 157,627 | 12,298,059 | ||||||
Vulcan Materials Co. | 19,650 | 2,459,198 | ||||||
Wabtec Corp.(b) | 87,757 | 7,285,586 | ||||||
Wal-Mart Stores, Inc. | 40,050 | 2,768,256 | ||||||
Wells Fargo & Co. | 113,500 | 6,254,985 | ||||||
Weyerhaeuser Co. | 59,150 | 1,779,824 | ||||||
Yum China Holdings, Inc.* | 64,995 | 1,697,669 | ||||||
519,657,432 | ||||||||
TOTAL COMMON STOCKS |
| 925,902,164 | ||||||
PREFERRED STOCKS — 0.2% | ||||||||
Electric Utilities |
| |||||||
NextEra Energy, Inc. | 45,298 | 2,218,696 | ||||||
Units | ||||||||
RIGHTS* | ||||||||
Spain | ||||||||
Repsol SA, expiring 01/06/17(b) | 73,100 | 27,086 | ||||||
TOTAL LONG-TERM INVESTMENTS | 928,147,946 | |||||||
SHORT-TERM INVESTMENTS — 7.0% | ||||||||
Shares | ||||||||
AFFILIATED MUTUAL FUNDS | ||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(c) | 23,423,919 | 23,423,919 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 43,410,036 | 43,418,718 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 66,842,637 | ||||||
TOTAL INVESTMENTS — 104.1% |
| 994,990,583 | ||||||
LIABILITIES IN EXCESS OF |
| (39,628,975 | ) | |||||
NET ASSETS — 100.0% |
| $ | 955,361,608 | |||||
See Glossary for abbreviations used in the annual report.
* | Non-income producing security. |
(a) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $14,105 and 0.0% of net assets. |
(b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $42,176,630; cash collateral of $43,374,675 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(d) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A109
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 14,802,766 | $ | 14,105 | ||||||
Austria | — | 2,402,363 | — | |||||||||
Belgium | — | 877,953 | — | |||||||||
Brazil | 1,797,807 | — | — | |||||||||
Canada | 22,132,931 | — | — | |||||||||
China | 6,155,017 | 3,612,787 | — | |||||||||
Denmark | — | 1,851,530 | — | |||||||||
Finland | — | 6,855,434 | — | |||||||||
France | 6,047,591 | 36,365,838 | — | |||||||||
Germany | — | 25,232,736 | — | |||||||||
Hong Kong | — | 11,429,228 | — | |||||||||
India | 7,193,058 | — | — | |||||||||
Ireland | 11,548,854 | 8,772,870 | — | |||||||||
Israel | — | 2,421,730 | — | |||||||||
Italy | — | 6,545,244 | — | |||||||||
Japan | 508,559 | 80,205,102 | — | |||||||||
Liechtenstein | — | 187,093 | — | |||||||||
Mexico | 750,603 | — | — | |||||||||
Netherlands | 15,990,833 | 12,848,928 | — | |||||||||
New Zealand | — | 1,574,076 | — | |||||||||
Norway | — | 3,146,386 | — | |||||||||
Singapore | — | 1,716,098 | — | |||||||||
South Africa | — | 2,657,839 | — | |||||||||
Spain | — | 10,483,394 | — | |||||||||
Sweden | — | 7,874,340 | — | |||||||||
Switzerland | 2,656,888 | 30,578,404 | — | |||||||||
Taiwan | — | 4,413,790 | — | |||||||||
United Kingdom | — | 54,592,557 | — | |||||||||
United States | 516,713,720 | 2,943,712 | — | |||||||||
Preferred Stocks | 2,218,696 | — | — | |||||||||
Rights – Spain | 27,086 | — | — | |||||||||
Affiliated Mutual Funds | 66,842,637 | — | — | |||||||||
Total | $ | 660,584,280 | $ | 334,392,198 | $ | 14,105 | ||||||
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Banks | 8.0 | % | ||
Affiliated Mutual Funds (including 4.5% of collateral for securities on loan) | 7.0 | |||
Oil, Gas & Consumable Fuels | 5.3 | |||
IT Services | 5.0 | |||
Insurance | 5.0 | |||
Internet Software & Services | 4.1 | |||
Health Care Equipment & Supplies | 3.8 | |||
Machinery | 3.7 | |||
Capital Markets | 3.5 | |||
Software | 3.5 | |||
Pharmaceuticals | 3.4 | |||
Chemicals | 3.4 | |||
Food & Staples Retailing | 2.9 | |||
Hotels, Restaurants & Leisure | 2.6 | |||
Industrial Conglomerates | 2.6 | |||
Semiconductors & Semiconductor Equipment | 2.6 |
Electric Utilities | 2.4 | % | ||
Electronic Equipment, Instruments & Components | 2.1 | |||
Internet & Direct Marketing Retail | 2.0 | |||
Biotechnology | 1.9 | |||
Aerospace & Defense | 1.9 | |||
Food Products | 1.8 | |||
Building Products | 1.7 | |||
Automobiles | 1.6 | |||
Media | 1.6 | |||
Diversified Telecommunication Services | 1.5 | |||
Auto Components | 1.4 | |||
Health Care Providers & Services | 1.3 | |||
Specialty Retail | 1.1 | |||
Personal Products | 1.1 | |||
Airlines | 1.0 | |||
Textiles, Apparel & Luxury Goods | 1.0 | |||
Metals & Mining | 0.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
A110
GLOBAL PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Industry table (cont.) | ||||
Professional Services | 0.6 | % | ||
Construction Materials | 0.6 | |||
Life Sciences Tools & Services | 0.6 | |||
Equity Real Estate Investment Trusts (REITs) | 0.6 | |||
Road & Rail | 0.6 | |||
Technology Hardware, Storage & Peripherals | 0.6 | |||
Trading Companies & Distributors | 0.6 | |||
Household Durables | 0.6 | |||
Tobacco | 0.5 | |||
Real Estate Management & Development | 0.5 | |||
Communications Equipment | 0.5 | |||
Consumer Finance | 0.5 | |||
Beverages | 0.5 | |||
Commercial Services & Supplies | 0.4 | |||
Household Products | 0.4 | |||
Multiline Retail | 0.4 |
Construction & Engineering | 0.3 | % | ||
Paper & Forest Products | 0.3 | |||
Diversified Financial Services | 0.3 | |||
Wireless Telecommunication Services | 0.3 | |||
Leisure Products | 0.3 | |||
Containers & Packaging | 0.3 | |||
Independent Power & Renewable Electricity Producers | 0.3 | |||
Air Freight & Logistics | 0.2 | |||
Multi-Utilities | 0.2 | |||
Electrical Equipment | 0.2 | |||
Gas Utilities | 0.1 | |||
Thrifts & Mortgage Finance | 0.1 | |||
104.1 | ||||
Liabilities in excess of other assets | (4.1 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2016 as presented in the Statement of Assets and Liabilities:
Derivatives not designated for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Unaffiliated investments | $ | 27,086 | — | $ | — | ||||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:
For the year ended December 31, 2016, the Portfolio did not have any realized gain (loss) on derivatives recognized in income.
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Rights* | |||
Equity contracts | $ | 2,193 | ||
* | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 42,176,630 | $ | (42,176,630 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A111
GLOBAL PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $42,176,630: | ||||
Unaffiliated investments (cost $781,640,368) | $ | 928,147,946 | ||
Affiliated investments (cost $66,834,359) | 66,842,637 | |||
Foreign currency, at value (cost $2,905,990) | 2,893,109 | |||
Receivable for investments sold | 1,896,524 | |||
Tax reclaim receivable | 1,451,095 | |||
Dividends and interest receivable | 1,089,961 | |||
Receivable from affiliate | 23,845 | |||
Receivable for Series shares sold | 3,620 | |||
Prepaid expenses | 7,229 | |||
Total Assets | 1,002,355,966 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 43,374,675 | |||
Payable for investments purchased | 2,808,029 | |||
Management fee payable | 592,220 | |||
Accrued expenses and other liabilities | 181,287 | |||
Payable for Series shares repurchased | 37,167 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 46,994,358 | |||
NET ASSETS | $ | 955,361,608 | ||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 706,818,283 | ||
Retained earnings | 248,543,325 | |||
Net assets, December 31, 2016 | $ | 955,361,608 | ||
Net asset value and redemption price per share $955,361,608 / 34,741,496 outstanding shares of beneficial interest | $ | 27.50 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net) ( foreign withholding tax $1,509,894, of which $99,518 is reimbursable by an affiliate) | $ | 19,041,634 | ||
Income from securities lending, net (including affiliated income of $326,597) | 424,539 | |||
Affiliated dividend income | 175,000 | |||
Total income | 19,641,173 | |||
EXPENSES | ||||
Management fee | 7,065,842 | |||
Custodian and accounting fees (net of $41,400 fee credit) | 337,000 | |||
Shareholders’ reports | 102,000 | |||
Audit fee | 33,000 | |||
Trustees’ fees | 18,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Legal fees and expenses | 12,000 | |||
Insurance expenses | 10,000 | |||
Miscellaneous | 48,786 | |||
Total expenses | 7,638,628 | |||
Less: Management fee waiver | (126,009 | ) | ||
Net expenses | 7,512,619 | |||
NET INVESTMENT INCOME (LOSS) | 12,128,554 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: |
| |||
Investment transactions (including affiliated of $5,373) | 7,321,891 | |||
Foreign currency transactions | (353,587 | ) | ||
6,968,304 | ||||
Net change in unrealized appreciation (depreciation) on: |
| |||
Investments (including affiliated of $8,278) | 20,940,203 | |||
Foreign currencies | 12,039 | |||
20,952,242 | ||||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 27,920,546 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 40,049,100 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 12,128,554 | $ | 10,401,170 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 6,968,304 | 30,378,029 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 20,952,242 | (12,947,986 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 40,049,100 | 27,831,213 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [177,123 and 10,575,719 shares, respectively] | 4,692,671 | 267,851,761 | ||||||
Series shares repurchased [2,096,896 and 1,878,916 shares, respectively] | (55,475,254 | ) | (49,569,010 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (50,782,583 | ) | 218,282,751 | |||||
CAPITAL CONTRIBUTIONS (Note 4) | 808,056 | — | ||||||
TOTAL INCREASE (DECREASE) | (9,925,427 | ) | 246,113,964 | |||||
NET ASSETS: | ||||||||
Beginning of year | 965,287,035 | 719,173,071 | ||||||
End of year | $ | 955,361,608 | $ | 965,287,035 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A112
GOVERNMENT INCOME PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 98.7% | ||||||||||||||||
ASSET-BACKED SECURITIES — 5.4% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Collateralized Loan Obligations — 5.3% |
| |||||||||||||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.480% | (a) | 10/15/26 | 750 | $ | 751,904 | ||||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2014-7A, Class A1, 144A | 2.480% | (a) | 10/17/26 | 750 | 751,060 | |||||||||||
Battalion CLO Ltd. (Cayman Islands), Series 2015-8A, Class A1, 144A | 2.412% | (a) | 04/18/27 | 500 | 500,182 | |||||||||||
Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A | 2.360% | (a) | 01/15/26 | 600 | 600,963 | |||||||||||
BlueMountain CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A | 2.065% | (a) | 04/13/27 | 1,750 | 1,750,000 | |||||||||||
Flatiron CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A | 2.280% | (a) | 01/17/26 | 250 | 249,917 | |||||||||||
Galaxy CLO Ltd. (Cayman Islands), Series 2014-18A, Class A, 144A | 2.350% | (a) | 10/15/26 | 3,250 | 3,256,424 | |||||||||||
OZLM Funding Ltd. (Cayman Islands), Series 2012-1A, Class A1R, 144A | 2.402% | (a) | 07/22/27 | 500 | 500,081 | |||||||||||
Regatta Funding Ltd. (Cayman Islands), Series 2014-1A, Class A1, 144A | 2.292% | (a) | 07/25/26 | 250 | 250,154 | |||||||||||
Shackleton CLO Ltd. (Cayman Islands), Series 2014-5A, Class A, 144A | 2.381% | (a) | 05/07/26 | 750 | 752,487 | |||||||||||
Silver Spring CLO Ltd. (Cayman Islands), Series 2014-1A, Class A, 144A | 2.330% | (a) | 10/15/26 | 1,489 | 1,481,770 | |||||||||||
Sound Point CLO Ltd. (Cayman Islands), Series 2015-2A, Class A, 144A | 2.401% | (a) | 07/20/27 | 750 | 750,760 | |||||||||||
Trinitas CLO Ltd. (Cayman Islands), Series 2016-5A, Class A, 144A | 2.434% | (a) | 10/25/28 | 500 | 499,887 | |||||||||||
12,095,589 | ||||||||||||||||
Non-Residential Mortgage-Backed Securities — 0.1% |
| |||||||||||||||
Small Business Administration Participation Certificates, Series 1997-20A, Class 1 | 7.150% | 01/01/17 | 31 | 30,749 | ||||||||||||
Small Business Administration Participation Certificates, Series 1997-20G, Class 1 | 6.850% | 07/01/17 | 25 | 25,066 | ||||||||||||
Small Business Administration Participation Certificates, Series 1998-20I, Class 1 | 6.000% | 09/01/18 | 118 | 120,162 | ||||||||||||
175,977 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 12,271,566 | ||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 27.2% | ||||||||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class A3 | 3.515% | 09/10/58 | 700 | 716,626 | ||||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 | 2.540% | 12/10/45 | 1,000 | 994,960 | ||||||||||||
Commercial Mortgage Trust, Series 2015-CR24, Class A3 | 3.214% | 08/10/48 | 1,600 | 1,620,352 | ||||||||||||
Commercial Mortgage Trust, Series 2015-CR25, Class A3 | 3.505% | 08/10/48 | 1,000 | 1,026,280 | ||||||||||||
Fannie Mae-Aces, Series 2012-M2, Class A2 | 2.717% | 02/25/22 | 200 | 201,623 | ||||||||||||
Fannie Mae-Aces, Series 2012-M13, Class A2 | 2.377% | 05/25/22 | 1,850 | 1,837,631 | ||||||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 | 3.513% | (a) | 12/25/23 | 2,650 | 2,760,452 | |||||||||||
Fannie Mae-Aces, Series 2015-M1, Class AB2 | 2.465% | 09/25/24 | 550 | 533,869 | ||||||||||||
Fannie Mae-Aces, Series 2015-M3, Class AB2 | 2.625% | 10/25/24 | 2,730 | 2,682,857 | ||||||||||||
Fannie Mae-Aces, Series 2015-M8, Class AB2 | 2.829% | (a) | 01/25/25 | 1,600 | 1,587,088 | |||||||||||
Fannie Mae-Aces, Series 2015-M10, Class A2 | 3.092% | (a) | 04/25/27 | 1,600 | 1,603,547 | |||||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 | 2.940% | (a) | 11/25/25 | 1,500 | 1,506,942 | |||||||||||
Fannie Mae-Aces, Series 2016-M11, Class A2 | 2.369% | (a) | 07/25/26 | 1,200 | 1,138,492 | |||||||||||
Fannie Mae-Aces, Series 2016-M13, Class A2 | 2.477% | (a) | 09/25/26 | 2,100 | 1,983,371 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | 5.085% | 03/25/19 | 250 | 265,312 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO | 1.621% | (a) | 06/25/20 | 17,805 | 725,414 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO | 1.693% | (a) | 03/25/22 | 17,556 | 1,256,054 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO | 1.442% | (a) | 05/25/22 | 8,952 | 563,290 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO | 1.480% | (a) | 06/25/22 | 9,497 | 624,705 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2 | 2.573% | 09/25/22 | 2,000 | 2,016,457 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO | 0.883% | (a) | 10/25/22 | 26,946 | 1,112,657 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K032, Class A2 | 3.310% | (a) | 05/25/23 | 2,730 | 2,858,878 |
SEE NOTES TO FINANCIAL STATEMENTS.
A113
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2 | 3.060% | (a) | 07/25/23 | 3,600 | $ | 3,715,499 | ||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K038, Class A2 | 3.389% | 03/25/24 | 3,200 | 3,352,491 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K041, Class A2 | 3.171% | 10/25/24 | 4,000 | 4,117,131 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2 | 2.811% | 01/25/25 | 3,200 | 3,208,472 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K045, Class A2 | 3.023% | 01/25/25 | 4,000 | 4,064,681 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K060, Class AM | 3.300% | 10/25/26 | 1,930 | 1,967,786 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K151, Class A3 | 3.511% | 04/25/30 | 400 | 410,651 | ||||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, IO | 1.759% | (a) | 05/25/19 | 7,901 | 263,467 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, IO | 1.692% | (a) | 07/25/19 | 7,596 | 257,144 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | 3.161% | (a) | 05/25/25 | 2,600 | 2,628,814 | |||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2 | 3.003% | 01/15/47 | 1,700 | 1,734,134 | ||||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A3 | 3.322% | 07/15/48 | 1,600 | 1,625,715 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 | 2.694% | 04/15/46 | 1,700 | 1,718,552 | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A3 | 3.451% | 07/15/50 | 1,600 | 1,635,450 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class AM | 5.795% | (a) | 07/15/45 | 155 | 154,442 | |||||||||||
Wells Fargo Commercial Mortgage Trust, Series 2016-C37, Class A4 | 3.525% | 12/15/49 | 1,100 | 1,115,880 | ||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
| 61,587,166 | ||||||||||||||
CORPORATE BOND — 1.1% | ||||||||||||||||
Diversified Financial Services | ||||||||||||||||
Private Export Funding Corp., U.S. Gov’t. Gtd. Notes | 4.300% | 12/15/21 | 2,160 | 2,377,158 | ||||||||||||
MUNICIPAL BONDS — 0.4% | ||||||||||||||||
California — 0.2% |
| |||||||||||||||
California Educational Facilities Authority, Revenue Bonds, BABs | 5.000% | 06/01/46 | 125 | 160,080 | ||||||||||||
Central Puget Sound Regional Transit Authority, Revenue Bonds, BABs | 5.000% | 11/01/46 | 180 | 228,560 | ||||||||||||
388,640 | ||||||||||||||||
Pennsylvania — 0.2% | ||||||||||||||||
Pennsylvania Turnpike Commission, Revenue Bonds, BABs | 5.000% | 12/01/46 | 500 | 550,450 | ||||||||||||
TOTAL MUNICIPAL BONDS |
| 939,090 | ||||||||||||||
NON-CORPORATE FOREIGN AGENCY — 0.4% | ||||||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 3.150% | 07/24/24 | 820 | 831,636 | ||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.1% | ||||||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2496, Class PM | 5.500% | 09/15/17 | 40 | 40,734 | ||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2501, Class MC | 5.500% | 09/15/17 | 2 | 1,925 | ||||||||||||
Federal Home Loan Mortgage Corp., REMICS, Series 2002-2513, Class HC | 5.000% | 10/15/17 | 95 | 95,887 | ||||||||||||
Federal National Mortgage Assoc., REMICS, Series 2002-57, Class ND | 5.500% | 09/25/17 | 3 | 2,692 | ||||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1 | 1.376% | (a) | 10/25/28 | 31 | 29,467 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 | 3.093% | (a) | 02/25/34 | 150 | 150,155 | |||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
| 320,860 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A114
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS — 43.4% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal Home Loan Mortgage Corp. | 2.500% | TBA | 500 | $ | 500,898 | |||||||||
Federal Home Loan Mortgage Corp. | 2.500% | 03/01/30 | 804 | 806,911 | ||||||||||
Federal Home Loan Mortgage Corp. | 2.745% | (a) | 05/01/34 | 242 | 253,484 | |||||||||
Federal Home Loan Mortgage Corp. | 3.000% | TBA | 3,500 | 3,475,410 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/29 | 666 | 684,428 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.000% | 06/01/45 | 858 | 853,725 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | TBA | 4,500 | 4,607,743 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/26 | 312 | 327,090 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 01/01/27 | 328 | 344,029 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 07/01/42 | 874 | 900,130 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 10/01/42 | 1,438 | 1,480,891 | ||||||||||
Federal Home Loan Mortgage Corp. | 3.500% | 08/01/43 | 1,163 | 1,197,242 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | TBA | 2,250 | 2,363,247 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 06/01/26 | 113 | 118,645 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 09/01/26 | 382 | 402,357 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 09/01/40 | 572 | 604,154 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 12/01/40 | 584 | 614,953 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 12/01/40 | 626 | 661,004 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.000% | 10/01/45 | 408 | 428,883 | ||||||||||
Federal Home Loan Mortgage Corp. | 4.500% | 09/01/39 | 2,196 | 2,369,710 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 06/01/33 | 483 | 531,739 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.000% | 05/01/34 | 487 | 533,825 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/37 | 97 | 107,987 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 02/01/38 | 335 | 374,230 | ||||||||||
Federal Home Loan Mortgage Corp. | 5.500% | 05/01/38 | 137 | 153,105 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 09/01/34 | 78 | 87,767 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 01/01/37 | 158 | 179,724 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 09/01/38 | 93 | 105,604 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.000% | 08/01/39 | 112 | 128,228 | ||||||||||
Federal Home Loan Mortgage Corp. | 6.500% | 09/01/32 | 58 | 65,899 | ||||||||||
Federal National Mortgage Assoc. | 1.000% | 10/24/19 | 2,300 | 2,268,205 | ||||||||||
Federal National Mortgage Assoc. | 2.000% | 08/01/31 | 393 | 383,279 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | TBA | 1,000 | 951,350 | ||||||||||
Federal National Mortgage Assoc. | 2.500% | 06/01/28 | 2,829 | 2,838,696 | ||||||||||
Federal National Mortgage Assoc. | 2.539% | (a) | 07/01/33 | 715 | 756,345 | |||||||||
Federal National Mortgage Assoc. | 2.617% | (a) | 04/01/34 | 125 | 131,258 | |||||||||
Federal National Mortgage Assoc. | 2.636% | (a) | 06/01/34 | 259 | 274,915 | |||||||||
Federal National Mortgage Assoc. | 2.755% | (a) | 04/01/34 | 214 | 226,100 | |||||||||
Federal National Mortgage Assoc. | 2.893% | (a) | 08/01/33 | 524 | 551,554 | |||||||||
Federal National Mortgage Assoc. | 3.000% | 08/01/28 | 1,465 | 1,504,767 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 02/01/31 | 1,864 | 1,914,241 | ||||||||||
Federal National Mortgage Assoc. | 3.000% | 11/01/36 | 992 | 1,005,408 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | TBA | 8,750 | 8,968,067 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 03/01/27 | 660 | 689,546 | ||||||||||
Federal National Mortgage Assoc. | 3.500% | 06/01/39 | 396 | 406,236 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | TBA | 10,500 | 11,038,740 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/40 | 2,128 | 2,236,383 | ||||||||||
Federal National Mortgage Assoc. | 4.000% | 09/01/44 | 1,227 | 1,290,551 | ||||||||||
Federal National Mortgage Assoc. | 4.500% | 05/01/40 | 2,926 | 3,173,811 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/18 | 8 | 8,525 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 08/01/18 | 36 | 36,929 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 01/01/19 | 126 | 129,619 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 02/01/19 | 90 | 92,045 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 11/01/19 | 63 | 64,991 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 12/01/31 | 30 | 32,813 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 03/01/34 | 548 | 597,586 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 06/01/35 | 244 | 267,744 | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 07/01/35 | 128 | 139,779 |
SEE NOTES TO FINANCIAL STATEMENTS.
A115
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Federal National Mortgage Assoc. | 5.000% | 05/01/36 | 172 | $ | 187,739 | |||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/17 | — | (b) | 15 | |||||||||
Federal National Mortgage Assoc. | 5.500% | 04/01/17 | — | (b) | 394 | |||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/18 | 22 | 22,223 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/18 | 23 | 23,775 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 11/01/18 | 23 | 23,521 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/34 | 319 | 358,355 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 09/01/34 | 349 | 394,570 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 02/01/35 | 400 | 452,620 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 06/01/35 | 220 | 246,272 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 06/01/35 | 172 | 191,787 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 09/01/35 | 285 | 318,544 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 09/01/35 | 95 | 105,659 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 10/01/35 | 376 | 420,042 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 11/01/35 | 678 | 764,265 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 11/01/35 | 526 | 587,548 | ||||||||||
Federal National Mortgage Assoc. | 5.500% | 11/01/35 | 615 | 690,997 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/21 | 48 | 51,757 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/33 | 12 | 13,339 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 02/01/34 | 183 | 210,446 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 08/01/34 | 1 | 1,073 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 10/01/34 | 56 | 63,285 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 1 | 1,235 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 11/01/34 | 1 | 1,124 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 12/01/34 | 1 | 1,164 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/35 | 38 | 43,175 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 01/01/36 | 214 | 241,632 | ||||||||||
Federal National Mortgage Assoc. | 6.000% | 05/01/38 | 80 | 90,704 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 07/01/32 | 336 | 380,631 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 08/01/32 | 131 | 148,681 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/32 | 360 | 406,914 | ||||||||||
Federal National Mortgage Assoc. | 6.500% | 10/01/37 | 241 | 272,628 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 12/01/31 | 100 | 114,635 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 12/01/31 | 1 | 616 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 11/01/33 | 11 | 11,912 | ||||||||||
Federal National Mortgage Assoc. | 7.000% | 01/01/36 | 34 | 38,338 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 10/01/23 | — | (b) | 343 | |||||||||
Federal National Mortgage Assoc. | 8.000% | 09/01/24 | 1 | 1,331 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 11/01/24 | 1 | 1,460 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 01/01/26 | 1 | 678 | ||||||||||
Federal National Mortgage Assoc. | 8.000% | 02/01/26 | 2 | 2,249 | ||||||||||
Federal National Mortgage Assoc. | 9.000% | 02/01/25 | 15 | 16,779 | ||||||||||
Federal National Mortgage Assoc. | 9.000% | 04/01/25 | 8 | 8,906 | ||||||||||
Government National Mortgage Assoc. | 3.000% | TBA | 4,000 | 4,050,078 | ||||||||||
Government National Mortgage Assoc. | 3.000% | 03/15/45 | 2,464 | 2,493,257 | ||||||||||
Government National Mortgage Assoc. | 3.500% | TBA | 500 | 519,756 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 03/20/45 | 1,594 | 1,658,580 | ||||||||||
Government National Mortgage Assoc. | 3.500% | 04/20/45 | 1,355 | 1,410,029 | ||||||||||
Government National Mortgage Assoc. | 4.000% | 06/15/40 | 321 | 342,121 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 02/20/41 | 882 | 950,621 | ||||||||||
Government National Mortgage Assoc. | 4.500% | 03/20/41 | 748 | 806,347 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 07/15/33 | 229 | 255,133 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 09/15/33 | 302 | 333,999 | ||||||||||
Government National Mortgage Assoc. | 5.000% | 04/15/34 | 89 | 96,897 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/34 | 439 | 494,634 | ||||||||||
Government National Mortgage Assoc. | 5.500% | 03/15/36 | 97 | 109,690 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 07/15/32 | 23 | 26,132 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 4 | 4,215 |
SEE NOTES TO FINANCIAL STATEMENTS.
A116
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 5 | $ | 5,472 | |||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 19 | 21,622 | ||||||||||
Government National Mortgage Assoc. | 6.500% | 08/15/32 | 125 | 143,649 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 03/15/23 | 2 | 2,037 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 05/15/23 | 8 | 8,984 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 06/15/23 | 2 | 1,674 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 06/15/23 | 6 | 5,780 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 06/15/23 | 2 | 1,528 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 06/15/23 | 22 | 24,057 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 07/15/23 | 16 | 16,159 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 07/15/23 | — | (b) | 1 | |||||||||
Government National Mortgage Assoc. | 7.000% | 07/15/23 | 1 | 1,075 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 08/15/23 | 12 | 12,408 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 08/15/23 | 8 | 8,725 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 08/15/23 | 2 | 1,518 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 09/15/23 | 2 | 1,665 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 10/15/23 | 6 | 5,986 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 10/15/23 | — | (b) | 112 | |||||||||
Government National Mortgage Assoc. | 7.000% | 10/15/23 | 6 | 6,635 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 11/15/23 | 6 | 6,423 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 11/15/23 | 12 | 12,780 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 11/15/23 | 1 | 803 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 01/15/24 | 82 | 88,579 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 05/15/24 | 80 | 85,828 | ||||||||||
Government National Mortgage Assoc. | 7.000% | 08/15/28 | 63 | 72,148 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 12/15/25 | 40 | 44,543 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 12/15/25 | 9 | 10,034 | ||||||||||
Government National Mortgage Assoc. | 7.500% | 02/15/26 | 10 | 10,856 | ||||||||||
Government National Mortgage Assoc. | 8.500% | 09/15/24 | 102 | 112,573 | ||||||||||
Government National Mortgage Assoc. | 8.500% | 04/15/25 | 10 | 11,380 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.578% | 06/30/22 | 1,520 | 1,546,194 | ||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Gov’t. Gtd. Notes | 3.000% | 06/30/25 | 1,380 | 1,407,655 | ||||||||||
Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500% | 09/18/23 | 1,300 | 1,538,648 | ||||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 2.194% | (c) | 01/15/21 | 643 | 591,177 | |||||||||
Residual Funding Corp. Strips Principal, Unsec’d. Notes, PO | 3.001% | (c) | 04/15/30 | 635 | 411,239 | |||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 6.750% | 11/01/25 | 510 | 667,665 | ||||||||||
Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125% | 05/01/30 | 980 | 1,396,047 | ||||||||||
Ukraine Government, USAID Bonds, U.S. Gov’t. Gtd. Notes | 1.471% | 09/29/21 | 2,200 | 2,147,737 | ||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 98,138,771 | ||||||||||||
U.S. TREASURY OBLIGATIONS — 20.7% | ||||||||||||||
U.S. Treasury Bonds | 2.500% | 02/15/45 | 195 | 173,695 | ||||||||||
U.S. Treasury Bonds | 2.500% | 05/15/46 | 570 | 506,543 | ||||||||||
U.S. Treasury Bonds | 2.875% | 11/15/46 | 570 | 550,317 | ||||||||||
U.S. Treasury Bonds | 3.000% | 05/15/45 | 950 | 937,160 | ||||||||||
U.S. Treasury Bonds | 4.250% | 11/15/40 | 3,995 | 4,850,178 | ||||||||||
U.S. Treasury Bonds | 4.750% | 02/15/41 | 1,710 | 2,229,412 | ||||||||||
U.S. Treasury Bonds | 8.125% | 08/15/21 | 455 | 579,467 | ||||||||||
U.S. Treasury Notes | 0.750% | 02/28/18 | 570 | 568,664 | ||||||||||
U.S. Treasury Notes(d) | 1.000% | 03/15/18 | 100 | 100,047 | ||||||||||
U.S. Treasury Notes | 1.375% | 12/15/19 | 1,065 | 1,062,462 | ||||||||||
U.S. Treasury Notes | 1.375% | 04/30/21 | 10,200 | 10,005,965 | ||||||||||
U.S. Treasury Notes | 1.625% | 04/30/23 | 860 | 831,782 | ||||||||||
U.S. Treasury Notes | 1.750% | 11/30/21 | 515 | 511,158 | ||||||||||
U.S. Treasury Notes | 2.125% | 09/30/21 | 9,850 | 9,937,340 | ||||||||||
U.S. Treasury Notes | 2.125% | 12/31/21 | 425 | 428,636 | ||||||||||
U.S. Treasury Notes | 2.125% | 06/30/22 | 380 | 381,336 | ||||||||||
U.S. Treasury Notes(d) | 2.125% | 12/31/22 | 505 | 504,724 |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. TREASURY OBLIGATIONS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
U.S. Treasury Notes(e) | 2.125% | 11/30/23 | 2,630 | $ | 2,612,534 | |||||||||
U.S. Treasury Notes | 2.250% | 12/31/23 | 850 | 850,399 | ||||||||||
U.S. Treasury Strips Coupon | 2.037% | (c) | 02/15/22 | 1,690 | 1,519,212 | |||||||||
U.S. Treasury Strips Coupon | 2.184% | (c) | 02/15/28 | 550 | 406,877 | |||||||||
U.S. Treasury Strips Coupon | 2.384% | (c) | 05/15/29 | 565 | 400,866 | |||||||||
U.S. Treasury Strips Coupon(d)(f) | 2.404% | (c) | 08/15/21 | 2,525 | 2,302,560 | |||||||||
U.S. Treasury Strips Coupon | 2.783% | (c) | 08/15/29 | 500 | 351,835 | |||||||||
U.S. Treasury Strips Coupon | 2.878% | (c) | 05/15/31 | 500 | 331,316 | |||||||||
U.S. Treasury Strips Coupon | 3.042% | (c) | 11/15/35 | 1,000 | 566,387 | |||||||||
U.S. Treasury Strips Coupon | 3.202% | (c) | 08/15/40 | 1,000 | 472,389 | |||||||||
U.S. Treasury Strips Coupon | 4.138% | (c) | 02/15/42 | 3,725 | 1,662,605 | |||||||||
U.S. Treasury Strips Principal, PO | 2.351% | (c) | 05/15/43 | 595 | 259,982 | |||||||||
U.S. Treasury Strips Principal, PO | 2.543% | (c) | 02/15/45 | 515 | 212,647 | |||||||||
U.S. Treasury Strips Principal, PO | 2.952% | (c) | 05/15/45 | 800 | 327,513 | |||||||||
U.S. Treasury Strips Principal, PO | 3.005% | (c) | 11/15/44 | 715 | 297,573 | |||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 46,733,581 | ||||||||||||
TOTAL LONG-TERM INVESTMENTS |
| 223,199,828 | ||||||||||||
SHORT-TERM INVESTMENTS — 18.6% | Shares | |||||||||||||
AFFILIATED MUTUAL FUNDS | ||||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(g) | 4,100,294 | 38,009,726 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(g) | 1,765,750 | 1,765,750 | ||||||||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 2,424,336 | 2,424,821 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 42,200,297 | ||||||||||||
TOTAL INVESTMENTS — 117.3% |
| 265,400,125 | ||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (17.3)% |
| (39,082,060 | ) | |||||||||||
NET ASSETS — 100.0% |
| $ | 226,318,065 | |||||||||||
See the Glossary for abbreviations used in the annual report.
# | Principal or notional amount shown in U.S. dollars unless otherwise stated. |
(a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2016. |
(b) | Less than $500 par. |
(c) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
(d) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
(e) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $2,384,062; cash collateral of $2,424,720 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(f) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(g) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(h) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(i) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
SEE NOTES TO FINANCIAL STATEMENTS.
A118
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Futures contracts outstanding at December 31, 2016:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Positions: | ||||||||||||||||||||
311 | 2 Year U.S. Treasury Notes | Mar. 2017 | $ | 67,376,004 | $ | 67,389,813 | $ | 13,809 | ||||||||||||
213 | 5 Year U.S. Treasury Notes | Mar. 2017 | 25,041,238 | 25,062,445 | 21,207 | |||||||||||||||
69 | 10 Year U.S. Treasury Notes | Mar. 2017 | 8,506,499 | 8,575,407 | 68,908 | |||||||||||||||
49 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2017 | 7,873,712 | 7,852,250 | (21,462 | ) | ||||||||||||||
82,462 | ||||||||||||||||||||
Short Position: | ||||||||||||||||||||
51 | 20 Year U.S. Treasury Bonds | Mar. 2017 | 7,668,519 | 7,683,469 | (14,950 | ) | ||||||||||||||
$ | 67,512 | |||||||||||||||||||
A U.S. Treasury Obligation with a market value of $897,314 has been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2016.
Interest rate swap agreements outstanding at December 31, 2016:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Centrally cleared swap agreements: |
| ||||||||||||||||||||||
52,560 | 09/09/17 | 0.539% | 1 Day USOIS(1) | $ | 348 | �� | $ | 65,668 | $ | 65,320 | ||||||||||||||
45,065 | 10/18/17 | 0.607% | 1 Day USOIS(1) | 191 | 52,159 | 51,968 | ||||||||||||||||||
24,905 | 11/09/17 | 0.626% | 1 Day USOIS(1) | 206 | 33,096 | 32,890 | ||||||||||||||||||
4,250 | 01/13/22 | 2.351% | 3 Month LIBOR(1) | 151 | (75,922 | ) | (76,073 | ) | ||||||||||||||||
1,710 | 01/22/22 | 2.467% | 3 Month LIBOR(1) | 160 | (40,143 | ) | (40,303 | ) | ||||||||||||||||
8,330 | 11/30/22 | 1.850% | 3 Month LIBOR(1) | 151 | 97,518 | 97,367 | ||||||||||||||||||
3,445 | 08/02/23 | —(3) | —(3) | (858 | ) | 9,377 | 10,235 | |||||||||||||||||
5,183 | 08/02/23 | —(4) | —(4) | 800 | 14,950 | 14,150 | ||||||||||||||||||
1,335 | 08/03/23 | —(5) | —(5) | (322 | ) | 3,752 | 4,074 | |||||||||||||||||
2,805 | 08/19/23 | 0.898% | 1 Day USOIS(1) | 165 | 150,336 | 150,171 | ||||||||||||||||||
3,805 | 10/27/23 | 1.073% | 1 Day USOIS(1) | 171 | 172,360 | 172,189 | ||||||||||||||||||
8,720 | 12/20/23 | 2.932% | 3 Month LIBOR(1) | 220 | (439,537 | ) | (439,757 | ) | ||||||||||||||||
5,290 | 09/17/24 | 2.732% | 3 Month LIBOR(1) | 111 | (194,698 | ) | (194,809 | ) | ||||||||||||||||
1,860 | 09/04/25 | 2.214% | 3 Month LIBOR(1) | 164 | 7,282 | 7,118 | ||||||||||||||||||
130 | 01/08/26 | 2.210% | 3 Month LIBOR(1) | 2 | 803 | 801 | ||||||||||||||||||
715 | 05/15/37 | 2.726% | 3 Month LIBOR(2) | 162 | 16,299 | 16,137 | ||||||||||||||||||
1,405 | 11/15/41 | 1.869% | 3 Month LIBOR(1) | 5,531 | 193,346 | 187,815 | ||||||||||||||||||
$ | 7,353 | $ | 66,646 | $ | 59,293 | |||||||||||||||||||
U.S. Treasury Obligations with a combined market value of $1,732,140 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at December 31, 2016.
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
(3) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.25 bps. |
(4) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.50 bps. |
(5) | The Portfolio pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.375 bps. |
SEE NOTES TO FINANCIAL STATEMENTS.
A119
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange ratesand other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Asset-Backed Securities |
| |||||||||||
Collateralized Loan Obligations | $ | — | $ | 12,095,589 | $ | — | ||||||
Non-Residential Mortgage-Backed Securities | — | 175,977 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 61,587,166 | — | |||||||||
Corporate Bond | — | 2,377,158 | — | |||||||||
Municipal Bonds | — | 939,090 | — | |||||||||
Non-Corporate Foreign Agency | — | 831,636 | — | |||||||||
Residential Mortgage-Backed Securities | — | 320,860 | — | |||||||||
U.S. Government Agency Obligations | — | 98,138,771 | — | |||||||||
U.S. Treasury Obligations | — | 46,733,581 | — | |||||||||
Affiliated Mutual Funds | 42,200,297 | — | — | |||||||||
Other Financial Instruments* |
| |||||||||||
Futures Contracts | 67,512 | — | — | |||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 59,293 | — | |||||||||
Total | $ | 42,267,809 | $ | 223,259,121 | $ | — | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
U.S. Government Agency Obligations | 43.4 | % | ||
Commercial Mortgage-Backed Securities | 27.2 | |||
U.S. Treasury Obligations | 20.7 | |||
Affiliated Mutual Funds (including 1.1% of collateral for securities on loan) | 18.6 | |||
Collateralized Loan Obligations | 5.3 | |||
Diversified Financial Services | 1.1 | |||
Municipal Bonds | 0.4 |
Non-Corporate Foreign Agency | 0.4 | % | ||
Residential Mortgage-Backed Securities | 0.1 | |||
Non-Residential Mortgage-Backed Securities | 0.1 | |||
117.3 | ||||
Liabilities in excess of other assets | (17.3 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments is interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2016 as presented in the Statement of Assets and Liabilities:
Derivatives not designated as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Interest rate contracts | Due from/to broker — variation margin futures | $ | 103,924 | * | Due from/to broker — variation margin futures | $ | 36,412 | * | ||||
Interest rate contracts | Due from/to broker — variation margin swaps | 810,235 | * | Due from/to broker — variation margin swaps | 750,942 | * | ||||||
Total | $ | 914,159 | $ | 787,354 | ||||||||
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A120
GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased* | Options Written | Futures | Forward Rate Agreements | Swaps | Total | ||||||||||||||||||
Interest rate contracts | $ | (443,759 | ) | $ | (134,785 | ) | $ | 615,042 | $ | 8,789 | $ | (369,488 | ) | $ | (324,201 | ) | ||||||||
* | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||
Derivatives not accounted for as hedging | Options Purchased* | Options Written | Futures | Swaps | Total | |||||||||||||||
Interest rate contracts | $ | 214,775 | $ | (127,080 | ) | $ | (101,531 | ) | $ | 892,061 | $ | 878,225 | ||||||||
* | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
For the year ended December 31, 2016, the Portfolio’s average volume of derivative activities is as follows:
Options Purchased(1) | Options Written(2) | Futures Contracts— Long Positions(3) | Futures Contracts— Short Position(3) | Interest Rate | ||||
$62,788 | $132,192,000 | $92,034,345 | $28,397,987 | $120,316,200 |
Total Return Swap Agreements(2) |
$1,800,000 |
(1) | Cost. |
(2) | Notional Amount in USD. |
(3) | Value at Trade Date. |
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 2,384,062 | $ | (2,384,062 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A121
GOVERNMENT INCOME PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $2,384,062: | ||||
Unaffiliated investments (cost $223,353,971) | $ | 223,199,828 | ||
Affiliated investments (cost $44,186,145) | 42,200,297 | |||
Receivable for investments sold | 20,295,599 | |||
Dividends and interest receivable | 833,956 | |||
Due from broker—variation margin futures | 88,009 | |||
Receivable for Series shares sold | 5,741 | |||
Prepaid expenses | 1,853 | |||
Total Assets | 286,625,283 | |||
LIABILITIES | ||||
Payable for investments purchased | 57,645,317 | |||
Payable to broker for collateral for securities on loan | 2,424,720 | |||
Management fee payable | 76,814 | |||
Accrued expenses and other liabilities | 70,652 | |||
Due to broker—variation margin swaps | 56,546 | |||
Payable for Series shares repurchased | 31,817 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 372 | |||
Total Liabilities | 60,307,218 | |||
NET ASSETS | $ | 226,318,065 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 205,832,135 | ||
Retained earnings | 20,485,930 | |||
Net assets, December 31, 2016 | $ | 226,318,065 | ||
Net asset value and redemption price per share | $ | 12.26 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 4,199,903 | ||
Affiliated dividend income | 789,114 | |||
Income from securities lending, net (including affiliated income of $2,048) | 2,306 | |||
Total income | 4,991,323 | |||
EXPENSES | ||||
Management fee | 943,112 | |||
Shareholders’ reports | 99,000 | |||
Custodian and accounting fees (net of $4,500 fee credit) | 76,000 | |||
Audit fee | 40,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Trustees’ fees | 11,000 | |||
Legal fees and expenses | 9,000 | |||
Commitment fee on syndicated credit agreement | 7,000 | |||
Insurance expenses | 4,000 | |||
Loan interest expense | 38 | |||
Miscellaneous | 7,776 | |||
Total expenses | 1,208,926 | |||
NET INVESTMENT INCOME (LOSS) | 3,782,397 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 2,109,254 | |||
Futures transactions | 615,042 | |||
Options written transactions | (134,785 | ) | ||
Forward rate agreement transactions | 8,789 | |||
Swap agreement transactions | (369,488 | ) | ||
2,228,812 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $(1,093)) | (1,672,056 | ) | ||
Futures | (101,531 | ) | ||
Options written | (127,080 | ) | ||
Swap agreements | 892,061 | |||
(1,008,606 | ) | |||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 1,220,206 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,002,603 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 3,782,397 | $ | 4,806,869 | ||||
Net realized gain (loss) on investment transactions | 2,228,812 | 1,519,137 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,008,606 | ) | (3,732,049 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 5,002,603 | 2,593,957 | ||||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [942,340 and 446,808 shares, respectively] | 11,729,036 | 5,381,539 | ||||||
Series shares repurchased [1,792,349 and 9,585,972 shares, respectively] | (22,240,242 | ) | (115,358,336 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (10,511,206 | ) | (109,976,797 | ) | ||||
CAPITAL CONTRIBUTIONS (Note 4) | 28,977 | — | ||||||
TOTAL INCREASE (DECREASE) | (5,479,626 | ) | (107,382,840 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 231,797,691 | 339,180,531 | ||||||
End of year | $ | 226,318,065 | $ | 231,797,691 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A122
GOVERNMENT MONEY MARKET PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. GOVERNMENT AGENCY OBLIGATIONS — 82.6% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Federal Farm Credit Bank | 0.430% | 01/13/17 | 6,000 | $ | 6,000,203 | |||||||||||
Federal Farm Credit Bank | 0.490% | (a) | 02/01/17 | 1,100 | 1,099,545 | |||||||||||
Federal Farm Credit Bank | 0.719% | (b) | 04/20/18 | 6,500 | 6,499,553 | |||||||||||
Federal Farm Credit Bank | 0.726% | (b) | 10/25/17 | 11,000 | 11,000,000 | |||||||||||
Federal Farm Credit Bank | 0.801% | (b) | 08/29/17 | 2,000 | 1,998,683 | |||||||||||
Federal Farm Credit Bank | 0.811% | (b) | 02/27/17 | 3,000 | 3,000,936 | |||||||||||
Federal Farm Credit Bank | 0.826% | (b) | 09/28/17 | 12,000 | 11,999,092 | |||||||||||
Federal Farm Credit Bank | 4.875% | 01/17/17 | 8,110 | 8,125,536 | ||||||||||||
Federal Home Loan Bank | 0.346% | (a) | 01/09/17 | 11,000 | 10,999,169 | |||||||||||
Federal Home Loan Bank | 0.357% | (a) | 01/10/17 | 9,000 | 8,999,213 | |||||||||||
Federal Home Loan Bank | 0.357% | (a) | 01/20/17 | 11,000 | 10,997,968 | |||||||||||
Federal Home Loan Bank | 0.387% | (a) | 01/04/17 | 9,000 | 8,999,715 | |||||||||||
Federal Home Loan Bank | 0.392% | (a) | 01/06/17 | 44,000 | 43,997,651 | |||||||||||
Federal Home Loan Bank | 0.405% | (a) | 02/01/17 | 29,000 | 28,990,070 | |||||||||||
Federal Home Loan Bank | 0.406% | (a) | 01/13/17 | 112,000 | 111,985,137 | |||||||||||
Federal Home Loan Bank | 0.417% | (b) | 04/24/17 | 9,500 | 9,500,000 | |||||||||||
Federal Home Loan Bank | 0.423% | (a) | 01/18/17 | 22,000 | 21,995,687 | |||||||||||
Federal Home Loan Bank | 0.428% | (a) | 02/03/17 | 15,000 | 14,994,225 | |||||||||||
Federal Home Loan Bank | 0.437% | (a) | 01/27/17 | 34,750 | 34,739,239 | |||||||||||
Federal Home Loan Bank | 0.448% | (a) | 01/11/17 | 4,000 | 3,999,511 | |||||||||||
Federal Home Loan Bank | 0.450% | (a) | 02/08/17 | 30,000 | 29,986,027 | |||||||||||
Federal Home Loan Bank | 0.483% | (a) | 01/25/17 | 30,000 | 29,990,533 | |||||||||||
Federal Home Loan Bank | 0.495% | (a) | 01/23/17 | 1,700 | 1,699,496 | |||||||||||
Federal Home Loan Bank | 0.500% | (a) | 01/17/17 | 4,000 | 3,999,129 | |||||||||||
Federal Home Loan Bank | 0.507% | (a) | 04/28/17 | 2,000 | 1,996,763 | |||||||||||
Federal Home Loan Bank | 0.510% | (a) | 01/24/17 | 4,000 | 3,998,722 | |||||||||||
Federal Home Loan Bank | 0.664% | (b) | 12/08/17 | 4,000 | 3,999,812 | |||||||||||
Federal Home Loan Bank | 0.678% | (b) | 01/13/17 | 10,000 | 10,000,324 | |||||||||||
Federal Home Loan Bank | 0.736% | (b) | 03/17/17 | 5,000 | 4,999,178 | |||||||||||
Federal Home Loan Bank | 0.741% | (b) | 08/28/17 | 3,000 | 3,000,000 | |||||||||||
Federal Home Loan Bank | 0.743% | (b) | 02/08/18 | 6,000 | 6,000,000 | |||||||||||
Federal Home Loan Bank | 0.752% | (b) | 02/15/18 | 4,000 | 4,000,000 | |||||||||||
Federal Home Loan Bank | 0.766% | (b) | 05/16/17 | 4,000 | 3,999,578 | |||||||||||
Federal Home Loan Bank | 0.777% | (b) | 03/29/18 | 6,000 | 6,000,000 | |||||||||||
Federal Home Loan Bank | 0.791% | (b) | 11/06/17 | 1,800 | 1,799,631 | |||||||||||
Federal Home Loan Bank | 0.812% | (b) | 10/25/17 | 3,000 | 3,000,000 | |||||||||||
Federal Home Loan Bank | 0.823% | (b) | 01/19/17 | 4,000 | 4,000,000 | |||||||||||
Federal Home Loan Bank | 0.826% | (b) | 02/17/17 | 6,000 | 6,001,448 | |||||||||||
Federal Home Loan Bank | 0.856% | (b) | 08/01/17 | 2,000 | 2,000,000 | |||||||||||
Federal Home Loan Bank | 0.881% | (b) | 08/21/17 | 1,000 | 999,936 | |||||||||||
Federal Home Loan Bank | 0.883% | (b) | 12/07/17 | 3,500 | 3,500,000 | |||||||||||
Federal Home Loan Bank | 0.938% | (b) | 09/11/17 | 2,000 | 1,999,931 | |||||||||||
Federal Home Loan Bank | 0.956% | (b) | 12/22/17 | 3,500 | 3,500,000 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.326% | (a) | 01/04/17 | 10,000 | 9,999,733 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.408% | (a) | 02/01/17 | 7,000 | 6,997,589 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.449% | (a) | 01/19/17 | 9,000 | 8,998,020 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.469% | (a) | 02/07/17 | 14,000 | 13,993,381 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.479% | (a) | 01/20/17 | 10,000 | 9,997,519 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.489% | (b) | 05/08/17 | 9,000 | 9,000,000 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.500% | 01/27/17 | 6,000 | 6,000,101 | ||||||||||||
Federal Home Loan Mortgage Corp. | 0.530% | (a) | 02/17/17 | 3,000 | 2,997,963 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.744% | (b) | 04/20/17 | 7,000 | 6,999,680 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.842% | (b) | 01/08/18 | 5,000 | 5,000,000 | |||||||||||
Federal Home Loan Mortgage Corp. | 0.875% | 02/22/17 | 7,100 | 7,102,690 | ||||||||||||
Federal National Mortgage Assoc. | 0.771% | (b) | 01/26/17 | 1,000 | 999,983 | |||||||||||
Federal National Mortgage Assoc. | 0.846% | (b) | 01/11/18 | 8,000 | 8,000,000 | |||||||||||
Federal National Mortgage Assoc. | 1.250% | 01/30/17 | 2,000 | 2,001,255 | ||||||||||||
598,479,555 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A123
GOVERNMENT MONEY MARKET PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
U.S. TREASURY OBLIGATIONS — 11.2% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
U.S. Treasury Bills | 0.352% | (a) | 01/26/17 | 8,000 | $ | 7,998,083 | ||||||||||
U.S. Treasury Bills | 0.362% | (a) | 02/02/17 | 8,500 | 8,497,318 | |||||||||||
U.S. Treasury Bills | 0.409% | (a) | 01/19/17 | 21,000 | 20,995,790 | |||||||||||
U.S. Treasury Bills | 0.432% | (a) | 01/12/17 | 24,500 | 24,496,831 | |||||||||||
U.S. Treasury Bills | 0.453% | (a) | 02/16/17 | 10,000 | 9,994,322 | |||||||||||
U.S. Treasury Notes | 0.500% | 01/31/17 | 6,000 | 6,000,199 | ||||||||||||
U.S. Treasury Notes | 0.875% | 02/28/17 | 3,000 | 3,002,315 | ||||||||||||
80,984,858 | ||||||||||||||||
REPURCHASE AGREEMENT(c) — 4.7% |
| |||||||||||||||
TD Securities (USA) LLC, 0.52%, dated 12/30/16, due 01/03/17 in the amount of $33,615,942 |
| 33,614 | 33,614,000 | |||||||||||||
TOTAL INVESTMENTS — 98.5% |
| 713,078,413 | ||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.5% |
| 11,166,181 | ||||||||||||||
NET ASSETS — 100.0% |
| $ | 724,244,594 | |||||||||||||
See the Glossary for abbreviations used in the annual report.
# | Principal amount is shown in U.S. dollars unless otherwise stated. |
(a) | Rate quoted represents yield-to-maturity as of purchase date. |
(b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2016. |
(c) | The value of the Repurchase Agreement is $33,614,000. The Repurchase Agreement is collateralized by a U.S. Treasury Obligation (coupon rate 0.125%, maturity date 04/15/17), with the value, including accrued interest of $34,286,375. The Repurchase Agreement is subject to a contractual netting arrangement. For further detail on the repurchase agreement and the corresponding counterparty, see the Schedule of Investments. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
U.S. Government Agency Obligations | $ | — | $ | 598,479,555 | $ | — | ||||||
U.S. Treasury Obligations | — | 80,984,858 | — | |||||||||
Repurchase Agreement | — | 33,614,000 | — | |||||||||
Total | $ | — | $ | 713,078,413 | $ | — | ||||||
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
U.S. Government Agency Obligations | 82.6 | % | ||
U.S. Treasury Obligations | 11.2 | |||
Repurchase Agreement | 4.7 | |||
98.5 | ||||
Other assets in excess of liabilities | 1.5 | |||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A124
GOVERNMENT MONEY MARKET PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial instruments assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Repurchase Agreement | $ | 33,614,000 | $ | (33,614,000 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A125
GOVERNMENT MONEY MARKET PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments, at amortized cost which approximates fair value: | $ | 713,078,413 | ||
Cash | 4,668 | |||
Receivable for investments sold | 11,034,375 | |||
Interest receivable | 359,741 | |||
Receivable for Series shares sold | 158,329 | |||
Prepaid expenses | 5,843 | |||
Total Assets | 724,641,369 | |||
LIABILITIES | ||||
Management fee payable | 185,880 | |||
Payable for Series shares repurchased | 127,633 | |||
Accrued expenses | 82,282 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 396,775 | |||
NET ASSETS | $ | 724,244,594 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 724,244,594 | ||
Net assets, December 31, 2016 | $ | 724,244,594 | ||
Net asset value and redemption price per share | $ | 10.00 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 3,178,389 | ||
EXPENSES | ||||
Management fee | 2,233,494 | |||
Custodian and accounting fees (net of $4,800 fee credit) | 107,000 | |||
Shareholders’ reports | 83,000 | |||
Audit fee | 34,000 | |||
Legal fees and expenses | 17,000 | |||
Trustees’ fees | 16,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Insurance expenses | 9,000 | |||
Miscellaneous | 9,642 | |||
Total expenses | 2,521,136 | |||
NET INVESTMENT INCOME (LOSS) | 657,253 | |||
REALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on investment transactions | 29,234 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 686,487 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 657,253 | $ | — | ||||
Net realized gain (loss) on investment transactions | 29,234 | 6,612 | ||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 686,487 | 6,612 | ||||||
DISTRIBUTIONS | (686,487 | ) | (6,612 | ) | ||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [44,748,619 and 30,779,347 shares, respectively] | 447,486,185 | 307,793,476 | ||||||
Series shares issued in reinvestment of distributions [68,649 and 661 shares, respectively] | 686,487 | 6,612 | ||||||
Series shares repurchased [37,473,140 and 48,058,413 shares, respectively] | (374,731,396 | ) | (480,584,125 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 73,441,276 | (172,784,037 | ) | |||||
TOTAL INCREASE (DECREASE) | 73,441,276 | (172,784,037 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 650,803,318 | 823,587,355 | ||||||
End of year | $ | 724,244,594 | $ | 650,803,318 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A126
HIGH YIELD BOND PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 96.4% ASSET-BACKED SECURITY | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Collateralized Loan Obligation |
| |||||||||||||
Primus CLO II Ltd. (Cayman Islands), Series 2007-2A, Class A, 144A | 1.113% | (a) | 07/15/21 | 113 | $ | 112,544 | ||||||||
BANK LOANS(a) — 1.4% | ||||||||||||||
Capital Goods — 0.1% |
| |||||||||||||
Neff Rental LLC | 7.250% | 06/09/21 | 4,384 | 4,348,643 | ||||||||||
Chemicals — 0.1% |
| |||||||||||||
Solenis International LP | 7.750% | 07/31/22 | 5,000 | 4,906,250 | ||||||||||
Electric — 0.1% |
| |||||||||||||
Lightstone Generation LLC | 6.500% | 01/31/24 | 3,050 | 3,086,853 | ||||||||||
Energy — Other |
| |||||||||||||
American Energy Marcellus LLC | 8.500% | 08/04/21 | 3,675 | 416,499 | ||||||||||
Entertainment — 0.1% |
| |||||||||||||
Scientific Games International, Inc. | 6.000% | 10/16/20 | 1,980 | 2,005,821 | ||||||||||
Gaming — 0.2% |
| |||||||||||||
CCM Merger, Inc.(b) | 4.020% | 08/06/21 | 5,302 | 5,355,215 | ||||||||||
Golden Nugget, Inc. | 4.500% | 11/21/19 | 2,495 | 2,519,789 | ||||||||||
7,875,004 | ||||||||||||||
Retailers — 0.1% |
| |||||||||||||
Rite Aid Corp. | 4.875% | 06/21/21 | 3,000 | 3,006,249 | ||||||||||
Technology — 0.7% |
| |||||||||||||
Ancestry.com, Inc. | 9.250% | 10/18/24 | 4,725 | 4,811,623 | ||||||||||
Evergreen Skills Lux Sarl (Luxembourg) | 9.337% | 04/28/22 | 18,995 | 14,103,788 | ||||||||||
Kronos, Inc. | 9.250% | 11/01/24 | 5,500 | 5,657,267 | ||||||||||
24,572,678 | ||||||||||||||
TOTAL BANK LOANS |
| 50,217,997 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||||
Adjustable Rate Mortgage Trust, Series 2005-7, Class 1A1 | 3.302% | (a) | 10/25/35 | 62 | 53,778 | |||||||||
American Home Mortgage Assets Trust, Series 2006-4, Class 1A12 | 0.966% | (a) | 10/25/46 | 32 | 21,422 | |||||||||
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1 | 2.778% | (a) | 09/25/45 | 11 | 10,557 | |||||||||
Banc of America Alternative Loan Trust, Series 2005-4, Class CB6 | 1.156% | (a) | 05/25/35 | 25 | 19,506 | |||||||||
Banc of America Funding Trust, Series 2006-B, Class 2A1 | 3.051% | (a) | 03/20/36 | 74 | 63,636 | |||||||||
Bear Stearns ARM Trust, Series 2005-10, Class A2 | 3.108% | (a) | 10/25/35 | 6 | 6,080 | |||||||||
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA | 3.395% | (a) | 09/25/37 | 56 | 47,348 | |||||||||
Countrywide Alternative Loan Trust, Series 2005-43, Class 4A3 | 3.036% | (a) | 10/25/35 | 19 | 15,177 | |||||||||
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1 | 3.102% | (a) | 02/25/37 | 29 | 24,602 | |||||||||
Countrywide Alternative Loan Trust, Series 2006-OA11, Class A1B | 0.946% | (a) | 09/25/46 | 30 | 22,808 | |||||||||
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A | 0.949% | (a) | 07/20/46 | 24 | 13,118 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-2, Class 2A1 | 1.396% | (a) | 03/25/35 | 61 | 51,745 | |||||||||
HarborView Mortgage Loan Trust, Series 2006-5, Class 2A1A | 0.916% | (a) | 07/19/46 | 39 | 22,449 | |||||||||
HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1B | 0.986% | (a) | 09/19/46 | 1 | 17 | |||||||||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR12, Class A1 | 0.946% | (a) | 09/25/46 | 30 | 24,711 | |||||||||
JP Morgan Mortgage Trust, Series 2007-S3, Class 1A96 | 6.000% | 08/25/37 | 21 | 18,681 | ||||||||||
MASTR Adjustable Rate Mortgages Trust, Series 2006-OA1, Class 1A1 | 0.966% | (a) | 04/25/46 | 20 | 14,514 | |||||||||
Residential Accredit Loans, Inc., Series 2006-QA2, Class 3A1 | 5.432% | (a) | 02/25/36 | 123 | 99,673 | |||||||||
Residential Accredit Loans, Inc., Series 2007-QS4, Class 2A1 | 1.086% | (a) | 03/25/37 | 130 | 29,666 | |||||||||
Residential Asset Securitization Trust, Series 2007-A5, Class 2A3 | 6.000% | 05/25/37 | 40 | 35,479 | ||||||||||
SunTrust Alternative Loan Trust, Series 2006-1F, Class 3A | 1.106% | (a) | 04/25/36 | 92 | 33,341 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 2A3 | 2.598% | (a) | 02/25/37 | 23 | 20,831 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY1, Class 4A1 | 2.756% | (a) | 02/25/37 | 29 | 25,329 | |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
| 674,468 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A127
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS — 94.8% | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Advertising — 0.3% |
| |||||||||||||||
Acosta, Inc., Sr. Unsec’d. Notes, 144A | 7.750% | 10/01/22 | 13,150 | $ | 11,046,000 | |||||||||||
Aerospace & Defense — 0.6% |
| |||||||||||||||
Orbital ATK, Inc., Gtd. Notes | 5.250% | 10/01/21 | 2,965 | 3,079,523 | ||||||||||||
StandardAero Aviation Holdings, Inc., Gtd. Notes, 144A | 10.000% | 07/15/23 | 6,925 | 7,288,562 | ||||||||||||
TransDigm, Inc., Gtd. Notes(c) | 6.000% | 07/15/22 | 3,575 | 3,718,000 | ||||||||||||
TransDigm, Inc., Gtd. Notes | 6.500% | 07/15/24 | 4,675 | 4,891,219 | ||||||||||||
TransDigm, Inc., Gtd. Notes, 144A(c) | 6.375% | 06/15/26 | 1,125 | 1,155,375 | ||||||||||||
20,132,679 | ||||||||||||||||
Apparel |
| |||||||||||||||
Levi Strauss & Co., Sr. Unsec’d. Notes | 5.000% | 05/01/25 | 825 | 825,000 | ||||||||||||
Auto Manufacturers — 0.2% |
| |||||||||||||||
Fiat Chrysler Automobiles NV (United Kingdom), Sr. Unsec’d. Notes(c) | 5.250% | 04/15/23 | 5,925 | 6,033,428 | ||||||||||||
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A | 5.625% | 02/01/23 | 650 | 677,625 | ||||||||||||
6,711,053 | ||||||||||||||||
Auto Parts & Equipment — 2.0% |
| |||||||||||||||
Adient Global Holdings Ltd., Gtd. Notes, 144A | 4.875% | 08/15/26 | 7,275 | 7,129,500 | ||||||||||||
Allison Transmission, Inc., Gtd. Notes, 144A | 5.000% | 10/01/24 | 5,550 | 5,605,500 | ||||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes | 6.250% | 03/15/21 | 3,675 | 3,794,438 | ||||||||||||
American Axle & Manufacturing, Inc., Gtd. Notes | 7.750% | 11/15/19 | 675 | 746,719 | ||||||||||||
Cooper-Standard Automotive, Inc., Gtd. Notes, 144A | 5.625% | 11/15/26 | 4,150 | 4,103,312 | ||||||||||||
Dana Holding Corp., Sr. Unsec’d. Notes | 5.375% | 09/15/21 | 2,375 | 2,461,094 | ||||||||||||
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, PIK, 144A | 4.500% | 09/15/23 | 4,525 | 4,423,187 | ||||||||||||
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, PIK, 144A | 4.750% | 09/15/26 | 3,200 | 3,088,000 | ||||||||||||
Lear Corp., Gtd. Notes | 4.750% | 01/15/23 | 775 | 790,500 | ||||||||||||
Lear Corp., Gtd. Notes | 5.250% | 01/15/25 | 1,175 | 1,235,219 | ||||||||||||
Meritor, Inc., Gtd. Notes(c) | 6.250% | 02/15/24 | 3,550 | 3,479,000 | ||||||||||||
Meritor, Inc., Gtd. Notes | 6.750% | 06/15/21 | 7,025 | 7,183,062 | ||||||||||||
Schaeffler Finance BV (Germany), Sr. Sec’d. Notes, 144A | 4.750% | 05/15/23 | 7,300 | 7,409,500 | ||||||||||||
TI Group Automotive Systems LLC (United Kingdom), Sr. Unsec’d. Notes, 144A | 8.750% | 07/15/23 | 7,200 | 7,524,000 | ||||||||||||
Titan International, Inc., Sr. Sec’d. Notes | 6.875% | 10/01/20 | 4,425 | 4,330,969 | ||||||||||||
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A | 4.500% | 04/29/22 | 4,650 | 4,795,312 | ||||||||||||
ZF North America Capital, Inc. (Germany), Gtd. Notes, 144A | 4.750% | 04/29/25 | 3,225 | 3,281,438 | ||||||||||||
71,380,750 | ||||||||||||||||
Banks — 0.5% |
| |||||||||||||||
Bank of America Corp., Series M, Jr. Sub. Notes | 8.125% | (a) | 12/29/49 | 1,250 | 1,298,438 | |||||||||||
Citigroup, Inc., Series N, Jr. Sub. Notes | 5.800% | (a) | 12/31/49 | 2,100 | 2,118,375 | |||||||||||
Citigroup, Inc., Series P, Jr. Sub. Notes | 5.950% | (a) | 12/31/49 | 2,775 | 2,740,867 | |||||||||||
HBOS PLC (United Kingdom), Sub. Notes, 144A, GMTN | 6.750% | 05/21/18 | 400 | 421,799 | ||||||||||||
JPMorgan Chase & Co., Series Q, Jr. Sub. Notes | 5.150% | (a) | 12/31/49 | 1,650 | 1,578,060 | |||||||||||
Morgan Stanley, Series H, Jr. Sub. Notes(c) | 5.450% | (a) | 07/29/49 | 2,475 | 2,450,250 | |||||||||||
Royal Bank of Scotland Group PLC (United Kingdom), Jr. Sub. Notes | 8.625% | (a) | 12/31/49 | 4,625 | 4,717,500 | |||||||||||
Standard Chartered PLC (United Kingdom), Jr. Sub. Notes, 144A | 7.500% | (a) | 12/31/49 | 3,000 | 2,992,500 | |||||||||||
18,317,789 | ||||||||||||||||
Beverages — 0.2% |
| |||||||||||||||
Constellation Brands, Inc., Gtd. Notes | 4.750% | 12/01/25 | 1,950 | 2,067,000 | ||||||||||||
Cott Beverages, Inc. (Canada), Gtd. Notes | 6.750% | 01/01/20 | 5,350 | 5,543,938 | ||||||||||||
7,610,938 | ||||||||||||||||
Biotechnology — 0.2% |
| |||||||||||||||
Concordia International Corp. (Canada), Sr. Sec’d. Notes, 144A | 9.000% | 04/01/22 | 6,575 | 5,572,313 | ||||||||||||
Building Materials — 2.0% |
| |||||||||||||||
Builders FirstSource, Inc., Gtd. Notes, 144A(c) | 10.750% | 08/15/23 | 7,650 | 8,778,375 | ||||||||||||
Builders FirstSource, Inc., Sr. Sec’d. Notes, 144A | 5.625% | 09/01/24 | 3,150 | 3,165,750 | ||||||||||||
Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A | 9.375% | 10/12/22 | 3,475 | 3,787,750 | ||||||||||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A | 7.750% | 04/16/26 | 4,625 | 5,122,187 |
SEE NOTES TO FINANCIAL STATEMENTS.
