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: 811-03857
American Funds Insurance Series
(Exact Name of Registrant as Specified in Charter)
333 South Hope Street
Los Angeles, California 90071
(Address of Principal Executive Offices)
Registrant's telephone number, including area code: (213) 486-9200
Date of fiscal year end: December 31
Date of reporting period: June 30, 2018
Steven I. Koszalka
American Funds Insurance Series
333 South Hope Street
Los Angeles, California 90071
(Name and Address of Agent for Service)
ITEM 1 – Reports to Stockholders
American Funds
Semi-annual report |
We believe in
investing in global
companies for the
long term.
American Funds Insurance Series, by Capital Group, is the underlying investment vehicle for many variable annuities and insurance products. For more than 85 years, Capital Group has invested with a long-term focus based on thorough research and attention to risk.
Investing for short periods makes losses more likely. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Investing outside the United States involves risks, such as currency fluctuations, periods of illiquidity and price volatility, as more fully described in the prospectus. These risks may be heightened in connection with investments in developing countries. Investing in small-capitalization stocks can involve greater risk than is customarily associated with investing in stocks of larger, more established companies. The return of principal for bond funds and for funds with significant underlying bond holdings is not guaranteed. Fund shares are subject to the same interest rate, inflation and credit risks associated with the underlying bond holdings. High-yield bonds are subject to greater fluctuations in value and risk of loss of income and principal than investment-grade bonds. Bond ratings, which typically range from AAA/Aaa (highest) to D (lowest), are assigned by credit rating agencies such as Standard & Poor’s, Moody’s and/or Fitch as an indication of an issuer’s creditworthiness. Futures may not provide an effective hedge of the underlying securities because changes in the prices of futures may not track those of the securities they are intended to hedge. In addition, the managed risk strategy may not effectively protect the funds from market declines and will limit the funds’ participation in market gains. The use of the managed risk strategy could cause the fund’s return to lag those of the applicable underlying funds in certain rising market conditions. Refer to the funds’ prospectuses and the Risk Factors section of this report for more information on these and other risks associated with investing in the funds.
Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.
Global stocks were little changed for the six months ended June 30, 2018, with the MSCI ACWI (All Country World Index)1 — a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets, consisting of more than 40 developed and emerging market country indexes — returning –0.43%. Strong corporate earnings and ongoing central bank stimulus measures helped mitigate investor concerns about deteriorating trade relations, uncertainty related to political elections and rising U.S. interest rates.
The United States had one of the strongest markets, as the MSCI USA Index1 (a free float-adjusted, market capitalization-weighted index that is designed to measure the U.S. portion of the world market) advanced 2.90%. The U.S. economic expansion continued into its 10th year, showing sustained strength even as trade tariffs led to heightened global tensions and occasionally volatile markets. Rising wages and low unemployment supported consumer spending, while inflation has only gradually accelerated. A sweeping overhaul of the tax code and a lightening of the regulatory regime boosted earnings projections for companies in certain sectors. Higher confidence also led many companies to increase capital expenditures and employee compensation.
Repeating a theme, information technology companies in particular advanced, supported by generally better than expected corporate earnings in the sector. Stocks of cyclical companies led gains, outpacing those in more defensive companies amid continued evidence of a broad-based global economic recovery, though recently there have been some signs of slowing in the rest of the world. In the current environment, there have been spikes in market volatility. For instance, volatility peaked at the beginning of the year as investor anxieties around inflationary pressures and climbing interest rates sent markets sharply lower, resulting in the first market correction (or roughly 10% loss) since early 2016. More recent bouts of volatility have been due to more aggressive U.S. trade policy.
The U.S. Federal Reserve increased short-term interest rates in March and June to a range of 1.75% and 2.00%. The Fed also signaled two more rate increases later in the year. These rate hikes are steps toward normalization after central banks have pursued accommodative monetary policies focused on healing stresses in the global financial system caused by the 2008 financial crisis.
In Europe, markets have been pressured by political turmoil in Italy and Spain, and the eurozone grew at a slower pace. Share prices declined as Italian leaders struggled to form a coalition government amid investor worries about Italy leaving the EU, and U.S. officials announced tariffs on steel and aluminum imports from allies, including the European Union, Mexico and Canada. In June, the European Central Bank announced it plans to end quantitative easing at the end of the year given the right economic conditions. Overall, the MSCI Europe Index lost 3.23% led by Austria (-8.69%), Germany (–7.39%) and Switzerland (–6.92%). Elsewhere among developed
See page 2 for footnotes.
American Funds Insurance Series | 1 |
markets, Japanese equities slipped 2.03% with news of a decrease in the country’s GDP and as Japan’s policy board lowered its inflation expectations for 2018 amid tepid wage growth. Outside developed economies, most emerging markets were negatively impacted by a strengthening U.S. dollar and political uncertainty ahead of elections in several developing countries. Economic conditions in Turkey (–29.61%) and Brazil (–17.29%) hurt sentiment as well.
In bond markets, U.S. investment-grade debt (as measured by the Bloomberg Barclays U.S. Corporate Investment Grade Index2 of BBB/Baa-rated and above publically issued U.S. corporate and foreign debentures and secured notes) declined 3.27%, while U.S. high-yield corporate debt (as measured by the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index2 of fixed-rate, non-investment-grade debt that limits the maximum exposure of any one issuer to 2%) marginally rose 0.16%, as investors sought higher yields than those offered by U.S. Treasuries. Bloomberg Barclays Global Aggregate Index2, a measure of global investment-grade bonds lost 1.46%, while the Bloomberg Barclays U.S. Aggregate Index2 (which measures U.S. investment-grade bonds) fell 1.62%. The 10-year Treasury yield, which stood at 2.40% on December 31, 2017, rose to 2.85%. U.S. dollar–denominated emerging markets bonds, as measured by the J.P. Morgan EMBI (Emerging Markets Bond Index) Global3, which tracks total returns for U.S. dollar-denominated debt instruments issued by emerging markets sovereign and quasi-sovereign entities, (including Brady bonds, loans and Eurobonds) fell 5.23% hurt by rising U.S. Treasury yields and a dollar rally.
The U.S. dollar appreciated against most currencies. In developed markets, the Canadian dollar (–4.75%), euro (–2.77%) and the Swiss franc (–1.86%) slid, while the Japanese yen (1.70%) gained against the greenback.
American Funds Insurance Series funds recorded mixed returns during the period and select funds with exposure to growth stocks enjoyed the highest returns.
The road ahead
The U.S. economy is healthy and appears to have recovered from the 2008-2009 financial crisis. Although conventional wisdom is that higher interest rates are bad for stocks, that’s not always the case. When U.S. rates rise against a backdrop of a strong economy, equities can rise along with bond yields. As such, we remain optimistic about the long-term outlook for U.S. equity markets. The current synchronized global economic recovery is also supportive of underlying corporate earnings growth in the U.S., while relatively low inflation, moderately rising commodity prices and broadly accommodative monetary policies should provide a favorable backdrop.
That said, we think equity valuations are above average in the United States, and geopolitical risks are rising. Thus, we may be entering a more moderate return environment compared to the strong returns of the past few years. Trade tensions between the U.S. and China pose challenges to global commerce and we will be watching those events closely. This and other trade disputes, coupled with tighter U.S. monetary policy, are likely to produce further market volatility. In addition, the adjustment to a more normalized interest rate environment could spark subsequent temporary downturns as the market adapts to fewer stimulus measures.
We remain confident in our ability to find attractive companies for the long term. We continue to stay the course of conducting deep fundamental research, with a long-term horizon, and an eye toward valuation and risk. We are optimistic that our robust investment process, and our ability to identify solid companies at good valuations based on bottom-up analysis, can serve our investors well in the long run.
We continue to have confidence this will remain the case, and thank you for your support. We look forward to reporting to you again in six months’ time.
Sincerely,
Donald D. O’Neal
Vice Chairman of the Board
Alan N. Berro
President
August 14, 2018
All market indexes referenced in this report are unmanaged and, therefore, have no expenses. Investors cannot invest directly in an index.
1 | Country returns are based on MSCI indexes, which reflect reinvestment of distributions and dividends net of withholding taxes, except for the MSCI USA Index, which reflects dividends gross of withholding taxes. Source: MSCI. |
2 | Source: Bloomberg Index Services Ltd. |
3 | This report, and any product, index or fund referred to herein, is not sponsored, endorsed or promoted in any way by J.P. Morgan or any of its affiliates who provide no warranties whatsoever, express or implied, and shall have no liability to any prospective investor, in connection with this report. J.P. Morgan disclaimer: http://www.jpmorgan.com/pages/jpmorgan/ib/girg. |
2 | American Funds Insurance Series |
Summary investment portfolios
Summary investment portfolios are designed to streamline this report and help investors better focus on the funds’ principal holdings. Ultra-Short Bond Fund, Managed Risk Growth Fund, Managed Risk International Fund, Managed Risk Blue Chip Income and Growth Fund, Managed Risk Growth-Income Fund and Managed Risk Asset Allocation Fund show a complete listing of portfolio holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings for each fund in the series.
Unless otherwise indicated, American Funds Insurance Series investment results are for Class 1 shares (Class P1 shares for managed risk funds). Class 1A shares began operations on January 6, 2017. Class 2 shares began operations on April 30, 1997. Class 3 shares began operations on January 16, 2004. Class 4 shares began operations on December 14, 2012. Results encompassing periods prior to those dates assume a hypothetical investment in Class 1 shares and include the deduction of additional annual expenses (0.25% for Class 1A shares, 0.25% for Class 2 shares, 0.18% for Class 3 shares and 0.50% for Class 4 shares).
The variable annuities and life insurance contracts that use the series funds contain certain fees and expenses not reflected in this report. Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The series investment adviser waived a portion of its management fees for all existing funds from September 1, 2004, through December 31, 2008, for Global Growth and Income Fund from May 1, 2006, through December 31, 2008, for International Growth and Income Fund from November 18, 2008, through December 31, 2008, for U.S. Government/AAA-Rated Securities Fund from July 1, 2010, through December 31, 2010, and for Blue Chip Income and Growth Fund from February 1, 2014, through January 31, 2015.
For the managed risk funds, the investment adviser is currently waiving a portion of its management fee equal to 0.05% of the funds’ net assets. In addition, the investment adviser is currently reimbursing a portion of other expenses for all managed risk funds except Managed Risk Blue Chip Income and Growth Fund and Managed Risk Asset Allocation Fund. The waivers and reimbursements will be in effect through at least May 1, 2019, unless modified or terminated by the series board. After that time, the investment adviser may elect to extend, modify or terminate the reimbursements. The waivers may only be modified or terminated with the approval of the series board. Applicable fund results shown reflect the waivers and reimbursements, without which results would have been lower. See the Financial Highlights tables in this report for details.
The Managed Risk Growth Fund pursues its objective by investing in shares of American Funds Insurance Series – Growth FundSM and American Funds Insurance Series – Bond FundSM. The Managed Risk International Fund pursues its objective by investing in shares of American Funds Insurance Series –International FundSM and American Funds Insurance Series – Bond FundSM. The Managed Risk Blue Chip Income and Growth Fund pursues its objective by investing in shares of American Funds Insurance Series –Blue Chip Income and Growth FundSM and American Funds Insurance Series – U.S. Government/AAA-Rated Securities FundSM. The Managed Risk Growth-Income Fund pursues its objective by investing in shares of American Funds Insurance Series – Growth-Income FundSM and American Funds Insurance Series – Bond FundSM. The Managed Risk Asset Allocation Fund pursues its objective by investing in shares of American Funds Insurance Series – Asset Allocation Fund.SM The funds seek to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the funds’ managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the funds’ results can be expected to lag those of the underlying fund.
Funds are listed in the report as follows: equity, balanced, fixed income and managed risk.
American Funds Insurance Series | 3 |
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Growth Fund rose 3.18% for the six months ended June 30, 2018, compared with a 0.43% decrease for the MSCI ACWI (All Country World Index),1 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets, consisting of more than 40 developed and emerging market country indexes.
Global stocks, as measured by the MSCI ACWI, were little changed despite solid corporate earnings and ongoing central bank stimulus measures. Gains were tempered by signs of slowing economic growth, investor concerns around rising interest rates, mounting inflation pressures and escalating trade tensions between the U.S. and China. A stronger U.S. dollar and geopolitics weighed on emerging markets. As information technology stocks continued to push higher, defensive stocks pulled markets lower — weighed down by losses in the consumer staples and telecommunication services sectors.
An eclectic mix of financials and consumer discretionary investments boosted the fund’s relative returns. Amazon reported strong first-quarter earnings that beat analyst estimates thanks to Prime and Amazon Web Services, and was the top contributor to the fund’s returns. India’s fourth-largest private sector bank, Kotak Mahindra, was also additive as the company surged on solid fourth-quarter earnings.
Investments in consumer staples were the biggest drag on results. British American Tobacco hindered returns the most amid uncertainty regarding the outlook for traditional tobacco products and tighter regulation.
On a geographic basis, stocks of companies domiciled in the U.S., Germany and the Netherlands were additive to results, while stocks of companies based in the U.K., the Philippines and Finland lagged.
Despite soaring valuations, the fund’s portfolio managers are optimistic they will continue to find good companies globally that offer high-quality products, and whose values are not yet fully reflected in their share prices.
Country diversification by domicile | Percent of net assets | |||
The Americas | ||||
United States | 39.5 | % | ||
Other | 1.4 | |||
40.9 | ||||
Europe | ||||
United Kingdom | 7.8 | |||
Netherlands | 4.9 | |||
France | 4.5 | |||
Switzerland | 2.9 | |||
Germany | 1.5 | |||
Russian Federation | 1.4 | |||
Denmark | 1.3 | |||
Spain | 1.1 | |||
Other | 2.3 | |||
27.7 | ||||
Asia/Pacific Basin | ||||
China | 5.5 | |||
Japan | 4.6 | |||
Taiwan | 3.8 | |||
Hong Kong | 3.2 | |||
India | 1.9 | |||
Other | 1.8 | |||
20.8 | ||||
Other regions | ||||
South Africa | 1.3 | |||
Short-term securities & other assets less liabilities | 9.3 | |||
Total | 100.0 | % |
4 | American Funds Insurance Series |
Global Growth Fund
Largest individual equity securities | Percent of net assets | |||
Amazon | 7.11 | % | ||
ASML | 3.70 | |||
Alphabet | 3.60 | |||
TSMC | 3.25 | |||
2.78 | ||||
Microsoft | 2.49 | |||
Airbus Group | 2.20 | |||
Visa | 2.11 | |||
AIA Group | 2.09 | |||
Alibaba Group | 2.00 |
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since April 30, 1997) | Expense ratio | |||||||||||||||||||
Class 1 | 3.18 | % | 14.52 | % | 12.67 | % | 9.12 | % | 10.03 | % | .55 | % | ||||||||||||
Class 1A | 3.07 | 14.26 | 12.40 | 8.86 | 9.76 | .80 | 2 | |||||||||||||||||
Class 2 | 3.03 | 14.24 | 12.38 | 8.85 | 9.76 | .80 | ||||||||||||||||||
Class 4 | 2.92 | 13.92 | 12.13 | 8.62 | 9.50 | 1.05 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 5 |
Global Small Capitalization Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Small Capitalization Fund increased 4.58% for the six months ended June 30, 2018. Its benchmark, the MSCI All Country World Small Cap Index,1 a free float-adjusted market capitalization-weighted index designed to measure equity market results of smaller capitalization companies in both developed and emerging markets, gained 1.46%.
Global stocks, as measured by the MSCI ACWI, were little changed despite solid corporate earnings and ongoing central bank stimulus measures. Gains were tempered by signs of slowing global economic growth, investor concerns around rising interest rates, mounting inflation pressures and escalating trade tensions between the U.S. and China. A stronger U.S. dollar and geopolitics weighed on emerging markets. As information technology stocks continued to push higher, defensive stocks pulled markets lower — weighed down by losses in the consumer staples and telecommunication services sectors.
Fund holdings in the health care sector, which include companies specializing in everything from biotechnology and pharmaceuticals to life sciences tools and services industries, aided returns. Wuxi Biologics and Insulet Corporation surged to all-time highs led by strong earnings and revenue growth, respectively. However, the fund’s investments in industrials stocks, such as International Container Terminal Services and Johnson Electric Holdings, hurt results.
While investments in U.S. companies were additive to returns, investments in companies domiciled in the Philippines detracted.
The fund’s portfolio managers continue to seek investment opportunities in undervalued companies that have the potential to change industries and benefit our shareholders. They believe rigorous bottom-up research into each potential equity investment can help achieve this goal. The fund currently holds some 200 companies diversified across geographies and industries. As always, we maintain our commitment to investing for the long term.
Country diversification by domicile | Percent of net assets | |||
The Americas | ||||
United States | 42.3 | % | ||
Canada | 2.5 | |||
Other | .6 | |||
45.4 | ||||
Asia/Pacific Basin | ||||
Japan | 7.8 | |||
China | 5.1 | |||
India | 4.3 | |||
Hong Kong | 3.3 | |||
Taiwan | 1.3 | |||
South Korea | 1.2 | |||
Thailand | 1.2 | |||
Philippines | 1.1 | |||
Other | 1.3 | |||
26.6 | ||||
Europe | ||||
United Kingdom | 11.0 | |||
Germany | 1.6 | |||
Sweden | 1.3 | |||
Italy | 1.0 | |||
Other | 4.4 | |||
19.3 | ||||
Short-term securities & other assets less liabilities | 8.7 | |||
Total | 100.0 | % |
Largest individual equity securities | Percent of net assets | |||
GW Pharmaceuticals | 2.42 | % | ||
Insulet | 1.76 | |||
Integra LifeSciences Holdings | 1.54 | |||
iRhythm | 1.53 | |||
Kotak Mahindra Bank | 1.50 | |||
Melco International Development | 1.25 | |||
China Biologic Products | 1.21 | |||
Madrigal Pharmaceuticals | 1.16 | |||
GVC Holdings | 1.15 | |||
ENN Energy Holdings | 1.14 |
6 | American Funds Insurance Series |
Global Small Capitalization Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since April 30, 1998) | Expense ratio | |||||||||||||||||||
Class 1 | 4.58 | % | 17.00 | % | 10.38 | % | 6.11 | % | 9.79 | % | .74 | % | ||||||||||||
Class 1A | 4.49 | 16.74 | 10.13 | 5.86 | 9.52 | .99 | 2 | |||||||||||||||||
Class 2 | 4.46 | 16.68 | 10.11 | 5.85 | 9.52 | .99 | ||||||||||||||||||
Class 4 | 4.33 | 16.43 | 9.84 | 5.60 | 9.25 | 1.24 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 7 |
Growth Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Growth Fund gained 9.95% for the six months ended June 30, 2018, compared with a 2.65% increase in its benchmark index, Standard & Poor’s 500 Composite Index,1 a market capitalization-weighted index based on the results of approximately 500 widely held common stocks.
U.S. equity markets continued to advance, even as trade tensions and higher interest rates weighed on investor sentiment and heightened geopolitical tensions led to increased market volatility. Repeating a common theme, information technology companies advanced, supported by generally better than expected corporate earnings in the sector. Outside the U.S., European stocks declined as signs of slowing economic growth and escalating trade tensions dampened investor sentiment. Emerging markets fell as investors weighed the ramifications of a strengthening U.S. dollar and uncertainty related to elections in Latin America.
Investments in the consumer discretionary and health care sectors boosted the fund’s returns. Among the fund’s top contributors to returns (posting at least double-digit gains) were consumer discretionary companies Amazon and Netflix. As Amazon’s Prime subscriber base exceeded 100 million, an increase in the number of subscriptions for Netflix boosted the company’s revenue growth. Some companies in the financials sector detracted from absolute results, led by Wells Fargo as the bank came under continued pressure because of probes into its sales practices.
Although U.S. economic growth remained strong, the fund’s portfolio managers are keeping a close watch on economic indicators, such as wage growth and fiscal policy, including outcomes of the recent U.S. tax bill. Portfolio managers continue to favor well-positioned, growth-oriented companies that are capable of generating free cash flow in myriad economic environments and remain optimistic that our global research will help us identify attractive long-term investment opportunities.
Largest individual equity securities | Percent of net assets | |||
Amazon | 7.57 | % | ||
5.53 | ||||
Alphabet | 4.82 | |||
Microsoft | 4.30 | |||
Netflix | 3.20 | |||
Broadcom | 3.06 | |||
UnitedHealth Group | 2.98 | |||
ASML | 2.75 | |||
Tesla | 2.41 | |||
Wells Fargo | 2.15 |
8 | American Funds Insurance Series |
Growth Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since February 8, 1984) | Expense ratio | |||||||||||||||||||
Class 1 | 9.95 | % | 22.81 | % | 16.42 | % | 10.46 | % | 12.95 | % | .35 | % | ||||||||||||
Class 1A | 9.81 | 22.51 | 16.14 | 10.19 | 12.67 | .60 | 2 | |||||||||||||||||
Class 2 | 9.83 | 22.52 | 16.13 | 10.19 | 12.67 | .60 | ||||||||||||||||||
Class 3 | 9.86 | 22.60 | 16.21 | 10.26 | 12.74 | .53 | ||||||||||||||||||
Class 4 | 9.68 | 22.20 | 15.84 | 9.93 | 12.39 | .85 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 9 |
International Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
International Fund marginally declined 0.02% for the six months ended June 30, 2018. Its benchmark, the MSCI ACWI (All Country World Index) ex USA,1 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes excluding the U.S.), fell 3.77%.
Global stocks, as measured by the MSCI ACWI, were little changed despite solid corporate earnings and ongoing central bank stimulus measures. Gains were tempered by signs of slowing economic growth, investor concerns around rising interest rates, mounting inflation pressures and escalating trade tensions between the U.S. and China. A stronger U.S. dollar and geopolitics weighed on emerging markets. As information technology stocks continued to push higher, defensive stocks pulled markets lower – weighed down by losses in the consumer staples and telecommunication services sectors.
Investments in the utilities sector boosted returns with ENN Energy and China Gas Holdings among the top contributors thanks to rising demand for natural gas in China. Investments in the financials sector hindered absolute results, pressured by geopolitical headwinds and a flattening yield curve.
The fund’s portfolio managers continue to monitor key indicators in advanced countries – from wage growth and inflation dynamics to the impact of technology and demographics on productivity – as they seek the flexibility to pivot to areas of opportunity. Our focus on a company’s fundamental growth drivers and intrinsic worth is critical to helping us identify investments that we believe represent the best value over the long term.