A128
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Building Materials (continued) |
| |||||||||||||||
Griffon Corp., Gtd. Notes | 5.250% | 03/01/22 | 15,960 | $ | 16,171,470 | |||||||||||
James Hardie International Finance Ltd. (Ireland), Gtd. Notes, 144A | 5.875% | 02/15/23 | 5,950 | 6,158,250 | ||||||||||||
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A(d) | 5.375% | 11/15/24 | 6,250 | 6,421,875 | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes | 8.500% | 04/15/22 | 4,800 | 5,304,000 | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes | 6.125% | 07/15/23 | 6,550 | 6,721,872 | ||||||||||||
US Concrete, Inc., Gtd. Notes(c) | 6.375% | 06/01/24 | 5,300 | 5,604,750 | ||||||||||||
USG Corp., Gtd. Notes, 144A | 5.500% | 03/01/25 | 2,480 | 2,548,200 | ||||||||||||
69,784,479 | ||||||||||||||||
Cable — 0.1% |
| |||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes | 5.125% | 02/15/23 | 2,875 | 2,954,063 | ||||||||||||
Chemicals — 4.1% |
| |||||||||||||||
A Schulman, Inc., Gtd. Notes, 144A | 6.875% | 06/01/23 | 14,217 | 14,856,765 | ||||||||||||
Ashland, Inc., Sr. Unsec’d. Notes | 6.875% | 05/15/43 | 4,000 | 4,130,000 | ||||||||||||
Blue Cube Spinco, Inc., Gtd. Notes(c) | 9.750% | 10/15/23 | 6,440 | 7,663,600 | ||||||||||||
Blue Cube Spinco, Inc., Gtd. Notes | 10.000% | 10/15/25 | 2,940 | 3,550,050 | ||||||||||||
Chemours Co. (The), Sr. Unsec’d. Notes(c) | 6.625% | 05/15/23 | 9,255 | 9,162,450 | ||||||||||||
Chemours Co. (The), Sr. Unsec’d. Notes | 7.000% | 05/15/25 | 6,650 | 6,550,250 | ||||||||||||
CVR Partners LP/ CVR Nitrogen Finance Corp., Sr. Sec’d. Notes, 144A(c) | 9.250% | 06/15/23 | 5,575 | 5,742,250 | ||||||||||||
Eco Services Operations LLC/Eco Finance Corp., Sr. Unsec’d. Notes, 144A(d) | 8.500% | 11/01/22 | 4,000 | 4,250,000 | ||||||||||||
GCP Applied Technologies, Inc., Gtd. Notes, 144A(c) | 9.500% | 02/01/23 | 4,175 | 4,790,813 | ||||||||||||
Hexion, Inc., Sec’d. Notes(c) | 9.000% | 11/15/20 | 20,180 | 15,740,400 | ||||||||||||
Hexion, Inc., Sr. Sec’d. Notes | 6.625% | 04/15/20 | 7,585 | 6,712,725 | ||||||||||||
Hexion, Inc., Sr. Sec’d. Notes | 8.875% | 02/01/18 | 9,275 | 9,228,625 | ||||||||||||
Hexion, Inc., Sr. Sec’d. Notes | 10.000% | 04/15/20 | 6,025 | 5,994,875 | ||||||||||||
INEOS Group Holdings SA (Luxembourg), Gtd. Notes, 144A(c)(d) | 5.625% | 08/01/24 | 6,575 | 6,525,687 | ||||||||||||
Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A(c) | 6.500% | 02/01/22 | 7,495 | 7,551,212 | ||||||||||||
Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A | 10.375% | 05/01/21 | 3,525 | 3,903,938 | ||||||||||||
PQ Corp., Sr. Sec’d. Notes, 144A(d) | 6.750% | 11/15/22 | 3,025 | 3,236,750 | ||||||||||||
TPC Group, Inc., Sr. Sec’d. Notes, 144A(d) | 8.750% | 12/15/20 | 17,445 | 14,741,025 | ||||||||||||
Tronox Finance LLC, Gtd. Notes(c) | 6.375% | 08/15/20 | 3,901 | 3,647,435 | ||||||||||||
Unifrax I LLC/Unifrax Holding Co., Gtd. Notes, 144A(d) | 7.500% | 02/15/19 | 8,650 | 8,606,750 | ||||||||||||
146,585,600 | ||||||||||||||||
Coal — 0.5% |
| |||||||||||||||
CONSOL Energy, Inc., Gtd. Notes | 5.875% | 04/15/22 | 19,326 | 18,939,480 | ||||||||||||
Commercial Services — 2.8% |
| |||||||||||||||
Ahern Rentals, Inc., Sec’d. Notes, 144A | 7.375% | 05/15/23 | 6,525 | 5,481,000 | ||||||||||||
Amn Healthcare, Inc., Gtd. Notes, 144A | 5.125% | 10/01/24 | 1,700 | 1,695,750 | ||||||||||||
Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A(c) | 6.500% | 07/15/22 | 11,125 | 11,653,437 | ||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, 144A(c) | 5.125% | 06/01/22 | 6,650 | 6,517,000 | ||||||||||||
Hertz Corp. (The), Gtd. Notes | 5.875% | 10/15/20 | 1,375 | 1,344,063 | ||||||||||||
Laureate Education, Inc., Gtd. Notes, 144A(c) | 9.250% | 09/01/19 | 21,290 | 21,742,412 | ||||||||||||
Live Nation Entertainment, Inc., Gtd. Notes, 144A | 5.375% | 06/15/22 | 2,400 | 2,484,000 | ||||||||||||
LSC Communications, Inc., Sr. Sec’d. Notes, 144A(c) | 8.750% | 10/15/23 | 4,875 | 4,899,375 | ||||||||||||
NES Rentals Holdings, Inc., Sec’d. Notes, 144A(d) | 7.875% | 05/01/18 | 7,925 | 7,885,375 | ||||||||||||
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes | 6.000% | 04/01/24 | 1,575 | 1,484,438 | ||||||||||||
R.R. Donnelley & Sons Co., Sr. Unsec’d. Notes(c) | 6.500% | 11/15/23 | 2,560 | 2,492,800 | ||||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 5.375% | 05/15/24 | 4,648 | 4,845,540 | ||||||||||||
Service Corp. International, Sr. Unsec’d. Notes | 5.375% | 01/15/22 | 925 | 962,000 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes(c) | 5.500% | 07/15/25 | 3,725 | 3,799,500 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.500% | 05/15/27 | 6,850 | 6,798,625 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes(c) | 5.750% | 11/15/24 | 5,150 | 5,407,500 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 5.875% | 09/15/26 | 3,400 | 3,497,750 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 6.125% | 06/15/23 | 2,600 | 2,756,000 | ||||||||||||
United Rentals North America, Inc., Gtd. Notes | 7.625% | 04/15/22 | 5,446 | 5,731,915 | ||||||||||||
101,478,480 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A129
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Computers — 1.4% |
| |||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Gtd. Notes, 144A(c) | 7.125% | 06/15/24 | 6,025 | $ | 6,688,823 | |||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., Sr. Sec’d. Notes, 144A | 5.450% | 06/15/23 | 2,210 | 2,344,233 | ||||||||||
Western Digital Corp., Sr. Unsec’d. Notes, 144A | 10.500% | 04/01/24 | 33,270 | 39,341,775 | ||||||||||
48,374,831 | ||||||||||||||
Distribution/Wholesale — 1.2% |
| |||||||||||||
American Tire Distributors, Inc., Sr. Sub. Notes, 144A | 10.250% | 03/01/22 | 12,125 | 11,631,876 | ||||||||||
Beacon Roofing Supply, Inc., Gtd. Notes(c) | 6.375% | 10/01/23 | 4,725 | 5,041,008 | ||||||||||
Global Partners LP/GLP Finance Corp., Gtd. Notes | 6.250% | 07/15/22 | 4,075 | 3,904,339 | ||||||||||
Global Partners LP/GLP Finance Corp., Gtd. Notes | 7.000% | 06/15/23 | 6,150 | 5,934,750 | ||||||||||
H&E Equipment Services, Inc., Gtd. Notes | 7.000% | 09/01/22 | 13,095 | 13,782,488 | ||||||||||
HD Supply, Inc., Sr. Sec’d. Notes, 144A | 5.250% | 12/15/21 | 1,975 | 2,083,625 | ||||||||||
42,378,086 | ||||||||||||||
Diversified Financial Services — 2.3% |
| |||||||||||||
Alliance Data Systems Corp., Gtd. Notes, 144A | 5.375% | 08/01/22 | 7,800 | 7,527,000 | ||||||||||
Ally Financial, Inc., Gtd. Notes(c) | 8.000% | 03/15/20 | 2,243 | 2,540,198 | ||||||||||
Ally Financial, Inc., Sr. Unsec’d. Notes | 3.750% | 11/18/19 | 4,075 | 4,092,441 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes | 5.000% | 08/15/22 | 8,900 | 9,278,250 | ||||||||||
CIT Group, Inc., Sr. Unsec’d. Notes, 144A | 5.500% | 02/15/19 | 800 | 844,000 | ||||||||||
Dana Financing Luxembourg Sarl, Gtd. Notes, 144A(c) | 6.500% | 06/01/26 | 850 | 888,250 | ||||||||||
FBM Finance, Inc., Sr. Sec’d. Notes, 144A | 8.250% | 08/15/21 | 4,125 | 4,351,875 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 3.875% | 04/15/18 | 2,939 | 2,994,106 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 5.875% | 08/15/22 | 500 | 542,500 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 6.250% | 05/15/19 | 820 | 881,500 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 8.250% | 12/15/20 | 1,125 | 1,310,625 | ||||||||||
International Lease Finance Corp., Sr. Unsec’d. Notes | 8.625% | 01/15/22 | 1,525 | 1,831,906 | ||||||||||
International Lease Finance Corp. E-Capital Trust II Ltd., Gtd. Notes, 144A | 4.920% | (a) | 12/21/65 | 4,250 | 3,740,000 | |||||||||
KCG Holdings, Inc., Sr. Sec’d. Notes, 144A | 6.875% | 03/15/20 | 7,675 | 7,675,000 | ||||||||||
National Financial Partners Corp., Sr. Unsec’d. Notes, 144A | 9.000% | 07/15/21 | 2,375 | 2,505,625 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes | 5.000% | 10/26/20 | 1,500 | 1,530,000 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes(c) | 5.875% | 10/25/24 | 1,075 | 1,021,250 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes | 6.625% | 07/26/21 | 2,400 | 2,538,000 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes | 7.250% | 09/25/23 | 4,575 | 4,700,812 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 6.125% | 03/25/24 | 1,800 | 1,748,250 | ||||||||||
Navient Corp., Sr. Unsec’d. Notes, MTN | 8.000% | 03/25/20 | 6,100 | 6,767,340 | ||||||||||
OneMain Financial Holdings, Inc., Gtd. Notes, 144A(c)(d) | 6.750% | 12/15/19 | 575 | 599,438 | ||||||||||
OneMain Financial Holdings, Inc., Gtd. Notes, 144A(d) | 7.250% | 12/15/21 | 305 | 317,963 | ||||||||||
Springleaf Finance Corp., Gtd. Notes | 6.000% | 06/01/20 | 6,675 | 6,766,781 | ||||||||||
Transworld Systems, Inc., Sr. Sec’d. Notes, 144A(d) | 9.500% | 08/15/21 | 9,000 | 5,535,000 | ||||||||||
82,528,110 | ||||||||||||||
Electric — 5.0% |
| |||||||||||||
AES Corp., Sr. Unsec’d. Notes(c) | 4.875% | 05/15/23 | 900 | 888,930 | ||||||||||
AES Corp., Sr. Unsec’d. Notes(c) | 5.500% | 03/15/24 | 700 | 712,250 | ||||||||||
AES Corp., Sr. Unsec’d. Notes | 5.500% | 04/15/25 | 700 | 700,000 | ||||||||||
AES Corp., Sr. Unsec’d. Notes | 7.375% | 07/01/21 | 11,999 | 13,365,686 | ||||||||||
Calpine Corp., Sr. Sec’d. Notes, 144A | 7.875% | 01/15/23 | 5,161 | 5,380,343 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes(c) | 5.375% | 01/15/23 | 10,710 | 10,469,025 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes(c) | 5.500% | 02/01/24 | 13,150 | 12,689,750 | ||||||||||
Calpine Corp., Sr. Unsec’d. Notes(c) | 5.750% | 01/15/25 | 3,625 | 3,498,125 | ||||||||||
DPL, Inc., Sr. Unsec’d. Notes | 6.750% | 10/01/19 | 4,250 | 4,324,375 | ||||||||||
DPL, Inc., Sr. Unsec’d. Notes | 7.250% | 10/15/21 | 14,050 | 14,331,000 | ||||||||||
Dynegy, Inc., Gtd. Notes | 5.875% | 06/01/23 | 4,310 | 3,738,925 | ||||||||||
Dynegy, Inc., Gtd. Notes | 6.750% | 11/01/19 | 2,625 | 2,670,938 | ||||||||||
Dynegy, Inc., Gtd. Notes | 7.375% | 11/01/22 | 29,330 | 28,010,150 | ||||||||||
Dynegy, Inc., Gtd. Notes(c) | 7.625% | 11/01/24 | 19,530 | 18,016,425 | ||||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes | 7.875% | 06/15/17 | 13,969 | 9,952,912 |
SEE NOTES TO FINANCIAL STATEMENTS.
A130
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Electric (continued) |
| |||||||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes | 9.500% | 10/15/18 | 3,350 | $ | 2,368,031 | |||||||||
GenOn Energy, Inc., Sr. Unsec’d. Notes | 9.875% | 10/15/20 | 16,646 | 11,360,895 | ||||||||||
Mirant Corp., Bonds, 144A(b)(d)(f) | 7.400% | (a) | 07/15/49 | 1,825 | 1,825 | |||||||||
Mirant Mid-Atlantic, Series C, Pass-Through Certificates | 10.060% | 12/30/28 | 4,837 | 4,123,859 | ||||||||||
Mirant Mid-Atlantic Trust, Series B, Pass-Through Certificates | 9.125% | 06/30/17 | 1,063 | 924,938 | ||||||||||
NRG Energy, Inc., Gtd. Notes(c) | 6.250% | 07/15/22 | 5,485 | 5,498,712 | ||||||||||
NRG Energy, Inc., Gtd. Notes(c) | 6.250% | 05/01/24 | 3,535 | 3,437,788 | ||||||||||
NRG Energy, Inc., Gtd. Notes | 6.625% | 03/15/23 | 3,291 | 3,299,228 | ||||||||||
NRG Energy, Inc., Gtd. Notes(c) | 7.875% | 05/15/21 | 326 | 339,855 | ||||||||||
NRG Energy, Inc., Gtd. Notes, 144A | 6.625% | 01/15/27 | 3,850 | 3,638,250 | ||||||||||
NRG Energy, Inc., Gtd. Notes, 144A | 7.250% | 05/15/26 | 7,725 | 7,686,375 | ||||||||||
NRG REMA LLC, Series B, Pass-Through Certificates(d) | 9.237% | 07/02/17 | 274 | 219,007 | ||||||||||
NRG REMA LLC, Series C, Pass-Through Certificates(d) | 9.681% | 07/02/26 | 8,835 | 5,698,575 | ||||||||||
Red Oak Power LLC, Series B, Sr. Sec’d. Notes | 9.200% | 11/30/29 | 200 | 207,750 | ||||||||||
177,553,922 | ||||||||||||||
Electrical Components & Equipment — 0.3% |
| |||||||||||||
Anixter, Inc., Gtd. Notes | 5.500% | 03/01/23 | 1,875 | 1,945,313 | ||||||||||
Belden, Inc., Gtd. Notes, 144A | 5.500% | 09/01/22 | 4,025 | 4,145,750 | ||||||||||
General Cable Corp., Gtd. Notes | 5.750% | (a) | 10/01/22 | 3,225 | 3,128,250 | |||||||||
9,219,313 | ||||||||||||||
Engineering & Construction — 0.3% |
| |||||||||||||
AECOM, Gtd. Notes | 5.875% | 10/15/24 | 10,900 | 11,636,949 | ||||||||||
Entertainment — 4.1% |
| |||||||||||||
AMC Entertainment Holdings, Inc., Gtd. Notes | 5.750% | 06/15/25 | 11,700 | 11,963,250 | ||||||||||
AMC Entertainment Holdings, Inc., Gtd. Notes, 144A | 5.875% | 11/15/26 | 1,450 | 1,482,625 | ||||||||||
Carmike Cinemas, Inc., Sec’d. Notes, 144A | 6.000% | 06/15/23 | 4,425 | 4,668,375 | ||||||||||
CCM Merger, Inc., Gtd. Notes, 144A(d) | 9.125% | 05/01/19 | 9,095 | 9,458,800 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes | 5.375% | 06/01/24 | 2,100 | 2,163,000 | ||||||||||
Cinemark USA, Inc., Gtd. Notes | 4.875% | 06/01/23 | 12,219 | 12,371,737 | ||||||||||
Cinemark USA, Inc., Gtd. Notes | 5.125% | 12/15/22 | 4,975 | 5,124,250 | ||||||||||
Eldorado Resorts, Inc., Gtd. Notes | 7.000% | 08/01/23 | 8,200 | 8,692,000 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(c) | 4.375% | 04/15/21 | 1,000 | 1,037,500 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 4.875% | 11/01/20 | 575 | 603,750 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 5.375% | 11/01/23 | 5,425 | 5,804,750 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes | 5.375% | 04/15/26 | 1,950 | 2,033,655 | ||||||||||
Greektown Holdings LLC/Greektown Mothership Corp., Sr. Sec’d. Notes, 144A | 8.875% | 03/15/19 | 2,103 | 2,210,779 | ||||||||||
Isle of Capri Casinos, Inc., Gtd. Notes | 5.875% | 03/15/21 | 750 | 776,250 | ||||||||||
Isle of Capri Casinos, Inc., Gtd. Notes | 8.875% | 06/15/20 | 4,598 | 4,827,900 | ||||||||||
Mood Media Corp., Gtd. Notes, 144A(d) | 9.250% | 10/15/20 | 3,700 | 2,143,688 | ||||||||||
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. | 5.000% | 08/01/18 | 2,300 | 2,331,050 | ||||||||||
National CineMedia LLC, Sr. Sec’d. Notes | 6.000% | 04/15/22 | 2,325 | 2,406,375 | ||||||||||
National CineMedia LLC, Sr. Unsec’d. Notes | 5.750% | 08/15/26 | 3,875 | 3,933,125 | ||||||||||
Penn National Gaming, Inc., Sr. Unsec’d. Notes(c) | 5.875% | 11/01/21 | 8,701 | 9,070,792 | ||||||||||
Pinnacle Entertainment, Inc., Sr. Unsec’d. Notes, 144A(c) | 5.625% | 05/01/24 | 9,550 | 9,573,875 | ||||||||||
Regal Entertainment Group, Sr. Unsec’d. Notes(c) | 5.750% | 02/01/25 | 3,170 | 3,217,550 | ||||||||||
Scientific Games International, Inc., Gtd. Notes(c) | 6.625% | 05/15/21 | 29,391 | 24,835,395 | ||||||||||
Scientific Games International, Inc., Gtd. Notes | 10.000% | 12/01/22 | 13,200 | 13,134,000 | ||||||||||
Scientific Games International, Inc., Sr. Sec’d. Notes, 144A(c) | 7.000% | 01/01/22 | 1,275 | 1,367,438 | ||||||||||
145,231,909 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A131
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Environmental Control — 0.5% |
| |||||||||||||
Advanced Disposal Services, Inc., Gtd. Notes, 144A | 5.625% | 11/15/24 | 5,675 | $ | 5,646,625 | |||||||||
Clean Harbors, Inc., Gtd. Notes | 5.125% | 06/01/21 | 1,060 | 1,084,062 | ||||||||||
Clean Harbors, Inc., Gtd. Notes | 5.250% | 08/01/20 | 6,850 | 7,012,687 | ||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes | 6.375% | 10/01/22 | 2,100 | 2,130,849 | ||||||||||
Covanta Holding Corp., Sr. Unsec’d. Notes | 7.250% | 12/01/20 | 330 | 337,095 | ||||||||||
16,211,318 | ||||||||||||||
Food — 3.0% |
| |||||||||||||
AdvancePierre Foods Holdings, Inc., Gtd. Notes, 144A | 5.500% | 12/15/24 | 3,075 | 3,103,844 | ||||||||||
Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, Sr. Unsec’d. Notes, 144A(c) | 5.750% | 03/15/25 | 4,350 | 4,306,500 | ||||||||||
B&G Foods, Inc., Gtd. Notes | 4.625% | 06/01/21 | 4,025 | 4,105,500 | ||||||||||
Darling Ingredients, Inc., Gtd. Notes | 5.375% | 01/15/22 | 4,800 | 4,980,000 | ||||||||||
Hearthside Group Holdings LLC/Hearthside Finance Co., Gtd. Notes, 144A | 6.500% | 05/01/22 | 8,450 | 8,397,187 | ||||||||||
Ingles Markets, Inc., Sr. Unsec’d. Notes | 5.750% | 06/15/23 | 6,750 | 6,935,625 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(d) | 7.250% | 06/01/21 | 2,125 | 2,199,396 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(d) | 7.250% | 06/01/21 | 10,810 | 11,188,458 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A(d) | 5.750% | 06/15/25 | 9,725 | 9,846,562 | ||||||||||
JBS USA LLC/JBS USA Finance, Inc. (Brazil), Sr. Unsec’d. Notes, 144A(d) | 5.875% | 07/15/24 | 9,850 | 10,170,125 | ||||||||||
Lamb Weston Holdings, Inc., Gtd. Notes, 144A | 4.875% | 11/01/26 | 2,400 | 2,374,500 | ||||||||||
Pilgrim’s Pride Corp., Gtd. Notes, 144A | 5.750% | 03/15/25 | 3,200 | 3,192,000 | ||||||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., Gtd. Notes(c) | 5.875% | 01/15/24 | 675 | 715,500 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 5.000% | 08/15/26 | 3,425 | 3,279,438 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 6.000% | 12/15/22 | 6,825 | 7,123,594 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 6.750% | 12/01/21 | 875 | 934,063 | ||||||||||
Post Holdings, Inc., Gtd. Notes, 144A | 8.000% | 07/15/25 | 3,500 | 3,920,000 | ||||||||||
Smithfield Foods, Inc. (Hong Kong), Sr. Unsec’d. Notes | 6.625% | 08/15/22 | 2,525 | 2,660,719 | ||||||||||
Smithfield Foods, Inc. (Hong Kong), Sr. Unsec’d. Notes, 144A | 5.875% | 08/01/21 | 5,475 | 5,707,687 | ||||||||||
SUPERVALU, Inc., Sr. Unsec’d. Notes | 6.750% | 06/01/21 | 5,100 | 5,151,000 | ||||||||||
SUPERVALU, Inc., Sr. Unsec’d. Notes(c) | 7.750% | 11/15/22 | 3,975 | 4,009,781 | ||||||||||
TreeHouse Foods, Inc., Gtd. Notes, 144A | 6.000% | 02/15/24 | 2,225 | 2,336,250 | ||||||||||
106,637,729 | ||||||||||||||
Forest Products & Paper — 0.1% |
| |||||||||||||
Smurfit Kappa Acquisitions (Ireland), Sr. Unsec’d. Notes, 144A | 4.875% | 09/15/18 | 5,350 | 5,497,125 | ||||||||||
Gas — 0.4% |
| |||||||||||||
Amerigas Partners LP/Amerigas Finance Corp., Sr. Unsec’d. Notes(c) | 5.625% | 05/20/24 | 4,800 | 4,908,000 | ||||||||||
Amerigas Partners LP/Amerigas Finance Corp., Sr. Unsec’d. Notes | 5.875% | 08/20/26 | 4,800 | 4,872,000 | ||||||||||
NGL Energy Partners LP/NGL Energy Finance Corp., Gtd. Notes, 144A | 7.500% | 11/01/23 | 4,875 | 5,033,438 | ||||||||||
14,813,438 | ||||||||||||||
Hand/Machine Tools — 0.1% |
| |||||||||||||
Apex Tool Group LLC, Gtd. Notes, 144A(d) | 7.000% | 02/01/21 | 5,375 | 4,810,625 | ||||||||||
Healthcare-Products — 1.0% |
| |||||||||||||
Crimson Merger Sub., Inc., Sr. Unsec’d. Notes, 144A | 6.625% | 05/15/22 | 19,625 | 17,417,187 | ||||||||||
Greatbatch Ltd., Sr. Unsec’d. Notes, 144A | 9.125% | 11/01/23 | 9,650 | 9,625,875 | ||||||||||
Mallinckrodt International Finance SA, Gtd. Notes(c) | 4.750% | 04/15/23 | 6,675 | 5,807,250 | ||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A | 5.500% | 04/15/25 | 1,375 | 1,230,625 | ||||||||||
34,080,937 | ||||||||||||||
Healthcare-Services — 5.4% |
| |||||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 5.625% | 02/15/23 | 9,600 | 9,600,000 | ||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 6.125% | 03/15/21 | 3,206 | 3,306,187 | ||||||||||
Acadia Healthcare Co., Inc., Gtd. Notes | 6.500% | 03/01/24 | 2,075 | 2,121,688 | ||||||||||
Centene Corp., Sr. Unsec’d. Notes | 4.750% | 05/15/22 | 5,975 | 6,034,750 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(c) | 6.875% | 02/01/22 | 17,509 | 12,168,755 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(c) | 7.125% | 07/15/20 | 14,500 | 11,024,350 | ||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(c) | 8.000% | 11/15/19 | 9,880 | 8,200,400 | ||||||||||
HCA, Inc., Gtd. Notes | 5.375% | 02/01/25 | 37,290 | 37,383,225 |
SEE NOTES TO FINANCIAL STATEMENTS.
A132
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Healthcare-Services (continued) |
| |||||||||||||
HCA, Inc., Gtd. Notes | 5.875% | 05/01/23 | 3,797 | $ | 4,034,312 | |||||||||
HCA, Inc., Gtd. Notes | 5.875% | 02/15/26 | 2,875 | 2,961,250 | ||||||||||
HealthSouth Corp., Gtd. Notes | 5.125% | 03/15/23 | 1,475 | 1,460,250 | ||||||||||
HealthSouth Corp., Gtd. Notes | 5.750% | 11/01/24 | 5,100 | 5,163,750 | ||||||||||
Kindred Healthcare, Inc., Gtd. Notes | 6.375% | 04/15/22 | 3,506 | 3,129,105 | ||||||||||
Kindred Healthcare, Inc., Gtd. Notes | 8.000% | 01/15/20 | 4,775 | 4,751,125 | ||||||||||
Kindred Healthcare, Inc., Gtd. Notes(c) | 8.750% | 01/15/23 | 5,150 | 4,815,250 | ||||||||||
LifePoint Health, Inc., Gtd. Notes(c) | 5.875% | 12/01/23 | 3,600 | 3,645,000 | ||||||||||
MEDNAX, Inc., Gtd. Notes, 144A | 5.250% | 12/01/23 | 3,225 | 3,321,750 | ||||||||||
MPH Acquisition Holdings LLC, Sr. Unsec’d. Notes, 144A | 7.125% | 06/01/24 | 4,450 | 4,684,070 | ||||||||||
Select Medical Corp., Gtd. Notes(c) | 6.375% | 06/01/21 | 14,895 | 14,895,000 | ||||||||||
Surgery Center Holdings, Inc., Sr. Unsec’d. Notes, 144A | 8.875% | 04/15/21 | 3,250 | 3,461,250 | ||||||||||
Tenet Healthcare Corp., Sec’d. Notes, 144A(c) | 7.500% | 01/01/22 | 525 | 547,313 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes | 4.375% | 10/01/21 | 4,520 | 4,480,450 | ||||||||||
Tenet Healthcare Corp., Sr. Sec’d. Notes(c) | 4.750% | 06/01/20 | 3,225 | 3,257,250 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 6.750% | 02/01/20 | 9,675 | 9,312,187 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes(c) | 6.750% | 06/15/23 | 9,700 | 8,560,250 | ||||||||||
Tenet Healthcare Corp., Sr. Unsec’d. Notes | 8.125% | 04/01/22 | 20,180 | 19,039,830 | ||||||||||
191,358,747 | ||||||||||||||
Home Builders — 3.9% |
| |||||||||||||
Beazer Homes USA, Inc., Gtd. Notes | 5.750% | 06/15/19 | 7,250 | 7,503,750 | ||||||||||
Beazer Homes USA, Inc., Gtd. Notes | 7.250% | (a) | 02/01/23 | 4,475 | 4,542,125 | |||||||||
Beazer Homes USA, Inc., Gtd. Notes | 7.500% | 09/15/21 | 10,719 | 10,986,975 | ||||||||||
Brookfield Residential Properties, Inc. (Canada), Gtd. Notes, 144A | 6.500% | 12/15/20 | 400 | 409,000 | ||||||||||
Brookfield Residential Properties, Inc. (Canada), Sr. Unsec’d. Notes, 144A(c) | 6.375% | 05/15/25 | 4,075 | 4,064,812 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A | 6.125% | 07/01/22 | 6,600 | 6,633,000 | ||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 5.375% | 10/01/22 | 2,900 | 2,958,000 | ||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 5.875% | 11/15/24 | 1,500 | 1,522,500 | ||||||||||
CalAtlantic Group, Inc., Gtd. Notes | 6.250% | 12/15/21 | 6,000 | 6,465,000 | ||||||||||
CalAtlantic Group, Inc., Gtd. Notes(c) | 8.375% | 01/15/21 | 3,125 | 3,640,625 | ||||||||||
D.R. Horton, Inc., Gtd. Notes | 4.750% | 02/15/23 | 2,303 | 2,360,575 | ||||||||||
KB Home, Gtd. Notes | 7.000% | 12/15/21 | 2,725 | 2,874,875 | ||||||||||
KB Home, Gtd. Notes | 7.500% | 09/15/22 | 2,825 | 2,980,375 | ||||||||||
KB Home, Gtd. Notes | 7.625% | 05/15/23 | 6,050 | 6,337,375 | ||||||||||
Lennar Corp., Gtd. Notes | 4.750% | 05/30/25 | 7,875 | 7,678,125 | ||||||||||
Lennar Corp., Gtd. Notes | 4.875% | 12/15/23 | 2,420 | 2,395,800 | ||||||||||
M/I Homes, Inc., Gtd. Notes | 6.750% | 01/15/21 | 3,475 | 3,622,688 | ||||||||||
Mattamy Group Corp. (Canada), Sr. Unsec’d. Notes, 144A(d) | 6.875% | 12/15/23 | 3,625 | 3,670,313 | ||||||||||
Meritage Homes Corp., Gtd. Notes | 6.000% | 06/01/25 | 3,600 | 3,645,000 | ||||||||||
PulteGroup, Inc., Gtd. Notes | 5.000% | 01/15/27 | 6,050 | 5,747,500 | ||||||||||
PulteGroup, Inc., Gtd. Notes | 5.500% | 03/01/26 | 7,925 | 7,865,562 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes, 144A | 5.875% | 04/01/23 | 1,300 | 1,267,500 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp., Sr. Unsec’d. Notes, 144A | 6.125% | 04/01/25 | 4,200 | 4,063,500 | ||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | 5.250% | 04/15/21 | 1,000 | 1,025,000 | ||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | 5.625% | 03/01/24 | 3,163 | 3,194,630 | ||||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A | 5.875% | 04/15/23 | 10,312 | 10,466,680 | ||||||||||
WCI Communities, Inc., Gtd. Notes | 6.875% | 08/15/21 | 6,645 | 6,993,862 | ||||||||||
William Lyon Homes, Inc., Gtd. Notes | 7.000% | 08/15/22 | 12,875 | 13,325,625 | ||||||||||
138,240,772 | ||||||||||||||
Household Products/Wares — 0.2% |
| |||||||||||||
ACCO Brands Corp., Gtd. Notes, 144A | 5.250% | 12/15/24 | 4,625 | 4,656,820 | ||||||||||
Spectrum Brands, Inc., Gtd. Notes | 5.750% | 07/15/25 | 3,375 | 3,501,563 | ||||||||||
8,158,383 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A133
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Housewares — 0.1% |
| |||||||||||||
Scotts Miracle-Gro Co. (The), Gtd. Notes, 144A | 6.000% | 10/15/23 | 1,900 | $ | 2,009,250 | |||||||||
Internet |
| |||||||||||||
Zayo Group LLC/Zayo Capital, Inc., Gtd. Notes | 6.375% | 05/15/25 | 1,650 | 1,724,250 | ||||||||||
Iron/Steel — 0.8% |
| |||||||||||||
Ak Steel Corp., Sr. Sec’d. Notes(c) | 7.500% | 07/15/23 | 7,080 | 7,858,800 | ||||||||||
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes | 10.850% | (a) | 06/01/19 | 7,000 | 8,190,000 | |||||||||
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., Sr. Unsec’d. Notes, 144A(d) | 6.375% | 05/01/22 | 12,750 | 12,718,125 | ||||||||||
28,766,925 | ||||||||||||||
Leisure Time — 0.6% |
| |||||||||||||
Carlson Travel, Inc., Sr. Sec’d. Notes, 144A | 6.750% | 12/15/23 | 2,175 | 2,262,000 | ||||||||||
Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A(d) | 6.875% | 06/15/19 | 2,525 | 2,611,810 | ||||||||||
Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes | 7.250% | 03/15/18 | 2,425 | 2,570,500 | ||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A(d) | 6.250% | 05/15/25 | 6,125 | 5,696,250 | ||||||||||
Viking Cruises Ltd., Sr. Unsec’d. Notes, 144A(d) | 8.500% | 10/15/22 | 6,825 | 7,080,937 | ||||||||||
20,221,497 | ||||||||||||||
Lodging — 2.4% |
| |||||||||||||
Boyd Gaming Corp., Gtd. Notes(c) | 6.875% | 05/15/23 | 20,700 | 22,252,500 | ||||||||||
Boyd Gaming Corp., Gtd. Notes, 144A | 6.375% | 04/01/26 | 650 | 700,050 | ||||||||||
Golden Nugget Escrow, Inc., Sr. Unsec’d. Notes, 144A | 8.500% | 12/01/21 | 13,750 | 14,609,375 | ||||||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., Gtd. Notes, 144A | 6.125% | 12/01/24 | 1,225 | 1,272,469 | ||||||||||
Interval Acquisition Corp., Gtd. Notes | 5.625% | 04/15/23 | 5,875 | 5,992,500 | ||||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Sec’d. Notes, 144A | 10.250% | 11/15/22 | 4,900 | 4,985,750 | ||||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Sr. Sec’d. Notes, 144A | 6.750% | 11/15/21 | 5,100 | 5,163,750 | ||||||||||
MGM Resorts International, Gtd. Notes | 6.625% | 12/15/21 | 11,965 | 13,370,887 | ||||||||||
MGM Resorts International, Gtd. Notes(c) | 6.750% | 10/01/20 | 1,755 | 1,952,438 | ||||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sr. Sec’d. Notes, 144A(d) | 6.375% | 06/01/21 | 16,100 | 16,059,750 | ||||||||||
86,359,469 | ||||||||||||||
Machinery-Construction & Mining — 0.3% |
| |||||||||||||
Terex Corp., Gtd. Notes | 6.000% | 05/15/21 | 5,364 | 5,484,690 | ||||||||||
Terex Corp., Gtd. Notes | 6.500% | 04/01/20 | 1,125 | 1,147,500 | ||||||||||
Vander Intermediate Holding II Corp., Sr. Unsec’d. Notes, PIK, 144A | 9.750% | 02/01/19 | 8,331 | 5,914,681 | ||||||||||
12,546,871 | ||||||||||||||
Machinery-Diversified — 0.7% |
| |||||||||||||
ATS Automation Tooling Systems, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 6.500% | 06/15/23 | 4,400 | 4,554,000 | ||||||||||
Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes | 7.875% | 12/01/17 | 4,150 | 4,362,687 | ||||||||||
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A(d) | 8.750% | 12/15/19 | 2,675 | 2,785,344 | ||||||||||
Cloud Crane LLC, Sec’d. Notes, 144A(d) | 10.125% | 08/01/24 | 7,525 | 8,051,750 | ||||||||||
CNH Industrial Capital LLC, Gtd. Notes | 3.625% | 04/15/18 | 2,950 | 2,986,875 | ||||||||||
Manitowoc Foodservice, Inc., Sr. Unsec’d. Notes | 9.500% | 02/15/24 | 2,875 | 3,313,438 | ||||||||||
26,054,094 | ||||||||||||||
Media — 7.6% |
| |||||||||||||
Altice Financing SA (Luxembourg), Sr. Sec’d. Notes, 144A | 7.500% | 05/15/26 | 2,875 | 2,990,000 | ||||||||||
Altice US Finance I Corp., Sr. Sec’d. Notes, 144A(c) | 5.375% | 07/15/23 | 7,925 | 8,222,187 | ||||||||||
Belo Corp., Sr. Unsec’d. Notes | 7.750% | 06/01/27 | 2,000 | 2,140,000 | ||||||||||
Cablevision Systems Corp., Sr. Unsec’d. Notes | 8.625% | 09/15/17 | 16,475 | 17,134,000 | ||||||||||
CBS Radio, Inc., Gtd. Notes, 144A(c) | 7.250% | 11/01/24 | 2,100 | 2,205,000 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A | 5.125% | 05/01/23 | 4,350 | 4,480,500 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes, 144A(c) | 5.875% | 05/01/27 | 24,000 | 24,900,000 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes | 5.250% | 09/30/22 | 635 | 657,225 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A(c) | 5.750% | 02/15/26 | 3,200 | 3,312,000 |
SEE NOTES TO FINANCIAL STATEMENTS.
A134
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Media (continued) |
| |||||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Sec’d. Notes, 144A | 7.750% | 07/15/25 | 25,675 | $ | 28,242,500 | |||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125% | 12/15/21 | 17,434 | 17,739,095 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 5.125% | 12/15/21 | 13,142 | 13,371,985 | ||||||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A | 6.375% | 09/15/20 | 3,800 | 3,914,000 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes | 6.500% | 11/15/22 | 2,970 | 2,970,000 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes | 7.625% | 03/15/20 | 2,700 | 2,592,000 | ||||||||||
Clear Channel Worldwide Holdings, Inc., Series B, Gtd. Notes | 7.625% | 03/15/20 | 5,100 | 5,096,787 | ||||||||||
CSC Holdings LLC, Sr. Unsec’d. Notes | 7.875% | 02/15/18 | 850 | 896,750 | ||||||||||
DISH DBS Corp., Gtd. Notes | 5.875% | 07/15/22 | 2,125 | 2,236,563 | ||||||||||
DISH DBS Corp., Gtd. Notes | 5.875% | 11/15/24 | 4,000 | 4,116,000 | ||||||||||
DISH DBS Corp., Gtd. Notes | 7.750% | 07/01/26 | 20,545 | 23,164,487 | ||||||||||
Gray Television, Inc., Gtd. Notes, 144A | 5.875% | 07/15/26 | 8,900 | 8,833,250 | ||||||||||
LIN Television Corp., Gtd. Notes | 6.375% | 01/15/21 | 2,000 | 2,065,000 | ||||||||||
Mediacom Broadband LLC/Mediacom Broadband Corp., Gtd. Notes | 5.500% | 04/15/21 | 7,500 | 7,668,750 | ||||||||||
Midcontinent Communications & Midcontinent Finance Corp., Gtd. Notes, 144A | 6.875% | 08/15/23 | 4,950 | 5,271,750 | ||||||||||
Nexstar Escrow Corp., Gtd. Notes, 144A(c) | 5.625% | 08/01/24 | 4,000 | 3,970,000 | ||||||||||
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes | 5.750% | 01/15/23 | 11,408 | 11,835,800 | ||||||||||
SFR Group SA (France), Sr. Sec’d. Notes, 144A | 7.375% | 05/01/26 | 28,829 | 29,549,725 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes | 5.375% | 04/01/21 | 2,025 | 2,085,750 | ||||||||||
Sinclair Television Group, Inc., Gtd. Notes, 144A | 5.625% | 08/01/24 | 2,000 | 2,045,000 | ||||||||||
Sinclair Television Group, Inc., Sr. Unsec’d. Notes, 144A | 5.875% | 03/15/26 | 1,950 | 1,954,875 | ||||||||||
Time, Inc., Gtd. Notes, 144A | 5.750% | 04/15/22 | 5,815 | 6,018,525 | ||||||||||
Tribune Media Co., Gtd. Notes | 5.875% | 07/15/22 | 7,125 | 7,240,781 | ||||||||||
Unitymedia GmbH (Germany), Sr. Sec’d. Notes, 144A | 6.125% | 01/15/25 | 3,575 | 3,673,313 | ||||||||||
Univision Communications, Inc., Sr. Sec’d. Notes, 144A(d) | 5.125% | 02/15/25 | 4,600 | 4,398,750 | ||||||||||
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A | 5.375% | 01/15/25 | 3,530 | 3,556,475 | ||||||||||
Ziggo Bond Finance BV (Netherlands), Sr. Unsec’d. Notes, 144A | 6.000% | 01/15/27 | 2,000 | 1,940,000 | ||||||||||
272,488,823 | ||||||||||||||
Metal Fabricate & Hardware — 0.6% |
| |||||||||||||
Grinding Media, Inc./MC Grinding Media Canada, Inc., Sr. Sec’d. Notes, 144A | 7.375% | 12/15/23 | 2,925 | 3,073,005 | ||||||||||
Novelis Corp., Gtd. Notes, 144A | 5.875% | 09/30/26 | 5,750 | 5,807,500 | ||||||||||
Zekelman Industries, Inc., Sr. Sec’d. Notes, 144A | 9.875% | 06/15/23 | 10,355 | 11,597,600 | ||||||||||
20,478,105 | ||||||||||||||
Metals — 0.4% |
| |||||||||||||
Teck Resources Ltd. (Canada), Gtd. Notes | 3.000% | 03/01/19 | 2,710 | 2,710,000 | ||||||||||
Teck Resources Ltd. (Canada), Gtd. Notes | 6.250% | 07/15/41 | 10,350 | 9,974,088 | ||||||||||
12,684,088 | ||||||||||||||
Mining — 4.0% |
| |||||||||||||
Alamos Gold, Inc. (Canada), Sec’d. Notes, 144A | 7.750% | 04/01/20 | 1,400 | 1,456,000 | ||||||||||
Alcoa Nederland Holding BV, Gtd. Notes, 144A(c) | 6.750% | 09/30/24 | 3,275 | 3,553,375 | ||||||||||
Alcoa Nederland Holding BV, Gtd. Notes, 144A | 7.000% | 09/30/26 | 3,175 | 3,476,625 | ||||||||||
Alcoa, Inc., Sr. Unsec’d. Notes(c) | 5.125% | 10/01/24 | 6,150 | 6,303,750 | ||||||||||
Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A | 6.125% | 12/15/20 | 6,986 | 7,090,790 | ||||||||||
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A | 7.000% | 02/15/21 | 2,491 | 2,477,549 | ||||||||||
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A | 7.250% | 05/15/22 | 850 | 837,250 | ||||||||||
FMG Resources August 2006 Pty Ltd. (Australia), Sr. Sec’d. Notes, 144A | 9.750% | 03/01/22 | 5,830 | 6,763,208 | ||||||||||
Freeport-McMoRan, Inc., Gtd. Notes(c) | 3.550% | 03/01/22 | 7,835 | 7,286,550 | ||||||||||
Freeport-McMoRan, Inc., Gtd. Notes(c) | 3.875% | 03/15/23 | 19,095 | 17,519,662 | ||||||||||
Freeport-McMoRan, Inc., Gtd. Notes(c) | 4.550% | 11/14/24 | 850 | 796,875 | ||||||||||
Freeport-McMoRan, Inc., Gtd. Notes, 144A | 6.625% | 05/01/21 | 5,513 | 5,609,478 | ||||||||||
Hudbay Minerals, Inc. (Canada), Gtd. Notes, 144A | 7.625% | 01/15/25 | 3,550 | 3,689,799 | ||||||||||
International Wire Group, Inc., Sr. Sec’d. Notes, 144A(d) | 10.750% | 08/01/21 | 7,475 | 7,026,500 |
SEE NOTES TO FINANCIAL STATEMENTS.
A135
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Mining (continued) |
| |||||||||||||
Joseph T Ryerson & Son, Inc., Sr. Sec’d. Notes, 144A | 11.000% | 05/15/22 | 3,850 | $ | 4,235,000 | |||||||||
Kaiser Aluminum Corp., Gtd. Notes | 5.875% | 05/15/24 | 2,700 | 2,794,500 | ||||||||||
Kinross Gold Corp. (Canada), Gtd. Notes | 5.950% | 03/15/24 | 5,650 | 5,720,625 | ||||||||||
Kinross Gold Corp. (Canada), Gtd. Notes | 6.875% | 09/01/41 | 725 | 669,719 | ||||||||||
Lundin Mining Corp. (Canada), Sr. Sec’d. Notes, 144A | 7.500% | 11/01/20 | 5,650 | 6,010,187 | ||||||||||
Lundin Mining Corp. (Canada), Sr. Sec’d. Notes, 144A(c) | 7.875% | 11/01/22 | 5,499 | 5,980,163 | ||||||||||
New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A(c) | 6.250% | 11/15/22 | 18,267 | 18,723,675 | ||||||||||
Teck Resources Ltd. (Canada), Sr. Unsec’d. Notes(c) | 4.750% | 01/15/22 | 25,409 | 25,472,522 | ||||||||||
143,493,802 | ||||||||||||||
Miscellaneous Manufacturing — 1.2% |
| |||||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 5.750% | 03/15/22 | 1,600 | 1,504,000 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 6.000% | 10/15/22 | 2,500 | 2,350,000 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 6.125% | 01/15/23 | 2,200 | 2,097,480 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 7.750% | 03/15/20 | 517 | 544,143 | ||||||||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 8.750% | 12/01/21 | 16,500 | 17,510,625 | ||||||||||
EnPro Industries, Inc., Gtd. Notes | 5.875% | 09/15/22 | 4,475 | 4,598,062 | ||||||||||
Gates Global LLC/Gates Global Co., Gtd. Notes, 144A(c)(d) | 6.000% | 07/15/22 | 6,875 | 6,723,750 | ||||||||||
Koppers, Inc., Gtd. Notes | 7.875% | 12/01/19 | 8,412 | 8,527,665 | ||||||||||
43,855,725 | ||||||||||||||
Office & Business Equipment — 0.2% |
| |||||||||||||
CDW LLC/CDW Finance Corp., Gtd. Notes | 5.500% | 12/01/24 | 8,184 | 8,368,140 | ||||||||||
Oil & Gas — 6.4% |
| |||||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Sevices Corp., Sr. Unsec’d. Notes, 144A | 7.875% | 12/15/24 | 3,450 | 3,570,750 | ||||||||||
Antero Resources Corp., Gtd. Notes | 5.375% | 11/01/21 | 3,525 | 3,604,313 | ||||||||||
Antero Resources Corp., Gtd. Notes(c) | 5.625% | 06/01/23 | 4,330 | 4,432,838 | ||||||||||
Bonanza Creek Energy, Inc., Gtd. Notes(f) | 5.750% | (a) | 02/01/23 | 2,300 | 1,679,000 | |||||||||
Bonanza Creek Energy, Inc., Gtd. Notes(f) | 6.750% | (a) | 04/15/21 | 6,900 | 5,140,500 | |||||||||
California Resources Corp., Gtd. Notes | 5.500% | 09/15/21 | 76 | 59,660 | ||||||||||
California Resources Corp., Gtd. Notes | 6.000% | 11/15/24 | 1,257 | 917,610 | ||||||||||
California Resources Corp., Sec’d. Notes, 144A | 8.000% | 12/15/22 | 13,893 | 12,364,770 | ||||||||||
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A | 10.750% | 02/15/20 | 9,750 | 10,456,875 | ||||||||||
Concho Resources, Inc., Gtd. Notes | 5.500% | 04/01/23 | 4,700 | 4,870,610 | ||||||||||
Diamondback Energy, Inc., Gtd. Notes, 144A | 5.375% | 05/31/25 | 4,575 | 4,601,077 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A | 7.000% | 08/15/21 | 6,450 | 6,708,000 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A | 8.125% | 09/15/23 | 7,630 | 8,145,025 | ||||||||||
EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Sec’d. Notes, 144A | 8.000% | 11/29/24 | 2,650 | 2,847,955 | ||||||||||
Halcon Resources Corp., Sec’d. Notes, 144A(c)(d) | 8.625% | 02/01/20 | 8,350 | 8,684,000 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A(d) | 5.750% | 10/01/25 | 9,275 | 9,390,937 | ||||||||||
MEG Energy Corp. (Canada), Gtd. Notes, 144A | 6.375% | 01/30/23 | 725 | 645,250 | ||||||||||
MEG Energy Corp. (Canada), Gtd. Notes, 144A | 6.500% | 03/15/21 | 15,245 | 14,101,625 | ||||||||||
Murphy Oil Corp., Sr. Unsec’d. Notes(c) | 6.875% | 08/15/24 | 1,925 | 2,050,125 | ||||||||||
Murphy Oil USA, Inc., Gtd. Notes | 6.000% | 08/15/23 | 2,000 | 2,085,000 | ||||||||||
Newfield Exploration Co., Sr. Unsec’d. Notes | 5.375% | 01/01/26 | 5,975 | 6,092,110 | ||||||||||
Newfield Exploration Co., Sr. Unsec’d. Notes | 5.750% | 01/30/22 | 1,875 | 1,975,781 | ||||||||||
Noble Holding International Ltd. (United Kingdom), Gtd. Notes(c) | 7.750% | 01/15/24 | 4,750 | 4,467,850 | ||||||||||
Parker Drilling Co., Gtd. Notes | 7.500% | 08/01/20 | 1,975 | 1,777,500 | ||||||||||
Petrobras Global Finance BV (Brazil), Gtd. Notes | 8.375% | 05/23/21 | 5,000 | 5,387,500 | ||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes | 6.625% | 11/15/20 | 1,495 | 1,517,196 | ||||||||||
Precision Drilling Corp. (Canada), Gtd. Notes, 144A | 7.750% | 12/15/23 | 3,875 | 4,088,125 | ||||||||||
QEP Resources, Inc., Sr. Unsec’d. Notes | 5.250% | 05/01/23 | 2,975 | 2,982,438 | ||||||||||
QEP Resources, Inc., Sr. Unsec’d. Notes | 5.375% | 10/01/22 | 2,300 | 2,305,750 | ||||||||||
Range Resources Corp., Gtd. Notes, 144A | 5.000% | 08/15/22 | 3,175 | 3,155,156 | ||||||||||
Range Resources Corp., Gtd. Notes, 144A | 5.000% | 03/15/23 | 1,478 | 1,463,220 | ||||||||||
Range Resources Corp., Gtd. Notes, 144A | 5.875% | 07/01/22 | 15,637 | 16,262,480 | ||||||||||
Rice Energy, Inc., Gtd. Notes | 6.250% | 05/01/22 | 1,175 | 1,207,313 |
SEE NOTES TO FINANCIAL STATEMENTS.
A136
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Oil & Gas (continued) |
| |||||||||||||
Rice Energy, Inc., Gtd. Notes(c) | 7.250% | 05/01/23 | 5,775 | $ | 6,121,500 | |||||||||
Seventy Seven Energy, Inc., Sr. Unsec’d. Notes(b)(d)(f) | 6.500% | 07/15/22 | 1,975 | 20 | ||||||||||
Sunoco LP/Sunoco Finance Corp., Gtd. Notes | 5.500% | 08/01/20 | 3,900 | 3,978,000 | ||||||||||
Sunoco LP/Sunoco Finance Corp., Gtd. Notes | 6.375% | 04/01/23 | 9,600 | 9,720,000 | ||||||||||
Tesoro Corp., Gtd. Notes, 144A | 4.750% | 12/15/23 | 4,425 | 4,455,422 | ||||||||||
Tesoro Corp., Gtd. Notes, 144A | 5.125% | 12/15/26 | 7,525 | 7,610,785 | ||||||||||
Tullow Oil PLC (United Kingdom), Gtd. Notes, 144A | 6.000% | 11/01/20 | 6,900 | 6,572,250 | ||||||||||
Western Refining Logistics LP/WNRL Finance Corp., Gtd. Notes | 7.500% | 02/15/23 | 6,475 | 6,993,000 | ||||||||||
Western Refining, Inc., Gtd. Notes | 6.250% | 04/01/21 | 5,733 | 5,947,987 | ||||||||||
Whiting Petroleum Corp., Gtd. Notes(c) | 5.750% | 03/15/21 | 2,000 | 1,991,680 | ||||||||||
Whiting Petroleum Corp., Gtd. Notes(c) | 6.250% | 04/01/23 | 575 | 575,000 | ||||||||||
WPX Energy, Inc., Sr. Unsec’d. Notes(c) | 6.000% | 01/15/22 | 5,043 | 5,169,075 | ||||||||||
WPX Energy, Inc., Sr. Unsec’d. Notes | 7.500% | 08/01/20 | 3,100 | 3,332,500 | ||||||||||
WPX Energy, Inc., Sr. Unsec’d. Notes(c) | 8.250% | 08/01/23 | 4,800 | 5,364,000 | ||||||||||
226,869,558 | ||||||||||||||
Oil & Gas Services — 0.2% |
| |||||||||||||
CGG SA (France), Gtd. Notes | 6.500% | 06/01/21 | 2,125 | 977,500 | ||||||||||
CGG SA (France), Gtd. Notes | 6.875% | 01/15/22 | 1,355 | 623,300 | ||||||||||
PHI, Inc., Gtd. Notes | 5.250% | 03/15/19 | 3,525 | 3,313,500 | ||||||||||
SESI LLC, Gtd. Notes | 6.375% | 05/01/19 | 1,150 | 1,150,000 | ||||||||||
6,064,300 | ||||||||||||||
Packaging & Containers — 2.1% |
| |||||||||||||
AEP Industries, Inc., Sr. Unsec’d. Notes | 8.250% | 04/15/19 | 2,986 | 3,045,720 | ||||||||||
ARD Finance SA (Luxembourg), Sr. Sec’d. Notes, PIK, 144A | 7.125% | 09/15/23 | 7,000 | 6,912,500 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 6.000% | 06/30/21 | 1,725 | 1,755,187 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 6.250% | 01/31/19 | 2,875 | 2,921,719 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 6.750% | 01/31/21 | 1,360 | 1,400,800 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Gtd. Notes, 144A | 7.250% | 05/15/24 | 14,175 | 14,936,906 | ||||||||||
Coveris Holdings SA (Luxembourg), Gtd. Notes, 144A | 7.875% | 11/01/19 | 8,900 | 8,833,250 | ||||||||||
Greif, Inc., Sr. Unsec’d. Notes | 6.750% | 02/01/17 | 370 | 370,925 | ||||||||||
Owens-Brockway Glass Container, Inc., Gtd. Notes, 144A | 5.875% | 08/15/23 | 1,075 | 1,120,688 | ||||||||||
Owens-Brockway Glass Container, Inc., Gtd. Notes, 144A | 6.375% | 08/15/25 | 1,275 | 1,345,125 | ||||||||||
PaperWorks Industries, Inc., Sr. Sec’d. Notes, 144A | 9.500% | 08/15/19 | 6,535 | 5,652,775 | ||||||||||
Plastipak Holdings, Inc., Sr. Unsec’d. Notes, 144A(c)(d) | 6.500% | 10/01/21 | 11,590 | 12,111,550 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Gtd. Notes, 144A | 7.000% | 07/15/24 | 6,600 | 7,016,625 | ||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand), Sr. Sec’d. Notes | 6.875% | (a) | 02/15/21 | 1,021 | 1,050,417 | |||||||||
Sealed Air Corp., Gtd. Notes, 144A | 4.875% | 12/01/22 | 3,200 | 3,288,000 | ||||||||||
Sealed Air Corp., Gtd. Notes, 144A | 5.250% | 04/01/23 | 3,025 | 3,138,437 | ||||||||||
74,900,624 | ||||||||||||||
Pharmaceuticals — 2.1% |
| |||||||||||||
Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A | 7.000% | 05/15/19 | 1,555 | 1,568,405 | ||||||||||
Endo Finance LLC, Gtd. Notes, 144A | 5.750% | 01/15/22 | 9,350 | 8,251,375 | ||||||||||
Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A | 5.375% | (a) | 01/15/23 | 3,650 | 3,093,375 | |||||||||
Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A | 7.250% | (a) | 01/15/22 | 1,375 | 1,265,000 | |||||||||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A | 6.000% | 07/15/23 | 700 | 613,375 | ||||||||||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc., Gtd. Notes, 144A | 6.500% | (a) | 02/01/25 | 7,950 | 6,658,125 | |||||||||
Grifols Worldwide Operations Ltd. (Spain), Gtd. Notes | 5.250% | 04/01/22 | 4,375 | 4,528,125 | ||||||||||
Horizon Pharma, Inc., Gtd. Notes(c) | 6.625% | 05/01/23 | 6,005 | 5,719,762 | ||||||||||
Horizon Pharma, Inc./Horizon Pharma USA, Inc., Gtd. Notes, 144A(c) | 8.750% | 11/01/24 | 3,500 | 3,543,750 | ||||||||||
NBTY, Inc., Sr. Unsec’d. Notes, 144A(c)(d) | 7.625% | 05/15/21 | 5,275 | 5,459,625 |
SEE NOTES TO FINANCIAL STATEMENTS.
A137
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Pharmaceuticals (continued) |
| |||||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 5.375% | 03/15/20 | 1,275 | $ | 1,077,375 | |||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 5.500% | 03/01/23 | 5,925 | 4,443,750 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 5.625% | 12/01/21 | 2,920 | 2,263,000 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 5.875% | 05/15/23 | 3,075 | 2,321,625 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A(c) | 6.125% | 04/15/25 | 15,195 | 11,415,244 | ||||||||||
Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A | 7.500% | 07/15/21 | 4,325 | 3,665,437 | ||||||||||
Vizient, Inc., Sr. Unsec’d. Notes, 144A | 10.375% | 03/01/24 | 8,300 | 9,399,750 | ||||||||||
75,287,098 | ||||||||||||||
Pipelines — 1.9% |
| |||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes, 144A | 5.375% | 09/15/24 | 2,750 | 2,777,500 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes(c) | 6.000% | 12/15/20 | 1,950 | 1,998,750 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Gtd. Notes | 6.250% | (a) | 04/01/23 | 1,275 | 1,300,500 | |||||||||
Energy Transfer Equity LP, Sr. Sec’d. Notes | 7.500% | 10/15/20 | 4,300 | 4,794,500 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes | 6.000% | 05/15/23 | 7,725 | 7,860,187 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes | 6.750% | 08/01/22 | 5,425 | 5,636,575 | ||||||||||
Regency Energy Partners LP/Regency Energy Finance Corp., Gtd. Notes | 5.500% | 04/15/23 | 3,275 | 3,381,437 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A(d) | 5.625% | 04/15/20 | 5,375 | 5,657,187 | ||||||||||
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A(d) | 6.000% | 01/15/19 | 5,522 | 5,798,100 | ||||||||||
Rose Rock Midstream LP/Rose Rock Finance Corp., Gtd. Notes | 5.625% | 11/15/23 | 1,350 | 1,316,250 | ||||||||||
Selectica, Inc. (Escrow Shares)(b)(d)(f) | —% | (a)(g) | 12/31/49 | 1,350 | 14 | |||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Gtd. Notes, 144A | 5.500% | 09/15/24 | 6,400 | 6,352,000 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes(c) | 6.750% | 03/15/24 | 4,950 | 5,308,875 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A | 5.125% | 02/01/25 | 2,675 | 2,654,938 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes, 144A | 5.375% | 02/01/27 | 2,675 | 2,648,250 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 5.875% | 10/01/20 | 2,847 | 2,935,969 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes(c) | 6.125% | 10/15/21 | 3,025 | 3,176,250 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 6.250% | 10/15/22 | 2,500 | 2,650,000 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., Gtd. Notes | 6.375% | 05/01/24 | 2,950 | 3,156,500 | ||||||||||
69,403,782 | ||||||||||||||
Real Estate — 0.6% |
| |||||||||||||
CBRE Services, Inc., Gtd. Notes | 5.000% | 03/15/23 | 1,200 | 1,237,908 | ||||||||||
Crescent Communities LLC, Sr. Sec’d. Notes, 144A | 8.875% | 10/15/21 | 3,325 | 3,349,938 | ||||||||||
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A(d) | 8.250% | 12/01/22 | 8,225 | 8,903,562 | ||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., Gtd. Notes, 144A(c) | 4.875% | 06/01/23 | 7,700 | 7,430,500 | ||||||||||
20,921,908 | ||||||||||||||
Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||||||||
Communications Sales & Leasing, Inc./CSL Capital LLC, Gtd. Notes, 144A | 7.125% | 12/15/24 | 2,700 | 2,727,000 | ||||||||||
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes | 6.375% | 11/15/22 | 4,697 | 4,943,593 | ||||||||||
DuPont Fabros Technology LP, Gtd. Notes | 5.875% | 09/15/21 | 4,125 | 4,315,781 | ||||||||||
Equinix, Inc., Sr. Unsec’d. Notes | 5.875% | 01/15/26 | 4,715 | 4,962,537 | ||||||||||
Felcor Lodging LP, Gtd. Notes | 6.000% | 06/01/25 | 4,045 | 4,206,800 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Escrow Co-Issuer, Inc., Gtd. Notes, 144A | 5.625% | 05/01/24 | 4,975 | 5,211,312 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., Gtd. Notes, 144A | 4.500% | 09/01/26 | 5,625 | 5,400,000 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 6.375% | 02/15/22 | 1,000 | 1,036,250 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 5.250% | 08/01/26 | 4,200 | 4,116,000 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 5.500% | 05/01/24 | 3,275 | 3,307,750 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes | 6.375% | 03/01/24 | 4,100 | 4,289,625 |
SEE NOTES TO FINANCIAL STATEMENTS.
A138
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||||||||
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes | 5.000% | 04/15/21 | 2,800 | $ | 2,842,000 | |||||||||
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes | 5.000% | 04/15/23 | 5,278 | 5,330,780 | ||||||||||
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes | 5.375% | 06/01/23 | 4,300 | 4,289,250 | ||||||||||
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes | 5.500% | 02/01/21 | 1,950 | 2,003,625 | ||||||||||
Senior Housing Properties Trust, Sr. Unsec’d. Notes | 6.750% | 12/15/21 | 5,875 | 6,574,936 | ||||||||||
65,557,239 | ||||||||||||||
Retail — 4.8% |
| |||||||||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes | 7.000% | 05/20/22 | 2,104 | 2,214,460 | ||||||||||
BC ULC/New Red Finance, Inc. (Canada), Sec’d. Notes, 144A | 6.000% | 04/01/22 | 3,875 | 4,049,375 | ||||||||||
Brinker International, Inc., Sr. Unsec’d. Notes, 144A | 5.000% | 10/01/24 | 3,550 | 3,541,125 | ||||||||||
Caleres, Inc., Gtd. Notes | 6.250% | 08/15/23 | 5,250 | 5,512,500 | ||||||||||
CEC Entertainment, Inc., Gtd. Notes | 8.000% | 02/15/22 | 10,420 | 10,628,400 | ||||||||||
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A | 6.125% | 03/15/20 | 2,400 | 1,128,000 | ||||||||||
Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A | 9.000% | 03/15/19 | 8,800 | 4,444,000 | ||||||||||
CST Brands, Inc., Gtd. Notes | 5.000% | 05/01/23 | 3,400 | 3,510,500 | ||||||||||
Dollar Tree, Inc., Sr. Unsec’d. Notes | 5.750% | 03/01/23 | 7,500 | 7,941,150 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Gtd. Notes | 6.750% | (a) | 06/15/23 | 3,075 | 3,021,188 | |||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes | 6.500% | 05/01/21 | 2,025 | 2,014,875 | ||||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes | 6.750% | 01/15/22 | 6,345 | 6,265,687 | ||||||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes | 8.625% | 06/15/20 | 59 | 58,115 | ||||||||||
Hot Topic, Inc., Sr. Sec’d. Notes, 144A(d) | 9.250% | 06/15/21 | 5,600 | 5,894,000 | ||||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Gtd. Notes, 144A | 5.250% | 06/01/26 | 5,350 | 5,430,250 | ||||||||||
L Brands, Inc., Gtd. Notes | 5.625% | 02/15/22 | 5,685 | 6,068,737 | ||||||||||
L Brands, Inc., Gtd. Notes | 6.750% | 07/01/36 | 5,825 | 5,897,813 | ||||||||||
L Brands, Inc., Gtd. Notes | 6.875% | 11/01/35 | 1,075 | 1,096,500 | ||||||||||
Landry’s, Inc., Sr. Unsec’d. Notes, 144A(d) | 6.750% | 10/15/24 | 10,575 | 10,733,625 | ||||||||||
Men’s Wearhouse, Inc. (The), Gtd. Notes | 7.000% | 07/01/22 | 6,700 | 6,566,000 | ||||||||||
Neiman Marcus Group Ltd., LLC, Gtd. Notes, 144A(c) | 8.000% | 10/15/21 | 28,169 | 20,915,482 | ||||||||||
PetSmart, Inc., Sr. Unsec’d. Notes, 144A(c) | 7.125% | 03/15/23 | 16,795 | 17,130,900 | ||||||||||
PF Chang’s China Bistro, Inc., Gtd. Notes, 144A | 10.250% | 06/30/20 | 7,526 | 7,356,665 | ||||||||||
Rite Aid Corp., Gtd. Notes, 144A | 6.125% | 04/01/23 | 13,450 | 14,458,750 | ||||||||||
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes | 5.625% | 12/01/25 | 3,025 | 3,146,000 | ||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes | 5.500% | 06/01/24 | 5,700 | 5,771,250 | ||||||||||
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A(d) | 8.000% | 06/15/22 | 5,750 | 4,945,000 | ||||||||||
169,740,347 | ||||||||||||||
Semiconductors — 1.3% |
| |||||||||||||
Micron Technology, Inc., Sr. Sec’d. Notes, 144A | 7.500% | 09/15/23 | 5,600 | 6,202,000 | ||||||||||
Micron Technology, Inc., Sr. Unsec’d. Notes | 5.500% | 02/01/25 | 3,175 | 3,159,125 | ||||||||||
Micron Technology, Inc., Sr. Unsec’d. Notes, 144A | 5.250% | 08/01/23 | 12,100 | 12,145,375 | ||||||||||
Micron Technology, Inc., Sr. Unsec’d. Notes, 144A | 5.625% | 01/15/26 | 11,200 | 11,102,000 | ||||||||||
Sensata Technologies BV, Gtd. Notes, 144A | 4.875% | 10/15/23 | 6,075 | 6,211,687 | ||||||||||
Sensata Technologies BV, Gtd. Notes, 144A | 5.000% | 10/01/25 | 1,925 | 1,886,500 | ||||||||||
Sensata Technologies UK Financing Co. PLC, Gtd. Notes, 144A | 6.250% | 02/15/26 | 5,935 | 6,202,075 | ||||||||||
46,908,762 | ||||||||||||||
Software — 5.5% |
| |||||||||||||
BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A | 8.125% | 07/15/21 | 43,535 | 40,678,016 | ||||||||||
BMC Software, Inc., Sr. Unsec’d. Notes | 7.250% | 06/01/18 | 4,590 | 4,612,950 | ||||||||||
Boxer Parent Co., Sr. Unsec’d. Notes, PIK, 144A | 9.000% | 10/15/19 | 14,520 | 13,612,500 | ||||||||||
Donnelley Financial Solutions, Inc., Sr. Unsec’d. Notes, 144A | 8.250% | 10/15/24 | 955 | 971,713 | ||||||||||
First Data Corp., Gtd. Notes, 144A | 7.000% | 12/01/23 | 46,905 | 49,953,825 | ||||||||||
First Data Corp., Sec’d. Notes, 144A | 5.750% | 01/15/24 | 7,825 | 8,074,461 | ||||||||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greenden US Holdings, Inc., Gtd. Notes, 144A | 10.000% | 11/30/24 | 7,350 | 7,809,375 |
SEE NOTES TO FINANCIAL STATEMENTS.
A139
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
CORPORATE BONDS (continued) | Interest Rate | Maturity Date | Principal Amount (000)# | Value (Note 2) | ||||||||||||
Software (continued) |
| |||||||||||||||
Inception Merger Sub, Inc./Rackspace Hosting, Inc., Sr. Unsec’d. Notes, 144A(c) | 8.625% | 11/15/24 | 8,050 | $ | 8,520,522 | |||||||||||
Infor Software Parent LLC/Infor Software Parent, Inc., Gtd. Notes, PIK, 144A(d) | 7.125% | 05/01/21 | 19,154 | 19,728,620 | ||||||||||||
Infor US, Inc., Gtd. Notes(d) | 6.500% | 05/15/22 | 13,675 | 14,256,187 | ||||||||||||
Informatica LLC, Sr. Unsec’d. Notes, 144A(c) | 7.125% | 07/15/23 | 11,200 | 10,696,000 | ||||||||||||
JDA Escrow/JDA Bond Finance, Inc., Sr. Sec’d. Notes, 144A | 7.375% | 10/15/24 | 3,450 | 3,579,375 | ||||||||||||
Nuance Communications, Inc., Gtd. Notes, 144A | 5.375% | 08/15/20 | 4,976 | 5,119,060 | ||||||||||||
Nuance Communications, Inc., Gtd. Notes, 144A | 6.000% | 07/01/24 | 9,000 | 9,292,500 | ||||||||||||
196,905,104 | ||||||||||||||||
Telecommunications — 5.3% |
| |||||||||||||||
Aegis Merger Sub., Inc., Sr. Unsec’d. Notes, 144A | 10.250% | 02/15/23 | 5,300 | 5,856,500 | ||||||||||||
Avaya, Inc., Sec’d. Notes, 144A | 10.500% | 03/01/21 | 13,665 | 5,875,950 | ||||||||||||
CenturyLink, Inc., Series G, Sr. Unsec’d. Notes | 6.875% | 01/15/28 | 4,000 | 3,620,000 | ||||||||||||
CenturyLink, Inc., Series Q, Sr. Unsec’d. Notes | 6.150% | 09/15/19 | 970 | 1,037,900 | ||||||||||||
CommScope Technologies Finance LLC, Sr. Unsec’d. Notes, 144A | 6.000% | 06/15/25 | 8,550 | 9,063,000 | ||||||||||||
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A | 7.125% | 04/01/22 | 600 | 465,444 | ||||||||||||
Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A | 8.250% | 09/30/20 | 8,925 | 7,657,382 | ||||||||||||
Digicel Ltd. (Jamaica), Gtd. Notes, 144A | 6.750% | 03/01/23 | 5,500 | 4,958,965 | ||||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes(c) | 6.250% | 09/15/21 | 1,525 | 1,444,938 | ||||||||||||
Frontier Communications Corp., Sr. Unsec’d. Notes | 11.000% | 09/15/25 | 16,360 | 16,891,700 | ||||||||||||
GTT Escrow Corp., Gtd. Notes, 144A | 7.875% | 12/31/24 | 3,425 | 3,571,248 | ||||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 5.500% | 08/01/23 | 12,000 | 8,085,600 | ||||||||||||
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 7.250% | 10/15/20 | 5,700 | 4,417,500 | ||||||||||||
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes | 7.750% | 06/01/21 | 4,005 | 1,311,638 | ||||||||||||
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes | 8.125% | 06/01/23 | 11,765 | 3,676,563 | ||||||||||||
Level 3 Financing, Inc., Gtd. Notes | 5.375% | 05/01/25 | 3,000 | 3,060,000 | ||||||||||||
Level 3 Financing, Inc., Gtd. Notes, 144A | 5.250% | 03/15/26 | 7,770 | 7,692,300 | ||||||||||||
Northwestern Bell Telephone, Sr. Unsec’d. Notes | 7.750% | 05/01/30 | 750 | 821,702 | ||||||||||||
Sprint Capital Corp., Gtd. Notes(c) | 6.875% | 11/15/28 | 19,450 | 19,206,875 | ||||||||||||
Sprint Capital Corp., Gtd. Notes | 6.900% | 05/01/19 | 4,965 | 5,256,694 | ||||||||||||
Sprint Capital Corp., Gtd. Notes | 8.750% | 03/15/32 | 2,300 | 2,530,000 | ||||||||||||
Sprint Communications, Inc., Gtd. Notes, 144A(d) | 9.000% | 11/15/18 | 2,656 | 2,928,240 | ||||||||||||
Sprint Corp., Gtd. Notes(d) | 7.125% | 06/15/24 | 9,875 | 10,171,250 | ||||||||||||
Sprint Corp., Gtd. Notes(c)(d) | 7.625% | 02/15/25 | 10,885 | 11,442,856 | ||||||||||||
Sprint Corp., Gtd. Notes(d) | 7.875% | 09/15/23 | 2,000 | 2,135,000 | ||||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.375% | 03/01/25 | 5,350 | 5,717,812 | ||||||||||||
T-mobile USA, Inc., Gtd. Notes(c) | 6.500% | 01/15/26 | 6,425 | 6,947,031 | ||||||||||||
T-Mobile USA, Inc., Gtd. Notes | 6.633% | 04/28/21 | 5,650 | 5,897,187 | ||||||||||||
Telecom Italia SpA (Italy), Sr. Unsec’d. Notes, 144A | 5.303% | 05/30/24 | 4,525 | 4,423,187 | ||||||||||||
West Corp., Gtd. Notes, 144A | 5.375% | 07/15/22 | 5,450 | 5,266,062 | ||||||||||||
Wind Acquisition Finance SA (Italy), Sec’d. Notes, 144A | 7.375% | 04/23/21 | 15,275 | 15,886,000 | ||||||||||||
Windstream Services LLC, Gtd. Notes(c) | 6.375% | 08/01/23 | 1,675 | 1,494,938 | ||||||||||||
188,811,462 | ||||||||||||||||
Textiles — 0.6% | ||||||||||||||||
Springs Industries, Inc., Sr. Sec’d. Notes | 6.250% | 06/01/21 | 19,432 | 20,112,120 | ||||||||||||
Transportation — 0.6% | ||||||||||||||||
Hornbeck Offshore Services, Inc., Gtd. Notes | 5.875% | 04/01/20 | 3,622 | 2,589,730 | ||||||||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance II US, Inc., Sr. Sec’d. Notes, 144A | 7.375% | 01/15/22 | 5,850 | 3,510,000 | ||||||||||||
OPE KAG Finance Sub, Inc., Sr. Unsec’d. Notes, 144A | 7.875% | 07/31/23 | 1,475 | 1,489,750 | ||||||||||||
XPO Logistics, Inc., Gtd. Notes, 144A | 6.125% | 09/01/23 | 5,075 | 5,303,375 | ||||||||||||
XPO Logistics, Inc., Gtd. Notes, 144A(c) | 6.500% | 06/15/22 | 8,850 | 9,292,500 | ||||||||||||
22,185,355 | ||||||||||||||||
TOTAL CORPORATE BONDS | 3,380,789,516 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A140
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Oil & Gas | ||||||||
Seventy Seven Energy, Inc.*(c) | 3,138 | $ | 141,210 | |||||
Oil, Gas & Consumable Fuels | ||||||||
Pacific Exploration and Production Corp. (Colombia)*(b) | 20,062 | 816,423 | ||||||
Pacific Exploration and Production Corp. (Colombia) | 7,852 | 343,461 | ||||||
1,159,884 | ||||||||
Telecommunications | ||||||||
Netia SA (Poland)*(d) | 227,114 | 249,517 | ||||||
TOTAL COMMON STOCKS | 1,550,611 | |||||||
PREFERRED STOCKS — 0.2% | ||||||||
Banks — 0.1% | ||||||||
Goldman Sachs Group, Inc. (The), Series K*(d) | 87,000 | 2,361,180 | ||||||
Building Materials & Construction | ||||||||
New Millennium Homes LLC*(b)(d) | 3,000 | 156,000 | ||||||
Cable | ||||||||
Adelphia Communications Corp. (Class A Stock)*(b)(d)(f) | 5,000 | 5 | ||||||
Electric — 0.1% | ||||||||
Dynegy, Inc. Series A*(d) | 153,790 | 4,968,955 | ||||||
TOTAL PREFERRED STOCKS | 7,486,140 | |||||||
Units | ||||||||
WARRANTS* | ||||||||
Media & Entertainment | ||||||||
MediaNews Group, Inc., expiring 03/19/17(b)(d) | 5,557 | 56 | ||||||
Oil & Gas | ||||||||
Seventy Seven Energy, Inc., expiring 08/01/21(b) | 17,039 | 353,559 | ||||||
TOTAL WARRANTS | 353,615 | |||||||
TOTAL LONG-TERM INVESTMENTS | 3,441,184,891 | |||||||
SHORT-TERM INVESTMENTS — 13.8% | ||||||||
Shares | ||||||||
AFFILIATED MUTUAL FUNDS | ||||||||
Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(h) | 554,005 | 5,135,623 | ||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(h) | 62,606,194 | 62,606,194 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 422,545,962 | 422,630,471 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 490,372,288 | ||||||
TOTAL INVESTMENTS — 110.2% |
| 3,931,557,179 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (10.2)% |
| (364,000,226 | ) | |||||
NET ASSETS — 100.0% |
| $ | 3,567,556,953 | |||||
See the Glossary for abbreviations used in the annual report:
# | Principal amount is shown in U.S. dollars unless otherwise stated. |
* | Non-income producing security. |
(a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2016. |
(b) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $6,683,117 and 0.2% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
A141
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
(c) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $413,580,418; cash collateral of $422,322,751 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(d) | Indicates a security or securities that have been deemed illiquid. (unaudited) |
(e) | Indicates a restricted security; the aggregate original cost of the restricted securities is $48,507,920. The aggregate value of $34,814,335 is approximately 1.0% of net assets. |
(f) | Represents issuer in default on interest payments. Non-income producing security. Such security may be post maturity. |
(g) | Interest rate not available as of December 31, 2016. |
(h) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund, the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(i) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(j) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2016:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Long Positions: | ||||||||||||||||||||||
438 | 2 Year U.S. Treasury Notes | Mar. 2017 | $ | 94,933,669 | $ | 94,909,125 | $ | (24,544 | ) | |||||||||||||
717 | 5 Year U.S. Treasury Notes | Mar. 2017 | 84,825,579 | 84,365,133 | (460,446 | ) | ||||||||||||||||
9 | 10 Year U.S. Ultra Treasury Bonds | Mar. 2017 | 1,205,733 | 1,206,563 | 830 | |||||||||||||||||
190 | 20 Year U.S. Treasury Bonds | Mar. 2017 | 28,783,401 | 28,624,687 | (158,714 | ) | ||||||||||||||||
90 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2017 | 14,480,974 | 14,422,500 | (58,474 | ) | ||||||||||||||||
(701,348 | ) | |||||||||||||||||||||
Short Position: | ||||||||||||||||||||||
169 | 10 Year U.S. Treasury Notes | Mar. 2017 | 20,844,813 | 21,003,531 | (158,718 | ) | ||||||||||||||||
$ | (860,066 | ) | ||||||||||||||||||||
Cash of $2,075,000 has been segregated with Citigroup Global Markets to cover requirements for open futures contracts at December 31, 2016.
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Asset-Backed Security |
| |||||||||||
Collateralized Loan Obligation | $ | — | $ | 112,544 | $ | — | ||||||
Bank Loans | — | 44,862,782 | 5,355,215 | |||||||||
Collateralized Mortgage Obligations | — | 674,468 | — | |||||||||
Corporate Bonds | — | 3,380,787,657 | 1,859 | |||||||||
Common Stocks | 484,671 | 249,517 | 816,423 | |||||||||
Preferred Stocks | 7,330,135 | — | 156,005 | |||||||||
Warrants | — | — | 353,615 | |||||||||
Affiliated Mutual Funds | 490,372,288 | — | — | |||||||||
Other Financial Instruments* |
| |||||||||||
Futures Contracts | (860,066 | ) | — | — | ||||||||
Total | $ | 497,327,028 | $ | 3,426,686,968 | $ | 6,683,117 | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A142
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Affiliated Mutual Funds (including 11.8% of collateral for securities on loan) | 13.8 | % | ||
Media | 7.6 | |||
Oil & Gas | 6.4 | |||
Software | 5.5 | |||
Healthcare-Services | 5.4 | |||
Telecommunications | 5.3 | |||
Electric | 5.2 | |||
Retail | 4.8 | |||
Chemicals | 4.2 | |||
Entertainment | 4.2 | |||
Mining | 4.0 | |||
Home Builders | 3.9 | |||
Food | 3.0 | |||
Commercial Services | 2.8 | |||
Lodging | 2.4 | |||
Diversified Financial Services | 2.3 | |||
Pharmaceuticals | 2.1 | |||
Packaging & Containers | 2.1 | |||
Auto Parts & Equipment | 2.0 | |||
Building Materials | 2.0 | |||
Pipelines | 1.9 | |||
Real Estate Investment Trusts (REITs) | 1.8 | |||
Computers | 1.4 | |||
Semiconductors | 1.3 | |||
Miscellaneous Manufacturing | 1.2 | |||
Distribution/Wholesale | 1.2 | |||
Healthcare-Products | 1.0 | |||
Iron/Steel | 0.8 | |||
Machinery-Diversified | 0.7 | |||
Technology | 0.7 | |||
Transportation | 0.6 |
Real Estate | 0.6 | % | ||
Banks | 0.6 | |||
Metal Fabricate & Hardware | 0.6 | |||
Leisure Time | 0.6 | |||
Aerospace & Defense | 0.6 | |||
Textiles | 0.6 | |||
Coal | 0.5 | |||
Environmental Control | 0.5 | |||
Gas | 0.4 | |||
Metals | 0.4 | |||
Machinery-Construction & Mining | 0.3 | |||
Engineering & Construction | 0.3 | |||
Advertising | 0.3 | |||
Electrical Components & Equipment | 0.3 | |||
Office & Business Equipment | 0.2 | |||
Household Products/Wares | 0.2 | |||
Gaming | 0.2 | |||
Beverages | 0.2 | |||
Auto Manufacturers | 0.2 | |||
Oil & Gas Services | 0.2 | |||
Biotechnology | 0.2 | |||
Forest Products & Paper | 0.1 | |||
Hand/Machine Tools | 0.1 | |||
Capital Goods | 0.1 | |||
Retailers | 0.1 | |||
Cable | 0.1 | |||
Housewares | 0.1 | |||
110.2 | ||||
Liabilities in excess of other assets | (10.2 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2016 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | Unaffiliated investments | $ | 353,615 | — | $ | — | ||||||
Interest rate contracts | Due from/to broker— variation margin futures | 830 | * | Due from/to broker— variation margin futures | 860,896 | * | ||||||
Total | $ | 354,445 | $ | 860,896 | ||||||||
* | Includes cumulative appreciation (depreciation) as reported in schedule of open futures contracts and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A143
HIGH YIELD BOND PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||
Derivatives not accounted for as hedging | Futures | Swaps | Total | |||||||||
Credit contracts | $ | — | $ | 406,952 | $ | 406,952 | ||||||
Interest rate contracts | (575,078 | ) | — | (575,078 | ) | |||||||
$ | (575,078 | ) | $ | 406,952 | $ | (168,126 | ) | |||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
Derivatives not accounted for as hedging | Warrants* | Futures | Swaps | Total | ||||||||||||
Credit contracts | $ | — | $ | — | $ | (26,363 | ) | $ | (26,363 | ) | ||||||
Equity contracts | 276,883 | — | — | 276,883 | ||||||||||||
Interest rate contracts | — | (860,066 | ) | — | (860,066 | ) | ||||||||||
$ | 276,883 | $ | (860,066 | ) | $ | (26,363 | ) | $ | (609,546 | ) | ||||||
* | Included in net change in unrealized appreciation (depreciation) on investment transactions in the Statement of Operations. |
For the year ended December 31, 2016, the Portfolio’s average volume of derivative activities is as follows:
Futures | Futures | Credit Default | ||
$151,321,343 | $32,317,219 | $630,000 |
(1) | Value at Trade Date. |
(2) | Notional Amount in USD. |
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 413,580,418 | $ | (413,580,418 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A144
HIGH YIELD BOND PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $413,580,418: | ||||
Unaffiliated investments (cost $3,430,060,400) | $ | 3,441,184,891 | ||
Affiliated investments (cost $490,422,048) | 490,372,288 | |||
Cash | 212,782 | |||
Foreign currency, at value (cost $97,916) | 83,557 | |||
Deposit with broker for futures | 2,075,000 | |||
Dividends receivable | 61,897,641 | |||
Due from broker—variation margin futures | 274,311 | |||
Receivable for Series shares sold | 21,900 | |||
Tax reclaim receivable | 2,171 | |||
Prepaid expenses | 27,795 | |||
Total Assets | 3,996,152,336 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 422,322,751 | |||
Payable for investments purchased | 4,059,894 | |||
Management fee payable | 1,646,937 | |||
Accrued expenses and other liabilities | 295,666 | |||
Payable for Series shares repurchased | 268,355 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 800 | |||
Total Liabilities | 428,595,383 | |||
NET ASSETS | $ | 3,567,556,953 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 3,803,778,825 | ||
Retained earnings | (236,221,872 | ) | ||
Net assets, December 31, 2016 | $ | 3,567,556,953 | ||
Net asset value and redemption price per share | $ | 5.10 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Interest income | $ | 237,973,442 | ||
Income from securities lending, net (including affiliated income of $1,834,579) | 2,088,439 | |||
Unaffiliated dividend income (net of foreign withholding taxes of $3,469) | 852,826 | |||
Affiliated dividend income | 450,172 | |||
Total income | 241,364,879 | |||
EXPENSES | ||||
Management fee | 18,492,677 | |||
Custodian and accounting fees (net of $20,700 fee credit) | 348,000 | |||
Shareholders’ reports | 100,000 | |||
Audit fee | 50,000 | |||
Insurance expenses | 40,000 | |||
Trustees’ fees | 39,000 | |||
Legal fees and expenses | 13,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,882) | 11,000 | |||
Commitment fee on syndicated credit agreement | 6,000 | |||
Miscellaneous | 11,189 | |||
Total expenses | 19,110,866 | |||
NET INVESTMENT INCOME (LOSS) | 222,254,013 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $(94)) | (40,593,472 | ) | ||
Futures transactions | (575,078 | ) | ||
Swap agreement transactions | 406,952 | |||
Foreign currency transactions | (652 | ) | ||
(40,762,250 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $69,606) | 326,756,068 | |||
Futures | (860,066 | ) | ||
Swap agreements | (26,363 | ) | ||
Foreign currencies | (4,350 | ) | ||
325,865,289 | ||||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 285,103,039 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 507,357,052 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 222,254,013 | $ | 201,828,528 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (40,762,250 | ) | (17,177,716 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 325,865,289 | (263,876,933 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 507,357,052 | (79,226,121 | ) | |||||
DISTRIBUTIONS | (218,287,352 | ) | (201,981,815 | ) | ||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [2,235,355 and 21,095,889 shares, respectively] | 11,000,750 | 98,454,265 | ||||||
Series shares issued in reinvestment of distributions [44,268,672 and 40,626,321 shares, respectively] | 218,287,352 | 201,981,815 | ||||||
Series shares repurchased [22,509,585 and 20,909,304 shares, respectively] | (110,277,067 | ) | (105,614,580 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 119,011,035 | 194,821,500 | ||||||
CAPITAL CONTRIBUTIONS (Note 4) | 1,218 | — | ||||||
TOTAL INCREASE (DECREASE) | 408,081,953 | (86,386,436 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 3,159,475,000 | 3,245,861,436 | ||||||
End of year | $ | 3,567,556,953 | $ | 3,159,475,000 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A145
JENNISON PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 99.8% | Value (Note 2) | |||||||
COMMON STOCKS | Shares | |||||||
Aerospace & Defense — 1.8% |
| |||||||
Boeing Co. (The) | 181,975 | $ | 28,329,868 | |||||
Air Freight & Logistics — 1.4% |
| |||||||
FedEx Corp. | 117,923 | 21,957,263 | ||||||
Automobiles — 0.9% | ||||||||
Tesla Motors, Inc.*(a) | 68,983 | 14,740,977 | ||||||
Banks — 1.1% | ||||||||
JPMorgan Chase & Co. | 201,294 | 17,369,659 | ||||||
Beverages — 1.9% |
| |||||||
Constellation Brands, Inc. (Class A Stock) | 78,824 | 12,084,508 | ||||||
Monster Beverage Corp.* | 408,774 | 18,125,039 | ||||||
30,209,547 | ||||||||
Biotechnology — 8.0% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 203,183 | 24,859,440 | ||||||
BioMarin Pharmaceutical, Inc.* | 115,059 | 9,531,488 | ||||||
Celgene Corp.* | 375,417 | 43,454,518 | ||||||
Regeneron Pharmaceuticals, Inc.* | 54,027 | 19,832,771 | ||||||
Shire PLC, ADR | 160,479 | 27,342,412 | ||||||
125,020,629 | ||||||||
Capital Markets — 2.9% |
| |||||||
Goldman Sachs Group, Inc. (The) | 126,430 | 30,273,664 | ||||||
S&P Global, Inc. | 141,619 | 15,229,707 | ||||||
45,503,371 | ||||||||
Chemicals — 0.7% | ||||||||
Albemarle Corp. | 120,479 | 10,370,832 | ||||||
Communications Equipment — 1.0% |
| |||||||
Palo Alto Networks, Inc.* | 123,525 | 15,446,801 | ||||||
Energy Equipment & Services — 1.6% |
| |||||||
Halliburton Co. | 448,515 | 24,260,176 | ||||||
Food & Staples Retailing — 1.5% |
| |||||||
Costco Wholesale Corp. | 144,958 | 23,209,225 | ||||||
Hotels, Restaurants & Leisure — 4.0% |
| |||||||
Marriott International, Inc. (Class A Stock) | 395,795 | 32,724,331 | ||||||
Starbucks Corp. | 544,893 | 30,252,459 | ||||||
62,976,790 | ||||||||
Internet & Direct Marketing Retail — 10.2% |
| |||||||
Amazon.com, Inc.* | 118,864 | 89,132,548 | ||||||
Expedia, Inc. | 67,588 | 7,656,369 | ||||||
Netflix, Inc.* | 265,641 | 32,886,356 | ||||||
Priceline Group, Inc. (The)* | 20,493 | 30,043,967 | ||||||
159,719,240 | ||||||||
Internet Software & Services — 15.3% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR*(a) | 541,430 | 47,542,968 | ||||||
Alphabet, Inc. (Class A Stock)* | 55,860 | 44,266,257 | ||||||
Alphabet, Inc. (Class C Stock)* | 57,230 | 44,171,259 | ||||||
Facebook, Inc. (Class A Stock)* | 527,801 | 60,723,505 | ||||||
Tencent Holdings Ltd. (China) | 1,720,713 | 41,722,325 | ||||||
238,426,314 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services — 7.5% |
| |||||||
FleetCor Technologies, Inc.* | 141,866 | $ | 20,076,876 | |||||
MasterCard, Inc. (Class A Stock) | 454,912 | 46,969,664 | ||||||
Visa, Inc. (Class A Stock)(a) | 650,377 | 50,742,414 | ||||||
117,788,954 | ||||||||
Life Sciences Tools & Services — 0.7% |
| |||||||
Illumina, Inc.* | 83,525 | 10,694,541 | ||||||
Machinery — 1.0% | ||||||||
Parker-Hannifin Corp. | 108,138 | 15,139,320 | ||||||
Media — 2.4% | ||||||||
Charter Communications, Inc. (Class A Stock)* | 64,346 | 18,526,500 | ||||||
Time Warner, Inc. | 198,489 | 19,160,143 | ||||||
37,686,643 | ||||||||
Oil, Gas & Consumable Fuels — 1.8% |
| |||||||
Concho Resources, Inc.* | 157,543 | 20,890,202 | ||||||
EOG Resources, Inc. | 74,022 | 7,483,624 | ||||||
28,373,826 | ||||||||
Pharmaceuticals — 2.9% | ||||||||
Allergan PLC*(a) | 82,660 | 17,359,426 | ||||||
Bristol-Myers Squibb Co. | 485,886 | 28,395,178 | ||||||
45,754,604 | ||||||||
Semiconductors & Semiconductor Equipment — 5.7% |
| |||||||
NVIDIA Corp.(a) | 396,633 | 42,336,606 | ||||||
NXP Semiconductors NV (Netherlands)* | 157,807 | 15,466,664 | ||||||
QUALCOMM, Inc. | 469,210 | 30,592,492 | ||||||
88,395,762 | ||||||||
Software — 11.0% |
| |||||||
Adobe Systems, Inc.* | 337,935 | 34,790,408 | ||||||
Microsoft Corp. | 873,751 | 54,294,887 | ||||||
Mobileye NV*(a) | 189,268 | 7,214,896 | ||||||
Red Hat, Inc.* | 268,133 | 18,688,870 | ||||||
salesforce.com, inc.* | 419,738 | 28,735,264 | ||||||
Splunk, Inc.*(a) | 257,439 | 13,168,005 | ||||||
Workday, Inc. (Class A Stock)* | 220,773 | 14,590,888 | ||||||
171,483,218 | ||||||||
Specialty Retail — 7.1% |
| |||||||
Home Depot, Inc. (The) | 135,949 | 18,228,042 | ||||||
Industria de Diseno Textil SA (Spain) | 1,006,130 | 34,274,908 | ||||||
O’Reilly Automotive, Inc.*(a) | 102,907 | 28,650,338 | ||||||
TJX Cos., Inc. (The) | 246,446 | 18,515,488 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 40,590 | 10,348,015 | ||||||
110,016,791 | ||||||||
Technology Hardware, Storage & Peripherals — 4.7% |
| |||||||
Apple, Inc. | 636,602 | 73,731,244 | ||||||
Textiles, Apparel & Luxury Goods — 2.7% |
| |||||||
adidas AG (Germany) | 164,922 | 26,011,278 | ||||||
NIKE, Inc. (Class B Stock) | 304,124 | 15,458,624 | ||||||
41,469,902 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,558,075,497 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A146
JENNISON PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
SHORT-TERM INVESTMENTS — 10.1% | ||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(b) | 2,406 | $ | 2,406 | |||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 157,688,316 | 157,719,853 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 157,722,259 | ||||||
TOTAL INVESTMENTS — 109.9% |
| 1,715,797,756 | ||||||
Liabilities in excess of other assets — (9.9)% |
| (154,291,545 | ) | |||||
NET ASSETS — 100.0% |
| $ | 1,561,506,211 | |||||
See the Glossary for abbreviations used in the annual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $153,620,087; cash collateral of $157,584,909 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(c) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 28,329,868 | $ | — | $ | — | ||||||
Air Freight & Logistics | 21,957,263 | — | — | |||||||||
Automobiles | 14,740,977 | — | — | |||||||||
Banks | 17,369,659 | — | — | |||||||||
Beverages | 30,209,547 | — | — |
Level 1 | Level 2 | Level 3 | ||||||||||
Biotechnology | $ | 125,020,629 | $ | — | $ | — | ||||||
Capital Markets | 45,503,371 | — | — | |||||||||
Chemicals | 10,370,832 | — | — | |||||||||
Communications Equipment | 15,446,801 | — | — | |||||||||
Energy Equipment & Services | 24,260,176 | — | — | |||||||||
Food & Staples Retailing | 23,209,225 | — | — | |||||||||
Hotels, Restaurants & Leisure | 62,976,790 | — | — | |||||||||
Internet & Direct Marketing Retail | 159,719,240 | — | — | |||||||||
Internet Software & Services | 196,703,989 | 41,722,325 | — | |||||||||
IT Services | 117,788,954 | — | — | |||||||||
Life Sciences Tools & Services | 10,694,541 | — | — | |||||||||
Machinery | 15,139,320 | — | — | |||||||||
Media | 37,686,643 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 28,373,826 | — | — | |||||||||
Pharmaceuticals | 45,754,604 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 88,395,762 | — | — | |||||||||
Software | 171,483,218 | — | — | |||||||||
Specialty Retail | 75,741,883 | 34,274,908 | — | |||||||||
Technology Hardware, Storage & Peripherals | 73,731,244 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 15,458,624 | 26,011,278 | — | |||||||||
Affiliated Mutual Funds | 157,722,259 | — | — | |||||||||
Total | $ | 1,613,789,245 | $ | 102,008,511 | $ | — | ||||||
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Internet Software & Services | 15.3 | % | ||
Software | 11.0 | |||
Internet & Direct Marketing Retail | 10.2 | |||
Affiliated Mutual Funds (including 10.1% of collateral for securities on loan) | 10.1 | |||
Biotechnology | 8.0 | |||
IT Services | 7.5 | |||
Specialty Retail | 7.1 | |||
Semiconductors & Semiconductor Equipment | 5.7 | |||
Technology Hardware, Storage & Peripherals | 4.7 | |||
Hotels, Restaurants & Leisure | 4.0 | |||
Pharmaceuticals | 2.9 | |||
Capital Markets | 2.9 | |||
Textiles, Apparel & Luxury Goods | 2.7 | |||
Media | 2.4 | |||
Beverages | 1.9 | |||
Oil, Gas & Consumable Fuels | 1.8 | |||
Aerospace & Defense | 1.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
A147
JENNISON PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Industry table (cont.) | ||||
Energy Equipment & Services | 1.6 | % | ||
Food & Staples Retailing | 1.5 | |||
Air Freight & Logistics | 1.4 | |||
Banks | 1.1 | |||
Communications Equipment | 1.0 | |||
Machinery | 1.0 | |||
Automobiles | 0.9 |
Life Sciences Tools & Services | 0.7 | % | ||
Chemicals | 0.7 | |||
109.9 | ||||
Liabilities in excess of other assets | (9.9 | ) | ||
100.0 | % | |||
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 153,620,087 | $ | (153,620,087 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A148
JENNISON PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $153,620,087: | ||||
Unaffiliated investments (cost $935,365,955) | $ | 1,558,075,497 | ||
Affiliated investments (cost $157,697,917) | 157,722,259 | |||
Receivable for investments sold | 9,209,305 | |||
Tax reclaim receivable | 270,095 | |||
Dividends receivable | 144,211 | |||
Receivable for Series shares sold | 14,035 | |||
Prepaid expenses | 11,933 | |||
Total Assets | 1,725,447,335 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 157,584,909 | |||
Payable for investments purchased | 4,152,946 | |||
Management fee payable | 800,687 | |||
Loan payable | 661,000 | |||
Payable for Series shares repurchased | 347,122 | |||
Payable to custodian | 193,571 | |||
Accrued expenses and other liabilities | 185,504 | |||
Distribution fee payable | 8,794 | |||
Administration fee payable | 5,379 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 232 | |||
Total Liabilities | 163,941,124 | |||
NET ASSETS | $ | 1,561,506,211 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 975,838,061 | ||
Retained earnings | 585,668,150 | |||
Net assets, December 31, 2016 | $ | 1,561,506,211 | ||
Class I: | ||||
Net asset value and redemption price per share $1,520,302,093 / 33,684,095 outstanding shares of beneficial interest | $ | 45.13 | ||
Class II: | ||||
Net asset value and redemption price per share $41,204,118 / 944,629 outstanding shares of beneficial interest | $ | 43.62 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $343,496, of which $19,828 is reimbursable by an affiliate) | $ | 12,008,766 | ||
Income from securities lending, net (including affiliated income of $915,004) | 1,489,580 | |||
Affiliated dividend income | 44,955 | |||
Total income | 13,543,301 | |||
EXPENSES | ||||
Management fee | 9,476,287 | |||
Distribution fee-Class II | 125,606 | |||
Administration fee-Class II | 75,364 | |||
Custodian and accounting fees (net of $10,300 fee credit) | 214,000 | |||
Shareholders’ reports | 120,000 | |||
Audit fee | 29,000 | |||
Trustees’ fees | 23,000 | |||
Insurance expenses | 20,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Legal fees and expenses | 10,000 | |||
Commitment fee on syndicated credit agreement | 10,000 | |||
Loan interest expense | 2,513 | |||
Miscellaneous | 10,976 | |||
Total expenses | 10,128,746 | |||
NET INVESTMENT INCOME (LOSS) | 3,414,555 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $8,345) | 134,794,085 | |||
Foreign currency transactions | (7,908 | ) | ||
134,786,177 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments(including affiliated of $24,342) | (159,600,922 | ) | ||
Foreign currencies | 16,073 | |||
(159,584,849 | ) | |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (24,798,672 | ) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (21,384,117 | ) | |
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 3,414,555 | $ | 2,247,157 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 134,786,177 | 123,924,760 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (159,584,849 | ) | 56,058,314 | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (21,384,117 | ) | 182,230,231 | |||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 24,342,751 | 45,579,989 | ||||||
Series shares repurchased | (158,165,914 | ) | (136,363,360 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (133,823,163 | ) | (90,783,371 | ) | ||||
CAPITAL CONTRIBUTIONS (Note 4) | 1,546,157 | — | ||||||
TOTAL INCREASE (DECREASE) | (153,661,123 | ) | 91,446,860 | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,715,167,334 | 1,623,720,474 | ||||||
End of year | $ | 1,561,506,211 | $ | 1,715,167,334 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A149
NATURAL RESOURCES PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 99.1% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Commodity Chemicals — 0.7% |
| |||||||
Valvoline Inc.(a) | 165,390 | $ | 3,555,885 | |||||
Construction Materials — 1.5% |
| |||||||
Vulcan Materials Co. | 60,125 | 7,524,644 | ||||||
Diversified Chemicals — 3.4% |
| |||||||
Arkema SA (France) | 96,985 | 9,480,385 | ||||||
BASF SE (Germany) | 82,802 | 7,673,820 | ||||||
17,154,205 | ||||||||
Diversified Metals & Mining — 13.8% |
| |||||||
BHP Billiton Ltd. (Australia) | 973,742 | 17,444,460 | ||||||
First Quantum Minerals Ltd. (Canada) | 1,009,290 | 10,035,394 | ||||||
Glencore PLC (Switzerland)* | 3,375,195 | 11,404,463 | ||||||
Lundin Mining Corp. (Canada)* | 2,444,569 | 11,652,509 | ||||||
Rio Tinto PLC (United Kingdom) | 330,773 | 12,628,328 | ||||||
Teck Resources Ltd. (Canada) (Class B Stock) | 290,035 | 5,809,401 | ||||||
68,974,555 | ||||||||
Fertilizers & Agricultural Chemicals — 2.5% |
| |||||||
Agrium, Inc. (Canada) | 55,485 | 5,577,221 | ||||||
Syngenta AG (Switzerland)* | 17,008 | 6,739,158 | ||||||
12,316,379 | ||||||||
Heavy Electrical Equipment — 1.7% |
| |||||||
Gamesa Corp. Tecnologica SA (Spain) | 207,355 | 4,192,253 | ||||||
Vestas Wind Systems A/S (Denmark) | 63,270 | 4,097,655 | ||||||
8,289,908 | ||||||||
Integrated Oil & Gas — 10.7% |
| |||||||
BP PLC (United Kingdom) | 2,074,454 | 12,993,273 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock) | 370,083 | 10,215,662 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class B Stock) | 260,133 | 7,474,162 | ||||||
Suncor Energy, Inc. (Canada) | 275,840 | 9,017,210 | ||||||
Total SA (France)(a) | 261,766 | 13,426,572 | ||||||
53,126,879 | ||||||||
Metals & Mining — 1.9% |
| |||||||
Freeport-McMoRan, Inc.* | 741,725 | 9,783,353 | ||||||
Oil & Gas Equipment & Services — 15.3% |
| |||||||
Fairmount Santrol Holdings Inc.*(a) | 715,385 | 8,434,389 | ||||||
Halliburton Co. | 219,714 | 11,884,330 | ||||||
RPC, Inc.(a) | 188,345 | 3,731,114 | ||||||
Schlumberger Ltd. | 148,191 | 12,440,635 | ||||||
U.S. Silica Holdings, Inc. | 521,925 | 29,582,709 | ||||||
Weatherford International PLC*(a) | 2,013,660 | 10,048,163 | ||||||
76,121,340 | ||||||||
Oil & Gas Exploration & Production — 40.7% |
| |||||||
Concho Resources, Inc.* | 164,412 | 21,801,031 | ||||||
Continental Resources, Inc.*(a) | 368,585 | 18,996,871 | ||||||
Devon Energy Corp. | 106,800 | 4,877,556 | ||||||
EOG Resources, Inc. | 220,731 | 22,315,904 | ||||||
Laredo Petroleum, Inc.* | 595,130 | 8,415,138 | ||||||
Parsley Energy, Inc. (Class A Stock)* | 284,505 | 10,025,956 | ||||||
PDC Energy, Inc.*(a) | 178,399 | 12,948,200 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil & Gas Exploration & Production (continued) |
| |||||||
Pioneer Natural Resources Co. | 122,441 | $ | 22,047,951 | |||||
Range Resources Corp. | 641,502 | 22,042,009 | ||||||
SM Energy Co.(a) | 648,960 | 22,376,141 | ||||||
Southwestern Energy Co.* | 1,744,970 | 18,880,575 | ||||||
Whiting Petroleum Corp.*(a) | 1,491,650 | 17,929,633 | ||||||
202,656,965 | ||||||||
Oil & Gas Refining & Marketing — 1.8% |
| |||||||
Valero Energy Corp. | 129,592 | 8,853,725 | ||||||
Precious Metals & Minerals |
| |||||||
Sedibelo Platinum Mines (South Africa), Private Placement (original cost $1,102,975; purchased 11/27/07)*(b)(c)(d) | 129,100 | — | ||||||
Railroads — 1.0% |
| |||||||
Union Pacific Corp. | 48,585 | 5,037,293 | ||||||
Specialty Chemicals — 1.1% |
| |||||||
Ecolab, Inc. | 46,058 | 5,398,919 | ||||||
Steel — 3.0% |
| |||||||
United States Steel Corp. | 141,365 | 4,666,459 | ||||||
Vale SA (Brazil) ADR | 1,347,875 | 10,270,807 | ||||||
14,937,266 | ||||||||
TOTAL LONG-TERM INVESTMENTS |
| 493,731,316 | ||||||
SHORT-TERM INVESTMENTS — 11.8% | ||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(e) | 3,887,277 | 3,887,277 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 54,750,982 | 54,761,932 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 58,649,209 | ||||||
TOTAL INVESTMENTS — 110.9% |
| 552,380,525 | ||||||
LIABILITIES IN EXCESS OF |
| (54,284,448 | ) | |||||
NET ASSETS — 100.0% |
| $ | 498,096,077 | |||||
See the Glossary for abbreviations used in the annual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement is $53,537,497; cash collateral of $54,687,150 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Indicates a security that has been deemed illiquid. (unaudited) |
(c) | Indicates a restricted security; the aggregate original cost of such securities is $1,102,975. The aggregate value of, $0, is 0.0% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
A150
NATURAL RESOURCES PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
(d) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $0 and 0.0% of net assets. |
(e) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(f) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange ratesand other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Commodity Chemicals | $ | 3,555,885 | $ | — | $ | — | ||||||
Construction Materials | 7,524,644 | — | — | |||||||||
Diversified Chemicals | — | 17,154,205 | — | |||||||||
Diversified Metals & Mining | 27,497,304 | 41,477,251 | — | |||||||||
Fertilizers & Agricultural Chemicals | 5,577,221 | 6,739,158 | — | |||||||||
Heavy Electrical Equipment | — | 8,289,908 | — | |||||||||
Integrated Oil & Gas | 9,017,210 | 44,109,669 | — | |||||||||
Metals & Mining | 9,783,353 | — | — | |||||||||
Oil & Gas Equipment & Services | 76,121,340 | — | — | |||||||||
Oil & Gas Exploration & Production | 202,656,965 | — | — | |||||||||
Oil & Gas Refining & Marketing | 8,853,725 | — | — | |||||||||
Precious Metals & Minerals | — | — | — | |||||||||
Railroads | 5,037,293 | — | — | |||||||||
Specialty Chemicals | 5,398,919 | — | — | |||||||||
Steel | 14,937,266 | — | — | |||||||||
Affiliated Mutual Funds | 58,649,209 | — | — | |||||||||
Total | $ | 434,610,334 | $ | 117,770,191 | $ | — | ||||||
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Oil & Gas Exploration & Production | 40.7 | % | ||
Oil & Gas Equipment & Services | 15.3 | |||
Diversified Metals & Mining | 13.8 | |||
Affiliated Mutual Funds (including 11.0% of collateral for securities on loan) | 11.8 | |||
Integrated Oil & Gas | 10.7 | |||
Diversified Chemicals | 3.4 | |||
Steel | 3.0 | |||
Fertilizers & Agricultural Chemicals | 2.5 | |||
Metals & Mining | 1.9 |
Oil & Gas Refining & Marketing | 1.8 | % | ||
Heavy Electrical Equipment | 1.7 | |||
Construction Materials | 1.5 | |||
Specialty Chemicals | 1.1 | |||
Railroads | 1.0 | |||
Commodity Chemicals | 0.7 | |||
110.9 | ||||
Liabilities in excess of other assets | (10.9 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
The Portfolio did not hold any derivative instruments as of December 31, 2016, accordingly, no derivative positions were presented in Statement of Assets and Liabilities.
SEE NOTES TO FINANCIAL STATEMENTS.
A151
NATURAL RESOURCES PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||
Derivatives not accounted for as hedging instruments, carried at fair value | Options Written | |||||||
Equity contracts | $ | 9,118,795 | ||||||
For the year ended December 31, 2016, the Portfolio did not have any unrealized appreciation (depreciation) on derivatives recognized in income.
For the year ended December 31, 2016 the Portfolio’s average notional for Options written was $14,000.
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 53,537,497 | $ | (53,537,497 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A152
NATURAL RESOURCES PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $53,537,497: | ||||
Unaffiliated investments (cost $348,852,160) | $ | 493,731,316 | ||
Affiliated investments (cost $58,638,862) | 58,649,209 | |||
Cash | 7,073 | |||
Tax reclaim receivable | 461,907 | |||
Dividends receivable | 418,568 | |||
Receivable for Series shares sold | 63,522 | |||
Prepaid expenses | 3,523 | |||
Total Assets | 553,335,118 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 54,687,150 | |||
Payable for Series shares repurchased | 206,265 | |||
Management fee payable | 190,717 | |||
Accrued expenses and other liabilities | 134,529 | |||
Distribution fee payable | 9,164 | |||
Administration fee payable | 5,501 | |||
Payable for investments purchased | 3,759 | |||
Affiliated transfer agent fee payable | 980 | |||
Payable to custodian | 976 | |||
Total Liabilities | 55,239,041 | |||
NET ASSETS | $ | 498,096,077 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 441,163,856 | ||
Retained earnings | 56,932,221 | |||
Net assets, December 31, 2016 | $ | 498,096,077 | ||
Class I: | ||||
Net asset value and redemption price per share $456,139,682 / 16,964,586 outstanding shares of beneficial interest | $ | 26.89 | ||
Class II: | ||||
Net asset value and redemption price per share $41,956,395 / 1,601,230 outstanding shares of beneficial interest | $ | 26.20 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $433,308) | $ | 6,657,896 | ||
Income from securities lending, net (including affiliated income of $556,302) | 708,655 | |||
Affiliated dividend income | 52,013 | |||
Total income | 7,418,564 | |||
EXPENSES | ||||
Management fee | 2,042,688 | |||
Distribution fee-Class II | 94,560 | |||
Administration fee-Class II | 56,737 | |||
Shareholders’ reports | 341,000 | |||
Custodian and accounting fees (net of $4,500 fee credit) | 94,000 | |||
Audit fee | 26,000 | |||
Trustees’ fees | 14,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Legal fees and expenses | 11,000 | |||
Insurance expenses | 7,000 | |||
Loan interest expense | 168 | |||
Miscellaneous | 15,518 | |||
Total expenses | 2,714,671 | |||
Less: Management fee waiver | (33,320 | ) | ||
Net expenses | 2,681,351 | |||
NET INVESTMENT INCOME (LOSS) | 4,737,213 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $1,631) | (141,982,169 | ) | ||
Options written transactions | 9,118,795 | |||
Foreign currency transactions | (150,101 | ) | ||
(133,013,475 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $10,347) | 231,082,830 | |||
Foreign currencies | 8,362 | |||
231,091,192 | ||||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 98,077,717 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 102,814,930 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 4,737,213 | $ | 5,726,283 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (133,013,475 | ) | (21,248,524 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 231,091,192 | (152,571,971 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 102,814,930 | (168,094,212 | ) | |||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 35,098,805 | 42,149,589 | ||||||
Series shares repurchased | (56,714,145 | ) | (90,115,893 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (21,615,340 | ) | (47,966,304 | ) | ||||
CAPITAL CONTRIBUTIONS (Note 4) | 480,531 | — | ||||||
TOTAL INCREASE (DECREASE) | 81,680,121 | (216,060,516 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 416,415,956 | 632,476,472 | ||||||
End of year | $ | 498,096,077 | $ | 416,415,956 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A153
SMALL CAPITALIZATION STOCK PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 98.9% | Value (Note 2) | |||||||
COMMON STOCKS — 97.9% | Shares | |||||||
Aerospace & Defense — 1.3% | ||||||||
AAR Corp. | 34,871 | $ | 1,152,486 | |||||
Aerojet Rocketdyne Holdings, Inc.* | 76,275 | 1,369,136 | ||||||
Aerovironment, Inc.*(a) | 22,614 | 606,734 | ||||||
Cubic Corp. | 27,273 | 1,307,740 | ||||||
Engility Holdings, Inc.* | 19,400 | 653,780 | ||||||
Mercury Systems, Inc.* | 45,008 | 1,360,142 | ||||||
Moog, Inc. (Class A Stock)* | 35,294 | 2,318,110 | ||||||
National Presto Industries, Inc. | 5,399 | 574,454 | ||||||
TASER International, Inc.*(a) | 57,200 | 1,386,528 | ||||||
10,729,110 | ||||||||
Air Freight & Logistics — 0.7% | ||||||||
Atlas Air Worldwide Holdings, Inc.* | 27,700 | 1,444,555 | ||||||
Echo Global Logistics, Inc.* | 30,300 | 759,015 | ||||||
Forward Air Corp. | 33,756 | 1,599,359 | ||||||
Hub Group, Inc. (Class A Stock)* | 36,270 | 1,586,813 | ||||||
5,389,742 | ||||||||
Airlines — 1.0% | ||||||||
Allegiant Travel Co. | 14,494 | 2,411,802 | ||||||
Hawaiian Holdings, Inc.* | 58,600 | 3,340,200 | ||||||
SkyWest, Inc. | 56,560 | 2,061,612 | ||||||
7,813,614 | ||||||||
Auto Components — 1.7% | ||||||||
American Axle & Manufacturing Holdings, Inc.* | 83,800 | 1,617,340 | ||||||
Cooper-Standard Holding, Inc.* | 19,400 | 2,005,572 | ||||||
Dorman Products, Inc.*(a) | 33,300 | 2,432,898 | ||||||
Drew Industries, Inc. | 26,989 | 2,908,065 | ||||||
Fox Factory Holding Corp.* | 31,500 | 874,125 | ||||||
Gentherm, Inc.* | 40,100 | 1,357,385 | ||||||
Motorcar Parts of America, Inc.* | 20,400 | 549,168 | ||||||
Standard Motor Products, Inc. | 21,999 | 1,170,787 | ||||||
Superior Industries International, Inc. | 25,018 | 659,224 | ||||||
13,574,564 | ||||||||
Automobiles — 0.1% | ||||||||
Winnebago Industries, Inc.(a) | 28,931 | 915,666 | ||||||
Banks — 10.6% | ||||||||
Ameris Bancorp(a) | 38,300 | 1,669,880 | ||||||
Banc of California, Inc.(a) | 54,300 | 942,105 | ||||||
Banner Corp.(a) | 28,900 | 1,612,909 | ||||||
Boston Private Financial Holdings, Inc. | 90,102 | 1,491,188 | ||||||
Brookline Bancorp, Inc. | 77,032 | 1,263,325 | ||||||
Cardinal Financial Corp. | 36,200 | 1,186,998 | ||||||
Central Pacific Financial Corp. | 34,000 | 1,068,280 | ||||||
City Holding Co. | 16,444 | 1,111,614 | ||||||
Columbia Banking System, Inc. | 63,808 | 2,850,941 | ||||||
Community Bank System, Inc.(a) | 48,596 | 3,002,747 | ||||||
Customers Bancorp, Inc.* | 30,900 | 1,106,838 | ||||||
CVB Financial Corp. | 110,100 | 2,524,593 | ||||||
Fidelity Southern Corp. | 23,000 | 544,410 | ||||||
First BanCorp (Puerto Rico)* | 146,972 | 971,485 | ||||||
First Commonwealth Financial Corp. | 97,510 | 1,382,692 | ||||||
First Financial Bancorp | 67,903 | 1,931,840 | ||||||
First Financial Bankshares, Inc.(a) | 72,478 | 3,276,006 | ||||||
First Midwest Bancorp, Inc. | 89,240 | 2,251,525 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
First NBC Bank Holding Co.*(a) | 17,400 | $ | 127,020 | |||||
Glacier Bancorp, Inc. | 84,273 | 3,053,211 | ||||||
Great Western Bancorp, Inc. | 64,400 | 2,807,196 | ||||||
Hanmi Financial Corp. | 35,436 | 1,236,716 | ||||||
Home BancShares, Inc.(a) | 135,608 | 3,765,834 | ||||||
Hope Bancorp Inc. | 139,204 | 3,047,176 | ||||||
Independent Bank Corp. | 29,606 | 2,085,743 | ||||||
LegacyTexas Financial Group, Inc. | 45,500 | 1,959,230 | ||||||
National Bank Holdings Corp. | 28,500 | 908,865 | ||||||
NBT Bancorp, Inc.(a) | 47,310 | 1,981,343 | ||||||
OFG Bancorp (Puerto Rico) | 48,100 | 630,110 | ||||||
Old National Bancorp | 147,947 | 2,685,238 | ||||||
Opus Bank | 19,900 | 597,995 | ||||||
Pinnacle Financial Partners, Inc. | 47,671 | 3,303,600 | ||||||
S&T Bancorp, Inc.(a) | 38,373 | 1,498,082 | ||||||
Servisfirst Bancshares, Inc.(a) | 48,400 | 1,812,096 | ||||||
Simmons First National Corp. (Class A Stock) | 32,578 | 2,024,723 | ||||||
Southside Bancshares, Inc. | 28,839 | 1,086,365 | ||||||
Sterling Bancorp | 143,258 | 3,352,237 | ||||||
Texas Capital Bancshares, Inc.* | 53,700 | 4,210,080 | ||||||
Tompkins Financial Corp.(a) | 13,364 | 1,263,433 | ||||||
United Bankshares, Inc.(a) | 87,797 | 4,060,611 | ||||||
United Community Banks, Inc. | 77,787 | 2,304,051 | ||||||
Westamerica Bancorporation(a) | 28,200 | 1,774,626 | ||||||
Wintrust Financial Corp. | 56,813 | 4,122,919 | ||||||
85,887,876 | ||||||||
Biotechnology — 1.3% | ||||||||
Acorda Therapeutics, Inc.* | 50,400 | 947,520 | ||||||
AMAG Pharmaceuticals, Inc.*(a) | 37,500 | 1,305,000 | ||||||
Eagle Pharmaceuticals, Inc.* | 8,800 | 698,192 | ||||||
Emergent BioSolutions, Inc.*(a) | 37,757 | 1,239,940 | ||||||
Enanta Pharmaceuticals, Inc.*(a) | 15,300 | 512,550 | ||||||
Ligand Pharmaceuticals, Inc.*(a) | 20,900 | 2,123,649 | ||||||
MiMedx Group, Inc.*(a) | 108,700 | 963,082 | ||||||
Momenta Pharmaceuticals, Inc.* | 70,000 | 1,053,500 | ||||||
Repligen Corp.* | 37,100 | 1,143,422 | ||||||
Spectrum Pharmaceuticals, Inc.* | 76,500 | 338,895 | ||||||
10,325,750 | ||||||||
Building Products — 2.0% | ||||||||
AAON, Inc. | 43,589 | 1,440,617 | ||||||
American Woodmark Corp.* | 15,400 | 1,158,850 | ||||||
Apogee Enterprises, Inc.(a) | 31,638 | 1,694,531 | ||||||
Gibraltar Industries, Inc.* | 34,468 | 1,435,592 | ||||||
Griffon Corp. | 32,529 | 852,260 | ||||||
Insteel Industries, Inc. | 19,200 | 684,288 | ||||||
Patrick Industries, Inc.* | 16,000 | 1,220,800 | ||||||
PGT, Inc.* | 53,600 | 613,720 | ||||||
Quanex Building Products Corp. | 37,488 | 761,006 | ||||||
Simpson Manufacturing Co., Inc. | 44,383 | 1,941,756 | ||||||
Trex Co., Inc.* | 32,200 | 2,073,680 | ||||||
Universal Forest Products, Inc. | 22,364 | 2,285,154 | ||||||
16,162,254 | ||||||||
Capital Markets — 1.6% | ||||||||
Calamos Asset Management, Inc. (Class A Stock) | 18,200 | 155,610 |
SEE NOTES TO FINANCIAL STATEMENTS.
A154
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Capital Markets (continued) | ||||||||
Donnelley Financial Solutions, Inc.* | 28,737 | $ | 660,376 | |||||
Evercore Partners, Inc. (Class A Stock) | 42,900 | 2,947,230 | ||||||
Financial Engines, Inc.(a) | 58,300 | 2,142,525 | ||||||
Greenhill & Co., Inc.(a) | 29,500 | 817,150 | ||||||
Interactive Brokers Group, Inc. (Class A Stock) | 74,600 | 2,723,646 | ||||||
INTL FCStone, Inc.* | 16,400 | 649,440 | ||||||
Investment Technology Group, Inc. | 33,266 | 656,671 | ||||||
Piper Jaffray Cos.*(a) | 15,765 | 1,142,962 | ||||||
Virtus Investment Partners, Inc.(a) | 6,210 | 733,092 | ||||||
12,628,702 | ||||||||
Chemicals — 3.4% |
| |||||||
A. Schulman, Inc. | 32,066 | 1,072,608 | ||||||
AdvanSix, Inc.* | 33,300 | 737,262 | ||||||
American Vanguard Corp. | 28,148 | 539,034 | ||||||
Balchem Corp. | 34,783 | 2,918,989 | ||||||
Calgon Carbon Corp. | 55,454 | 942,718 | ||||||
Chemours Co. (The) | 199,100 | 4,398,119 | ||||||
Flotek Industries, Inc.*(a) | 58,900 | 553,071 | ||||||
FutureFuel Corp. | 24,800 | 344,720 | ||||||
H.B. Fuller Co. | 55,218 | 2,667,582 | ||||||
Hawkins, Inc. | 10,500 | 566,475 | ||||||
Ingevity Corp.* | 46,200 | 2,534,532 | ||||||
Innophos Holdings, Inc. | 21,300 | 1,113,138 | ||||||
Innospec, Inc. | 26,300 | 1,801,550 | ||||||
Koppers Holdings, Inc.* | 22,600 | 910,780 | ||||||
Kraton Corp.* | 33,900 | 965,472 | ||||||
LSB Industries, Inc.*(a) | 21,800 | 183,556 | ||||||
Quaker Chemical Corp. | 14,598 | 1,867,668 | ||||||
Rayonier Advanced Materials, Inc.(a) | 47,400 | 732,804 | ||||||
Stepan Co. | 21,370 | 1,741,228 | ||||||
Tredegar Corp. | 27,835 | 668,040 | ||||||
27,259,346 | ||||||||
Commercial Services & Supplies — 3.7% |
| |||||||
ABM Industries, Inc. | 61,403 | 2,507,698 | ||||||
Brady Corp. (Class A Stock) | 51,922 | 1,949,671 | ||||||
Brink’s Co. (The) | 49,500 | 2,041,875 | ||||||
Essendant, Inc. | 39,942 | 834,788 | ||||||
G&K Services, Inc. (Class A Stock) | 21,619 | 2,085,153 | ||||||
Healthcare Services Group, Inc.(a) | 79,476 | 3,113,075 | ||||||
Interface, Inc. | 71,002 | 1,317,087 | ||||||
LSC Communications, Inc. | 28,737 | 852,914 | ||||||
Matthews International Corp. (Class A Stock) | 35,300 | 2,712,805 | ||||||
Mobile Mini, Inc. | 48,697 | 1,473,084 | ||||||
Multi-Color Corp. | 14,500 | 1,125,200 | ||||||
RR Donnelley & Sons Co. | 76,533 | 1,249,019 | ||||||
Team, Inc.* | 32,200 | 1,263,850 | ||||||
Tetra Tech, Inc. | 62,488 | 2,696,357 | ||||||
UniFirst Corp. | 16,930 | 2,431,994 | ||||||
US Ecology, Inc. | 23,900 | 1,174,685 | ||||||
Viad Corp. | 22,347 | 985,503 | ||||||
29,814,758 | ||||||||
Communications Equipment — 1.3% |
| |||||||
ADTRAN, Inc. | 52,900 | 1,182,315 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Communications Equipment (continued) |
| |||||||
Bel Fuse, Inc. (Class B Stock) | 9,622 | $ | 297,320 | |||||
Black Box Corp. | 16,493 | 251,518 | ||||||
CalAmp Corp.*(a) | 39,700 | 575,650 | ||||||
Comtech Telecommunications Corp. | 25,459 | 301,689 | ||||||
Digi International, Inc.* | 28,264 | 388,630 | ||||||
Harmonic, Inc.*(a) | 84,924 | 424,620 | ||||||
Ixia* | 68,400 | 1,101,240 | ||||||
Lumentum Holdings, Inc.* | 60,040 | 2,320,546 | ||||||
NETGEAR, Inc.* | 36,346 | 1,975,405 | ||||||
Viavi Solutions, Inc.* | 252,200 | 2,062,996 | ||||||
10,881,929 | ||||||||
Construction & Engineering — 0.4% |
| |||||||
Aegion Corp.* | 37,137 | 880,147 | ||||||
Comfort Systems USA, Inc. | 40,784 | 1,358,107 | ||||||
MYR Group, Inc.* | 17,700 | 666,936 | ||||||
Orion Group Holdings, Inc.* | 30,300 | 301,485 | ||||||
3,206,675 | ||||||||
Construction Materials — 0.4% |
| |||||||
Headwaters, Inc.* | 81,368 | 1,913,775 | ||||||
US Concrete, Inc.*(a) | 15,600 | 1,021,800 | ||||||
2,935,575 | ||||||||
Consumer Finance — 0.9% |
| |||||||
Encore Capital Group, Inc.*(a) | 25,700 | 736,305 | ||||||
Enova International, Inc.* | 25,439 | 319,259 | ||||||
EZCORP, Inc. (Class A Stock)* | 53,111 | 565,632 | ||||||
FirstCash Inc. | 53,121 | 2,496,687 | ||||||
Green Dot Corp. (Class A Stock)* | 48,400 | 1,139,820 | ||||||
PRA Group, Inc.*(a) | 50,867 | 1,988,900 | ||||||
World Acceptance Corp.*(a) | 6,552 | 421,163 | ||||||
7,667,766 | ||||||||
Containers & Packaging |
| |||||||
Myers Industries, Inc. | 23,620 | 337,766 | ||||||
Distributors — 0.3% |
| |||||||
Core-Mark Holding Co., Inc.(a) | 50,800 | 2,187,956 | ||||||
Diversified Consumer Services — 0.5% |
| |||||||
American Public Education, Inc.* | 17,633 | 432,890 | ||||||
Capella Education Co. | 12,686 | 1,113,831 | ||||||
Career Education Corp.* | 70,500 | 711,345 | ||||||
Regis Corp.* | 38,400 | 557,568 | ||||||
Strayer Education, Inc.* | 11,500 | 927,245 | ||||||
3,742,879 | ||||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
ATN International, Inc. | 11,700 | 937,521 | ||||||
Cincinnati Bell, Inc.* | 45,980 | 1,027,653 | ||||||
Cogent Communications Holdings, Inc. | 45,000 | 1,860,750 | ||||||
Consolidated Communications Holdings, Inc.(a) | 55,500 | 1,490,175 | ||||||
General Communication, Inc. (Class A Stock)* | 28,924 | 562,572 | ||||||
Inteliquent, Inc. | 37,500 | 859,500 | ||||||
Iridium Communications, Inc.*(a) | 88,100 | 845,760 | ||||||
Lumos Networks Corp.* | 25,521 | 398,638 | ||||||
7,982,569 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A155
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electric Utilities — 0.7% |
| |||||||
ALLETE, Inc. | 54,197 | $ | 3,478,905 | |||||
El Paso Electric Co. | 44,508 | 2,069,622 | ||||||
5,548,527 | ||||||||
Electrical Equipment — 0.6% |
| |||||||
AZZ, Inc. | 28,442 | 1,817,444 | ||||||
Encore Wire Corp. | 22,831 | 989,724 | ||||||
General Cable Corp.(a) | 54,100 | 1,030,605 | ||||||
Powell Industries, Inc. | 9,372 | 365,508 | ||||||
Vicor Corp.* | 17,131 | 258,678 | ||||||
4,461,959 | ||||||||
Electronic Equipment, Instruments & Components — 4.1% |
| |||||||
Agilysys, Inc.* | 16,232 | 168,163 | ||||||
Anixter International, Inc.* | 31,264 | 2,533,947 | ||||||
Badger Meter, Inc. | 31,914 | 1,179,222 | ||||||
Benchmark Electronics, Inc.* | 53,810 | 1,641,205 | ||||||
Coherent, Inc.* | 27,000 | 3,709,395 | ||||||
CTS Corp. | 35,964 | 805,594 | ||||||
Daktronics, Inc. | 43,808 | 468,746 | ||||||
Electro Scientific Industries, Inc.* | 34,441 | 203,891 | ||||||
ePlus, Inc.* | 7,300 | 840,960 | ||||||
Fabrinet (Thailand)* | 40,400 | 1,628,120 | ||||||
FARO Technologies, Inc.* | 18,284 | 658,224 | ||||||
II-VI, Inc.* | 59,762 | 1,771,943 | ||||||
Insight Enterprises, Inc.* | 38,835 | 1,570,487 | ||||||
Itron, Inc.* | 36,500 | 2,294,025 | ||||||
Methode Electronics, Inc. | 40,566 | 1,677,404 | ||||||
MTS Systems Corp.(a) | 18,335 | 1,039,594 | ||||||
OSI Systems, Inc.* | 20,100 | 1,530,012 | ||||||
Park Electrochemical Corp. | 20,744 | 386,876 | ||||||
Plexus Corp.* | 36,720 | 1,984,349 | ||||||
Rogers Corp.* | 19,831 | 1,523,219 | ||||||
Sanmina Corp.* | 80,500 | 2,950,325 | ||||||
ScanSource, Inc.* | 27,533 | 1,110,957 | ||||||
TTM Technologies, Inc.* | 92,289 | 1,257,899 | ||||||
32,934,557 | ||||||||
Energy Equipment & Services — 2.0% |
| |||||||
Archrock, Inc. | 74,900 | 988,680 | ||||||
Atwood Oceanics, Inc.(a) | 64,600 | 848,198 | ||||||
Bristow Group, Inc.(a) | 34,955 | 715,878 | ||||||
CARBO Ceramics, Inc.*(a) | 22,900 | 239,534 | ||||||
Era Group, Inc.* | 21,071 | 357,575 | ||||||
Exterran Corp.* | 34,200 | 817,380 | ||||||
Geospace Technologies Corp.* | 14,410 | 293,388 | ||||||
Gulf Island Fabrication, Inc. | 14,677 | 174,656 | ||||||
Helix Energy Solutions Group, Inc.* | 122,900 | 1,083,978 | ||||||
Hornbeck Offshore Services, Inc.*(a) | 34,815 | 251,364 | ||||||
Matrix Service Co.* | 29,073 | 659,957 | ||||||
Newpark Resources, Inc.* | 92,600 | 694,500 | ||||||
Pioneer Energy Services Corp.* | 83,017 | 568,667 | ||||||
SEACOR Holdings, Inc.*(a) | 17,671 | 1,259,589 | ||||||
Tesco Corp.* | 50,700 | 418,275 | ||||||
TETRA Technologies, Inc.* | 124,141 | 623,188 | ||||||
Tidewater, Inc.*(a) | 51,400 | 175,274 | ||||||
U.S. Silica Holdings, Inc. | 78,800 | 4,466,384 | ||||||
Unit Corp.* | 56,400 | 1,515,468 | ||||||
16,151,933 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Equity Real Estate Investment Trusts (REITs) — 5.6% |
| |||||||
Acadia Realty Trust(a) | 88,705 | $ | 2,898,879 | |||||
Agree Realty Corp.(a) | 28,700 | 1,321,635 | ||||||
American Assets Trust, Inc. | 44,300 | 1,908,444 | ||||||
CareTrust REIT, Inc. | 69,555 | 1,065,583 | ||||||
Cedar Realty Trust, Inc. | 82,666 | 539,809 | ||||||
Chesapeake Lodging Trust | 66,000 | 1,706,760 | ||||||
CoreSite Realty Corp.(a) | 37,300 | 2,960,501 | ||||||
DiamondRock Hospitality Co.(a) | 218,370 | 2,517,806 | ||||||
EastGroup Properties, Inc. | 35,863 | 2,648,124 | ||||||
Four Corners Property Trust, Inc. | 65,669 | 1,347,528 | ||||||
Franklin Street Properties Corp. | 116,502 | 1,509,866 | ||||||
GEO Group, Inc. (The) | 82,373 | 2,959,662 | ||||||
Getty Realty Corp. | 28,854 | 735,488 | ||||||
Government Properties Income Trust(a) | 78,100 | 1,488,976 | ||||||
Kite Realty Group Trust | 91,372 | 2,145,415 | ||||||
Lexington Realty Trust | 233,716 | 2,524,133 | ||||||
LTC Properties, Inc.(a) | 43,126 | 2,026,059 | ||||||
Parkway, Inc.* | 46,800 | 1,041,300 | ||||||
Pennsylvania Real Estate Investment Trust(a) | 76,322 | 1,447,065 | ||||||
PS Business Parks, Inc. | 21,402 | 2,493,761 | ||||||
Retail Opportunity Investments Corp. | 119,300 | 2,520,809 | ||||||
Sabra Health Care REIT, Inc. | 71,700 | 1,750,914 | ||||||
Saul Centers, Inc. | 12,900 | 859,269 | ||||||
Summit Hotel Properties, Inc. | 95,700 | 1,534,071 | ||||||
Universal Health Realty Income Trust | 13,700 | 898,583 | ||||||
Urstadt Biddle Properties, Inc. (Class A Stock) | 31,650 | 763,082 | ||||||
45,613,522 | ||||||||
Food & Staples Retailing — 0.5% |
| |||||||
Andersons, Inc. (The) | 28,824 | 1,288,433 | ||||||
SpartanNash Co. | 41,106 | 1,625,331 | ||||||
SUPERVALU, Inc.* | 291,300 | 1,360,371 | ||||||
4,274,135 | ||||||||
Food Products — 1.5% |
| |||||||
B&G Foods, Inc.(a) | 72,800 | 3,188,640 | ||||||
Cal-Maine Foods, Inc.(a) | 32,690 | 1,444,081 | ||||||
Calavo Growers, Inc.(a) | 16,890 | 1,037,046 | ||||||
Darling Ingredients, Inc.* | 180,420 | 2,329,222 | ||||||
J&J Snack Foods Corp. | 16,418 | 2,190,654 | ||||||
Sanderson Farms, Inc.(a) | 21,835 | 2,057,730 | ||||||
Seneca Foods Corp. (Class A Stock)* | 6,900 | 276,345 | ||||||
12,523,718 | ||||||||
Gas Utilities — 1.0% |
| |||||||
Northwest Natural Gas Co. | 31,365 | 1,875,627 | ||||||
South Jersey Industries, Inc. | 87,144 | 2,935,881 | ||||||
Spire, Inc. | 50,114 | 3,234,859 | ||||||
8,046,367 | ||||||||
Health Care Equipment & Supplies — 4.0% |
| |||||||
Abaxis, Inc. | 24,712 | 1,304,052 | ||||||
Analogic Corp. | 13,633 | 1,130,857 | ||||||
AngioDynamics, Inc.* | 33,900 | 571,893 | ||||||
Anika Therapeutics, Inc.* | 16,200 | 793,152 | ||||||
Cantel Medical Corp.(a) | 39,862 | 3,139,132 |
SEE NOTES TO FINANCIAL STATEMENTS.