Country diversification by domicile | Percent of net assets | |||
Asia/Pacific Basin | ||||
Japan | 13.4 | % | ||
China | 8.5 | |||
Hong Kong | 8.0 | |||
India | 6.1 | |||
South Korea | 5.2 | |||
Australia | 1.3 | |||
Other | 2.0 | |||
44.5 | ||||
Europe | ||||
United Kingdom | 13.3 | |||
France | 9.4 | |||
Switzerland | 4.2 | |||
Germany | 2.8 | |||
Spain | 2.4 | |||
Netherlands | 1.9 | |||
Ireland | 1.5 | |||
Other | 2.5 | |||
38.0 | ||||
The Americas | ||||
Canada | 3.3 | |||
Brazil | 2.3 | |||
United States | 1.5 | |||
Other | .1 | |||
7.2 | ||||
Other regions | ||||
Israel | 1.7 | |||
Other | .7 | |||
2.4 | ||||
Short-term securities & other assets less liabilities | 7.9 | |||
Total | 100.0 | % |
Largest equity securities | Percent of net assets | |||
Airbus Group | 3.48 | % | ||
AIA Group | 3.34 | |||
HDFC Bank | 2.58 | |||
Samsung Electronics | 2.52 | |||
Tencent | 2.32 | |||
Alibaba Group Holding | 2.11 | |||
Novartis | 1.97 | |||
Teva Pharmaceutical Industries | 1.71 | |||
Royal Dutch Shell | 1.48 | |||
Rolls-Royce Holdings | 1.40 |
10 | American Funds Insurance Series |
International Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since May 1, 1990) | Expense ratio | |||||||||||||||||||
Class 1 | –.02 | % | 11.56 | % | 8.65 | % | 4.92 | % | 8.39 | % | .54 | % | ||||||||||||
Class 1A | –.13 | 11.30 | 8.38 | 4.66 | 8.12 | .79 | 2 | |||||||||||||||||
Class 2 | –.16 | 11.30 | 8.37 | 4.66 | 8.12 | .79 | ||||||||||||||||||
Class 3 | –.10 | 11.35 | 8.45 | 4.73 | 8.20 | .72 | ||||||||||||||||||
Class 4 | –.28 | 11.01 | 8.10 | 4.42 | 7.86 | 1.04 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 11 |
New World Fund®
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
New World Fund was down 3.89% for the six months ended June 30, 2018. Its benchmark index, the MSCI ACWI (All Country World Index),1 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes), marginally declined 0.43%. The MSCI Emerging Markets Index,1 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global emerging markets (consisting of more than 20 emerging market country indexes), decreased by 6.66%.
Global stocks, as measured by the MSCI ACWI, were little changed despite solid corporate earnings and ongoing central bank stimulus measures. Gains were tempered by signs of slowing economic growth, investor concerns around rising interest rates, mounting inflation pressures and escalating trade tensions between the U.S. and China. Emerging markets were under pressure due to a stronger U.S. dollar, geopolitics and tightening global liquidity.
The fund’s relative returns outpaced most emerging markets. Investments in the information technology and energy sectors were beneficial to the fund. Condiment maker Foshan Haitian Flavoring & Food rose on the back of China’s strong economic growth. Among detractors, investments in the financials sector hurt results with Grupo Financiero Galicia hindering returns despite reporting strong fourth-quarter profits.
While the broad stock market has rallied amid a global economic recovery, at this point in the market cycle selectivity and close attention to individual holdings are particularly important. The fund’s portfolio managers continue to pursue a bottom-up approach to investing and continue to search for undervalued companies with solid foundations around the world.
Country diversification by domicile | Percent of net assets | |||
Asia/Pacific Basin | ||||
China | 14.8 | % | ||
India | 13.0 | |||
Japan | 3.8 | |||
Taiwan | 2.9 | |||
Hong Kong | 2.3 | |||
South Korea | 1.1 | |||
Australia | 1.0 | |||
Other | 2.1 | |||
41.0 | ||||
The Americas | ||||
United States | 12.6 | |||
Brazil | 6.7 | |||
Canada | 2.5 | |||
Argentina | 2.0 | |||
Mexico | 1.3 | |||
Other | .6 | |||
25.7 | ||||
Europe | ||||
United Kingdom | 8.0 | |||
France | 3.6 | |||
Russian Federation | 2.5 | |||
Switzerland | 1.7 | |||
Other | 2.7 | |||
18.5 | ||||
Other regions | ||||
South Africa | 1.2 | |||
Other | 1.0 | |||
2.2 | ||||
Short-term securities & other assets less liabilities | 12.6 | |||
Total | 100.0 | % |
Largest equity securities | Percent of net assets | |||
Reliance Industries | 5.52 | % | ||
TSMC | 2.58 | |||
First Quantum Minerals | 2.46 | |||
HDFC Bank | 2.35 | |||
British American Tobacco | 2.31 | |||
Airbus Group | 2.05 | |||
Pagseguro Digital | 1.97 | |||
Alphabet | 1.97 | |||
Alibaba Group Holding | 1.81 | |||
AIA Group | 1.64 |
12 | American Funds Insurance Series |
New World Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since June 17, 1999) | Expense ratio | |||||||||||||||||||
Class 1 | –3.89 | % | 8.81 | % | 6.16 | % | 4.17 | % | 8.34 | % | .76 | % | ||||||||||||
Class 1A | –3.99 | 8.53 | 5.90 | 3.91 | 8.07 | 1.01 | 2 | |||||||||||||||||
Class 2 | –4.01 | 8.54 | 5.89 | 3.91 | 8.07 | 1.01 | ||||||||||||||||||
Class 4 | –4.13 | 8.23 | 5.62 | 3.66 | 7.80 | 1.26 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. Results for MSCI indexes reflect dividends net of withholding taxes and reinvestment of distributions. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 13 |
Blue Chip Income and Growth Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Blue Chip Income and Growth Fund gained 0.47% for the six months ended June 30, 2018, trailing the 2.65% rise in its benchmark index, Standard & Poor’s 500 Composite Index,1 a market capitalization-weighted index based on the results of approximately 500 widely held common stocks.
U.S. equity markets continued to advance, even as trade tensions and higher interest rates weighed on investor sentiment and heightened geopolitical tensions led to increased market volatility. Repeating a common theme, information technology companies advanced, supported by generally better than expected corporate earnings in the sector. Outside the U.S., European stocks declined as signs of slowing economic growth and escalating trade tensions dampened investor sentiment. Emerging markets fell as investors weighed the ramifications of a strengthening U.S. dollar and uncertainty related to elections in Latin America.
Investments in information technology and consumer discretionary companies boosted absolute results. Among the fund’s top contributors to absolute returns (posting double-digit gains) was consumer discretionary company Twenty-First Century Fox, which reported fiscal second-quarter earnings above analyst estimates led by higher revenues from its cable networking business.
Fund holdings in the consumer staples sector hindered returns. Investments in tobacco companies, such as Altria Group and British American Tobacco, hurt results amid uncertainty regarding the outlook for traditional tobacco products and tighter regulation. Given the fund’s focus on investing in dividend-paying stocks, a lack of investments in certain growth stocks in the consumer discretionary sector – such as Amazon and Netflix – hampered relative results.
The fund’s portfolio managers are keeping a close watch on U.S. fiscal policy and geopolitics and its implications on the U.S. economy. Portfolio managers continue to favor well-managed, high-quality companies that are capable of generating positive cash flow in myriad economic environments and remain optimistic that our global research will help us identify attractive long-term investment opportunities.
Largest individual equity securities | Percent of net assets | |||
AbbVie | 6.84 | % | ||
Wells Fargo | 4.17 | |||
Amgen | 3.28 | |||
Intel | 3.08 | |||
Microsoft | 3.04 | |||
EOG Resources | 2.96 | |||
Abbott Laboratories | 2.93 | |||
Teva Pharmaceutical Industries | 2.90 | |||
CSX | 2.75 | |||
Gilead Sciences | 2.62 |
14 | American Funds Insurance Series |
Blue Chip Income and Growth Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since July 5, 2001) | Expense ratio | |||||||||||||||||||
Class 1 | .47 | % | 11.36 | % | 12.92 | % | 9.96 | % | 6.67 | % | .41 | % | ||||||||||||
Class 1A | .32 | 11.08 | 12.65 | 9.69 | 6.41 | .66 | 2 | |||||||||||||||||
Class 2 | .29 | 10.99 | 12.63 | 9.68 | 6.40 | .66 | ||||||||||||||||||
Class 4 | .14 | 10.75 | 12.40 | 9.47 | 6.17 | .91 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008, and from February 1, 2014, through January 31, 2015. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 15 |
Global Growth and Income Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Growth and Income Fund declined 0.79% for the six months ended June 30, 2018, compared with a 0.43% decrease in its benchmark index, MSCI ACWI (All Country World Index),1 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets, consisting of more than 40 developed and emerging market country indexes.
Global stocks, as measured by the MSCI ACWI, were little changed despite solid corporate earnings and ongoing central bank stimulus measures. Gains were tempered by signs of slowing economic growth, investor concerns around rising interest rates, mounting inflation pressures and escalating trade tensions between the U.S. and China. A stronger U.S. dollar and geopolitics weighed on emerging markets. In Europe, markets have been pressured by political turmoil in Italy and Spain, while the eurozone grew at a slower pace. As information technology stocks continued to push higher, defensive stocks pulled markets lower — weighed down by losses in the consumer staples and telecommunication services sectors.
Several sectors including health care contributed to the fund’s returns. Health care companies UnitedHealth Group and Centene rallied on solid earnings reports and were among the top contributors to results. On the downside, investments in the consumer staples sector hindered returns. British American Tobacco was the top detractor amid uncertainty regarding the outlook for traditional tobacco products and tighter regulation.
On a country basis, holdings in the U.S. and Denmark contributed the most to absolute returns, and holdings in the U.K. and Brazil were a drag on returns.
The fund’s portfolio managers recognize that we are in the late stages of a synchronized global economic recovery. With quantitative easing programs ending or set to end in the U.S. and Europe, the fund’s managers remain cautiously optimistic about the prospects of the global economy and are monitoring the potential impact of rising interest rates on global growth. Portfolio managers continue to invest based on a bottom-up approach to long-term investing and believe they can uncover promising companies with sustainable dividends and income.
Country diversification by domicile | Percent of net assets | |||
The Americas | ||||
United States | 36.5 | % | ||
Brazil | 3.8 | |||
Mexico | 2.9 | |||
Other | .9 | |||
44.1 | ||||
Europe | ||||
United Kingdom | 11.1 | |||
France | 6.4 | |||
Switzerland | 2.8 | |||
Germany | 2.1 | |||
Denmark | 2.0 | |||
Ireland | 1.3 | |||
Netherlands | 1.0 | |||
Other | 1.0 | |||
27.7 | ||||
Asia/Pacific Basin | ||||
Japan | 6.6 | |||
Taiwan | 4.4 | |||
India | 3.4 | |||
China | 3.2 | |||
Hong Kong | 1.1 | |||
Other | 2.4 | |||
21.1 | ||||
Other regions | ||||
Israel | .3 | |||
Short-term securities & other assets less liabilities | 6.8 | |||
Total | 100.0 | % |
Largest equity securities | Percent of net assets | |||
Nintendo | 4.00 | % | ||
British American Tobacco | 3.32 | |||
Microsoft | 3.11 | |||
Airbus Group | 2.89 | |||
TSMC | 2.58 | |||
UnitedHealth Group | 2.45 | |||
Reliance Industries | 2.03 | |||
Century Aluminum | 1.76 | |||
United Microelectronics | 1.50 | |||
Ørsted | 1.46 |
16 | American Funds Insurance Series |
Global Growth and Income Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since May 1, 2006) | Expense ratio | |||||||||||||||||||
Class 1 | –.79 | % | 9.16 | % | 10.07 | % | 7.14 | % | 6.91 | % | .63 | % | ||||||||||||
Class 1A | –.99 | 8.91 | 9.82 | 6.89 | 6.66 | .88 | 2 | |||||||||||||||||
Class 2 | –.90 | 8.92 | 9.81 | 6.88 | 6.65 | .88 | ||||||||||||||||||
Class 4 | –1.12 | 8.58 | 9.51 | 6.63 | 6.40 | 1.13 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from May 1, 2006, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 17 |
Growth-Income Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Growth-Income Fund gained 6.58% for the six months ended June 30, 2018. Standard & Poor’s 500 Composite Index,1 a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, rose 2.65%.
U.S. equity markets continued to advance, even as trade tensions and higher interest rates weighed on investor sentiment and heightened geopolitical tensions led to increased market volatility. Repeating a common theme, information technology companies advanced, supported by generally better than expected corporate earnings in the sector. Outside the U.S., European stocks declined as signs of slowing economic growth and escalating trade tensions dampened investor sentiment. Emerging markets fell as investors weighed the ramifications of a strengthening U.S. dollar and uncertainty related to elections in Latin America.
Regarding the fund, investments in the consumer discretionary sector contributed the most to the fund’s returns. Among consumer discretionary companies, Netflix and Amazon contributed the most to the fund’s results on the back of strong first-quarter earnings. As Amazon’s Prime subscriber base exceeded 100 million, an increase in the number of subscriptions for Netflix boosted the company’s revenue growth. On the downside, investments in the consumer staples sector weighed on absolute returns. British American Tobacco hindered sector results the most amid uncertainty regarding the outlook for traditional tobacco products and tighter regulation.
The fund’s portfolio managers continue to look for compelling investment opportunities, while being cognizant that company valuations, in some cases, are elevated later in the market cycle.
Largest equity securities | Percent of net assets | |||
Netflix | 3.70 | % | ||
Alphabet | 3.37 | |||
Amazon | 3.20 | |||
Microsoft | 2.91 | |||
2.15 | ||||
AbbVie | 1.93 | |||
UnitedHealth Group | 1.69 | |||
JPMorgan Chase | 1.56 | |||
Intel | 1.45 | |||
Amgen | 1.45 |
18 | American Funds Insurance Series |
Growth-Income Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since February 8, 1984) | Expense ratio | |||||||||||||||||||
Class 1 | 6.58 | % | 18.99 | % | 14.56 | % | 10.16 | % | 11.48 | % | .28 | % | ||||||||||||
Class 1A | 6.46 | 18.69 | 14.29 | 9.90 | 11.21 | .53 | 2 | |||||||||||||||||
Class 2 | 6.44 | 18.68 | 14.27 | 9.88 | 11.21 | .53 | ||||||||||||||||||
Class 3 | 6.50 | 18.75 | 14.35 | 9.96 | 11.28 | .46 | ||||||||||||||||||
Class 4 | 6.33 | 18.39 | 13.98 | 9.63 | 10.93 | .78 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 19 |
International Growth and Income Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
International Growth and Income Fund declined 1.87% for the six months ended June 30, 2018, compared to the 3.77% decline in its benchmark index, the MSCI ACWI (All Country World Index) ex USA,1 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes excluding the U.S.).
Global stocks, as measured by the MSCI ACWI, were little changed despite solid corporate earnings and ongoing central bank stimulus measures. Gains were tempered by signs of slowing economic growth, investor concerns around rising interest rates, mounting inflation pressures and escalating trade tensions between the U.S. and China. A stronger U.S. dollar and geopolitics weighed on emerging markets. In Europe, markets have been pressured by political turmoil in Italy and Spain, while the eurozone grew at a slower pace. As information technology stocks continued to push higher, defensive stocks pulled markets lower — weighed down by losses in the consumer staples and telecommunication services sectors.
The best contributors to the fund’s relative returns were the health care and industrials sectors due in part to good stock selection. Health care companies Hikma Pharmaceuticals and Daiichi Sankyo recorded double-digit returns and were the top contributors to the fund’s returns, despite reporting lower operating profits for the year that ended 2017 than for the previous period.
On the downside, investments in the financials sector detracted from the fund’s returns, pressured by geopolitical headwinds and a flattening yield curve. Among financials, Banco Santander and KB Financial Group were a drag on results, despite reporting growth in first-quarter profits.
The fund’s portfolio managers continue to monitor global geopolitics that may derail economic growth, and are optimistic that global research combined with the fund’s flexible mandate will help us identify attractive investment opportunities.
Country diversification by domicile | Percent of net assets | |||
Europe | ||||
United Kingdom | 22.4 | % | ||
France | 10.2 | |||
Switzerland | 4.7 | |||
Germany | 2.8 | |||
Spain | 2.7 | |||
Russian Federation | 2.4 | |||
Sweden | 1.9 | |||
Denmark | 1.8 | |||
Netherlands | 1.6 | |||
Portugal | 1.3 | |||
Norway | 1.2 | |||
Italy | 1.2 | |||
Other | 1.3 | |||
55.5 | ||||
Asia/Pacific Basin | ||||
China | 7.6 | |||
Japan | 6.3 | |||
Hong Kong | 5.3 | |||
South Korea | 4.3 | |||
India | 3.2 | |||
Other | 2.3 | |||
29.0 | ||||
The Americas | ||||
Brazil | 3.4 | |||
United States | 1.1 | |||
Other | 1.1 | |||
5.6 | ||||
Other regions | ||||
Israel | 1.2 | |||
Other | .7 | |||
1.9 | ||||
Short-term securities & other assets less liabilities | 8.0 | |||
Total | 100.0 | % |
Largest individual equity securities | Percent of net assets | |||
Royal Dutch Shell | 4.58 | % | ||
Rio Tinto | 4.16 | |||
British American Tobacco | 3.21 | |||
HDFC Bank | 2.58 | |||
Novartis | 2.21 | |||
Airbus | 2.03 | |||
Zurich Insurance Group | 1.87 | |||
Shanghai International Airport | 1.86 | |||
Samsung Electronics | 1.85 | |||
Ørsted | 1.82 |
20 | American Funds Insurance Series |
International Growth and Income Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | Lifetime (since November 18, 2008) | Expense ratio | ||||||||||||||||||||
Class 1 | –1.87 | % | 6.43 | % | 5.70 | % | 9.59 | % | .65 | % | ||||||||||||||
Class 1A | –2.00 | 6.15 | 5.46 | 9.33 | .90 | 2 | ||||||||||||||||||
Class 2 | –1.98 | 6.13 | 5.44 | 9.32 | .90 | |||||||||||||||||||
Class 4 | –2.12 | 5.88 | 5.20 | 9.09 | 1.15 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from November 18, 2008, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 21 |
Capital Income Builder®
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Capital Income Builder, a mix of stocks and bonds, lost 2.11% for the six months ended June 30, 2018. During the same period, the MSCI ACWI (All Country World Index),1 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes), declined 0.43%. The Bloomberg Barclays U.S. Aggregate Index,2 which measures investment-grade U.S. bonds (rated BBB/Baa and above), fell by 1.62%. The index blend of 70%/30% MSCI ACWI/Bloomberg Barclays U.S. Aggregate Index3 declined 0.72%. The Lipper Global Equity Income Funds Average,4 a measure of similar funds, decreased by 2.40%.
U.S. equity markets continued to advance, even as trade tensions and higher interest rates weighed on investor sentiment and heightened geopolitical tensions led to increased market volatility. European stocks declined as signs of slowing economic growth and escalating trade tensions dampened investor sentiment. Emerging markets fell as investors weighed the ramifications of a strengthening U.S. dollar and uncertainty related to elections in Latin America.
In the equity portfolio, the best contributors to the fund’s absolute returns included investments in the consumer discretionary and industrials sectors. Synchronized global economic growth was accompanied by an uptick in capital spending in the U.S. that is expected to benefit companies in the industrials sector such as Boeing. Airbus also contributed to the fund’s results as the European plane maker promised to deliver more jets than ever before.
On the downside, investments in the consumer staples and telecommunication services sectors detracted from returns. While Vodafone hindered results the most amid news that its CEO is stepping down, Philip Morris International was among the top detractors amid mixed first-quarter earnings led by investor concerns about growth of its new tobacco products and loss of market share in many of its brands. The fixed income portfolio detracted from the fund’s relative returns due to curve positioning.
As the U.S. economy and markets ring in another year of expansion, the fund’s portfolio managers are monitoring these twin factors and remain confident about the prospects of continued economic growth in the near future. Portfolio managers are also optimistic that our bottom up approach to investing will help us identify attractive long-term investment opportunities, despite higher equity valuations in the U.S.
Country diversification by domicile | Percent of net assets | |||
The Americas | ||||
United States | 53.3 | % | ||
Canada | 2.7 | |||
56.0 | ||||
Europe | ||||
United Kingdom | 14.2 | |||
France | 3.7 | |||
Switzerland | 2.7 | |||
Italy | 1.6 | |||
Sweden | 1.3 | |||
Netherlands | 1.3 | |||
Other | 2.5 | |||
27.3 | ||||
Asia/Pacific Basin | ||||
Hong Kong | 3.2 | |||
Taiwan | 2.0 | |||
Japan | 1.5 | |||
Other | 1.5 | |||
8.2 | ||||
Short-term securities & other assets less liabilities | 8.5 | |||
Total | 100.0 | % |
22 | American Funds Insurance Series |
Capital Income Builder
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | Lifetime (since May 1, 2014) | Expense ratio | |||||||||||||||||||||
Class 1 | –2.11 | % | 2.42 | % | 3.25 | % | .54 | % | ||||||||||||||||
Class 1A | –2.23 | 2.20 | 2.99 | .79 | 5 | |||||||||||||||||||
Class 2 | –2.32 | 2.09 | 3.12 | .79 | ||||||||||||||||||||
Class 4 | –2.36 | 1.92 | 2.73 | 1.04 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index result reflects dividends net of withholding taxes and reinvestment of distributions. |
2 | Source: Bloomberg Index Services Ltd. |
3 | Data sources: MSCI and Bloomberg Index Services Ltd. The 70%/30% MSCI ACWI/Bloomberg Barclays U.S. Aggregate Index blends the MSCI ACWI (All Country World Index) with the Bloomberg Barclays U.S. Aggregate Index by weighting their total returns at 70% and 30%, respectively. Its result assumes the blend is rebalanced monthly. |
4 | Source: Thomson Reuters Lipper. Lipper averages reflect the current composition of all eligible mutual funds (all share classes) within a given category. Lipper categories are dynamic and averages may have few funds, especially over longer periods. To see the number of funds included in the Lipper category for each fund’s lifetime, please see the Quarterly Statistical Update, available on our website. |
5 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 23 |
Asset Allocation Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Asset Allocation Fund, which is a mix of stocks and bonds, rose 1.14% for the six months ended June 30, 2018. Standard & Poor’s 500 Composite Index,1 a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, gained 2.65% over the same period, while the Bloomberg Barclays U.S. Aggregate Index,2 which measures investment-grade U.S. bonds (rated BBB/Baa and above), declined 1.62%. A blend of the two indexes, the 60%/40% S&P 500/Bloomberg Barclays U.S. Aggregate Index,3 advanced 1.00%.
U.S. equity markets continued to advance, even as trade tensions and higher interest rates weighed on investor sentiment and heightened geopolitical tensions led to increased market volatility. European stocks declined as signs of slowing economic growth and escalating trade tensions dampened investor sentiment. Emerging markets fell as investors weighed the ramifications of a strengthening U.S. dollar and uncertainty related to elections in Latin America.
Fund holdings in the information technology sector contributed the most to the fund’s absolute returns. Microsoft, led by strong third-quarter earnings, was a top contributor to the fund’s returns as the company continued to push into cloud computing and related software. Sales in the company’s personal computing segment also rose. Among other information technology companies, ASML and Intuit also enjoyed double-digit returns as both companies contributed to results.
Investments in the consumer staples sector detracted from the fund’s returns. British American Tobacco hindered sector returns the most amid uncertainty regarding the outlook for traditional tobacco products and tighter regulation. The fund’s fixed income holdings were also a drag on relative returns due to curve positioning.
The fund’s portfolio managers continue to evaluate the economic and market-sector implications of the current administration’s decisions regarding fiscal policy and trade. The fund’s cash position allows portfolio managers to remain flexible and better navigate uncertainty by focusing on opportunities when stock prices are favorable.
Largest individual equity securities | Percent of net assets | |||
Microsoft | 2.75 | % | ||
UnitedHealth Group | 2.26 | |||
TSMC | 2.24 | |||
ASML Holding | 1.68 | |||
VeriSign | 1.66 | |||
DowDuPont | 1.50 | |||
Noble Energy | 1.43 | |||
Broadcom | 1.36 | |||
Johnson & Johnson | 1.36 | |||
Intel | 1.33 |
24 | American Funds Insurance Series |
Asset Allocation Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since August 1,1989) | Expense ratio | |||||||||||||||||||
Class 1 | 1.14 | % | 8.82 | % | 9.30 | % | 7.96 | % | 8.58 | % | .29 | % | ||||||||||||
Class 1A | 1.00 | 8.54 | 9.04 | 7.70 | 8.31 | .54 | 4 | |||||||||||||||||
Class 2 | .98 | 8.51 | 9.02 | 7.69 | 8.31 | .54 | ||||||||||||||||||
Class 3 | 1.07 | 8.63 | 9.10 | 7.77 | 8.38 | .47 | ||||||||||||||||||
Class 4 | .86 | 8.23 | 8.79 | 7.47 | 8.05 | .79 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. |
2 | Source: Bloomberg Index Services Ltd. |
3 | Data sources: S&P Dow Jones Indices LLC and Bloomberg Index Services Ltd. The 60%/40% S&P 500/Bloomberg Barclays U.S. Aggregate Index blends the S&P 500 with the Bloomberg Barclays U.S. Aggregate Index by weighting their total returns at 60% and 40%, respectively. Its result assumes the blend is rebalanced monthly. |
4 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 25 |
Global Balanced Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Balanced Fund declined 0.47% for the six months ended June 30, 2018. The MSCI ACWI (All Country World Index),1 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes), decreased by 0.43%, while the Bloomberg Barclays Global Aggregate Index,2 a measure of investment-grade bonds (rated BBB/Baa and above), fell 1.46%. The 60%/40% MSCI ACWI/ Bloomberg Barclays Global Aggregate Index,3 a blend of the two indexes, declined 0.79%.
U.S. equity markets continued to advance, even as trade tensions and higher interest rates weighed on investor sentiment and heightened geopolitical tensions led to increased market volatility. Repeating a common theme, information technology companies advanced, supported by generally better than expected corporate earnings in the sector. Outside the U.S., European stocks declined as signs of slowing economic growth and escalating trade tensions dampened investor sentiment. Emerging markets fell as investors weighed the ramifications of a strengthening U.S. dollar and uncertainty related to elections in Latin America.
Investments in the consumer discretionary sector boosted the fund’s returns, with Amazon among the top contributors. Amazon reported strong first-quarter earnings that beat analyst estimates thanks to Prime and Amazon Web Services. On the downside, investments in the information technology sector hindered returns. Brazilian online-payment company PagSeguro detracted the most from the fund’s returns as the company’s share price remained volatile since its IPO in January. In fixed income, currency exposure detracted from the fund’s returns led by emerging market debt.
The fund’s portfolio managers exercise caution and continue to monitor geopolitics that may derail the global economic recovery. Portfolio managers continue to stay the course of focusing on global research and bottom-up analysis.
Largest sectors in common stock holdings | Percent of net assets | |||
Information technology | 12.8 | % | ||
Financials | 7.8 | |||
Health care | 6.3 | |||
Industrials | 6.3 | |||
Energy | 5.7 | |||
Largest fixed income holdings (by issuer) | Percent of net assets | |||
U.S. Treasury | 10.5 | % | ||
Japanese Government | 3.5 | |||
Mexican Government | 1.1 | |||
Polish Government | 1.1 | |||
Fannie Mae | 1.0 |
26 | American Funds Insurance Series |
Global Balanced Fund
Currency diversification | Percent of net assets |
Equity securities | Bonds & notes | Forward currency contracts | Short–term securities & other assets less liabilities | Total | ||||||||||||||||
U.S. dollars | 29.3 | % | 18.6 | % | .2 | % | 4.9 | % | 53.0 | % | ||||||||||
Euros | 9.1 | 3.3 | 1.0 | — | 13.4 | |||||||||||||||
Japanese yen | 4.8 | 3.5 | 1.4 | — | 9.7 | |||||||||||||||
British pounds | 7.0 | .7 | .1 | — | 7.8 | |||||||||||||||
Swiss francs | 2.7 | — | — | — | 2.7 | |||||||||||||||
Hong Kong dollars | 2.5 | — | — | — | 2.5 | |||||||||||||||
New Taiwan Dollar | 1.3 | — | — | — | 1.3 | |||||||||||||||
Other currencies | 5.1 | 7.2 | (2.7 | ) | — | 9.6 | ||||||||||||||
100.0 | % |
Largest equity securities | Percent of net assets | |||
Nintendo | 1.67 | % | ||
ASML | 1.61 | |||
Humana | 1.60 | |||
PagSeguro Digital | 1.58 | |||
Amazon | 1.38 | |||
Boeing | 1.36 | |||
Microsoft | 1.36 | |||
HSBC | 1.31 | |||
TSMC | 1.28 | |||
JPMorgan Chase | 1.20 |
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | Lifetime (since May 2, 2011) | Expense ratio | ||||||||||||||||||||
Class 1 | –.47 | % | 7.33 | % | 6.72 | % | 5.90 | % | .71 | % | ||||||||||||||
Class 1A | –.55 | 7.13 | 6.50 | 5.67 | .96 | 4 | ||||||||||||||||||
Class 2 | –.55 | 7.01 | 6.46 | 5.64 | .96 | |||||||||||||||||||
Class 4 | –.71 | 6.78 | 6.39 | 5.54 | 1.21 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: MSCI. The MSCI index results reflect dividends net of withholding taxes and reinvestment of distributions. |
2 | Source: Bloomberg Index Services Ltd. |
3 | Data sources: MSCI and Bloomberg Index Services Ltd. The 60%/40% MSCI ACWI/Barclays Global Aggregate Index blends the MSCI ACWI (All Country World Index) with the Bloomberg Barclays Global Aggregate Index by weighting their cumulative total returns at 60% and 40%, respectively. Its result assumes the blend is rebalanced monthly. |
4 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 27 |
Bond Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Bond Fund declined by 1.76% for the six months ended June 30, 2018. In comparison, the fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Index,1 which measures investment-grade U.S. bonds (rated BBB/Baa and above), was down 1.62%.
Rising yields made for mixed results across bond sectors. The 10-year Treasury yield rose 45 basis points, as the Federal Reserve hiked the federal funds target rate in March and June to a range of 1.75% and 2.00%. The Fed also signaled two more rate increases later in the year. Concerns about more restrictive U.S. trade policy helped prevent longer dated Treasury yields from rising further.
The fund’s curve positioning hurt relative returns, but our conviction in our curve steepener position has grown as the U.S. Treasury yield curve has flattened.
On the whole, the U.S. economy appears to be in good shape and is expected to grow at a moderate pace. Higher interest rates in the U.S. are a potential source of tailwinds, as higher income can help offset any potential capital losses from rising rates. The fund’s portfolio managers are optimistic about total return attributes for investing in a spectrum of fixed income securities, including U.S. and emerging market debt.
Largest holdings (by issuer) | Percent of net assets | |||
U.S. Treasury | 25.1 | % | ||
Fannie Mae | 15.7 | |||
Ginnie Mae | 4.5 | |||
Freddie Mac | 3.3 | |||
Mexican Government | 2.4 | |||
Teva Pharmaceutical | 1.7 | |||
Japanese Government | 1.5 | |||
State of Illinois | 1.4 | |||
Portuguese Government | 1.3 | |||
Bank of America | 1.1 |
28 | American Funds Insurance Series |
Bond Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since January 2, 1996) | Expense ratio | |||||||||||||||||||
Class 1 | –1.76 | % | –.55 | % | 2.38 | % | 3.07 | % | 4.55 | % | .38 | % | ||||||||||||
Class 1A | –1.87 | –.79 | 2.13 | 2.82 | 4.29 | .63 | 2 | |||||||||||||||||
Class 2 | –1.92 | –.81 | 2.12 | 2.81 | 4.29 | .63 | ||||||||||||||||||
Class 4 | –1.94 | –.98 | 1.88 | 2.57 | 4.04 | .88 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 29 |
Global Bond Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Global Bond Fund declined by 1.54% for the six months ended June 30, 2018. In comparison, the fund’s benchmark, the Bloomberg Barclays Global Aggregate Index,1 which measures global investment-grade bonds (rated BBB/Baa and above), was down 1.46%.
Bonds generated mixed returns across the board, including developed and emerging markets debt. The U.S. Federal Reserve raised the federal funds target rate in March and June to a range of 1.75% and 2.00%. The Fed also signaled two more rate increases later in the year, for a total of four in 2018. Other factors, including global trade conflicts, helped prevent longer dated Treasury yields from rising further. Outside the U.S., the European Central Bank left interest rates unchanged, despite signs of improving economic growth and higher inflation. The U.S. dollar appreciated against the euro, the yen and most other currencies.
Low exposure to euro-zone denominated debt combined with above-benchmark investments in Mexican and Polish debt contributed notably to relative returns. On the downside, duration positioning hampered results amid rising yields.
The fund’s portfolio managers maintain a cautious approach to investing in global bond markets and believe that our global research can help identify attractive long-term investments around the world. Having the flexibility to diversify and adjust exposure by country, sector and currency continues to serve as a hallmark of the fund’s approach to global investing.
Currency weighting (after hedging) by country | Percent of net assets | |||||||
United States2 | 51.8 | % | ||||||
Japan | 16.5 | |||||||
Euro zone3 | 16.0 | |||||||
Mexico | 2.6 | |||||||
United Kingdom | 2.6 | |||||||
Denmark | 1.8 | |||||||
Poland | 1.5 | |||||||
Malaysia | 1.1 | |||||||
Other | 6.1 | |||||||
Total | 100.0 | % | ||||||
Non-U.S. government bonds by country | ||||||||
Japan | 10.5 | % | ||||||
Euro zone3: | ||||||||
Germany | 2.4 | % | ||||||
Spain | 2.0 | |||||||
Portugal | 1.6 | |||||||
Italy | 1.3 | |||||||
Belgium | 1.0 | |||||||
Other | 1.7 | 10.0 | ||||||
Poland | 3.9 | |||||||
Mexico | 3.2 | |||||||
India | 2.9 | |||||||
United Kingdom | 2.0 | |||||||
Malaysia | 1.6 | |||||||
Korea | 1.4 | |||||||
Thailand | 1.3 | |||||||
Romania | 1.2 | |||||||
Other | 10.1 | |||||||
Total | 48.1 | % |
Largest holdings (by issuer) | Percent of net assets | |||
U.S. Treasury | 19.9 | % | ||
Japanese Government | 10.5 | |||
Polish Government | 3.9 | |||
Mexican Government | 3.4 | |||
Indian Government | 2.7 | |||
German Government | 2.3 | |||
Spanish Government | 2.0 | |||
Fannie Mae | 1.8 | |||
Malaysian Government | 1.6 | |||
Portuguese Government | 1.6 |
30 | American Funds Insurance Series |
Global Bond Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since October 4, 2006) | Expense ratio | |||||||||||||||||||
Class 1 | –1.54 | % | .36 | % | 1.76 | % | 2.98 | % | 3.88 | % | .56 | % | ||||||||||||
Class 1A | –1.55 | .25 | 1.56 | 2.75 | 3.64 | .81 | 4 | |||||||||||||||||
Class 25 | –1.59 | .20 | 1.51 | 2.74 | 3.62 | .81 | ||||||||||||||||||
Class 4 | –1.71 | –.07 | 1.31 | 2.52 | 3.40 | 1.06 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from October 4, 2006, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
2 | Includes U.S. dollar-denominated debt of other countries, totaling 14.7%. |
3 | Countries using the euro as a common currency; those represented in the fund’s portfolio are Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain. |
4 | Based on estimated amounts for the current fiscal year. |
5 | Global Bond Fund Class 2 shares were first sold on November 6, 2006. Results prior to that date are hypothetical based on Class 1 share results adjusted for estimated additional annual expenses of 0.25%. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 31 |
High-Income Bond Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
High-Income Bond Fund gained 0.48% for the six months ended June 30, 2018. In comparison, the fund’s benchmark, the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index,1 which measures non-investment-grade bonds and limits the exposure of an issuer to 2%, rose 0.16%.
Rising yields made for mixed results across bond sectors. The 10-year Treasury yield rose 45 basis points, as the Federal Reserve hiked the federal funds target rate in March and June to a range of 1.75% and 2.00%. The Fed also signaled two more rate increases later in the year, for a total of four in 2018. Other factors, including global trade conflicts, helped prevent longer dated Treasury yields from rising further.
Amid rising interest rates, the fund’s significant position in short-duration bonds, which tend to outperform longer duration bonds in a rising rate environment, helped returns relative to the benchmark. The fund’s industry allocation to pharmaceuticals was also additive to results, while allocation to telecommunication services hurt returns.
The fund’s portfolio managers continue to believe current fundamentals support a mildly constructive outlook for the high-yield market. While we are monitoring the Federal Reserve’s tightening monetary policy, the higher yields and relatively short duration of high yield bonds should help mitigate any impact from rising rates.
Largest holdings (by issuer) | Percent of net assets | |||
Valeant Pharmaceuticals International | 2.8 | % | ||
First Quantum Minerals | 2.0 | |||
Société Générale | 2.0 | |||
Intelsat Jackson Holdings | 1.8 | |||
Tenet Healthcare | 1.8 | |||
Cheniere Energy Partners | 1.8 | |||
Charter Communications | 1.8 | |||
Frontier Communications | 1.7 | |||
Sprint Nextel | 1.4 | |||
Chesapeake Energy | 1.4 |
32 | American Funds Insurance Series |
High-Income Bond Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since February 8, 1984) | Expense ratio | |||||||||||||||||||
Class 1 | .48 | % | 3.03 | % | 4.66 | % | 6.32 | % | 8.76 | % | .49 | % | ||||||||||||
Class 1A | .37 | 2.72 | 4.42 | 6.06 | 8.49 | .74 | 2 | |||||||||||||||||
Class 2 | .35 | 2.71 | 4.39 | 6.06 | 8.49 | .74 | ||||||||||||||||||
Class 3 | .35 | 2.82 | 4.46 | 6.13 | 8.57 | .67 | ||||||||||||||||||
Class 4 | .27 | 2.53 | 4.20 | 5.84 | 8.24 | .99 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 33 |
Mortgage Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Mortgage Fund lost 1.21% for the six months ended June 30, 2018, while the Bloomberg Barclays U.S. Mortgage-Backed Securities Index,1 which covers the mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae and Freddie Mac, declined 0.95%.
Rising yields made for mixed results across bond sectors. The 10-year Treasury yield rose 45 basis points, as the Federal Reserve hiked the federal funds target rate in March and June to a range of 1.75% and 2.00%. The Fed also signaled two more rate increases later in the year, for a total of four in 2018. Concerns about more restrictive U.S. trade policy helped prevent longer dated Treasury yields from rising further.
The fund’s investments in asset-backed securities and inflation protected securities were additive to relative returns. Also additive to relative returns were investments in 30-year mortgage-backed securities with coupons of 4.00% that surpassed investments in 30-year mortgage-backed securities with lower coupons and 15-year mortgage backed securities. On the downside, as the yield curve flattened, the fund’s curve positioning hampered relative returns.
The fund’s portfolio managers seek to identify high-quality mortgage-backed securities based on our bottom-up approach to investing. In the current environment, demand for flight-to-safety assets and the fund’s low correlation to equities should help investors navigate macroeconomic and geopolitical uncertainty and remain well diversified.
Breakdown of mortgage-backed obligations | Percent of net assets | |||||||
30-year pass-throughs: | ||||||||
Freddie Mac | 14.5 | % | ||||||
Ginnie Mae | 19.9 | |||||||
Fannie Mae | 18.4 | 52.8 | % | |||||
Other | 19.8 | |||||||
Total | 72.6 | % |
34 | American Funds Insurance Series |
Mortgage Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | Lifetime (since May 2, 2011) | Expense ratio | ||||||||||||||||||||
Class 1 | –1.21 | % | –1.25 | % | 2.08 | % | 2.25 | % | .47 | % | ||||||||||||||
Class 1A | –1.31 | –1.51 | 1.83 | 2.00 | .72 | 2 | ||||||||||||||||||
Class 2 | –1.26 | –1.41 | 1.85 | 2.01 | .72 | |||||||||||||||||||
Class 4 | –1.38 | –1.65 | 1.65 | 1.84 | .97 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 35 |
Ultra-Short Bond Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Ultra-Short Bond Fund gained 0.65% for the six months ended June 30, 2018, while the Bloomberg Barclays Short-Term Government/Corporate Index,1 which consists of government and corporate sector securities with remaining maturity from one up to (but not including) 12 months, gained 0.82%.
The fund’s returns were higher than in 2017 as the Federal Reserve raised the benchmark federal funds rate twice this year, to the current range of 1.75% and 2.00%. Given an increase in interest rates to reassure investors of persistent U.S. economic strength, the fund’s portfolio managers believe the fund has the potential to provide current income.
36 | American Funds Insurance Series |
Ultra-Short Bond Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since February 8, 1984) | Expense ratio | |||||||||||||||||||
Class 1 | .65 | % | 1.05 | % | .16 | % | .09 | % | 3.46 | % | .35 | % | ||||||||||||
Class 1A | .65 | 1.06 | –.02 | –.12 | 3.21 | .60 | 2 | |||||||||||||||||
Class 2 | .53 | .90 | –.09 | –.16 | 3.21 | .60 | ||||||||||||||||||
Class 3 | .63 | .99 | .00 | –.08 | 3.28 | .53 | ||||||||||||||||||
Class 4 | .47 | .63 | –.23 | –.33 | 2.97 | .85 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets | |||
Commercial paper | 84.6 | % | ||
Federal agency discount notes | 11.2 | |||
U.S. Treasury bills | 4.1 | |||
Other assets less liabilities | .1 | |||
Total | 100.0 | % |
American Funds Insurance Series | 37 |
U.S. Government/AAA-Rated Securities Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
U.S. Government/AAA-Rated Securities Fund declined 1.08% for the six months ended June 30, 2018, while the Bloomberg Barclays U.S. Government/Mortgage-Backed Securities Index,1 which covers obligations issued by the U.S. Treasury and U.S. government agencies, decreased by 1.01%.
Rising yields made for mixed results across bond sectors. The 10-year Treasury yield rose 45 basis points, as the Federal Reserve hiked the federal funds target rate in March and June to a range of 1.75% and 2.00%. The Fed also signaled two more rate increases later in the year, for a total of four in 2018. Concerns about more restrictive U.S. trade policy helped prevent longer dated Treasury yields from rising further.
During the period, the fund’s duration contributed to relative returns. On the downside, yield curve positioning detracted from relative returns as the yield curve flattened.
The fund strives to meet its objective of providing a high level of current income consistent with the preservation of capital. The fund’s portfolio managers have positioned the fund with the expectation that rate hikes over the next two to three years will be at a slower pace than is currently priced into the market. They believe this can lead to a steepening yield curve and higher inflation expectations.
Breakdown of mortgage-backed obligations | Percent of net assets | |||||||
30-year pass-throughs: | ||||||||
Freddie Mac | 3.5 | % | ||||||
Fannie Mae | 13.2 | |||||||
Ginnie Mac | 6.5 | 23.2 | % | |||||
Other | 5.3 | |||||||
Total | 28.5 | % |
38 | American Funds Insurance Series |
U.S. Government/AAA-Rated Securities Fund
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | 10 years | Lifetime (since December 2, 1985) | Expense ratio | |||||||||||||||||||
Class 1 | –1.08 | % | –1.12 | % | 1.75 | % | 3.15 | % | 5.74 | % | .36 | % | ||||||||||||
Class 1A | –1.25 | –1.39 | 1.52 | 2.90 | 5.48 | .61 | 2 | |||||||||||||||||
Class 2 | –1.22 | –1.38 | 1.48 | 2.89 | 5.47 | .61 | ||||||||||||||||||
Class 3 | –1.19 | –1.30 | 1.56 | 2.96 | 5.55 | .54 | ||||||||||||||||||
Class 4 | –1.33 | –1.67 | 1.26 | 2.67 | 5.22 | .86 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The fund’s investment adviser waived a portion of its management fees from September 1, 2004, through December 31, 2008, and from July 1, 2010, through December 31, 2010. Applicable fund results shown reflect the waiver, without which they would have been lower. Expense ratios are as of the fund’s prospectus dated May 1, 2018. See the Financial Highlights table in this report for details.
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: Bloomberg Index Services Ltd. |
2 | Based on estimated amounts for the current fiscal year. |
Where the fund’s assets were invested as of June 30, 2018 | Percent of net assets |
American Funds Insurance Series | 39 |
Managed Risk Growth Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
The fund gained 5.41% for the six months ended June 30, 2018. Standard & Poor’s 500 Managed Risk Index – Moderate Aggressive1 rose 0.69%. Standard & Poor’s 500 Composite Index,2 a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, gained 2.65%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – Growth FundSM and American Funds Insurance Series – Bond FundSM while seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying fund.
The underlying Growth Fund’s investments in consumer discretionary and health care added to returns, while investments in financials detracted from the fund’s absolute results.
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | Lifetime (since May 1, 2013) | Gross expense ratio | Net expense ratio | |||||||||||||||||||
Class P1 | 5.41 | % | 16.61 | % | 10.04 | % | 9.87 | % | .78 | % | .72 | % | ||||||||||||
Class P2 | 5.26 | 16.42 | 9.70 | 9.55 | 1.03 | .97 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. These indexes are generated and published under agreements between Standard & Poor’s Dow Jones Indices and Milliman Financial Risk Management LLC. |
2 | Source: S&P Dow Jones Indices LLC. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
40 | American Funds Insurance Series |
Managed Risk International Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
The fund declined 0.50% for the six months ended June 30, 2018, compared to the Standard & Poor’s EPAC Ex. Korea LargeMidCap Managed Risk Index – Moderate Aggressive,1 which fell 2.13%. The MSCI ACWI (All Country World Index) ex USA,2 a free float-adjusted market capitalization-weighted index that is designed to measure equity market results in the global developed and emerging markets (consisting of more than 40 developed and emerging market country indexes excluding the U.S.), decreased by 3.77%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – International FundSM and American Funds Insurance Series – Bond FundSM while seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying fund.
The underlying International Fund’s investments in the utilities sector added to returns, while investments in the financials sector hindered the fund’s absolute results.
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | Lifetime (since May 1, 2013) | Gross expense ratio | Net expense ratio | |||||||||||||||||||
Class P1 | –.50 | % | 10.07 | % | 4.39 | % | 3.84 | % | .95 | % | .87 | % | ||||||||||||
Class P2 | –.76 | 9.55 | 3.96 | 3.42 | 1.20 | 1.12 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. These indexes are generated and published under agreements between Standard & Poor’s Dow Jones Indices and Milliman Financial Risk Management LLC. |
2 | Source: MSCI. The MSCI index result reflects reinvestment of distributions and dividends net of withholding taxes. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
American Funds Insurance Series | 41 |
Managed Risk Blue Chip Income and Growth Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Managed Risk Blue Chip Income and Growth Fund lost 1.80% for the six months ended June 30, 2018, trailing Standard & Poor’s 500 Managed Risk Index – Moderate,1 which rose 0.49%. Standard & Poor’s 500 Composite Index,2 a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, gained 2.65%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – Blue Chip Income and Growth FundSM and American Funds Insurance Series – U.S. Government/AAA-Rated Securities FundSM while seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying fund.