A156
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Equipment & Supplies (continued) |
| |||||||
CONMED Corp. | 27,149 | $ | 1,199,171 | |||||
CryoLife, Inc.* | 29,253 | 560,195 | ||||||
Cynosure, Inc. (Class A Stock)*(a) | 26,090 | 1,189,704 | ||||||
Haemonetics Corp.* | 56,794 | 2,283,119 | ||||||
ICU Medical, Inc.* | 16,192 | 2,385,891 | ||||||
Inogen, Inc.*(a) | 17,800 | 1,195,626 | ||||||
Integer Holdings Corp.* | 30,144 | 887,741 | ||||||
Integra LifeSciences Holdings Corp.*(a) | 32,802 | 2,814,084 | ||||||
Invacare Corp.(a) | 34,402 | 448,946 | ||||||
Masimo Corp.* | 48,600 | 3,275,640 | ||||||
Meridian Bioscience, Inc.(a) | 46,075 | 815,528 | ||||||
Merit Medical Systems, Inc.* | 48,748 | 1,291,822 | ||||||
Natus Medical, Inc.* | 36,225 | 1,260,630 | ||||||
Neogen Corp.* | 41,620 | 2,746,920 | ||||||
SurModics, Inc.* | 14,252 | 362,001 | ||||||
Vascular Solutions, Inc.* | 19,200 | 1,077,120 | ||||||
Zeltiq Aesthetics, Inc.*(a) | 39,600 | 1,723,392 | ||||||
32,456,616 | ||||||||
Health Care Providers & Services — 3.1% |
| |||||||
Aceto Corp. | 32,400 | 711,828 | ||||||
Adeptus Health, Inc. (Class A Stock)*(a) | 15,900 | 121,476 | ||||||
Air Methods Corp.*(a) | 36,316 | 1,156,665 | ||||||
Almost Family, Inc.* | 9,752 | 430,063 | ||||||
Amedisys, Inc.*(a) | 30,559 | 1,302,730 | ||||||
AMN Healthcare Services, Inc.*(a) | 52,799 | 2,030,122 | ||||||
BioTelemetry, Inc.* | 30,600 | 683,910 | ||||||
Chemed Corp.(a) | 17,811 | 2,857,063 | ||||||
Community Health Systems, Inc.*(a) | 124,600 | 696,514 | ||||||
CorVel Corp.* | 10,990 | 402,234 | ||||||
Cross Country Healthcare, Inc.* | 35,963 | 561,382 | ||||||
Diplomat Pharmacy, Inc.*(a) | 45,500 | 573,300 | ||||||
Ensign Group, Inc. (The)(a) | 51,900 | 1,152,699 | ||||||
HealthEquity, Inc.*(a) | 47,200 | 1,912,544 | ||||||
Healthways, Inc.*(a) | 36,486 | 830,056 | ||||||
Kindred Healthcare, Inc.(a) | 93,378 | 733,017 | ||||||
Landauer, Inc. | 10,568 | 508,321 | ||||||
LHC Group, Inc.* | 16,298 | 744,819 | ||||||
Magellan Health, Inc.* | 25,541 | 1,921,960 | ||||||
PharMerica Corp.* | 33,595 | 844,914 | ||||||
Providence Service Corp. (The)* | 13,600 | 517,480 | ||||||
Quorum Health Corp.* | 31,900 | 231,913 | ||||||
Select Medical Holdings Corp.*(a) | 116,800 | 1,547,600 | ||||||
Surgical Care Affiliates, Inc.* | 30,500 | 1,411,235 | ||||||
US Physical Therapy, Inc. | 13,800 | 968,760 | ||||||
24,852,605 | ||||||||
Health Care Technology — 0.9% |
| |||||||
Computer Programs & Systems, Inc.(a) | 11,636 | 274,610 | ||||||
HealthStream, Inc.* | 27,900 | 698,895 | ||||||
HMS Holdings Corp.* | 92,500 | 1,679,800 | ||||||
Medidata Solutions, Inc.* | 59,900 | 2,975,233 | ||||||
Omnicell, Inc.* | 40,222 | 1,363,526 | ||||||
Quality Systems, Inc. | 49,934 | 656,632 | ||||||
7,648,696 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Hotels, Restaurants & Leisure — 2.8% |
| |||||||
Belmond Ltd. (United Kingdom) (Class A Stock)* | 92,600 | $ | 1,236,210 | |||||
Biglari Holdings, Inc.* | 1,116 | 528,091 | ||||||
BJ’s Restaurants, Inc.* | 21,172 | 832,060 | ||||||
Bob Evans Farms, Inc.(a) | 21,700 | 1,154,657 | ||||||
Boyd Gaming Corp.* | 90,200 | 1,819,334 | ||||||
Chuy’s Holdings, Inc.*(a) | 18,400 | 597,080 | ||||||
Dave & Buster’s Entertainment, Inc.* | 41,200 | 2,319,560 | ||||||
DineEquity, Inc. | 18,805 | 1,447,985 | ||||||
El Pollo Loco Holdings Inc.*(a) | 23,500 | 289,050 | ||||||
Fiesta Restaurant Group, Inc.* | 29,600 | 883,560 | ||||||
ILG, Inc. | 115,436 | 2,097,472 | ||||||
Marcus Corp. (The) | 20,758 | 653,877 | ||||||
Marriott Vacations Worldwide Corp.(a) | 26,700 | 2,265,495 | ||||||
Monarch Casino & Resort, Inc.* | 11,931 | 307,581 | ||||||
Popeyes Louisiana Kitchen, Inc.* | 22,800 | 1,378,944 | ||||||
Red Robin Gourmet Burgers, Inc.* | 14,163 | 798,793 | ||||||
Ruby Tuesday, Inc.* | 64,884 | 209,575 | ||||||
Ruth’s Hospitality Group, Inc. | 32,148 | 588,309 | ||||||
Scientific Games Corp. (Class A | 55,600 | 778,400 | ||||||
Sonic Corp.(a) | 50,214 | 1,331,173 | ||||||
Wingstop, Inc. | 31,600 | 935,044 | ||||||
22,452,250 | ||||||||
Household Durables — 1.6% |
| |||||||
Cavco Industries, Inc.* | 9,300 | 928,605 | ||||||
Ethan Allen Interiors, Inc. | 27,999 | 1,031,763 | ||||||
Installed Building Products, Inc.* | 21,800 | 900,340 | ||||||
iRobot Corp.*(a) | 29,800 | 1,741,810 | ||||||
La-Z-Boy, Inc. | 54,001 | 1,676,731 | ||||||
LGI Homes Inc.*(a) | 18,500 | 531,505 | ||||||
M/I Homes, Inc.* | 27,070 | 681,623 | ||||||
MDC Holdings, Inc. | 45,140 | 1,158,292 | ||||||
Meritage Homes Corp.* | 41,197 | 1,433,656 | ||||||
TopBuild Corp.* | 41,600 | 1,480,960 | ||||||
Universal Electronics, Inc.* | 15,954 | 1,029,831 | ||||||
WCI Communities, Inc.* | 24,000 | 562,800 | ||||||
13,157,916 | ||||||||
Household Products — 0.4% |
| |||||||
Central Garden & Pet Co.* | 11,000 | 363,990 | ||||||
Central Garden & Pet Co. (Class A | 36,688 | 1,133,659 | ||||||
WD-40 Co.(a) | 15,609 | 1,824,692 | ||||||
3,322,341 | ||||||||
Industrial Conglomerates — 0.1% |
| |||||||
Raven Industries, Inc. | 39,700 | 1,000,440 | ||||||
Insurance — 3.0% |
| |||||||
American Equity Investment Life Holding Co. | 96,500 | 2,175,110 | ||||||
AMERISAFE, Inc. | 21,114 | 1,316,458 | ||||||
eHealth, Inc.* | 18,091 | 192,669 | ||||||
Employers Holdings, Inc. | 35,015 | 1,386,594 | ||||||
HCI Group, Inc. | 9,400 | 371,112 | ||||||
Horace Mann Educators Corp. | 44,100 | 1,887,480 | ||||||
Infinity Property & Casualty Corp. | 12,189 | 1,071,413 | ||||||
Maiden Holdings Ltd. | 80,300 | 1,401,235 |
SEE NOTES TO FINANCIAL STATEMENTS.
A157
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Insurance (continued) |
| |||||||
Navigators Group, Inc. (The) | 12,218 | $ | 1,438,670 | |||||
ProAssurance Corp. | 58,366 | 3,280,169 | ||||||
RLI Corp. | 41,810 | 2,639,465 | ||||||
Safety Insurance Group, Inc. | 15,660 | 1,154,142 | ||||||
Selective Insurance Group, Inc. | 63,507 | 2,733,976 | ||||||
Stewart Information Services Corp. | 25,602 | 1,179,740 | ||||||
United Fire Group, Inc. | 23,761 | 1,168,329 | ||||||
United Insurance Holdings Corp. | 19,400 | 293,716 | ||||||
Universal Insurance Holdings, Inc.(a) | 35,700 | 1,013,880 | ||||||
24,704,158 | ||||||||
Internet & Direct Marketing Retail — 0.3% |
| |||||||
Blue Nile, Inc. | 12,680 | 515,188 | ||||||
FTD Cos., Inc.* | 18,906 | 450,719 | ||||||
Nutrisystem, Inc. | 32,328 | 1,120,165 | ||||||
PetMed Express, Inc.(a) | 22,581 | 520,944 | ||||||
2,607,016 | ||||||||
Internet Software & Services — 1.3% |
| |||||||
Blucora, Inc.* | 41,512 | 612,302 | ||||||
DHI Group, Inc.* | 51,900 | 324,375 | ||||||
Liquidity Services, Inc.* | 26,300 | 256,425 | ||||||
LivePerson, Inc.* | 58,300 | 440,165 | ||||||
LogMeIn, Inc. | 28,000 | 2,703,400 | ||||||
NIC, Inc. | 68,100 | 1,627,590 | ||||||
QuinStreet, Inc.* | 39,200 | 147,392 | ||||||
Shutterstock, Inc.*(a) | 21,100 | 1,002,672 | ||||||
SPS Commerce, Inc., Common Stock* | 18,700 | 1,306,943 | ||||||
Stamps.com, Inc.*(a) | 17,420 | 1,997,203 | ||||||
XO Group, Inc.* | 27,295 | 530,888 | ||||||
10,949,355 | ||||||||
IT Services — 1.8% |
| |||||||
CACI International, Inc. (Class A Stock)* | 26,744 | 3,324,279 | ||||||
Cardtronics PLC (Class A Stock)*(a) | 49,700 | 2,712,129 | ||||||
Ciber, Inc.* | 78,823 | 49,800 | ||||||
CSG Systems International, Inc. | 35,524 | 1,719,362 | ||||||
ExlService Holdings, Inc.* | 36,800 | 1,856,192 | ||||||
Forrester Research, Inc. | 10,862 | 466,523 | ||||||
ManTech International Corp. (Class A Stock) | 28,100 | 1,187,225 | ||||||
Perficient, Inc.* | 39,414 | 689,351 | ||||||
Sykes Enterprises, Inc.* | 43,370 | 1,251,658 | ||||||
TeleTech Holdings, Inc. | 17,667 | 538,844 | ||||||
Virtusa Corp.*(a) | 30,100 | 756,112 | ||||||
14,551,475 | ||||||||
Leisure Products — 0.4% |
| |||||||
Arctic Cat, Inc.* | 14,257 | 214,140 | ||||||
Callaway Golf Co. | 103,080 | 1,129,757 | ||||||
Nautilus, Inc.* | 34,000 | 629,000 | ||||||
Sturm Ruger & Co., Inc.(a) | 20,827 | 1,097,583 | ||||||
3,070,480 | ||||||||
Life Sciences Tools & Services — 0.4% |
| |||||||
Albany Molecular Research, Inc.*(a) | 24,300 | 455,868 | ||||||
Cambrex Corp.* | 35,332 | 1,906,161 | ||||||
Luminex Corp.* | 43,300 | 875,959 | ||||||
3,237,988 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Machinery — 4.9% |
| |||||||
Actuant Corp. (Class A Stock)(a) | 64,564 | $ | 1,675,436 | |||||
Alamo Group, Inc. | 10,400 | 791,440 | ||||||
Albany International Corp. (Class A Stock) | 31,704 | 1,467,895 | ||||||
Astec Industries, Inc. | 21,010 | 1,417,334 | ||||||
Barnes Group, Inc. | 55,016 | 2,608,859 | ||||||
Briggs & Stratton Corp. | 46,346 | 1,031,662 | ||||||
Chart Industries, Inc.* | 33,600 | 1,210,272 | ||||||
CIRCOR International, Inc. | 18,088 | 1,173,549 | ||||||
EnPro Industries, Inc. | 23,678 | 1,594,950 | ||||||
ESCO Technologies, Inc. | 28,221 | 1,598,720 | ||||||
Federal Signal Corp. | 65,500 | 1,022,455 | ||||||
Franklin Electric Co., Inc. | 42,100 | 1,637,690 | ||||||
Greenbrier Cos., Inc. (The)(a) | 31,000 | 1,288,050 | ||||||
Harsco Corp. | 87,900 | 1,195,440 | ||||||
Hillenbrand, Inc. | 69,248 | 2,655,661 | ||||||
John Bean Technologies Corp. | 32,047 | 2,754,440 | ||||||
Lindsay Corp.(a) | 11,679 | 871,370 | ||||||
Lydall, Inc.* | 18,856 | 1,166,244 | ||||||
Mueller Industries, Inc. | 62,798 | 2,509,408 | ||||||
Proto Labs, Inc.*(a) | 26,700 | 1,371,045 | ||||||
SPX Corp.* | 45,700 | 1,084,004 | ||||||
SPX Flow, Inc.* | 45,800 | 1,468,348 | ||||||
Standex International Corp. | 14,070 | 1,236,049 | ||||||
Tennant Co. | 19,300 | 1,374,160 | ||||||
Titan International, Inc. | 47,800 | 535,838 | ||||||
Wabash National Corp.* | 68,000 | 1,075,760 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 30,621 | 1,996,489 | ||||||
39,812,568 | ||||||||
Marine — 0.2% |
| |||||||
Matson, Inc. | 47,200 | 1,670,408 | ||||||
Media — 0.7% |
| |||||||
EW Scripps Co. (The) (Class A | 61,701 | 1,192,680 | ||||||
Gannett Co., Inc. | 127,700 | 1,239,967 | ||||||
New Media Investment Group, Inc. | 57,400 | 917,826 | ||||||
Scholastic Corp. | 29,500 | 1,400,955 | ||||||
World Wrestling Entertainment, Inc.(a) | 42,100 | 774,640 | ||||||
5,526,068 | ||||||||
Metals & Mining — 1.3% |
| |||||||
AK Steel Holding Corp.*(a) | 343,200 | 3,504,072 | ||||||
Century Aluminum Co.*(a) | 54,163 | 463,635 | ||||||
Haynes International, Inc. | 13,800 | 593,262 | ||||||
Kaiser Aluminum Corp. | 19,800 | 1,538,262 | ||||||
Materion Corp. | 21,878 | 866,369 | ||||||
Olympic Steel, Inc. | 9,938 | 240,798 | ||||||
Stillwater Mining Co.* | 132,700 | 2,137,797 | ||||||
SunCoke Energy, Inc.* | 70,300 | 797,202 | ||||||
TimkenSteel Corp.*(a) | 42,500 | 657,900 | ||||||
10,799,297 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||
Capstead Mortgage Corp. | 103,200 | 1,051,608 | ||||||
Multi-Utilities — 0.3% |
| |||||||
Avista Corp. | 70,403 | 2,815,416 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A158
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Multiline Retail — 0.3% |
| |||||||
Fred’s, Inc. (Class A Stock)(a) | 38,366 | $ | 712,073 | |||||
Ollie’s Bargain Outlet Holdings, | 52,000 | 1,479,400 | ||||||
Tuesday Morning Corp.* | 48,832 | 263,693 | ||||||
2,455,166 | ||||||||
Oil, Gas & Consumable Fuels — 1.5% |
| |||||||
Bill Barrett Corp.* | 79,200 | 553,608 | ||||||
Carrizo Oil & Gas, Inc.* | 67,400 | 2,517,390 | ||||||
Cloud Peak Energy, Inc.*(a) | 67,200 | 376,992 | ||||||
Contango Oil & Gas Co.* | 24,200 | 226,028 | ||||||
Green Plains, Inc.(a) | 39,100 | 1,088,935 | ||||||
Northern Oil & Gas, Inc.*(a) | 47,100 | 129,525 | ||||||
PDC Energy, Inc.*(a) | 61,126 | 4,436,525 | ||||||
REX American Resources Corp.*(a) | 6,200 | 612,250 | ||||||
Synergy Resources Corp.*(a) | 219,800 | 1,958,418 | ||||||
11,899,671 | ||||||||
Paper & Forest Products — 1.2% |
| |||||||
Boise Cascade Co.* | 42,500 | 956,250 | ||||||
Clearwater Paper Corp.* | 18,280 | 1,198,254 | ||||||
Deltic Timber Corp.(a) | 11,591 | 893,318 | ||||||
KapStone Paper & Packaging Corp. | 96,300 | 2,123,415 | ||||||
Neenah Paper, Inc. | 18,478 | 1,574,326 | ||||||
P.H. Glatfelter Co. | 47,700 | 1,139,553 | ||||||
Schweitzer-Mauduit International, Inc. | 33,576 | 1,528,715 | ||||||
9,413,831 | ||||||||
Personal Products — 0.1% |
| |||||||
Inter Parfums, Inc. | 18,800 | 615,700 | ||||||
Medifast, Inc. | 12,200 | 507,886 | ||||||
1,123,586 | ||||||||
Pharmaceuticals — 1.5% |
| |||||||
Amphastar Pharmaceuticals, Inc.* | 39,400 | 725,748 | ||||||
ANI Pharmaceuticals, Inc.*(a) | 8,700 | 527,394 | ||||||
Depomed, Inc.*(a) | 67,200 | 1,210,944 | ||||||
Impax Laboratories, Inc.* | 80,900 | 1,071,925 | ||||||
Innoviva, Inc.*(a) | 84,600 | 905,220 | ||||||
Lannett Co., Inc.*(a) | 32,000 | 705,600 | ||||||
Medicines Co. (The)*(a) | 76,300 | 2,589,622 | ||||||
Nektar Therapeutics* | 167,500 | 2,055,225 | ||||||
Phibro Animal Health Corp. (Class A Stock) | 20,300 | 594,790 | ||||||
SciClone Pharmaceuticals, Inc.* | 54,400 | 587,520 | ||||||
Supernus Pharmaceuticals, Inc.*(a) | 54,300 | 1,371,075 | ||||||
12,345,063 | ||||||||
Professional Services — 1.8% |
| |||||||
CDI Corp.* | 14,988 | 110,911 | ||||||
Exponent, Inc.(a) | 28,080 | 1,693,224 | ||||||
Heidrick & Struggles International, Inc. | 20,414 | 492,998 | ||||||
Insperity, Inc. | 20,879 | 1,481,365 | ||||||
Kelly Services, Inc. (Class A Stock) | 31,939 | 732,042 | ||||||
Korn/Ferry International | 63,500 | 1,868,805 | ||||||
Navigant Consulting, Inc.* | 52,000 | 1,361,360 | ||||||
On Assignment, Inc.* | 53,386 | 2,357,526 | ||||||
Resources Connection, Inc. | 32,400 | 623,700 | ||||||
TrueBlue, Inc.* | 46,618 | 1,149,134 | ||||||
WageWorks, Inc.* | 40,200 | 2,914,500 | ||||||
14,785,565 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Real Estate Management & Development — 0.3% |
| |||||||
Forestar Group, Inc.* | 28,956 | $ | 385,115 | |||||
HFF, Inc. (Class A Stock) | 38,400 | 1,161,600 | ||||||
RE/MAX Holdings, Inc. | 19,400 | 1,086,400 | ||||||
2,633,115 | ||||||||
Road & Rail — 0.8% |
| |||||||
ArcBest Corp. | 26,295 | 727,057 | ||||||
Celadon Group, Inc.(a) | 30,100 | 215,215 | ||||||
Heartland Express, Inc.(a) | 47,448 | 966,041 | ||||||
Knight Transportation, Inc.(a) | 72,888 | 2,408,948 | ||||||
Marten Transport Ltd. | 25,200 | 587,160 | ||||||
Roadrunner Transportation Systems, Inc.* | 33,000 | 342,870 | ||||||
Saia, Inc.* | 27,700 | 1,222,955 | ||||||
6,470,246 | ||||||||
Semiconductors & Semiconductor Equipment — 3.1% |
| |||||||
Advanced Energy Industries, Inc.* | 43,597 | 2,386,936 | ||||||
Brooks Automation, Inc. | 75,205 | 1,283,749 | ||||||
Cabot Microelectronics Corp. | 26,511 | 1,674,700 | ||||||
CEVA, Inc.* | 23,500 | 788,425 | ||||||
Cohu, Inc. | 27,197 | 378,038 | ||||||
Diodes, Inc.* | 42,270 | 1,085,071 | ||||||
DSP Group, Inc.* | 23,628 | 308,345 | ||||||
Exar Corp.* | 45,623 | 491,816 | ||||||
Kopin Corp.* | 66,596 | 189,133 | ||||||
Kulicke & Soffa Industries, Inc. (Singapore)* | 77,132 | 1,230,255 | ||||||
MKS Instruments, Inc. | 58,785 | 3,491,829 | ||||||
Nanometrics, Inc.* | 27,000 | 676,620 | ||||||
Power Integrations, Inc. | 32,000 | 2,171,200 | ||||||
Rambus, Inc.* | 120,400 | 1,657,908 | ||||||
Rudolph Technologies, Inc.* | 33,794 | 789,090 | ||||||
Semtech Corp.* | 71,900 | 2,268,445 | ||||||
Tessera Holding Corp. | 53,277 | 2,354,844 | ||||||
Ultratech, Inc.* | 25,811 | 618,948 | ||||||
Veeco Instruments, Inc.* | 44,542 | 1,298,399 | ||||||
25,143,751 | ||||||||
Software — 2.8% |
| |||||||
8x8, Inc.* | 98,400 | 1,407,120 | ||||||
Blackbaud, Inc.(a) | 52,183 | 3,339,712 | ||||||
Bottomline Technologies (de), Inc.*(a) | 40,000 | 1,000,800 | ||||||
Ebix, Inc.(a) | 24,657 | 1,406,682 | ||||||
MicroStrategy, Inc. (Class A Stock)* | 10,360 | 2,045,064 | ||||||
Monotype Imaging Holdings, Inc. | 45,700 | 907,145 | ||||||
Progress Software Corp. | 53,247 | 1,700,177 | ||||||
Qualys, Inc.* | 32,100 | 1,015,965 | ||||||
Synchronoss Technologies, Inc.*(a) | 46,100 | 1,765,630 | ||||||
Take-Two Interactive Software, Inc.* | 95,012 | 4,683,141 | ||||||
Tangoe, Inc.* | 25,500 | 200,940 | ||||||
TiVo Corp.* | 131,100 | 2,739,990 | ||||||
VASCO Data Security International, Inc.* | 32,900 | 449,085 | ||||||
22,661,451 | ||||||||
Specialty Retail — 4.0% |
| |||||||
Abercrombie & Fitch Co. (Class A Stock)(a) | 73,900 | 886,800 | ||||||
Asbury Automotive Group, Inc.* | 21,700 | 1,338,890 |
SEE NOTES TO FINANCIAL STATEMENTS.
A159
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Specialty Retail (continued) |
| |||||||
Ascena Retail Group, Inc.* | 185,800 | $ | 1,150,102 | |||||
Barnes & Noble Education, Inc.* | 40,436 | 463,801 | ||||||
Barnes & Noble, Inc. | 59,500 | 663,425 | ||||||
Big 5 Sporting Goods Corp.(a) | 19,537 | 338,967 | ||||||
Buckle, Inc. (The)(a) | 30,659 | 699,025 | ||||||
Caleres, Inc. | 47,534 | 1,560,066 | ||||||
Cato Corp. (The) (Class A Stock) | 27,503 | 827,290 | ||||||
Children’s Place, Inc. (The)(a) | 19,865 | 2,005,372 | ||||||
Express, Inc.* | 85,600 | 921,056 | ||||||
Finish Line, Inc. (The) | 44,446 | 836,029 | ||||||
Five Below, Inc.*(a) | 60,200 | 2,405,592 | ||||||
Francesca’s Holdings Corp.* | 41,600 | 750,048 | ||||||
Genesco, Inc.* | 22,822 | 1,417,246 | ||||||
Group 1 Automotive, Inc.(a) | 21,864 | 1,704,080 | ||||||
Guess?, Inc.(a) | 67,500 | 816,750 | ||||||
Haverty Furniture Cos., Inc. | 20,941 | 496,302 | ||||||
Hibbett Sports, Inc.*(a) | 24,496 | 913,701 | ||||||
Kirkland’s, Inc.* | 15,900 | 246,609 | ||||||
Lithia Motors, Inc. (Class A Stock)(a) | 25,730 | 2,491,436 | ||||||
Lumber Liquidators Holdings, Inc.*(a) | 29,722 | 467,824 | ||||||
MarineMax, Inc.*(a) | 26,542 | 513,588 | ||||||
Monro Muffler Brake, Inc.(a) | 35,472 | 2,028,998 | ||||||
Rent-A-Center, Inc.(a) | 58,000 | 652,500 | ||||||
Select Comfort Corp.*(a) | 49,300 | 1,115,166 | ||||||
Shoe Carnival, Inc. | 14,600 | 393,908 | ||||||
Sonic Automotive, Inc. | 28,447 | 651,436 | ||||||
Stage Stores, Inc.(a) | 26,679 | 116,587 | ||||||
Stein Mart, Inc. | 33,083 | 181,295 | ||||||
Tailored Brands Inc. | 53,367 | 1,363,527 | ||||||
Tile Shop Holdings, Inc.*(a) | 36,100 | 705,755 | ||||||
Vitamin Shoppe, Inc.* | 26,400 | 627,000 | ||||||
Zumiez, Inc.*(a) | 19,350 | 422,798 | ||||||
32,172,969 | ||||||||
Technology Hardware, Storage & Peripherals — 0.5% |
| |||||||
Cray, Inc.* | 44,700 | 925,290 | ||||||
Electronics For Imaging, Inc.*(a) | 51,300 | 2,250,018 | ||||||
Super Micro Computer, Inc.* | 40,800 | 1,144,440 | ||||||
4,319,748 | ||||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
Crocs, Inc.* | 80,043 | 549,095 | ||||||
G-III Apparel Group Ltd.*(a) | 48,000 | 1,418,880 | ||||||
Iconix Brand Group, Inc.*(a) | 61,531 | 574,700 | ||||||
Movado Group, Inc. | 16,817 | 483,489 | ||||||
Oxford Industries, Inc. | 16,416 | 987,094 | ||||||
Perry Ellis International, Inc.* | 13,279 | 330,780 | ||||||
Steven Madden Ltd.* | 59,800 | 2,137,850 | ||||||
Unifi, Inc.* | 16,500 | 538,395 | ||||||
Vera Bradley, Inc.* | 21,100 | 247,292 | ||||||
Wolverine World Wide, Inc. | 108,154 | 2,373,980 | ||||||
9,641,555 | ||||||||
Thrifts & Mortgage Finance — 1.7% |
| |||||||
Astoria Financial Corp. | 99,900 | 1,863,135 | ||||||
Bank Mutual Corp. | 45,435 | 429,361 | ||||||
BofI Holding, Inc.*(a) | 63,100 | 1,801,505 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Thrifts & Mortgage Finance (continued) |
| |||||||
Dime Community Bancshares, Inc. | 34,381 | $ | 691,058 | |||||
HomeStreet, Inc.* | 25,600 | 808,960 | ||||||
LendingTree, Inc.* | 7,900 | 800,665 | ||||||
Northfield Bancorp, Inc. | 49,300 | 984,521 | ||||||
Northwest Bancshares, Inc.(a) | 111,100 | 2,003,133 | ||||||
Oritani Financial Corp.(a) | 41,600 | 780,000 | ||||||
Provident Financial Services, Inc. | 65,700 | 1,859,310 | ||||||
TrustCo Bank Corp. NY | 104,795 | 916,956 | ||||||
Walker & Dunlop, Inc.* | 30,500 | 951,600 | ||||||
13,890,204 | ||||||||
Tobacco — 0.2% |
| |||||||
Universal Corp.(a) | 25,000 | 1,593,750 | ||||||
Trading Companies & Distributors — 0.6% |
| |||||||
Applied Industrial Technologies, Inc. | 42,928 | 2,549,923 | ||||||
DXP Enterprises, Inc.* | 16,900 | 587,106 | ||||||
Kaman Corp.(a) | 29,722 | 1,454,298 | ||||||
Veritiv Corp.* | 10,400 | 559,000 | ||||||
5,150,327 | ||||||||
Water Utilities — 0.4% |
| |||||||
American States Water Co. | 40,152 | 1,829,325 | ||||||
California Water Service Group | 52,700 | 1,786,530 | ||||||
3,615,855 | ||||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
Spok Holdings, Inc. | 22,380 | 464,385 | ||||||
TOTAL COMMON STOCKS |
| 794,466,154 | ||||||
EXCHANGE TRADED FUND — 1.0% | ||||||||
iShares Core S&P Small-Cap | 58,500 | 8,044,920 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 802,511,074 | ||||||
SHORT-TERM INVESTMENTS — 22.3% | ||||||||
AFFILIATED MUTUAL FUNDS — 22.2% |
| |||||||
Prudential Investment Portfolios 2 — | 7,039,507 | 7,039,507 | ||||||
Prudential Investment Portfolios 2 — | 172,800,661 | 172,835,221 | ||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 179,874,728 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A160
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
SHORT-TERM INVESTMENTS (continued) | Principal Amount (000)# | Value (Note 2) | ||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bill, 0.529%, 03/16/17 | 600 | $ | 599,400 | |||||
TOTAL SHORT-TERM INVESTMENTS |
| 180,474,128 | ||||||
TOTAL INVESTMENTS — 121.2% |
| 982,985,202 | ||||||
LIABILITIES IN EXCESS OF |
| (172,120,997 | ) | |||||
NET ASSETS — 100.0% |
| $ | 810,864,205 | |||||
See the Glossary for abbreviations used in the annual report.
* | Non-income producing security. |
# | Principal amount shown in U.S. dollars unless otherwise stated. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement is $167,886,176; cash collateral of $172,704,494 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(c) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(d) | Rate quoted represents yield-to-maturity as of purchase date. |
(e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(f) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2016:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Position: | ||||||||||||||||||||
124 | Russell 2000 Mini Index | Mar. 2017 | $ | 8,539,902 | $ | 8,412,780 | $ | (127,122 | ) | |||||||||||
A U.S. Treasury Obligation with a market value of $599,400 has been segregated with UBS AG to cover requirements for open futures contracts at December 31, 2016.
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange ratesand other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 10,729,110 | $ | — | $ | — | ||||||
Air Freight & Logistics | 5,389,742 | — | — | |||||||||
Airlines | 7,813,614 | — | — | |||||||||
Auto Components | 13,574,564 | — | — | |||||||||
Automobiles | 915,666 | — | — | |||||||||
Banks | 85,887,876 | — | — | |||||||||
Biotechnology | 10,325,750 | — | — | |||||||||
Building Products | 16,162,254 | — | — | |||||||||
Capital Markets | 12,628,702 | — | — | |||||||||
Chemicals | 27,259,346 | — | — | |||||||||
Commercial Services & Supplies | 29,814,758 | — | — | |||||||||
Communications Equipment | 10,881,929 | — | — | |||||||||
Construction & Engineering | 3,206,675 | — | — | |||||||||
Construction Materials | 2,935,575 | — | — | |||||||||
Consumer Finance | 7,667,766 | — | — | |||||||||
Containers & Packaging | 337,766 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A161
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Distributors | $ | 2,187,956 | $ | — | $ | — | ||||||
Diversified Consumer Services | 3,742,879 | — | — | |||||||||
Diversified Telecommunication Services | 7,982,569 | — | — | |||||||||
Electric Utilities | 5,548,527 | — | — | |||||||||
Electrical Equipment | 4,461,959 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 32,934,557 | — | — | |||||||||
Energy Equipment & Services | 16,151,933 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 45,613,522 | — | — | |||||||||
Food & Staples Retailing | 4,274,135 | — | — | |||||||||
Food Products | 12,523,718 | — | — | |||||||||
Gas Utilities | 8,046,367 | — | — | |||||||||
Health Care Equipment & Supplies | 32,456,616 | — | — | |||||||||
Health Care Providers & Services | 24,852,605 | — | — | |||||||||
Health Care Technology | 7,648,696 | — | — | |||||||||
Hotels, Restaurants & Leisure | 22,452,250 | — | — | |||||||||
Household Durables | 13,157,916 | — | — | |||||||||
Household Products | 3,322,341 | — | — | |||||||||
Industrial Conglomerates | 1,000,440 | — | — | |||||||||
Insurance | 24,704,158 | — | — | |||||||||
Internet & Direct Marketing Retail | 2,607,016 | — | — | |||||||||
Internet Software & Services | 10,949,355 | — | — | |||||||||
IT Services | 14,551,475 | — | — | |||||||||
Leisure Products | 3,070,480 | — | — | |||||||||
Life Sciences Tools & Services | 3,237,988 | — | — | |||||||||
Machinery | 39,812,568 | — | — | |||||||||
Marine | 1,670,408 | — | — | |||||||||
Media | 5,526,068 | — | — | |||||||||
Metals & Mining | 10,799,297 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 1,051,608 | — | — | |||||||||
Multi-Utilities | 2,815,416 | — | — | |||||||||
Multiline Retail | 2,455,166 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 11,899,671 | — | — | |||||||||
Paper & Forest Products | 9,413,831 | — | — | |||||||||
Personal Products | 1,123,586 | — | — | |||||||||
Pharmaceuticals | 12,345,063 | — | — | |||||||||
Professional Services | 14,785,565 | — | — | |||||||||
Real Estate Management & Development | 2,633,115 | — | — | |||||||||
Road & Rail | 6,470,246 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 25,143,751 | — | — | |||||||||
Software | 22,661,451 | — | — | |||||||||
Specialty Retail | 32,172,969 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 4,319,748 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 9,641,555 | — | — | |||||||||
Thrifts & Mortgage Finance | 13,890,204 | — | — | |||||||||
Tobacco | 1,593,750 | — | — | |||||||||
Trading Companies & Distributors | 5,150,327 | — | — | |||||||||
Water Utilities | 3,615,855 | — | — | |||||||||
Wireless Telecommunication Services | 464,385 | — | — | |||||||||
Exchange Traded Fund | 8,044,920 | — | — | |||||||||
Affiliated Mutual Funds | 179,874,728 | — | — | |||||||||
U.S. Treasury Obligation | — | 599,400 | — | |||||||||
Other Financial Instruments* |
| |||||||||||
Futures Contracts | (127,122 | ) | — | — | ||||||||
Total | $ | 982,258,680 | $ | 599,400 | $ | — | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1 and Level 2 to report.
SEE NOTES TO FINANCIAL STATEMENTS.
A162
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Affiliated Mutual Funds (including 21.3% of collateral for securities on loan) | 22.2 | % | ||
Banks | 10.6 | |||
Equity Real Estate Investment Trusts (REITs) | 5.6 | |||
Machinery | 4.9 | |||
Electronic Equipment, Instruments & Components | 4.1 | |||
Health Care Equipment & Supplies | 4.0 | |||
Specialty Retail | 4.0 | |||
Commercial Services & Supplies | 3.7 | |||
Chemicals | 3.4 | |||
Semiconductors & Semiconductor Equipment | 3.1 | |||
Health Care Providers & Services | 3.1 | |||
Insurance | 3.0 | |||
Software | 2.8 | |||
Hotels, Restaurants & Leisure | 2.8 | |||
Building Products | 2.0 | |||
Energy Equipment & Services | 2.0 | |||
Professional Services | 1.8 | |||
IT Services | 1.8 | |||
Thrifts & Mortgage Finance | 1.7 | |||
Auto Components | 1.7 | |||
Household Durables | 1.6 | |||
Capital Markets | 1.6 | |||
Food Products | 1.5 | |||
Pharmaceuticals | 1.5 | |||
Oil, Gas & Consumable Fuels | 1.5 | |||
Internet Software & Services | 1.3 | |||
Communications Equipment | 1.3 | |||
Metals & Mining | 1.3 | |||
Aerospace & Defense | 1.3 | |||
Biotechnology | 1.3 | |||
Textiles, Apparel & Luxury Goods | 1.2 | |||
Paper & Forest Products | 1.2 | |||
Gas Utilities | 1.0 | |||
Exchange Traded Fund | 1.0 | |||
Diversified Telecommunication Services | 1.0 |
Airlines | 1.0 | % | ||
Consumer Finance | 0.9 | |||
Health Care Technology | 0.9 | |||
Road & Rail | 0.8 | |||
Electric Utilities | 0.7 | |||
Media | 0.7 | |||
Air Freight & Logistics | 0.7 | |||
Trading Companies & Distributors | 0.6 | |||
Electrical Equipment | 0.6 | |||
Technology Hardware, Storage & Peripherals | 0.5 | |||
Food & Staples Retailing | 0.5 | |||
Diversified Consumer Services | 0.5 | |||
Water Utilities | 0.4 | |||
Household Products | 0.4 | |||
Life Sciences Tools & Services | 0.4 | |||
Construction & Engineering | 0.4 | |||
Leisure Products | 0.4 | |||
Construction Materials | 0.4 | |||
Multi-Utilities | 0.3 | |||
Real Estate Management & Development | 0.3 | |||
Internet & Direct Marketing Retail | 0.3 | |||
Multiline Retail | 0.3 | |||
Distributors | 0.3 | |||
Marine | 0.2 | |||
Tobacco | 0.2 | |||
Personal Products | 0.1 | |||
Mortgage Real Estate Investment Trusts (REITs) | 0.1 | |||
Industrial Conglomerates | 0.1 | |||
Automobiles | 0.1 | |||
U.S. Treasury Obligation | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
121.2 | ||||
Liabilities in excess of other assets | (21.2 | ) | ||
100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2016 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | $ | — | Due from/to broker —variation margin futures | $ | 127,122 | * | ||||||
* | Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A163
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 2,224,649 | ||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | (280,436 | ) | |
For the year ended December 31, 2016 the Portfolio’s average volume at trade date for futures long positions was $9,219,361.
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 167,886,176 | $ | (167,886,176 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A164
SMALL CAPITALIZATION STOCK PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $167,886,176: | ||||
Unaffiliated investments (cost $500,329,764) | $ | 803,110,474 | ||
Affiliated investments (cost $179,847,735) | 179,874,728 | |||
Dividends receivable | 1,032,521 | |||
Receivable for Series shares sold | 44,662 | |||
Tax reclaim receivable | 1,381 | |||
Prepaid expenses | 5,404 | |||
Total Assets | 984,069,170 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 172,704,494 | |||
Management fee payable | 241,063 | |||
Accrued expenses and other liabilities | 141,132 | |||
Payable for Series shares repurchased | 75,878 | |||
Due to broker—variation margin futures | 35,679 | |||
Payable for investments purchased | 5,739 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 173,204,965 | |||
NET ASSETS | $ | 810,864,205 | ||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 227,529,994 | ||
Retained earnings | 583,334,211 | |||
Net assets, December 31, 2016 | $ | 810,864,205 | ||
Net asset value and redemption price per share | $ | 34.08 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $661) | $ | 10,323,836 | ||
Income from securities lending, net (including affiliated income of $767,911) | 973,183 | |||
Affiliated dividend income | 45,524 | |||
Interest income | 2,169 | |||
Total income | 11,344,712 | |||
EXPENSES | ||||
Management fee | 2,630,739 | |||
Shareholders’ reports | 98,000 | |||
Custodian and accounting fees (net of $4,500 fee credit) | 92,000 | |||
Audit fee | 29,000 | |||
Trustees’ fees | 16,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Legal fees and expenses | 9,000 | |||
Insurance expenses | 9,000 | |||
Miscellaneous | 57,867 | |||
Total expenses | 2,953,606 | |||
Less: Management fee waiver | (165,159 | ) | ||
Net expenses | 2,788,447 | |||
NET INVESTMENT INCOME (LOSS) | 8,556,265 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: |
| |||
Investment transactions (including affiliated of $2,709) | 58,080,839 | |||
Futures transactions | 2,224,649 | |||
60,305,488 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $26,993) | 101,656,231 | |||
Futures | (280,436 | ) | ||
101,375,795 | ||||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 161,681,283 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 170,237,548 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 8,556,265 | $ | 7,754,044 | ||||
Net realized gain (loss) on investment transactions | 60,305,488 | 67,021,460 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 101,375,795 | (90,340,490 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 170,237,548 | (15,564,986 | ) | |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [444,470 and 233,474 shares, respectively] | 13,320,488 | 6,515,178 | ||||||
Series shares repurchased [1,986,636 and 2,135,595 shares, respectively] | (56,773,159 | ) | (59,451,401 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (43,452,671 | ) | (52,936,223 | ) | ||||
CAPITAL CONTRIBUTIONS (Note 4) | 1,643,627 | — | ||||||
TOTAL INCREASE (DECREASE) | 128,428,504 | (68,501,209 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 682,435,701 | 750,936,910 | ||||||
End of year | $ | 810,864,205 | $ | 682,435,701 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A165
STOCK INDEX PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 97.4% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.2% |
| |||||||
Arconic, Inc. | 73,192 | $ | 1,356,980 | |||||
Boeing Co. (The) | 96,436 | 15,013,156 | ||||||
General Dynamics Corp. | 48,200 | 8,322,212 | ||||||
Lockheed Martin Corp. | 42,298 | 10,571,962 | ||||||
L-3 Communications Holdings, Inc. | 13,000 | 1,977,430 | ||||||
Northrop Grumman Corp. | 30,126 | 7,006,705 | ||||||
Raytheon Co. | 49,718 | 7,059,956 | ||||||
Rockwell Collins, Inc. | 22,100 | 2,049,996 | ||||||
Textron, Inc. | 45,400 | 2,204,624 | ||||||
TransDigm Group, Inc.(a) | 8,500 | 2,116,160 | ||||||
United Technologies Corp. | 129,100 | 14,151,942 | ||||||
71,831,123 | ||||||||
Air Freight & Logistics — 0.7% |
| |||||||
C.H. Robinson Worldwide, Inc.(a) | 24,100 | 1,765,566 | ||||||
Expeditors International of Washington, Inc. | 30,300 | 1,604,688 | ||||||
FedEx Corp. | 41,240 | 7,678,888 | ||||||
United Parcel Service, Inc. (Class B Stock) | 115,600 | 13,252,384 | ||||||
24,301,526 | ||||||||
Airlines — 0.6% |
| |||||||
Alaska Air Group, Inc. | 20,600 | 1,827,838 | ||||||
American Airlines Group, Inc.(a) | 87,400 | 4,080,706 | ||||||
Delta Air Lines, Inc. | 125,300 | 6,163,507 | ||||||
Southwest Airlines Co. | 104,537 | 5,210,124 | ||||||
United Continental Holdings, Inc.* | 49,600 | 3,614,848 | ||||||
20,897,023 | ||||||||
Auto Components — 0.2% |
| |||||||
BorgWarner, Inc. | 34,800 | 1,372,512 | ||||||
Delphi Automotive PLC | 45,500 | 3,064,425 | ||||||
Goodyear Tire & Rubber Co. (The) | 44,300 | 1,367,541 | ||||||
5,804,478 | ||||||||
Automobiles — 0.5% |
| |||||||
Ford Motor Co. | 649,559 | 7,879,151 | ||||||
General Motors Co. | 234,400 | 8,166,496 | ||||||
Harley-Davidson, Inc.(a) | 30,800 | 1,796,872 | ||||||
17,842,519 | ||||||||
Banks — 6.6% |
| |||||||
Bank of America Corp. | 1,693,982 | 37,437,002 | ||||||
BB&T Corp. | 136,100 | 6,399,422 | ||||||
Citigroup, Inc. | 479,122 | 28,474,220 | ||||||
Citizens Financial Group, Inc. | 88,500 | 3,153,255 | ||||||
Comerica, Inc. | 29,150 | 1,985,407 | ||||||
Fifth Third Bancorp | 130,749 | 3,526,301 | ||||||
Huntington Bancshares, Inc. | 171,075 | 2,261,612 | ||||||
JPMorgan Chase & Co. | 599,645 | 51,743,367 | ||||||
KeyCorp | 172,500 | 3,151,575 | ||||||
M&T Bank Corp.(a) | 26,400 | 4,129,752 | ||||||
People’s United Financial, Inc.(a) | 50,700 | 981,552 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) |
| |||||||
PNC Financial Services Group, Inc. (The) | 82,393 | $ | 9,636,685 | |||||
Regions Financial Corp. | 214,512 | 3,080,392 | ||||||
SunTrust Banks, Inc. | 84,600 | 4,640,310 | ||||||
U.S. Bancorp | 269,681 | 13,853,513 | ||||||
Wells Fargo & Co. | 757,336 | 41,736,787 | ||||||
Zions Bancorporation(a) | 33,800 | 1,454,752 | ||||||
217,645,904 | ||||||||
Beverages — 2.0% |
| |||||||
Brown-Forman Corp. (Class B Stock) | 30,500 | 1,370,060 | ||||||
Coca-Cola Co. (The) | 648,450 | 26,884,737 | ||||||
Constellation Brands, Inc. (Class A Stock) | 29,100 | 4,461,321 | ||||||
Dr. Pepper Snapple Group, Inc. | 31,800 | 2,883,306 | ||||||
Molson Coors Brewing Co. (Class B Stock) | 30,500 | 2,967,955 | ||||||
Monster Beverage Corp.* | 67,800 | 3,006,252 | ||||||
PepsiCo, Inc. | 240,364 | 25,149,285 | ||||||
66,722,916 | ||||||||
Biotechnology — 2.7% |
| |||||||
AbbVie, Inc. | 270,700 | 16,951,234 | ||||||
Alexion Pharmaceuticals, Inc.* | 37,100 | 4,539,185 | ||||||
Amgen, Inc. | 125,494 | 18,348,478 | ||||||
Biogen, Inc.* | 36,775 | 10,428,654 | ||||||
Celgene Corp.* | 130,000 | 15,047,500 | ||||||
Gilead Sciences, Inc. | 221,100 | 15,832,971 | ||||||
Regeneron Pharmaceuticals, Inc.* | 12,710 | 4,665,714 | ||||||
Vertex Pharmaceuticals, Inc.* | 41,200 | 3,035,204 | ||||||
88,848,940 | ||||||||
Building Products — 0.3% |
| |||||||
Allegion PLC | 15,833 | 1,013,312 | ||||||
Fortune Brands Home & Security, Inc. | 23,800 | 1,272,348 | ||||||
Johnson Controls International PLC | 158,215 | 6,516,876 | ||||||
Masco Corp. | 55,400 | 1,751,748 | ||||||
10,554,284 | ||||||||
Capital Markets — 2.8% |
| |||||||
Affiliated Managers Group, Inc.* | 9,300 | 1,351,290 | ||||||
Ameriprise Financial, Inc. | 27,400 | 3,039,756 | ||||||
Bank of New York Mellon Corp. (The) | 179,089 | 8,485,237 | ||||||
BlackRock, Inc. | 20,530 | 7,812,486 | ||||||
Charles Schwab Corp. (The) | 200,900 | 7,929,523 | ||||||
CME Group, Inc. | 56,500 | 6,517,275 | ||||||
E*TRADE Financial Corp.* | 47,310 | 1,639,292 | ||||||
Franklin Resources, Inc. | 60,300 | 2,386,674 | ||||||
Goldman Sachs Group, Inc. (The) | 62,400 | 14,941,680 | ||||||
Intercontinental Exchange, Inc. | 99,990 | 5,641,436 | ||||||
Invesco Ltd. | 70,600 | 2,142,004 | ||||||
Moody’s Corp. | 28,420 | 2,679,153 | ||||||
Morgan Stanley | 243,910 | 10,305,197 |
SEE NOTES TO FINANCIAL STATEMENTS.
A166
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Capital Markets (continued) |
| |||||||
Nasdaq, Inc. | 19,600 | $ | 1,315,552 | |||||
Northern Trust Corp. | 36,100 | 3,214,705 | ||||||
S&P Global, Inc. | 44,000 | 4,731,760 | ||||||
State Street Corp. | 61,925 | 4,812,811 | ||||||
T. Rowe Price Group, Inc. | 41,500 | 3,123,290 | �� | |||||
92,069,121 | ||||||||
Chemicals — 2.0% |
| |||||||
Air Products & Chemicals, Inc. | 36,300 | 5,220,666 | ||||||
Albemarle Corp. | 17,600 | 1,515,008 | ||||||
CF Industries Holdings, Inc. | 39,100 | 1,230,868 | ||||||
Dow Chemical Co. (The) | 187,011 | 10,700,770 | ||||||
E.I. du Pont de Nemours & Co. | 145,991 | 10,715,739 | ||||||
Eastman Chemical Co. | 24,700 | 1,857,687 | ||||||
Ecolab, Inc. | 43,800 | 5,134,236 | ||||||
FMC Corp. | 22,500 | 1,272,600 | ||||||
International Flavors & Fragrances, Inc.(a) | 13,300 | 1,567,139 | ||||||
LyondellBasell Industries NV (Class A Stock) | 57,000 | 4,889,460 | ||||||
Monsanto Co. | 72,496 | 7,627,304 | ||||||
Mosaic Co. (The)(a) | 56,200 | 1,648,346 | ||||||
PPG Industries, Inc. | 44,700 | 4,235,772 | ||||||
Praxair, Inc. | 47,800 | 5,601,682 | ||||||
Sherwin-Williams Co. (The) | 13,300 | 3,574,242 | ||||||
66,791,519 | ||||||||
Commercial Services & Supplies — 0.3% |
| |||||||
Cintas Corp. | 14,500 | 1,675,620 | ||||||
Pitney Bowes, Inc. | 32,200 | 489,118 | ||||||
Republic Services, Inc. | 39,635 | 2,261,177 | ||||||
Stericycle, Inc.* | 14,500 | 1,117,080 | ||||||
Waste Management, Inc. | 68,930 | 4,887,826 | ||||||
10,430,821 | ||||||||
Communications Equipment — 1.0% |
| |||||||
Cisco Systems, Inc. | 840,575 | 25,402,177 | ||||||
F5 Networks, Inc.* | 11,700 | 1,693,224 | ||||||
Harris Corp. | 20,900 | 2,141,623 | ||||||
Juniper Networks, Inc. | 60,000 | 1,695,600 | ||||||
Motorola Solutions, Inc. | 26,527 | 2,198,823 | ||||||
33,131,447 | ||||||||
Construction & Engineering — 0.1% |
| |||||||
Fluor Corp. | 23,700 | 1,244,724 | ||||||
Jacobs Engineering Group, Inc.* | 20,900 | 1,191,300 | ||||||
Quanta Services, Inc.* | 26,200 | 913,070 | ||||||
3,349,094 | ||||||||
Construction Materials — 0.2% |
| |||||||
Martin Marietta Materials, Inc. | 10,800 | 2,392,524 | ||||||
Vulcan Materials Co. | 22,400 | 2,803,360 | ||||||
5,195,884 | ||||||||
Consumer Finance — 0.8% |
| |||||||
American Express Co. | 129,800 | 9,615,584 | ||||||
Capital One Financial Corp. | �� | 81,969 | 7,150,976 | |||||
Discover Financial Services | 68,205 | 4,916,898 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Consumer Finance (continued) |
| |||||||
Navient Corp. | 56,600 | $ | 929,938 | |||||
Synchrony Financial | 134,630 | 4,883,030 | ||||||
27,496,426 | ||||||||
Containers & Packaging — 0.3% |
| |||||||
Avery Dennison Corp. | 15,000 | 1,053,300 | ||||||
Ball Corp. | 27,300 | 2,049,411 | ||||||
International Paper Co. | 69,167 | 3,670,001 | ||||||
Sealed Air Corp. | 33,420 | 1,515,263 | ||||||
WestRock Co. | 42,761 | 2,170,976 | ||||||
10,458,951 | ||||||||
Distributors — 0.1% |
| |||||||
Genuine Parts Co. | 25,025 | 2,390,889 | ||||||
LKQ Corp.* | 49,300 | 1,511,045 | ||||||
3,901,934 | ||||||||
Diversified Consumer Services |
| |||||||
H&R Block, Inc.(a) | 37,500 | 862,125 | ||||||
Diversified Financial Services — 1.6% |
| |||||||
Berkshire Hathaway, Inc. (Class B Stock)* | 316,600 | 51,599,468 | ||||||
Leucadia National Corp. | 54,500 | 1,267,125 | ||||||
52,866,593 | ||||||||
Diversified Telecommunication Services — 2.6% |
| |||||||
AT&T, Inc. | 1,026,335 | 43,650,028 | ||||||
CenturyLink, Inc. | 90,985 | 2,163,623 | ||||||
Frontier Communications Corp.(a) | 191,916 | 648,676 | ||||||
Level 3 Communications, Inc.* | 48,400 | 2,727,824 | ||||||
Verizon Communications, Inc. | 680,038 | 36,300,428 | ||||||
85,490,579 | ||||||||
Electric Utilities — 1.9% |
| |||||||
Alliant Energy Corp. | 34,000 | 1,288,260 | ||||||
American Electric Power Co., Inc. | 82,340 | 5,184,126 | ||||||
Duke Energy Corp. | 115,048 | 8,930,026 | ||||||
Edison International | 54,700 | 3,937,853 | ||||||
Entergy Corp. | 30,200 | 2,218,794 | ||||||
Eversource Energy | 53,200 | 2,938,236 | ||||||
Exelon Corp. | 154,173 | 5,471,600 | ||||||
FirstEnergy Corp. | 70,980 | 2,198,251 | ||||||
NextEra Energy, Inc. | 77,075 | 9,207,379 | ||||||
PG&E Corp. | 82,300 | 5,001,371 | ||||||
Pinnacle West Capital Corp. | 19,000 | 1,482,570 | ||||||
PPL Corp. | 112,600 | 3,834,030 | ||||||
Southern Co. (The) | 162,800 | 8,008,132 | ||||||
Xcel Energy, Inc. | 85,095 | 3,463,367 | ||||||
63,163,995 | ||||||||
Electrical Equipment — 0.5% |
| |||||||
Acuity Brands, Inc.(a) | 7,000 | 1,616,020 | ||||||
AMETEK, Inc. | 39,500 | 1,919,700 | ||||||
Eaton Corp. PLC | 76,861 | 5,156,605 | ||||||
Emerson Electric Co. | 107,700 | 6,004,275 | ||||||
Rockwell Automation, Inc. | 22,100 | 2,970,240 | ||||||
17,666,840 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A167
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
Amphenol Corp. (Class A Stock) | 51,800 | $ | 3,480,960 | |||||
Corning, Inc. | 161,700 | 3,924,459 | ||||||
FLIR Systems, Inc. | 23,000 | 832,370 | ||||||
TE Connectivity Ltd. | 59,600 | 4,129,088 | ||||||
12,366,877 | ||||||||
Energy Equipment & Services — 1.1% |
| |||||||
Baker Hughes, Inc. | 72,548 | 4,713,444 | ||||||
FMC Technologies, Inc.* | 37,900 | 1,346,587 | ||||||
Halliburton Co. | 142,500 | 7,707,825 | ||||||
Helmerich & Payne, Inc. | 18,100 | 1,400,940 | ||||||
National Oilwell Varco, Inc.(a) | 63,100 | 2,362,464 | ||||||
Schlumberger Ltd. | 232,098 | 19,484,627 | ||||||
Transocean Ltd.*(a) | 56,000 | 825,440 | ||||||
37,841,327 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 2.7% |
| |||||||
American Tower Corp. | 71,000 | 7,503,280 | ||||||
Apartment Investment & Management Co. (Class A Stock) | 26,274 | 1,194,153 | ||||||
AvalonBay Communities, Inc. | 23,018 | 4,077,639 | ||||||
Boston Properties, Inc.(a) | 25,800 | 3,245,124 | ||||||
Crown Castle International Corp. | 58,500 | 5,076,045 | ||||||
Digital Realty Trust, Inc.(a) | 25,000 | 2,456,500 | ||||||
Equinix, Inc. | 11,755 | 4,201,355 | ||||||
Equity Residential(a) | 61,100 | 3,932,396 | ||||||
Essex Property Trust, Inc.(a) | 11,100 | 2,580,750 | ||||||
Extra Space Storage, Inc.(a) | 20,700 | 1,598,868 | ||||||
Federal Realty Investment Trust(a) | 11,100 | 1,577,421 | ||||||
General Growth Properties, Inc.(a) | 97,600 | 2,438,048 | ||||||
HCP, Inc.(a) | 78,000 | 2,318,160 | ||||||
Host Hotels & Resorts, Inc.(a) | 124,626 | 2,347,954 | ||||||
Iron Mountain, Inc. | 39,930 | 1,296,926 | ||||||
Kimco Realty Corp. | 69,600 | 1,751,136 | ||||||
Macerich Co. (The)(a) | 20,800 | 1,473,472 | ||||||
Mid-America Apartment Communities, Inc. | 17,800 | 1,742,976 | ||||||
Prologis, Inc. | 87,928 | 4,641,719 | ||||||
Public Storage | 24,700 | 5,520,450 | ||||||
Realty Income Corp. | 41,900 | 2,408,412 | ||||||
Simon Property Group, Inc. | 51,761 | 9,196,377 | ||||||
SL Green Realty Corp.(a) | 17,100 | 1,839,105 | ||||||
UDR, Inc.(a) | 42,900 | 1,564,992 | ||||||
Ventas, Inc.(a) | 57,704 | 3,607,654 | ||||||
Vornado Realty Trust | 28,957 | 3,022,242 | ||||||
Welltower, Inc. | 59,400 | 3,975,642 | ||||||
Weyerhaeuser Co. | 123,830 | 3,726,045 | ||||||
90,314,841 | ||||||||
Food & Staples Retailing — 2.0% |
| |||||||
Costco Wholesale Corp. | 73,322 | 11,739,585 | ||||||
CVS Health Corp. | 178,338 | 14,072,652 | ||||||
Kroger Co. (The) | 159,500 | 5,504,345 | ||||||
Sysco Corp. | 85,600 | 4,739,672 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing (continued) |
| |||||||
Wal-Mart Stores, Inc. | 253,200 | $ | 17,501,184 | |||||
Walgreens Boots Alliance, Inc. | 142,800 | 11,818,128 | ||||||
Whole Foods Market, Inc. | 54,400 | 1,673,344 | ||||||
67,048,910 | ||||||||
Food Products — 1.6% |
| |||||||
Archer-Daniels-Midland Co. | 98,338 | 4,489,130 | ||||||
Campbell Soup Co. | 30,100 | 1,820,147 | ||||||
Conagra Foods, Inc. | 71,300 | 2,819,915 | ||||||
General Mills, Inc. | 99,400 | 6,139,938 | ||||||
Hershey Co. (The) | 24,100 | 2,492,663 | ||||||
Hormel Foods Corp. | 45,400 | 1,580,374 | ||||||
J.M. Smucker Co. (The) | 20,100 | 2,574,006 | ||||||
Kellogg Co. | 42,300 | 3,117,933 | ||||||
Kraft Heinz Co. (The) | 99,337 | 8,674,107 | ||||||
McCormick & Co., Inc. (Non-Voting Shares)(a) | 19,500 | 1,819,935 | ||||||
Mead Johnson Nutrition Co. | 31,193 | 2,207,217 | ||||||
Mondelez International, Inc. (Class A Stock) | 259,911 | 11,521,854 | ||||||
Tyson Foods, Inc. (Class A Stock) | 49,600 | 3,059,328 | ||||||
52,316,547 | ||||||||
Health Care Equipment & Supplies — 2.4% |
| |||||||
Abbott Laboratories | 246,950 | 9,485,350 | ||||||
Baxter International, Inc. | 83,600 | 3,706,824 | ||||||
Becton, Dickinson & Co. | 35,354 | 5,852,855 | ||||||
Boston Scientific Corp.* | 225,499 | 4,877,543 | ||||||
C.R. Bard, Inc. | 12,500 | 2,808,250 | ||||||
Cooper Cos., Inc. (The) | 7,800 | 1,364,454 | ||||||
Danaher Corp. | 100,000 | 7,784,000 | ||||||
DENTSPLY SIRONA, Inc. | 38,500 | 2,222,605 | ||||||
Edwards Lifesciences Corp.* | 35,800 | 3,354,460 | ||||||
Hologic, Inc.* | 43,500 | 1,745,220 | ||||||
Intuitive Surgical, Inc.* | 6,340 | 4,020,638 | ||||||
Medtronic PLC | 231,528 | 16,491,739 | ||||||
St. Jude Medical, Inc. | 47,400 | 3,801,006 | ||||||
Stryker Corp. | 52,500 | 6,290,025 | ||||||
Varian Medical Systems, Inc.* | 15,800 | 1,418,524 | ||||||
Zimmer Biomet Holdings, Inc. | 32,586 | 3,362,875 | ||||||
78,586,368 | ||||||||
Health Care Providers & Services — 2.6% |
| |||||||
Aetna, Inc. | 58,457 | 7,249,253 | ||||||
AmerisourceBergen Corp.(a) | 28,600 | 2,236,234 | ||||||
Anthem, Inc. | 43,800 | 6,297,126 | ||||||
Cardinal Health, Inc. | 53,875 | 3,877,384 | ||||||
Centene Corp.* | 28,600 | 1,616,186 | ||||||
Cigna Corp. | 42,800 | 5,709,092 | ||||||
DaVita, Inc.* | 27,500 | 1,765,500 | ||||||
Envision Healthcare Corp* | 17,700 | 1,120,233 | ||||||
Express Scripts Holding Co.* | 105,126 | 7,231,617 | ||||||
HCA Holdings, Inc.* | 50,100 | 3,708,402 | ||||||
Henry Schein, Inc.* | 13,800 | 2,093,598 | ||||||
Humana, Inc. | 24,900 | 5,080,347 | ||||||
Laboratory Corp. of America Holdings* | 17,000 | 2,182,460 | ||||||
McKesson Corp. | 38,107 | 5,352,128 |
SEE NOTES TO FINANCIAL STATEMENTS.
A168
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services (continued) |
| |||||||
Patterson Cos., Inc.(a) | 14,200 | $ | 582,626 | |||||
Quest Diagnostics, Inc. | 23,800 | 2,187,220 | ||||||
UnitedHealth Group, Inc. | 159,300 | 25,494,372 | ||||||
Universal Health Services, Inc. (Class B Stock) | 15,100 | 1,606,338 | ||||||
85,390,116 | ||||||||
Health Care Technology — 0.1% |
| |||||||
Cerner Corp.* | 51,200 | 2,425,344 | ||||||
Hotels, Restaurants & Leisure — 1.5% |
| |||||||
Carnival Corp. | 71,500 | 3,722,290 | ||||||
Chipotle Mexican Grill, Inc.*(a) | 4,920 | 1,856,414 | ||||||
Darden Restaurants, Inc.(a) | 19,250 | 1,399,860 | ||||||
Marriott International, Inc. (Class A Stock) | 52,923 | 4,375,674 | ||||||
McDonald’s Corp. | 139,700 | 17,004,284 | ||||||
Royal Caribbean Cruises Ltd. | 28,800 | 2,362,752 | ||||||
Starbucks Corp. | 244,700 | 13,585,744 | ||||||
Wyndham Worldwide Corp. | 18,563 | 1,417,656 | ||||||
Wynn Resorts Ltd.(a) | 12,900 | 1,115,979 | ||||||
Yum! Brands, Inc. | 58,900 | 3,730,137 | ||||||
50,570,790 | ||||||||
Household Durables — 0.5% |
| |||||||
D.R. Horton, Inc. | 55,000 | 1,503,150 | ||||||
Garmin Ltd.(a) | 19,300 | 935,857 | ||||||
Harman International Industries, Inc. | 11,700 | 1,300,572 | ||||||
Leggett & Platt, Inc. | 22,700 | 1,109,576 | ||||||
Lennar Corp. (Class A Stock) | 30,100 | 1,292,193 | ||||||
Mohawk Industries, Inc.* | 10,700 | 2,136,576 | ||||||
Newell Brands, Inc. | 77,549 | 3,462,563 | ||||||
PulteGroup, Inc. | 52,585 | 966,512 | ||||||
Whirlpool Corp.(a) | 12,807 | 2,327,929 | ||||||
15,034,928 | ||||||||
Household Products — 1.8% |
| |||||||
Church & Dwight Co., Inc. | 44,000 | 1,944,360 | ||||||
Clorox Co. (The) | 21,700 | 2,604,434 | ||||||
Colgate-Palmolive Co. | 149,500 | 9,783,280 | ||||||
Kimberly-Clark Corp. | 60,488 | 6,902,891 | ||||||
Procter & Gamble Co. (The) | 445,406 | 37,449,736 | ||||||
58,684,701 | ||||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
AES Corp. | 110,400 | 1,282,848 | ||||||
NRG Energy, Inc. | 51,300 | 628,938 | ||||||
1,911,786 | ||||||||
Industrial Conglomerates — 2.5% |
| |||||||
3M Co. | 100,700 | 17,981,999 | ||||||
General Electric Co. | 1,480,847 | 46,794,765 | ||||||
Honeywell International, Inc. | 127,350 | 14,753,498 | ||||||
Roper Technologies, Inc. | 16,900 | 3,094,052 | ||||||
82,624,314 | ||||||||
Insurance — 2.5% |
| |||||||
Aflac, Inc. | 69,400 | 4,830,240 | ||||||
Allstate Corp. (The) | 62,988 | 4,668,670 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Insurance (continued) |
| |||||||
American International Group, Inc. | 164,829 | $ | 10,764,982 | |||||
Aon PLC | 44,325 | 4,943,567 | ||||||
Arthur J. Gallagher & Co. | 26,900 | 1,397,724 | ||||||
Assurant, Inc. | 10,000 | 928,600 | ||||||
Chubb Ltd. | 77,090 | 10,185,131 | ||||||
Cincinnati Financial Corp.(a) | 25,228 | 1,911,021 | ||||||
Hartford Financial Services Group, Inc. (The) | 65,400 | 3,116,310 | ||||||
Lincoln National Corp. | 39,863 | 2,641,721 | ||||||
Loews Corp. | 44,626 | 2,089,836 | ||||||
Marsh & McLennan Cos., Inc. | 87,100 | 5,887,089 | ||||||
MetLife, Inc. | 183,600 | 9,894,204 | ||||||
Principal Financial Group, Inc. | 45,700 | 2,644,202 | ||||||
Progressive Corp. (The) | 98,000 | 3,479,000 | ||||||
Torchmark Corp. | 18,875 | 1,392,220 | ||||||
Travelers Cos., Inc. (The) | 48,498 | 5,937,125 | ||||||
Unum Group | 40,956 | 1,799,197 | ||||||
Willis Towers Watson PLC | 22,000 | 2,690,160 | ||||||
XL Group Ltd. (Ireland) | 47,400 | 1,766,124 | ||||||
82,967,123 | ||||||||
Internet & Direct Marketing Retail — 2.2% |
| |||||||
Amazon.com, Inc.* | 65,710 | 49,273,958 | ||||||
Expedia, Inc. | 19,500 | 2,208,960 | ||||||
Netflix, Inc.* | 71,690 | 8,875,222 | ||||||
Priceline Group, Inc. (The)* | 8,320 | 12,197,619 | ||||||
TripAdvisor, Inc.* | 19,400 | 899,578 | ||||||
73,455,337 | ||||||||
Internet Software & Services — 4.1% |
| |||||||
Akamai Technologies, Inc.* | 29,400 | 1,960,392 | ||||||
Alphabet, Inc. (Class A Stock)* | 49,335 | 39,095,521 | ||||||
Alphabet, Inc. (Class C Stock)* | 49,530 | 38,228,244 | ||||||
eBay, Inc.* | 177,600 | 5,272,944 | ||||||
Facebook, Inc. (Class A Stock)* | 390,200 | 44,892,510 | ||||||
VeriSign, Inc.*(a) | 15,700 | 1,194,299 | ||||||
Yahoo!, Inc.* | 145,700 | 5,634,219 | ||||||
136,278,129 | ||||||||
IT Services — 3.6% |
| |||||||
Accenture PLC (Class A Stock) | 104,200 | 12,204,946 | ||||||
Alliance Data Systems Corp. | 9,900 | 2,262,150 | ||||||
Automatic Data Processing, Inc. | 76,000 | 7,811,280 | ||||||
Cognizant Technology Solutions Corp. (Class A Stock)* | 102,000 | 5,715,060 | ||||||
CSRA, Inc. | 22,600 | 719,584 | ||||||
Fidelity National Information Services, Inc. | 52,900 | 4,001,356 | ||||||
Fiserv, Inc.* | 36,900 | 3,921,732 | ||||||
Global Payments, Inc. | 23,700 | 1,645,017 | ||||||
International Business Machines Corp. | 144,925 | 24,056,100 | ||||||
Mastercard, Inc. (Class A Stock) | 159,800 | 16,499,350 | ||||||
Paychex, Inc.(a) | 53,850 | 3,278,388 | ||||||
PayPal Holdings, Inc.* | 184,600 | 7,286,162 | ||||||
Teradata Corp.*(a) | 23,000 | 624,910 | ||||||
Total System Services, Inc. | 28,293 | 1,387,206 |
SEE NOTES TO FINANCIAL STATEMENTS.
A169
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
IT Services (continued) |
| |||||||
Visa, Inc. (Class A Stock)(a) | 312,600 | $ | 24,389,052 | |||||
Western Union Co. (The)(a) | 81,104 | 1,761,579 | ||||||
Xerox Corp. | 146,011 | 1,274,676 | ||||||
118,838,548 | ||||||||
Leisure Products — 0.1% |
| |||||||
Hasbro, Inc. | 19,150 | 1,489,678 | ||||||
Mattel, Inc.(a) | 57,181 | 1,575,337 | ||||||
3,065,015 | ||||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
Agilent Technologies, Inc. | 54,782 | 2,495,868 | ||||||
Illumina, Inc.* | 24,000 | 3,072,960 | ||||||
Mettler-Toledo International, Inc.* | 4,150 | 1,737,024 | ||||||
PerkinElmer, Inc. | 18,600 | 969,990 | ||||||
Thermo Fisher Scientific, Inc. | 66,200 | 9,340,820 | ||||||
Waters Corp.* | 13,700 | 1,841,143 | ||||||
19,457,805 | ||||||||
Machinery — 1.4% |
| |||||||
Caterpillar, Inc.(a) | 97,200 | 9,014,328 | ||||||
Cummins, Inc. | 26,100 | 3,567,087 | ||||||
Deere & Co.(a) | 48,450 | 4,992,288 | ||||||
Dover Corp. | 26,400 | 1,978,152 | ||||||
Flowserve Corp.(a) | 21,800 | 1,047,490 | ||||||
Fortive Corp. | 50,000 | 2,681,500 | ||||||
Illinois Tool Works, Inc. | 53,675 | 6,573,041 | ||||||
Ingersoll-Rand PLC | 43,100 | 3,234,224 | ||||||
PACCAR, Inc. | 59,328 | 3,791,059 | ||||||
Parker-Hannifin Corp. | 22,787 | 3,190,180 | ||||||
Pentair PLC (United Kingdom) | 28,807 | 1,615,208 | ||||||
Snap-on, Inc. | 10,000 | 1,712,700 | ||||||
Stanley Black & Decker, Inc. | 25,135 | 2,882,733 | ||||||
Xylem, Inc. | 30,400 | 1,505,408 | ||||||
47,785,398 | ||||||||
Media — 3.0% |
| |||||||
CBS Corp. (Class B Non-Voting Stock) | 67,968 | 4,324,124 | ||||||
Charter Communications, Inc. (Class A Stock)* | 36,000 | 10,365,120 | ||||||
Comcast Corp. (Class A Stock) | 399,246 | 27,567,936 | ||||||
Discovery Communications, Inc. (Class A Stock)*(a) | 24,500 | 671,545 | ||||||
Discovery Communications, Inc. (Class C Stock)*(a) | 39,900 | 1,068,522 | ||||||
Interpublic Group of Cos., Inc. (The) | 67,762 | 1,586,308 | ||||||
News Corp. (Class A Stock) | 63,025 | 722,267 | ||||||
News Corp. (Class B Stock) | 18,100 | 213,580 | ||||||
Omnicom Group, Inc. | 40,100 | 3,412,911 | ||||||
Scripps Networks Interactive, Inc. (Class A Stock)(a) | 16,400 | 1,170,468 | ||||||
TEGNA, Inc. | 37,000 | 791,430 | ||||||
Time Warner, Inc. | 129,315 | 12,482,777 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 178,600 | 5,007,944 | ||||||
Twenty-First Century Fox, Inc. (Class B Stock) | 77,100 | 2,100,975 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media (continued) |
| |||||||
Viacom, Inc. (Class B Stock) | 57,843 | $ | 2,030,289 | |||||
Walt Disney Co. (The) | 245,276 | 25,562,665 | ||||||
99,078,861 | ||||||||
Metals & Mining — 0.3% |
| |||||||
Freeport-McMoRan, Inc.* | 209,812 | 2,767,421 | ||||||
Newmont Mining Corp. | 88,803 | 3,025,518 | ||||||
Nucor Corp. | 53,600 | 3,190,272 | ||||||
8,983,211 | ||||||||
Multi-Utilities — 1.0% |
| |||||||
Ameren Corp. | 40,900 | 2,145,614 | ||||||
CenterPoint Energy, Inc. | 70,910 | 1,747,222 | ||||||
CMS Energy Corp. | 46,600 | 1,939,492 | ||||||
Consolidated Edison, Inc.(a) | 49,200 | 3,625,056 | ||||||
Dominion Resources, Inc. | 102,684 | 7,864,568 | ||||||
DTE Energy Co. | 30,100 | 2,965,151 | ||||||
NiSource, Inc. | 52,900 | 1,171,206 | ||||||
Public Service Enterprise Group, Inc. | 84,900 | 3,725,412 | ||||||
SCANA Corp. | 24,300 | 1,780,704 | ||||||
Sempra Energy | 40,454 | 4,071,291 | ||||||
WEC Energy Group, Inc. | 52,976 | 3,107,042 | ||||||
34,142,758 | ||||||||
Multiline Retail — 0.5% |
| |||||||
Dollar General Corp. | 43,500 | 3,222,045 | ||||||
Dollar Tree, Inc.* | 39,447 | 3,044,519 | ||||||
Kohl’s Corp.(a) | 31,200 | 1,540,656 | ||||||
Macy’s, Inc. | 52,920 | 1,895,065 | ||||||
Nordstrom, Inc.(a) | 20,100 | 963,393 | ||||||
Target Corp.(a) | 96,168 | 6,946,215 | ||||||
17,611,893 | ||||||||
Oil, Gas & Consumable Fuels — 6.2% |
| |||||||
Anadarko Petroleum Corp. | 91,426 | 6,375,135 | ||||||
Apache Corp. | 63,350 | 4,020,825 | ||||||
Cabot Oil & Gas Corp. | 76,700 | 1,791,712 | ||||||
Chesapeake Energy Corp.* | 106,600 | 748,332 | ||||||
Chevron Corp. | 314,142 | 36,974,513 | ||||||
Cimarex Energy Co. | 16,000 | 2,174,400 | ||||||
Concho Resources, Inc.* | 23,200 | 3,076,320 | ||||||
ConocoPhillips | 207,029 | 10,380,434 | ||||||
Devon Energy Corp. | 84,600 | 3,863,682 | ||||||
EOG Resources, Inc. | 95,100 | 9,614,610 | ||||||
EQT Corp. | 28,400 | 1,857,360 | ||||||
Exxon Mobil Corp. | 691,404 | 62,406,125 | ||||||
Hess Corp.(a) | 43,875 | 2,732,974 | ||||||
Kinder Morgan, Inc. | 314,543 | 6,514,186 | ||||||
Marathon Oil Corp. | 134,694 | 2,331,553 | ||||||
Marathon Petroleum Corp. | 89,394 | 4,500,988 | ||||||
Murphy Oil Corp.(a) | 27,700 | 862,301 | ||||||
Newfield Exploration Co.* | 32,900 | 1,332,450 | ||||||
Noble Energy, Inc. | 71,400 | 2,717,484 | ||||||
Occidental Petroleum Corp. | 127,700 | 9,096,071 | ||||||
ONEOK, Inc.(a) | 35,340 | 2,028,869 | ||||||
Phillips 66 | 75,064 | 6,486,280 | ||||||
Pioneer Natural Resources Co. | 27,800 | 5,005,946 | ||||||
Range Resources Corp. | 27,300 | 938,028 |
SEE NOTES TO FINANCIAL STATEMENTS.
A170
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||
Southwestern Energy Co.* | 72,400 | $ | 783,368 | |||||
Spectra Energy Corp. | 114,442 | 4,702,422 | ||||||
Tesoro Corp. | 20,000 | 1,749,000 | ||||||
Valero Energy Corp. | 78,100 | 5,335,792 | ||||||
Williams Cos., Inc. (The) | 114,400 | 3,562,416 | ||||||
203,963,576 | ||||||||
Personal Products — 0.1% |
| |||||||
Coty, Inc. (Class A Stock) | 72,800 | 1,332,968 | ||||||
Estee Lauder Cos., Inc. (The) (Class A Stock) | 37,400 | 2,860,726 | ||||||
4,193,694 | ||||||||
Pharmaceuticals — 5.0% |
| |||||||
Allergan PLC*(a) | 62,906 | 13,210,889 | ||||||
Bristol-Myers Squibb Co. | 278,540 | 16,277,877 | ||||||
Eli Lilly & Co. | 163,000 | 11,988,650 | ||||||
Endo International PLC* | 34,900 | 574,803 | ||||||
Johnson & Johnson | 455,796 | 52,512,257 | ||||||
Mallinckrodt PLC* | 19,200 | 956,544 | ||||||
Merck & Co., Inc. | 462,103 | 27,204,004 | ||||||
Mylan NV* | 73,200 | 2,792,580 | ||||||
Perrigo Co. PLC(a) | 24,300 | 2,022,489 | ||||||
Pfizer, Inc. | 1,011,423 | 32,851,019 | ||||||
Zoetis, Inc. | 82,900 | 4,437,637 | ||||||
164,828,749 | ||||||||
Professional Services — 0.3% |
| |||||||
Dun & Bradstreet Corp. (The) | 6,200 | 752,184 | ||||||
Equifax, Inc. | 20,200 | 2,388,246 | ||||||
Nielsen Holdings PLC | 57,100 | 2,395,345 | ||||||
Robert Half International, Inc. | 22,000 | 1,073,160 | ||||||
Verisk Analytics, Inc.* | 25,100 | 2,037,367 | ||||||
8,646,302 | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 48,800 | 1,536,712 | ||||||
Road & Rail — 0.9% |
| |||||||
CSX Corp. | 159,672 | 5,737,015 | ||||||
J.B. Hunt Transport Services, Inc. | 14,900 | 1,446,343 | ||||||
Kansas City Southern | 18,500 | 1,569,725 | ||||||
Norfolk Southern Corp. | 49,200 | 5,317,044 | ||||||
Ryder System, Inc. | 9,100 | 677,404 | ||||||
Union Pacific Corp. | 138,600 | 14,370,048 | ||||||
29,117,579 | ||||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
Analog Devices, Inc. | 51,500 | 3,739,930 | ||||||
Applied Materials, Inc. | 182,900 | 5,902,183 | ||||||
Broadcom Ltd. (Singapore) | 65,860 | 11,642,072 | ||||||
First Solar, Inc.*(a) | 13,200 | 423,588 | ||||||
Intel Corp. | 790,200 | 28,660,554 | ||||||
KLA-Tencor Corp. | 26,300 | 2,069,284 | ||||||
Lam Research Corp.(a) | 26,750 | 2,828,277 | ||||||
Linear Technology Corp. | 40,600 | 2,531,410 | ||||||
Microchip Technology, Inc.(a) | 34,300 | 2,200,345 | ||||||
Micron Technology, Inc.* | 169,300 | 3,711,056 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
NVIDIA Corp.(a) | 88,850 | $ | 9,483,849 | |||||
Qorvo, Inc.*(a) | 21,886 | 1,154,049 | ||||||
QUALCOMM, Inc. | 245,350 | 15,996,820 | ||||||
Skyworks Solutions, Inc. | 32,000 | 2,389,120 | ||||||
Texas Instruments, Inc. | 168,600 | 12,302,742 | ||||||
Xilinx, Inc. | 42,300 | 2,553,651 | ||||||
107,588,930 | ||||||||
Software — 4.2% |
| |||||||
Activision Blizzard, Inc. | 110,900 | 4,004,599 | ||||||
Adobe Systems, Inc.* | 83,675 | 8,614,341 | ||||||
Autodesk, Inc.* | 33,400 | 2,471,934 | ||||||
CA, Inc. | 49,273 | 1,565,403 | ||||||
Citrix Systems, Inc.* | 26,300 | 2,348,853 | ||||||
Electronic Arts, Inc.* | 50,300 | 3,961,628 | ||||||
Intuit, Inc. | 41,600 | 4,767,776 | ||||||
Microsoft Corp. | 1,299,100 | 80,726,074 | ||||||
Oracle Corp. | 503,295 | 19,351,693 | ||||||
Red Hat, Inc.* | 30,900 | 2,153,730 | ||||||
salesforce.com, Inc.* | 105,300 | 7,208,838 | ||||||
Symantec Corp. | 103,711 | 2,477,656 | ||||||
139,652,525 | ||||||||
Specialty Retail — 2.4% |
| |||||||
Advance Auto Parts, Inc.(a) | 12,400 | 2,097,088 | ||||||
AutoNation, Inc.* | 12,589 | 612,455 | ||||||
AutoZone, Inc.* | 4,940 | 3,901,563 | ||||||
Bed Bath & Beyond, Inc.(a) | 25,800 | 1,048,512 | ||||||
Best Buy Co., Inc.(a) | 47,225 | 2,015,091 | ||||||
CarMax, Inc.*(a) | 32,800 | 2,111,992 | ||||||
Foot Locker, Inc. | 21,100 | 1,495,779 | ||||||
Gap, Inc. (The)(a) | 37,187 | 834,476 | ||||||
Home Depot, Inc. (The) | 204,069 | 27,361,571 | ||||||
L. Brands, Inc. | 40,196 | 2,646,505 | ||||||
Lowe’s Cos., Inc. | 146,325 | 10,406,634 | ||||||
O’Reilly Automotive, Inc.*(a) | 16,100 | 4,482,401 | ||||||
Ross Stores, Inc. | 67,400 | 4,421,440 | ||||||
Signet Jewelers Ltd.(a) | 12,100 | 1,140,546 | ||||||
Staples, Inc. | 105,000 | 950,250 | ||||||
Tiffany & Co. | 17,900 | 1,385,997 | ||||||
TJX Cos., Inc. (The) | 110,400 | 8,294,352 | ||||||
Tractor Supply Co. | 22,700 | 1,720,887 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 9,800 | 2,498,412 | ||||||
Urban Outfitters, Inc.* | 15,600 | 444,288 | ||||||
79,870,239 | ||||||||
Technology Hardware, Storage & Peripherals — 3.7% |
| |||||||
Apple, Inc. | 891,605 | 103,265,691 | ||||||
Hewlett Packard Enterprise Co. | 278,466 | 6,443,703 | ||||||
HP, Inc. | 289,966 | 4,303,095 | ||||||
NetApp, Inc. | 49,000 | 1,728,230 | ||||||
Seagate Technology PLC(a) | 50,400 | 1,923,768 | ||||||
Western Digital Corp. | 46,968 | 3,191,476 | ||||||
120,855,963 | ||||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Coach, Inc. | 46,800 | 1,638,936 | ||||||
Hanesbrands, Inc. | 62,700 | 1,352,439 |
SEE NOTES TO FINANCIAL STATEMENTS.
A171
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Textiles, Apparel & Luxury Goods (continued) |
| |||||||
Michael Kors Holdings Ltd.* | 29,500 | $ | 1,267,910 | |||||
NIKE, Inc. (Class B Stock) | 222,800 | 11,324,924 | ||||||
PVH Corp. | 13,900 | 1,254,336 | ||||||
Ralph Lauren Corp.(a) | 9,800 | 885,136 | ||||||
Under Armour, Inc. (Class A Stock)*(a) | 28,800 | 836,640 | ||||||
Under Armour, Inc. (Class C Stock)*(a) | 29,003 | 730,006 | ||||||
VF Corp. | 55,744 | 2,973,942 | ||||||
22,264,269 | ||||||||
Tobacco — 1.6% |
| |||||||
Altria Group, Inc. | 325,500 | 22,010,310 | ||||||
Philip Morris International, Inc. | 258,600 | 23,659,314 | ||||||
Reynolds American, Inc. | 138,984 | 7,788,663 | ||||||
53,458,287 | ||||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co. | 48,600 | 2,283,228 | ||||||
United Rentals, Inc.* | 15,100 | 1,594,258 | ||||||
W.W. Grainger, Inc.(a) | 9,400 | 2,183,150 | ||||||
6,060,636 | ||||||||
Water Utilities — 0.1% |
| |||||||
American Water Works Co., Inc. | 28,900 | 2,091,204 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 3,218,233,634 | ||||||
SHORT-TERM INVESTMENTS — 7.4% | ||||||||
Shares | Value (Note 2) | |||||||
AFFILIATED MUTUAL FUNDS — 7.3% |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(b) | 79,402,987 | $ | 79,402,987 | |||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 161,271,929 | 161,304,184 | ||||||
TOTAL AFFILIATED MUTUAL FUNDS |
| 240,707,171 | ||||||
Principal Amount (000)# | ||||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills, | 4,000 | 3,996,000 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 244,703,171 | ||||||
TOTAL INVESTMENTS — 104.8% |
| 3,462,936,805 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS(f) — (4.8)% |
| (157,811,531 | ) | |||||
NET ASSETS — 100.0% |
| $ | 3,305,125,274 | |||||
See | the Glossary for abbreviations used in the annual report. |
# | Principal amount shown in U.S. dollars unless otherwise stated. |
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $157,096,727; cash collateral of $161,168,710 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(c) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(d) | Rate quoted represents yield-to-maturity as of purchase date. |
(e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(f) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2016:
Number of Contracts | Type | Expiration Date | Value at Trade Date | Value at December 31, 2016 | Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Positions: | ||||||||||||||||||||
40 | S&P 500 E-Mini | Mar. 2017 | $ | 4,536,910 | $ | 4,472,400 | $ | (64,510 | ) | |||||||||||
148 | S&P 500 Index | Mar. 2017 | 83,470,440 | 82,739,400 | (731,040 | ) | ||||||||||||||
$ | (795,550 | ) | ||||||||||||||||||
A U.S. Treasury Obligation with a market value of $3,996,000 has been segregated with UBS AG to cover requirements for open future contracts at December 31, 2016.
SEE NOTES TO FINANCIAL STATEMENTS.
A172
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 71,831,123 | $ | — | $ | — | ||||||
Air Freight & Logistics | 24,301,526 | — | — | |||||||||
Airlines | 20,897,023 | — | — | |||||||||
Auto Components | 5,804,478 | — | — | |||||||||
Automobiles | 17,842,519 | — | — | |||||||||
Banks | 217,645,904 | — | — | |||||||||
Beverages | 66,722,916 | — | — | |||||||||
Biotechnology | 88,848,940 | — | — | |||||||||
Building Products | 10,554,284 | — | — | |||||||||
Capital Markets | 92,069,121 | — | — | |||||||||
Chemicals | 66,791,519 | — | — | |||||||||
Commercial Services & Supplies | 10,430,821 | — | — | |||||||||
Communications Equipment | 33,131,447 | — | — | |||||||||
Construction & Engineering | 3,349,094 | — | — | |||||||||
Construction Materials | 5,195,884 | — | — | |||||||||
Consumer Finance | 27,496,426 | — | — | |||||||||
Containers & Packaging | 10,458,951 | — | — | |||||||||
Distributors | 3,901,934 | — | — | |||||||||
Diversified Consumer Services | 862,125 | — | — | |||||||||
Diversified Financial Services | 52,866,593 | — | — | |||||||||
Diversified Telecommunication Services | 85,490,579 | — | — | |||||||||
Electric Utilities | 63,163,995 | — | — | |||||||||
Electrical Equipment | 17,666,840 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 12,366,877 | — | — | |||||||||
Energy Equipment & Services | 37,841,327 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 90,314,841 | — | — | |||||||||
Food & Staples Retailing | 67,048,910 | — | — | |||||||||
Food Products | 52,316,547 | — | — | |||||||||
Health Care Equipment & Supplies | 78,586,368 | — | — | |||||||||
Health Care Providers & Services | 85,390,116 | — | — | |||||||||
Health Care Technology | 2,425,344 | — | — | |||||||||
Hotels, Restaurants & Leisure | 50,570,790 | — | — | |||||||||
Household Durables | 15,034,928 | — | — | |||||||||
Household Products | 58,684,701 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 1,911,786 | — | — | |||||||||
Industrial Conglomerates | 82,624,314 | — | — | |||||||||
Insurance | 82,967,123 | — | — | |||||||||
Internet & Direct Marketing Retail | 73,455,337 | — | — | |||||||||
Internet Software & Services | 136,278,129 | — | — | |||||||||
IT Services | 118,838,548 | — | — | |||||||||
Leisure Products | 3,065,015 | — | — | |||||||||
Life Sciences Tools & Services | 19,457,805 | — | — | |||||||||
Machinery | 47,785,398 | — | — | |||||||||
Media | 99,078,861 | — | — | |||||||||
Metals & Mining | 8,983,211 | — | — | |||||||||
Multi-Utilities | 34,142,758 | — | — | |||||||||
Multiline Retail | 17,611,893 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 203,963,576 | — | — | |||||||||
Personal Products | 4,193,694 | — | — | |||||||||
Pharmaceuticals | 164,828,749 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A173
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Professional Services | $ | 8,646,302 | $ | — | $ | — | ||||||
Real Estate Management & Development | 1,536,712 | — | — | |||||||||
Road & Rail | 29,117,579 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 107,588,930 | — | — | |||||||||
Software | 139,652,525 | — | — | |||||||||
Specialty Retail | 79,870,239 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 120,855,963 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 22,264,269 | — | — | |||||||||
Tobacco | 53,458,287 | — | — | |||||||||
Trading Companies & Distributors | 6,060,636 | — | — | |||||||||
Water Utilities | 2,091,204 | — | — | |||||||||
Affiliated Mutual Funds | 240,707,171 | — | — | |||||||||
U.S. Treasury Obligation | — | 3,996,000 | — | |||||||||
Other Financial Instruments* | ||||||||||||
Futures Contracts | (795,550 | ) | — | — | ||||||||
Total | $ | 3,458,145,255 | $ | 3,996,000 | $ | — | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Affiliated Mutual Funds (including 4.9% of collateral for securities on loan) | 7.3 | % | ||
Banks | 6.6 | |||
Oil, Gas & Consumable Fuels | 6.2 | |||
Pharmaceuticals | 5.0 | |||
Software | 4.2 | |||
Internet Software & Services | 4.1 | |||
Technology Hardware, Storage & Peripherals | 3.7 | |||
IT Services | 3.6 | |||
Semiconductors & Semiconductor Equipment | 3.3 | |||
Media | 3.0 | |||
Capital Markets | 2.8 | |||
Equity Real Estate Investment Trusts (REITs) | 2.7 | |||
Biotechnology | 2.7 | |||
Diversified Telecommunication Services | 2.6 | |||
Health Care Providers & Services | 2.6 | |||
Insurance | 2.5 | |||
Industrial Conglomerates | 2.5 | |||
Specialty Retail | 2.4 | |||
Health Care Equipment & Supplies | 2.4 | |||
Internet & Direct Marketing Retail | 2.2 | |||
Aerospace & Defense | 2.2 | |||
Food & Staples Retailing | 2.0 | |||
Chemicals | 2.0 | |||
Beverages | 2.0 | |||
Electric Utilities | 1.9 | |||
Household Products | 1.8 | |||
Tobacco | 1.6 | |||
Diversified Financial Services | 1.6 | |||
Food Products | 1.6 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Machinery | 1.4 | |||
Energy Equipment & Services | 1.1 | |||
Multi-Utilities | 1.0 |
Communications Equipment | 1.0 | % | ||
Road & Rail | 0.9 | |||
Consumer Finance | 0.8 | |||
Air Freight & Logistics | 0.7 | |||
Textiles, Apparel & Luxury Goods | 0.7 | |||
Airlines | 0.6 | |||
Life Sciences Tools & Services | 0.6 | |||
Automobiles | 0.5 | |||
Electrical Equipment | 0.5 | |||
Multiline Retail | 0.5 | |||
Household Durables | 0.5 | |||
Electronic Equipment, Instruments & Components | 0.4 | |||
Building Products | 0.3 | |||
Containers & Packaging | 0.3 | |||
Commercial Services & Supplies | 0.3 | |||
Metals & Mining | 0.3 | |||
Professional Services | 0.3 | |||
Trading Companies & Distributors | 0.2 | |||
Auto Components | 0.2 | |||
Construction Materials | 0.2 | |||
Personal Products | 0.1 | |||
U.S. Treasury Obligation | 0.1 | |||
Distributors | 0.1 | |||
Construction & Engineering | 0.1 | |||
Leisure Products | 0.1 | |||
Health Care Technology | 0.1 | |||
Water Utilities | 0.1 | |||
Independent Power & Renewable Electricity Producers | 0.1 | |||
Real Estate Management & Development | 0.1 | |||
104.8 | ||||
Liabilities in excess of other assets | (4.8 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A174
STOCK INDEX PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2016 as presented in the Statement of Assets and Liabilities:
Derivatives not accounted for as hedging | Asset��Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Fair Value | Balance Sheet Location | Fair Value | |||||||||
Equity contracts | $ | — | Due from/to broker — variation margin futures | $ | 795,550 | * | ||||||
* | Includes cumulative appreciation (depreciation) as reported in schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2016 are as follows:
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | 12,284,561 | ||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||
Derivatives not accounted for as hedging instruments, carried at fair value | Futures | |||
Equity contracts | $ | (1,191,963 | ) | |
For the year ended December 31, 2016, the Portfolio’s average value at trade date for futures long positions was $90,251,210.
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 157,096,727 | $ | (157,096,727 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A175
STOCK INDEX PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $157,096,727: | ||||
Unaffiliated investments (cost $1,123,673,539) | $ | 3,222,229,634 | ||
Affiliated investments (cost $240,677,631) | 240,707,171 | |||
Dividends and interest receivable | 4,175,404 | |||
Receivable for investments sold | 1,621,489 | |||
Receivable for Series shares sold | 75,653 | |||
Tax reclaim receivable | 494 | |||
Prepaid expenses | 24,314 | |||
Total Assets | 3,468,834,159 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 161,168,710 | |||
Payable for Series shares repurchased | 1,003,204 | |||
Management fee payable | 843,309 | |||
Due to broker—variation margin futures | 347,100 | |||
Accrued expenses and other liabilities | 202,730 | |||
Payable for investments purchased | 142,852 | |||
Affiliated transfer agent fee payable | 980 | |||
Total Liabilities | 163,708,885 | |||
NET ASSETS | $ | 3,305,125,274 | ||
Net assets were comprised of: |
| |||
Paid-in capital | $ | 1,127,461,833 | ||
Retained earnings | 2,177,663,441 | |||
Net assets, December 31, 2016 | $ | 3,305,125,274 | ||
Net asset value and redemption price per share | $ | 50.70 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
Income | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $1,872) | $ | 66,397,111 | ||
Income from securities lending, net (including affiliated income of $505,664) | 564,159 | |||
Affiliated dividend income | 502,761 | |||
Interest income | 14,714 | |||
Total income | 67,478,745 | |||
EXPENSES | ||||
Management fee | 10,114,576 | |||
Custodian and accounting fees (net of $18,400 fee credit) | 288,000 | |||
Shareholders’ reports | 107,000 | |||
Insurance expenses | 41,000 | |||
Trustees’ fees | 37,000 | |||
Audit fee | 30,000 | |||
Legal fees and expenses | 14,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Miscellaneous | 13,533 | |||
Total expenses | 10,657,109 | |||
Less: Management fee waiver | (748,698 | ) | ||
Net expenses | 9,908,411 | |||
NET INVESTMENT INCOME (LOSS) | 57,570,334 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
Net realized gain (loss) on: |
| |||
Investment transactions (including affiliated of $2,236) | 59,761,702 | |||
Futures transactions | 12,284,561 | |||
72,046,263 | ||||
Net change in unrealized appreciation (depreciation) on: |
| |||
Investments (including affiliated of $29,540) | 230,179,800 | |||
Futures | (1,191,963 | ) | ||
228,987,837 | ||||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 301,034,100 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 358,604,434 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 57,570,334 | $ | 57,514,806 | ||||
Net realized gain (loss) on investment transactions | 72,046,263 | 152,884,259 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 228,987,837 | (187,558,369 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 358,604,434 | 22,840,696 | ||||||
DISTRIBUTIONS | (210,338,581 | ) | (93,414,310 | ) | ||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [2,976,732 and 4,544,250 shares, respectively] | 136,335,898 | 225,562,519 | ||||||
Series shares issued in reinvestment of distributions [4,481,009 and 1,896,737 shares, respectively] | 210,338,581 | 93,414,310 | ||||||
Series shares repurchased [4,217,650 and 11,644,330 shares, respectively] | (204,352,773 | ) | (550,998,022 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | 142,321,706 | (232,021,193 | ) | |||||
CAPITAL CONTRIBUTIONS (Note 4) | 4,458,724 | — | ||||||
TOTAL INCREASE (DECREASE) | 295,046,283 | (302,594,807 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 3,010,078,991 | 3,312,673,798 | ||||||
End of year | $ | 3,305,125,274 | $ | 3,010,078,991 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A176
VALUE PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS 97.9% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 3.1% | ||||||||
Boeing Co. (The) | 129,639 | $ | 20,182,199 | |||||
United Technologies Corp. | 201,361 | 22,073,193 | ||||||
42,255,392 | ||||||||
Banks — 15.5% | ||||||||
Bank of America Corp. | 1,872,470 | 41,381,587 | ||||||
BB&T Corp. | 510,224 | 23,990,732 | ||||||
Citigroup, Inc. | 583,930 | 34,702,960 | ||||||
JPMorgan Chase & Co. | 740,087 | 63,862,107 | ||||||
PNC Financial Services Group, Inc. (The) | 230,685 | 26,980,918 | ||||||
Wells Fargo & Co. | 429,728 | 23,682,310 | ||||||
214,600,614 | ||||||||
Biotechnology — 1.4% | ||||||||
Shire PLC, ADR | 111,760 | 19,041,669 | ||||||
Capital Markets — 2.7% | ||||||||
Goldman Sachs Group, Inc. (The) | 156,370 | 37,442,797 | ||||||
Chemicals — 2.6% | ||||||||
Dow Chemical Co. (The) | 307,363 | 17,587,311 | ||||||
FMC Corp.(a) | 319,151 | 18,051,180 | ||||||
35,638,491 | ||||||||
Communications Equipment — 1.5% |
| |||||||
Brocade Communications Systems, Inc. | 1,674,560 | 20,915,254 | ||||||
Consumer Finance — 3.8% | ||||||||
Capital One Financial Corp. | 301,782 | 26,327,462 | ||||||
SLM Corp.* | 2,435,678 | 26,841,171 | ||||||
53,168,633 | ||||||||
Diversified Financial Services — 1.0% |
| |||||||
Voya Financial, Inc. | 353,887 | 13,879,448 | ||||||
Electric Utilities — 3.3% | ||||||||
Exelon Corp. | 289,587 | 10,277,443 | ||||||
PG&E Corp. | 590,418 | 35,879,702 | ||||||
46,157,145 | ||||||||
Electrical Equipment — 1.3% | ||||||||
Eaton Corp. PLC | 264,951 | 17,775,563 | ||||||
Electronic Equipment, Instruments & Components — 1.5% |
| |||||||
Flex Ltd.* | 1,414,309 | 20,323,620 | ||||||
Energy Equipment & Services — 2.1% |
| |||||||
Halliburton Co.(a) | 537,231 | 29,058,825 | ||||||
Equity Real Estate Investment Trusts (REITs) — 1.2% |
| |||||||
American Tower Corp. | 156,012 | 16,487,348 | ||||||
Food & Staples Retailing — 1.4% | ||||||||
Wal-Mart Stores, Inc. | 272,125 | 18,809,280 | ||||||
Food Products — 3.2% | ||||||||
Conagra Brands, Inc. | 584,369 | 23,111,794 | ||||||
Mondelez International, Inc. (Class A Stock) | 477,362 | 21,161,457 | ||||||
44,273,251 | ||||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
Zimmer Biomet Holdings, Inc. | 165,796 | 17,110,147 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services — 2.9% |
| |||||||
Cigna Corp. | 153,466 | $ | 20,470,830 | |||||
Laboratory Corp. of America Holdings* | 148,159 | 19,020,652 | ||||||
39,491,482 | ||||||||
Hotels, Restaurants & Leisure — 3.6% |
| |||||||
Carnival Corp.(a) | 329,803 | 17,169,544 | ||||||
Hyatt Hotels Corp. (Class A Stock)* | 357,063 | 19,731,302 | ||||||
McDonald’s Corp. | 108,174 | 13,166,939 | ||||||
50,067,785 | ||||||||
Household Products — 2.3% |
| |||||||
Procter & Gamble Co. (The) | 371,795 | 31,260,524 | ||||||
Industrial Conglomerates — 2.1% |
| |||||||
General Electric Co. | 938,502 | 29,656,663 | ||||||
Insurance — 3.4% |
| |||||||
Chubb Ltd. | 200,066 | 26,432,720 | ||||||
MetLife, Inc. | 394,514 | 21,260,359 | ||||||
47,693,079 | ||||||||
Internet Software & Services — 3.3% |
| |||||||
Alphabet, Inc. (Class A Stock)* | 35,480 | 28,116,126 | ||||||
eBay, Inc.* | 570,631 | 16,942,034 | ||||||
45,058,160 | ||||||||
Media — 4.0% |
| |||||||
Comcast Corp. (Class A Stock) | 400,077 | 27,625,317 | ||||||
Liberty Global PLC (United Kingdom) (Series C)* | 217,568 | 6,461,770 | ||||||
Twenty-First Century Fox, Inc. (Class A Stock) | 354,395 | 9,937,236 | ||||||
Viacom, Inc. (Class B Stock) | 318,995 | 11,196,724 | ||||||
55,221,047 | ||||||||
Oil, Gas & Consumable Fuels — 11.0% |
| |||||||
Anadarko Petroleum Corp. | 284,081 | 19,808,968 | ||||||
Chevron Corp. | 273,236 | 32,159,877 | ||||||
Hess Corp.(a) | 259,537 | 16,166,560 | ||||||
Noble Energy, Inc.(a) | 392,352 | 14,932,917 | ||||||
Occidental Petroleum Corp. | 297,613 | 21,198,974 | ||||||
Royal Dutch Shell PLC (Netherlands) (Class A Stock), ADR | 476,670 | 25,921,315 | ||||||
Suncor Energy, Inc. (Canada) | 659,542 | 21,560,428 | ||||||
151,749,039 | ||||||||
Pharmaceuticals — 6.3% |
| |||||||
Allergan PLC*(a) | 86,141 | 18,090,471 | ||||||
Eli Lilly & Co. | 146,838 | 10,799,935 | ||||||
Merck & Co., Inc. | 504,010 | 29,671,069 | ||||||
Pfizer, Inc. | 889,466 | 28,889,856 | ||||||
87,451,331 | ||||||||
Road & Rail — 2.3% |
| |||||||
Ryder System, Inc. | 162,588 | 12,103,051 | ||||||
Union Pacific Corp. | 195,950 | 20,316,096 | ||||||
32,419,147 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A177
VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Semiconductors & Semiconductor Equipment — 2.6% |
| |||||||
QUALCOMM, Inc. | �� | 239,274 | $ | 15,600,665 | ||||
Texas Instruments, Inc. | 273,571 | 19,962,476 | ||||||
35,563,141 | ||||||||
Software — 3.5% |
| |||||||
Microsoft Corp. | 442,885 | 27,520,874 | ||||||
PTC, Inc.* | 444,887 | 20,584,921 | ||||||
48,105,795 | ||||||||
Technology Hardware, Storage & Peripherals — 1.3% |
| |||||||
Apple, Inc. | 157,435 | 18,234,122 | ||||||
Textiles, Apparel & Luxury Goods — 1.4% |
| |||||||
Coach, Inc. | 538,330 | 18,852,317 | ||||||
Wireless Telecommunication Services — 1.1% |
| |||||||
Vodafone Group PLC (United Kingdom), ADR | 612,511 | 14,963,643 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 1,352,724,752 | ||||||
SHORT-TERM INVESTMENTS — 5.8% | ||||||||
Shares | Value (Note 2) | |||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(b) | 26,883,455 | $ | 26,883,455 | |||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund | 52,935,007 | 52,945,594 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 79,829,049 | ||||||
TOTAL INVESTMENTS — 103.7% |
| 1,432,553,801 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.7)% |
| (50,451,699 | ) | |||||
NET ASSETS — 100.0% |
| $ | 1,382,102,102 | |||||
See the Glossary for abbreviations used in the annual report.
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $51,858,527; cash collateral of $52,896,217 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestments. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 42,255,392 | $ | — | $ | — | ||||||
Banks | 214,600,614 | — | — | |||||||||
Biotechnology | 19,041,669 | — | — | |||||||||
Capital Markets | 37,442,797 | — | — | |||||||||
Chemicals | 35,638,491 | — | — | |||||||||
Communications Equipment | 20,915,254 | — | — | |||||||||
Consumer Finance | 53,168,633 | — | — | |||||||||
Diversified Financial Services | 13,879,448 | — | — | |||||||||
Electric Utilities | 46,157,145 | — | — | |||||||||
Electrical Equipment | 17,775,563 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 20,323,620 | — | — | |||||||||
Energy Equipment & Services | 29,058,825 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 16,487,348 | — | — | |||||||||
Food & Staples Retailing | 18,809,280 | — | — | |||||||||
Food Products | 44,273,251 | — | — | |||||||||
Health Care Equipment & Supplies | 17,110,147 | — | — | |||||||||
Health Care Providers & Services | 39,491,482 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A178
VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Hotels, Restaurants & Leisure | $ | 50,067,785 | $ | — | $ | — | ||||||
Household Products | 31,260,524 | — | — | |||||||||
Industrial Conglomerates | 29,656,663 | — | — | |||||||||
Insurance | 47,693,079 | — | — | |||||||||
Internet Software & Services | 45,058,160 | — | — | |||||||||
Media | 55,221,047 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 151,749,039 | — | — | |||||||||
Pharmaceuticals | 87,451,331 | — | — | |||||||||
Road & Rail | 32,419,147 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 35,563,141 | — | — | |||||||||
Software | 48,105,795 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 18,234,122 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 18,852,317 | — | — | |||||||||
Wireless Telecommunication Services | 14,963,643 | — | — | |||||||||
Affiliated Mutual Funds | 79,829,049 | — | — | |||||||||
Total | $ | 1,432,553,801 | $ | — | $ | — | ||||||
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Banks | 15.5 | % | ||
Oil, Gas & Consumable Fuels | 11.0 | |||
Pharmaceuticals | 6.3 | |||
Affiliated Mutual Funds (including 3.8% of collateral for securities on loan) | 5.8 | |||
Media | 4.0 | |||
Consumer Finance | 3.8 | |||
Hotels, Restaurants & Leisure | 3.6 | |||
Software | 3.5 | |||
Insurance | 3.4 | |||
Electric Utilities | 3.3 | |||
Internet Software & Services | 3.3 | |||
Food Products | 3.2 | |||
Aerospace & Defense | 3.1 | |||
Health Care Providers & Services | 2.9 | |||
Capital Markets | 2.7 | |||
Chemicals | 2.6 | |||
Semiconductors & Semiconductor Equipment | 2.6 | |||
Road & Rail | 2.3 |
Household Products | 2.3 | % | ||
Industrial Conglomerates | 2.1 | |||
Energy Equipment & Services | 2.1 | |||
Communications Equipment | 1.5 | |||
Electronic Equipment, Instruments & Components | 1.5 | |||
Biotechnology | 1.4 | |||
Textiles, Apparel & Luxury Goods | 1.4 | |||
Food & Staples Retailing | 1.4 | |||
Technology Hardware, Storage & Peripherals | 1.3 | |||
Electrical Equipment | 1.3 | |||
Health Care Equipment & Supplies | 1.2 | |||
Equity Real Estate Investment Trusts (REITs) | 1.2 | |||
Wireless Telecommunication Services | 1.1 | |||
Diversified Financial Services | 1.0 | |||
103.7 | ||||
Liabilities in excess of other assets | (3.7 | ) | ||
100.0 | % | |||
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 51,858,527 | $ | (51,858,527 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A179
VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $51,858,527: | ||||
Unaffiliated investments (cost $999,692,202) | $ | 1,352,724,752 | ||
Affiliated investments (cost $79,822,007) | 79,829,049 | |||
Dividends receivable | 2,430,335 | |||
Tax reclaim receivable | 981,293 | |||
Receivable for Series shares sold | 2,754 | |||
Prepaid expenses | 9,903 | |||
Total Assets | 1,435,978,086 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 52,896,217 | |||
Management fee payable | 469,888 | |||
Payable for Series shares repurchased | 376,661 | |||
Accrued expenses and other liabilities | 112,670 | |||
Payable for investments purchased | 16,753 | |||
Distribution fee payable | 1,500 | |||
Affiliated transfer agent fee payable | 980 | |||
Administration fee payable | 900 | |||
Deferred trustees’ fees | 415 | |||
Total Liabilities | 53,875,984 | |||
NET ASSETS | $ | 1,382,102,102 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 794,909,046 | ||
Retained earnings | 587,193,056 | |||
Net assets, December 31, 2016 | $ | 1,382,102,102 | ||
Class I: | ||||
Net asset value and redemption price per share $1,375,106,947 / 50,787,622 outstanding shares of beneficial interest | $ | 27.08 | ||
Class II: | ||||
Net asset value and redemption price per share $6,995,155 / 260,665 outstanding shares of beneficial interest | $ | 26.84 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
Income | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $662,536) | $ | 29,679,655 | ||
Income from securities lending, net (including affiliated income of $291,543) | 328,621 | |||
Affiliated dividend income | 182,795 | |||
Total income | 30,191,071 | |||
EXPENSES | ||||
Management fee | 5,191,039 | |||
Distribution fee—Class II | 19,915 | |||
Administration fee—Class II | 11,949 | |||
Custodian and accounting fees (net of $8,900 fee credit) | 123,000 | |||
Shareholders’ reports | 90,000 | |||
Audit fee | 28,000 | |||
Trustees’ fees | 21,000 | |||
Insurance expenses | 18,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Legal fees and expenses | 11,000 | |||
Miscellaneous | 17,560 | |||
Total expenses | 5,543,463 | |||
NET INVESTMENT INCOME (LOSS) | 24,647,608 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $7,106) | 9,474,701 | |||
Foreign currency transactions | 12,012 | |||
9,486,713 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $7,042) | 105,539,342 | |||
Foreign currencies | 5,171 | |||
105,544,513 | ||||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 115,031,226 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 139,678,834 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
Operations | ||||||||
Net investment income (loss) | $ | 24,647,608 | $ | 22,756,824 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 9,486,713 | 68,507,339 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 105,544,513 | (215,764,228 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 139,678,834 | (124,500,065 | ) | |||||
SERIES SHARE TRANSACTIONS (NOTE 7) | ||||||||
Series shares sold | 7,431,635 | 6,503,823 | ||||||
Series shares repurchased | (131,189,476 | ) | (120,385,548 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (123,757,841 | ) | (113,881,725 | ) | ||||
CAPITAL CONTRIBUTIONS (NOTE 4) | 1,379,448 | — | ||||||
TOTAL INCREASE (DECREASE) | 17,300,441 | (238,381,790 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,364,801,661 | 1,603,183,451 | ||||||
End of year | $ | 1,382,102,102 | $ | 1,364,801,661 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A180
GLOSSARY | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The following abbreviations are used in the preceding Portfolios’ descriptions:
Currency
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PLN | Polish Zloty | |
SEK | Swedish Krona | |
ZAR | South African Rand |
Index
CDX | Credit Derivative Index |
Other
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
RegS | Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
ABS | Asset-Backed Security | |
Aces | Alternative Credit Enhancements Securities | |
ADR | American Depositary Receipt | |
BABs | Build America Bonds | |
BBSW | Australian Bank Bill Swap Reference Rate | |
bps | Basis Points | |
CAS | Connecticut Avenue Securities | |
CDO | Collateralized Debt Obligation | |
CLO | Collateralized Loan Obligation | |
CMBS | Collateralized Mortgage-Backed Security | |
CVA | Certificate Van Aandelen (Bearer) | |
EAFE | Europe, Australasia and Far East | |
ETF | Exchange Traded Fund | |
EMTN | Euro Medium Term Note | |
EONIA | Euro Overnight Index Average | |
EURIBOR | Euro Interbank Offered Rate | |
EUROIS | Euro Overnight Index Swap | |
FHLMC | Federal Home Loan Mortgage Corp. | |
GMTN | Global Medium Term Note | |
GO | General Obligation | |
IO | Interest Only (Principal amount represents notional) | |
LIBOR | London Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
MTN | Medium Term Note | |
NIBOR | Norwegian Interbank Offered Rate | |
OTC | Over-the-counter | |
PIK | Payment-in-Kind | |
PO | Principal Only | |
PRFC | Preference Shares | |
REIT | Real Estate Investment Trust | |
REMICS | Real Estate Mortgage Investment Conduit Security | |
RSP | Risparimo (Savings Shares) | |
STACR | Structured Agency Credit Risk |
SEE NOTES TO FINANCIAL STATEMENTS.
A181
GLOSSARY (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
STRIPS | Separate Trading of Registered Interest and Principle of Securities | |
TBA | To Be Announced | |
TIPS | Treasury Inflation-Protected Securities | |
USAID | United States Agency for International Development | |
USOIS | United States Overnight Index Swap |
SEE NOTES TO FINANCIAL STATEMENTS.
A182
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the thirteen Portfolios which are listed below along with each Portfolio’s investment objective.
Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio.
Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital.
Equity Portfolio: Long-term growth of capital.
Flexible Managed Portfolio: Total return consistent with an aggressively managed diversified portfolio.
Global Portfolio: Long-term growth of capital.
Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital.
Government Money Market Portfolio (formerly known as Money Market Portfolio): Maximum current income consistent with the stability of capital and maintenance of liquidity.
High Yield Bond Portfolio: High total return.
Jennison Portfolio: Long-term growth of capital.
Natural Resources Portfolio: Long-term growth of capital.
Small Capitalization Stock Portfolio: Long-term growth of capital.
Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.
Value Portfolio: Capital appreciation.
Note 2: | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Securities Valuation: Each Portfolio holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following each Portfolio’s Schedule of Investments.
B1
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Participatory notes (“P-notes”) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
The Government Money Market Portfolio’s securities of sufficient credit quality are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 in the fair value hierarchy.
Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
B2
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may invest up to 15% of their net assets (the Government Money Market Portfolio may invest up to 5% of its net assets) in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, a Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of a Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
CAS and STACR: The Portfolios purchased government controlled Fannie Mae and Freddie Mac securities that transfer most of the cost of defaults to private investors including the Portfolios. These are insurance-like products that are called CAS by Fannie Mae and STACR securities by Freddie Mac. Payments on the securities are based primarily on the performance of a reference pool of underlying mortgages. With such securities, the Portfolios could lose some or all of their principal if the underlying mortgages experience credit defaults.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is each Portfolio’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults or the value of the collateral declines, or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Portfolio may be delayed or limited.
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolios are presented at the foreign exchange rates and market values at the close of the period, the Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currency transactions.
P-notes: The Series Fund may gain exposure to securities in certain foreign markets through investments in P-notes. The Series Fund may purchase P-notes due to restrictions applicable to foreign investors when investing directly in a foreign market. P-notes are generally issued by banks or broker-dealers and are
B3
designed to offer a return linked to a particular underlying security. P-notes involve transaction costs, which may be higher than those applicable to the equity securities. An investment in a P-note may involve risks, including counterparty risk, beyond those normally associated with a direct investment in the underlying security. The Series Fund must rely on the creditworthiness of the counterparty and would have no rights against the issuer of the underlying security. Furthermore, the P-note’s performance may differ from that of the underlying security. The holder of the P-note is entitled to receive from the bank or broker-dealer, an amount equal to dividends paid by the issuer of the underlying security; however, the holder is not entitled to the same rights (e.g., dividends, voting rights) as an owner of the underlying security. There is also no assurance that there will be a secondary trading market for a P-note or that the trading price of a P-note will equal the value of the underlying security.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Certain Portfolios, as defined in the prospectus, entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or on specific receivables and payables denominated in a foreign currency and to gain exposures to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation or depreciation on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.
Cross Currency Exchange Contracts: A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.
Short Sales: Certain Portfolios may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When the Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to return any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and the interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.
Loan Participations: Certain Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower, the Selling Participant and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.
Certain Portfolios invested in financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolios intend to purchase, against fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates. Portfolios may also use futures to gain additional market exposure. Should interest rates move unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the
B4
underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities. With exchange-traded futures contracts, there is minimal counterparty credit risk to the Portfolios since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Options: Certain Portfolios purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates, value of equities or foreign currency exchange rates with respect to securities or financial instruments which the Portfolio currently owns or intends to purchase. Portfolios may also use options to gain additional market exposure. The Portfolio’s principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain (loss) to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on effecting a closing purchase or sale transaction is also treated as a realized gain (loss). Gain (loss) on purchased options is included in net realized gain (loss) on investment transactions. Gain (loss) on written options is presented separately as net realized gain (loss) on options written transactions.
The Portfolio, as writer of an option, may have no control over whether the underlying securities or financial instruments may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. OTC options also involve the risk of the potential inability of the counterparties to meet the terms of their contracts. With exchange-traded options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded options and guarantees the options contracts against default.
When a Portfolio writes an option on a swap, an amount equal to any premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the written option on the swap. If a call option on a swap is exercised, the Portfolio becomes obligated to pay a fixed interest rate (noted as the strike price) and receive a variable interest rate on a notional amount. If a put option on a swap is exercised, the Portfolio becomes obligated to pay a variable interest rate and receive a fixed interest rate (noted as the strike price) on a notional amount. Premiums received from writing options on swaps that expire or are exercised are treated as realized gains upon the expiration or exercise of such options on swaps. The risk associated with writing put and call options on swaps is that the Portfolio will be obligated to be party to a swap agreement if an option on a swap is exercised.
Forward Rate Agreements: Forward rate agreements represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount on a fixed future date. Certain Portfolio entered into forward rate agreements to gain yield exposure based on anticipated market conditions at the specified termination date of the agreement.
Swap Agreements: Certain Portfolios may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered commodities exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Centrally cleared swaps pay or receive an amount, known as “variation margin”, based on the daily changes in valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains (losses) upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.
B5
Credit Default Swaps (“CDS”): CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives. Certain Portfolios entered into CDS contracts to provide a measure of protection against defaults or take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. A Portfolio’s maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value based on a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the Portfolio, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered into for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Currency Swaps: Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.
Total Return Swaps: In a total return swap, one party would receive payments based on the market value of the security or the commodity involved, or total return of a specific referenced asset, such as an equity, index or bond, and in return pay a fixed amount. Certain Portfolios are subject to risk exposures associated with the referenced asset in the normal course of pursuing their investment objectives. Certain Portfolios entered into total return swaps to manage their exposure to a security or an index. A Portfolio’s maximum risk of loss from counterparty credit risk is the change in the value of the security, in the Portfolio’s favor, from the point of entering into the contract.
Master Netting Arrangements: Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of
B6
the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of default or bankruptcy/insolvency of either party. Such OTC derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
As of December 31, 2016, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, forward rate agreements, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by engaging in master netting arrangements.
Warrants and Rights: Certain Portfolios may hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. The Portfolio holds such warrants and rights as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
PIK Securities: Certain fixed income Portfolios may invest in the open market or receive pursuant to debt restructuring, securities that pay in kind the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.
Delayed-Delivery Transactions: Certain Portfolios may purchase or sell securities on a when-issued or delayed-delivery basis. These transactions involve a commitment by the Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolio will set aside and maintain an amount of liquid assets sufficient to meet the purchase price in a segregated account until the settlement
B7
date. When purchasing a security on a delayed-delivery basis, the Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Portfolio may dispose of or renegotiate a delayed-delivery transaction subsequent to establishment, and may sell when-issued securities before they are delivered, which may result in a capital gain (loss). When selling a security on a delayed-delivery basis, the Portfolio forfeits its eligibility to realize future gains (losses) with respect to the security.
Securities Lending: The Portfolios may lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Pursuant to the repositioning of the money market fund as an ultra-short bond fund, for the period March 31, 2016 through July 18, 2016 the collateral was invested in an ultra-short bond fund. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolios securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolios recognize income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolios also continue to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested that may occur during the term of the loan.
Dollar Rolls: Certain Portfolios may enter into mortgage dollar rolls in which the Portfolios sell mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Portfolios maintain a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.
Concentration of Risk: The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of the governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual.
For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
REITs: Certain Portfolios invest in REITs, which report information on the source of their distributions annually. Based on current and historical information, a portion of distributions received from REITs during the period is estimated to be dividend income, capital gain or return of capital and recorded accordingly. These estimates are adjusted periodically when the actual source of distributions is disclosed by the REITs.
Taxes: For federal income tax purposes, each Portfolio is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolios is the responsibility of the Portfolios’ shareholders (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Shareholders of each Portfolio are subject to taxes on their distributive share of partnership items.
B8
Withholding taxes on foreign dividends, interest and foreign capital gains are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and rates. Such taxes are accrued net of reclaimable amounts, at the time the related income/gain is recorded.
Each Portfolio generally attempts to manage their diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from each Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. The Government Money Market Portfolio declares and reinvests distributions, if any, daily. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Note 3: | Agreements |
The Series Fund has a management agreement with PI on behalf of the Portfolios. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into subadvisory agreements with PGIM, Inc., which provides subadvisory services to the Portfolios through its PGIM Fixed Income (“PFI”) unit, Jennison Associates LLC (“Jennison”), Allianz Global Investors U.S. LLC (“Allianz”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisers, cost of compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.
The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.
Portfolio | Management Fee through June 30, 2016 | Management Fee effective July 1, 2016 | Effective Management Fee | |||||
Conservative Balanced Portfolio | 0.55% | 0.55% | 0.55 | % | ||||
Diversified Bond Portfolio | 0.40 | 0.40 | 0.40 | |||||
Equity Portfolio | 0.45 | 0.45 | 0.45 | |||||
Flexible Managed Portfolio | 0.60 | 0.60 | 0.60 | |||||
Global Portfolio | 0.75 | 0.75 | 0.74 | *** | ||||
Government Income Portfolio | 0.40 | 0.40 | 0.40 | |||||
Government Money Market Portfolio | 0.30 | 0.30 | 0.31 | * | ||||
High Yield Bond Portfolio | 0.55 | 0.55 | 0.55 | |||||
Jennison Portfolio | 0.60 | 0.60 | 0.60 | |||||
Natural Resources Portfolio | 0.45 | 0.45 | 0.44 | **** | ||||
Small Capitalization Stock Portfolio | 0.40 | 0.35 | 0.35 | ** | ||||
Stock Index Portfolio | 0.35% up to $4 billion 0.30% over $4 billion | 0.30% up to $4 billion 0.25% over $4 billion | 0.30 | %** | ||||
Value Portfolio | 0.40 | 0.40 | 0.40 |
* | Effective February 16, 2016, the management fee rate was reduced from 0.40% to 0.30%. |
** | PI had contractually agreed, through June 30, 2016, to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio. |
*** | Effective October 17, 2016, PI has contractually agreed, through June 30, 2017, to waive a portion of its management fee equal to an annual rate of 0.022% of the average daily net assets of the Portfolio. Prior to October 17, 2016, PI had contractually agreed to waive a portion of its management fee equal to an annual rate of 0.011% of the average daily net assets of the Portfolio. |
**** | Effective February 6, 2016, PI has contractually agreed, through June 30, 2017, to waive a portion of its management fee equal to an annual rate of 0.008% of the average daily net assets of the Portfolio. |
B9
At December 31, 2016, the Subadvisers that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadviser is listed, each Subadviser provides services to a segment of the Portfolio:
Portfolio | Subadviser(s) | |
Conservative Balanced Portfolio | PFI, QMA | |
Diversified Bond Portfolio | PFI | |
Equity Portfolio | Jennison | |
Flexible Managed Portfolio | PFI, QMA | |
Global Portfolio | Brown, LSV, QMA, T. Rowe & William Blair | |
Government Income Portfolio | PFI | |
Government Money Market Portfolio | PFI | |
High Yield Bond Portfolio | PFI | |
Jennison Portfolio | Jennison | |
Natural Resources Portfolio | Jennison (through February 7, 2016) Allianz (started February 8, 2016) | |
Small Capitalization Stock Portfolio | QMA | |
Stock Index Portfolio | QMA | |
Value Portfolio | Jennison |
The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PIMS, PI, PGIM, Inc., QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Series Fund has entered into a brokerage commission recapture agreement with certain registered broker-dealers with respect to certain Portfolios. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2016, brokerage commission recaptured under these agreements was as follows:
Portfolio | Amount | |||
Equity Portfolio | $ | 229,241 | ||
Global Portfolio | 40,187 | |||
Jennison Portfolio | 84,410 | |||
Natural Resources Portfolio | 10,688 | |||
Value Portfolio | 85,411 |
Note 4: | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Prior to July 7, 2016, PGIM, Inc. was the Series Fund’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”. For the period
B10
January 1, 2016 through February 4, 2016, PGIM, Inc. had been compensated as follows for these services (PGIM, Inc. had not received any compensation for the period February 5, 2016 through July 6, 2016):
Portfolio | Amount | |||
Conservative Balanced Portfolio | $ | 1,586 | ||
Diversified Bond Portfolio | 974 | |||
Equity Portfolio | 19,858 | |||
Flexible Managed Portfolio | 3,536 | |||
Global Portfolio | 2,073 | |||
High Yield Bond Portfolio | 15,822 | |||
Jennison Portfolio | 6,237 | |||
Natural Resources Portfolio | 4,710 | |||
Small Capitalization Stock Portfolio | 10,922 | |||
Value Portfolio | 3,037 |
In February 2016, Prudential, the parent company of the Investment Manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for certain Portfolios of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid each of the affected Portfolios an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to each of the Portfolios is disclosed in the respective Portfolios’ “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators are currently reviewing the matter.
Effective July 7, 2016, the Board replaced PGIM, Inc. as securities lending agent with a third party agent (Goldman Sachs Agency Lending).
The Portfolios may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.
Certain Portfolios invest their overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the ”Core Fund”) and its securities lending cash collateral in the Prudential Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Certain Portfolios also invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from the SEC, a series of Prudential Investment Portfolios 2 (together with Prudential Core Ultra Short Bond Fund, the “Core Funds”), registered under the 1940 Act and managed by PI. Earnings from the Core Funds and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The following Portfolios are reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolios’ status as partnerships for tax purposes.
Portfolio | 2015 Withholding Tax | 2016 Withholding Tax | ||||||
Conservative Balanced Portfolio | $ | 44,001 | * | $ | 24,389 | |||
Flexible Managed Portfolio | 53,512 | * | 35,507 | |||||
Global Portfolio | 118,399 | * | 99,518 | |||||
Jennison Portfolio | 44,830 | 19,828 |
* | Includes amounts from December 2015 reimbursed in 2016. |
B11
Note 5: | Portfolio Securities |
The cost of purchases and the proceeds from sales of portfolio securities (excluding U.S. Treasury securities and short-term issues) for the year ended December 31, 2016 were as follows:
Portfolio | Cost of Purchases | Proceeds from Sales | ||||||
Conservative Balanced Portfolio | $ | 3,744,867,249 | $ | 3,800,701,759 | ||||
Diversified Bond Portfolio | 334,420,542 | 284,706,899 | ||||||
Equity Portfolio | 1,399,988,400 | 1,543,945,875 | ||||||
Flexible Managed Portfolio | 6,890,727,464 | 6,910,310,794 | ||||||
Global Portfolio | 364,879,525 | 398,140,778 | ||||||
Government Income Portfolio | 1,663,564,752 | 1,663,132,464 | ||||||
High Yield Bond Portfolio | 1,458,104,502 | 1,285,151,703 | ||||||
Jennison Portfolio | 559,682,243 | 679,026,998 | ||||||
Natural Resources Portfolio | 631,451,815 | 627,226,477 | ||||||
Small Capitalization Stock Portfolio | 141,782,998 | 170,563,500 | ||||||
Stock Index Portfolio | 158,983,199 | 141,372,856 | ||||||
Value Portfolio | 308,305,108 | 393,017,255 |
Options written transactions, during the year ended December 31, 2016, were as follows:
Conservative Balanced Portfolio | Notional Amount (000) | Premiums | ||||||
Balance at beginning of year | 736,300 | $ | 178,078 | |||||
Written options | 363,400 | 323,993 | ||||||
Expired options | (943,800 | ) | (352,033 | ) | ||||
Closed options | (155,900 | ) | (150,038 | ) | ||||
Balance at end of year | — | $ | — | |||||
Diversified Bond Portfolio | Notional Amount (000) | Premiums | ||||||
Balance at beginning of year | 362,120 | $ | 818,728 | |||||
Written options | 1,055,190 | 1,142,289 | ||||||
Expired options | (608,295 | ) | (1,154,594 | ) | ||||
Closed options | (809,015 | ) | (806,423 | ) | ||||
Balance at end of year | — | $ | — | |||||
Flexible Managed Portfolio | Notional Amount (000) | Premiums | ||||||
Balance at beginning of year | 994,900 | $ | 242,423 | |||||
Written options | 479,380 | 425,892 | ||||||
Expired options | (1,270,280 | ) | (472,028 | ) | ||||
Closed options | (204,000 | ) | (196,287 | ) | ||||
Balance at end of year | — | $ | — | |||||
Government Income Portfolio | Notional Amount (000) | Premiums | ||||||
Balance at beginning of year | 507,660 | $ | 127,340 | |||||
Written options | 170,720 | 150,093 | ||||||
Expired options | (607,380 | ) | (209,100 | ) | ||||
Closed options | (71,000 | ) | (68,333 | ) | ||||
Balance at end of year | — | $ | — | |||||
B12
Natural Resources Portfolio | Notional Amount (000) | Premiums | ||||||
Balance at beginning of year | — | $ | — | |||||
Written options | 337 | 19,363,136 | ||||||
Expired options | (97 | ) | (6,592,440 | ) | ||||
Closed options | (240 | ) | (12,770,696 | ) | ||||
Balance at end of year | — | $ | — | |||||
Note 6: | Tax Information |
All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions, if any, made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
Management has analyzed the Portfolios’ tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current reporting period. The Portfolios’ federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Note 7: | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2016, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.
Transactions in shares of beneficial interest of the Equity, Jennison, Natural Resources and Value Portfolios were as follows:
Equity Portfolio:
Class I | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 239,387 | $ | 9,099,174 | |||||
Series shares repurchased | (6,334,813 | ) | (242,961,824 | ) | ||||
Capital contributions | — | 3,314,283 | ||||||
Net increase (decrease) in shares outstanding | (6,095,426 | ) | $ | (230,548,367 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 293,271 | $ | 11,456,660 | |||||
Series shares repurchased | (7,053,688 | ) | (276,805,403 | ) | ||||
Net increase (decrease) in shares outstanding | (6,760,417 | ) | $ | (265,348,743 | ) | |||
B13
Equity Portfolio (cont’d):
Class II | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 398 | $ | 13,474 | |||||
Series shares repurchased | (8,058 | ) | (314,707 | ) | ||||
Capital contributions | — | 1,696 | ||||||
Net increase (decrease) in shares outstanding | (7,660 | ) | $ | (299,537 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 3,613 | $ | 143,295 | |||||
Series shares repurchased | (11,130 | ) | (429,755 | ) | ||||
Net increase (decrease) in shares outstanding | (7,517 | ) | $ | (286,460 | ) | |||
Jennison Portfolio:
Class I: | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 320,728 | $ | 13,823,861 | |||||
Series shares repurchased | (2,968,599 | ) | (129,617,008 | ) | ||||
Capital contributions | — | 1,495,392 | ||||||
Net increase (decrease) in shares outstanding | (2,647,871 | ) | $ | (114,297,755 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 431,171 | $ | 19,031,217 | |||||
Series shares repurchased | (2,772,574 | ) | (121,821,605 | ) | ||||
Net increase (decrease) in shares outstanding | (2,341,403 | ) | $ | (102,790,388 | ) | |||
Class II: | ||||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 252,683 | $ | 10,518,890 | |||||
Series shares repurchased | (675,625 | ) | (28,548,906 | ) | ||||
Capital contributions | — | 50,765 | ||||||
Net increase (decrease) in shares outstanding | (422,942 | ) | $ | (17,979,251 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 610,426 | $ | 26,548,772 | |||||
Series shares repurchased | (342,018 | ) | (14,541,755 | ) | ||||
Net increase (decrease) in shares outstanding | 268,408 | $ | 12,007,017 | |||||
Natural Resources Portfolio:
Class I: | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 496,242 | $ | 11,530,112 | |||||
Series shares repurchased | (1,542,070 | ) | (35,899,134 | ) | ||||
Capital contributions | — | 433,706 | ||||||
Net increase (decrease) in shares outstanding | (1,045,828 | ) | $ | (23,935,316 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 505,497 | $ | 13,787,714 | |||||
Series shares repurchased | (2,209,981 | ) | (60,093,196 | ) | ||||
Net increase (decrease) in shares outstanding | (1,704,484 | ) | $ | (46,305,482 | ) | |||
B14
Natural Resources Portfolio (cont’d):
Class II: | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 1,051,306 | $ | 23,568,693 | |||||
Series shares repurchased | (884,453 | ) | (20,815,011 | ) | ||||
Capital contributions | — | 46,825 | ||||||
Net increase (decrease) in shares outstanding | 166,853 | $ | 2,800,507 | |||||
Year ended December 31, 2015: | ||||||||
Series shares sold | 1,095,547 | $ | 28,361,875 | |||||
Series shares repurchased | (1,143,281 | ) | (30,022,697 | ) | ||||
Net increase (decrease) in shares outstanding | (47,734 | ) | $ | (1,660,822 | ) | |||
Value Portfolio:
Class I: | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 298,345 | $ | 7,100,125 | |||||
Series shares repurchased | (5,255,263 | ) | (127,500,306 | ) | ||||
Capital contributions | — | 1,372,480 | ||||||
Net increase (decrease) in shares outstanding | (4,956,918 | ) | $ | (119,027,701 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 240,189 | $ | 6,087,501 | |||||
Series shares repurchased | (4,643,993 | ) | (119,918,144 | ) | ||||
Net increase (decrease) in shares outstanding | (4,403,804 | ) | $ | (113,830,643 | ) | |||
Class II: | ||||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 14,253 | $ | 331,510 | |||||
Series shares repurchased | (154,480 | ) | (3,689,170 | ) | ||||
Capital contributions | — | 6,968 | ||||||
Net increase (decrease) in shares outstanding | (140,227 | ) | $ | (3,350,692 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 16,808 | $ | 416,322 | |||||
Series shares repurchased | (17,809 | ) | (467,404 | ) | ||||
Net increase (decrease) in shares outstanding | (1,001 | ) | $ | (51,082 | ) | |||
Note 8: | Borrowings |
The Portfolios (excluding the Government Money Market Portfolio), along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The interest rate on borrowings under the SCA is paid monthly and at a per annum rate based upon the higher of 0%, the effective federal funds rate, or the One-Month LIBOR rate, plus a contractual spread. Prior to October 6, 2016, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee of .11% of the unused portion of the SCA. The interest rate on borrowings was substantially the same. Each Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.
B15
The following Portfolios utilized the SCA during the year ended December 31, 2016. The average balance outstanding is for the number of days the Portfolios had utilized the credit facility.
Portfolio | Average Balance Outstanding | Number of Days Outstanding | Weighted Average Interest Rates | Maximum Balance Outstanding | Balance Outstanding at December 31, 2016 | |||||||||||||||
Diversified Bond Portfolio | $ | 596,800 | 5 | 1.93 | % | $ | 1,602,000 | — | ||||||||||||
Government Income Portfolio | 275,000 | 3 | 1.67 | % | 275,000 | — | ||||||||||||||
Jennison Portfolio | 977,704 | 54 | 1.76 | % | 3,004,000 | 661,000 | ||||||||||||||
Natural Resources Portfolio | 244,500 | 14 | 1.77 | % | 675,000 | — |
Note 9: | Ownership and Affiliates |
As of December 31, 2016, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
In addition, one unaffiliated shareholder of record of Natural Resources Portfolio, Class II shares, held 6% of the Portfolio’s aggregate outstanding shares.
Note 10: | Recent Accounting Pronouncements and Reporting Updates |
In December 2016, the FASB released an Accounting Standards Update (“ASU”) that makes technical changes to various sections of the Accounting Standards Codification (“ASC”), including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and its impact on the financial statements and disclosures has not yet been determined.
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules also enhance disclosure regarding fund liquidity and redemption practices. Also under the new rules, the SEC will permit open-end funds, with the exception of money market funds, to offer swing pricing, subject to board approval and review. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures, if any.
Note 11. | Other |
Pursuant to investment policy changes approved by the Board at its meeting on November 17, 2015 which become effective on September 12, 2016, the Money Market Portfolio changed its name to Government Money Market Portfolio and is now managed as a government money market fund. Accordingly, it now invests at least 99.5% or more of its assets in cash, government securities, and/or repurchase agreements that are fully collateralized with government securities. As a government money market fund, the Government Money Market Portfolio continues to seek to maintain a stable $10.00 NAV and will not implement redemption gates and liquidity fees.