The underlying Blue Chip Income and Growth Fund’s investments in the information technology sector were additive to absolute returns, while consumer staples stocks hindered the fund’s results.
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | Lifetime (since May 1, 2013) | Gross expense ratio | Net expense ratio | |||||||||||||||||||
Class P1 | –1.80 | % | 7.63 | % | 7.84 | % | 7.61 | % | .82 | % | .77 | % | ||||||||||||
Class P2 | –2.04 | 7.21 | 7.43 | 7.21 | 1.07 | 1.02 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. These indexes are generated and published under agreements between Standard & Poor’s Dow Jones Indices and Milliman Financial Risk Management LLC. |
2 | Source: S&P Dow Jones Indices LLC. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
42 | American Funds Insurance Series |
Managed Risk Growth-Income Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Managed Risk Growth-Income Fund gained 3.47% for the six months ended June 30, 2018, outpacing the Standard & Poor’s 500 Managed Risk Index – Moderate1, which rose 0.49%. Standard & Poor’s 500 Composite Index2, a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, gained 2.65%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – Growth-Income FundSM and American Funds Insurance Series – Bond FundSM while seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying fund.
The underlying Growth-Income Fund’s investments in the consumer discretionary sector added the most to the fund’s returns, while investments in the consumer staples sector was a drag on the fund’s absolute results.
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | Lifetime (since May 1, 2013) | Gross expense ratio | Net expense ratio | |||||||||||||||||||
Class P1 | 3.47 | % | 14.40 | % | 9.27 | % | 9.07 | % | .74 | % | .67 | % | ||||||||||||
Class P2 | 3.39 | 14.09 | 8.93 | 8.74 | .99 | .92 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. These indexes are generated and published under agreements between Standard & Poor’s Dow Jones Indices and Milliman Financial Risk Management LLC. |
2 | Source: S&P Dow Jones Indices LLC. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
American Funds Insurance Series | 43 |
Managed Risk Asset Allocation Fund
Fund results shown are for past periods and are not predictive of results for future periods. Current and future results may be lower or higher than those shown. Unit prices and returns will vary, so investors may lose money. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Managed Risk Asset Allocation Fund marginally declined 0.14% for the six months ended June 30, 2018, trailing the Standard & Poor’s 500 Managed Risk Index – Moderate Conservative1, which rose 0.28%. Standard & Poor’s 500 Composite Index,2 a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, gained 2.65%.
The fund pursues its objective by investing in shares of American Funds Insurance Series – Asset Allocation FundSM while seeking to manage portfolio volatility and provide downside protection, primarily through the use of exchange-traded futures. The benefit of the fund’s managed risk strategy should be most apparent during periods of high volatility and in down markets. In steady or rising markets, the fund’s results can be expected to lag those of the underlying fund.
The fund’s underlying investments in the information technology sector contributed the most to absolute returns, while investments in the consumer staples sector hindered returns.
Average annual total returns based on a $1,000 investment
For periods ended June 30, 2018
6 months | 1 year | 5 years | Lifetime (since September 28, 2012) | Gross expense ratio | Net expense ratio | |||||||||||||||||||
Class P1 | –.14 | % | 6.85 | % | 7.03 | % | 7.89 | % | .69 | % | .64 | % | ||||||||||||
Class P2 | –.26 | 6.59 | 6.76 | 7.62 | .94 | .89 |
Any market index shown is unmanaged and, therefore, has no expenses. Investors cannot invest directly in an index.
1 | Source: S&P Dow Jones Indices LLC. Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indexes, while maintaining a fixed allocation to the underlying bond index. These indexes are generated and published under agreements between Standard & Poor’s Dow Jones Indices and Milliman Financial Risk Management LLC. |
2 | Source: S&P Dow Jones Indices LLC. |
Milliman Financial Risk Management LLC serves as the subadviser with respect to the management of the fund’s managed risk strategy.
44 | American Funds Insurance Series |
Global Growth Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 90.66% | Shares | Value (000) | ||||||
Information technology 31.08% | ||||||||
ASML Holding NV | 648,442 | $ | 128,505 | |||||
ASML Holding NV (New York registered) | 517,300 | 102,410 | ||||||
Alphabet Inc., Class A1 | 130,000 | 146,795 | ||||||
Alphabet Inc., Class C1 | 71,052 | 79,269 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 26,955,000 | 191,408 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 335,000 | 12,248 | ||||||
Facebook, Inc., Class A1 | 898,500 | 174,597 | ||||||
Microsoft Corp. | 1,583,100 | 156,109 | ||||||
Visa Inc., Class A | 998,800 | 132,291 | ||||||
Alibaba Group Holding Ltd. (ADR)1 | 671,050 | 124,500 | ||||||
Nintendo Co., Ltd. | 345,600 | 112,999 | ||||||
Broadcom Inc. | 373,700 | 90,675 | ||||||
Tencent Holdings Ltd. | 1,800,000 | 90,349 | ||||||
Just Eat PLC1 | 5,292,000 | 54,406 | ||||||
AAC Technologies Holdings Inc. | 3,806,540 | 53,613 | ||||||
Temenos AG | 335,000 | 50,742 | ||||||
Largan Precision Co., Ltd. | 255,000 | 37,554 | ||||||
PagSeguro Digital Ltd., Class A1 | 1,340,900 | 37,210 | ||||||
Other securities | 174,554 | |||||||
1,950,234 | ||||||||
Consumer discretionary 17.89% | ||||||||
Amazon.com, Inc.1 | 262,400 | 446,028 | ||||||
Booking Holdings Inc.1 | 39,000 | 79,057 | ||||||
NIKE, Inc., Class B | 790,500 | 62,987 | ||||||
Home Depot, Inc. | 236,800 | 46,200 | ||||||
Naspers Ltd., Class N | 177,000 | 44,968 | ||||||
Moncler SpA | 915,000 | 41,673 | ||||||
Ctrip.com International, Ltd. (ADR)1 | 797,000 | 37,961 | ||||||
Other securities | 363,831 | |||||||
1,122,705 | ||||||||
Financials 9.70% | ||||||||
AIA Group Ltd. | 15,004,900 | 131,199 | ||||||
JPMorgan Chase & Co. | 853,600 | 88,945 | ||||||
Kotak Mahindra Bank Ltd. | 3,471,000 | 68,034 | ||||||
MarketAxess Holdings Inc. | 211,000 | 41,749 | ||||||
Prudential PLC | 1,793,884 | 41,064 | ||||||
Société Générale | 923,000 | 38,928 | ||||||
Other securities | 198,602 | |||||||
608,521 | ||||||||
Health care 9.69% | ||||||||
UnitedHealth Group Inc. | 324,200 | 79,539 | ||||||
Sartorius AG, non-registered shares, nonvoting preferred | 381,500 | 57,071 | ||||||
Express Scripts Holding Co.1 | 729,300 | 56,309 | ||||||
Boston Scientific Corp.1 | 1,638,200 | 53,569 | ||||||
Merck & Co., Inc. | 820,000 | 49,774 | ||||||
AstraZeneca PLC | 652,300 | 45,222 | ||||||
Mettler-Toledo International Inc.1 | 65,000 | 37,611 | ||||||
Other securities | 229,184 | |||||||
608,279 | ||||||||
Consumer staples 6.29% | ||||||||
British American Tobacco PLC | 1,710,800 | 86,475 | ||||||
Nestlé SA | 739,650 | 57,436 | ||||||
Philip Morris International Inc. | 602,200 | 48,621 | ||||||
Other securities | 201,821 | |||||||
394,353 |
American Funds Insurance Series | 45 |
Global Growth Fund
Common stocks (continued) | Shares | Value (000) | ||||||
Industrials 5.80% | ||||||||
Airbus SE, non-registered shares | 1,177,500 | $ | 137,866 | |||||
Other securities | 226,199 | |||||||
364,065 | ||||||||
Energy 2.07% | ||||||||
Royal Dutch Shell PLC, Class B | 1,042,000 | 37,315 | ||||||
Other securities | 92,740 | |||||||
130,055 | ||||||||
Materials 2.07% | ||||||||
Sherwin-Williams Co. | 155,500 | 63,377 | ||||||
Other securities | 66,655 | |||||||
130,032 | ||||||||
Telecommunication services 1.09% | ||||||||
SoftBank Group Corp. | 776,000 | 55,883 | ||||||
Other securities | 12,216 | |||||||
68,099 | ||||||||
Miscellaneous 4.98% | ||||||||
Other common stocks in initial period of acquisition | 312,437 | |||||||
Total common stocks (cost: $3,548,106,000) | 5,688,780 | |||||||
Bonds, notes & other debt instruments 0.02% | Principal amount (000) | |||||||
U.S. Treasury bonds & notes 0.02% | ||||||||
U.S. Treasury 0.02% | ||||||||
Other securities | 1,000 | |||||||
Total bonds, notes & other debt instruments (cost: $1,000,000) | 1,000 | |||||||
Short-term securities 9.03% | ||||||||
Mizuho Bank, Ltd. 1.90%–2.04% due 7/2/2018–7/20/20182 | $ | 134,100 | 133,977 | |||||
National Australia Bank Ltd. 2.08% due 8/21/20182 | 76,100 | 75,862 | ||||||
Nordea Bank AB 2.22% due 9/17/20182 | 50,000 | 49,763 | ||||||
Sumitomo Mitsui Banking Corp. 2.00%–2.10% due 7/23/2018–8/21/20182 | 134,700 | 134,348 | ||||||
Swedbank AB 1.85%–2.23% due 7/2/2018–9/27/2018 | 133,800 | 133,274 | ||||||
Other securities | 39,700 | |||||||
Total short-term securities (cost: $566,959,000) | 566,924 | |||||||
Total investment securities 99.71% (cost: $4,116,065,000) | 6,256,704 | |||||||
Other assets less liabilities 0.29% | 18,151 | |||||||
Net assets 100.00% | $ | 6,274,855 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes a security which was valued under fair value procedures adopted by authority of the board of trustees. The total value of the security which was valued under fair value procedures was $9,961,000, which represented .16% of the net assets of the fund.
46 | American Funds Insurance Series |
Global Growth Fund
Forward currency contracts
Contract amount | Unrealized appreciation (depreciation) | |||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 6/30/2018 (000) | ||||||
USD5,295 | JPY581,294 | Bank of America, N.A. | 7/25/2018 | $ | 35 | |||||
JPY581,294 | USD5,263 | Goldman Sachs | 7/25/2018 | (3 | ) | |||||
$ | 32 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Security did not produce income during the last 12 months. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $325,640,000, which represented 5.19% of the net assets of the fund. |
Key to abbreviations and symbol
ADR = American Depositary Receipts
JPY = Japanese yen
USD/$ = U.S. dollars
See Notes to Financial Statements
American Funds Insurance Series | 47 |
Global Small Capitalization Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 91.02% | Shares | Value (000) | ||||||
Health care 21.61% | ||||||||
GW Pharmaceuticals PLC (ADR)1 | 746,460 | $ | 104,161 | |||||
Insulet Corp.1 | 879,755 | 75,395 | ||||||
Integra LifeSciences Holdings Corp.1 | 1,025,423 | 66,047 | ||||||
iRhythm Technologies, Inc.1 | 807,980 | 65,551 | ||||||
China Biologic Products Holdings, Inc.1 | 524,000 | 52,049 | ||||||
Madrigal Pharmaceuticals, Inc.1 | 177,800 | 49,729 | ||||||
WuXi Biologics (Cayman) Inc.1 | 3,729,800 | 41,526 | ||||||
Molina Healthcare, Inc.1 | 420,000 | 41,135 | ||||||
NuCana PLC (ADR)1,2 | 2,067,724 | 39,287 | ||||||
Evolent Health, Inc., Class A1 | 1,436,000 | 30,228 | ||||||
CONMED Corp. | 399,000 | 29,207 | ||||||
athenahealth, Inc.1 | 176,000 | 28,009 | ||||||
Illumina, Inc.1 | 100,200 | 27,985 | ||||||
CryoLife, Inc.1 | 898,000 | 25,009 | ||||||
Other securities | 253,085 | |||||||
928,403 | ||||||||
Consumer discretionary 18.00% | ||||||||
Melco International Development Ltd. | 17,379,000 | 53,495 | ||||||
GVC Holdings PLC | 3,573,748 | 49,570 | ||||||
Five Below, Inc.1 | 457,000 | 44,653 | ||||||
Seria Co., Ltd. | 789,526 | 37,938 | ||||||
Entertainment One Ltd. | 7,563,697 | 36,714 | ||||||
Hilton Grand Vacations Inc.1 | 1,033,100 | 35,849 | ||||||
Cedar Fair, LP | 531,000 | 33,458 | ||||||
Domino’s Pizza, Inc. | 100,000 | 28,217 | ||||||
Caesars Entertainment Corp.1 | 2,375,836 | 25,421 | ||||||
Other securities | 427,777 | |||||||
773,092 | ||||||||
Information technology 13.53% | ||||||||
Qorvo, Inc.1 | 600,900 | 48,174 | ||||||
Paycom Software, Inc.1 | 428,885 | 42,387 | ||||||
Mellanox Technologies, Ltd.1 | 423,200 | 35,676 | ||||||
Hamamatsu Photonics KK | 735,753 | 31,632 | ||||||
Topcon Corp. | 1,707,510 | 29,303 | ||||||
VTech Holdings Ltd. | 2,189,000 | 25,264 | ||||||
Other securities | 368,856 | |||||||
581,292 | ||||||||
Financials 10.13% | ||||||||
Kotak Mahindra Bank Ltd. | 3,282,732 | 64,344 | ||||||
Texas Capital Bancshares, Inc.1 | 514,201 | 47,049 | ||||||
Trupanion, Inc.1 | 1,063,800 | 41,063 | ||||||
Essent Group Ltd.1 | 1,018,841 | 36,495 | ||||||
Webster Financial Corp. | 553,000 | 35,226 | ||||||
Cannae Holdings, Inc.1 | 1,625,000 | 30,144 | ||||||
Avanza Bank Holding AB | 560,129 | 28,767 | ||||||
Other securities | 152,227 | |||||||
435,315 | ||||||||
Industrials 9.33% | ||||||||
International Container Terminal Services, Inc. | 20,180,000 | 29,230 | ||||||
Advanced Disposal Services, Inc.1 | 1,159,501 | 28,732 | ||||||
Other securities | 342,880 | |||||||
400,842 |
48 | American Funds Insurance Series |
Global Small Capitalization Fund
Common stocks | Shares | Value (000) | ||||||
Energy 3.17% | ||||||||
SM Energy Co. | 1,111,000 | $ | 28,542 | |||||
Whitecap Resources Inc. | 3,674,880 | 24,906 | ||||||
Other securities | 82,809 | |||||||
136,257 | ||||||||
Real estate 2.85% | ||||||||
WHA Corp. PCL | 372,370,250 | 41,137 | ||||||
MGM Growth Properties LLC REIT, Class A | 1,323,600 | 40,317 | ||||||
Other securities | 40,722 | |||||||
122,176 | ||||||||
Materials 2.82% | ||||||||
Lundin Mining Corp. | 6,820,000 | 37,922 | ||||||
Other securities | 83,173 | |||||||
121,095 | ||||||||
Consumer staples 2.75% | ||||||||
Varun Beverages Ltd. | 2,504,974 | 27,552 | ||||||
Other securities | 90,445 | |||||||
117,997 | ||||||||
Utilities 1.65% | ||||||||
ENN Energy Holdings Ltd. | 4,991,400 | 49,083 | ||||||
Other securities | 21,888 | |||||||
70,971 | ||||||||
Telecommunication services 0.42% | ||||||||
Other securities | 18,116 | |||||||
Miscellaneous 4.76% | ||||||||
Other common stocks in initial period of acquisition | 204,413 | |||||||
Total common stocks (cost: $2,970,217,000) | 3,909,969 | |||||||
Convertible bonds 0.18% | Principal amount (000) | |||||||
Consumer discretionary 0.18% | ||||||||
Other securities | 7,655 | |||||||
Total convertible bonds (cost: $8,455,000) | 7,655 | |||||||
Bonds, notes & other debt instruments 0.09% | ||||||||
U.S. Treasury bonds & notes 0.09% | ||||||||
U.S. Treasury 0.09% | ||||||||
Other securities | 4,123 | |||||||
Total bonds, notes & other debt instruments (cost: $4,124,000) | 4,123 | |||||||
Short-term securities 8.66% | ||||||||
Australia & New Zealand Banking Group, Ltd. 1.95% due 7/13/20183 | $ | 40,000 | 39,970 | |||||
BNP Paribas, New York Branch 2.22% due 9/4/2018 | 38,600 | 38,447 | ||||||
Federal Home Loan Bank 1.79%–1.90% due 7/13/2018–8/13/2018 | 86,200 | 86,073 | ||||||
Province of Ontario 1.91% due 7/5/2018 | 37,600 | 37,588 |
American Funds Insurance Series | 49 |
Global Small Capitalization Fund
Short-term securities (continued) | Principal amount (000) | Value (000) | ||||||
Sumitomo Mitsui Banking Corp. 2.24% due 8/28/20183 | $ | 50,000 | $ | 49,825 | ||||
Swedbank AB 1.85%–2.21% due 7/2/2018–7/23/2018 | 91,400 | 91,366 | ||||||
Other securities | 28,601 | |||||||
Total short-term securities (cost: $371,865,000) | 371,870 | |||||||
Total investment securities 99.95% (cost: $3,354,661,000) | 4,293,617 | |||||||
Other assets less liabilities 0.05% | 2,254 | |||||||
Net assets 100.00% | $ | 4,295,871 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. One security in “Other securities” (with a value of $13,979,000, an aggregate cost of $8,280,000, and which represented .33% of the net assets of the fund) was acquired on 5/1/2015 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject it to legal or contractual restrictions on resale. This was the only security valued under the fair value procedures adopted by authority of the board of trustees.