B16
Conservative Balanced Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 22.54 | $ | 22.45 | $ | 20.63 | $ | 17.77 | $ | 16.32 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .42 | .39 | .36 | .35 | .38 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.20 | (.30 | ) | 1.46 | 2.51 | 1.43 | ||||||||||||||
Total from investment operations | 1.62 | .09 | 1.82 | 2.86 | 1.81 | |||||||||||||||
Less Distributions | — | — | — | — | (.36 | ) | ||||||||||||||
Capital Contributions(f)(Note 4) | .02 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 24.18 | $ | 22.54 | $ | 22.45 | $ | 20.63 | $ | 17.77 | ||||||||||
Total Return(b) | 7.28 | %(g) | .40 | % | 8.82 | % | 16.09 | % | 11.23 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 2,473.2 | $ | 2,554.3 | $ | 2,574.4 | $ | 2,504.4 | $ | 2,287.0 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .58 | % | .58 | % | .58 | % | .58 | % | .58 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .58 | % | .58 | % | .58 | % | .58 | % | .58 | % | ||||||||||
Net investment income (loss) | 1.79 | % | 1.70 | % | 1.66 | % | 1.84 | % | 2.11 | % | ||||||||||
Portfolio turnover rate(d) | 185 | % | 208 | % | 134 | % | 196 | % | 188 | % | ||||||||||
Diversified Bond Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013 | 2012(a) | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 11.64 | $ | 11.66 | $ | 11.01 | $ | 11.88 | $ | 11.74 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .43 | .41 | .43 | .48 | .54 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .21 | (.43 | ) | .34 | (.56 | ) | .66 | |||||||||||||
Total from investment operations | .64 | (.02 | ) | .77 | (.08 | ) | 1.20 | |||||||||||||
Less Distributions | — | — | (.12 | ) | (.79 | ) | (1.06 | ) | ||||||||||||
Capital Contributions(f)(Note 4) | — | (e) | — | — | — | — | ||||||||||||||
Net Asset Value, end of year | $ | 12.28 | $ | 11.64 | $ | 11.66 | $ | 11.01 | $ | 11.88 | ||||||||||
Total Return(b) | 5.50 | %(h) | (.17 | )% | 7.09 | % | (.71 | )% | 10.68 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1,104.6 | $ | 1,084.9 | $ | 1,067.9 | $ | 1,197.5 | $ | 1,305.9 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .44 | % | .46 | % | .44 | % | .44 | % | .44 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .44 | % | .46 | % | .44 | % | .44 | % | .44 | % | ||||||||||
Net investment income (loss) | 3.52 | % | 3.48 | % | 3.73 | % | 4.10 | % | 4.57 | % | ||||||||||
Portfolio turnover rate | 49 | % | 81 | % | 50 | % | 111 | % | 144 | % |
(a) | Calculated based on average shares outstanding during the year. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover. |
(e) | Less than $.005 per share. |
(f) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 7.19%. |
(h) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
Equity Portfolio | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013 | 2012(c) | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 39.47 | $ | 38.56 | $ | 35.81 | $ | 26.81 | $ | 23.73 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .38 | .34 | .19 | .27 | .27 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.07 | .57 | 2.56 | 8.73 | 2.96 | |||||||||||||||
Total from investment operations | 1.45 | .91 | 2.75 | 9.00 | 3.23 | |||||||||||||||
Less Distributions: | — | — | — | — | (.15 | ) | ||||||||||||||
Capital Contributions(d)(Note 4) | .04 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 40.96 | $ | 39.47 | $ | 38.56 | $ | 35.81 | $ | 26.81 | ||||||||||
Total Return(a) | 3.78 | %(e) | 2.36 | % | 7.68 | % | 33.57 | % | 13.69 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,741.7 | $ | 3,846.2 | $ | 4,017.6 | $ | 3,970.9 | $ | 3,167.0 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .47 | % | .47 | % | .47 | % | .47 | % | .47 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .47 | % | .47 | % | .47 | % | .47 | % | .47 | % | ||||||||||
Net investment income (loss) | 1.01 | % | .86 | % | .52 | % | .86 | % | 1.04 | % | ||||||||||
Portfolio turnover rate | 39 | % | 37 | % | 51 | % | 45 | % | 48 | % | ||||||||||
Equity Portfolio | ||||||||||||||||||||
Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013 | 2012(c) | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 39.42 | $ | 38.66 | $ | 36.05 | $ | 27.10 | $ | 23.99 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .23 | .18 | .04 | .13 | .17 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.05 | .58 | 2.57 | 8.82 | 3.00 | |||||||||||||||
Total from investment operations | 1.28 | .76 | 2.61 | 8.95 | 3.17 | |||||||||||||||
Less Distributions: | — | — | — | — | (.06 | ) | ||||||||||||||
Capital Contributions(d)(Note 4) | .04 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 40.74 | $ | 39.42 | $ | 38.66 | $ | 36.05 | $ | 27.10 | ||||||||||
Total Return(a) | 3.35 | %(e) | 1.97 | % | 7.24 | % | 33.03 | % | 13.23 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1.7 | $ | 2.0 | $ | 2.2 | $ | 2.3 | $ | 1.8 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .87 | % | .87 | % | .87 | % | .87 | % | .87 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .87 | % | .87 | % | .87 | % | .87 | % | .87 | % | ||||||||||
Net investment income (loss) | .61 | % | .46 | % | .11 | % | .47 | % | .63 | % | ||||||||||
Portfolio turnover rate | 39 | % | 37 | % | 51 | % | 45 | % | 48 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
(c) | Calculated based on average shares outstanding during the year. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 3.68% and 3.25%, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
Flexible Managed Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 23.95 | $ | 23.71 | $ | 21.35 | $ | 17.77 | $ | 15.99 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .44 | .42 | .37 | .36 | .37 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.58 | (.18 | ) | 1.99 | 3.22 | 1.74 | ||||||||||||||
Total from investment operations | 2.02 | .24 | 2.36 | 3.58 | 2.11 | |||||||||||||||
Less Distributions | — | — | — | — | (.33 | ) | ||||||||||||||
Capital Contributions(e)(Note 4) | .02 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 25.99 | $ | 23.95 | $ | 23.71 | $ | 21.35 | $ | 17.77 | ||||||||||
Total Return(b) | 8.52 | %(f) | 1.01 | % | 11.05 | % | 20.15 | % | 13.37 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,889.8 | $ | 3,768.8 | $ | 3,943.8 | $ | 3,730.6 | $ | 3,265.8 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||
Net investment income (loss) | 1.78 | % | 1.74 | % | 1.66 | % | 1.86 | % | 2.05 | % | ||||||||||
Portfolio turnover rate(d) | 203 | % | 213 | % | 161 | % | 210 | % | 214 | % | ||||||||||
Global Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 26.33 | $ | 25.72 | $ | 24.91 | $ | 19.57 | $ | 16.94 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .34 | .34 | .37 | .31 | .36 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .81 | .27 | .44 | 5.03 | 2.57 | |||||||||||||||
Total from investment operations | 1.15 | .61 | .81 | 5.34 | 2.93 | |||||||||||||||
Less Distributions | — | — | — | — | (.30 | ) | ||||||||||||||
Capital Contributions(e)(Note 4) | .02 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 27.50 | $ | 26.33 | $ | 25.72 | $ | 24.91 | $ | 19.57 | ||||||||||
Total Return(b) | 4.44 | %(g) | 2.37 | % | 3.25 | % | 27.29 | % | 17.52 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 955.4 | $ | 965.3 | $ | 719.2 | $ | 744.5 | $ | 611.2 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .80 | % | .81 | % | .81 | % | .84 | % | .84 | % | ||||||||||
Expenses before waivers and/or expense reimbursements | .81 | % | .82 | % | .82 | % | .84 | % | .84 | % | ||||||||||
Net investment income (loss) | 1.29 | % | 1.28 | % | 1.45 | % | 1.29 | % | 1.82 | % | ||||||||||
Portfolio turnover rate | 40 | % | 33 | % | 37 | % | 70 | % | 57 | % |
(a) | Calculated based on average shares outstanding during the year. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 8.44%. |
(g) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 4.36%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
Government Income Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(d) | 2015(d) | 2014 | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 12.00 | $ | 11.92 | $ | 11.30 | $ | 12.15 | $ | 12.37 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .20 | .18 | .21 | .21 | .25 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .06 | (.10 | ) | .45 | (.49 | ) | .19 | |||||||||||||
Total from investment operations | .26 | .08 | .66 | (.28 | ) | .44 | ||||||||||||||
Less Distributions | — | — | (.04 | ) | (.57 | ) | (.66 | ) | ||||||||||||
Capital Contributions(e)(Note 4) | — | (f) | — | — | — | — | ||||||||||||||
Net Asset Value, end of year | $ | 12.26 | $ | 12.00 | $ | 11.92 | $ | 11.30 | $ | 12.15 | ||||||||||
Total Return(a) | 2.17 | %(h) | .67 | % | 5.86 | % | (2.34 | )% | 3.63 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 226.3 | $ | 231.8 | $ | 339.2 | $ | 341.1 | $ | 382.9 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursements | .51 | % | .48 | % | .47 | % | .49 | % | .48 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .51 | % | .48 | % | .47 | % | .49 | % | .48 | % | ||||||||||
Net investment income (loss) | 1.60 | % | 1.48 | % | 1.73 | % | 1.78 | % | 1.96 | % | ||||||||||
Portfolio turnover rate(c) | 705 | % | 746 | % | 830 | % | 1135 | % | 1154 | % | ||||||||||
Government Money Market Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(d) | 2015(d) | 2014 | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) and realized gains (losses) | .01 | — | (f) | — | (f) | — | (f) | — | (f) | |||||||||||
Distributions | (.01 | ) | — | (f) | — | (f) | — | (f) | — | (f) | ||||||||||
Net Asset Value, end of year | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
Total Return(a) | .10 | % | — | %(g) | — | %(g) | — | %(g) | .01 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 724.2 | $ | 650.8 | $ | 823.6 | $ | 866.0 | $ | 903.5 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .35 | % | .19 | % | .16 | % | .17 | % | .21 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .35 | % | .44 | % | .44 | % | .44 | % | .44 | % | ||||||||||
Net investment income (loss) | .09 | % | .00 | % | .00 | %(g) | .00 | %(g) | .01 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(d) | Calculated based on average shares outstanding during the year. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Less than $0.005 per share. |
(g) | Less than .005%. |
(h) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
High Yield Bond Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(d) | 2015(d) | 2014 | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 4.68 | $ | 5.11 | $ | 5.29 | $ | 5.26 | $ | 4.93 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .32 | .31 | .32 | .34 | .35 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .42 | (.42 | ) | (.18 | ) | .03 | .34 | |||||||||||||
Total from investment operations | .74 | (.11 | ) | .14 | .37 | .69 | ||||||||||||||
Less Distributions | (.32 | ) | (.32 | ) | (.32 | ) | (.34 | ) | (.36 | ) | ||||||||||
Capital Contributions(e)(Note 4) | — | (f) | — | — | — | — | ||||||||||||||
Net Asset Value, end of year | $ | 5.10 | $ | 4.68 | $ | 5.11 | $ | 5.29 | $ | 5.26 | ||||||||||
Total Return(a) | 16.24 | %(g) | (2.45 | )% | 2.71 | % | 7.26 | % | 14.43 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,567.6 | $ | 3,159.5 | $ | 3,245.9 | $ | 3,020.5 | $ | 2,841.8 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .57 | % | .57 | % | .57 | % | .57 | % | .57 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .57 | % | .57 | % | .57 | % | .57 | % | .57 | % | ||||||||||
Net investment income (loss) | 6.61 | % | 6.21 | % | 5.95 | % | 6.34 | % | 6.95 | % | ||||||||||
Portfolio turnover rate(c) | 39 | % | 46 | % | 48 | % | 54 | % | 53 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
(d) | Calculated based upon average shares outstanding during the year. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Less than $0.005 per share. |
(g) | Total return for the year includes the impact of the capital contribution, which was not material to the total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
Jennison Portfolio | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014 | 2013(a) | 2012(a) | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 45.54 | $ | 40.85 | $ | 37.15 | $ | 26.98 | $ | 23.26 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .10 | .06 | .06 | .06 | .11 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (.55 | ) | 4.63 | 3.64 | 10.11 | 3.65 | ||||||||||||||
Total from investment operations | (.45 | ) | 4.69 | 3.70 | 10.17 | 3.76 | ||||||||||||||
Less Distributions | — | — | — | — | (.04 | ) | ||||||||||||||
Capital Contributions(e)(Note 4) | .04 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 45.13 | $ | 45.54 | $ | 40.85 | $ | 37.15 | $ | 26.98 | ||||||||||
Total Return(b) | (.90 | )%(f) | 11.48 | % | 9.96 | % | 37.69 | % | 16.18 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1,520.3 | $ | 1,654.7 | $ | 1,580.0 | $ | 1,551.9 | $ | 1,213.3 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .63 | % | .63 | % | .63 | % | .63 | % | .63 | % | ||||||||||
Net investment income (loss) | .23 | % | .14 | % | .15 | % | .18 | % | .42 | % | ||||||||||
Portfolio turnover rate | 35 | % | 31 | % | 34 | % | 40 | % | 45 | % | ||||||||||
Jennison Portfolio | ||||||||||||||||||||
Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014 | 2013(a) | 2012(a) | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 44.19 | $ | 39.80 | $ | 36.33 | $ | 26.49 | $ | 22.89 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | (.07 | ) | (.11 | ) | (.10 | ) | (.07 | ) | — | (d) | ||||||||||
Net realized and unrealized gain (loss) on investments | (.54 | ) | 4.50 | 3.57 | 9.91 | 3.60 | ||||||||||||||
Total from investment operations | (.61 | ) | 4.39 | 3.47 | 9.84 | 3.60 | ||||||||||||||
Capital Contributions(e)(Note 4) | .04 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 43.62 | $ | 44.19 | $ | 39.80 | $ | 36.33 | $ | 26.49 | ||||||||||
Total Return(b) | (1.29 | )%(f) | 11.03 | % | 9.55 | % | 37.15 | % | 15.73 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 41.2 | $ | 60.4 | $ | 43.7 | $ | 40.3 | $ | 33.6 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | 1.03 | % | ||||||||||
Net investment income (loss) | (.17 | )% | (.26 | )% | (.25 | )% | (.22 | )% | .02 | % | ||||||||||
Portfolio turnover rate | 35 | % | 31 | % | 34 | % | 40 | % | 45 | % |
(a) | Calculated based upon average shares outstanding during the year. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Less than $0.005 per share. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been (.99)% and (1.38)%, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
Natural Resources Portfolio | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 21.45 | $ | 29.87 | $ | 37.29 | $ | 33.83 | $ | 38.25 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .26 | .29 | .23 | .20 | .25 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 5.15 | (8.71 | ) | (7.65 | ) | 3.26 | (1.49 | ) | ||||||||||||
Total from investment operations | 5.41 | (8.42 | ) | (7.42 | ) | 3.46 | (1.24 | ) | ||||||||||||
Less Distributions | — | — | — | — | (3.18 | ) | ||||||||||||||
Capital Contributions(d)(Note 4) | .03 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 26.89 | $ | 21.45 | $ | 29.87 | $ | 37.29 | $ | 33.83 | ||||||||||
Total Return(b) | 25.36 | %(e) | (28.19 | )% | (19.90 | )% | 10.23 | % | (2.47 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 456.1 | $ | 386.3 | $ | 589.0 | $ | 792.1 | $ | 802.2 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .56 | % | .48 | % | .45 | % | .48 | % | .50 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .57 | % | .51 | % | .50 | % | .51 | % | .50 | % | ||||||||||
Net investment income (loss) | 1.08 | % | 1.06 | % | .59 | % | .55 | % | .71 | % | ||||||||||
Portfolio turnover rate | 140 | % | 29 | % | 24 | % | 22 | % | 26 | % | ||||||||||
Natural Resources Portfolio | ||||||||||||||||||||
Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013(a) | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 20.99 | $ | 29.35 | $ | 36.78 | $ | 33.50 | $ | 37.89 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .15 | .18 | .07 | .05 | .12 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 5.03 | (8.54 | ) | (7.50 | ) | 3.23 | (1.51 | ) | ||||||||||||
Total from investment operations | 5.18 | (8.36 | ) | (7.43 | ) | 3.28 | (1.39 | ) | ||||||||||||
Less Distributions | — | — | — | — | (3.00 | ) | ||||||||||||||
Capital Contributions(d)(Note 4) | .03 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 26.20 | $ | 20.99 | $ | 29.35 | $ | 36.78 | $ | 33.50 | ||||||||||
Total Return(b) | 24.82 | %(e) | (28.48 | )% | (20.20 | )% | 9.79 | % | (2.94 | )% | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 42.0 | $ | 30.1 | $ | 43.5 | $ | 54.1 | $ | 61.2 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .96 | % | .88 | % | .85 | % | .88 | % | .90 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .97 | % | .91 | % | .90 | % | .91 | % | .90 | % | ||||||||||
Net investment income (loss) | .64 | % | .66 | % | .19 | % | .15 | % | .31 | % | ||||||||||
Portfolio turnover rate | 140 | % | 29 | % | 24 | % | 22 | % | 26 | % |
(a) | Calculated based upon average shares outstanding during the year. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 25.22% and 24.68%, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
C7
Financial Highlights
Small Capitalization Stock Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 26.94 | $ | 27.57 | $ | 26.16 | $ | 18.56 | $ | 17.00 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .35 | .30 | .25 | .22 | .26 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 6.72 | (.93 | ) | 1.16 | 7.38 | 2.35 | ||||||||||||||
Total from investment operations | 7.07 | (.63 | ) | 1.41 | 7.60 | 2.61 | ||||||||||||||
Less Distributions | — | — | — | — | (1.05 | ) | ||||||||||||||
Capital Contributions(d)(Note 4) | .07 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 34.08 | $ | 26.94 | $ | 27.57 | $ | 26.16 | $ | 18.56 | ||||||||||
Total Return(a) | 26.50 | %(e) | (2.29 | )% | 5.39 | % | 40.95 | % | 16.03 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 810.9 | $ | 682.4 | $ | 750.9 | $ | 770.1 | $ | 578.4 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .40 | % | .40 | % | .40 | % | .42 | % | .46 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .42 | % | .45 | % | .45 | % | .45 | % | .46 | % | ||||||||||
Net investment income (loss) | 1.21 | % | 1.06 | % | .96 | % | .92 | % | 1.43 | % | ||||||||||
Portfolio turnover rate | 20 | % | 16 | % | 15 | % | 14 | % | 10 | % | ||||||||||
Stock Index Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013(c) | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 48.59 | $ | 49.33 | $ | 47.02 | $ | 35.65 | $ | 31.47 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .89 | .86 | .79 | .73 | .68 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.52 | (.26 | ) | 5.20 | 10.64 | 4.19 | ||||||||||||||
Total from investment operations | 5.41 | .60 | 5.99 | 11.37 | 4.87 | |||||||||||||||
Less Distributions | (3.37 | ) | (1.34 | ) | (3.68 | ) | — | (.69 | ) | |||||||||||
Capital Contributions(d)(Note 4) | .07 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 50.70 | $ | 48.59 | $ | 49.33 | $ | 47.02 | $ | 35.65 | ||||||||||
Total Return(a) | 11.83 | %(f) | 1.18 | % | 13.31 | % | 31.89 | % | 15.68 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 3,305.1 | $ | 3,010.1 | $ | 3,312.7 | $ | 2,890.5 | $ | 2,340.3 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .32 | % | .32 | % | .32 | % | .32 | % | .32 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .34 | % | .37 | % | .37 | % | .37 | % | .37 | % | ||||||||||
Net investment income (loss) | 1.84 | % | 1.74 | % | 1.67 | % | 1.77 | % | 1.97 | % | ||||||||||
Portfolio turnover rate | 5 | % | 9 | % | 5 | % | 3 | % | 2 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Calculated based on average shares outstanding during the year. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 26.24%. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 11.69%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
Value Portfolio | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 24.31 | $ | 26.48 | $ | 24.05 | $ | 18.07 | $ | 15.93 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .46 | .39 | .29 | .22 | .22 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.28 | (2.56 | ) | 2.14 | 5.76 | 2.09 | ||||||||||||||
Total from investment operations | 2.74 | (2.17 | ) | 2.43 | 5.98 | 2.31 | ||||||||||||||
Less Distributions | — | — | — | — | (.17 | ) | ||||||||||||||
Capital Contributions(d)(Note 4) | .03 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 27.08 | $ | 24.31 | $ | 26.48 | $ | 24.05 | $ | 18.07 | ||||||||||
Total Return(b) | 11.39 | %(e) | (8.19 | )% | 10.10 | % | 33.09 | % | 14.62 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 1,375.1 | $ | 1,355.1 | $ | 1,592.6 | $ | 1,568.7 | $ | 1,263.3 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .42 | % | .43 | % | .40 | % | .40 | % | .43 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .42 | % | .43 | % | .42 | % | .43 | % | .43 | % | ||||||||||
Net investment income (loss) | 1.90 | % | 1.52 | % | 1.13 | % | 1.06 | % | 1.36 | % | ||||||||||
Portfolio turnover rate | 24 | % | 32 | % | 37 | % | 41 | % | 28 | % | ||||||||||
Value Portfolio | ||||||||||||||||||||
Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(a) | 2015(a) | 2014(a) | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 24.19 | $ | 26.45 | $ | 24.12 | $ | 18.20 | $ | 16.04 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .37 | .29 | .18 | .16 | .17 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.25 | (2.55 | ) | 2.15 | 5.76 | 2.08 | ||||||||||||||
Total from investment operations | 2.62 | (2.26 | ) | 2.33 | 5.92 | 2.25 | ||||||||||||||
Less Distributions | — | — | — | — | (.09 | ) | ||||||||||||||
Capital Contributions(d)(Note 4) | .03 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 26.84 | $ | 24.19 | $ | 26.45 | $ | 24.12 | $ | 18.20 | ||||||||||
Total Return(b) | 10.95 | %(e) | (8.54 | )% | 9.66 | % | 32.53 | % | 14.14 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 7.0 | $ | 9.7 | $ | 10.6 | $ | 7.4 | $ | 6.2 | ||||||||||
Ratios to average net assets(c): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .82 | % | .83 | % | .80 | % | .80 | % | .83 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .82 | % | .83 | % | .82 | % | .83 | % | .83 | % | ||||||||||
Net investment income (loss) | 1.53 | % | 1.12 | % | .73 | % | .66 | % | .95 | % | ||||||||||
Portfolio turnover rate | 24 | % | 32 | % | 37 | % | 41 | % | 28 | % |
(a) | Calculated based on average shares outstanding during the year. |
(b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 11.27% and 10.83%, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
C9
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio, High Yield Bond Portfolio, Jennison Portfolio, Government Money Market Portfolio, Natural Resources Portfolio, Small Capitalization Stock Portfolio, Stock Index Portfolio, and Value Portfolio (the “Portfolios”), each a portfolio of The Prudential Series Fund, including their respective schedules of investments, as of December 31, 2016, and their respective related statements of operations for the year then ended, statements of changes in net assets for each of the years in the two-year period then ended, and financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits 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 and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2016, and the results of their operations, the changes in their net assets and their financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 14, 2017
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Susan Davenport Austin* (Age: 49) Trustee Since 2011 Overseen by Trustee: 112 | Senior Managing Director of Brock Capital (since 2014); Vice Chairman of Sheridan Broadcasting Corporation (since 2013); Formerly Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Formerly Chairman of the Board of Directors, Broadcast Music, Inc. (2011-2014); Presiding Director of the Board of Directors, Broadcast Music, Inc. (since 2014); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | Director of NextEra Energy Partners, LP (NYSE:NEP) (February 2015-Present). | ||
Sherry S. Barrat* (Age: 67) Trustee Since 2013 Overseen by Trustee: 112 | Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust. | Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013). | ||
Jessica M. Bibliowicz* (Age: 57) Trustee Since 2014 Overseen by Trustee: 112 | Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products. | Director (since 2006) The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance). | ||
Kay Ryan Booth* (Age: 66) Trustee Since 2013 Overseen by Trustee: 112 | Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | None. | ||
Delayne Dedrick Gold* (Age: 78) Trustee Since 2003 Overseen by Trustee: 112 | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None. | ||
Robert F. Gunia* (Age: 70) Trustee Since 2003 Overseen by Trustee: 112 | Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | Director (Since May 1989) of The Asia-Pacific Fund, Inc. | ||
Thomas T. Mooney* (Age: 75) Trustee Since 2003 Independent Chair Since 2003 Overseen by Trustee: 112 | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | None. |
E1
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Thomas M. O’Brien* (Age: 66) Trustee Since 2003 Overseen by Trustee: 112 | Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006- January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | ||
Interested Trustee | ||||
Timothy S. Cronin* (Age: 51) Trustee Since 2009 Overseen by Trustee: 113 | President of Prudential Annuities (Since June 2015); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005). | None. |
* The address of each Trustee is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.
† The Fund Complex consists of all investment companies managed by Prudential Investments LLC. The Funds for which Prudential Investments LLC serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
Raymond A. O’Hara* (61) Chief Legal Officer Since 2012 | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | |
Chad A. Earnst* (41) Chief Compliance Officer Since 2014 | Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission. | |
Deborah A. Docs* (58) Secretary Since 2005 | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Jonathan D. Shain* (58) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Claudia DiGiacomo* (42) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004). | |
Andrew R. French* (53) Assistant Secretary Since 2006 | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | |
Kathleen DeNicholas* (42) Assistant Secretary Since 2013 | Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). |
E2
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
M. Sadiq Peshimam* (53) Treasurer and Principal Financial & Accounting Officer Since 2014 | Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC. | |
Peter Parrella* (58) Assistant Treasurer Since 2007 | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). | |
Lana Lomuti* (49) Assistant Treasurer Since 2014 | Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | |
Linda McMullin* (55) Assistant Treasurer Since 2014 | Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration. | |
Theresa C. Thompson* (54) Deputy Chief Compliance Officer Since 2008 | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). | |
Charles H. Smith* (44) Anti-Money Laundering Compliance Officer Since 2016 | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007). |
* The address for each officer is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
(1) Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
Presorted
Standard
U.S. Postage
PAID
Prudential
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
PSF-AR-A
The Prudential Series Fund
ANNUAL REPORT | December 31, 2016 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
SP International Growth Portfolio
Join the e-movement.SM
Enroll in e-delivery today!
By enrolling in e-Delivery, you’ll gain secure, online access to important documents with the flexibility to choose which documents you receive in the mail… and which ones you don’t!
Individual Annuity Contract Owners
Get started by visiting www.prudentialannuities.com/investor/edelivery and follow the instructions on the screen, or scan the code below.
Individual Life Insurance Contract Owners
To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.
Group Variable Universal Life Contract Owners
To receive your reports online, go to www.prudential.com/gulgvul, or scan the code.
Save paper and reduce clutter.
Receive Prospectuses and Reports electronically by enrolling today! |
The Prudential Series Fund
Table of Contents | Annual Report | December 31, 2016 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | MARKET OVERVIEW |
∎ | REPORT OF THE INVESTMENT MANAGER |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights | |||
Section D | Report of Independent Registered Public Accounting Firm | |||
Section E | Information about Trustees and Officers |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Annual Report | December 31, 2016 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | January 31, 2017 |
Market Overview — unaudited | Annual Report | December 31, 2016 |
Equity Market Overview
US Equities lifted by post-election optimism
In a year of surprises, US equities left no surprise regarding investor sentiment. After a powerful fourth quarter of 2016, the S&P 500, including dividends, returned 3.82% for the quarter and 11.94% for the year.
The year began on a down note. US stocks entered into a correction in January, jolted by a steep decline in manufacturing in China, followed by a massive selloff in China’s equity markets, which spilled over to all global markets. Market woes continued roughly through the first half of February, as stocks performed poorly, but then turned upward. In March, a strong rally powered stocks in the S&P 500 to rise by one of the largest gains in any single month in recent history. Continued low interest rates and a stabilization in oil prices helped stocks to rebound.
One of the biggest surprises took place in late June. The UK’s vote to leave the European Union, known as “Brexit,” briefly increased market volatility, although the macroeconomic fallout appeared manageable, if not limited. Volatility was generally kept in check during the third quarter. Also, riskier equities, such as companies in the technology and financial sectors, outperformed.
In the fourth quarter, the presidential election delivered the year’s biggest surprise as Donald Trump was elected the 45th president of the US. Stocks, especially financials, surged on the news, as Trump’s US-focus on a growth-friendly agenda was also seen as a boon for the US financial sector. In December, to no one’s surprise, the Fed raised interest rates by 0.25%.
Sector performance reflects strength in the economy
Sector performance was positive except for health care. Cyclical stocks, which are more sensitive to developments in the economy, outpaced most of their defensive counterparts. Energy led all sectors with a 27.36% gain, as oil prices climbed. The defensive, but dividend-paying, telecommunications sector rose by 23.49%, as the search for yield continues. Financials, were boosted by the election results, shot up 22.80%, with banks and diversified financial companies achieving impressive returns. Industrials churned out an 18.86% gain, led by construction and engineering companies. Materials turned in a strong performance, rising by 16.69%, as metals & mining and construction materials industries surged.
Utilities gained 16.29%, as independent power and renewable energy producers charge forward. Information technology clicked up by 13.85% on strength in the semi-conductor & semi-conductor equipment industry. The media industry and Internet catalogue & retail industries boosted consumer discretionary, which rose by 6.03%. Consumer staples rang up a 5.38% return on gains in the tobacco and food industries. Real estate posted a gain of 3.39%, on concerns over rising interest rates. Health care stumbled to a -2.69% return on weakness in the health care technology and biotechnology industries.
Small-caps show leadership in Russell Indexes
The Russell US Indexes, which measure equity performance with respect to stock-specific styles (value and growth) and capitalization levels (small-, mid-, and large-cap), were all in positive territory. Small-cap stocks, as measured by the Russell 2000® Index, gained 21.31% against their larger counterparts, which also reflected stronger business activity. The Russell Midcap® Index returned 13.80%. In large-cap stocks, the Russell 1000® Value Index gained 17.34% against the 7.08% return of the Russell 1000® Growth Index.
International and emerging markets mixed
The MSCI-EAFE Index, which measures the performance of developed markets excluding the United States and Canada, eked out a positive return of 1.0% net of dividends, for the year.
A lackluster fourth quarter hindered market performance for the year, especially in Europe which was fraught with political uncertainty. Most heavily weighted countries in Europe turned in a moderate performance. Germany returned 2.28%, France rose by 4.88%, and the UK fell by -0.10%. Austria gained 11.26% to lead the region, while Belgium lagged the region, falling to a -15.77% return.
Countries in the Pacific region generally gained. Hong Kong rose by 2.26%. Singapore gained 1.42%. Japan was positive with a 2.37% gain. Australia rose by 11.44% and New Zealand gained 18.37% on low interest rates and strong dividend-paying companies.
The MSCI Emerging Markets Index generally recorded solid gains, rising by 11.19%. The Brazil, Russia, India, and China (BRIC) group rose by 12.12%. Brazil rose by a whopping 66.24%, as a result of its new, pro-growth leadership. Re-energized Russian markets posted a huge 54.82% gain on rising oil prices. India dipped into negative territory with a -1.43% return, and China was slightly positive, returning 0.93%.
The Prudential Series Fund, SP International Growth Portfolio
| December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio: Class I | -3.58 | % | 6.45 | % | 0.78 | % | ||||||
Portfolio: Class II | -4.16 | 6.02 | 0.38 | |||||||||
MSCI EAFE® Index (GD) | 1.51 | 7.02 | 1.22 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS1
For the year ended December 31, 2016 the SP International Growth Portfolio Class I shares returned -3.58% and the Class II shares returned -4.16%.
The net assets of the Portfolio at December 31, 2016 were $64.2 million.
The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadvisers are William Blair & Company, Jennison Associates LLC, and Neuberger Berman Management LLC.
What were market conditions during the reporting period?
The MSCI EAFE Index advanced 1.51% for the year. Positive returns were driven mostly by the materials, energy, and industrial sectors. Specifically, metals and gold stocks rallied off of their bottom at the beginning of the year. Additionally, industrial conglomerates that sell globally (including into the US) improved dramatically. On the other hand, losses were common among major pharmaceutical companies, as uncertainties rose (both pre- and post-election) over the future of health care in the US. Also, for investors based in the US, returns from developed market countries were adversely affected due to the decline in foreign currencies versus the US dollar. The dollar advanced at the beginning of the year during the “risk off” environment, and then again at the end of the year following the election as investors anticipated what could be a stronger US economy and Fed interest rate tightening in 2017.
What strategies or holdings affected the Portfolio’s performance?
Within the Portfolio, risk exposures had the largest negative impact to relative performance. Specifically, underexposure to dividends and companies with lower valuations (lower price to book ratios) detracted the most. Many dividend-paying companies advanced through mid-year, as investors used these stocks as bond proxies in lieu of lower rate bonds. In addition, stocks with lower valuations such as Financials rose at the end of the year as interest rates rose. The Portfolio’s focus is on earnings growth, rather than dividends and lower valuations. Consequently, the subadvisers (especially William Blair and Jennison) were underexposed to the latter characteristics.
Allocations to various industries also hurt relative performance. For example, the subadvisers’ positions in information technology and software stocks, as well as their underweights to metals, mining, food, beverage, tobacco, oil, gas, and other consumable fuel stocks all detracted from the Portfolio. All three subadvisers are looking for companies with higher growth rates and strong balance sheets, so their focus on Technology stocks over the latter companies, which tend to have lower growth rates and, in some cases, more leveraged balance sheets, is not surprising.
Finally, both William Blair and Jennison allocated significantly to China, which had a further negative impact. China declined precipitously in January of 2016 on concerns about negative capital flows and the stability of their currency. Despite a partial recovery later in the year, on balance, investments in China detracted from results. This exposure is not surprising given China’s higher growth rates (relative to the rest of the developed world).
Positive stock selection mitigated negative relative performance for the Portfolio.
Did Portfolio use derivatives, and how did they affect performance?
There was no impact to relative performance from the use of derivatives. Participatory notes (P-notes) were used by Jennison to gain access to the Indian market.
1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares. |
The MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial company.
1
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | December 31, 2016 |
SP International Growth | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Alibaba Group Holding Ltd. | 3.0% | |||
Industria de Diseno Textil SA | 2.7% | |||
Tencent Holdings Ltd. | 2.7% | |||
Valeo SA | 2.2% | |||
Keyence Corp. | 2.1% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | December 31, 2016 |
As a contract owner investing in the Portfolio through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2016 through December 31, 2016.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolio | Beginning Account Value July 1, 2016 | Ending Account Value December 31, 2016 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP International Growth (Class I) | Actual | $ | 1,000.00 | $ | 998.30 | 1.01 | % | $ | 5.07 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.06 | 1.01 | % | $ | 5.13 | ||||||||||
SP International Growth (Class II) | Actual | $ | 1,000.00 | $ | 996.50 | 1.41 | % | $ | 7.08 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.05 | 1.41 | % | $ | 7.15 |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2016, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP INTERNATIONAL GROWTH PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 97.5% | Value (Note 2) | |||||||
COMMON STOCKS — 95.5% | Shares | |||||||
Argentina — 1.1% |
| |||||||
MercadoLibre, Inc. | 4,596 | $ | 717,620 | |||||
Australia — 1.2% |
| |||||||
Brambles Ltd. | 10,850 | 96,827 | ||||||
Insurance Australia Group Ltd. | 74,464 | 321,114 | ||||||
Macquarie Group Ltd. | 5,528 | 346,286 | ||||||
764,227 | ||||||||
Austria — 0.4% |
| |||||||
ANDRITZ AG | 4,810 | 241,048 | ||||||
Brazil — 1.0% |
| |||||||
Cielo SA | 23,800 | 203,946 | ||||||
Raia Drogasil SA | 24,242 | 455,762 | ||||||
659,708 | ||||||||
Canada — 4.3% |
| |||||||
Alimentation Couche-Tard, Inc. | 12,967 | 587,965 | ||||||
Brookfield Asset Management, Inc. | 13,081 | 431,804 | ||||||
Constellation Software, Inc. | 737 | 334,904 | ||||||
Home Capital Group, Inc. | 7,200 | 168,061 | ||||||
Peyto Exploration & Development Corp. | 7,100 | 175,616 | ||||||
Suncor Energy, Inc. | 20,052 | 655,631 | ||||||
Toronto-Dominion Bank (The) | 7,932 | 391,209 | ||||||
2,745,190 | ||||||||
China — 6.7% |
| |||||||
Alibaba Group Holding Ltd., ADR* | 21,654 | 1,901,438 | ||||||
Baidu, Inc., ADR* | 1,670 | 274,565 | ||||||
China Overseas Land & Investment Ltd. | 56,000 | 147,344 | ||||||
NetEase, Inc., ADR | 1,372 | 295,446 | ||||||
Tencent Holdings Ltd. | 70,525 | 1,710,028 | ||||||
4,328,821 | ||||||||
Denmark — 0.3% |
| |||||||
Nets A/S, 144A* | 11,940 | 208,975 | ||||||
Finland — 0.9% |
| |||||||
Kone OYJ (Class B Stock) | 5,453 | 243,661 | ||||||
Sampo OYJ (Class A Stock) | 7,105 | 317,613 | ||||||
561,274 | ||||||||
France — 10.1% |
| |||||||
Air Liquide SA | 2,009 | 223,399 | ||||||
Arkema SA | 5,969 | 583,476 | ||||||
BNP Paribas SA | 11,533 | 733,938 | ||||||
Dassault Systemes SE | 9,905 | 753,932 | ||||||
Elior Group, 144A | 8,490 | 193,949 | ||||||
Euler Hermes Group | 630 | 55,330 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 3,451 | 658,010 | ||||||
Pernod Ricard SA | 2,365 | 255,941 | ||||||
Publicis Groupe SA | 2,810 | 193,622 | ||||||
Schneider Electric SE | 3,565 | 247,656 | ||||||
Sodexo SA | 1,985 | 227,905 | ||||||
SPIE SA | 10,715 | 225,521 | ||||||
TOTAL SA | 12,646 | 648,642 | ||||||
Valeo SA | 24,392 | 1,400,296 | ||||||
Vinci SA | 1,428 | 97,140 | ||||||
6,498,757 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Germany — 6.3% |
| |||||||
adidas AG | 7,830 | $ | 1,234,937 | |||||
Brenntag AG | 3,755 | 208,136 | ||||||
Continental AG | 1,285 | 247,565 | ||||||
CTS Eventim AG & Co. KGaA | 3,050 | 96,046 | ||||||
Deutsche Boerse AG* | 2,510 | 204,253 | ||||||
Fresenius SE & Co. KGaA | 10,432 | 813,812 | ||||||
GEA Group AG | 3,215 | 129,020 | ||||||
Gerresheimer AG | 1,820 | 134,983 | ||||||
Rational AG | 267 | 119,080 | ||||||
SAP SE, ADR | 4,960 | 428,693 | ||||||
Siemens AG | 3,568 | 436,867 | ||||||
4,053,392 | ||||||||
Hong Kong — 1.7% |
| |||||||
AIA Group Ltd. | 69,000 | 386,527 | ||||||
Sands China Ltd. | 36,000 | 155,310 | ||||||
Techtronic Industries Co. Ltd. | 160,805 | 575,437 | ||||||
1,117,274 | ||||||||
India — 2.2% |
| |||||||
HDFC Bank Ltd., ADR | 18,255 | 1,107,713 | ||||||
Tata Motors Ltd., ADR | 8,459 | 290,905 | ||||||
1,398,618 | ||||||||
Ireland — 2.4% |
| |||||||
AerCap Holdings NV* | 6,100 | 253,821 | ||||||
Experian PLC | 20,327 | 393,566 | ||||||
Kingspan Group PLC | 11,136 | 301,034 | ||||||
Paddy Power Betfair PLC | 1,954 | 207,920 | ||||||
Ryanair Holdings PLC, ADR* | 4,373 | 364,096 | ||||||
1,520,437 | ||||||||
Israel — 1.2% |
| |||||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 137,559 | 260,925 | ||||||
Check Point Software Technologies Ltd.* | 4,350 | 367,401 | ||||||
Teva Pharmaceutical Industries Ltd., ADR | 4,700 | 170,375 | ||||||
798,701 | ||||||||
Italy — 2.0% |
| |||||||
Azimut Holding SpA | 11,225 | 186,710 | ||||||
Brembo SpA | 6,620 | 400,480 | ||||||
Brunello Cucinelli SpA | 15,888 | 340,133 | ||||||
Luxottica Group SpA | 7,119 | 382,622 | ||||||
1,309,945 | ||||||||
Japan — 11.3% |
| |||||||
Daikin Industries Ltd. | 7,200 | 659,584 | ||||||
Daito Trust Construction Co. Ltd. | 1,600 | 240,540 | ||||||
FANUC Corp. | 2,200 | 368,048 | ||||||
Fuji Heavy Industries Ltd. | 9,700 | 395,221 | ||||||
Hoya Corp. | 5,000 | 209,647 | ||||||
Kansai Paint Co. Ltd. | 15,800 | 290,620 | ||||||
Keyence Corp. | 1,937 | 1,325,391 | ||||||
Kose Corp. | 1,150 | 95,344 | ||||||
Makita Corp. | 4,300 | 287,321 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 57,400 | 354,004 | ||||||
Nabtesco Corp. | 4,700 | 108,951 | ||||||
Nippon Prologis, Inc., REIT | 102 | 208,577 |
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Japan (continued) |
| |||||||
Nitori Holdings Co. Ltd. | 2,600 | $ | 296,439 | |||||
ORIX Corp. | 24,100 | 375,099 | ||||||
Park24 Co. Ltd. | 3,400 | 92,070 | ||||||
Santen Pharmaceutical Co. Ltd. | 18,300 | 223,284 | ||||||
Shionogi & Co. Ltd. | 9,676 | 462,445 | ||||||
SMC Corp. | 1,150 | 273,613 | ||||||
Sundrug Co. Ltd. | 3,200 | 221,252 | ||||||
Sysmex Corp. | 6,439 | 372,042 | ||||||
Toyota Motor Corp. | 6,500 | 381,085 | ||||||
7,240,577 | ||||||||
Mexico — 0.7% |
| |||||||
Alsea SAB de CV, 144A(g) | 136,753 | 390,673 | ||||||
Wal-Mart de Mexico SAB de CV | 48,100 | 86,085 | ||||||
476,758 | ||||||||
Netherlands — 3.9% |
| |||||||
ASML Holding NV | 9,437 | 1,057,612 | ||||||
Heineken NV | 1,300 | 97,420 | ||||||
Koninklijke Ahold Delhaize NV | 14,643 | 308,427 | ||||||
Koninklijke Philips NV | 10,177 | 311,132 | ||||||
NXP Semiconductors NV* | 2,800 | 274,428 | ||||||
Royal Dutch Shell PLC (Class A Stock) | 15,621 | 426,073 | ||||||
2,475,092 | ||||||||
Norway — 0.2% |
| |||||||
Statoil ASA | 5,300 | 96,734 | ||||||
Singapore — 1.2% |
| |||||||
Broadcom Ltd. | 4,251 | 751,449 | ||||||
South Africa — 0.3% |
| |||||||
Bid Corp. Ltd. | 10,134 | 179,616 | ||||||
Spain — 4.2% |
| |||||||
Amadeus IT Group SA (Class A Stock) | 19,618 | 889,761 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 14,999 | 101,077 | ||||||
Industria de Diseno Textil SA | 50,503 | 1,720,439 | ||||||
2,711,277 | ||||||||
Sweden — 2.8% |
| |||||||
Atlas Copco AB (Class A Stock) | 30,209 | 916,438 | ||||||
Hexagon AB (Class B Stock) | 16,924 | 602,764 | ||||||
Nordea Bank AB | 27,490 | 304,606 | ||||||
1,823,808 | ||||||||
Switzerland — 7.2% |
| |||||||
Actelion Ltd.* | 2,028 | 438,268 | ||||||
Cie Financiere Richemont SA | 2,325 | 153,661 | ||||||
Geberit AG | 787 | 315,081 | ||||||
Givaudan SA | 465 | 851,030 | ||||||
Julius Baer Group Ltd.* | 4,865 | 215,528 | ||||||
Lonza Group AG* | 1,307 | 225,888 | ||||||
Novartis AG | 4,270 | 310,529 | ||||||
Partners Group Holding AG | 1,099 | 514,484 | ||||||
Roche Holding AG | 1,770 | 403,476 | ||||||
SGS SA | 180 | 365,717 | ||||||
Sonova Holding AG | 1,610 | 194,793 | ||||||
UBS Group AG | 16,150 | 252,513 | ||||||
Wolseley PLC | 5,938 | 362,494 | ||||||
4,603,462 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Taiwan — 0.8% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 90,000 | $ | 504,113 | |||||
Thailand — 0.9% |
| |||||||
CP ALL PCL | 328,897 | 574,023 | ||||||
United Kingdom — 12.8% |
| |||||||
Ashtead Group PLC | 29,765 | 578,646 | ||||||
ASOS PLC* | 13,056 | 797,700 | ||||||
BAE Systems PLC | 41,326 | 300,588 | ||||||
Barclays PLC | 100,149 | 274,845 | ||||||
Bunzl PLC | 11,822 | 306,917 | ||||||
Compass Group PLC | 35,970 | 664,786 | ||||||
DCC PLC | 2,815 | 209,243 | ||||||
Howden Joinery Group PLC | 45,275 | 213,655 | ||||||
IG Group Holdings PLC | 19,960 | 121,306 | ||||||
Johnson Matthey PLC | 7,754 | 303,395 | ||||||
Lloyds Banking Group PLC | 407,805 | 313,146 | ||||||
Micro Focus International PLC | 7,170 | 192,559 | ||||||
Prudential PLC | 14,951 | 298,386 | ||||||
RELX PLC | 37,292 | 664,566 | ||||||
Rio Tinto PLC | 9,289 | 354,638 | ||||||
Spectris PLC | 7,951 | 226,564 | ||||||
St. James’s Place PLC | 77,111 | 961,871 | ||||||
TalkTalk Telecom Group PLC | 72,450 | 150,927 | ||||||
Travis Perkins PLC | 12,499 | 223,436 | ||||||
Worldpay Group PLC, 144A(g) | 166,108 | 551,497 | ||||||
Worldpay Group PLC, 144A | 53,940 | 179,087 | ||||||
WPP PLC | 15,837 | 352,430 | ||||||
8,240,188 | ||||||||
United States — 7.4% |
| |||||||
Albemarle Corp. | 7,078 | 609,274 | ||||||
Aon PLC | 3,560 | 397,047 | ||||||
JPMorgan Chase & Co. | 7,641 | 659,342 | ||||||
Mobileye NV* | 15,500 | 590,860 | ||||||
Nielsen Holdings PLC | 5,920 | 248,344 | ||||||
Samsonite International SA | 68,000 | 193,567 | ||||||
Schlumberger Ltd. | 7,112 | 597,053 | ||||||
Shire PLC | 18,691 | 1,067,248 | ||||||
TE Connectivity Ltd. | 2,910 | 201,605 | ||||||
Yum China Holdings, Inc.* | 7,373 | 192,583 | ||||||
4,756,923 | ||||||||
TOTAL COMMON STOCKS |
| 61,358,007 | ||||||
Units | ||||||||
PARTICIPATORY NOTE† — 0.9% | ||||||||
India |
| |||||||
Maruti Suzuki India Ltd., Private Placement, expiring 07/26/17, 144A(g) | 7,396 | 578,945 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
PREFERRED STOCKS — 1.1% | Shares | Value (Note 2) | ||||||
Germany |
| |||||||
Henkel AG & Co. KGaA (PRFC) | 2,660 | $ | 316,647 | |||||
Sartorius AG (PRFC) | 5,114 | 378,897 | ||||||
TOTAL PREFERRED STOCKS |
| 695,544 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 62,632,496 | ||||||
SHORT-TERM INVESTMENTS — 2.0% | ||||||||
AFFILIATED MUTUAL FUND — 1.6% |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund | 996,130 | 996,130 | ||||||
UNAFFILIATED FUND — 0.4% |
| |||||||
Blackrock Liquidity Funds FedFund Portfolio | 235,928 | 235,928 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 1,232,058 | ||||||
TOTAL INVESTMENTS — 99.5% |
| 63,864,554 | ||||||
OTHER ASSETS IN EXCESS OF |
| 351,378 | ||||||
NET ASSETS — 100.0% |
| $ | 64,215,932 | |||||
The following abbreviations are used in the annual report:
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
ADR | American Depositary Receipt | |
LIBOR | London Interbank Offered Rate | |
OTC | Over-the-counter | |
PRFC | Preference Shares | |
REIT | Real Estate Investment Trust |
* | Non-income producing security. |
† | Participatory notes represented 0.9% of net assets, of which the Portfolio attributed 0.9% to Goldman Sachs & Co. as the counterparty to the securities. |
(g) | Indicates a security or securities that has been deemed illiquid. (unaudited) |
(w) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Ultra Short Bond Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Common Stocks |
| |||||||||||
Argentina | $ | 717,620 | $ | — | $ | — | ||||||
Australia | — | 764,227 | — | |||||||||
Austria | — | 241,048 | — | |||||||||
Brazil | 659,708 | — | — | |||||||||
Canada | 2,745,190 | — | — | |||||||||
China | 2,471,449 | 1,857,372 | — | |||||||||
Denmark | — | 208,975 | — | |||||||||
Finland | — | 561,274 | — | |||||||||
France | — | 6,498,757 | — | |||||||||
Germany | 428,693 | 3,624,699 | — | |||||||||
Hong Kong | — | 1,117,274 | — | |||||||||
India | 1,398,618 | — | — | |||||||||
Ireland | 617,917 | 902,520 | — | |||||||||
Israel | 537,776 | 260,925 | — | |||||||||
Italy | — | 1,309,945 | — | |||||||||
Japan | — | 7,240,577 | — | |||||||||
Mexico | 476,758 | — | — | |||||||||
Netherlands | 274,428 | 2,200,664 | — | |||||||||
Norway | — | 96,734 | — | |||||||||
Singapore | 751,449 | — | — | |||||||||
South Africa | — | 179,616 | — | |||||||||
Spain | — | 2,711,277 | — | |||||||||
Sweden | — | 1,823,808 | — | |||||||||
Switzerland | — | 4,603,462 | — | |||||||||
Taiwan | — | 504,113 | — | |||||||||
Thailand | 574,023 | — | — | |||||||||
United Kingdom | — | 8,240,188 | — | |||||||||
United States | 3,496,108 | 1,260,815 | — | |||||||||
Participatory Note |
| |||||||||||
India | — | 578,945 | — | |||||||||
Preferred Stocks |
| |||||||||||
Germany | — | 695,544 | — | |||||||||
Affiliated Mutual Fund | 996,130 | — | — | |||||||||
Unaffiliated Fund | 235,928 | — | — | |||||||||
Total | $ | 16,381,795 | $ | 47,482,759 | $ | — | ||||||
During the period, there were no transfers between Level 1 and Level 2 to report.
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Internet Software & Services | 7.6 | % | ||
Banks | 6.5 | |||
Textiles, Apparel & Luxury Goods | 4.5 | |||
Chemicals | 4.5 | |||
Insurance | 4.3 | |||
Machinery | 4.2 | |||
Software | 4.2 | |||
Semiconductors & Semiconductor Equipment | 4.0 | |||
Food & Staples Retailing | 3.7 | |||
Electronic Equipment, Instruments & Components | 3.7 | |||
Capital Markets | 3.5 | |||
Trading Companies & Distributors | 3.3 | |||
Auto Components | 3.2 | |||
IT Services | 3.2 | |||
Specialty Retail | 3.2 | |||
Oil, Gas & Consumable Fuels | 3.2 | |||
Hotels, Restaurants & Leisure | 3.1 | |||
Professional Services | 2.6 | |||
Automobiles | 2.6 | |||
Biotechnology | 2.4 | |||
Pharmaceuticals | 2.3 | |||
Building Products | 2.0 | |||
Health Care Equipment & Supplies | 1.8 | |||
Affiliated Mutual Fund | 1.6 | |||
Industrial Conglomerates | 1.5 |
Health Care Providers & Services | 1.3 | % | ||
Internet & Direct Marketing Retail | 1.2 | |||
Media | 0.9 | |||
Energy Equipment & Services | 0.9 | |||
Household Durables | 0.9 | |||
Diversified Telecommunication Services | 0.6 | |||
Real Estate Management & Development | 0.6 | |||
Diversified Financial Services | 0.6 | |||
Airlines | 0.6 | |||
Life Sciences Tools & Services | 0.6 | |||
Metals & Mining | 0.6 | |||
Beverages | 0.6 | |||
Construction & Engineering | 0.5 | |||
Household Products | 0.5 | |||
Aerospace & Defense | 0.5 | |||
Electrical Equipment | 0.4 | |||
Unaffiliated Fund | 0.4 | |||
Equity Real Estate Investment Trusts (REITs) | 0.3 | |||
Commercial Services & Supplies | 0.3 | |||
Thrifts & Mortgage Finance | 0.3 | |||
Personal Products | 0.2 | |||
99.5 | ||||
Other assets in excess of liabilities | 0.5 | |||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP INTERNATIONAL GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $56,574,470) | $ | 62,868,424 | ||
Affiliated investments (cost $996,130) | 996,130 | |||
Foreign currency, at value (cost $173,850) | 174,751 | |||
Tax reclaim receivable | 366,784 | |||
Receivable for investments sold | 116,570 | |||
Receivable for Series shares sold | 46,960 | |||
Dividends and interest receivable | 31,290 | |||
Receivable from affiliate | 2,107 | |||
Prepaid expenses | 746 | |||
Total assets | 64,603,762 | |||
LIABILITIES | ||||
Payable for investments purchased | 240,785 | |||
Accrued expenses and other liabilities | 68,538 | |||
Management fee payable | 45,917 | |||
Payable for Series shares repurchased | 31,511 | |||
Affiliated transfer agent fee payable | 980 | |||
Distribution fee payable | 62 | |||
Administration fee payable | 37 | |||
Total liabilities | 387,830 | |||
NET ASSETS | $ | 64,215,932 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 87,180,521 | ||
Retained earnings | (22,964,589 | ) | ||
Net assets, December 31, 2016 | $ | 64,215,932 | ||
Class I: | ||||
Net asset value and redemption price per share $63,939,714 / 10,805,411 outstanding shares of beneficial interest | $ | 5.92 | ||
Class II: | ||||
Net asset value and redemption price per share $276,218 / 47,933 outstanding shares of beneficial interest | $ | 5.76 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net) (foreign withholding tax $145,100, of which $13,008 is reimbursable by an affiliate) | $ | 1,250,708 | ||
Income from securities lending, net (including affiliated income of $38,209) | 46,037 | |||
Affiliated dividend income | 7,339 | |||
Total income | 1,304,084 | |||
EXPENSES | ||||
Management fee | 603,841 | |||
Distribution fee-Class II | 10,727 | |||
Administration fee-Class II | �� | 6,436 | ||
Custodian and accounting fees | 146,000 | |||
Shareholders’ reports | 42,000 | |||
Audit fee | 31,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Trustees’ fees | 11,000 | |||
Legal fees and expenses | 6,000 | |||
Insurance expenses | 1,000 | |||
Miscellaneous | 34,975 | |||
Total expenses | 904,979 | |||
Less: Management fee waiver and/or expense reimbursement | (157,911 | ) | ||
Net expenses | 747,068 | |||
NET INVESTMENT INCOME (LOSS) | 557,016 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (1,250,061 | ) | ||
Foreign currency transactions | (56,057 | ) | ||
(1,306,118 | ) | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,018,403 | ) | ||
Foreign currencies | (2,082 | ) | ||
(2,020,485 | ) | |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | (3,326,603 | ) | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (2,769,587 | ) | |
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 557,016 | $ | 399,946 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (1,306,118 | ) | 3,570,291 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (2,020,485 | ) | (1,156,885 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | (2,769,587 | ) | 2,813,352 | |||||
SERIES SHARE TRANSACTIONS (NOTE 7) | ||||||||
Series shares sold | 2,996,977 | 5,323,645 | ||||||
Series shares repurchased | (13,693,195 | ) | (12,028,146 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (10,696,218 | ) | (6,704,501 | ) | ||||
Capital Contributions (Note 4) | 132,747 | — | ||||||
TOTAL INCREASE (DECREASE) | (13,333,058 | ) | (3,891,149 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 77,548,990 | 81,440,139 | ||||||
End of year | $ | 64,215,932 | $ | 77,548,990 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
Note 1. | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the SP International Growth Portfolio (the “Portfolio”).
The Portfolio’s investment objective is long-term growth of capital.
Note 2. | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities Valuation: The Portfolio holds securities and other assets that are fair valued at the close of each day (generally 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
Common and preferred stocks, exchange-traded funds, and derivative instruments such, as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Participatory notes (“P-notes”) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
B1
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, the Portfolio may hold up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currency transactions.
Participatory Notes: The Portfolio may gain exposure to securities in certain foreign markets through investments in participatory notes P-notes. The Portfolio may purchase P-notes pending ability to invest directly in a foreign market due to restrictions applicable to foreign investors or other market factors.
P-notes are generally issued by banks or broker-dealers and are designed to offer a return linked to a particular underlying security. P-notes involve transaction costs, which may be higher than those applicable to
B2
the equity securities. An investment in a P-note may involve risks, including counterparty risk, beyond those normally associated with a direct investment in the underlying security. The Portfolio must rely on the creditworthiness of the counterparty and would have no rights against the issuer of the underlying security. Furthermore, the P-note’s performance may differ from that of the underlying security. The holder of the P-note is entitled to receive from the bank or broker-dealer, an amount equal to dividends paid by the issuer of the underlying security; however, the holder is not entitled to the same rights (e.g., dividends, voting rights) as an owner of the underlying security. There is also no assurance that there will be a secondary trading market for a P-note or that the trading price of a P-note will equal the value of the underlying security.
Concentration of Risk: Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
Master Netting Arrangements: The Portfolio is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Securities Lending: The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Pursuant to the repositioning of the money market fund as an ultra-short bond fund, for the period March 31, 2016 through July 18, 2016 the collateral was invested in an ultra-short bond fund. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested that may occur during the term of the loan.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on an accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
Net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, the Portfolio is treated as a separate taxpaying entity. The Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolio is not generally subject to
B3
entity-level taxation. Shareholders of the Portfolio are subject to taxes on their distributive share of partnership items.
Withholding taxes on foreign dividends, interest and foreign capital gains are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.
The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
Note 3. | Agreements |
The Series Fund has a management agreement with PI on behalf of the Portfolio. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into subadvisory agreements with Jennison Associates LLC (“Jennison”), Neuberger Berman Investment Advisers, LLC (“Neuberger Berman”) and William Blair & Company LLC (“William Blair”) (collectively, the “Subadvisers”), under which each provides investment advisory services for the Portfolio. PI pays for the services of the Subadvisers, the cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.
The management fee paid to PI is accrued daily and payable monthly at an annual rate of 0.85% of the Portfolio’s average daily net assets. Effective July 1, 2016 through June 30, 2017 PI has contractually agreed to waive a portion of its management fee equal to an annual rate of 0.011% of the average daily net assets of the Portfolio. Prior to July 1, 2016, PI had contractually agreed to waive a portion of its management fee equal to an annual rate of 0.013% of the average daily net assets of the Portfolio. The effective management fee rate net of waivers and/or expense reimbursement was 0.63% for the year ended December 31, 2016.
PI has contractually agreed through June 30, 2017 to limit the net annual operating expenses (exclusive of distribution and service (12b-1) fees, administrative fees, taxes (such as income and foreign withholdings taxes, stamp duty and deferred tax expenses), interest, underlying funds, brokerage, extraordinary and certain other expenses such as dividend, broker charges and interest expense on short sales) of each class of shares of the Portfolio to 1.01% of the Portfolio’s average daily net assets. Expenses waived/reimbursed by the Manager in accordance with this agreement may be recouped by the Manager within the same fiscal year during which such waiver/reimbursement is made if such recoupment can be realized without exceeding the expense limit in effect at the time of the recoupment for that fiscal year.
The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PIMS, PI, and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Series Fund has entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2016, brokerage commission recaptured under these agreements was $3,864.
B4
Note 4. | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Portfolio’s transfer agent. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Prior to July 7, 2016, PGIM, Inc. was the Portfolio’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”. For the period January 1, 2016 through February 4, 2016, PGIM, Inc. has been compensated $571 for these services. PGIM, Inc. had not received any compensation for the period February 5, 2016 through July 6, 2016.
In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Portfolio. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators are currently reviewing the matter.
Effective July 7, 2016, the Board replaced PGIM, Inc., an indirect, wholly-owned subsidiary of Prudential, as securities lending agent with a third party agent (Goldman Sachs Agency Lending).
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.
The Portfolio invests its overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”) and its securities lending cash collateral in the Prudential Institutional Money Market Fund, (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Portfolio is reimbursed by Prudential for foreign withholding taxes for certain countries due to the Portfolio’s status as a partnership for tax purposes, as set forth below:
2015 Withholding Tax | 2016 Withholding Tax | |||||||
SP International Growth | $ | 21,694 | $ | 13,008 |
Note 5. | Portfolio Securities |
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding U.S. Treasury securities and short-term issues) for the year ended December 31, 2016 were $39,293,634 and $49,331,811, respectively.
Note 6. | Tax Information |
The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
B5
Management has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Note 7. | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolio. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts will redeem shares of the Portfolio to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
Transactions in shares of beneficial interest were as follows:
Class I | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 468,237 | $ | 2,764,253 | |||||
Series shares repurchased | (1,297,726 | ) | (7,712,406 | ) | ||||
Capital contributions | — | 123,193 | ||||||
Net increase (decrease) in shares outstanding | (829,489 | ) | $ | (4,824,960 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 694,075 | $ | 4,396,614 | |||||
Series shares repurchased | (1,602,806 | ) | (10,011,034 | ) | ||||
Net increase (decrease) in shares outstanding | (908,731 | ) | $ | (5,614,420 | ) | |||
Class II | ||||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 40,492 | $ | 232,724 | |||||
Series shares repurchased | (1,001,053 | ) | (5,980,789 | ) | ||||
Capital contributions | — | 9,554 | ||||||
Net increase (decrease) in shares outstanding | (960,561 | ) | $ | (5,738,511 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 150,022 | $ | 927,031 | |||||
Series shares repurchased | (334,100 | ) | (2,017,112 | ) | ||||
Net increase (decrease) in shares outstanding | (184,078 | ) | $ | (1,090,081 | ) | |||
Note 8. | Borrowings |
The Portfolio, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The interest rate on borrowings under the SCA is paid monthly and at a per annum rate based upon the higher of 0%, the effective federal funds rate, or the One-Month LIBOR rate, plus a contractual spread. Prior to October 6, 2016, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee of .11% of the unused portion of the SCA. The interest rate on borrowings was substantially the same. The Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.
B6
The Portfolio did not utilize the SCA during the year ended December 31, 2016.
Note 9. | Ownership and Affiliates |
As of December 31, 2016, all of Class I shares of record of the Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
Note 10. | Recent Accounting Pronouncements and Reporting Updates |
In December 2016, the FASB released an Accounting Standards Update (“ASU”) that makes technical changes to various sections of the Accounting Standards Codification (“ASC”), including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and its impact on the financial statements and disclosures has not yet been determined.
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules also enhance disclosure regarding fund liquidity and redemption practices. Also under the new rules, the SEC will permit open-end funds, with the exception of money market funds, to offer swing pricing, subject to board approval and review. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures, if any.
B7
Financial Highlights
SP International Growth Portfolio | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance(c): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 6.14 | $ | 5.94 | $ | 6.30 | $ | 5.30 | $ | 4.36 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .05 | .03 | .03 | .02 | .08 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (.28 | ) | .17 | (.39 | ) | .98 | .89 | |||||||||||||
Total from investment operations | (.23 | ) | .20 | (.36 | ) | 1.00 | .97 | |||||||||||||
Less Distributions: | — | — | — | — | (.03 | ) | ||||||||||||||
Capital Contributions(e)(Note 4) | .01 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 5.92 | $ | 6.14 | $ | 5.94 | $ | 6.30 | $ | 5.30 | ||||||||||
Total Return(a) | (3.58 | )%(f) | 3.37 | % | (5.71 | )% | 18.87 | % | 22.40 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 63.9 | $ | 71.5 | $ | 74.5 | $ | 86.9 | $ | 80.9 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.03 | % | 1.22 | % | 1.23 | % | 1.30 | % | 1.19 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 1.25 | % | 1.23 | % | 1.24 | % | 1.31 | % | 1.19 | % | ||||||||||
Net investment income (loss) | .80 | .51 | % | .55 | % | .37 | % | 1.59 | % | |||||||||||
Portfolio turnover rate | 57 | % | 48 | % | 55 | % | 103 | % | 111 | % | ||||||||||
SP International Growth Portfolio | ||||||||||||||||||||
Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance(c): | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 6.01 | $ | 5.83 | $ | 6.21 | $ | 5.24 | $ | 4.30 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .04 | .01 | .01 | — | (d) | .06 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (.30 | ) | .17 | (.39 | ) | .97 | .88 | |||||||||||||
Total from investment operations | (.26 | ) | .18 | (.38 | ) | .97 | .94 | |||||||||||||
Capital Contributions(e)(Note 4) | .01 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 5.76 | $ | 6.01 | $ | 5.83 | $ | 6.21 | $ | 5.24 | ||||||||||
Total Return(a) | (4.16 | )%(f) | 3.09 | % | (6.12 | )% | 18.51 | % | 21.86 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 0.3 | $ | 6.1 | $ | 6.9 | $ | 9.1 | $ | 8.6 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.43 | % | 1.62 | % | 1.63 | % | 1.70 | % | 1.59 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 1.65 | % | 1.63 | % | 1.64 | % | 1.71 | % | 1.59 | % | ||||||||||
Net investment income (loss) | .61 | % | .13 | % | .17 | % | (.03 | )% | 1.16 | % | ||||||||||
Portfolio turnover rate | 57 | % | 48 | % | 55 | % | 103 | % | 111 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
(c) | Calculated based on average shares outstanding during the year. |
(d) | Less than $.005. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been (3.74)% and (4.33)%, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statement of assets and liabilities of SP International Growth Portfolio (the “Portfolio”), one of the portfolios constituting The Prudential Series Fund, including the schedule of investments, as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits 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 and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2016, and the results of its operations, the changes in its net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 14, 2017
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Susan Davenport Austin* (Age: 49) Trustee Since 2011 Overseen by Trustee: 112 | Senior Managing Director of Brock Capital (since 2014); Vice Chairman of Sheridan Broadcasting Corporation (since 2013); Formerly Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Formerly Chairman of the Board of Directors, Broadcast Music, Inc. (2011-2014); Presiding Director of the Board of Directors, Broadcast Music, Inc. (since 2014); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | Director of NextEra Energy Partners, LP (NYSE:NEP) (February 2015-Present). | ||
Sherry S. Barrat* (Age: 67) Trustee Since 2013 Overseen by Trustee: 112 | Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust. | Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013). | ||
Jessica M. Bibliowicz* (Age: 57) Trustee Since 2014 Overseen by Trustee: 112 | Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products. | Director (since 2006) The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance). | ||
Kay Ryan Booth* (Age: 66) Trustee Since 2013 Overseen by Trustee: 112 | Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | None. | ||
Delayne Dedrick Gold* (Age: 78) Trustee Since 2003 Overseen by Trustee: 112 | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None. | ||
Robert F. Gunia* (Age: 70) Trustee Since 2003 Overseen by Trustee: 112 | Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | Director (Since May 1989) of The Asia-Pacific Fund, Inc. | ||
Thomas T. Mooney* (Age: 75) Trustee Since 2003 Independent Chair Since 2003 Overseen by Trustee: 112 | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | None. |
E1
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Thomas M. O’Brien* (Age: 66) Trustee Since 2003 Overseen by Trustee: 112 | Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006- January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | ||
Interested Trustee | ||||
Timothy S. Cronin* (Age: 51) Trustee Since 2009 Overseen by Trustee: 113 | President of Prudential Annuities (Since June 2015); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005). | None. |
* The address of each Trustee is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.
† The Fund Complex consists of all investment companies managed by Prudential Investments LLC. The Funds for which Prudential Investments LLC serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
Raymond A. O’Hara* (61) Chief Legal Officer Since 2012 | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | |
Chad A. Earnst* (41) Chief Compliance Officer Since 2014 | Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission. | |
Deborah A. Docs* (58) Secretary Since 2005 | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Jonathan D. Shain* (58) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Claudia DiGiacomo* (42) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004). | |
Andrew R. French* (53) Assistant Secretary Since 2006 | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | |
Kathleen DeNicholas* (42) Assistant Secretary Since 2013 | Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). |
E2
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
M. Sadiq Peshimam* (53) Treasurer and Principal Financial & Accounting Officer Since 2014 | Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC. | |
Peter Parrella* (58) Assistant Treasurer Since 2007 | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). | |
Lana Lomuti* (49) Assistant Treasurer Since 2014 | Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | |
Linda McMullin* (55) Assistant Treasurer Since 2014 | Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration. | |
Theresa C. Thompson* (54) Deputy Chief Compliance Officer Since 2008 | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). | |
Charles H. Smith* (44) Anti-Money Laundering Compliance Officer Since 2016 | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007). |
* The address for each officer is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
(1) Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
Presorted
Standard
U.S. Postage
PAID
Prudential
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
PSF-AR-SP INTL GROWTH
The Prudential Series Fund
ANNUAL REPORT | December 31, 2016 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
SP Prudential U.S. Emerging Growth Portfolio
Join the e-movement.SM
Enroll in e-delivery today!
By enrolling in e-Delivery, you’ll gain secure, online access to important documents with the flexibility to choose which documents you receive in the mail… and which ones you don’t!
Individual Annuity Contract Owners
Get started by visiting www.prudentialannuities.com/investor/edelivery and follow the instructions on the screen, or scan the code below.
Individual Life Insurance Contract Owners
To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.
Group Variable Universal Life Contract Owners
To receive your reports online, go to www.prudential.com/gulgvul, or scan the code.
Save paper and reduce clutter.
Receive Prospectuses and Reports electronically by enrolling today! |
The Prudential Series Fund
Table of Contents | Annual Report | December 31, 2016 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | MARKET OVERVIEW |
∎ | REPORT OF THE INVESTMENT MANAGER |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights | |||
Section D | Report of Independent Registered Public Accounting Firm | |||
Section E | Information about Trustees and Officers |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Annual Report | December 31, 2016 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | January 31, 2017 |
Market Overview — unaudited | Annual Report | December 31, 2016 |
Equity Market Overview
US Equities lifted by post-election optimism
In a year of surprises, US equities left no surprise regarding investor sentiment. After a powerful fourth quarter of 2016, the S&P 500, including dividends, returned 3.82% for the quarter and 11.94% for the year.
The year began on a down note. US stocks entered into a correction in January, jolted by a steep decline in manufacturing in China, followed by a massive selloff in China’s equity markets, which spilled over to all global markets. Market woes continued roughly through the first half of February, as stocks performed poorly, but then turned upward. In March, a strong rally powered stocks in the S&P 500 to rise by one of the largest gains in any single month in recent history. Continued low interest rates and a stabilization in oil prices helped stocks to rebound.
One of the biggest surprises took place in late June. The UK’s vote to leave the European Union, known as “Brexit,” briefly increased market volatility, although the macroeconomic fallout appeared manageable, if not limited. Volatility was generally kept in check during the third quarter. Also, riskier equities, such as companies in the technology and financial sectors, outperformed.
In the fourth quarter, the presidential election delivered the year’s biggest surprise as Donald Trump was elected the 45th president of the US. Stocks, especially financials, surged on the news, as Trump’s US-focus on a growth-friendly agenda was also seen as a boon for the US financial sector. In December, to no one’s surprise, the Fed raised interest rates by 0.25%.
Sector performance reflects strength in the economy
Sector performance was positive except for health care. Cyclical stocks, which are more sensitive to developments in the economy, outpaced most of their defensive counterparts. Energy led all sectors with a 27.36% gain, as oil prices climbed. The defensive, but dividend-paying, telecommunications sector rose by 23.49%, as the search for yield continues. Financials, were boosted by the election results, shot up 22.80%, with banks and diversified financial companies achieving impressive returns. Industrials churned out an 18.86% gain, led by construction and engineering companies. Materials turned in a strong performance, rising by 16.69%, as metals & mining and construction materials industries surged.