Forward currency contracts
Unrealized | |||||||||||
appreciation | |||||||||||
Contract amount | (depreciation) | ||||||||||
Purchases | Sales | at 6/30/2018 | |||||||||
(000) | (000) | Counterparty | Settlement date | (000) | |||||||
USD16,095 | JPY1,765,175 | JPMorgan Chase | 7/10/2018 | $ | 140 | ||||||
JPY1,765,175 | USD15,959 | Bank of America, N.A. | 7/10/2018 | (4 | ) | ||||||
USD9,832 | INR663,163 | Citibank | 7/17/2018 | 173 | |||||||
INR663,163 | USD9,666 | JPMorgan Chase | 7/17/2018 | (8 | ) | ||||||
GBP26,030 | USD34,286 | JPMorgan Chase | 7/23/2018 | 106 | |||||||
USD34,329 | GBP26,030 | Bank of New York Mellon | 7/23/2018 | (62 | ) | ||||||
USD10,502 | GBP7,908 | Citibank | 7/25/2018 | 53 | |||||||
GBP7,908 | USD10,419 | Citibank | 7/25/2018 | 30 | |||||||
$ | 428 |
50 | American Funds Insurance Series |
Global Small Capitalization Fund
Investments in affiliates
A company is an affiliate of the fund under the Investment Company Act of 1940 if the fund’s holdings in that company represent 5% or more of the outstanding voting shares. The value of the fund’s affiliated-company holdings is either shown in the summary investment portfolio or included in the value of “Other securities” under the respective industry sectors. Further details on such holdings and related transactions during the six months ended June 30, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliates at 6/30/2018 (000) | |||||||||||||||||||||||||
Common stocks 0.91% | ||||||||||||||||||||||||||||||||
Health care 0.91% | ||||||||||||||||||||||||||||||||
NuCana PLC (ADR)1 | 416,620 | 1,651,104 | — | 2,067,724 | $ | — | $ | (4,030 | ) | $ | — | $ | 39,287 | |||||||||||||||||||
Consumer discretionary 0.00% | ||||||||||||||||||||||||||||||||
Hostelworld Group PLC4 | 6,212,000 | — | 3,389,000 | 2,823,000 | 3,739 | (6,203 | ) | 401 | — | |||||||||||||||||||||||
Total 0.91% | $ | 3,739 | $ | (10,233 | ) | $ | 401 | $ | 39,287 |
1 | Security did not produce income during the last 12 months. |
2 | Represents an affiliated company as defined under the Investment Company Act of 1940. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $109,346,000, which represented 2.55% of the net assets of the fund. |
4 | Unaffiliated issuer at 6/30/2018. |
Key to abbreviations and symbol
ADR = American Depositary Receipts
GBP = British pounds
INR = Indian rupees
JPY = Japanese yen
USD/$ = U.S. dollars
See Notes to Financial Statements
American Funds Insurance Series | 51 |
Growth Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 96.07% | Shares | Value (000) | ||||||
Information technology 33.31% | ||||||||
Facebook, Inc., Class A1 | 7,340,500 | $ | 1,426,406 | |||||
Alphabet Inc., Class C1 | 713,000 | 795,458 | ||||||
Alphabet Inc., Class A1 | 396,500 | 447,724 | ||||||
Microsoft Corp. | 11,254,000 | 1,109,757 | ||||||
Broadcom Inc. | 3,248,100 | 788,119 | ||||||
ASML Holding NV (New York registered) | 2,382,000 | 471,565 | ||||||
ASML Holding NV | 1,199,568 | 237,725 | ||||||
ServiceNow, Inc.1 | 3,093,000 | 533,450 | ||||||
Visa Inc., Class A | 2,955,000 | 391,390 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 36,360,000 | 258,194 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 2,975,392 | 108,780 | ||||||
Intel Corp. | 4,790,000 | 238,111 | ||||||
Activision Blizzard, Inc. | 2,996,300 | 228,678 | ||||||
Samsung Electronics Co., Ltd. | 4,450,000 | 186,265 | ||||||
Alibaba Group Holding Ltd. (ADR)1 | 875,000 | 162,339 | ||||||
Intuit Inc. | 650,000 | 132,798 | ||||||
Other securities | 1,074,499 | |||||||
8,591,258 | ||||||||
Consumer discretionary 21.43% | ||||||||
Amazon.com, Inc.1 | 1,147,916 | 1,951,229 | ||||||
Netflix, Inc.1 | 2,110,000 | 825,917 | ||||||
Tesla, Inc.1 | 1,813,000 | 621,768 | ||||||
Home Depot, Inc. | 2,292,000 | 447,169 | ||||||
NIKE, Inc., Class B | 4,505,000 | 358,958 | ||||||
Booking Holdings Inc.1 | 151,531 | 307,167 | ||||||
Charter Communications, Inc., Class A1 | 973,680 | 285,493 | ||||||
Comcast Corp., Class A | 8,685,000 | 284,955 | ||||||
Ulta Beauty, Inc.1 | 700,000 | 163,422 | ||||||
Other securities | 281,844 | |||||||
5,527,922 | ||||||||
Health care 13.87% | ||||||||
UnitedHealth Group Inc. | 3,137,600 | 769,779 | ||||||
Intuitive Surgical, Inc.1 | 940,500 | 450,010 | ||||||
Regeneron Pharmaceuticals, Inc.1 | 1,194,000 | 411,918 | ||||||
Humana Inc. | 993,200 | 295,606 | ||||||
Vertex Pharmaceuticals Inc.1 | 1,559,200 | 265,002 | ||||||
Centene Corp.1 | 1,808,400 | 222,813 | ||||||
Boston Scientific Corp.1 | 5,997,000 | 196,102 | ||||||
Aetna Inc. | 1,030,000 | 189,005 | ||||||
Thermo Fisher Scientific Inc. | 795,000 | 164,676 | ||||||
Illumina, Inc.1 | 550,000 | 153,609 | ||||||
Other securities | 459,512 | |||||||
3,578,032 | ||||||||
Financials 9.93% | ||||||||
Wells Fargo & Co. | 9,990,454 | 553,871 | ||||||
BlackRock, Inc. | 539,000 | 268,983 | ||||||
Goldman Sachs Group, Inc. | 922,400 | 203,454 | ||||||
JPMorgan Chase & Co. | 1,947,000 | 202,877 | ||||||
PNC Financial Services Group, Inc. | 1,083,600 | 146,394 | ||||||
Legal & General Group PLC | 40,158,246 | 140,977 | ||||||
Other securities | 1,043,388 | |||||||
2,559,944 |
52 | American Funds Insurance Series |
Growth Fund
Common stocks | Shares | Value (000) | ||||||
Energy 7.13% | ||||||||
EOG Resources, Inc. | 2,402,400 | $ | 298,931 | |||||
Concho Resources Inc.1 | 1,870,000 | 258,714 | ||||||
Noble Energy, Inc. | 5,663,000 | 199,791 | ||||||
Suncor Energy Inc. | 4,588,116 | 186,714 | ||||||
Pioneer Natural Resources Co. | 810,000 | 153,284 | ||||||
Other securities | 740,517 | |||||||
1,837,951 | ||||||||
Industrials 4.15% | ||||||||
TransDigm Group Inc. | 524,000 | 180,853 | ||||||
MTU Aero Engines AG | 872,162 | 167,647 | ||||||
Other securities | 722,526 | |||||||
1,071,026 | ||||||||
Consumer staples 1.47% | ||||||||
Kerry Group PLC, Class A | 1,300,000 | 136,025 | ||||||
Other securities | 244,196 | |||||||
380,221 | ||||||||
Real estate 1.04% | ||||||||
Equinix, Inc. REIT | 399,000 | 171,526 | ||||||
Other securities | 97,412 | |||||||
268,938 | ||||||||
Other 1.98% | ||||||||
Other securities | 508,337 | |||||||
Miscellaneous 1.76% | ||||||||
Other common stocks in initial period of acquisition | 454,883 | |||||||
Total common stocks (cost: $14,033,329,000) | 24,778,512 | |||||||
Convertible stocks 0.05% | ||||||||
Consumer discretionary 0.05% | ||||||||
Other securities | 11,351 | |||||||
Total convertible stocks (cost: $10,650,000) | 11,351 |
Short-term securities 3.89% | Principal amount (000) | |||||||
Federal Home Loan Bank 1.80%–1.90% due 7/6/2018–9/10/2018 | $ | 345,300 | 344,813 | |||||
Pfizer Inc. 2.00%–2.11% due 8/16/2018–9/24/20182 | 134,900 | 134,368 | ||||||
Other securities | 524,997 | |||||||
Total short-term securities (cost: $1,004,230,000) | 1,004,178 | |||||||
Total investment securities 100.01% (cost: $15,048,209,000) | 25,794,041 | |||||||
Other assets less liabilities (0.01)% | (1,717 | ) | ||||||
Net assets 100.00% | $ | 25,792,324 |
American Funds Insurance Series | 53 |
Growth Fund
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. One security in “Other securities” (with a value of $11,351,000, an aggregate cost of $10,650,000, and which represented .04% of the net assets of the fund) was acquired on 5/22/2015 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject it to legal or contractual restrictions on resale. This was the only security valued under the fair value procedures adopted by authority of the board of trustees.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Security did not produce income during the last 12 months. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $500,272,000, which represented 1.94% of the net assets of the fund. |
Key to abbreviation
ADR = American Depositary Receipts
See Notes to Financial Statements
54 | American Funds Insurance Series |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 91.37% | Shares | Value (000) | ||||||
Financials 15.44% | ||||||||
AIA Group Ltd. | 37,525,700 | $ | 328,116 | |||||
HDFC Bank Ltd.1 | 7,804,100 | 240,177 | ||||||
HDFC Bank Ltd. (ADR) | 130,800 | 13,737 | ||||||
Kotak Mahindra Bank Ltd. | 6,186,048 | 121,252 | ||||||
Prudential PLC | 5,142,265 | 117,712 | ||||||
Credit Suisse Group AG | 5,523,789 | 83,390 | ||||||
Sberbank of Russia PJSC (ADR) | 4,739,150 | 68,410 | ||||||
Axis Bank Ltd.1,2,3 | 8,530,055 | 58,662 | ||||||
Axis Bank Ltd. | 736,300 | 5,489 | ||||||
Barclays PLC | 24,242,926 | 60,470 | ||||||
Other securities | 421,283 | |||||||
1,518,698 | ||||||||
Industrials 13.19% | ||||||||
Airbus SE, non-registered shares | 2,926,849 | 342,686 | ||||||
Rolls-Royce Holdings PLC4 | 10,539,900 | 137,459 | ||||||
Ryanair Holdings PLC (ADR)4 | 991,700 | 113,282 | ||||||
Yamato Holdings Co., Ltd. | 3,294,395 | 97,122 | ||||||
Melrose Industries PLC | 30,195,733 | 84,763 | ||||||
SMC Corp. | 206,100 | 75,634 | ||||||
Safran SA | 549,000 | 66,709 | ||||||
Other securities | 379,506 | |||||||
1,297,161 | ||||||||
Information technology 12.12% | ||||||||
Samsung Electronics Co., Ltd. | 5,920,950 | 247,835 | ||||||
Tencent Holdings Ltd. | 4,549,687 | 228,366 | ||||||
Alibaba Group Holding Ltd. (ADR)4 | 1,120,300 | 207,849 | ||||||
ASML Holding NV | 583,834 | 115,702 | ||||||
Other securities | 392,152 | |||||||
1,191,904 | ||||||||
Health care 10.80% | ||||||||
Novartis AG | 2,547,000 | 193,616 | ||||||
Teva Pharmaceutical Industries Ltd. (ADR) | 6,910,598 | 168,066 | ||||||
Grifols, SA, Class B, preferred nonvoting, non-registered shares | 3,304,730 | 71,242 | ||||||
Grifols, SA, Class A, non-registered shares | 881,000 | 26,523 | ||||||
Grifols, SA, Class B (ADR) | 793,690 | 17,065 | ||||||
Fresenius SE & Co. KGaA | 1,193,000 | 95,851 | ||||||
Daiichi Sankyo Co., Ltd. | 2,362,000 | 90,392 | ||||||
Shire PLC | 1,572,150 | 88,492 | ||||||
Chugai Pharmaceutical Co., Ltd. | 1,254,500 | 65,833 | ||||||
Hikma Pharmaceuticals PLC | 3,044,380 | 60,307 | ||||||
Other securities | 184,569 | |||||||
1,061,956 | ||||||||
Consumer Discretionary 10.61% | ||||||||
Galaxy Entertainment Group Ltd. | 15,379,000 | 119,083 | ||||||
Kering SA | 160,638 | 90,720 | ||||||
Industria de Diseño Textil, SA | 2,266,027 | 77,430 | ||||||
Techtronic Industries Co. Ltd. | 12,184,500 | 67,945 | ||||||
Naspers Ltd., Class N | 256,700 | 65,216 | ||||||
Altice USA, Inc., Class A | 3,588,171 | 61,214 | ||||||
Other securities | 562,620 | |||||||
1,044,228 |
American Funds Insurance Series | 55 |
International Fund
Common stocks (continued) | Shares | Value (000) | ||||||
Consumer staples 8.06% | ||||||||
Pernod Ricard SA | 657,337 | $ | 107,393 | |||||
Associated British Foods PLC | 2,671,488 | 96,534 | ||||||
Nestlé SA | 1,236,700 | 96,034 | ||||||
British American Tobacco PLC | 1,652,200 | 83,513 | ||||||
AMOREPACIFIC Corp. | 250,474 | 72,479 | ||||||
Other securities | 336,769 | |||||||
792,722 | ||||||||
Materials 7.56% | ||||||||
Asahi Kasei Corp. | 10,521,900 | 133,811 | ||||||
Glencore PLC | 27,556,500 | 131,651 | ||||||
Vale SA, ordinary nominative (ADR) | 9,574,966 | 122,751 | ||||||
Vale SA, ordinary nominative | 102,481 | 1,311 | ||||||
First Quantum Minerals Ltd. | 5,407,000 | 79,666 | ||||||
Teck Resources Ltd., Class B | 2,769,100 | 70,541 | ||||||
Other securities | 203,642 | |||||||
743,373 | ||||||||
Energy 4.66% | ||||||||
Royal Dutch Shell PLC, Class B | 2,675,000 | 95,796 | ||||||
Royal Dutch Shell PLC, Class A | 1,440,256 | 49,971 | ||||||
Other securities | 312,678 | |||||||
458,445 | ||||||||
Utilities 4.45% | ||||||||
ENN Energy Holdings Ltd. | 10,716,000 | 105,376 | ||||||
China Gas Holdings Ltd. | 22,790,000 | 91,647 | ||||||
Ørsted AS | 1,469,901 | 88,932 | ||||||
Other securities | 151,770 | |||||||
437,725 | ||||||||
Telecommunication services 1.56% | ||||||||
SoftBank Group Corp. | 911,900 | 65,669 | ||||||
Other securities | 87,669 | |||||||
153,338 | ||||||||
Real estate 1.47% | ||||||||
Other securities | 145,135 | |||||||
Miscellaneous 1.45% | ||||||||
Other common stocks in initial period of acquisition | 142,545 | |||||||
Total common stocks (cost: $7,100,559,000) | 8,987,230 | |||||||
Rights & warrants 0.12% | ||||||||
Miscellaneous 0.12% | ||||||||
Other rights & warrants in initial period of acquisition | 12,024 | |||||||
Total rights & warrants (cost: $13,714,000) | 12,024 | |||||||
Bonds, notes & other debt instruments 0.64% | Principal amount (000) | |||||||
Corporate bonds & notes 0.37% | ||||||||
Materials 0.37% | ||||||||
First Quantum Minerals Ltd. 7.00%–7.25% 2021–20223 | $ | 29,445 | 29,875 | |||||
Vale SA 6.88% 2036–2039 | 5,640 | 6,406 | ||||||
36,281 |
56 | American Funds Insurance Series |
International Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
Bonds & notes of governments & government agencies outside the U.S. 0.22% | ||||||||
Other securities | $ | 21,461 | ||||||
U.S. Treasury bonds & notes 0.05% | ||||||||
U.S. Treasury 0.05% | ||||||||
Other securities | 4,998 | |||||||
Total bonds, notes & other debt instruments (cost: $55,941,000) | 62,740 | |||||||
Short-term securities 8.00% | ||||||||
Federal Home Loan Bank 1.83%–1.91% due 7/20/2018–9/7/2018 | $ | 227,500 | 227,067 | |||||
Wal-Mart Stores, Inc. 1.86% due 7/2/20183 | 65,000 | 64,989 | ||||||
Other securities | 495,437 | |||||||
Total short-term securities (cost: $787,483,000) | 787,493 | |||||||
Total investment securities 100.13% (cost: $7,957,697,000) | 9,849,487 | |||||||
Other assets less liabilities (0.13)% | (12,887 | ) | ||||||
Net assets 100.00% | $ | 9,836,600 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Forward currency contracts
Contract amount | Unrealized appreciation | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 6/30/2018 (000) | |||||||
USD 41,805 | INR2,825,000 | Bank of America, N.A. | 7/17/2018 | $ | 662 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Miscellaneous” and “Other securities,” was $346,890,000, which represented 3.53% of the net assets of the fund. |
2 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on this holding appear below. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $573,433,000, which represented 5.83% of the net assets of the fund. |
4 | Security did not produce income during the last 12 months. |
Private placement security | Acquisition dates | Cost (000) | Value (000) | Percent of net assets | ||||||||||
Axis Bank Ltd. | 1/15/2013-12/18/2017 | $ | 60,701 | $ | 58,662 | .60 | % |
Key to abbreviations and symbol
ADR = American Depositary Receipts
INR = Indian rupees
USD/$ = U.S. dollars
See Notes to Financial Statements
American Funds Insurance Series | 57 |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 83.44% | Shares | Value (000) | ||||||
Information technology 19.84% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 9,770,000 | $ | 69,377 | |||||
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 500,000 | 18,280 | ||||||
PagSeguro Digital Ltd., Class A1 | 2,417,416 | 67,083 | ||||||
Alphabet Inc., Class C1 | 42,900 | 47,862 | ||||||
Alphabet Inc., Class A1 | 16,900 | 19,083 | ||||||
Alibaba Group Holding Ltd. (ADR)1 | 332,237 | 61,640 | ||||||
Samsung Electronics Co., Ltd. | 600,000 | 25,114 | ||||||
Samsung Electronics Co., Ltd., nonvoting preferred | 362,500 | 12,246 | ||||||
Broadcom Inc. | 146,450 | 35,535 | ||||||
Murata Manufacturing Co., Ltd. | 181,300 | 30,491 | ||||||
Baidu, Inc., Class A (ADR)1 | 122,800 | 29,840 | ||||||
Renesas Electronics Corp.1 | 3,011,800 | 29,543 | ||||||
TravelSky Technology Ltd., Class H1 | 8,784,956 | 25,586 | ||||||
Mastercard Inc., Class A | 116,500 | 22,895 | ||||||
Temenos AG | 141,500 | 21,433 | ||||||
Other securities | 158,557 | |||||||
674,565 | ||||||||
Financials 12.07% | ||||||||
HDFC Bank Ltd.2 | 2,600,450 | 80,031 | ||||||
AIA Group Ltd. | 6,361,600 | 55,624 | ||||||
B3 SA - Brasil, Bolsa, Balcao | 7,898,000 | 41,673 | ||||||
Grupo Financiero Galicia SA, Class B (ADR) | 1,004,234 | 33,120 | ||||||
Shriram Transport Finance Co. Ltd. | 1,253,000 | 23,764 | ||||||
Capitec Bank Holdings Ltd. | 326,876 | 20,684 | ||||||
Other securities | 155,486 | |||||||
410,382 | ||||||||
Materials 10.23% | ||||||||
First Quantum Minerals Ltd. | 5,680,283 | 83,693 | ||||||
Vale SA, ordinary nominative | 4,093,786 | 52,380 | ||||||
Randgold Resources Ltd. | 529,600 | 40,678 | ||||||
China Hongqiao Group Ltd. | 27,221,000 | 25,675 | ||||||
Aluminum Corp. of China Ltd., Class H1 | 57,800,000 | 25,490 | ||||||
Other securities | 119,838 | |||||||
347,754 | ||||||||
Consumer discretionary 9.63% | ||||||||
Sony Corp. | 700,000 | 35,811 | ||||||
Maruti Suzuki India Ltd. | 260,500 | 33,556 | ||||||
MakeMyTrip Ltd., non-registered shares1 | 871,500 | 31,505 | ||||||
General Motors Co. | 542,000 | 21,355 | ||||||
Other securities | 205,323 | |||||||
327,550 | ||||||||
Energy 9.01% | ||||||||
Reliance Industries Ltd. | 13,230,790 | 187,788 | ||||||
Royal Dutch Shell PLC, Class B | 1,050,000 | 37,602 | ||||||
Royal Dutch Shell PLC, Class A | 21,628 | 750 | ||||||
LUKOIL Oil Co. PJSC (ADR) | 303,000 | 20,719 | ||||||
Other securities | 59,622 | |||||||
306,481 | ||||||||
Health care 6.96% | ||||||||
Yunnan Baiyao Group Co., Ltd., Class A | 2,417,912 | 39,035 | ||||||
CSL Ltd. | 209,500 | 29,864 | ||||||
Jiangsu Hengrui Medicine Co., Ltd., Class A | 2,360,410 | 26,991 | ||||||
Other securities | 140,763 | |||||||
236,653 |
58 | American Funds Insurance Series |
New World Fund
Common stocks | Shares | Value (000) | ||||||
Consumer staples 6.89% | ||||||||
British American Tobacco PLC | 1,557,000 | $ | 78,701 | |||||
CP ALL PCL, foreign registered | 13,410,800 | 29,752 | ||||||
Foshan Haitian Flavouring and Food Co. Ltd., Class A | 2,250,000 | 25,009 | ||||||
Lenta Ltd. (GDR)1 | 4,040,000 | 22,260 | ||||||
Lenta Ltd. (GDR)1,3 | 244,500 | 1,347 | ||||||
Nestlé SA | 286,196 | 22,224 | ||||||
Other securities | 54,787 | |||||||
234,080 | ||||||||
Industrials 5.75% | ||||||||
Airbus SE, non-registered shares | 594,229 | 69,574 | ||||||
Eicher Motors Ltd. | 118,200 | 49,323 | ||||||
Other securities | 76,738 | |||||||
195,635 | ||||||||
Real estate 1.12% | ||||||||
American Tower Corp. REIT | 236,800 | 34,140 | ||||||
Other securities | 3,794 | |||||||
37,934 | ||||||||
Utilities 1.06% | ||||||||
Other securities | 36,168 | |||||||
Telecommunication services 0.88% | ||||||||
China Unicom (Hong Kong) Ltd. | 19,034,000 | 23,776 | ||||||
Other securities | 6,121 | |||||||
29,897 | ||||||||
Miscellaneous 0.00% | ||||||||
Other common stocks in initial period of acquisition | 67 | |||||||
Total common stocks (cost: $2,329,478,000) | 2,837,166 | |||||||
Preferred securities 0.04% | ||||||||
Information technology 0.04% | ||||||||
Other securities | 1,340 | |||||||
Total preferred securities (cost: $1,340,000) | 1,340 | |||||||
Rights & warrants 1.13% | ||||||||
Consumer staples 1.13% | ||||||||
Foshan Haitian Flavouring and Food Co., Ltd., Class A, warrants, expire 20181,2,3 | 2,330,000 | 25,898 | ||||||
Other securities | 12,561 | |||||||
38,459 | ||||||||
Total rights & warrants (cost: $21,028,000) | 38,459 | |||||||
Bonds, notes & other debt instruments 2.79% | Principal amount (000) | |||||||
Bonds & notes of governments & government agencies outside the U.S. 2.29% | ||||||||
Other securities | 77,892 | |||||||
Corporate bonds & notes 0.47% | ||||||||
Materials 0.01% | ||||||||
Vale SA 6.25% 2026 | $ | 405 | 440 |
American Funds Insurance Series | 59 |
New World Fund
Bonds, notes & other debt instruments (continued) | Principal amount (000) | Value (000) | ||||||
Corporate bonds & notes (continued) | ||||||||
Other 0.46% | ||||||||
Other securities | $ | 15,659 | ||||||
U.S. Treasury bonds & notes 0.03% | ||||||||
U.S. Treasury 0.03% | ||||||||
Other securities | 1,000 | |||||||
Total bonds, notes & other debt instruments (cost: $100,554,000) | 94,991 | |||||||
Short-term securities 12.06% | ||||||||
Australia & New Zealand Banking Group, Ltd. 1.95% due 7/13/20183 | $ | 40,000 | 39,970 | |||||
BASF SE 2.04% due 8/6/20183 | 21,500 | 21,455 | ||||||
CPPIB Capital Inc. 1.95% due 7/16/2018–7/23/2018 | 80,000 | 79,910 | ||||||
Federal Home Loan Bank 1.77%–1.90% due 7/11/2018–8/13/2018 | 55,000 | 54,935 | ||||||
Mizuho Bank, Ltd. 1.92% due 7/6/20183 | 68,000 | 67,974 | ||||||
Swedbank AB 1.85%–1.89% due 7/2/2018–7/5/2018 | 71,600 | 71,581 | ||||||
Wal-Mart Stores, Inc. 1.93% due 7/2/20183 | 25,000 | 24,996 | ||||||
Other securities | 49,196 | |||||||
Total short-term securities (cost: $410,064,000) | 410,017 | |||||||
Total investment securities 99.46% (cost: $2,862,464,000) | 3,381,973 | |||||||
Other assets less liabilities 0.54% | 18,251 | |||||||
Net assets 100.00% | $ | 3,400,224 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Forward currency contracts
Contract amount | Unrealized appreciation (depreciation) | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 6/30/2018 (000) | |||||||
USD841 | BRL3,000 | JPMorgan Chase | 7/9/2018 | $ | 68 | ||||||
USD113 | MXN2,100 | JPMorgan Chase | 7/9/2018 | 7 | |||||||
USD1,766 | BRL6,300 | JPMorgan Chase | 7/12/2018 | 143 | |||||||
USD4,296 | INR289,525 | JPMorgan Chase | 7/12/2018 | 77 | |||||||
USD1,258 | ZAR16,605 | Goldman Sachs | 7/12/2018 | 50 | |||||||
USD1,389 | JPY153,000 | Goldman Sachs | 7/18/2018 | 5 | |||||||
JPY153,000 | USD1,385 | Goldman Sachs | 7/18/2018 | (1 | ) | ||||||
USD1,637 | INR112,350 | Citibank | 7/24/2018 | 2 | |||||||
USD574 | JPY63,000 | Citibank | 7/25/2018 | 4 | |||||||
USD1,798 | INR120,000 | Citibank | 9/24/2018 | 66 | |||||||
USD968 | EUR805 | Bank of America, N.A. | 12/13/2018 | 15 | |||||||
USD406 | EUR320 | Citibank | 3/6/2019 | 24 | |||||||
USD531 | EUR415 | Goldman Sachs | 3/8/2019 | 36 | |||||||
USD323 | EUR255 | Goldman Sachs | 3/8/2019 | 19 | |||||||
USD1,396 | EUR1,100 | JPMorgan Chase | 3/15/2019 | 84 | |||||||
$ | 599 |
60 | American Funds Insurance Series |
New World Fund
1 | Security did not produce income during the last 12 months. |
2 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $156,809,000, which represented 4.61% of the net assets of the fund. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $293,875,000, which represented 8.64% of the net assets of the fund. |
Key to abbreviations and symbol
ADR = American Depositary Receipts
BRL = Brazilian reais
EUR = Euros
GDR = Global Depositary Receipts
INR = Indian rupees
JPY = Japanese yen
MXN = Mexican pesos
USD/$ = U.S. dollars
ZAR = South African rand
See Notes to Financial Statements
American Funds Insurance Series | 61 |
Blue Chip Income and Growth Fund
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 96.18% | Shares | Value (000) | ||||||
Health care 21.70% | ||||||||
AbbVie Inc. | 6,711,500 | $ | 621,820 | |||||
Amgen Inc. | 1,616,800 | 298,445 | ||||||
Abbott Laboratories | 4,365,000 | 266,221 | ||||||
Teva Pharmaceutical Industries Ltd. (ADR) | 10,833,800 | 263,478 | ||||||
Gilead Sciences, Inc. | 3,369,312 | 238,682 | ||||||
Medtronic PLC | 900,000 | 77,049 | ||||||
Bristol-Myers Squibb Co. | 1,125,000 | 62,258 | ||||||
Other securities | 146,050 | |||||||
1,974,003 | ||||||||
Information technology 15.45% | ||||||||
Intel Corp. | 5,628,200 | 279,778 | ||||||
Microsoft Corp. | 2,805,000 | 276,601 | ||||||
Alphabet Inc., Class A1 | 179,550 | 202,746 | ||||||
Alphabet Inc., Class C1 | 17,500 | 19,524 | ||||||
QUALCOMM Inc. | 3,923,876 | 220,208 | ||||||
Facebook, Inc., Class A1 | 714,000 | 138,744 | ||||||
Apple Inc. | 624,180 | 115,542 | ||||||
Texas Instruments Inc. | 780,000 | 85,995 | ||||||
Other securities | 66,794 | |||||||
1,405,932 | ||||||||
Industrials 10.97% | ||||||||
CSX Corp. | 3,919,000 | 249,954 | ||||||
General Electric Co. | 16,487,000 | 224,388 | ||||||
General Dynamics Corp. | 1,011,000 | 188,460 | ||||||
Union Pacific Corp. | 750,000 | 106,260 | ||||||
Illinois Tool Works Inc. | 650,000 | 90,051 | ||||||
United Technologies Corp. | 500,000 | 62,515 | ||||||
Other securities | 75,929 | |||||||
997,557 | ||||||||
Consumer staples 10.46% | ||||||||
Altria Group, Inc. | 4,155,000 | 235,963 | ||||||
British American Tobacco PLC (ADR) | 3,075,912 | 155,180 | ||||||
Costco Wholesale Corp. | 606,255 | 126,695 | ||||||
Philip Morris International Inc. | 1,365,000 | 110,210 | ||||||
Kellogg Co. | 792,000 | 55,337 | ||||||
Coca-Cola Co. | 1,250,000 | 54,825 | ||||||
Kimberly-Clark Corp. | 500,000 | 52,670 | ||||||
Other securities | 160,342 | |||||||
951,222 | ||||||||
Consumer discretionary 10.31% | ||||||||
Twenty-First Century Fox, Inc., Class A | 3,955,900 | 196,569 | ||||||
Lowe’s Companies, Inc. | 1,739,000 | 166,196 | ||||||
CBS Corp., Class B | 2,023,400 | 113,755 | ||||||
Marriott International, Inc., Class A | 626,500 | 79,315 | ||||||
McDonald’s Corp. | 500,000 | 78,345 | ||||||
Viacom Inc., Class B | 2,112,850 | 63,724 | ||||||
Omnicom Group Inc. | 750,000 | 57,202 | ||||||
Other securities | 182,748 | |||||||
937,854 | ||||||||
Financials 9.53% | ||||||||
Wells Fargo & Co. | 6,847,300 | 379,614 | ||||||
JPMorgan Chase & Co. | 1,763,200 | 183,725 | ||||||
Charles Schwab Corp. | 2,175,000 | 111,143 | ||||||
Other securities | 192,436 | |||||||
866,918 |
62 | American Funds Insurance Series |
Blue Chip Income and Growth Fund
Common stocks | Shares | Value (000) | ||||||
Energy 9.33% | ||||||||
EOG Resources, Inc. | 2,160,500 | $ | 268,831 | |||||
Exxon Mobil Corp. | 2,535,000 | 209,721 | ||||||
Halliburton Co. | 2,846,700 | 128,272 | ||||||
Canadian Natural Resources, Ltd. | 2,944,000 | 106,190 | ||||||
Royal Dutch Shell PLC, Class B (ADR) | 1,347,000 | 97,860 | ||||||
Other securities | 37,737 | |||||||
848,611 | ||||||||
Telecommunication services 3.25% | ||||||||
Verizon Communications Inc. | 3,306,480 | 166,349 | ||||||
CenturyLink, Inc. | 3,476,800 | 64,808 | ||||||
AT&T Inc. | 2,000,000 | 64,220 | ||||||
295,377 | ||||||||
Materials 2.41% | ||||||||
Freeport-McMoRan Inc. | 6,536,000 | 112,811 | ||||||
Praxair, Inc. | 552,000 | 87,299 | ||||||
Other securities | 19,474 | |||||||
219,584 | ||||||||
Utilities 1.66% | ||||||||
Edison International | 832,300 | 52,660 | ||||||
Other securities | 98,086 | |||||||
150,746 | ||||||||
Real estate 0.82% | ||||||||
Other securities | 74,396 | |||||||
Miscellaneous 0.29% | ||||||||
Other common stocks in initial period of acquisition | 26,164 | |||||||
Total common stocks (cost: $7,063,606,000) | 8,748,364 | |||||||
Short-term securities 3.79% | Principal amount (000) | |||||||
Federal Home Loan Bank 1.78%–1.90% due 7/16/2018–8/17/2018 | $ | 124,100 | 123,925 | |||||
U.S. Treasury Bills 1.60%–1.99% due 7/19/2018–11/15/2018 | 59,500 | 59,119 | ||||||
Other securities | 161,576 | |||||||
�� | ||||||||
Total short-term securities (cost: $344,620,000) | 344,620 | |||||||
Total investment securities 99.97% (cost: $7,408,226,000) | 9,092,984 | |||||||
Other assets less liabilities 0.03% | 2,890 | |||||||
Net assets 100.00% | $ | 9,095,874 |
American Funds Insurance Series | 63 |
Blue Chip Income and Growth Fund
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” also includes securities (with an aggregate value of $126,191,000, which represented 1.39% of the net assets of the fund) which were acquired in transactions exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933 and may be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers.
1 | Security did not produce income during the last 12 months. |
Key to abbreviation
ADR = American Depositary Receipts
See Notes to Financial Statements
64 | American Funds Insurance Series |
Global Growth and Income Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 91.19% | Shares | Value (000) | ||||||
Information technology 23.49% | ||||||||
Nintendo Co., Ltd. | 249,000 | $ | 81,415 | |||||
Microsoft Corp. | 641,000 | 63,209 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 7,406,800 | 52,596 | ||||||
United Microelectronics Corp.1 | 54,200,000 | 30,569 | ||||||
Alphabet Inc., Class A2 | 16,800 | 18,970 | ||||||
Alphabet Inc., Class C2 | 9,000 | 10,041 | ||||||
Alibaba Group Holding Ltd. (ADR)2 | 154,500 | 28,664 | ||||||
Murata Manufacturing Co., Ltd. | 170,000 | 28,591 | ||||||
Broadcom Inc. | 117,500 | 28,510 | ||||||
PagSeguro Digital Ltd., Class A2 | 998,752 | 27,715 | ||||||
Facebook, Inc., Class A2 | 120,000 | 23,319 | ||||||
AAC Technologies Holdings Inc. | 1,503,500 | 21,176 | ||||||
TE Connectivity Ltd. | 200,000 | 18,012 | ||||||
Temenos AG | 101,000 | 15,298 | ||||||
Other securities | 29,975 | |||||||
478,060 | ||||||||
Industrials 10.10% | ||||||||
Airbus SE, non-registered shares | 503,000 | 58,893 | ||||||
Boeing Co. | 87,000 | 29,189 | ||||||
Grupo Aeroportuario del Pacífico SAB de CV | 2,930,000 | 27,130 | ||||||
Deutsche Post AG | 523,000 | 17,083 | ||||||
Ryanair Holdings PLC (ADR)2 | 141,375 | 16,149 | ||||||
Lockheed Martin Corp. | 51,800 | 15,303 | ||||||
Other securities | 41,812 | |||||||
205,559 | ||||||||
Financials 9.51% | ||||||||
Société Générale | 497,000 | 20,961 | ||||||
Prudential PLC | 765,000 | 17,512 | ||||||
AIA Group Ltd. | 1,860,000 | 16,263 | ||||||
Other securities | 138,790 | |||||||
193,526 | ||||||||
Health care 8.61% | ||||||||
UnitedHealth Group Inc. | 203,300 | 49,878 | ||||||
Merck & Co., Inc. | 437,000 | 26,526 | ||||||
Centene Corp.2 | 212,000 | 26,120 | ||||||
Hologic, Inc.2 | 400,000 | 15,900 | ||||||
Other securities | 56,769 | |||||||
175,193 | ||||||||
Consumer discretionary 8.10% | ||||||||
Home Depot, Inc. | 122,000 | 23,802 | ||||||
Amazon.com, Inc.2 | 14,000 | 23,797 | ||||||
Las Vegas Sands Corp. | 250,000 | 19,090 | ||||||
Vivendi SA | 715,200 | 17,539 | ||||||
Nitori Holdings Co., Ltd. | 105,000 | 16,388 | ||||||
Other securities | 64,286 | |||||||
164,902 | ||||||||
Materials 8.06% | ||||||||
Century Aluminum Co.2 | 2,275,000 | 35,831 | ||||||
Randgold Resources Ltd. | 271,100 | 20,823 | ||||||
Vale SA, ordinary nominative | 1,075,000 | 13,755 | ||||||
Vale SA, ordinary nominative (ADR) | 505,000 | 6,474 | ||||||
BHP Billiton PLC | 800,000 | 18,012 | ||||||
DowDuPont Inc. | 232,044 | 15,296 | ||||||
Other securities | 53,905 | |||||||
164,096 |
American Funds Insurance Series | 65 |
Global Growth and Income Fund
Common stocks (continued) | Shares | Value (000) | ||||||
Consumer staples 6.97% | ||||||||
British American Tobacco PLC | 1,335,000 | $ | 67,479 | |||||
Nestlé SA | 258,700 | 20,089 | ||||||
Other securities | 54,236 | |||||||
141,804 | ||||||||
Energy 5.89% | ||||||||
Reliance Industries Ltd. | 2,915,148 | 41,375 | ||||||
BP PLC | 3,730,000 | 28,468 | ||||||
Royal Dutch Shell PLC, Class B | 325,000 | 11,639 | ||||||
Royal Dutch Shell PLC, Class B (ADR) | 150,000 | 10,897 | ||||||
Coal India Ltd. | 4,310,000 | 16,629 | ||||||
Other securities | 10,861 | |||||||
119,869 | ||||||||
Real estate 2.99% | ||||||||
MGM Growth Properties LLC REIT, Class A | 676,200 | 20,597 | ||||||
Gaming and Leisure Properties, Inc. REIT | 425,000 | 15,215 | ||||||
Other securities | 24,992 | |||||||
60,804 | ||||||||
Telecommunication services 1.63% | ||||||||
Verizon Communications Inc. | 435,000 | 21,885 | ||||||
Other securities | 11,328 | |||||||
33,213 | ||||||||
Utilities 1.46% | ||||||||
Ørsted AS | 491,552 | 29,740 | ||||||
29,740 | ||||||||
Miscellaneous 4.38% | ||||||||
Other common stocks in initial period of acquisition | 89,264 | |||||||
Total common stocks (cost: $1,429,021,000) | 1,856,030 | |||||||
Rights & warrants 0.01% | ||||||||
Miscellaneous 0.01% | ||||||||
Other rights & warrants in initial period of acquisition | 154 | |||||||
Total rights & warrants (cost: $163,000) | 154 | |||||||
Bonds, notes & other debt instruments 2.03% | Principal amount (000) | |||||||
Corporate bonds & notes 1.98% | ||||||||
Telecommunication services 1.69% | ||||||||
Sprint Corp. 7.25% 2021 | $ | 33,000 | 34,402 | |||||
Health care 0.29% | ||||||||
Other securities | 5,815 | |||||||
U.S. Treasury bonds & notes 0.05% | ||||||||
U.S. Treasury 0.05% | ||||||||
Other securities | 1,000 | |||||||
Total bonds, notes & other debt instruments (cost: $39,059,000) | 41,217 |
66 | American Funds Insurance Series |
Global Growth and Income Fund
Short-term securities 6.47% | Principal amount (000) | Value (000) | ||||||
American Honda Finance Corp. 2.15% due 9/10/2018 | $ | 15,000 | $ | 14,935 | ||||
Federal Home Loan Bank 1.84% due 8/1/2018 | 25,000 | 24,963 | ||||||
Société Générale 1.79% due 7/2/20183 | 10,000 | 9,999 | ||||||
Swedbank AB 1.85%–1.89% due 7/2/2018–7/5/2018 | 47,300 | 47,289 | ||||||
Other securities | 34,469 | |||||||
Total short-term securities (cost: $131,662,000) | 131,655 | |||||||
Total investment securities 99.70% (cost: $1,599,905,000) | 2,029,056 | |||||||
Other assets less liabilities 0.30% | 6,177 | |||||||
Net assets 100.00% | $ | 2,035,233 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of the security, including those in “Other securities,” was $30,569,000, which represented 1.50% of the net assets of the fund. |
2 | Security did not produce income during the last 12 months. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $44,468,000, which represented 2.18% of the net assets of the fund. |
Key to abbreviation
ADR = American Depositary Receipts
See Notes to Financial Statements
American Funds Insurance Series | 67 |
Growth-Income Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 91.65% | Shares | Value (000) | ||||||
Information technology 18.09% | ||||||||
Alphabet Inc., Class A1 | 568,300 | $ | 641,719 | |||||
Alphabet Inc., Class C1 | 377,284 | 420,917 | ||||||
Microsoft Corp. | 9,316,400 | 918,690 | ||||||
Facebook, Inc., Class A1 | 3,498,600 | 679,848 | ||||||
Intel Corp. | 9,190,900 | 456,880 | ||||||
Texas Instruments Inc. | 3,340,982 | 368,343 | ||||||
Broadcom Inc. | 1,495,784 | 362,937 | ||||||
Accenture PLC, Class A | 1,504,900 | 246,187 | ||||||
QUALCOMM Inc. | 4,173,975 | 234,243 | ||||||
Mastercard Inc., Class A | 1,100,000 | 216,172 | ||||||
Other securities | 1,160,801 | |||||||
5,706,737 | ||||||||
Consumer discretionary 13.59% | ||||||||
Netflix, Inc.1 | 2,982,977 | 1,167,627 | ||||||
Amazon.com, Inc.1 | 593,500 | 1,008,831 | ||||||
Twenty-First Century Fox, Inc., Class A | 5,441,000 | 270,363 | ||||||
NIKE, Inc., Class B | 2,901,200 | 231,168 | ||||||
Home Depot, Inc. | 1,132,420 | 220,935 | ||||||
Comcast Corp., Class A | 5,856,200 | 192,142 | ||||||
Other securities | 1,196,267 | |||||||
4,287,333 | ||||||||
Health care 13.51% | ||||||||
AbbVie Inc. | 6,563,841 | 608,140 | ||||||
UnitedHealth Group Inc. | 2,170,668 | 532,552 | ||||||
Amgen Inc. | 2,470,983 | 456,119 | ||||||
Gilead Sciences, Inc. | 5,535,100 | 392,106 | ||||||
Abbott Laboratories | 5,184,269 | 316,189 | ||||||
Express Scripts Holding Co.1 | 3,410,324 | 263,311 | ||||||
Merck & Co., Inc. | 3,714,380 | 225,463 | ||||||
Stryker Corp. | 1,091,544 | 184,318 | ||||||
Other securities | 1,283,937 | |||||||
4,262,135 | ||||||||
Financials 10.67% | ||||||||
JPMorgan Chase & Co. | 4,733,030 | 493,182 | ||||||
Wells Fargo & Co. | 6,382,100 | 353,824 | ||||||
Bank of New York Mellon Corp. | 4,570,400 | 246,482 | ||||||
Intercontinental Exchange, Inc. | 3,073,355 | 226,045 | ||||||
State Street Corp. | 1,795,500 | 167,143 | ||||||
Other securities | 1,879,262 | |||||||
3,365,938 | ||||||||
Industrials 10.20% | ||||||||
General Dynamics Corp. | 2,035,000 | 379,344 | ||||||
Airbus SE, non-registered shares | 2,782,764 | 325,816 | ||||||
BWX Technologies, Inc. | 4,908,579 | 305,903 | ||||||
Textron Inc. | 3,885,077 | 256,065 | ||||||
CSX Corp. | 3,362,000 | 214,428 | ||||||
Other securities | 1,738,228 | |||||||
3,219,784 | ||||||||
Consumer staples 7.97% | ||||||||
Coca-Cola Co. | 7,063,100 | 309,787 | ||||||
British American Tobacco PLC | 5,192,860 | 262,481 | ||||||
British American Tobacco PLC (ADR) | 494,440 | 24,944 | ||||||
Lamb Weston Holdings, Inc. | 3,533,000 | 242,046 |
68 | American Funds Insurance Series |
Growth-Income Fund
Common stocks | Shares | Value (000) | ||||||
Altria Group, Inc. | 3,588,000 | $ | 203,762 | |||||
Philip Morris International Inc. | 2,192,170 | 176,996 | ||||||
Other securities | 1,295,505 | |||||||
2,515,521 | ||||||||
Energy 6.39% | ||||||||
Exxon Mobil Corp. | 4,034,000 | 333,733 | ||||||
Chevron Corp. | 2,337,200 | 295,492 | ||||||
EOG Resources, Inc. | 1,548,300 | 192,655 | ||||||
Other securities | 1,194,581 | |||||||
2,016,461 | ||||||||
Materials 4.02% | ||||||||
Celanese Corp., Series A | 2,573,233 | 285,783 | ||||||
Vale SA, ordinary nominative (ADR) | 17,367,884 | 222,656 | ||||||
Vale SA, ordinary nominative | 3,570,848 | 45,689 | ||||||
DowDuPont Inc. | 3,737,900 | 246,403 | ||||||
Other securities | 467,365 | |||||||
1,267,896 | ||||||||
Real estate 1.63% | ||||||||
Crown Castle International Corp. REIT | 1,548,200 | 166,927 | ||||||
Other securities | 347,788 | |||||||
514,715 | ||||||||
Utilities 1.39% | ||||||||
Sempra Energy | 2,112,942 | 245,334 | ||||||
Other securities | 194,779 | |||||||
440,113 | ||||||||
Telecommunication services 1.28% | ||||||||
Verizon Communications Inc. | 7,348,400 | 369,698 | ||||||
Other securities | 34,522 | |||||||
404,220 | ||||||||
Mutual funds 0.18% | ||||||||
Other securities | 57,781 | |||||||
Miscellaneous 2.73% | ||||||||
Other common stocks in initial period of acquisition | 860,215 | |||||||
Total common stocks (cost: $20,259,215,000) | 28,918,849 | |||||||
Convertible stocks 0.06% | ||||||||
Financials 0.02% | ||||||||
Other securities | 7,305 | |||||||
Miscellaneous 0.04% | ||||||||
Other convertible stocks in initial period of acquisition | 11,888 | |||||||
Total convertible stocks (cost: $18,683,000) | 19,193 | |||||||
Convertible bonds 0.14% | Principal amount (000) | |||||||
Energy 0.14% | ||||||||
Other securities | 42,780 | |||||||
Total convertible bonds (cost: $43,359,000) | 42,780 |
American Funds Insurance Series | 69 |
Growth-Income Fund
Short-term securities 7.88% | Principal amount (000) | Value (000) | ||||||
Chevron Corp. 2.05% due 9/17/20182 | $ | 50,000 | $ | 49,772 | ||||
ExxonMobil Corp. 1.97%–2.02% due 8/14/2018–8/27/2018 | 95,500 | 95,219 | ||||||
Federal Home Loan Bank 1.70%–1.91% due 7/5/2018–8/29/2018 | 856,000 | 854,806 | ||||||
General Dynamics Corp. 2.03% due 8/8/20182 | 25,000 | 24,943 | ||||||
Intel Corp. 1.98% due 8/7/20182 | 75,000 | 74,839 | ||||||
U.S. Treasury Bills 1.61%–2.00% due 7/12/2018–11/15/2018 | 691,200 | 687,916 | ||||||
Other securities | 700,692 | |||||||
Total short-term securities (cost: $2,488,142,000) | 2,488,187 | |||||||
Total investment securities 99.73% (cost: $22,809,399,000) | 31,469,009 | |||||||
Other assets less liabilities 0.27% | 84,011 | |||||||
Net assets 100.00% | $ | 31,553,020 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $155,786,000, which represented .49% of the net assets of the fund. One security in “Other securities” (with a value of $7,305,000, an aggregate cost of $6,000,000, and which represented .02% of the net assets of the fund) was acquired on 6/28/2012 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject it to legal or contractual restrictions on resale.