Utilities gained 16.29%, as independent power and renewable energy producers charge forward. Information technology clicked up by 13.85% on strength in the semi-conductor & semi-conductor equipment industry. The media industry and Internet catalogue & retail industries boosted consumer discretionary, which rose by 6.03%. Consumer staples rang up a 5.38% return on gains in the tobacco and food industries. Real estate posted a gain of 3.39%, on concerns over rising interest rates. Health care stumbled to a -2.69% return on weakness in the health care technology and biotechnology industries.
Small-caps show leadership in Russell Indexes
The Russell US Indexes, which measure equity performance with respect to stock-specific styles (value and growth) and capitalization levels (small-, mid-, and large-cap), were all in positive territory. Small-cap stocks, as measured by the Russell 2000® Index, gained 21.31% against their larger counterparts, which also reflected stronger business activity. The Russell Midcap® Index returned 13.80%. In large-cap stocks, the Russell 1000® Value Index gained 17.34% against the 7.08% return of the Russell 1000® Growth Index.
International and emerging markets mixed
The MSCI-EAFE Index, which measures the performance of developed markets excluding the United States and Canada, eked out a positive return of 1.0% net of dividends, for the year.
A lackluster fourth quarter hindered market performance for the year, especially in Europe which was fraught with political uncertainty. Most heavily weighted countries in Europe turned in a moderate performance. Germany returned 2.28%, France rose by 4.88%, and the UK fell by -0.10%. Austria gained 11.26% to lead the region, while Belgium lagged the region, falling to a -15.77% return.
Countries in the Pacific region generally gained. Hong Kong rose by 2.26%. Singapore gained 1.42%. Japan was positive with a 2.37% gain. Australia rose by 11.44% and New Zealand gained 18.37% on low interest rates and strong dividend-paying companies.
The MSCI Emerging Markets Index generally recorded solid gains, rising by 11.19%. The Brazil, Russia, India, and China (BRIC) group rose by 12.12%. Brazil rose by a whopping 66.24%, as a result of its new, pro-growth leadership. Re-energized Russian markets posted a huge 54.82% gain on rising oil prices. India dipped into negative territory with a -1.43% return, and China was slightly positive, returning 0.93%.
The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio
| December 31, 2016 |
Report of the Investment Managers - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio: Class I | 4.32 | % | 10.87 | % | 8.10 | % | ||||||
Portfolio: Class II | 3.81 | 10.41 | 7.69 | |||||||||
Russell Midcap® Growth Index | 7.33 | 13.51 | 7.83 | |||||||||
S&P Midcap 400 Index | 20.74 | 15.33 | 9.16 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. The Russell Midcap® Growth Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS1
For the year ended December 31, 2016, the SP Prudential U.S. Emerging Growth Portfolio Class I shares returned 4.32% and Class II shares returned 3.81%.
The net assets of the Portfolio at December 31, 2016 were $218.4 million.
The Portfolio’s investment objective is long-term capital appreciation. The Portfolio’s subadviser is Jennison Associates LLC.
What were market conditions during the reporting period?
2016 was a year of volatility and surprises. Decelerating economic growth in China; the negative effect of lower energy prices on industrial sectors; fears of slowing economic growth in the US; uncertainty about the course of future Federal Reserve monetary tightening; Brexit, the United Kingdom’s vote to leave the European Union; and anxiety about the highly unconventional US presidential election all contributed to volatility. US dollar strength persisted throughout 2016, as superior US economic growth drove a strong preference for the dollar and dollar-denominated assets.
What strategies or holdings affected the Portfolio performance?
The information technology sector was the largest detractor from relative performance due largely to stock selection in a number of different industries, though a modest underweight to the sector also detracted. LinkedIn’s decline reflected signs of significant deceleration in recent high growth rates. The position was eliminated, based on a potential negative impact to share price performance. Also, the Portfolio did not hold NVIDIA, a meaningful contributor to S&P Midcap 400 Index returns, and this detracted from relative performance.
Holdings in health care were also a source of weakness due to stock selection and a slight overweight. Portfolio holdings in pharmaceutical companies were poor performers in aggregate. The Portfolio’s large overweight in health care providers and services also detracted. Endo International was a key detractor as shares fell on the announcement that it was reducing its earnings expectations. The holding was eliminated after the investment decision did not play out as expected. Stock selection in consumer staples also hurt relative results.
Financials and consumer discretionary contributed the most to relative performance. In financials, stock selection and a meaningful overweight stance over the course of the year was beneficial. Positions in consumer finance and real estate investment trusts (REITs) performed particularly well. Shares of SLM rose on election results as Donald Trump’s victory could mean diminished regulatory risk, an increase in loan origination volumes, and the possibility that private student lenders will play a bigger role in the higher education finance ecosystem. In the opinion of the subadviser, the company can potentially outpace industry growth given increased sales efforts, product breadth, and an improved operating/servicing platform.
Stock selection drove outperformance in consumer discretionary. An underweight also helped, although to a lesser degree. Burlington Stores reported healthy results with both top-line and bottom-line results beating expectations. The investment thesis remains intact as the company appears to be making progress in upgrading the quality of its assortment and improving the store experience, as it seeks to bridge the productivity and margin gap with its larger peers, TJ Maxx and Ross Stores.
Copart, a provider of online auctions and vehicle remarketing services with a recurring revenue business model and good visibility into earnings, was also a notable contributor to total return as the investment decision played out in the period.
1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15% respectively of the average daily net assets of the Class II shares. |
The Russell Midcap Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The S&P Midcap 400 Index is a widely accepted, unmanaged total return index of 400 domestic stocks measuring the performance of the midsize company segment of the U.S. stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
1
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | December 31, 2016 |
SP Prudential U.S. Emerging Growth | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Dollar Tree, Inc. | 2.7% | |||
SBA Communications Corp. (Class A Stock) | 2.7% | |||
Vantiv, Inc. (Class A Stock) | 2.3% | |||
Roper Technologies, Inc. | 2.1% | |||
Analog Devices, Inc. | 2.0% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | December 31, 2016 |
As a contract owner investing in the Portfolio through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2016 through December 31, 2016.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolio | Beginning Account Value July 1, 2016 | Ending Account Value December 31, 2016 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP Prudential US Emerging Growth (Class I) | Actual | $ | 1,000.00 | $ | 1,035.10 | 0.69 | % | $ | 3.53 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,021.67 | 0.69 | % | $ | 3.51 | ||||||||||
SP Prudential US Emerging Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,032.50 | 1.09 | % | $ | 5.57 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.66 | 1.09 | % | $ | 5.53 |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2016, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS 96.7% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Airlines — 1.1% |
| |||||||
Spirit Airlines, Inc.* | 42,540 | $ | 2,461,364 | |||||
Auto Components — 1.1% |
| |||||||
Delphi Automotive PLC (United Kingdom) | 36,208 | 2,438,609 | ||||||
Banks — 1.5% |
| |||||||
First Republic Bank | 34,368 | 3,166,668 | ||||||
Biotechnology — 1.5% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 9,050 | 1,107,268 | ||||||
BioMarin Pharmaceutical, Inc.* | 26,862 | 2,225,248 | ||||||
3,332,516 | ||||||||
Building Products — 0.9% |
| |||||||
Allegion PLC | 30,295 | 1,938,880 | ||||||
Capital Markets — 4.0% |
| |||||||
Affiliated Managers Group, Inc.* | 24,430 | 3,549,679 | ||||||
Intercontinental Exchange, Inc. | 37,506 | 2,116,089 | ||||||
MarketAxess Holdings, Inc. | 1,425 | 209,361 | ||||||
TD Ameritrade Holding Corp. | 64,180 | 2,798,248 | ||||||
8,673,377 | ||||||||
Chemicals — 2.7% |
| |||||||
Axalta Coating Systems Ltd.* | 74,788 | 2,034,233 | ||||||
FMC Corp.(a) | 46,453 | 2,627,382 | ||||||
WR Grace & Co. | 18,447 | 1,247,755 | ||||||
5,909,370 | ||||||||
Commercial Services & Supplies — 2.4% |
| |||||||
Copart, Inc.* | 52,207 | 2,892,790 | ||||||
Stericycle, Inc.* | 29,408 | 2,265,592 | ||||||
5,158,382 | ||||||||
Communications Equipment — 1.3% |
| |||||||
Palo Alto Networks, Inc.*(a) | 22,935 | 2,868,022 | ||||||
Construction & Engineering — 1.2% |
| |||||||
Quanta Services, Inc.* | 76,510 | 2,666,374 | ||||||
Construction Materials — 0.6% | ||||||||
Vulcan Materials Co. | 10,672 | 1,335,601 | ||||||
Consumer Finance — 1.9% |
| |||||||
SLM Corp.* | 370,699 | 4,085,103 | ||||||
Containers & Packaging — 0.8% |
| |||||||
Sealed Air Corp. | 39,610 | 1,795,917 | ||||||
Diversified Telecommunication Services — 2.7% |
| |||||||
SBA Communications Corp. | 56,342 | 5,817,875 | ||||||
Electrical Equipment — 1.7% |
| |||||||
AMETEK, Inc. | 76,969 | 3,740,693 | ||||||
Electronic Equipment, Instruments & Components — 2.8% |
| |||||||
Amphenol Corp. (Class A Stock) | 58,707 | 3,945,110 | ||||||
CDW Corp. | 29,316 | 1,527,071 | ||||||
IPG Photonics Corp.* | 6,656 | 657,014 | ||||||
6,129,195 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 2.5% |
| |||||||
Crown Castle International Corp. | 28,484 | 2,471,557 | ||||||
Equinix, Inc. | 8,081 | 2,888,230 | ||||||
5,359,787 | ||||||||
COMMON STOCKS | ||||||||
(continued) | Shares | Value (Note 2) | ||||||
Food & Staples Retailing — 1.1% |
| |||||||
Sprouts Farmers Market, Inc.*(a) | 126,806 | $ | 2,399,170 | |||||
Food Products — 3.8% | ||||||||
Hain Celestial Group, Inc. (The)* | 91,126 | 3,556,648 | ||||||
J.M. Smucker Co. (The) | 12,223 | 1,565,277 | ||||||
Mead Johnson Nutrition Co. | 29,519 | 2,088,764 | ||||||
TreeHouse Foods, Inc.*(a) | 15,219 | 1,098,660 | ||||||
8,309,349 | ||||||||
Health Care Equipment & Supplies — 4.3% |
| |||||||
Align Technology, Inc.* | 17,934 | 1,723,995 | ||||||
C.R. Bard, Inc. | 5,294 | 1,189,350 | ||||||
Cooper Cos., Inc. (The) | 11,182 | 1,956,067 | ||||||
DexCom, Inc.*(a) | 27,339 | 1,632,138 | ||||||
Edwards Lifesciences Corp.* | 19,885 | 1,863,225 | ||||||
West Pharmaceutical Services, Inc. | 13,254 | 1,124,337 | ||||||
9,489,112 | ||||||||
Health Care Providers & Services — 4.6% |
| |||||||
Centene Corp.* | 59,094 | 3,339,402 | ||||||
Henry Schein, Inc.* | 14,437 | 2,190,237 | ||||||
Laboratory Corp. of America Holdings* | 24,328 | 3,123,229 | ||||||
Universal Health Services, Inc. | 13,980 | 1,487,192 | ||||||
10,140,060 | ||||||||
Hotels, Restaurants & Leisure — 5.0% |
| |||||||
Aramark | 70,698 | 2,525,332 | ||||||
Hilton Grand Vacations, Inc.* | 10 | 260 | ||||||
Hilton Worldwide Holdings, Inc.* | 53,475 | 2,976,400 | ||||||
Marriott International, Inc. | 13,202 | 1,091,541 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 63,106 | 2,683,898 | ||||||
Park Hotels & Resorts, Inc.* | 32,084 | 959,312 | ||||||
Vail Resorts, Inc. | 4,712 | 760,093 | ||||||
10,996,836 | ||||||||
Household Products — 1.4% |
| |||||||
Church & Dwight Co., Inc. | 52,119 | 2,303,138 | ||||||
Clorox Co. (The) | 5,743 | 689,275 | ||||||
2,992,413 | ||||||||
Independent Power & Renewable Electricity Producers — 0.6% |
| |||||||
Atlantica Yield PLC (Spain) | 69,461 | 1,344,070 | ||||||
Industrial Conglomerates — 2.9% |
| |||||||
Carlisle Cos., Inc. | 16,119 | 1,777,764 | ||||||
Roper Technologies, Inc. | 25,307 | 4,633,206 | ||||||
6,410,970 | ||||||||
IT Services — 5.4% |
| |||||||
Fidelity National Information Services, Inc. | 25,762 | 1,948,638 | ||||||
FleetCor Technologies, Inc.* | 17,046 | 2,412,350 | ||||||
Global Payments, Inc. | 34,771 | 2,413,455 | ||||||
Vantiv, Inc. (Class A Stock)* | 82,851 | 4,939,576 | ||||||
11,714,019 | ||||||||
�� | ||||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
Quintiles Transnational Holdings, Inc.* | 31,829 | 2,420,595 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS | ||||||||
(continued) | Shares | Value (Note 2) | ||||||
Media — 1.3% |
| |||||||
AMC Networks, Inc. (Class A Stock)* | 40,241 | $ | 2,106,214 | |||||
Cinemark Holdings, Inc. | 20,891 | 801,379 | ||||||
2,907,593 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.2% |
| |||||||
MFA Financial, Inc. | 236,839 | 1,807,081 | ||||||
Starwood Property Trust, Inc. | 139,103 | 3,053,311 | ||||||
4,860,392 | ||||||||
Multiline Retail — 3.7% |
| |||||||
Dollar General Corp. | 30,641 | 2,269,579 | ||||||
Dollar Tree, Inc.*(a) | 75,838 | 5,853,177 | ||||||
8,122,756 | ||||||||
Oil, Gas & Consumable Fuels — 2.3% |
| |||||||
Concho Resources, Inc.* | 7,795 | 1,033,617 | ||||||
Noble Energy, Inc. | 62,426 | 2,375,934 | ||||||
Targa Resources Corp. | 27,220 | 1,526,225 | ||||||
4,935,776 | ||||||||
Pharmaceuticals — 1.3% |
| |||||||
Zoetis, Inc. | 53,424 | 2,859,787 | ||||||
Professional Services — 1.7% |
| |||||||
IHS Markit Ltd. (United Kingdom)* | 102,625 | 3,633,951 | ||||||
Real Estate Management & Development — 1.7% |
| |||||||
CBRE Group, Inc. (Class A Stock)* | 116,008 | 3,653,092 | ||||||
Road & Rail — 0.9% |
| |||||||
JB Hunt Transport Services, Inc. | 20,010 | 1,942,371 | ||||||
Semiconductors & Semiconductor Equipment — 3.8% |
| |||||||
Analog Devices, Inc. | 60,754 | 4,411,955 | ||||||
NXP Semiconductors NV (Netherlands)* | 40,067 | 3,926,967 | ||||||
8,338,922 | ||||||||
Software — 7.7% |
| |||||||
Check Point Software Technologies Ltd. (Israel)*(a) | 28,349 | 2,394,357 | ||||||
Electronic Arts, Inc.* | 44,836 | 3,531,283 | ||||||
Intuit, Inc. | 15,135 | 1,734,622 | ||||||
Red Hat, Inc.* | 59,865 | 4,172,591 | ||||||
ServiceNow, Inc.* | 34,428 | 2,559,378 | ||||||
Splunk, Inc.*(a) | 46,732 | 2,390,342 | ||||||
16,782,573 | ||||||||
Specialty Retail — 8.1% |
| |||||||
AutoZone, Inc.* | 3,565 | 2,815,601 | ||||||
Burlington Stores, Inc.*(a) | 35,659 | 3,022,100 | ||||||
O’Reilly Automotive, Inc.*(a) | 7,474 | 2,080,836 | ||||||
Ross Stores, Inc. | 48,851 | 3,204,626 | ||||||
Signet Jewelers Ltd.(a) | 29,483 | 2,779,068 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 14,770 | 3,765,464 | ||||||
17,667,695 | ||||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
Kate Spade & Co.* | 75,533 | 1,410,201 | ||||||
Under Armour, Inc. | 11,572 | 336,167 | ||||||
1,746,368 | ||||||||
COMMON STOCKS | ||||||||
(continued) | Shares | Value (Note 2) | ||||||
Trading Companies & Distributors — 0.3% |
| |||||||
Fastenal Co.(a) | 13,896 | $ | 652,834 | |||||
TOTAL LONG-TERM INVESTMENTS |
| 211,198,437 | ||||||
SHORT-TERM INVESTMENTS — 16.0% | ||||||||
AFFILIATED MUTUAL FUNDS |
| |||||||
Prudential Investment Portfolios 2 —Prudential Core Ultra Short | 7,531,334 | 7,531,334 | ||||||
Prudential Investment Portfolios 2 —Prudential Institutional Money Market Fund (cost $27,537,758; includes $27,517,855 of cash collateral for securities on | 27,537,120 | 27,542,627 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 35,073,961 | ||||||
TOTAL INVESTMENTS — 112.7% |
| 246,272,398 | ||||||
LIABILITIES IN EXCESS OF |
| (27,827,318 | ) | |||||
NET ASSETS — 100.0% |
| $ | 218,445,080 | |||||
The following abbreviation is used in the annual report:
LIBOR | London Interbank Offered Rate |
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement is $26,747,803; cash collateral of $27,517,855 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
(c) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Airlines | $ | 2,461,364 | $ | — | $ | — | ||||||
Auto Components | 2,438,609 | — | — | |||||||||
Banks | 3,166,668 | — | — | |||||||||
Biotechnology | 3,332,516 | — | — | |||||||||
Building Products | 1,938,880 | — | — | |||||||||
Capital Markets | 8,673,377 | — | — | |||||||||
Chemicals | 5,909,370 | — | — | |||||||||
Commercial Services & Supplies | 5,158,382 | — | — | |||||||||
Communications Equipment | 2,868,022 | — | — | |||||||||
Construction & Engineering | 2,666,374 | — | — | |||||||||
Construction Materials | 1,335,601 | — | — | |||||||||
Consumer Finance | 4,085,103 | — | — | |||||||||
Containers & Packaging | 1,795,917 | — | — | |||||||||
Diversified Telecommunication Services | 5,817,875 | — | — | |||||||||
Electrical Equipment | 3,740,693 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 6,129,195 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 5,359,787 | — | — | |||||||||
Food & Staples Retailing | 2,399,170 | — | — | |||||||||
Food Products | 8,309,349 | — | — | |||||||||
Health Care Equipment & Supplies | 9,489,112 | — | — | |||||||||
Health Care Providers & Services | 10,140,060 | — | — | |||||||||
Hotels, Restaurants & Leisure | 10,996,836 | — | — | |||||||||
Household Products | 2,992,413 | — | — | |||||||||
Independent Power & Renewable Electricity Producers | 1,344,070 | — | — | |||||||||
Industrial Conglomerates | 6,410,970 | — | — | |||||||||
IT Services | 11,714,019 | — | — | |||||||||
Life Sciences Tools & Services | 2,420,595 | — | — | |||||||||
Media | 2,907,593 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 4,860,392 | — | — | |||||||||
Multiline Retail | 8,122,756 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 4,935,776 | — | — | |||||||||
Pharmaceuticals | 2,859,787 | — | — | |||||||||
Professional Services | 3,633,951 | — | — | |||||||||
Real Estate Management & Development | 3,653,092 | — | — | |||||||||
Road & Rail | 1,942,371 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 8,338,922 | — | — | |||||||||
Software | 16,782,573 | — | — | |||||||||
Specialty Retail | 17,667,695 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 1,746,368 | — | — | |||||||||
Trading Companies & Distributors | 652,834 | — | — | |||||||||
Affiliated Mutual Funds | 35,073,961 | — | — | |||||||||
Total | $ | 246,272,398 | $ | — | $ | — | ||||||
During the period, there were no transfers between Level 1 and Level 2 to report.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Affiliated Mutual Funds (including 12.6% of collateral for securities on loan) | 16.0 | % | ||
Specialty Retail | 8.1 | |||
Software | 7.7 | |||
IT Services | 5.4 | |||
Hotels, Restaurants & Leisure | 5.0 | |||
Health Care Providers & Services | 4.6 |
Health Care Equipment & Supplies | 4.3 | % | ||
Capital Markets | 4.0 | |||
Semiconductors & Semiconductor Equipment | 3.8 | |||
Food Products | 3.8 | |||
Multiline Retail | 3.7 | |||
Industrial Conglomerates | 2.9 | |||
Electronic Equipment, Instruments & Components | 2.8 |
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Industry table (cont.) | ||||
Chemicals | 2.7 | % | ||
Diversified Telecommunication Services | 2.7 | |||
Equity Real Estate Investment Trusts (REITs) | 2.5 | |||
Commercial Services & Supplies | 2.4 | |||
Oil, Gas & Consumable Fuels | 2.3 | |||
Mortgage Real Estate Investment Trusts (REITs) | 2.2 | |||
Consumer Finance | 1.9 | |||
Electrical Equipment | 1.7 | |||
Real Estate Management & Development | 1.7 | |||
Professional Services | 1.7 | |||
Biotechnology | 1.5 | |||
Banks | 1.5 | |||
Household Products | 1.4 | |||
Media | 1.3 | |||
Communications Equipment | 1.3 | |||
Pharmaceuticals | 1.3 |
Construction & Engineering | 1.2 | % | ||
Airlines | 1.1 | |||
Auto Components | 1.1 | |||
Life Sciences Tools & Services | 1.1 | |||
Food & Staples Retailing | 1.1 | |||
Road & Rail | 0.9 | |||
Building Products | 0.9 | |||
Containers & Packaging | 0.8 | |||
Textiles, Apparel & Luxury Goods | 0.8 | |||
Independent Power & Renewable Electricity Producers | 0.6 | |||
Construction Materials | 0.6 | |||
Trading Companies & Distributors | 0.3 | |||
112.7 | ||||
Liabilities in excess of other assets | (12.7 | ) | ||
100.0 | % | |||
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets (1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 26,747,803 | $ | (26,747,803 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $26,747,803: | ||||
Unaffiliated investments (cost $161,312,399) | $ | 211,198,437 | ||
Affiliated investments (cost $35,069,092) | 35,073,961 | |||
Receivable for investments sold | 430,121 | |||
Dividends receivable | 163,092 | |||
Tax reclaim receivable | 4,832 | |||
Receivable for Series shares sold | 381 | |||
Prepaid expenses | 1,990 | |||
Total Assets | 246,872,814 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 27,517,855 | |||
Payable for investments purchased | 662,458 | |||
Management fee payable | 111,981 | |||
Payable for Series shares repurchased | 78,237 | |||
Accrued expenses and other liabilities | 55,263 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 696 | |||
Distribution fee payable | 165 | |||
Administration fee payable | 99 | |||
Total Liabilities | 28,427,734 | |||
NET ASSETS | $ | 218,445,080 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 68,889,590 | ||
Retained earnings | 149,555,490 | |||
Net assets, December 31, 2016 | $ | 218,445,080 | ||
Class I: | ||||
Net asset value and redemption price per share $217,669,883 / 18,022,437 outstanding shares of beneficial interest | $ | 12.08 | ||
Class II: | ||||
Net asset value and redemption price per share $775,197 / 67,736 outstanding shares of beneficial interest | $ | 11.44 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income | $ | 1,595,044 | ||
Income from securities lending, net (including affiliated income of $54,887) | 63,096 | |||
Affiliated dividend income | 44,453 | |||
Total income | 1,702,593 | |||
EXPENSES | ||||
Management fee | 1,294,582 | |||
Distribution fee—Class II | 2,023 | |||
Administration fee—Class II | 1,214 | |||
Shareholders’ reports | 66,000 | |||
Custodian and accounting fees (net of $4,500 fee credit) | 46,000 | |||
Audit fee | 32,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Trustees’ fees | 11,000 | |||
Legal fees and expenses | 8,000 | |||
Insurance expenses | 3,000 | |||
Miscellaneous | 8,908 | |||
Total expenses | 1,484,727 | |||
NET INVESTMENT INCOME (LOSS) | 217,866 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on investment transactions (including affiliated of $3,439) | 13,547,265 | |||
Net change in unrealized appreciation (depreciation) on investments (including affiliated of $4,869) | (5,142,581 | ) | ||
NET GAIN (LOSS) ON INVESTMENT TRANSACTIONS | 8,404,684 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 8,622,550 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 217,866 | $ | (37,010 | ) | |||
Net realized gain (loss) on investment transactions | 13,547,265 | 18,915,771 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (5,142,581 | ) | (23,989,562 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 8,622,550 | (5,110,801 | ) | |||||
SERIES SHARE TRANSACTIONS (Note 7) | ||||||||
Series shares sold | 6,067,187 | 5,696,276 | ||||||
Series shares repurchased | (20,680,651 | ) | (26,437,348 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (14,613,464 | ) | (20,741,072 | ) | ||||
CAPITAL CONTRIBUTIONS (Note 4) | 283,188 | — | ||||||
TOTAL INCREASE (DECREASE) | (5,707,726 | ) | (25,851,873 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 224,152,806 | 250,004,679 | ||||||
End of year | $ | 218,445,080 | $ | 224,152,806 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
Note 1. | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to SP Prudential U.S. Emerging Growth (the “Portfolio”).
The Portfolio’s investment objective is long-term capital appreciation.
Note 2. | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities Valuation: The Portfolio holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
Common and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
B1
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, the Portfolio may invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currency transactions.
Master Netting Arrangements: The Portfolio is subject to various Master Agreements, or netting agreements, with select counterparties. These are arrangements which a subadviser may have negotiated and entered into on behalf of the Portfolio. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with
B2
the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Securities Lending: The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Pursuant to the repositioning of the money market fund as an ultra-short bond fund, for the period March 31, 2016 through July 18, 2016 the collateral was invested in an ultra-short bond fund. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested that may occur during the term of the loan.
Concentration of Risk: Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on an accrual basis.
Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual.
Net investment income or loss (other than administration and distribution fees which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, the Portfolio is treated as a separate taxpaying entity. The Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on their distributive share of partnership items.
Withholding taxes on foreign dividends, interest and foreign capital gains are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.
The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
Note 3. | Agreements |
The Series Fund has a management agreement with PI on behalf of the Portfolio. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the
B3
“Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.
The management fee paid to PI is accrued daily and payable monthly at an annual rate of 0.60% of the Portfolio’s average daily net assets. The effective management fee rate was 0.60% for the year ended December 31, 2016.
The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PIMS, PI, and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Series Fund has entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2016, brokerage commission recaptured under these agreements was $6,801.
Note 4. | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Portfolio’s transfer agent. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Prior to July 7, 2016, PGIM, Inc. was the Portfolio’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”. For the period January 1, 2016 through February 4, 2016, PGIM, Inc. has been compensated $77 for these services. PGIM, Inc. had not received any compensation for the period February 5, 2016 through July 6, 2016.
In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators are currently reviewing the matter.
Effective July 7, 2016, the Board replaced PGIM, Inc., an indirect, wholly-owned subsidiary of Prudential, as securities lending agent with a third party agent (Goldman Sachs Agency Lending).
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is
B4
affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.
The Portfolio invests its overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”), and its securities lending cash collateral in the Prudential Institutional Money Market Fund, (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core Fund and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
Note 5. | Portfolio Securities |
The cost of purchases and proceeds from sales of portfolio securities, other than short-term investments, for the year ended December 31, 2016 were $73,590,010 and $85,872,161, respectively.
Note 6. | Tax Information |
The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
Management has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Note 7. | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. Class I shares are also offered to separate accounts of non-affiliated insurers for which Prudential or its affiliates administer and/or reinsure, the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2016, the SP Prudential U.S. Emerging Growth Portfolio has Class II shares outstanding.
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 518,814 | $ | 6,023,301 | |||||
Series shares repurchased | (1,782,606 | ) | (20,549,488 | ) | ||||
Capital contributions | — | 282,097 | ||||||
Net increase (decrease) in shares outstanding | (1,263,792 | ) | $ | (14,244,090 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 435,267 | $ | 5,331,092 | |||||
Series shares repurchased | (2,149,064 | ) | (26,043,791 | ) | ||||
Net increase (decrease) in shares outstanding | (1,713,797 | ) | $ | (20,712,699 | ) | |||
B5
Class II: | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 4,148 | $ | 43,886 | |||||
Series shares repurchased | (11,782 | ) | (131,163 | ) | ||||
Capital contributions | — | 1,091 | ||||||
Net increase (decrease) in shares outstanding | (7,634 | ) | $ | (86,186 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 30,609 | $ | 365,184 | |||||
Series shares repurchased | (33,590 | ) | (393,557 | ) | ||||
Net increase (decrease) in shares outstanding | (2,981 | ) | $ | (28,373 | ) | |||
Note 8. | Borrowings |
The Portfolio, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The interest rate on borrowings under the SCA is paid monthly and at a per annum rate based upon the higher of 0%, the effective federal funds rate, or the One-Month LIBOR rate, plus a contractual spread. Prior to October 6, 2016, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee of .11% of the unused portion of the SCA. The interest rate on borrowings was substantially the same. The Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.
The Portfolio did not utilize the SCA during the year ended December 31, 2016.
Note 9. | Ownership and Affiliates |
As of December 31, 2016, all of Class I shares of record of the Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
Note 10: | Recent Accounting Pronouncements and Reporting Updates |
In December 2016, the FASB released an Accounting Standards Update (“ASU”) that makes technical changes to various sections of the Accounting Standards Codification (“ASC”), including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and its impact on the financial statements and disclosures has not yet been determined.
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules also enhance disclosure regarding fund liquidity and redemption practices. Also under the new rules, the SEC will permit open-end funds, with the exception of money market funds, to offer swing pricing, subject to board approval and review. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures, if any.
B6
Financial Highlights
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(d) | 2015(d) | 2014(d) | 2013(d) | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 11.58 | $ | 11.86 | $ | 10.83 | $ | 8.43 | $ | 7.80 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .01 | — | (c) | .02 | .01 | .06 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | .47 | (.28 | ) | 1.01 | 2.39 | 1.21 | ||||||||||||||
Total from investment operations | .48 | (.28 | ) | 1.03 | 2.40 | 1.27 | ||||||||||||||
Less Distributions | — | — | — | — | (.64 | ) | ||||||||||||||
Capital Contributions (Note 4)(e) | .02 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 12.08 | $ | 11.58 | $ | 11.86 | $ | 10.83 | $ | 8.43 | ||||||||||
Total Return(a) | 4.32 | %(f) | (2.36 | )% | 9.51 | % | 28.47 | % | 16.88 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 217.7 | $ | 223.3 | $ | 249.1 | $ | 251.8 | $ | 221.0 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .69 | % | .67 | % | .68 | % | .68 | % | .67 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .69 | % | .67 | % | .68 | % | .68 | % | .67 | % | ||||||||||
Net investment income (loss) | .10 | % | (.01 | )% | .22 | % | .08 | % | .73 | % | ||||||||||
Portfolio turnover rate | 35 | % | 34 | % | 45 | % | 38 | % | 44 | % | ||||||||||
SP Prudential U.S. Emerging Growth Portfolio | ||||||||||||||||||||
Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(d) | 2015(d) | 2014(d) | 2013(d) | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 11.02 | $ | 11.33 | $ | 10.38 | $ | 8.12 | $ | 7.53 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | (.03 | ) | (.05 | ) | (.02 | ) | (.03 | ) | .04 | |||||||||||
Net realized and unrealized gain (loss) on investments | .43 | (.26 | ) | .97 | 2.29 | 1.16 | ||||||||||||||
Total from investment operations | .40 | (.31 | ) | .95 | 2.26 | 1.20 | ||||||||||||||
Less Distributions | — | — | — | — | (.61 | ) | ||||||||||||||
Capital Contributions (Note 4)(e) | .02 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 11.44 | $ | 11.02 | $ | 11.33 | $ | 10.38 | $ | 8.12 | ||||||||||
Total Return(a) | 3.81 | %(f) | (2.74 | )% | 9.15 | % | 27.83 | % | 16.44 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | .8 | $ | .8 | $ | 1.0 | $ | .7 | $ | .4 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.09 | % | 1.07 | % | 1.08 | % | 1.08 | % | 1.07 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 1.09 | % | 1.07 | % | 1.08 | % | 1.08 | % | 1.07 | % | ||||||||||
Net investment income (loss) | (.30 | )% | (.40 | )% | (.19 | )% | (.32 | )% | .38 | % | ||||||||||
Portfolio turnover rate | 35 | % | 34 | % | 45 | % | 38 | % | 44 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Less than $.005 per share. |
(d) | Calculated based on average shares outstanding during the year. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return for Class I and Class II would have been 4.15% and 3.63%, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statement of assets and liabilities of SP Prudential U.S. Emerging Growth Portfolio (the “Portfolio” ), one of the portfolios constituting The Prudential Series Fund, including the schedule of investments, as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits 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 and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2016, and the results of its operations, the changes in its net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 14, 2017
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Susan Davenport Austin* (Age: 49) Trustee Since 2011 Overseen by Trustee: 112 | Senior Managing Director of Brock Capital (since 2014); Vice Chairman of Sheridan Broadcasting Corporation (since 2013); Formerly Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Formerly Chairman of the Board of Directors, Broadcast Music, Inc. (2011-2014); Presiding Director of the Board of Directors, Broadcast Music, Inc. (since 2014); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | Director of NextEra Energy Partners, LP (NYSE:NEP) (February 2015-Present). | ||
Sherry S. Barrat* (Age: 67) Trustee Since 2013 Overseen by Trustee: 112 | Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust. | Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013). | ||
Jessica M. Bibliowicz* (Age: 57) Trustee Since 2014 Overseen by Trustee: 112 | Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products. | Director (since 2006) The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance). | ||
Kay Ryan Booth* (Age: 66) Trustee Since 2013 Overseen by Trustee: 112 | Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | None. | ||
Delayne Dedrick Gold* (Age: 78) Trustee Since 2003 Overseen by Trustee: 112 | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None. | ||
Robert F. Gunia* (Age: 70) Trustee Since 2003 Overseen by Trustee: 112 | Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | Director (Since May 1989) of The Asia-Pacific Fund, Inc. | ||
Thomas T. Mooney* (Age: 75) Trustee Since 2003 Independent Chair Since 2003 Overseen by Trustee: 112 | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | None. |
E1
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Thomas M. O’Brien* (Age: 66) Trustee Since 2003 Overseen by Trustee: 112 | Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006- January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | ||
Interested Trustee | ||||
Timothy S. Cronin* (Age: 51) Trustee Since 2009 Overseen by Trustee: 113 | President of Prudential Annuities (Since June 2015); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005). | None. |
* The address of each Trustee is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.
† The Fund Complex consists of all investment companies managed by Prudential Investments LLC. The Funds for which Prudential Investments LLC serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
Raymond A. O’Hara* (61) Chief Legal Officer Since 2012 | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | |
Chad A. Earnst* (41) Chief Compliance Officer Since 2014 | Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission. | |
Deborah A. Docs* (58) Secretary Since 2005 | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Jonathan D. Shain* (58) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Claudia DiGiacomo* (42) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004). | |
Andrew R. French* (53) Assistant Secretary Since 2006 | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | |
Kathleen DeNicholas* (42) Assistant Secretary Since 2013 | Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). |
E2
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
M. Sadiq Peshimam* (53) Treasurer and Principal Financial & Accounting Officer Since 2014 | Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC. | |
Peter Parrella* (58) Assistant Treasurer Since 2007 | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). | |
Lana Lomuti* (49) Assistant Treasurer Since 2014 | Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | |
Linda McMullin* (55) Assistant Treasurer Since 2014 | Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration. | |
Theresa C. Thompson* (54) Deputy Chief Compliance Officer Since 2008 | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). | |
Charles H. Smith* (44) Anti-Money Laundering Compliance Officer Since 2016 | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007). |
* The address for each officer is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
(1) Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
Presorted
Standard
U.S. Postage
PAID
Prudential
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
PSF-AR-SP US EM GROWTH
The Prudential Series Fund
ANNUAL REPORT | December 31, 2016 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
SP Small Cap Value Portfolio
Join the e-movement.SM
Enroll in e-delivery today!
By enrolling in e-Delivery, you’ll gain secure, online access to important documents with the flexibility to choose which documents you receive in the mail… and which ones you don’t!
Individual Annuity Contract Owners
Get started by visiting www.prudentialannuities.com/investor/edelivery and follow the instructions on the screen, or scan the code below.
Individual Life Insurance Contract Owners
To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.
Group Variable Universal Life Contract Owners
To receive your reports online, go to www.prudential.com/gulgvul, or scan the code.
Save paper and reduce clutter.
Receive Prospectuses and Reports electronically by enrolling today! |
The Prudential Series Fund
Table of Contents | Annual Report | December 31, 2016 |
∎ | LETTER TO CONTRACT OWNERS |
∎ | MARKET OVERVIEW |
∎ | REPORT OF THE INVESTMENT MANAGER |
∎ | PRESENTATION OF PORTFOLIO HOLDINGS |
∎ | FEES AND EXPENSES |
∎ | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |||
Section B | Notes to Financial Statements | |||
Section C | Financial Highlights | |||
Section D | Report of Independent Registered Public Accounting Firm | |||
Section E | Information about Trustees and Officers |
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
The Prudential Series Fund
Letter to Contract Owners | Annual Report | December 31, 2016 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | January 31, 2017 |
Market Overview — unaudited | Annual Report | December 31, 2016 |
Equity Market Overview
US Equities lifted by post-election optimism
In a year of surprises, US equities left no surprise regarding investor sentiment. After a powerful fourth quarter of 2016, the S&P 500, including dividends, returned 3.82% for the quarter and 11.94% for the year.
The year began on a down note. US stocks entered into a correction in January, jolted by a steep decline in manufacturing in China, followed by a massive selloff in China’s equity markets, which spilled over to all global markets. Market woes continued roughly through the first half of February, as stocks performed poorly, but then turned upward. In March, a strong rally powered stocks in the S&P 500 to rise by one of the largest gains in any single month in recent history. Continued low interest rates and a stabilization in oil prices helped stocks to rebound.
One of the biggest surprises took place in late June. The UK’s vote to leave the European Union, known as “Brexit,” briefly increased market volatility, although the macroeconomic fallout appeared manageable, if not limited. Volatility was generally kept in check during the third quarter. Also, riskier equities, such as companies in the technology and financial sectors, outperformed.
In the fourth quarter, the presidential election delivered the year’s biggest surprise as Donald Trump was elected the 45th president of the US. Stocks, especially financials, surged on the news, as Trump’s US-focus on a growth-friendly agenda was also seen as a boon for the US financial sector. In December, to no one’s surprise, the Fed raised interest rates by 0.25%.
Sector performance reflects strength in the economy
Sector performance was positive except for health care. Cyclical stocks, which are more sensitive to developments in the economy, outpaced most of their defensive counterparts. Energy led all sectors with a 27.36% gain, as oil prices climbed. The defensive, but dividend-paying, telecommunications sector rose by 23.49%, as the search for yield continues. Financials, were boosted by the election results, shot up 22.80%, with banks and diversified financial companies achieving impressive returns. Industrials churned out an 18.86% gain, led by construction and engineering companies. Materials turned in a strong performance, rising by 16.69%, as metals & mining and construction materials industries surged.
Utilities gained 16.29%, as independent power and renewable energy producers charge forward. Information technology clicked up by 13.85% on strength in the semi-conductor & semi-conductor equipment industry. The media industry and Internet catalogue & retail industries boosted consumer discretionary, which rose by 6.03%. Consumer staples rang up a 5.38% return on gains in the tobacco and food industries. Real estate posted a gain of 3.39%, on concerns over rising interest rates. Health care stumbled to a -2.69% return on weakness in the health care technology and biotechnology industries.
Small-caps show leadership in Russell Indexes
The Russell US Indexes, which measure equity performance with respect to stock-specific styles (value and growth) and capitalization levels (small-, mid-, and large-cap), were all in positive territory. Small-cap stocks, as measured by the Russell 2000® Index, gained 21.31% against their larger counterparts, which also reflected stronger business activity. The Russell Midcap® Index returned 13.80%. In large-cap stocks, the Russell 1000® Value Index gained 17.34% against the 7.08% return of the Russell 1000® Growth Index.
International and emerging markets mixed
The MSCI-EAFE Index, which measures the performance of developed markets excluding the United States and Canada, eked out a positive return of 1.0% net of dividends, for the year.
A lackluster fourth quarter hindered market performance for the year, especially in Europe which was fraught with political uncertainty. Most heavily weighted countries in Europe turned in a moderate performance. Germany returned 2.28%, France rose by 4.88%, and the UK fell by -0.10%. Austria gained 11.26% to lead the region, while Belgium lagged the region, falling to a -15.77% return.
Countries in the Pacific region generally gained. Hong Kong rose by 2.26%. Singapore gained 1.42%. Japan was positive with a 2.37% gain. Australia rose by 11.44% and New Zealand gained 18.37% on low interest rates and strong dividend-paying companies.
The MSCI Emerging Markets Index generally recorded solid gains, rising by 11.19%. The Brazil, Russia, India, and China (BRIC) group rose by 12.12%. Brazil rose by a whopping 66.24%, as a result of its new, pro-growth leadership. Re-energized Russian markets posted a huge 54.82% gain on rising oil prices. India dipped into negative territory with a -1.43% return, and China was slightly positive, returning 0.93%.
The Prudential Series Fund, SP Small Cap Value Portfolio
| December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio | 25.45 | % | 14.73 | % | 7.89 | % | ||||||
Russell 2000® Value Index | 31.74 | 15.07 | 6.26 | |||||||||
Russell 2500™ Index | 17.59 | 14.54 | 7.69 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. The Russell 2000® Value and Russell 2500TM Index are trademark/service marks of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2016, the SP Small Cap Value Portfolio returned 25.45%.
The net assets of the Portfolio at December 31, 2016 were $211.0 million.
The Portfolio’s investment objective is long-term growth of capital. The Portfolio’s subadviser is Goldman Sachs Asset Management, L.P.
What were market conditions during the reporting period?
After a global market sell-off at the beginning of 2016, US equities stabilized and rebounded during February as market sentiment improved on more dovish global central bank policies, stronger economic data, and a recovery in oil prices. In June, markets were dominated by the UK referendum to leave the European Union (commonly called Brexit). Equities sold off following the surprise “leave” result, but later recovered owing to a combination of improving risk sentiment and a dovish Bank of England. After the unexpected victory of Donald Trump in the November US presidential election, equities quickly reversed a short-lived sell-off and surged in anticipation of the pro-growth impact of the President-elect’s fiscal stimulus plan. The Fed raised short-term interest rates by 25 basis points in December, as had been largely anticipated, and set a more hawkish 2017 rate path, causing US equities to decline. (A basis point is 1/100th of a percent.)
During the reporting period, materials and financials were the top-performing sectors in the Russell 2000 Value Index, while the health care and consumer discretionary sectors lagged.
What strategies or holdings affected the Portfolio’s performance?
The Portfolio’s investments in the financials sector detracted most from relative performance, while stock selection in the energy sector contributed positively.
Life Storage, an owner and operator of self-storage properties, was a top detractor from relative returns. Its shares fell after the company announced weaker-than-expected second-quarter earnings and lowered forward guidance in light of a deceleration in comparable-store revenue growth. The moderation in the self-storage industry’s fundamentals was exacerbated by the company’s outsized exposure to Texas relative to its peers, as storage capacity increased in the region. That said, The Portfolio’s subadviser maintains a positive view of Life Storage, which was the result of Sovran Self Storage’s acquisition of LifeStorage LP and the subsequent rebranding. Also, the combination of the two companies strengthens their overall scale and platform, and also improves geographic exposure to high-growth markets on the US West Coast. In addition, while new supply has been increasing recently, the Portfolio’s subadviser believes self-storage industry fundamentals remain relatively healthy in the context of the broader real estate cycle. Furthermore, valuations are attractive given the high growth and low capital requirements of the company’s business model.
Burlington Stores, a discount clothing retailer, was a top contributor to results. After an unusually warm 2015 winter, investor expectations for coat sales declined significantly, pressuring the company’s share price. However, the stock rebounded on strong first-quarter 2016 results that exceeded consensus and management’s expectations. Management also raised its full-year outlook. Shares rose through the remainder of the period as discount retailers continued to capture market share from traditional retailers and as the company executed on its strategic goals of improving margins and inventory management. The Portfolio’s subadviser maintains a positive view on Burlington Stores and its position in the discount retailer industry, but is managing the size of the Portfolio’s position given the stock’s strong returns during the reporting period.
Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. Russell 2500 Index is an unmanaged market cap-weighted index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index, which represents approximately 17% of the total market capitalization of the Russell 3000 Index. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
1
Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | December 31, 2016 |
SP Small Cap Value | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Webster Financial Corp., Banks | 1.4% | |||
Pebblebrook Hotel Trust, Equity Real Estate Investment Trust (REITs) | 1.1% | |||
Radian Group, Inc., Thrifts & Mortgage Finance | 1.0% | |||
RSP Permian Inc., Oil Gas & Consumable Fuels | 1.0% | |||
XPO Logistics, Inc., Air Freight & Logistics | 0.9% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | December 31, 2016 |
As a contract owner investing in the Portfolio through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2016 through December 31, 2016.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolio | Beginning Account Value July 1, 2016 | Ending Account Value December 31, 2016 | Annualized Expense Ratio based on the Six-Month period | Expenses Paid During the Six-Month period* | ||||||||||||||
SP Small Cap Value (Class I) | Actual | $ | 1,000.00 | $ | 1,190.90 | 1.03 | % | $ | 5.67 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,019.96 | 1.03 | % | $ | 5.23 |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2016, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
SP SMALL CAP VALUE PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
LONG-TERM INVESTMENTS — 98.4% | ||||||||
COMMON STOCKS — 97.8% | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 2.2% | ||||||||
Curtiss-Wright Corp. | 11,864 | $ | 1,166,943 | |||||
Esterline Technologies Corp.* | 12,327 | 1,099,568 | ||||||
KLX, Inc.* | 27,941 | 1,260,419 | ||||||
Moog, Inc. (Class A Stock)* | 17,368 | 1,140,730 | ||||||
4,667,660 | ||||||||
Air Freight & Logistics — 1.3% | ||||||||
Forward Air Corp. | 15,775 | 747,420 | ||||||
XPO Logistics, Inc.*(a) | 46,402 | 2,002,710 | ||||||
2,750,130 | ||||||||
Airlines — 0.3% | ||||||||
Spirit Airlines, Inc.* | 9,151 | 529,477 | ||||||
Auto Components — 0.6% | ||||||||
Cooper Tire & Rubber Co. | 5,345 | 207,653 | ||||||
Dana, Corp. | 26,342 | 499,971 | ||||||
Standard Motor Products, Inc. | 6,446 | 343,056 | ||||||
Tower International, Inc. | 11,025 | 312,559 | ||||||
1,363,239 | ||||||||
Banks — 21.1% | ||||||||
Ameris Bancorp(a) | 17,749 | 773,856 | ||||||
BancorpSouth, Inc. | 31,229 | 969,660 | ||||||
Bank of the Ozarks, Inc.(a) | 18,115 | 952,668 | ||||||
Banner Corp. | 30,155 | 1,682,951 | ||||||
BNC Bancorp | 32,744 | 1,044,534 | ||||||
Boston Private Financial Holdings, Inc.(a) | 51,775 | 856,876 | ||||||
Brookline Bancorp, Inc. | 41,644 | 682,962 | ||||||
Centerstate Banks, Inc. | 16,495 | 415,179 | ||||||
CoBiz Financial, Inc. | 32,134 | 542,743 | ||||||
Columbia Banking System, Inc. | 37,497 | 1,675,366 | ||||||
Community Bank System, Inc.(a) | 21,905 | 1,353,510 | ||||||
ConnectOne Bancorp, Inc. | 24,311 | 630,870 | ||||||
Cu Bancorp* | 11,479 | 410,948 | ||||||
CVB Financial Corp.(a) | 68,022 | 1,559,744 | ||||||
First Financial Bankshares, Inc.(a) | 30,092 | 1,360,158 | ||||||
First Merchants Corp. | 32,674 | 1,230,176 | ||||||
First Midwest Bancorp, Inc. | 37,755 | 952,559 | ||||||
First of Long Island Corp. (The) | 13,587 | 387,909 | ||||||
Flushing Financial Corp. | 24,271 | 713,325 | ||||||
Glacier Bancorp, Inc. | 38,212 | 1,384,421 | ||||||
Great Western Bancorp, Inc. | 37,763 | 1,646,089 | ||||||
Heritage Financial Corp. | 19,885 | 512,039 | ||||||
Home BancShares, Inc. | 38,353 | 1,065,063 | ||||||
Independent Bank Corp. | 17,859 | 1,258,167 | ||||||
Independent Bank Group, Inc. | 9,037 | 563,909 | ||||||
Lakeland Financial Corp. | 14,496 | 686,531 | ||||||
LegacyTexas Financial Group, Inc. | 43,710 | 1,882,153 | ||||||
MB Financial, Inc. | 39,768 | 1,878,243 | ||||||
PacWest Bancorp | 28,971 | 1,577,181 | ||||||
Pinnacle Financial Partners, Inc. | 23,835 | 1,651,765 | ||||||
PrivateBancorp, Inc. | 23,484 | 1,272,598 | ||||||
Prosperity Bancshares, Inc.(a) | 26,268 | 1,885,517 | ||||||
Renasant Corp. | 33,736 | 1,424,334 | ||||||
Sandy Spring Bancorp, Inc. | 12,782 | 511,152 | ||||||
South State Corp. | 15,609 | 1,364,227 | ||||||
State Bank Financial Corp. | 23,119 | 620,976 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Banks (continued) | ||||||||
Texas Capital Bancshares, Inc.* | 19,987 | $ | 1,566,981 | |||||
Trico Bancshares | 14,303 | 488,876 | ||||||
Webster Financial Corp.(a) | 56,025 | 3,041,037 | ||||||
44,477,253 | ||||||||
Building Products — 0.7% | ||||||||
Gibraltar Industries, Inc.* | 21,689 | 903,347 | ||||||
Masonite International Corp.* | 9,735 | 640,563 | ||||||
1,543,910 | ||||||||
Capital Markets — 1.4% | ||||||||
Golub Capital BDC, Inc. | 13,508 | 248,412 | ||||||
OM Asset Management PLC | 51,722 | 749,969 | ||||||
Stifel Financial Corp.* | 31,869 | 1,591,857 | ||||||
Virtu Financial, Inc. (Class A Stock)(a) | 19,982 | 318,713 | ||||||
2,908,951 | ||||||||
Chemicals — 1.8% | ||||||||
Methanex Corp. (Canada)(a) | 1,235 | 54,093 | ||||||
Minerals Technologies, Inc. | 18,940 | 1,463,115 | ||||||
Olin Corp.(a) | 15,581 | 399,029 | ||||||
Quaker Chemical Corp. | 4,592 | 587,500 | ||||||
Trinseo SA | 9,889 | 586,418 | ||||||
WR Grace & Co. | 8,953 | 605,581 | ||||||
3,695,736 | ||||||||
Commercial Services & Supplies — 1.5% |
| |||||||
ABM Industries, Inc. | 39,420 | 1,609,913 | ||||||
Advanced Disposal Services, Inc.* | 31,908 | 708,996 | ||||||
Mobile Mini, Inc. | 18,943 | 573,026 | ||||||
MSA Safety, Inc. | 5,307 | 367,934 | ||||||
3,259,869 | ||||||||
Communications Equipment — 1.5% | ||||||||
Ixia* | 52,507 | 845,363 | ||||||
NetScout Systems, Inc.* | 33,509 | 1,055,533 | ||||||
Viavi Solutions, Inc.* | 151,884 | 1,242,411 | ||||||
3,143,307 | ||||||||
Construction & Engineering — 1.0% | ||||||||
EMCOR Group, Inc. | 23,351 | 1,652,317 | ||||||
Granite Construction, Inc. | 9,300 | 511,500 | ||||||
2,163,817 | ||||||||
Construction Materials — 1.0% | ||||||||
Eagle Materials, Inc. | 12,813 | 1,262,465 | ||||||
Summit Materials, Inc. (Class A Stock)* | 32,209 | 766,252 | ||||||
2,028,717 | ||||||||
Containers & Packaging — 0.7% | ||||||||
Berry Plastics Group, Inc.* | 28,461 | 1,386,904 | ||||||
Distributors — 0.3% | ||||||||
Core-Mark Holding Co., Inc.(a) | 16,579 | 714,058 | ||||||
Electric Utilities — 2.3% | ||||||||
IDACORP, Inc. | 20,068 | 1,616,477 | ||||||
PNM Resources, Inc. | 47,372 | 1,624,860 | ||||||
Portland General Electric Co. | 35,382 | 1,533,102 | ||||||
4,774,439 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Electrical Equipment — 0.2% | ||||||||
Thermon Group Holdings, Inc.* | 27,012 | $ | 515,659 | |||||
Electronic Equipment, Instruments & Components — 2.9% |
| |||||||
Anixter International, Inc.* | 14,063 | 1,139,806 | ||||||
CTS Corp. | 32,458 | 727,059 | ||||||
OSI Systems, Inc.* | 5,301 | 403,512 | ||||||
Plexus Corp.* | 14,848 | 802,386 | ||||||
SYNNEX Corp. | 11,968 | 1,448,367 | ||||||
Tech Data Corp.* | 17,880 | 1,514,079 | ||||||
6,035,209 | ||||||||
Energy Equipment & Services — 0.3% | ||||||||
Fairmount Santrol Holdings, Inc.* | 20,964 | 247,165 | ||||||
Oceaneering International, Inc. | 13,584 | 383,205 | ||||||
630,370 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 8.6% |
| |||||||
Acadia Realty Trust | 49,691 | 1,623,902 | ||||||
Care Capital Properties, Inc. | 54,935 | 1,373,375 | ||||||
Chesapeake Lodging Trust | 77,192 | 1,996,185 | ||||||
Columbia Property Trust, Inc. | 19,178 | 414,245 | ||||||
CubeSmart | 35,297 | 944,901 | ||||||
CyrusOne, Inc. | 37,687 | 1,685,739 | ||||||
Highwoods Properties, Inc. | 13,790 | 703,428 | ||||||
Hudson Pacific Properties, Inc. | 28,213 | 981,248 | ||||||
Life Storage, Inc. | 10,709 | 913,049 | ||||||
Mid-America Apartment Communities, Inc. | 14,817 | 1,450,881 | ||||||
Pebblebrook Hotel Trust(a) | 79,449 | 2,363,608 | ||||||
PS Business Parks, Inc. | 9,186 | 1,070,353 | ||||||
RLJ Lodging Trust | 40,088 | 981,755 | ||||||
Terreno Realty Corp. | 59,340 | 1,690,596 | ||||||
18,193,265 | ||||||||
Food & Staples Retailing — 0.3% | ||||||||
SpartanNash Co. | 5,201 | 205,647 | ||||||
SUPERVALU, Inc.* | 106,261 | 496,239 | ||||||
701,886 | ||||||||
Food Products — 1.1% | ||||||||
Advancepierre Foods Holdings, | 39,534 | 1,177,323 | ||||||
Pinnacle Foods, Inc. | 20,505 | 1,095,992 | ||||||
2,273,315 | ||||||||
Gas Utilities — 2.4% | ||||||||
New Jersey Resources Corp. | 38,742 | 1,375,341 | ||||||
South Jersey Industries, Inc.(a) | 27,762 | 935,302 | ||||||
Southwest Gas Corp. | 13,856 | 1,061,647 | ||||||
WGL Holdings, Inc. | 22,979 | 1,752,838 | ||||||
5,125,128 | ||||||||
Health Care Equipment & Supplies — 1.3% |
| |||||||
CONMED Corp.(a) | 20,339 | 898,373 | ||||||
ICU Medical, Inc.* | 3,665 | 540,038 | ||||||
Integra LifeSciences Holdings | 9,314 | 799,048 | ||||||
Wright Medical Group NV*(a) | 21,655 | 497,632 | ||||||
2,735,091 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Health Care Providers & Services — 1.3% |
| |||||||
Acadia Healthcare Co., Inc.*(a) | 14,693 | $ | 486,338 | |||||
American Renal Associates Holdings, Inc.*(a) | 15,290 | 325,371 | ||||||
AMN Healthcare Services, Inc.* | 7,544 | 290,067 | ||||||
Envision Healthcare Corp.* | 10,057 | 636,507 | ||||||
VCA, Inc.* | 13,827 | 949,224 | ||||||
2,687,507 | ||||||||
Health Care Technology — 0.2% | ||||||||
HMS Holdings Corp.* | 19,906 | 361,493 | ||||||
Hotels, Restaurants & Leisure — 2.6% | ||||||||
Extended Stay America, Inc. | 29,842 | 481,948 | ||||||
Jack in the Box, Inc. | 12,940 | 1,444,621 | ||||||
Marriott Vacations Worldwide Corp.(a) | 15,648 | 1,327,733 | ||||||
Red Rock Resorts, Inc. (Class A Stock) | 32,983 | 764,876 | ||||||
Sonic Corp.(a) | 14,037 | 372,121 | ||||||
Vail Resorts, Inc. | 6,344 | 1,023,351 | ||||||
5,414,650 | ||||||||
Household Durables — 0.9% | ||||||||
Calatlantic Group, Inc.(a) | 14,895 | 506,579 | ||||||
Meritage Homes Corp.*(a) | 14,912 | 518,937 | ||||||
TopBuild Corp.* | 14,650 | 521,540 | ||||||
William Lyon Homes (Class A Stock)*(a) | 14,387 | 273,785 | ||||||
1,820,841 | ||||||||
Household Products — 0.5% | ||||||||
Spectrum Brands Holdings, Inc.(a) | 7,939 | 971,178 | ||||||
Insurance — 4.3% | ||||||||
Allied World Assurance Co. Holdings AG | 20,859 | 1,120,337 | ||||||
AMERISAFE, Inc. | 9,613 | 599,370 | ||||||
AmTrust Financial Services, Inc.(a) | 23,886 | 653,999 | ||||||
CNO Financial Group, Inc. | 86,905 | 1,664,231 | ||||||
Enstar Group Ltd. (Bermuda)*(g) | 3,310 | 654,387 | ||||||
Kinsale Capital Group, Inc. | 14,642 | 497,974 | ||||||
Maiden Holdings Ltd. | 54,818 | 956,574 | ||||||
National General Holdings Corp. | 42,128 | 1,052,779 | ||||||
ProAssurance Corp. | 15,674 | 880,879 | ||||||
RLI Corp.(a) | 16,907 | 1,067,339 | ||||||
9,147,869 | ||||||||
Internet Software & Services — 0.4% | ||||||||
Cornerstone OnDemand, Inc.* | 19,316 | 817,260 | ||||||
IT Services — 1.0% | ||||||||
Convergys Corp. | 28,683 | 704,454 | ||||||
DST Systems, Inc. | 7,252 | 777,052 | ||||||
MAXIMUS, Inc. | 12,144 | 677,514 | ||||||
2,159,020 | ||||||||
Life Sciences Tools & Services — 0.7% | ||||||||
PRA Health Sciences, Inc.* | 15,503 | 854,525 | ||||||
VWR Corp.* | 28,372 | 710,151 | ||||||
1,564,676 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Machinery — 2.9% | ||||||||
Barnes Group, Inc. | 18,108 | $ | 858,681 | |||||
Federal Signal Corp. | 32,986 | 514,912 | ||||||
Itt, Inc. | 28,805 | 1,111,009 | ||||||
RBC Bearings, Inc.* | 4,842 | 449,386 | ||||||
Rexnord Corp.* | 19,453 | 381,084 | ||||||
Standex International Corp. | 5,086 | 446,805 | ||||||
TriMas Corp.* | 47,635 | 1,119,423 | ||||||
Watts Water Technologies, Inc. (Class A Stock) | 13,525 | 881,830 | ||||||
Woodward, Inc. | 5,827 | 402,354 | ||||||
6,165,484 | ||||||||
Media — 2.1% | ||||||||
Live Nation Entertainment, Inc.* | 55,345 | 1,472,177 | ||||||
Nexstar Broadcasting Group, Inc. (Class A Stock)(a) | 17,276 | 1,093,571 | ||||||
Regal Entertainment Group (Class A Stock)(a) | 40,825 | 840,995 | ||||||
TEGNA, Inc. | 28,785 | 615,711 | ||||||
Time, Inc. | 27,614 | 492,910 | ||||||
4,515,364 | ||||||||
Metals & Mining — 1.4% | ||||||||
AK Steel Holding Corp.*(a) | 99,466 | 1,015,548 | ||||||
Allegheny Technologies, Inc.(a) | 19,502 | 310,667 | ||||||
Cliffs Natural Resources, Inc.*(a) | 36,656 | 308,277 | ||||||
Hecla Mining Co. | 43,305 | 226,918 | ||||||
Kaiser Aluminum Corp. | 6,435 | 499,935 | ||||||
Royal Gold, Inc. | 4,983 | 315,673 | ||||||
Ryerson Holding Corp.* | 27,118 | 362,025 | ||||||
3,039,043 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.1% |
| |||||||
Blackstone Mortgage Trust, Inc. (Class A Stock) | 47,129 | 1,417,169 | ||||||
MFA Financial, Inc. | 106,336 | 811,343 | ||||||
PennyMac Mortgage Investment Trust | 45,589 | 746,292 | ||||||
Two Harbors Investment Corp. | 162,565 | 1,417,567 | ||||||
4,392,371 | ||||||||
Multi-Utilities — 0.7% | ||||||||
Black Hills Corp.(a) | 21,916 | 1,344,328 | ||||||
NorthWestern Corp. | 1,399 | 79,561 | ||||||
1,423,889 | ||||||||
Multiline Retail — 0.3% | ||||||||
JC Penney Co., Inc.*(a) | 66,751 | 554,701 | ||||||
Oil, Gas & Consumable Fuels — 5.5% | ||||||||
Callon Petroleum Co.* | 53,581 | 823,540 | ||||||
Carrizo Oil & Gas, Inc.* | 22,223 | 830,029 | ||||||
Golar LNG Ltd. (Bermuda)(a) | 47,169 | 1,082,057 | ||||||
Parsley Energy, Inc. (Class A Stock)* | 33,084 | 1,165,880 | ||||||
PDC Energy, Inc.* | 23,190 | 1,683,130 | ||||||
Rice Energy, Inc.* | 73,460 | 1,568,371 | ||||||
RSP Permian, Inc.* | 46,239 | 2,063,184 | ||||||
SM Energy Co. | 20,659 | 712,322 | ||||||
Synergy Resources Corp.*(a) | 84,596 | 753,751 | ||||||
WPX Energy, Inc.* | 64,451 | 939,051 | ||||||
11,621,315 | ||||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Paper & Forest Products — 0.5% | ||||||||
KapStone Paper and Packaging Corp. | 45,994 | $ | 1,014,168 | |||||
Mercer International, Inc. (Canada) | 12,689 | 135,138 | ||||||
1,149,306 | ||||||||
Personal Products | ||||||||
Avon Products, Inc.* | 18,218 | 91,819 | ||||||
Pharmaceuticals — 0.5% | ||||||||
Catalent, Inc.* | 27,206 | 733,474 | ||||||
Prestige Brands Holdings, Inc.* | 6,369 | 331,825 | ||||||
1,065,299 | ||||||||
Professional Services — 0.5% | ||||||||
On Assignment, Inc.* | 21,348 | 942,728 | ||||||
Real Estate Management & Development — 0.6% |
| |||||||
Kennedy-Wilson Holdings, Inc. | 63,580 | 1,303,390 | ||||||
Road & Rail — 0.2% | ||||||||
Knight Transportation, Inc. | 14,748 | 487,422 | ||||||
Saia, Inc.* | 521 | 23,002 | ||||||
510,424 | ||||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
Cabot Microelectronics Corp. | 9,919 | 626,583 | ||||||
Cypress Semiconductor Corp.(a) | 66,268 | 758,106 | ||||||
Entegris, Inc.* | 76,353 | 1,366,719 | ||||||
Intersil Corp. (Class A Stock) | 43,268 | 964,876 | ||||||
MKS Instruments, Inc. | 18,734 | 1,112,800 | ||||||
Semtech Corp.* | 37,861 | 1,194,514 | ||||||
Silicon Laboratories, Inc.* | 5,999 | 389,935 | ||||||
6,413,533 | ||||||||
Software — 2.1% | ||||||||
Bottomline Technologies de, Inc.* | 22,429 | 561,173 | ||||||
CommVault Systems, Inc.* | 17,297 | 889,066 | ||||||
Imperva, Inc.* | 10,030 | 385,152 | ||||||
Mentor Graphics Corp.(a) | 23,099 | 852,122 | ||||||
MicroStrategy, Inc. (Class A Stock)* | 377 | 74,420 | ||||||
Verint Systems, Inc.* | 45,264 | 1,595,556 | ||||||
4,357,489 | ||||||||
Specialty Retail — 2.2% | ||||||||
Boot Barn Holdings, Inc.*(a) | 29,441 | 368,601 | ||||||
Burlington Stores, Inc.*(a) | 19,688 | 1,668,558 | ||||||
DSW, Inc. (Class A Stock)(a) | 4,224 | 95,674 | ||||||
Express, Inc.* | 10,215 | 109,913 | ||||||
Lithia Motors, Inc. (Class A Stock)(a) | 11,961 | 1,158,184 | ||||||
Monro Muffler Brake, Inc.(a) | 5,261 | 300,929 | ||||||
Office Depot, Inc. | 104,704 | 473,262 | ||||||
Party City Holdco, Inc.*(a) | 33,737 | 479,066 | ||||||
4,654,187 | ||||||||
Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||
Electronics For Imaging, Inc.*(a) | 15,048 | 660,005 | ||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
Columbia Sportswear Co. | 10,044 | 585,565 | ||||||
Steven Madden Ltd.* | 14,483 | 517,767 | ||||||
1,103,332 | ||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Thrifts & Mortgage Finance — 2.7% |
| |||||||
Dime Community Bancshares, Inc. | 15,042 | $ | 302,344 | |||||
OceanFirst Financial Corp. | 14,647 | 439,849 | ||||||
Oritani Financial Corp. | 19,086 | 357,863 | ||||||
Provident Financial Services, Inc. | 35,017 | 990,981 | ||||||
Radian Group, Inc. | 121,720 | 2,188,526 | ||||||
Washington Federal, Inc. | 18,216 | 625,720 | ||||||
WSFS Financial Corp. | 16,858 | 781,368 | ||||||
5,686,651 | ||||||||
Trading Companies & Distributors — 2.7% |
| |||||||
Beacon Roofing Supply, Inc.* | 27,657 | 1,274,158 | ||||||
Herc Holdings, Inc.* | 22,415 | 900,186 | ||||||
Kaman Corp.(a) | 18,834 | 921,548 | ||||||
Now, Inc.* | 23,468 | 480,390 | ||||||
Univar, Inc.* | 44,631 | 1,266,181 | ||||||
WESCO International, Inc.* | 11,367 | 756,474 | ||||||
5,598,937 | ||||||||
Water Utilities — 0.3% |
| |||||||
California Water Service Group | 19,064 | 646,270 | ||||||
TOTAL COMMON STOCKS | 206,457,421 | |||||||
EXCHANGE TRADED FUND — 0.6% | ||||||||
iShares Russell 2000 Value ETF | 10,559 | 1,255,887 | ||||||
TOTAL LONG-TERM INVESTMENTS | 207,713,308 | |||||||
SHORT-TERM INVESTMENTS — 18.9% | Shares | Value (Note 2) | ||||||
AFFILIATED MUTUAL FUNDS | ||||||||
Prudential Investment Portfolios 2 – Prudential Core Ultra Short Bond Fund(w) | 3,158,993 | $ | 3,158,993 | |||||
Prudential Institutional Portfolios 2 – Prudential Institutional Money Market Fund | 36,774,369 | 36,781,724 | ||||||
TOTAL SHORT-TERM INVESTMENTS | 39,940,717 | |||||||
TOTAL INVESTMENTS — 117.3% | 247,654,025 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (17.3)% | (36,610,540 | ) | ||||||
NET ASSETS — 100.0% | $ | 211,043,485 | ||||||
The following abbreviation is used in the annual report:
LIBOR | London Interbank Offered Rate |
* | Non-income producing security. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $35,688,568; cash collateral of $36,753,817 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(b) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(g) | Indicates a security or securities that have been deemed illiquid. (unaudited) |
(w) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 4,667,660 | $ | — | $ | — | ||||||
Air Freight & Logistics | 2,750,130 | — | — | |||||||||
Airlines | 529,477 | — | — | |||||||||
Auto Components | 1,363,239 | — | — | |||||||||
Banks | 44,477,253 | — | — | |||||||||
Building Products | 1,543,910 | — | — | |||||||||
Capital Markets | 2,908,951 | — | — | |||||||||
Chemicals | 3,695,736 | — | — |
SEE NOTES TO FINANCIAL STATEMENTS.
A4
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities (continued) | ||||||||||||
Common Stocks (continued) | ||||||||||||
Commercial Services & Supplies | $ | 3,259,869 | $ | — | $ | — | ||||||
Communications Equipment | 3,143,307 | — | — | |||||||||
Construction & Engineering | 2,163,817 | — | — | |||||||||
Construction Materials | 2,028,717 | — | — | |||||||||
Containers & Packaging | 1,386,904 | — | — | |||||||||
Distributors | 714,058 | — | — | |||||||||
Electric Utilities | 4,774,439 | — | — | |||||||||
Electrical Equipment | 515,659 | — | — | |||||||||
Electronic Equipment, Instruments & Components | 6,035,209 | — | — | |||||||||
Energy Equipment & Services | 630,370 | — | — | |||||||||
Equity Real Estate Investment Trusts (REITs) | 18,193,265 | — | — | |||||||||
Food & Staples Retailing | 701,886 | — | — | |||||||||
Food Products | 2,273,315 | — | — | |||||||||
Gas Utilities | 5,125,128 | — | — | |||||||||
Health Care Equipment & Supplies | 2,735,091 | — | — | |||||||||
Health Care Providers & Services | 2,687,507 | — | — | |||||||||
Health Care Technology | 361,493 | — | — | |||||||||
Hotels, Restaurants & Leisure | 5,414,650 | — | — | |||||||||
Household Durables | 1,820,841 | — | — | |||||||||
Household Products | 971,178 | — | — | |||||||||
Insurance | 9,147,869 | — | — | |||||||||
Internet Software & Services | 817,260 | — | — | |||||||||
IT Services | 2,159,020 | — | — | |||||||||
Life Sciences Tools & Services | 1,564,676 | — | — | |||||||||
Machinery | 6,165,484 | — | — | |||||||||
Media | 4,515,364 | — | — | |||||||||
Metals & Mining | 3,039,043 | — | — | |||||||||
Mortgage Real Estate Investment Trusts (REITs) | 4,392,371 | — | — | |||||||||
Multi-Utilities | 1,423,889 | — | — | |||||||||
Multiline Retail | 554,701 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 11,621,315 | — | — | |||||||||
Paper & Forest Products | 1,149,306 | — | — | |||||||||
Personal Products | 91,819 | — | — | |||||||||
Pharmaceuticals | 1,065,299 | — | — | |||||||||
Professional Services | 942,728 | — | — | |||||||||
Real Estate Management & Development | 1,303,390 | — | — | |||||||||
Road & Rail | 510,424 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 6,413,533 | — | — | |||||||||
Software | 4,357,489 | — | — | |||||||||
Specialty Retail | 4,654,187 | — | — | |||||||||
Technology Hardware, Storage & Peripherals | 660,005 | — | — | |||||||||
Textiles, Apparel & Luxury Goods | 1,103,332 | — | — | |||||||||
Thrifts & Mortgage Finance | 5,686,651 | — | — | |||||||||
Trading Companies & Distributors | 5,598,937 | — | — | |||||||||
Water Utilities | 646,270 | — | — | |||||||||
Exchange Traded Fund | 1,255,887 | — | — | |||||||||
Affiliated Mutual Funds | 39,940,717 | — | — | |||||||||
Total | $ | 247,654,025 | $ | — | $ | — | ||||||
During the period, there were no transfers between Level 1 and level 2 to report.
SEE NOTES TO FINANCIAL STATEMENTS.
A5
SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | as of December 31, 2016 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Banks | 21.1 | % | ||
Affiliated Mutual Funds (including 17.4% of collateral for securities on loan) | 18.9 | |||
Equity Real Estate Investment Trusts (REITs) | 8.6 | |||
Oil, Gas & Consumable Fuels | 5.5 | |||
Insurance | 4.3 | |||
Semiconductors & Semiconductor Equipment | 3.0 | |||
Machinery | 2.9 | |||
Electronic Equipment, Instruments & Components | 2.9 | |||
Thrifts & Mortgage Finance | 2.7 | |||
Trading Companies & Distributors | 2.7 | |||
Hotels, Restaurants & Leisure | 2.6 | |||
Gas Utilities | 2.4 | |||
Electric Utilities | 2.3 | |||
Aerospace & Defense | 2.2 | |||
Specialty Retail | 2.2 | |||
Media | 2.1 | |||
Mortgage Real Estate Investment Trusts (REITs) | 2.1 | |||
Software | 2.1 | |||
Chemicals | 1.8 | |||
Commercial Services & Supplies | 1.5 | |||
Communications Equipment | 1.5 | |||
Metals & Mining | 1.4 | |||
Capital Markets | 1.4 | |||
Air Freight & Logistics | 1.3 | |||
Health Care Equipment & Supplies | 1.3 | |||
Health Care Providers & Services | 1.3 | |||
Food Products | 1.1 | |||
Construction & Engineering | 1.0 |
IT Services | 1.0 | % | ||
Construction Materials | 1.0 | |||
Household Durables | 0.9 | |||
Life Sciences Tools & Services | 0.7 | |||
Building Products | 0.7 | |||
Multi-Utilities | 0.7 | |||
Containers & Packaging | 0.7 | |||
Auto Components | 0.6 | |||
Real Estate Management & Development | 0.6 | |||
Exchange Traded Fund | 0.6 | |||
Paper & Forest Products | 0.5 | |||
Textiles, Apparel & Luxury Goods | 0.5 | |||
Pharmaceuticals | 0.5 | |||
Household Products | 0.5 | |||
Professional Services | 0.5 | |||
Internet Software & Services | 0.4 | |||
Distributors | 0.3 | |||
Food & Staples Retailing | 0.3 | |||
Technology Hardware, Storage & Peripherals | 0.3 | |||
Water Utilities | 0.3 | |||
Energy Equipment & Services | 0.3 | |||
Multiline Retail | 0.3 | |||
Airlines | 0.3 | |||
Electrical Equipment | 0.2 | |||
Road & Rail | 0.2 | |||
Health Care Technology | 0.2 | |||
117.3 | ||||
Liabilities in excess of other assets | (17.3 | ) | ||
100.0 | % | |||
The Portfolio entered into financial transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial transactions, where the legal right to set-off exists, is presented in the summary below.
Offsetting of financial transactions assets and liabilities:
Description | Gross Amounts of Recognized Assets(1) | Collateral Received | Net Amount | |||||||||
Securities on Loan | $ | 35,688,568 | $ | (35,688,568 | ) | $ | — | |||||
(1) | Amount represents market value. |
SEE NOTES TO FINANCIAL STATEMENTS.
A6
SP SMALL CAP VALUE PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value, including securities on loan of $35,688,568: | ||||
Unaffiliated investments (cost $152,131,752) | $ | 207,713,308 | ||
Affiliated investments (cost $39,935,594) | 39,940,717 | |||
Dividends and interest receivable | 508,040 | |||
Receivable for investments sold | 406,525 | |||
Receivable for Series shares sold | 46,459 | |||
Tax reclaim receivable | 6,549 | |||
Prepaid expenses | 1,465 | |||
Total assets | 248,623,063 | |||
LIABILITIES | ||||
Payable to broker for collateral for securities on loan | 36,753,817 | |||
Payable for investments purchased | 502,602 | |||
Management fee payable | 159,968 | |||
Accrued expenses and other liabilities | 87,725 | |||
Payable for Series shares repurchased | 74,230 | |||
Affiliated transfer agent fee payable | 980 | |||
Deferred trustees’ fees | 256 | |||
Total liabilities | 37,579,578 | |||
NET ASSETS | $ | 211,043,485 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 65,414,258 | ||
Retained earnings | 145,629,227 | |||
Net assets, December 31, 2016 | $ | 211,043,485 | ||
Class I: | ||||
Net asset value and redemption price per share $211,043,485 / 8,995,394 outstanding shares of beneficial interest | $ | 23.46 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $1,510) | $ | 3,214,605 | ||
Income from securities lending, net (including affiliated income of $89,660) | 100,987 | |||
Affiliated dividend income | 24,089 | |||
Total income | 3,339,681 | |||
EXPENSES | ||||
Management fee | 1,700,741 | |||
Shareholders’ reports | 82,000 | |||
Custodian and accounting fees | 74,000 | |||
Audit fee | 30,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Trustees’ fees | 11,000 | |||
Legal fees and expenses | 6,000 | |||
Insurance expenses | 2,000 | |||
Loan interest expense | 90 | |||
Miscellaneous | 10,453 | |||
Total expenses | 1,928,284 | |||
Less: Management fee waiver and/or expense reimbursement | (15,118 | ) | ||
Net expenses | 1,913,166 | |||
NET INVESTMENT INCOME (LOSS) | 1,426,515 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain on investment transactions (including affiliated of $379) | 4,852,450 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (including affiliated of $5,123) | 37,713,563 | |||
Foreign currencies | 141 | |||
37,713,704 | ||||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 42,566,154 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 43,992,669 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 1,426,515 | $ | 1,107,065 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 4,852,450 | 29,976,611 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | 37,713,704 | (42,048,763 | ) | |||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 43,992,669 | (10,965,087 | ) | |||||
SERIES SHARE TRANSACTIONS | ||||||||
Series shares sold [369,150 and 284,448 shares, respectively] | 7,536,151 | 5,643,047 | ||||||
Series shares repurchased [1,514,712 and 1,129,566 shares, respectively] | (30,263,917 | ) | (22,112,060 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS FROM SERIES SHARE TRANSACTIONS | (22,727,766 | ) | (16,469,013 | ) | ||||
CAPITAL CONTRIBUTIONS (Note 4) | 131,207 | — | ||||||
TOTAL INCREASE (DECREASE) | 21,396,110 | (27,434,100 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 189,647,375 | 217,081,475 | ||||||
End of year | $ | 211,043,485 | $ | 189,647,375 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
Note 1. | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the SP Small Cap Value Portfolio (the “Portfolio”).
The Portfolio’s investment objective is long-term growth of capital.
Note 2. | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities Valuation: The Portfolio holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Participatory notes (“P-notes”) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
B1
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, the Portfolio may hold up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currency transactions.
Concentration of Risk: Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
B2
Master Netting Arrangements: The Portfolio is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of the Portfolio. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off, and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Securities Lending: The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Pursuant to the repositioning of the money market fund as an ultra-short bond fund, for the period March 31, 2016 through July 18, 2016 the collateral was invested in an ultra-short bond fund. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested that may occur during the term of the loan.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on an accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management, that may differ from actual.
Taxes: For federal income tax purposes, the Portfolio is treated as a separate taxpaying entity. The Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on their distributive share of partnership items.
Withholding taxes on foreign dividends, interest and foreign capital gains are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.
The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
Note 3. | Agreements |
The Series Fund has a management agreement with PI on behalf of the Portfolio. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisers’ performance of such services. PI has entered into a subadvisory agreement with Goldman Sachs Asset Management, L.P. (“GSAM”) (the “Subadviser”), under which GSAM provides investment advisory services for the Portfolio. PI
B3
pays for the services of the Subadviser, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.
The management fee paid to PI is accrued daily and payable monthly at an annual rate of 0.90% of the Portfolio’s average daily net assets. PI has contractually agreed, through June 30, 2017, to waive a portion of its management fee equal to an annual rate of 0.008% of the average net assets of the Portfolio. The effective management fee rate was 0.89% for the year ended December 31, 2016.
PI is an indirect, wholly-owned subsidiary of Prudential Financial, Inc. (“Prudential”).
The Portfolio has entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Such amounts are included within realized gain (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2016, brokerage commission recaptured under these agreements was $4,386.
Note 4. | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Portfolio’s transfer agent. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Prior to July 7, 2016, PGIM, Inc. was the Portfolio’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”. For the period January 1, 2016 through February 4, 2016, PGIM, Inc. had been compensated $312 for these services. PGIM, Inc. had not received any compensation for the period February 5, 2016 through July 6, 2016.
In February 2016, Prudential, the parent company of the manager (PI) self reported to the Securities and Exchange Commission (“SEC”) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Series Fund. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators are currently reviewing the matter.
Effective July 7, 2016, the Board replaced PGIM, Inc., an indirect, wholly-owned subsidiary of Prudential, as securities lending agent with a third party agent (Goldman Sachs Agency Lending).
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.
The Portfolio invests its overnight sweep cash in the Prudential Core Ultra Short Bond Fund, (formerly known as Prudential Core Taxable Money Market Fund), (the “Core Fund”), and its securities lending cash collateral in the Prudential Institutional Money Market Fund, (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core and the Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
Note 5. | Portfolio Securities |
The cost of purchases and proceeds from sales of portfolio securities other than short-term investments and U.S. Treasury securities for the year ended December 31, 2016 were $105,547,674 and $124,722,244, respectively.
B4
Note 6. | Tax Information |
The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
Management has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Note 7. | Capital |
The shares of the Portfolio are not subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolio. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
Note 8. | Borrowings |
The Portfolio, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The interest rate on borrowings under the SCA is paid monthly and at a per annum rate based upon the higher of 0%, the effective federal funds rate, or the One-Month LIBOR rate, plus a contractual spread. Prior to October 6, 2016, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee of .11% of the unused portion of the SCA. The interest rate on borrowings was substantially the same. The Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.
The Portfolio utilized the SCA during the year ended December 31, 2016. The average daily balance for the 1 day that the Portfolio had loans outstanding during the period was $1,920,000 borrowed at a weighted average interest rate of 1.69%. The maximum loan balance outstanding amount during the period was $1,920,000. At December 31, 2016, the Portfolio did not have an outstanding loan balance.
Note 9. | Ownership and Affiliates |
As of December 31, 2016, all of Class I shares of record of the Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
Note 10. | Recent Accounting Pronouncements and Reporting Updates |
In December 2016, the FASB released an Accounting Standards Update (“ASU”) that makes technical changes to various sections of the Accounting Standards Codification (“ASC”), including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and its impact on the financial statements and disclosures has not yet been determined.
B5
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules also enhance disclosure regarding fund liquidity and redemption practices. Also under the new rules, the SEC will permit open-end funds, with the exception of money market funds, to offer swing pricing, subject to board approval and review. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures, if any.
B6
Financial Highlights
SP Small Cap Value Portfolio | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(c) | 2015(c) | 2014 | 2013 | 2012 | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 18.70 | $ | 19.76 | $ | 18.83 | $ | 13.70 | $ | 11.86 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .15 | .10 | .14 | .10 | .16 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 4.60 | (1.16 | ) | .79 | 5.03 | 1.74 | ||||||||||||||
Total from investment operations | 4.75 | (1.06 | ) | .93 | 5.13 | 1.90 | ||||||||||||||
Less Distributions: | — | — | — | — | (.06 | ) | ||||||||||||||
Capital Contributions(d) (Note 4): | .01 | — | — | — | — | |||||||||||||||
Net Asset Value, end of year | $ | 23.46 | $ | 18.70 | $ | 19.76 | $ | 18.83 | $ | 13.70 | ||||||||||
Total Return(a) | 25.45 | %(e) | (5.36 | )% | 4.94 | % | 37.45 | % | 16.06 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 211.0 | $ | 189.6 | $ | 217.1 | $ | 228.3 | $ | 179.6 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.01 | % | 1.02 | % | .99 | % | 1.01 | % | 1.01 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 1.02 | % | 1.03 | % | 1.00 | % | 1.01 | % | 1.01 | % | ||||||||||
Net investment income (loss) | .75 | % | .54 | % | .56 | % | .52 | % | 1.14 | % | ||||||||||
Portfolio turnover rate | 57 | % | 94 | % | 41 | % | 56 | % | 39 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Calculated based on average shares outstanding during the year. |
(d) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(e) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 25.40%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statement of assets and liabilities of SP Small Cap Value Portfolio (the “Portfolio”), one of the portfolios constituting The Prudential Series Fund, including the schedule of investments, as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits 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 and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2016, and the results of its operations, the changes in its net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 14, 2017
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Susan Davenport Austin* (Age: 49) Trustee Since 2011 Overseen by Trustee: 112 | Senior Managing Director of Brock Capital (since 2014); Vice Chairman of Sheridan Broadcasting Corporation (since 2013); Formerly Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Formerly Chairman of the Board of Directors, Broadcast Music, Inc. (2011-2014); Presiding Director of the Board of Directors, Broadcast Music, Inc. (since 2014); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | Director of NextEra Energy Partners, LP (NYSE:NEP) (February 2015-Present). | ||
Sherry S. Barrat* (Age: 67) Trustee Since 2013 Overseen by Trustee: 112 | Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust. | Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013). | ||
Jessica M. Bibliowicz* (Age: 57) Trustee Since 2014 Overseen by Trustee: 112 | Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products. | Director (since 2006) The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance). | ||
Kay Ryan Booth* (Age: 66) Trustee Since 2013 Overseen by Trustee: 112 | Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | None. | ||
Delayne Dedrick Gold* (Age: 78) Trustee Since 2003 Overseen by Trustee: 112 | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None. | ||
Robert F. Gunia* (Age: 70) Trustee Since 2003 Overseen by Trustee: 112 | Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | Director (Since May 1989) of The Asia-Pacific Fund, Inc. | ||
Thomas T. Mooney* (Age: 75) Trustee Since 2003 Independent Chair Since 2003 Overseen by Trustee: 112 | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | None. |
E1
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Thomas M. O’Brien* (Age: 66) Trustee Since 2003 Overseen by Trustee: 112 | Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006- January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | ||
Interested Trustee | ||||
Timothy S. Cronin* (Age: 51) Trustee Since 2009 Overseen by Trustee: 113 | President of Prudential Annuities (Since June 2015); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005). | None. |
* The address of each Trustee is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.
† The Fund Complex consists of all investment companies managed by Prudential Investments LLC. The Funds for which Prudential Investments LLC serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
Raymond A. O’Hara* (61) Chief Legal Officer Since 2012 | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | |
Chad A. Earnst* (41) Chief Compliance Officer Since 2014 | Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission. | |
Deborah A. Docs* (58) Secretary Since 2005 | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Jonathan D. Shain* (58) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Claudia DiGiacomo* (42) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004). | |
Andrew R. French* (53) Assistant Secretary Since 2006 | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | |
Kathleen DeNicholas* (42) Assistant Secretary Since 2013 | Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). |
E2
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
M. Sadiq Peshimam* (53) Treasurer and Principal Financial & Accounting Officer Since 2014 | Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC. | |
Peter Parrella* (58) Assistant Treasurer Since 2007 | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). | |
Lana Lomuti* (49) Assistant Treasurer Since 2014 | Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | |
Linda McMullin* (55) Assistant Treasurer Since 2014 | Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration. | |
Theresa C. Thompson* (54) Deputy Chief Compliance Officer Since 2008 | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). | |
Charles H. Smith* (44) Anti-Money Laundering Compliance Officer Since 2016 | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007). |
* The address for each officer is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
(1) Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
Presorted
Standard
U.S. Postage
PAID
Prudential
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
PSF-AR-SP SMALL CAP VAL
The Prudential Series Fund
ANNUAL REPORT | December 31, 2016 |
Based on the variable contract you own or the portfolios you invested in, you may receive additional reports that provide financial information on those investment choices. Please refer to your variable annuity or variable life insurance contract prospectus to determine which portfolios are available to you.
The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.
Please note that this document may include prospectus supplements that are separate from and not a part of this report. Please refer to your variable annuity or variable life insurance contract prospectus to determine which supplements are applicable to you.
Jennison 20/20 Focus Portfolio
Join the e-movement.SM
Enroll in e-delivery today!
By enrolling in e-Delivery, you’ll gain secure, online access to important documents with the flexibility to choose which documents you receive in the mail… and which ones you don’t!
Individual Annuity Contract Owners
Get started by visiting www.prudentialannuities.com/investor/edelivery and follow the instructions on the screen, or scan the code below.
Individual Life Insurance Contract Owners
To receive your reports online, go to www.prudential.com/edelivery, or scan the code below.
Group Variable Universal Life Contract Owners
To receive your reports online, go to www.prudential.com/gulgvul, or scan the code.
Save paper and reduce clutter.
Receive Prospectuses and Reports electronically by enrolling today! |
The Prudential Series Fund
Table of Contents | Annual Report | December 31, 2016 |
n | LETTER TO CONTRACT OWNERS |
n | MARKET OVERVIEW |
n | REPORT OF THE INVESTMENT MANAGER |
n | PRESENTATION OF PORTFOLIO HOLDINGS |
n | FEES AND EXPENSES |
n | FINANCIAL REPORTS |
Section A | Schedule of Investments and Financial Statements | |
Section B | Notes to Financial Statements | |
Section C | Financial Highlights | |
Section D | Report of Independent Registered Public Accounting Firm | |
Section E | Information about Trustees and Officers |
The Prudential Series Fund
Letter to Contract Owners | Annual Report | December 31, 2016 |
∎ | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
Timothy S. Cronin
President,
The Prudential Series Fund | January 31, 2017 |
Market Overview — unaudited | Annual Report | December 31, 2016 |
Equity Market Overview
US Equities lifted by post-election optimism
In a year of surprises, US equities left no surprise regarding investor sentiment. After a powerful fourth quarter of 2016, the S&P 500, including dividends, returned 3.82% for the quarter and 11.94% for the year.
The year began on a down note. US stocks entered into a correction in January, jolted by a steep decline in manufacturing in China, followed by a massive selloff in China’s equity markets, which spilled over to all global markets. Market woes continued roughly through the first half of February, as stocks performed poorly, but then turned upward. In March, a strong rally powered stocks in the S&P 500 to rise by one of the largest gains in any single month in recent history. Continued low interest rates and a stabilization in oil prices helped stocks to rebound.
One of the biggest surprises took place in late June. The UK’s vote to leave the European Union, known as “Brexit,” briefly increased market volatility, although the macroeconomic fallout appeared manageable, if not limited. Volatility was generally kept in check during the third quarter. Also, riskier equities, such as companies in the technology and financial sectors, outperformed.
In the fourth quarter, the presidential election delivered the year’s biggest surprise as Donald Trump was elected the 45th president of the US. Stocks, especially financials, surged on the news, as Trump’s US-focus on a growth-friendly agenda was also seen as a boon for the US financial sector. In December, to no one’s surprise, the Fed raised interest rates by 0.25%.
Sector performance reflects strength in the economy
Sector performance was positive except for health care. Cyclical stocks, which are more sensitive to developments in the economy, outpaced most of their defensive counterparts. Energy led all sectors with a 27.36% gain, as oil prices climbed. The defensive, but dividend-paying, telecommunications sector rose by 23.49%, as the search for yield continues. Financials, were boosted by the election results, shot up 22.80%, with banks and diversified financial companies achieving impressive returns. Industrials churned out an 18.86% gain, led by construction and engineering companies. Materials turned in a strong performance, rising by 16.69%, as metals & mining and construction materials industries surged.
Utilities gained 16.29%, as independent power and renewable energy producers charge forward. Information technology clicked up by 13.85% on strength in the semi-conductor & semi-conductor equipment industry. The media industry and Internet catalogue & retail industries boosted consumer discretionary, which rose by 6.03%. Consumer staples rang up a 5.38% return on gains in the tobacco and food industries. Real estate posted a gain of 3.39%, on concerns over rising interest rates. Health care stumbled to a -2.69% return on weakness in the health care technology and biotechnology industries.
Small-caps show leadership in Russell Indexes
The Russell US Indexes, which measure equity performance with respect to stock-specific styles (value and growth) and capitalization levels (small-, mid-, and large-cap), were all in positive territory. Small-cap stocks, as measured by the Russell 2000® Index, gained 21.31% against their larger counterparts, which also reflected stronger business activity. The Russell Midcap® Index returned 13.80%. In large-cap stocks, the Russell 1000® Value Index gained 17.34% against the 7.08% return of the Russell 1000® Growth Index.
International and emerging markets mixed
The MSCI-EAFE Index, which measures the performance of developed markets excluding the United States and Canada, eked out a positive return of 1.0% net of dividends, for the year.
A lackluster fourth quarter hindered market performance for the year, especially in Europe which was fraught with political uncertainty. Most heavily weighted countries in Europe turned in a moderate performance. Germany returned 2.28%, France rose by 4.88%, and the UK fell by -0.10%. Austria gained 11.26% to lead the region, while Belgium lagged the region, falling to a -15.77% return.
Countries in the Pacific region generally gained. Hong Kong rose by 2.26%. Singapore gained 1.42%. Japan was positive with a 2.37% gain. Australia rose by 11.44% and New Zealand gained 18.37% on low interest rates and strong dividend-paying companies.
The MSCI Emerging Markets Index generally recorded solid gains, rising by 11.19%. The Brazil, Russia, India, and China (BRIC) group rose by 12.12%. Brazil rose by a whopping 66.24%, as a result of its new, pro-growth leadership. Re-energized Russian markets posted a huge 54.82% gain on rising oil prices. India dipped into negative territory with a -1.43% return, and China was slightly positive, returning 0.93%.
The Prudential Series Fund, Jennison 20/20 Focus Portfolio | December 31, 2016 |
Report of the Investment Manager - As of December 31, 2016 (Unaudited)
Average Annual Total Returns | 1-Year | 5-Year | 10-Year | |||||||||
Portfolio: Class I | 1.61 | % | 10.78 | % | 6.24 | % | ||||||
Portfolio: Class II | 1.23 | 10.35 | 5.83 | |||||||||
Russell 1000® Index | 12.05 | 14.69 | 7.08 | |||||||||
S&P 500 Index | 11.94 | 14.65 | 6.94 |
Past performance does not guarantee future returns. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted.
Portfolio performance is net of investment fees and fund expenses, but not contract charges, which, if included, would significantly lower the performance quoted. The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
$10,000 INVESTED OVER 10 YEARS
For the year ended December 31, 2016, the Jennison 20/20 Focus Portfolio’s Class I shares returned 1.61% and Class II shares returned 1.23%. The net assets of the Portfolio at December 31, 2016 were $201.8 million.
The Portfolio’s investment objective is long-term growth of capital. The Portfolio is subadvised by Jennison Associates LLC.
What were market conditions during the reporting period?
2016 was a year of volatility and surprises. Decelerating economic growth in China; concerns that emerging economies might face balance sheet risks; the negative effect of lower energy prices on industrials; fears of slowing US economic growth; uncertainty about the course of Federal Reserve monetary tightening; Brexit, the United Kingdom’s vote to leave the European Union; and the unconventional US presidential election all contributed to volatility. Low-volatility and high-dividend-paying stocks were significant drivers of returns while stocks of higher-growth companies generally underperformed. In the wake of the November US election, speculation about policy initiatives of the new administration favored companies — many of them exhibiting little secular growth — expected to benefit from a less onerous regulatory environment, lower corporate tax rates, and infrastructure and defense spending.
What strategies or holdings affected the Portfolio’s performance?
There was significant disparity among market segments. Value significantly outperformed growth across capitalizations and small outperformed large and mid-caps.
The Portfolio underperformed as pharmaceuticals and biotechnology detracted from relative return. Many health care companies faced concerns about drug pricing. Biotechnology companies that sell innovative, high-priced drugs lost ground, including Alexion Pharmaceuticals. Health care companies where acquired growth is important, such as Allergan, declined as regulatory changes threatened the tax benefits of mergers between US and offshore companies.
Specialty pharmaceutical company Shire has product franchises in neuroscience, gastrointestinal, and rare diseases and has been transforming itself into a leading orphan disease company. Recent weakness may have been related to news that Roche expects to release clinical trial data for a developmental hemophilia treatment that could potentially compete with Shire’s hemophilia drugs.
Stock selection in information technology was also detrimental to performance as declines in LinkedIn and Salesforce.com tempered gains in Nvidia and Tencent. LinkedIn’s decline reflected signs of significant deceleration in recent high growth rates. The Portfolio no longer holds a position in the company. Salesforce.com also faced concerns that its growth rate may slow. Nvidia’s revenue, gross margin, and earnings exceeded forecasts. The company has transformed itself from a personal-computer-centric graphics provider to a company focused on key high-growth markets where Jennison believes it can leverage its graphics expertise. Tencent, China’s largest Internet service portal, continued to perform well driven by its dominant position in China’s online gaming and instant messaging markets and its growing advertising and payment service efforts.
Financials were the largest source of absolute and relative gain as the better outlook benefited many companies in the sector. JP Morgan, SLM, and PNC Financial were standouts in the sector and the overall Portfolio.
1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
Russell 1000® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market. S&P 500 Index is an unmanaged, market value-weighted index of over 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
1
The Prudential Series Fund
Presentation of Portfolio Holdings — unaudited | December 31, 2016 |
Jennison 20/20 Focus | ||||
Five Largest Holdings | (% of Net Assets | ) | ||
Microsoft Corp., Software | 4.6% | |||
Shire PLC, Biotechnology | 4.5% | |||
Amazon.com, Inc., Internet & Direct Marketing Retail | 4.3% | |||
Celgene Corp., Biotechnology | 4.2% | |||
Tencent Holdings Ltd. (China), ADR, Internet Software & Services | 3.6% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors/Industries are subject to change.
The Prudential Series Fund
Fees and Expenses — unaudited | December 31, 2016 |
As a contract owner investing in the Portfolio through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2016 through December 31, 2016.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
The Prudential Series Fund Portfolio | Beginning Account Value July 1, 2016 | Ending Account Value December 31, 2016 | Annualized Expense Ratio based on the | Expenses Paid During the Six-Month period* | ||||||||||||||
Jennison 20/20 Focus (Class I) | Actual | $ | 1,000.00 | $ | 1,063.10 | 0.83 | % | $ | 4.30 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,020.96 | 0.83 | % | $ | 4.22 | ||||||||||
Jennison 20/20 Focus (Class II) | Actual | $ | 1,000.00 | $ | 1,061.30 | 1.23 | % | $ | 6.37 | |||||||||
Hypothetical | $ | 1,000.00 | $ | 1,018.95 | 1.23 | % | $ | 6.24 |
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2016, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2016 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
JENNISON 20/20 FOCUS PORTFOLIO | ||||||
SCHEDULE OF INVESTMENTS | December 31, 2016 |
LONG-TERM INVESTMENTS — 98.0% | ||||||||
COMMON STOCKS | Shares | Value (Note 2) | ||||||
Aerospace & Defense — 3.8% |
| |||||||
TransDigm Group, Inc. | 17,364 | $ | 4,322,941 | |||||
United Technologies Corp. | 30,254 | 3,316,444 | ||||||
7,639,385 | ||||||||
Banks — 6.2% |
| |||||||
JPMorgan Chase & Co. | 76,810 | 6,627,935 | ||||||
PNC Financial Services Group, Inc. (The) | 50,336 | 5,887,298 | ||||||
12,515,233 | ||||||||
Biotechnology — 8.7% |
| |||||||
Celgene Corp.* | 73,341 | 8,489,221 | ||||||
Shire PLC, ADR | 52,841 | 9,003,049 | ||||||
17,492,270 | ||||||||
Capital Markets — 3.2% |
| |||||||
Goldman Sachs Group, Inc. (The) | 27,376 | 6,555,183 | ||||||
Chemicals — 1.3% |
| |||||||
Dow Chemical Co. (The) | 44,884 | 2,568,262 | ||||||
Consumer Finance — 1.9% |
| |||||||
SLM Corp.* | 343,113 | 3,781,105 | ||||||
Electric Utilities — 1.8% |
| |||||||
PG&E Corp. | 61,401 | 3,731,339 | ||||||
Energy Equipment & Services — 2.1% |
| |||||||
Halliburton Co. | 77,854 | 4,211,123 | ||||||
Food & Staples Retailing — 1.2% |
| |||||||
Wal-Mart Stores, Inc. | 34,706 | 2,398,879 | ||||||
Food Products — 1.6% |
| |||||||
Mondelez International, Inc. (Class A Stock) | 74,972 | 3,323,509 | ||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
Zimmer Biomet Holdings, Inc. | 20,129 | 2,077,313 | ||||||
Health Care Providers & Services — 0.9% |
| |||||||
Cigna Corp. | 14,056 | 1,874,930 | ||||||
Hotels, Restaurants & Leisure — 1.2% |
| |||||||
Carnival Corp. | 48,463 | 2,522,984 | ||||||
Insurance — 2.1% |
| |||||||
MetLife, Inc. | 77,751 | 4,190,001 | ||||||
Internet & Direct Marketing Retail — 4.3% |
| |||||||
Amazon.com, Inc.* | 11,573 | 8,678,246 | ||||||
Internet Software & Services — 16.3% |
| |||||||
Alibaba Group Holding Ltd. (China), ADR* | 79,672 | 6,995,998 | ||||||
Alphabet, Inc. (Class A Stock)* | 5,632 | 4,463,078 | ||||||
Alphabet, Inc. (Class C Stock)* | 5,764 | 4,448,771 | ||||||
eBay, Inc.* | 90,198 | 2,677,979 | ||||||
Facebook, Inc. (Class A Stock)* | 60,579 | 6,969,614 | ||||||
Tencent Holdings Ltd. (China), ADR | 301,493 | 7,302,160 | ||||||
32,857,600 | ||||||||
IT Services — 3.2% |
| |||||||
Mastercard, Inc. (Class A Stock) | 62,357 | 6,438,360 | ||||||
COMMON STOCKS (continued) | Shares | Value (Note 2) | ||||||
Media — 4.0% |
| |||||||
Charter Communications, Inc. (Class A Stock)* | 15,508 | $ | 4,465,063 | |||||
Comcast Corp. (Class A Stock) | 51,289 | 3,541,506 | ||||||
8,006,569 | ||||||||
Oil, Gas & Consumable Fuels — 3.7% |
| |||||||
EOG Resources, Inc. | 24,539 | 2,480,893 | ||||||
Noble Energy, Inc. | 67,560 | 2,571,334 | ||||||
Occidental Petroleum Corp. | 33,006 | 2,351,017 | ||||||
7,403,244 | ||||||||
Pharmaceuticals — 2.0% |
| |||||||
Allergan PLC* | 8,369 | 1,757,574 | ||||||
Pfizer, Inc. | 69,933 | 2,271,424 | ||||||
4,028,998 | ||||||||
Semiconductors & Semiconductor Equipment — 7.9% |
| |||||||
NVIDIA Corp. | 58,782 | 6,274,391 | ||||||
QUALCOMM, Inc. | 97,250 | 6,340,700 | ||||||
Texas Instruments, Inc. | 47,221 | 3,445,716 | ||||||
16,060,807 | ||||||||
Software — 10.8% |
| |||||||
Adobe Systems, Inc.* | 61,983 | 6,381,150 | ||||||
Microsoft Corp. | 150,070 | 9,325,350 | ||||||
salesforce.com, Inc.* | 88,064 | 6,028,861 | ||||||
21,735,361 | ||||||||
Specialty Retail — 5.6% |
| |||||||
Industria de Diseno Textil SA (Spain) | 172,593 | 5,879,568 | ||||||
O’Reilly Automotive, Inc.* | 19,320 | 5,378,881 | ||||||
11,258,449 | ||||||||
Textiles, Apparel & Luxury Goods — 3.2% |
| |||||||
adidas AG (Germany) | 40,599 | 6,403,220 | ||||||
TOTAL LONG-TERM INVESTMENTS |
| 197,752,370 | ||||||
SHORT-TERM INVESTMENTS — 2.2% | ||||||||
AFFILIATED MUTUAL FUNDS — 2.2% |
| |||||||
Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund(a) | 4,393,985 | 4,393,985 | ||||||
Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund(a) | 4,513 | 4,513 | ||||||
TOTAL SHORT-TERM INVESTMENTS |
| 4,398,498 | ||||||
TOTAL INVESTMENTS — 100.2% |
| 202,150,868 | ||||||
LIABILITIES IN EXCESS OF |
| (366,875 | ) | |||||
NET ASSETS — 100.0% |
| $ | 201,783,993 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
JENNISON 20/20 FOCUS PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | December 31, 2016 |
The following abbreviations are used in the annual report:
ADR | American Depositary Receipt | |
OTC | Over-the-counter | |
LIBOR | London Interbank Offered Rate |
* | Non-income producing security. |
(a) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 — Prudential Institutional Money Market Fund. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1— | quoted prices generally in active markets for identical securities. |
Level 2— | quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs. |
Level 3— | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Aerospace & Defense | $ | 7,639,385 | $ | — | $ | — | ||||||
Banks | 12,515,233 | — | — | |||||||||
Biotechnology | 17,492,270 | — | — | |||||||||
Capital Markets | 6,555,183 | — | — | |||||||||
Chemicals | 2,568,262 | — | — | |||||||||
Consumer Finance | 3,781,105 | — | — | |||||||||
Electric Utilities | 3,731,339 | — | — | |||||||||
Energy Equipment & Services | 4,211,123 | — | — | |||||||||
Food & Staples Retailing | 2,398,879 | — | — | |||||||||
Food Products | 3,323,509 | — | — | |||||||||
Health Care Equipment & Supplies | 2,077,313 | — | — | |||||||||
Health Care Providers & Services | 1,874,930 | — | — | |||||||||
Hotels, Restaurants & Leisure | 2,522,984 | — | — | |||||||||
Insurance | 4,190,001 | — | — | |||||||||
Internet & Direct Marketing Retail | 8,678,246 | — | — | |||||||||
Internet Software & Services | 32,857,600 | — | — | |||||||||
IT Services | 6,438,360 | — | — | |||||||||
Media | 8,006,569 | — | — | |||||||||
Oil, Gas & Consumable Fuels | 7,403,244 | — | — | |||||||||
Pharmaceuticals | 4,028,998 | — | — | |||||||||
Semiconductors & Semiconductor Equipment | 16,060,807 | — | — | |||||||||
Software | 21,735,361 | — | — | |||||||||
Specialty Retail | 5,378,881 | 5,879,568 | — | |||||||||
Textiles, Apparel & Luxury Goods | — | 6,403,220 | — | |||||||||
Affiliated Mutual Funds | 4,398,498 | — | — | |||||||||
Total | $ | 189,868,080 | $ | 12,282,788 | $ | — | ||||||
During the period, there were no transfers between Level 1 and Level 2 to report.
SEE NOTES TO FINANCIAL STATEMENTS.
A2
JENNISON 20/20 FOCUS PORTFOLIO (continued) | ||||||
SCHEDULE OF INVESTMENTS | December 31, 2016 |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2016 were as follows (unaudited):
Internet Software & Services | 16.3 | % | ||
Software | 10.8 | |||
Biotechnology | 8.7 | |||
Semiconductors & Semiconductor Equipment | 7.9 | |||
Banks | 6.2 | |||
Specialty Retail | 5.6 | |||
Internet & Direct Marketing Retail | 4.3 | |||
Media | 4.0 | |||
Aerospace & Defense | 3.8 | |||
Oil, Gas & Consumable Fuels | 3.7 | |||
Capital Markets | 3.2 | |||
IT Services | 3.2 | |||
Textiles, Apparel & Luxury Goods | 3.2 | |||
Affiliated Mutual Funds | 2.2 | |||
Energy Equipment & Services | 2.1 |
Insurance | 2.1 | % | ||
Pharmaceuticals | 2.0 | |||
Consumer Finance | 1.9 | |||
Electric Utilities | 1.8 | |||
Food Products | 1.6 | |||
Chemicals | 1.3 | |||
Hotels, Restaurants & Leisure | 1.2 | |||
Food & Staples Retailing | 1.2 | |||
Health Care Equipment & Supplies | 1.0 | |||
Health Care Providers & Services | 0.9 | |||
100.2 | ||||
Liabilities in excess of other assets | (0.2 | ) | ||
100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
JENNISON 20/20 FOCUS PORTFOLIO (continued) |
STATEMENT OF ASSETS & LIABILITIES
as of December 31, 2016
ASSETS | ||||
Investments at value: | ||||
Unaffiliated investments (cost $157,955,054) | $ | 197,752,370 | ||
Affiliated investments (cost $4,398,498) | 4,398,498 | |||
Dividends receivable | 128,168 | |||
Receivable for Series shares sold | 54,317 | |||
Tax reclaim receivable | 46,418 | |||
Prepaid expenses | 1,588 | |||
Total Assets | 202,381,359 | |||
LIABILITIES | ||||
Payable for investments purchased | 342,041 | |||
Management fee payable | 128,729 | |||
Accrued expenses and other liabilities | 41,367 | |||
Payable for Series shares repurchased | 35,719 | |||
Distribution fee payable | 30,312 | |||
Administration fee payable | 18,187 | |||
Affiliated transfer agent fee payable | 980 | |||
Loan interest payable | 31 | |||
Total Liabilities | 597,366 | |||
NET ASSETS | $ | 201,783,993 | ||
Net assets were comprised of: | ||||
Paid-in capital | $ | 27,732,182 | ||
Retained earnings | 174,051,811 | |||
Net assets, December 31, 2016 | $ | 201,783,993 | ||
Class I: | ||||
Net asset value and redemption price per share $59,307,786 / 2,476,909 outstanding shares of beneficial interest | $ | 23.94 | ||
Class II: | ||||
Net asset value and redemption price per share $142,476,207 / 6,186,491 outstanding shares of beneficial interest | $ | 23.03 | ||
STATEMENT OF OPERATIONS
Year Ended December 31, 2016
NET INVESTMENT INCOME (LOSS) | ||||
INCOME | ||||
Unaffiliated dividend income (net of foreign withholding taxes of $22,343) | $ | 2,412,355 | ||
Affiliated income from securities lending, net | 78,881 | |||
Affiliated dividend income | 29,106 | |||
Total income | 2,520,342 | |||
EXPENSES | ||||
Management fee | 1,547,194 | |||
Distribution fee—Class II | 365,496 | |||
Administration fee—Class II | 219,300 | |||
Custodian and accounting fees (net of $4,500 fee credit) | 53,000 | |||
Shareholders’ reports | 42,000 | |||
Audit fee | 29,000 | |||
Transfer agent’s fees and expenses (including affiliated expense of $5,900) | 12,000 | |||
Trustees’ fees | 11,000 | |||
Legal fees and expenses | 9,000 | |||
Insurance expenses | 3,000 | |||
Loan interest expense | 40 | |||
Miscellaneous | 12,750 | |||
Total expenses | 2,303,780 | |||
NET INVESTMENT INCOME (LOSS) | 216,562 | |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions (including affiliated of $4,497) | 9,683,404 | |||
Foreign currency transactions | (2,842 | ) | ||
9,680,562 | ||||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (7,955,257 | ) | ||
Foreign currencies | (134 | ) | ||
(7,955,391 | ) | |||
NET GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | 1,725,171 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,941,733 | ||
STATEMENT OF CHANGES IN NET ASSETS
Year Ended December 31, | ||||||||
2016 | 2015 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income (loss) | $ | 216,562 | $ | 40,445 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 9,680,562 | 21,349,894 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currencies | (7,955,391 | ) | (7,372,890 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | 1,941,733 | 14,017,449 | ||||||
SERIES SHARE TRANSACTIONS (NOTE 7) | ||||||||
Series shares sold | 15,214,557 | 23,035,596 | ||||||
Series shares repurchased | (41,054,503 | ) | (51,696,823 | ) | ||||
Net increase (decrease) in net assets from Series share transactions | (25,839,946 | ) | (28,661,227 | ) | ||||
CAPITAL CONTRIBUTIONS (NOTE 4) | 183,135 | — | ||||||
TOTAL INCREASE (DECREASE) | (23,715,078 | ) | (14,643,778 | ) | ||||
NET ASSETS: | ||||||||
Beginning of year | 225,499,071 | 240,142,849 | ||||||
End of year | $ | 201,783,993 | $ | 225,499,071 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
Note 1. | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of seventeen Portfolios (“Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the Jennison 20/20 Focus Portfolio (the “Portfolio”).
The Portfolio’s investment objective is long-term growth of capital.
Note 2. | Accounting Policies |
The Series Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolio consistently follow such policies in the preparation of their financial statements.
Securities Valuation: The Portfolio holds securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Common and preferred stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy. The models generate an evaluated adjustment factor for each security, which is applied to the local closing price to adjust it for post closing market movements. Utilizing that evaluated adjustment factor, the vendor provides an evaluated price for each security. If the vendor does not provide an evaluated price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
B1
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, the Portfolio may invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Portfolio has valued the investment. Therefore, the Portfolio may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Portfolio’s Subadviser under the guidelines adopted by the Board of the Portfolio. However, the liquidity of the Portfolio’s investments in Rule 144A securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current daily rates of exchange;
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Portfolio are presented at the foreign exchange rates and market values at the close of the period, the Portfolio does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Portfolio does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Portfolio does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.
Additionally, net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from holdings of foreign currencies, forward currency contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currency transactions.
Master Netting Arrangements: The Portfolio may be subject to various Master Agreements, or netting arrangements, with select counterparties. These are arrangements which a subadviser may have negotiated and entered into on behalf of the Portfolio. For multi-sleeve Portfolios, different subadvisers who manage their respective sleeve, may enter into such agreements with the same counterparty and are disclosed separately for each sleeve when presenting information about offsetting and related netting arrangements for OTC derivatives. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the
B2
counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Securities Lending: The Portfolio may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Pursuant to the repositioning of the money market fund as an ultra-short bond fund, for the period March 31, 2016 through July 18, 2016 the collateral was invested in an ultra-short bond fund. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Portfolio also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested that may occur during the term of the loan.
Concentration of Risk: The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolio to meet its obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management that may differ from actual.
Net investment income or loss (other than administration and distribution fees, which are charged directly to the respective class) and unrealized and realized gains (losses) are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, the Portfolio is treated as a separate taxpaying entity. The Portfolio is treated as a partnership for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the Portfolio is the responsibility of the Portfolio’s shareholders (Participating Insurance Companies). The Portfolio is not generally subject to entity-level taxation. Shareholders of the Portfolio are subject to taxes on their distributive share of partnership items.
Withholding taxes on foreign dividends, interest and foreign capital gains are accrued in accordance with the Portfolio’s understanding of the applicable country’s tax rules and regulations. Such taxes are accrued net of reclaimable amounts at the time the related income/gain is recorded.
The Portfolio generally attempts to manage its diversification in a manner that supports the diversification requirements of the underlying separate accounts.
Distributions: Distributions, if any, from the Portfolio are made in cash and automatically reinvested in additional shares of the Portfolio. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
B3
Note 3. | Agreements |
The Series Fund has a management agreement with PI on behalf of the Portfolio. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, cost of compensation of officers of the Portfolio, occupancy and certain clerical and administrative expenses of the Portfolio. The Portfolio bears all other costs and expenses.
The management fee paid to PI is accrued daily and payable monthly at an annual rate of 0.75% of the Portfolio’s average daily net assets. The effective management fee rate was 0.75% for the year ended December 31, 2016.
The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II shares of the Portfolio. The Portfolio compensates PIMS for distributing and servicing the Portfolio’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Portfolio. Pursuant to the Class II Plan, the Class II shares of the Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Portfolio. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PIMS, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Series Fund has entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those Portfolios generating the applicable trades. Such amounts are included with realized gain (loss) on investment transactions presented in the Statement of Operations. For the year ended December 31, 2016, brokerage commission recaptured under these agreements was $9,638.
Note 4. | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Portfolio’s transfer agent. The transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Prior to July 7, 2016, PGIM, Inc. was the Portfolio’s securities lending agent. Net earnings from securities lending are disclosed on the Statement of Operations as “Income from securities lending, net”. For the period January 1, 2016 through February 4, 2016, PGIM, Inc. had been compensated $1,085 for these services. PGIM, Inc. had not received any compensation for the period February 5, 2016 through July 6, 2016.
In February 2016, Prudential, the parent company of the Investment Manager (PI) self reported to the Securities and Exchange Commission (SEC) and certain other regulators that, in some cases, it failed to maximize securities lending income for the Portfolio of Prudential Series Fund due to a long-standing restriction benefitting Prudential. The Board was not notified of the restriction until after it had been removed. Prudential paid the affected Portfolio an amount equal to the estimated loss associated with the unauthorized restriction. At the Board’s direction, this payment occurred on June 30, 2016. The estimated opportunity loss was calculated by an independent consultant hired by Prudential whose calculation methodology was subsequently reviewed by a consultant retained by the independent trustees of the Prudential Series Fund. The amount of opportunity loss payment to the Portfolio is disclosed in the Portfolio’s “Statement of Changes in Net Assets” and “Financial Highlights” as “Capital Contributions”.
In addition to the above, Prudential has paid and continues to directly pay certain legal, audit and other charges in connection with the matter on behalf of the Portfolios.
The SEC Staff and other regulators are currently reviewing the matter.
B4
Effective July 7, 2016, the Board replaced PGIM, Inc., an indirect, wholly-owned subsidiary of Prudential, as securities lending agent with a third party agent (Goldman Sachs Agency Lending).
The Portfolio may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board.
The Portfolio invests its overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”) and its securities lending cash collateral in the Prudential Institutional Money Market Fund (the “Money Market Fund”), each a Series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core Fund and Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
Note 5. | Portfolio Securities |
The cost of purchases and proceeds from sales of portfolio securities (excluding U.S. Treasury securities and short-term issues) for the year ended December 31, 2016 were $139,628,608 and $163,469,157, respectively.
Note 6. | Tax Information |
The Portfolio is treated as a partnership for tax purposes. The character of the cash distributions, if any, made by the partnership is generally classified as return of capital nontaxable distributions. After each fiscal year each shareholder of record will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolio, book cost of assets differs from tax cost of assets as a result of the Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate fair market value.
Management has analyzed the Portfolio’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolio’s financial statements for the current reporting period. The Portfolio’s federal, state and local income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Note 7. | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of the Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. This class is also offered to separate accounts of non-affiliated issuers for which Prudential or its affiliates administer and/or reinsure the variable life insurance or variable annuity contracts issued in connection with the separate accounts. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts.
Transactions in shares of beneficial interest were as follows:
Class I: | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 114,137 | $ | 2,575,783 | |||||
Series shares repurchased | (414,932 | ) | (9,490,845 | ) | ||||
Capital contributions | — | 53,376 | ||||||
Net increase (decrease) in shares outstanding | (300,795 | ) | $ | (6,861,686 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 141,494 | $ | 3,262,194 | |||||
Series shares repurchased | (395,468 | ) | (9,099,543 | ) | ||||
Net increase (decrease) in shares outstanding | (253,974 | ) | $ | (5,837,349 | ) | |||
B5
Class II: | Shares | Amount | ||||||
Year ended December 31, 2016: | ||||||||
Series shares sold | 584,581 | $ | 12,638,774 | |||||
Series shares repurchased | (1,433,456 | ) | (31,563,658 | ) | ||||
Capital contributions | — | 129,759 | ||||||
Net increase (decrease) in shares outstanding | (848,875 | ) | $ | (18,795,125 | ) | |||
Year ended December 31, 2015: | ||||||||
Series shares sold | 897,065 | $ | 19,773,402 | |||||
Series shares repurchased | (1,909,594 | ) | (42,597,280 | ) | ||||
Net increase (decrease) in shares outstanding | (1,012,529 | ) | $ | (22,823,878 | ) | |||
Note 8. | Borrowings |
The Portfolio, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period October 6, 2016 through October 5, 2017. The Funds pay an annualized commitment fee of .15% of the unused portion of the SCA. The interest rate on borrowings under the SCA is paid monthly and at a per annum rate based upon the higher of 0%, the effective federal funds rate, or the One-Month LIBOR rate, plus a contractual spread. Prior to October 6, 2016, the Funds had another SCA that provided a commitment of $900 million and the Funds paid an annualized commitment fee .11% of the unused portion of the SCA. The interest rate on borrowing was substantially the same. The Portfolio’s portion of the commitment fee for the unused amount is accrued daily and paid quarterly.
The Portfolio utilized the SCA during the year ended December 31, 2016. The average daily balance for the 6 days that the Portfolio had loans outstanding during the period was $138,000 borrowed at a weighted average interest rate of 1.74%. The maximum loan balance outstanding during the period was $254,000. At December 31, 2016, the Portfolio did not have an outstanding loan balance.
Note 9. | Ownership and Affiliates |
As of December 31, 2016, all of Class I shares of record of the Portfolio were owned by the Prudential Insurance Company of America (“PICA”), or subsidiaries thereof, on behalf of the owners of the variable insurance products issued by PICA. PICA is an indirect, wholly-owned subsidiary of Prudential.
In addition, two unaffiliated shareholders of record of Class II shares, held 66% of the Fund’s aggregate outstanding shares.
Note 10. | Recent Accounting Pronouncements and Reporting Updates |
In December 2016, the FASB released an Accounting Standards Update (“ASU”) that makes technical changes to various sections of the Accounting Standards Codification (“ASC”), including Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. The changes to ASC 820-10-50-2 require a reporting entity to disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of the ASU and its impact on the financial statements and disclosures has not yet been determined.
On October 13, 2016, the SEC adopted new rules and forms and amended existing rules and forms which are intended to modernize and enhance the reporting and disclosure of information by registered investment companies and to improve the quality of information that funds provide to investors, including modifications to Regulation S-X which would require standardized, enhanced disclosure about derivatives in investment company financial statements. The new rules also enhance disclosure regarding fund liquidity and redemption practices. Also under the new rules, the SEC will permit open-end funds, with the exception of money market funds, to offer swing pricing, subject to board approval and review. The compliance dates of the modifications to Regulation S-X are August 1, 2017 and other amendments and rules are generally June 1, 2018 and December 1, 2018. Management is currently evaluating the impacts to the financial statement disclosures, if any.
B6
Financial Highlights
Jennison 20/20 Focus Portfolio | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013(c) | 2012(c) | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 23.56 | $ | 22.16 | $ | 20.69 | $ | 15.93 | $ | 14.89 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | .09 | .07 | .02 | .09 | .05 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | .27 | 1.33 | 1.45 | 4.67 | 1.55 | |||||||||||||||
Total from investment operations | .36 | 1.40 | 1.47 | 4.76 | 1.60 | |||||||||||||||
Less Distributions | — | — | — | — | (.56 | ) | ||||||||||||||
Capital Contributions (Note 4) | .02 | (e) | — | — | — | — | ||||||||||||||
Net Asset Value, end of year | $ | 23.94 | $ | 23.56 | $ | 22.16 | $ | 20.69 | $ | 15.93 | ||||||||||
Total Return(a) | 1.61 | %(f) | 6.32 | % | 7.10 | % | 29.88 | % | 11.04 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 59.3 | $ | 65.4 | $ | 67.2 | $ | 68.7 | $ | 59.1 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | .83 | % | .83 | % | .83 | % | .84 | % | .80 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | .83 | % | .83 | % | .83 | % | .84 | % | .80 | % | ||||||||||
Net investment income (loss) | .39 | % | .30 | % | .08 | % | .46 | % | .32 | % | ||||||||||
Portfolio turnover rate | 69 | % | 64 | % | 97 | % | 78 | % | 75 | % | ||||||||||
Jennison 20/20 Focus Portfolio | ||||||||||||||||||||
Class II | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2016(c) | 2015(c) | 2014(c) | 2013(c) | 2012(c) | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net Asset Value, beginning of year | $ | 22.75 | $ | 21.49 | $ | 20.14 | $ | 15.57 | $ | 14.62 | ||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||
Net investment income (loss) | — | (d) | (.02 | ) | (.07 | ) | .01 | (.03 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | .26 | 1.28 | 1.42 | 4.56 | 1.54 | |||||||||||||||
Total from investment operations | .26 | 1.26 | 1.35 | 4.57 | 1.51 | |||||||||||||||
Less Distributions | — | — | — | — | (.56 | ) | ||||||||||||||
Capital Contributions (Note 4) | .02 | (e) | — | — | — | — | ||||||||||||||
Net Asset Value, end of year | $ | 23.03 | $ | 22.75 | $ | 21.49 | $ | 20.14 | $ | 15.57 | ||||||||||
Total Return(a) | 1.23 | %(f) | 5.86 | % | 6.70 | % | 29.35 | % | 10.62 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (in millions) | $ | 142.5 | $ | 160.1 | $ | 172.9 | $ | 178.5 | $ | 154.8 | ||||||||||
Ratios to average net assets(b): | ||||||||||||||||||||
Expenses after waivers and/or expense reimbursement | 1.23 | % | 1.23 | % | 1.23 | % | 1.24 | % | 1.20 | % | ||||||||||
Expenses before waivers and/or expense reimbursement | 1.23 | % | 1.23 | % | 1.23 | % | 1.24 | % | 1.20 | % | ||||||||||
Net investment income (loss) | (.01 | )% | (.10 | )% | (.33 | )% | .07 | % | (.18 | )% | ||||||||||
Portfolio turnover rate | 69 | % | 64 | % | 97 | % | 78 | % | 75 | % |
(a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions, if any, and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
(b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
(c) | Calculated based upon average shares outstanding during the year. |
(d) | Less than $0.005 per share. |
(e) | Represents payment received by the Portfolio, from Prudential, in connection with the failure to maximize securities lending income due to a restriction that benefited Prudential. |
(f) | Total return for the year includes the impact of the capital contribution. Excluding the capital contribution, the total return would have been 1.53% and 1.14% for Class I and Class II, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statement of assets and liabilities of Jennison 20/20 Focus Portfolio (the “Portfolio”), one of the portfolios constituting The Prudential Series Fund, including the schedule of investments, as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits 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 and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2016, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2016, and the results of its operations, the changes in its net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 14, 2017
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Susan Davenport Austin* (Age: 49) Trustee Since 2011 Overseen by Trustee: 112 | Senior Managing Director of Brock Capital (since 2014); Vice Chairman of Sheridan Broadcasting Corporation (since 2013); Formerly Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; Formerly President of Sheridan Gospel Network (2004-2014); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc (1997-2000); Vice President, Salomon Brothers Inc (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Formerly Chairman of the Board of Directors, Broadcast Music, Inc. (2011-2014); Presiding Director of the Board of Directors, Broadcast Music, Inc. (since 2014); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | Director of NextEra Energy Partners, LP (NYSE:NEP) (February 2015-Present). | ||
Sherry S. Barrat* (Age: 67) Trustee Since 2013 Overseen by Trustee: 112 | Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly President & CEO, Palm Beach/Martin County Region, Northern Trust. | Director of NextEra Energy, Inc. (NYSE: NEE) (1998-Present); Director of Arthur J. Gallagher & Company (Since July 2013). | ||
Jessica M. Bibliowicz* (Age: 57) Trustee Since 2014 Overseen by Trustee: 112 | Senior Adviser (Since 2013) of Bridge Growth Partners (private equity firm); formerly Chief Executive Officer (1999-2013) of National Financial Partners (independent distributor of financial services products. | Director (since 2006) The Asia-Pacific Fund, Inc.; Sotheby’s (since 2014) (auction house and art-related finance). | ||
Kay Ryan Booth* (Age: 66) Trustee Since 2013 Overseen by Trustee: 112 | Partner, Trinity Private Equity Group (Since September 2014); formerly, Managing Director of Cappello Waterfield & Co. LLC (2011-2014); formerly Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | None. | ||
Delayne Dedrick Gold* (Age: 78) Trustee Since 2003 Overseen by Trustee: 112 | Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None. | ||
Robert F. Gunia* (Age: 70) Trustee Since 2003 Overseen by Trustee: 112 | Independent Consultant (Since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | Director (Since May 1989) of The Asia-Pacific Fund, Inc. | ||
Thomas T. Mooney* (Age: 75) Trustee Since 2003 Independent Chair Since 2003 Overseen by Trustee: 112 | Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | None. |
E1
Independent Trustees | ||||
Name, Age Position with the Fund Number of Portfolios in Fund Complex† | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee** | ||
Thomas M. O’Brien* (Age: 66) Trustee Since 2003 Overseen by Trustee: 112 | Director, President and CEO Sun Bancorp, Inc. N.A. (NASDAQ: SNBC) and Sun National Bank (Since July 2014); formerly Consultant, Valley National Bancorp, Inc. and Valley National Bank (January 2012-June 2012); formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | Formerly Director, BankUnited, Inc. and BankUnited N.A. (NYSE: BKU) (May 2012-April 2014); formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006- January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | ||
Interested Trustee | ||||
Timothy S. Cronin* (Age: 51) Trustee Since 2009 Overseen by Trustee: 113 | President of Prudential Annuities (Since June 2015); Chief Investment Officer and Strategist of Prudential Annuities (Since January 2004); Director of Investment & Research Strategy (Since February 1998); President of AST Investment Services, Inc. (Since June 2005). | None. |
* The address of each Trustee is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
** Includes only directorships of companies required to register or file reports with the Securities and Exchange Commission (SEC) under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.
† The Fund Complex consists of all investment companies managed by Prudential Investments LLC. The Funds for which Prudential Investments LLC serves as manager include the Prudential Investments Mutual Funds, Target Mutual Funds, The Prudential Variable Contract Accounts 2, 10 and 11, Prudential Short Duration High Yield Fund, Inc., Prudential Global Short Duration High Yield Fund, Inc., The Prudential Series Fund, Advanced Series Trust, and Prudential’s Gibraltar Fund, Inc.
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
Raymond A. O’Hara* (61) Chief Legal Officer Since 2012 | Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | |
Chad A. Earnst* (41) Chief Compliance Officer Since 2014 | Chief Compliance Officer (September 2014-Present) of Prudential Investments LLC; Chief Compliance Officer (September 2014-Present) of the Prudential Investments Funds, Target Funds, Advanced Series Trust, The Prudential Series Fund, Prudential’s Gibraltar Fund, Inc., Prudential Global Short Duration High Yield Income Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Jennison MLP Income Fund, Inc.; formerly Assistant Director (March 2010-August 2014) of the Asset Management Unit, Division of Enforcement, U.S. Securities & Exchange Commission; Assistant Regional Director (January 2010-August 2014), Branch Chief (June 2006-December 2009) and Senior Counsel (April 2003-May 2006) of the Miami Regional Office, Division of Enforcement, U.S. Securities & Exchange Commission. | |
Deborah A. Docs* (58) Secretary Since 2005 | Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Jonathan D. Shain* (58) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
Claudia DiGiacomo* (42) Assistant Secretary Since 2005 | Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown & Wood LLP (1999-2004). | |
Andrew R. French* (53) Assistant Secretary Since 2006 | Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | |
Kathleen DeNicholas* (42) Assistant Secretary Since 2013 | Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). |
E2
Trust Officers(1) | ||
Name, Age Position with the Fund | Principal Occupation(s) During Past 5 Years | |
M. Sadiq Peshimam* (53) Treasurer and Principal Financial & Accounting Officer Since 2014 | Assistant Treasurer of funds in the Prudential Mutual Fund Complex (2006-2014); Vice President (since 2005) of Prudential Investments LLC. | |
Peter Parrella* (58) Assistant Treasurer Since 2007 | Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). | |
Lana Lomuti* (49) Assistant Treasurer Since 2014 | Vice President (since 2007) and Director (2005-2007), within Prudential Mutual Fund Administration; formerly Assistant Treasurer (December 2007-February 2014) of The Greater China Fund, Inc. | |
Linda McMullin* (55) Assistant Treasurer Since 2014 | Vice President (since 2011) and Director (2008-2011) within Prudential Mutual Fund Administration. | |
Theresa C. Thompson* (54) Deputy Chief Compliance Officer Since 2008 | Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). | |
Charles H. Smith* (44) Anti-Money Laundering Compliance Officer Since 2016 | Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2015) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2016); formerly Global Head of Economic Sanctions Compliance at AIG Property Casualty (February 2007-December 2014); Assistant Attorney General at the New York State Attorney General’s Office, Division of Public Advocacy. (August 1998-January 2007). |
* The address for each officer is c/o Prudential Investments LLC, 655 Broad Street, Newark, New Jersey 07102.
(1) Excludes Mr. Cronin, an Interested Trustee who serves as President. Biographical and other information with respect to Mr. Cronin appears under “Interested Trustee,” above.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable annuity or variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request by calling the appropriate phone number listed below. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the Commission) at www.sec.gov and on the Fund’s website at www.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third calendar quarter-end on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced below.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling the appropriate phone number listed below.
To contact your client services representative, please call the phone number listed below. Thank you.
Owners of Individual Annuity contracts should call (888) 778-2888.
Owners of Individual Life Insurance contracts should call (800) 778-2255.
Owners of Group Variable Universal Life Insurance contracts should call (800) 562-9874.
Owners of Group Variable Universal Life Insurance contracts through AICPA should call (800) 223-7473.
The Prudential Series Fund may offer two classes of shares in each portfolio: Class I and Class II. Class I shares are sold only to separate accounts of The Prudential Insurance Company of America, Pruco Life Insurance Company, and Pruco Life Insurance Company of New Jersey (collectively, Prudential) and to separate accounts of insurance companies not affiliated with Prudential where Prudential has assumed responsibility for the administration of contracts issued through such non-affiliated insurance companies, as investment options under variable life insurance and variable annuity contracts (the Contracts). (A separate account keeps the assets supporting certain insurance contracts separate from the general assets and liabilities of the insurance company.) Class II shares are offered only to separate accounts of non-Prudential insurance companies for the same types of Contracts.
The Prudential Series Fund is distributed by Prudential Investment Management Services LLC (PIMS), 655 Broad Street, 19th Floor, Newark, NJ 07102, member SIPC, a Prudential Financial company and solely responsible for its own financial condition and contractual obligations.
Annuity and life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
The Prudential Insurance Company of America
751 Broad Street
Newark, NJ 07102-3777
Presorted
Standard
U.S. Postage
PAID
Prudential
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, Prudential Annuities Life Assurance Corporation, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. Householding is not yet available on all products. You should be aware that by calling (877) 778-5008, you can revoke, or “opt out,” of householding at any time, which may increase the volume of mail you will receive.
©2017 Prudential Financial, Inc. and its related entities. Prudential Investments, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
PSF-AR-20/20 Focus
Item 2 – Code of Ethics – – See Exhibit (a)
As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.
The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3 – Audit Committee Financial Expert –
The registrant’s Board has determined that Mr. Thomas O’Brien, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.
Item 4 – Principal Accountant Fees and Services –
(a) Audit Fees
For the fiscal years ended December 31, 2016 and December 31, 2015, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $586,416 and $583,200, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings. In addition to the above, $169,305 of audit fees billed by KPMG were paid by Prudential Financial, Inc. and/or its affiliates for the fiscal year ended December 31, 2016.
(b) Audit-Related Fees
For the fiscal years ended December 31, 2016 and December 31, 2015: none.
(c) Tax Fees
For the fiscal years ended December 31, 2016 and December 31, 2015: none.
(d) All Other Fees
For the fiscal years ended December 31, 2016 and December 31, 2015: none.
(e) (1) Audit Committee Pre-Approval Policies and Procedures
THE PRUDENTIAL MUTUAL FUNDS
AUDIT COMMITTEE POLICY
on
Pre-Approval of Services Provided by the Independent Accountants
The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve the independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:
• | a review of the nature of the professional services expected to be provided, |
• | a review of the safeguards put into place by the accounting firm to safeguard independence, and |
• | periodic meetings with the accounting firm. |
Policy for Audit and Non-Audit Services Provided to the Funds
On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed non-audit services will not adversely affect the independence of the independent accountants. Such proposed non-audit services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.
The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.
Audit Services
The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:
Ø | Annual Fund financial statement audits |
Ø | Seed audits (related to new product filings, as required) |
Ø | SEC and regulatory filings and consents |
Audit-related Services
The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:
Ø | Accounting consultations |
Ø | Fund merger support services |
Ø | Agreed Upon Procedure Reports |
Ø | Attestation Reports |
Ø | Other Internal Control Reports |
Individual audit-related services that fall within one of these categories (except for fund merger support services) and are not presented to the Audit Committee as part of the annual pre-approval process are subject to an authorized pre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under such pre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated). Fees related to fund merger support services are subject to a separate authorized pre-approval by the Audit Committee with fees determined on a per occurrence and merger complexity basis.
Tax Services
The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:
Ø | Tax compliance services related to the filing or amendment of the following: |
◾ | Federal, state and local income tax compliance; and, |
◾ | Sales and use tax compliance |
Ø | Timely RIC qualification reviews |
Ø | Tax distribution analysis and planning |
Ø | Tax authority examination services |
Ø | Tax appeals support services |
Ø | Accounting methods studies |
Ø | Fund merger support services |
Ø | Tax consulting services and related projects |
Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process are subject to an authorized pre-approval by the Audit Committee so long as the estimated fee for those services does not exceed $30,000. Any services provided under such pre-approval will be reported to the Audit Committee at its next regular meeting. Should the amount of such services exceed $30,000 any additional fees will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated).
Other Non-Audit Services
Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Proscribed Services
The Fund’s independent accountants will not render services in the following categories of non-audit services:
Ø | Bookkeeping or other services related to the accounting records or financial statements of the Fund | |
Ø | Financial information systems design and implementation | |
Ø | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports | |
Ø | Actuarial services | |
Ø | Internal audit outsourcing services | |
Ø | Management functions or human resources | |
Ø | Broker or dealer, investment adviser, or investment banking services | |
Ø | Legal services and expert services unrelated to the audit | |
Ø | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible. |
Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex
Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $30,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.
(e) (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee –
For the fiscal years ended December 31, 2016 and December 31, 2015: none.
(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.
The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.
(g) Non-Audit Fees
The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years ended December 31, 2016 and December 31, 2015 was $0 and $0, respectively.
(h) Principal Accountant’s Independence
Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
Item 5 – | Audit Committee of Listed Registrants – Not applicable. | |
Item 6 – | Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form. | |
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable. | |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – Not applicable. | |
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable. |
Item 10 – | Submission of Matters to a Vote of Security Holders – Not applicable. | |
Item 11 – | Controls and Procedures |
(a) | It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
(b) | There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12 – Exhibits
(a) | (1) | Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH | ||||
(2) |
Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as | |||||
(3) |
Any written solicitation to purchase securities under Rule 23c-1. – Not applicable. | |||||
(b) |
Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | The Prudential Series Fund | |
By: | /s/Deborah A. Docs | |
Deborah A. Docs | ||
Secretary | ||
Date: | February 14, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Timothy S. Cronin | |
Timothy S. Cronin | ||
President and Principal Executive Officer | ||
Date: | February 14, 2017 | |
By: | /s/M. Sadiq Peshimam | |
M. Sadiq Peshimam | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date: | February 14, 2017 |