1 | Security did not produce income during the last 12 months. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $748,339,000, which represented 2.37% of the net assets of the fund. |
Key to abbreviation
ADR = American Depositary Receipts
See Notes to Financial Statements
70 | American Funds Insurance Series |
International Growth and Income Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 90.64% | Shares | Value (000) | ||||||
Financials 20.57% | ||||||||
HDFC Bank Ltd.1 | 1,228,800 | $ | 37,817 | |||||
Zurich Insurance Group AG | 92,200 | 27,382 | ||||||
Banco Santander, SA | 4,488,061 | 24,067 | ||||||
BNP Paribas SA | 300,300 | 18,653 | ||||||
Prudential PLC | 738,000 | 16,894 | ||||||
KB Financial Group Inc. | 356,500 | 16,889 | ||||||
AIA Group Ltd. | 1,833,000 | 16,027 | ||||||
Swedbank AB, Class A | 611,000 | 13,084 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 308,000 | 11,979 | ||||||
Sberbank of Russia PJSC (ADR) | 802,660 | 11,586 | ||||||
Intesa Sanpaolo SpA | 3,590,000 | 10,424 | ||||||
Other securities | 96,746 | |||||||
301,548 | ||||||||
Health care 9.93% | ||||||||
Novartis AG | 426,145 | 32,394 | ||||||
Hikma Pharmaceuticals PLC | 1,317,700 | 26,103 | ||||||
Fresenius SE & Co. KGaA | 286,000 | 22,979 | ||||||
Daiichi Sankyo Co., Ltd. | 561,000 | 21,469 | ||||||
Teva Pharmaceutical Industries Ltd. (ADR) | 662,000 | 16,100 | ||||||
Essilor International SA | 100,072 | 14,129 | ||||||
Other securities | 12,304 | |||||||
145,478 | ||||||||
Information technology 8.93% | ||||||||
Samsung Electronics Co., Ltd. | 646,634 | 27,066 | ||||||
Tencent Holdings Ltd. | 440,700 | 22,120 | ||||||
Lenovo Group Ltd. | 35,600,000 | 19,285 | ||||||
Yandex NV, Class A2 | 470,000 | 16,873 | ||||||
Tokyo Electron Ltd. | 63,700 | 10,943 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,464,000 | 10,396 | ||||||
Other securities | 24,237 | |||||||
130,920 | ||||||||
Materials 8.49% | ||||||||
Rio Tinto PLC | 1,098,800 | 60,920 | ||||||
Vale SA, ordinary nominative (ADR) | 1,701,000 | 21,807 | ||||||
Yara International ASA | 343,000 | 14,235 | ||||||
Other securities | 27,394 | |||||||
124,356 | ||||||||
Consumer staples 7.81% | ||||||||
British American Tobacco PLC | 931,402 | 47,079 | ||||||
Pernod Ricard SA | 128,650 | 21,018 | ||||||
Imperial Brands PLC | 316,016 | 11,770 | ||||||
Other securities | 34,654 | |||||||
114,521 | ||||||||
Industrials 7.33% | ||||||||
Airbus SE, non-registered shares | 253,960 | 29,734 | ||||||
Shanghai International Airport Co., Ltd., Class A | 3,256,033 | 27,266 | ||||||
ASSA ABLOY AB, Class B | 681,100 | 14,517 | ||||||
Rolls-Royce Holdings PLC2 | 838,400 | 10,934 | ||||||
Other securities | 24,963 | |||||||
107,414 |
American Funds Insurance Series | 71 |
International Growth and Income Fund
Common stocks (continued) | Shares | Value (000) | ||||||
Energy 7.05% | ||||||||
Royal Dutch Shell PLC, Class A | 1,933,691 | $ | 67,091 | |||||
Royal Dutch Shell PLC, Class B | 89,900 | 3,219 | ||||||
TOTAL SA | 305,299 | 18,615 | ||||||
Other securities | 14,420 | |||||||
103,345 | ||||||||
Consumer discretionary 6.21% | ||||||||
LVMH Moët Hennessy-Louis Vuitton SE | 48,000 | 15,987 | ||||||
NEXT PLC | 131,000 | 10,460 | ||||||
Naspers Ltd., Class N | 41,000 | 10,416 | ||||||
Other securities | 54,159 | |||||||
91,022 | ||||||||
Utilities 5.92% | ||||||||
Ørsted AS | 441,200 | 26,694 | ||||||
EDP - Energias de Portugal, SA | 4,019,498 | 15,960 | ||||||
Other securities | 44,042 | |||||||
86,696 | ||||||||
Real estate 4.57% | ||||||||
Sun Hung Kai Properties Ltd. | 1,760,000 | 26,561 | ||||||
Daito Trust Construction Co., Ltd. | 95,500 | 15,535 | ||||||
CK Asset Holdings Ltd. | 1,797,348 | 14,272 | ||||||
China Resources Land Ltd. | 3,162,000 | 10,660 | ||||||
67,028 | ||||||||
Telecommunication services 2.75% | ||||||||
Nippon Telegraph and Telephone Corp. | 409,800 | 18,640 | ||||||
BT Group PLC | 4,859,461 | 13,968 | ||||||
Other securities | 7,733 | |||||||
40,341 | ||||||||
Miscellaneous 1.08% | ||||||||
Other common stocks in initial period of acquisition | 15,814 | |||||||
Total common stocks (cost: $1,219,768,000) | 1,328,483 | |||||||
Bonds, notes & other debt instruments 1.39% | Principal amount (000) | |||||||
Bonds & notes of governments & government agencies outside the U.S. 0.84% | ||||||||
Other securities | 12,357 | |||||||
Corporate bonds & notes 0.52% | ||||||||
Energy 0.29% | ||||||||
Other securities | 4,223 | |||||||
Health care 0.23% | ||||||||
Teva Pharmaceutical Finance Company BV 3.15%–4.10% 2026–2046 | $ | 2,220 | 1,685 | |||||
Other securities | 1,725 | |||||||
3,410 | ||||||||
Total corporate bonds & notes | 7,633 | |||||||
U.S. Treasury bonds & notes 0.03% | ||||||||
U.S. Treasury 0.03% | ||||||||
Other securities | 420 | |||||||
Total bonds, notes & other debt instruments (cost: $21,587,000) | 20,410 |
72 | American Funds Insurance Series |
International Growth and Income Fund
Short-term securities 7.70% | Principal amount (000) | Value (000) | ||||||
Mizuho Bank, Ltd. 2.05% due 8/7/20183 | $ | 17,200 | $ | 17,162 | ||||
Nestlé Capital Corp. 2.08% due 9/4/20183 | 15,200 | 15,143 | ||||||
Société Générale 1.79% due 7/2/20183 | 21,000 | 20,997 | ||||||
Swedbank AB 2.21%–2.22% due 9/18/2018–9/24/2018 | 41,800 | 41,588 | ||||||
Other securities | 17,953 | |||||||
Total short-term securities (cost: $112,845,000) | 112,843 | |||||||
Total investment securities 99.73% (cost: $1,354,200,000) | 1,461,736 | |||||||
Other assets less liabilities 0.27% | 3,946 | |||||||
Net assets 100.00% | $ | 1,465,682 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. One security in “Other securities” (with a value of $3,924,000, an aggregate cost of $4,634,000, and which represented .27% of the net assets of the fund) was acquired on 12/18/2017 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject it to legal or contractual restrictions on resale.
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $41,741,000, which represented 2.85% of the net assets of the fund. |
2 | Security did not produce income during the last 12 months. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $72,424,000, which represented 4.94% of the net assets of the fund. |
Key to abbreviation
ADR = American Depositary Receipts
See Notes to Financial Statements
American Funds Insurance Series | 73 |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 67.25% | Shares | Value (000) | ||||||
Financials 9.87% | ||||||||
Wells Fargo & Co. | 164,800 | $ | 9,137 | |||||
CME Group Inc., Class A | 48,916 | 8,018 | ||||||
Sampo Oyj, Class A | 107,469 | 5,246 | ||||||
Swedbank AB, Class A | 166,138 | 3,558 | ||||||
Other securities | 38,094 | |||||||
64,053 | ||||||||
Energy 8.87% | ||||||||
Royal Dutch Shell PLC, Class B | 303,840 | 10,881 | ||||||
Royal Dutch Shell PLC, Class B (ADR) | 8,500 | 618 | ||||||
Royal Dutch Shell PLC, Class A | 101 | 3 | ||||||
Enbridge Inc. (CAD denominated) | 229,370 | 8,200 | ||||||
Enbridge Inc. (CAD denominated)1 | 12,969 | 464 | ||||||
Schlumberger Ltd. | 119,800 | 8,030 | ||||||
Occidental Petroleum Corp. | 89,300 | 7,473 | ||||||
Kinder Morgan, Inc. | 359,000 | 6,343 | ||||||
Williams Companies, Inc. | 215,800 | 5,850 | ||||||
Other securities | 9,738 | |||||||
57,600 | ||||||||
Information technology 8.55% | ||||||||
Microsoft Corp. | 132,120 | 13,028 | ||||||
QUALCOMM Inc. | 185,600 | 10,416 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,005,800 | 7,142 | ||||||
Intel Corp. | 135,200 | 6,721 | ||||||
Broadcom Inc. | 23,100 | 5,605 | ||||||
Other securities | 12,574 | |||||||
55,486 | ||||||||
Consumer staples 8.18% | ||||||||
Diageo PLC | 259,500 | 9,322 | ||||||
British American Tobacco PLC | 155,000 | 7,835 | ||||||
Philip Morris International Inc. | 86,020 | 6,945 | ||||||
Coca-Cola Co. | 148,000 | 6,491 | ||||||
Imperial Brands PLC | 141,500 | 5,270 | ||||||
Other securities | 17,231 | |||||||
53,094 | ||||||||
Real estate 6.41% | ||||||||
American Tower Corp. REIT | 87,769 | 12,654 | ||||||
Crown Castle International Corp. REIT | 76,900 | 8,291 | ||||||
Digital Realty Trust, Inc. REIT | 51,200 | 5,713 | ||||||
Other securities | 14,977 | |||||||
41,635 | ||||||||
Consumer discretionary 6.22% | ||||||||
Las Vegas Sands Corp. | 176,600 | 13,484 | ||||||
Greene King PLC | 948,000 | 7,202 | ||||||
Sands China Ltd. | 1,018,800 | 5,448 | ||||||
Other securities | 14,227 | |||||||
40,361 | ||||||||
Utilities 4.50% | ||||||||
SSE PLC | 477,689 | 8,542 | ||||||
Enel SPA | 1,160,877 | 6,449 | ||||||
Other securities | 14,213 | |||||||
29,204 |
74 | American Funds Insurance Series |
Capital Income Builder
Common stocks | Shares | Value (000) | ||||||
Telecommunication services 4.35% | ||||||||
Vodafone Group PLC | 4,255,100 | $ | 10,323 | |||||
HKT Trust and HKT Ltd., units | 4,775,340 | 6,099 | ||||||
Other securities | 11,833 | |||||||
28,255 | ||||||||
Industrials 3.59% | ||||||||
Airbus SE, non-registered shares | 88,814 | 10,398 | ||||||
Boeing Co. | 17,600 | 5,905 | ||||||
Other securities | 6,977 | |||||||
23,280 | ||||||||
Health care 3.54% | ||||||||
AstraZeneca PLC (ADR) | 113,500 | 3,985 | ||||||
AstraZeneca PLC | 39,300 | 2,725 | ||||||
Roche Holding AG, non-registered shares, nonvoting | 23,575 | 5,250 | ||||||
Other securities | 11,015 | |||||||
22,975 | ||||||||
Materials 1.82% | ||||||||
DowDuPont Inc. | 84,800 | 5,590 | ||||||
Other securities | 6,253 | |||||||
11,843 | ||||||||
Miscellaneous 1.35% | ||||||||
Other common stocks in initial period of acquisition | 8,754 | |||||||
Total common stocks (cost: $424,055,000) | 436,540 | |||||||
Convertible stocks 0.72% | ||||||||
Utilities 0.38% | ||||||||
Other securities | 2,477 | |||||||
Real estate 0.34% | ||||||||
Crown Castle International Corp. REIT, Series A, 6.875% convertible preferred 2020 | 2,231 | 2,229 | ||||||
Total convertible stocks (cost: $4,742,000) | 4,706 | |||||||
Bonds, notes & other debt instruments 23.54% | Principal amount (000) | |||||||
U.S. Treasury bonds & notes 13.04% | ||||||||
U.S. Treasury 12.25% | ||||||||
U.S. Treasury 1.625% 2022 | $ | 6,050 | 5,793 | |||||
U.S. Treasury 1.875% 2022 | 9,000 | 8,711 | ||||||
U.S. Treasury 2.00% 2022 | 15,000 | 14,561 | ||||||
U.S. Treasury 2.125% 2022 | 8,800 | 8,576 | ||||||
U.S. Treasury 2.00% 2025 | 13,200 | 12,499 | ||||||
U.S. Treasury, principal only, 0% 2047 | 12,400 | 5,206 | ||||||
U.S. Treasury 1.75%–8.00% 2021–2048 | 24,283 | 24,184 | ||||||
79,530 | ||||||||
U.S. Treasury inflation-protected securities 0.79% | ||||||||
U.S. Treasury Inflation-Protected Securities 0.38%–0.50% 2027–20282 | 5,952 | 5,092 | ||||||
Total U.S. Treasury bonds & notes | 84,622 |
American Funds Insurance Series | 75 |
Capital Income Builder
Bonds, notes & other debt instruments (continued) | Principal amount (000) | Value (000) | ||||||
Mortgage-backed obligations 7.08% | ||||||||
Federal agency mortgage-backed obligations 6.88% | ||||||||
Fannie Mae 4.00% 20473 | $ | 9,639 | $ | 9,848 | ||||
Fannie Mae 4.50% 20483 | 7,956 | 8,337 | ||||||
Fannie Mae 4.50% 20483 | 5,975 | 6,261 | ||||||
Fannie Mae 4.00% 2046–20473 | 1,966 | 2,009 | ||||||
Freddie Mac 4.50% 20483,4 | 5,552 | 5,768 | ||||||
Other securities | 12,479 | |||||||
44,702 | ||||||||
Other 0.20% | ||||||||
Other securities | 1,279 | |||||||
Total mortgage-backed obligations | 45,981 | |||||||
Corporate bonds & notes 3.34% | ||||||||
Financials 1.26% | ||||||||
CME Group Inc. 4.15% 2048 | 200 | 203 | ||||||
Wells Fargo & Co. 3.55%–4.60% 2021–2025 | 399 | 406 | ||||||
Other securities | 7,600 | |||||||
8,209 | ||||||||
Utilities 0.51% | ||||||||
Enel Finance International SA 3.625% 20271 | 215 | 197 | ||||||
Other securities | 3,102 | |||||||
3,299 | ||||||||
Consumer staples 0.36% | ||||||||
British American Tobacco PLC 3.56%–4.54% 2027–20471 | 750 | 700 | ||||||
Reynolds American Inc. 6.875% 2020 | 300 | 318 | ||||||
Other securities | 1,319 | |||||||
2,337 | ||||||||
Energy 0.28% | ||||||||
Kinder Morgan, Inc. 4.30%–5.55% 2028–2045 | 250 | 252 | ||||||
Other securities | 1,545 | |||||||
1,797 | ||||||||
Telecommunication services 0.27% | ||||||||
Vodafone Group PLC 3.75%–5.25% 2024–2048 | 650 | 647 | ||||||
Other securities | 1,093 | |||||||
1,740 | ||||||||
Other 0.66% | ||||||||
Other securities | 4,314 | |||||||
Total corporate bonds & notes | 21,696 | |||||||
Asset-backed obligations 0.08% | ||||||||
Other securities | 494 | |||||||
Total bonds, notes & other debt instruments (cost: $155,499,000) | 152,793 |
Short-term securities 9.94% | ||||||||
Eli Lilly and Co. 1.97% due 7/18/20181 | 7,800 | 7,792 | ||||||
Emerson Electric Co. 1.92%–1.99% due 7/23/2018–8/8/20181 | 13,500 | 13,477 | ||||||
Federal Home Loan Bank 1.80%–1.88% due 7/6/2018–8/2/2018 | 10,700 | 10,687 | ||||||
Kimberly-Clark Corp. 1.95% due 7/11/20181 | 7,800 | 7,795 |
76 | American Funds Insurance Series |
Capital Income Builder
Short-term securities | Principal amount (000) | Value (000) | ||||||
Swedbank AB 1.85% due 7/2/2018 | $ | 10,000 | $ | 9,998 | ||||
Tennessee Valley Authority 1.88% due 7/17/2018 | 5,800 | 5,795 | ||||||
Other securities | 8,987 | |||||||
Total short-term securities (cost: $64,536,000) | 64,531 | |||||||
Total investment securities 101.45% (cost: $648,832,000) | 658,570 | |||||||
Other assets less liabilities (1.45)% | (9,433 | ) | ||||||
Net assets 100.00% | $ | 649,137 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $424,000, which represented .07% of the net assets of the fund. This amount includes $156,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $45,324,000, which represented 6.98% of the net assets of the fund. |
2 | Index-linked bond whose principal amount moves with a government price index. |
3 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
4 | Purchased on a TBA basis. |
Key to abbreviations
ADR = American Depositary Receipts
CAD = Canadian dollars
TBA = To-be-announced
See Notes to Financial Statements
American Funds Insurance Series | 77 |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 62.22% | Shares | Value (000) | ||||||
Information technology 17.01% | ||||||||
Microsoft Corp. | 7,220,000 | $ | 711,964 | |||||
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 14,251,000 | 521,016 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 8,600,000 | 61,069 | ||||||
ASML Holding NV (New York registered) | 2,202,100 | 435,950 | ||||||
VeriSign, Inc.1 | 3,140,000 | 431,499 | ||||||
Broadcom Inc. | 1,458,000 | 353,769 | ||||||
Intel Corp. | 6,945,000 | 345,236 | ||||||
Intuit Inc. | 1,100,000 | 224,735 | ||||||
Facebook, Inc., Class A1 | 986,000 | 191,600 | ||||||
Western Digital Corp. | 2,400,000 | 185,784 | ||||||
QUALCOMM Inc. | 3,000,000 | 168,360 | ||||||
Other securities | 779,358 | |||||||
4,410,340 | ||||||||
Health care 10.18% | ||||||||
UnitedHealth Group Inc. | 2,390,000 | 586,362 | ||||||
Johnson & Johnson | 2,900,000 | 351,886 | ||||||
Humana Inc. | 965,000 | 287,213 | ||||||
Aetna Inc. | 1,400,000 | 256,900 | ||||||
Express Scripts Holding Co.1 | 3,100,000 | 239,351 | ||||||
AbbVie Inc. | 2,329,000 | 215,782 | ||||||
Molina Healthcare, Inc.1 | 1,500,000 | 146,910 | ||||||
Other securities | 556,024 | |||||||
2,640,428 | ||||||||
Financials 8.77% | ||||||||
Wells Fargo & Co. | 5,906,400 | 327,451 | ||||||
Chubb Ltd. | 2,450,000 | 311,199 | ||||||
First Republic Bank | 2,580,000 | 249,718 | ||||||
Arch Capital Group Ltd.1 | 8,496,000 | 224,804 | ||||||
JPMorgan Chase & Co. | 2,100,000 | 218,820 | ||||||
Bank of America Corp. | 6,000,000 | 169,140 | ||||||
Citigroup Inc. | 2,500,000 | 167,300 | ||||||
Other securities | 605,510 | |||||||
2,273,942 | ||||||||
Consumer discretionary 6.64% | ||||||||
Home Depot, Inc. | 1,400,000 | 273,140 | ||||||
Comcast Corp., Class A | 7,550,000 | 247,715 | ||||||
Newell Brands Inc. | 7,100,000 | 183,109 | ||||||
Amazon.com, Inc.1 | 105,000 | 178,479 | ||||||
VF Corp. | 2,000,000 | 163,040 | ||||||
NIKE, Inc., Class B | 1,980,000 | 157,766 | ||||||
General Motors Co. | 4,000,000 | 157,600 | ||||||
Other securities | 360,177 | |||||||
1,721,026 | ||||||||
Energy 6.40% | ||||||||
Noble Energy, Inc. | 10,500,000 | 370,440 | ||||||
Cenovus Energy Inc. | 22,000,000 | 228,426 | ||||||
Weatherford International PLC1,2 | 56,000,000 | 184,240 | ||||||
Royal Dutch Shell PLC, Class B (ADR) | 2,465,000 | 179,082 | ||||||
Suncor Energy Inc. | 4,000,000 | 162,781 | ||||||
Other securities | 533,917 | |||||||
1,658,886 | ||||||||
Materials 4.18% | ||||||||
DowDuPont Inc. | 5,904,000 | 389,192 | ||||||
LyondellBasell Industries NV | 1,700,000 | 186,745 | ||||||
Other securities | 508,780 | |||||||
1,084,717 |
78 | American Funds Insurance Series |
Asset Allocation Fund
Common stocks | Shares | Value (000) | ||||||
Consumer staples 4.18% | ||||||||
Nestlé SA | 3,508,230 | $ | 272,425 | |||||
Nestlé SA (ADR) | 900,000 | 69,687 | ||||||
Philip Morris International Inc. | 3,660,000 | 295,508 | ||||||
Other securities | 446,320 | |||||||
1,083,940 | ||||||||
Industrials 2.93% | ||||||||
Lockheed Martin Corp. | 1,162,000 | 343,290 | ||||||
Boeing Co. | 939,000 | 315,044 | ||||||
Other securities | 102,113 | |||||||
760,447 | ||||||||
Real estate 1.25% | ||||||||
Other securities | 322,756 | |||||||
Telecommunication services 0.33% | ||||||||
Other securities | 84,344 | |||||||
Miscellaneous 0.35% | ||||||||
Other common stocks in initial period of acquisition | 89,771 | |||||||
Total common stocks (cost: $11,561,535,000) | 16,130,597 | |||||||
Rights & warrants 0.00% | ||||||||
Other 0.00% | ||||||||
Other securities | 328 | |||||||
Total rights & warrants (cost: $47,000) | 328 | |||||||
Convertible stocks 0.02% | ||||||||
Industrials 0.02% | ||||||||
Other securities | 6,074 | |||||||
Total convertible stocks (cost: $4,800,000) | 6,074 |
Bonds, notes & other debt instruments 25.86% | Principal amount (000) | |||||||
U.S. Treasury bonds & notes 11.21% | ||||||||
U.S. Treasury 8.86% | ||||||||
U.S. Treasury 1.50% 2019 | $ | 400,000 | 398,400 | |||||
U.S. Treasury 1.25% 20203 | 298,117 | 292,429 | ||||||
U.S. Treasury 0.88%–4.75% 2019–20483 | 1,641,455 | 1,606,273 | ||||||
2,297,102 | ||||||||
U.S. Treasury inflation-protected securities 2.35% | ||||||||
U.S. Treasury Inflation-Protected Security 0.625% 20244 | 219,227 | 219,008 | ||||||
U.S. Treasury Inflation-Protected Security 1.375% 20443,4 | 137,881 | 153,890 | ||||||
U.S. Treasury Inflation-Protected Securities 0.13%–2.38% 2021–20474 | 254,334 | 236,555 | ||||||
609,453 | ||||||||
Total U.S. Treasury bonds & notes | 2,906,555 | |||||||
Corporate bonds & notes 8.96% | ||||||||
Energy 1.60% | ||||||||
Noble Energy, Inc. 4.95% 2047 | 2,000 | 2,008 | ||||||
Other securities | 414,124 | |||||||
416,132 |
American Funds Insurance Series | 79 |
Asset Allocation Fund
Bonds, notes & other debt instruments (continued) | Principal amount (000) | Value (000) | ||||||
Corporate bonds & notes (continued) | ||||||||
Financials 1.52% | ||||||||
ACE INA Holdings Inc. 2.30%–4.35% 2020–2045 | $ | 6,905 | $ | 6,802 | ||||
Wells Fargo & Co. 2.50%–3.58% 2021–20285 | 17,934 | 17,268 | ||||||
Other securities | 368,971 | |||||||
393,041 | ||||||||
Health care 1.29% | ||||||||
Johnson & Johnson 2.25%–3.75% 2022–2047 | 6,785 | 6,587 | ||||||
Other securities | 329,360 | |||||||
335,947 | ||||||||
Consumer discretionary 0.83% | ||||||||
Home Depot, Inc. 1.80%–4.25% 2020–2046 | 6,915 | 6,881 | ||||||
Other securities | 208,212 | |||||||
215,093 | ||||||||
Consumer staples 0.58% | ||||||||
Philip Morris International Inc. 1.88%–4.25% 2020–2044 | 15,405 | 14,919 | ||||||
Other securities | 136,290 | |||||||
151,209 | ||||||||
Industrials 0.52% | ||||||||
Lockheed Martin Corp. 2.50%–3.55% 2020–2026 | 10,050 | 9,914 | ||||||
Other securities | 124,497 | |||||||
134,411 | ||||||||
Information technology 0.36% | ||||||||
Broadcom Ltd. 2.38%–3.88% 2020–2027 | 7,215 | 6,933 | ||||||
Microsoft Corp. 4.10%–4.20% 2035–2037 | 7,000 | 7,360 | ||||||
Other securities | 78,081 | |||||||
92,374 | ||||||||
Other 2.26% | ||||||||
Other securities | 585,790 | |||||||
Total corporate bonds & notes | 2,323,997 | |||||||
Mortgage-backed obligations 4.92% | ||||||||
Federal agency mortgage-backed obligations 4.79% | ||||||||
Fannie Mae 0%–7.50% 2021–20486,7,8 | 658,492 | 667,209 | ||||||
Freddie Mac 1.69%–5.57% 2022–20486,7,8 | 117,136 | 116,126 | ||||||
Other securities | 455,037 | |||||||
1,238,372 | ||||||||
Other 0.13% | ||||||||
Other securities | 36,800 | |||||||
Total mortgage-backed obligations | 1,275,172 | |||||||
Federal agency bonds & notes 0.06% | ||||||||
Fannie Mae 1.88%–2.00% 2022–2026 | 16,000 | 14,806 | ||||||
Other 0.71% | ||||||||
Other securities | 184,999 | |||||||
Total bonds, notes & other debt instruments (cost: $6,798,575,000) | 6,705,529 |
80 | American Funds Insurance Series |
Asset Allocation Fund
Short-term securities 13.98% | Principal amount (000) | Value (000) | ||||||
ExxonMobil Corp. 1.97%–1.99% due 8/8/2018–8/22/2018 | $ | 190,200 | $ | 189,723 | ||||
Fannie Mae 1.84%–1.85% due 7/30/2018–8/6/2018 | 150,000 | 149,759 | ||||||
Federal Home Loan Bank 1.72%–1.93% due 7/3/2018–9/25/2018 | 1,200,300 | 1,197,989 | ||||||
Freddie Mac 1.76%–1.88% due 7/18/2018–8/21/2018 | 210,500 | 210,106 | ||||||
U.S. Treasury Bills 1.59%–1.99% due 7/5/2018–11/1/2018 | 827,900 | 826,282 | ||||||
Other securities | 1,050,277 | |||||||
Total short-term securities (cost: $3,624,076,000) | 3,624,136 | |||||||
Total investment securities 102.08% (cost: $21,989,033,000) | 26,466,664 | |||||||
Other assets less liabilities (2.08)% | (539,492 | ) | ||||||
Net assets 100.00% | $ | 25,927,172 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $39,910,000, which represented .15% of the net assets of the fund. “Other securities” also includes loan participations and assignments, which may be subject to legal or contractual restrictions on resale. The total value of all such loans was $49,314,000, which represented .19% of the net assets of the fund. Some securities in “Other securities” (with an aggregate value of $32,685,000, an aggregate cost of $35,862,000, and which represented .13% of the net assets of the fund) were acquired from through private placement transactions exempt from registration under the Securities Act of 1933, which may subject them to legal or contractual restrictions on resale.
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount9 (000) | Value at 6/30/201810 (000) | Unrealized depreciation at 6/30/2018 (000 | ) | ||||||||
2 Year U.S. Treasury Note Futures | Long | 1,225 | October 2018 | $245,000 | $259,490 | $ | (106 | ) | |||||||
30 Year Ultra U.S. Treasury Bond Futures | Short | 110 | September 2018 | (11,000 | ) | (17,552 | ) | (162 | ) | ||||||
$ | (268 | ) |
Swap contracts
Interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) | ||||||||||||
1.8915% | U.S. EFFR | 9/26/2018 | $3,500,000 | $ | (242 | ) | $ | — | $ | (242 | ) | |||||||
1.6365% | 3-month USD-LIBOR | 10/16/2019 | 124,000 | (1,636 | ) | — | (1,636 | ) | ||||||||||
U.S. EFFR | 2.165% | 4/3/2020 | 100,000 | 332 | — | 332 | ||||||||||||
U.S. EFFR | 2.174% | 4/4/2020 | 127,900 | 411 | — | 411 | ||||||||||||
U.S. EFFR | 2.19% | 4/6/2020 | 84,700 | 249 | — | 249 | ||||||||||||
3-month USD-LIBOR | 2.945% | 10/16/2044 | 28,000 | (14 | ) | — | (14 | ) | ||||||||||
2.929% | 3-month USD-LIBOR | 3/27/2048 | 25,000 | (6 | ) | — | (6 | ) | ||||||||||
U.S. EFFR | 2.4775% | 3/27/2048 | 25,000 | (79 | ) | — | (79 | ) | ||||||||||
$ | — | $ | (985 | ) |
American Funds Insurance Series | 81 |
Asset Allocation Fund
Investments in affiliates
A company is an affiliate of the fund under the Investment Company Act of 1940 if the fund’s holdings in that company represent 5% or more of the outstanding voting shares. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Beginning shares or principal amount | Additions | Reductions | Ending shares or principal amount | Net realized gain (000) | Net unrealized appreciation (depreciation) (000) | Dividend or interest income (000) | Value of affiliates at 6/30/2018 (000) | |||||||||||||||||||||||||
Common stocks 1.15% | ||||||||||||||||||||||||||||||||
Consumer discretionary 0.44% | ||||||||||||||||||||||||||||||||
Dillard’s, Inc., Class A (USA)11 | 807,618 | 392,382 | — | 1,200,000 | $ | — | $ | 38,379 | $ | 222 | $ | 113,400 | ||||||||||||||||||||
Energy 0.71% | ||||||||||||||||||||||||||||||||
Weatherford International PLC1,11 | 56,000,000 | — | — | 56,000,000 | — | (49,280 | ) | — | 184,240 | |||||||||||||||||||||||
Total common stocks | 297,640 | |||||||||||||||||||||||||||||||
Bonds, notes & other debt instruments 0.10% | ||||||||||||||||||||||||||||||||
Energy 0.10% | ||||||||||||||||||||||||||||||||
Weatherford International PLC 4.50% 2022 | $ | 2,670,000 | $ | 2,700,000 | — | $ | 5,370,000 | — | 31 | 156 | 4,956 | |||||||||||||||||||||
Weatherford International PLC 8.25% 2023 | $ | 5,500,000 | $ | 300,000 | — | $ | 5,800,000 | — | (100 | ) | 239 | 5,769 | ||||||||||||||||||||
Weatherford International PLC 9.875% 2024 | — | $ | 1,000,000 | — | $ | 1,000,000 | — | 3 | 37 | 1,015 | ||||||||||||||||||||||
Weatherford International PLC 9.875% 202512 | — | $ | 2,550,000 | — | $ | 2,550,000 | — | 42 | 86 | 2,575 | ||||||||||||||||||||||
Weatherford International PLC 6.50% 2036 | $ | 7,595,000 | — | — | $ | 7,595,000 | — | (513 | ) | 258 | 5,981 | |||||||||||||||||||||
Weatherford International PLC 6.75% 2040 | $ | 7,825,000 | — | — | $ | 7,825,000 | — | (227 | ) | 274 | 6,240 | |||||||||||||||||||||
26,536 | ||||||||||||||||||||||||||||||||
Total 1.25% | $ | — | $ | (11,665 | ) | $ | 1,272 | $ | 324,176 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Security did not produce income during the last 12 months. |
2 | Represents an affiliated company as defined under the Investment Company Act of 1940. |
3 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $5,226,000, which represented .02% of the net assets of the fund. |
4 | Index-linked bond whose principal amount moves with a government price index. |
5 | Step bond; coupon rate may change at a later date. |
6 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
7 | Coupon rate may change periodically. |
8 | Purchased on a TBA basis. |
9 | Notional amount is calculated based on the number of contracts and notional contract size. |
10 | Value is calculated based on the notional amount and current market price. |
11 | This security was an unaffiliated issuer in its initial period of acquisition at 12/31/2017; it was not publicly disclosed. |
12 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $1,806,485,000, which represented 6.97% of the net assets of the fund. |
Key to abbreviations and symbol
ADR = American Depositary Receipts
EFFR = Federal Funds Effective Rate
LIBOR = London Interbank Offered Rate
TBA = To-be-announced
USD/$ = U.S. dollars
See Notes to Financial Statements
82 | American Funds Insurance Series |
Global Balanced Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Common stocks 61.82% | Shares | Value (000) | ||||||
Information technology 12.76% | ||||||||
Nintendo Co., Ltd. | 19,800 | $ | 6,474 | |||||
ASML Holding NV | 31,500 | 6,242 | ||||||
PagSeguro Digital Ltd., Class A1 | 220,528 | 6,120 | ||||||
Microsoft Corp. | 53,500 | 5,276 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 697,000 | 4,949 | ||||||
Temenos AG | 25,000 | 3,787 | ||||||
Broadcom Inc. | 13,650 | 3,312 | ||||||
TravelSky Technology Ltd., Class H1 | 860,000 | 2,505 | ||||||
Keyence Corp. | 4,400 | 2,486 | ||||||
Amphenol Corp., Class A | 24,000 | 2,091 | ||||||
Other securities | 6,170 | |||||||
49,412 | ||||||||
Financials 7.82% | ||||||||
HSBC Holdings PLC (GBP denominated) | 539,633 | 5,061 | ||||||
JPMorgan Chase & Co. | 44,670 | 4,655 | ||||||
Wells Fargo & Co. | 47,900 | 2,656 | ||||||
HDFC Bank Ltd. (ADR) | 21,605 | 2,269 | ||||||
Credicorp Ltd. | 10,050 | 2,262 | ||||||
AIA Group Ltd. | 250,000 | 2,186 | ||||||
Other securities | 11,216 | |||||||
30,305 | ||||||||
Health care 6.34% | ||||||||
Humana Inc. | 20,830 | 6,200 | ||||||
Merck & Co., Inc. | 62,870 | 3,816 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 204,000 | 2,057 | ||||||
Other securities | 12,488 | |||||||
24,561 | ||||||||
Industrials 6.29% | ||||||||
Boeing Co. | 15,750 | 5,284 | ||||||
ASSA ABLOY AB, Class B | 118,000 | 2,515 | ||||||
Flughafen Zürich AG | 12,235 | 2,501 | ||||||
Ryanair Holdings PLC (ADR)1 | 20,600 | 2,353 | ||||||
Edenred SA | 65,000 | 2,054 | ||||||
Other securities | 9,672 | |||||||
24,379 | ||||||||
Energy 5.73% | ||||||||
Royal Dutch Shell PLC, Class B | 125,700 | 4,502 | ||||||
ConocoPhillips | 56,006 | 3,899 | ||||||
TOTAL SA | 45,200 | 2,756 | ||||||
LUKOIL Oil Co. PJSC (ADR) | 39,800 | 2,722 | ||||||
Enbridge Inc. (CAD denominated) | 50,869 | 1,818 | ||||||
Enbridge Inc. (CAD denominated)2 | 16,157 | 578 | ||||||
Other securities | 5,935 | |||||||
22,210 | ||||||||
Consumer discretionary 5.73% | ||||||||
Amazon.com, Inc.1 | 3,150 | 5,354 | ||||||
Ocado Group PLC1 | 259,500 | 3,519 | ||||||
Wynn Resorts, Ltd. | 13,000 | 2,175 | ||||||
LVMH Moët Hennessy-Louis Vuitton SE | 6,100 | 2,032 | ||||||
Other securities | 9,114 | |||||||
22,194 | ||||||||
American Funds Insurance Series | 83 |
Global Balanced Fund
Common stocks (continued) | Shares | Value (000) | ||||||
Consumer staples 4.89% | ||||||||
Philip Morris International Inc. | 50,800 | $ | 4,102 | |||||
British American Tobacco PLC | 76,900 | 3,887 | ||||||
Nestlé SA | 43,800 | 3,401 | ||||||
Other securities | 7,569 | |||||||
18,959 | ||||||||
Materials 3.44% | ||||||||
DowDuPont Inc. | 37,848 | 2,495 | ||||||
Linde AG, non-registered shares | 8,900 | 2,125 | ||||||
Other securities | 8,710 | |||||||
13,330 | ||||||||
Real estate 2.38% | ||||||||
Gaming and Leisure Properties, Inc. REIT | 59,720 | 2,138 | ||||||
Other securities | 7,066 | |||||||
9,204 | ||||||||
Utilities 1.78% | ||||||||
ENN Energy Holdings Ltd. | 232,000 | 2,281 | ||||||
Ørsted AS | 33,800 | 2,045 | ||||||
Other securities | 2,578 | |||||||
6,904 | ||||||||
Miscellaneous 4.66% | ||||||||
Other common stocks in initial period of acquisition | 18,045 | |||||||
Total common stocks (cost: $189,305,000) | 239,503 | |||||||
Bonds, notes & other debt instruments 33.32% | Principal amount (000) | |||||||
Bonds & notes of governments & government agencies outside the U.S. 15.27% | ||||||||
Japan, Series 346, 0.10% 2027 | ¥ | 435,600 | 3,972 | |||||
Japan 0.10%–2.30% 2018–20473 | 1,001,824 | 9,760 | ||||||
Poland (Republic of) 3.25%–5.75% 2020–2025 | PLN | 14,140 | 4,031 | |||||
United Mexican States 4.00%–10.00% 2020–20423 | MXN | 64,405 | 3,142 | |||||
United Mexican States 3.75%–4.60% 2027–2046 | $ | 600 | 570 | |||||
Other securities | 37,685 | |||||||
59,160 | ||||||||
U.S. Treasury bonds & notes 10.47% | ||||||||
U.S. Treasury 8.20% | ||||||||
U.S. Treasury 1.625% 2022 | 2,850 | 2,729 | ||||||
U.S. Treasury 2.25% 2027 | 2,800 | 2,663 | ||||||
U.S. Treasury 2.875% 2028 | 2,170 | 2,173 | ||||||
U.S. Treasury 1.00%–3.13% 2018–2048 | 24,873 | 24,208 | ||||||
31,773 | ||||||||
U.S. Treasury inflation-protected securities 2.27% | ||||||||
U.S. Treasury Inflation-Protected Securities 0.13%–2.38% 2022–20443 | 9,166 | 8,796 | ||||||
Total U.S. Treasury bonds & notes | 40,569 | |||||||
Corporate bonds & notes 5.87% | ||||||||
Financials 1.55% | ||||||||
Banco Nacional de Comercio Exterior SNC 3.80% 2026 (UST Yield Curve Rate T Note Constant Maturity 5 year + 3.00% on 8/11/2021)2,4 | 200 | 193 | ||||||
HSBC Holdings PLC 3.375% 2024 (5 year EURO Mid Swap + 1.95% on 1/10/2019)4 | € | 100 | 119 | |||||
HSBC Holdings PLC 3.03%–3.90% 2023–20264 | $ | 400 | 389 | |||||
JPMorgan Chase & Co. 2.55%–3.25% 2021–2023 | 254 | 247 |
84 | American Funds Insurance Series |
Global Balanced Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
JPMorgan Chase & Co., Series S, junior subordinated, perpetual, 6.75% (undated) (3-month USD-LIBOR + 3.78% on 2/1/2024)4 | $ | 135 | $ | 147 | ||||
JPMorgan Chase Bank NA (3-month USD-LIBOR + 0.34%) 2.702% 20215 | 300 | 300 | ||||||
Other securities | 4,622 | |||||||
6,017 | ||||||||
Health care 0.77% | ||||||||
Humana Inc. 3.15% 2022 | 100 | 97 | ||||||
Other securities | 2,867 | |||||||
2,964 | ||||||||
Consumer discretionary 0.61% | ||||||||
Amazon.com, Inc. 2.80%–3.15% 2024–2027 | 265 | 253 | ||||||
Other securities | 2,096 | |||||||
2,349 | ||||||||
Consumer staples 0.52% | ||||||||
British American Tobacco PLC 3.56%–4.39% 2027–20372 | 185 | 173 | ||||||
Philip Morris International Inc. 2.00%–4.25% 2020–2044 | 195 | 191 | ||||||
Reynolds American Inc. 4.00%–4.45% 2022–2025 | 120 | 121 | ||||||
Other securities | 1,532 | |||||||
2,017 | ||||||||
Energy 0.52% | ||||||||
Petróleos Mexicanos 6.35%–6.50% 2027–20482 | 487 | 458 | ||||||
Other securities | 1,550 | |||||||
2,008 | ||||||||
Information technology 0.29% | ||||||||
Microsoft Corp. 2.40%–3.30% 2026–2027 | 652 | 626 | ||||||
Other securities | 516 | |||||||
1,142 | ||||||||
Other 1.61% | ||||||||
Other securities | 6,227 | |||||||
Total corporate bonds & notes | 22,724 | |||||||
Mortgage-backed obligations 1.71% | ||||||||
Federal agency mortgage-backed obligations 1.12% | ||||||||
Other securities | 4,311 | |||||||
Other 0.59% | ||||||||
Other securities | 2,335 | |||||||
Total mortgage-backed obligations | 6,646 | |||||||
Total bonds, notes & other debt instruments (cost: $132,603,000) | 129,099 | |||||||
American Funds Insurance Series | 85 |
Global Balanced Fund
Short-term securities 5.44% | Principal amount (000) | Value (000) | ||||||
Federal Home Loan Bank 1.87% due 7/20/2018 | $ | 3,200 | $ | 3,197 | ||||
Mizuho Bank, Ltd. 1.90% due 7/2/20182 | 6,500 | 6,499 | ||||||
Sumitomo Mitsui Banking Corp. 2.00% due 7/17/2018–7/23/20182 | 6,200 | 6,192 | ||||||
Swedbank AB 1.85% due 7/2/2018 | 3,600 | 3,599 | ||||||
Other securities | 1,590 | |||||||
Total short-term securities (cost: $21,084,000) | 21,077 | |||||||
Total investment securities 100.58% (cost: $ 342,992,000) | 389,679 | |||||||
Other assets less liabilities (0.58)% | (2,258 | ) | ||||||
Net assets 100.00% | $ | 387,421 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Forward currency contracts
Contract amount | Unrealized appreciation (depreciation) | ||||||||||
Purchases | Sales | at 6/30/2018 | |||||||||
(000) | (000) | Counterparty | Settlement date | (000) | |||||||
USD558 | BRL2,100 | JPMorgan Chase | 7/5/2018 | $ | 16 | ||||||
USD317 | MXN5,900 | JPMorgan Chase | 7/9/2018 | 20 | |||||||
USD229 | ZAR2,900 | UBS AG | 7/9/2018 | 18 | |||||||
NOK3,054 | USD373 | Goldman Sachs | 7/9/2018 | 2 | |||||||
JPY57,092 | USD523 | Goldman Sachs | 7/9/2018 | (7 | ) | ||||||
USD331 | PLN1,200 | JPMorgan Chase | 7/10/2018 | 11 | |||||||
USD471 | GBP350 | Citibank | 7/10/2018 | 9 | |||||||
USD774 | CHF760 | JPMorgan Chase | 7/10/2018 | 6 | |||||||
USD135 | MXN2,700 | Bank of America, N.A. | 7/10/2018 | (1 | ) | ||||||
EUR349 | USD410 | Bank of America, N.A. | 7/10/2018 | (2 | ) | ||||||
JPY22,275 | USD204 | Citibank | 7/10/2018 | (3 | ) | ||||||
CHF759 | USD773 | JPMorgan Chase | 7/10/2018 | (6 | ) | ||||||
EUR482 | USD569 | Citibank | 7/10/2018 | (6 | ) | ||||||
PLN1,200 | USD333 | JPMorgan Chase | 7/10/2018 | (13 | ) | ||||||
USD501 | THB15,900 | Bank of America, N.A. | 7/12/2018 | 21 | |||||||
USD548 | INR36,900 | JPMorgan Chase | 7/12/2018 | 10 | |||||||
NOK2,700 | USD335 | Bank of America, N.A. | 7/12/2018 | (4 | ) | ||||||
GBP561 | USD752 | Citibank | 7/12/2018 | (11 | ) | ||||||
USD391 | BRL1,400 | Citibank | 7/13/2018 | 31 | |||||||
USD749 | ILS2,675 | Bank of America, N.A. | 7/16/2018 | 17 | |||||||
EUR305 | USD360 | Bank of America, N.A. | 7/16/2018 | (4 | ) | ||||||
ILS2,675 | USD739 | Goldman Sachs | 7/16/2018 | (7 | ) | ||||||
JPY100,000 | USD908 | JPMorgan Chase | 7/17/2018 | (4 | ) | ||||||
USD1,013 | KRW1,094,100 | Bank of America, N.A. | 7/19/2018 | 31 | |||||||
EUR859 | USD1,000 | Goldman Sachs | 7/19/2018 | 5 | |||||||
USD575 | MXN12,000 | Bank of America, N.A. | 7/19/2018 | (28 | ) | ||||||
USD749 | MYR3,000 | JPMorgan Chase | 7/20/2018 | 7 | |||||||
USD327 | INR22,118 | Goldman Sachs | 7/20/2018 | 5 | |||||||
USD192 | PLN700 | JPMorgan Chase | 7/20/2018 | 5 | |||||||
EUR573 | GBP505 | Citibank | 7/20/2018 | 2 | |||||||
JPY57,672 | EUR450 | JPMorgan Chase | 7/20/2018 | (5 | ) | ||||||
GBP502 | EUR573 | JPMorgan Chase | 7/20/2018 | (6 | ) | ||||||
PLN700 | USD194 | JPMorgan Chase | 7/20/2018 | (7 | ) | ||||||
86 | American Funds Insurance Series |
Global Balanced Fund
Contract amount | Unrealized appreciation (depreciation) | ||||||||||
Purchases | Sales | at 6/30/2018 | |||||||||
(000) | (000) | Counterparty | Settlement date | (000) | |||||||
USD483 | PLN1,800 | Bank of America, N.A. | 7/23/2018 | $ | 2 | ||||||
USD113 | CAD150 | Bank of America, N.A. | 7/23/2018 | (1 | ) | ||||||
JPY22,250 | USD202 | Citibank | 7/23/2018 | (1 | ) | ||||||
EUR645 | USD750 | JPMorgan Chase | 7/25/2018 | 4 | |||||||
USD166 | ILS600 | JPMorgan Chase | 7/25/2018 | 2 | |||||||
EUR502 | USD590 | Bank of America, N.A. | 7/25/2018 | (2 | ) | ||||||
USD677 | CAD900 | JPMorgan Chase | 7/25/2018 | (8 | ) | ||||||
JPY111,459 | USD1,017 | Goldman Sachs | 7/25/2018 | (8 | ) | ||||||
EUR735 | PLN3,200 | Goldman Sachs | 7/27/2018 | 5 | |||||||
EUR598 | USD696 | Goldman Sachs | 7/31/2018 | 5 | |||||||
USD503 | THB16,600 | JPMorgan Chase | 7/31/2018 | 2 | |||||||
USD717 | AUD970 | Morgan Stanley | 7/31/2018 | (1 | ) | ||||||
JPY50,074 | USD455 | Bank of New York Mellon | 7/31/2018 | (1 | ) | ||||||
USD771 | EUR660 | JPMorgan Chase | 7/31/2018 | (2 | ) | ||||||
USD377 | CAD500 | Bank of America, N.A. | 7/31/2018 | (4 | ) | ||||||
JPY174,520 | USD1,584 | Bank of New York Mellon | 7/31/2018 | (4 | ) | ||||||
USD501 | CAD665 | Bank of America, N.A. | 7/31/2018 | (5 | ) | ||||||
USD373 | INR24,900 | Citibank | 9/24/2018 | 14 | |||||||
USD371 | BRL1,250 | Citibank | 11/29/2018 | 54 | |||||||
USD222 | BRL750 | Citibank | 11/29/2018 | 31 | |||||||
$ | 184 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Security did not produce income during the last 12 months. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $22,660,000, which represented 5.85% of the net assets of the fund. |
3 | Index-linked bond whose principal amount moves with a government price index. |
4 | Step bond; coupon rate may change at a later date. |
5 | Coupon rate may change periodically. |
Key to abbreviations and symbols
ADR = American Depositary Receipts
AUD = Australian dollars
BRL = Brazilian reais
CAD = Canadian dollars
CHF = Swiss francs
EUR/€ = Euros
GBP = British pounds
ILS = Israeli shekels
INR = Indian rupees
JPY/¥ = Japanese yen
KRW = South Korean won
LIBOR = London Interbank Offered Rate
MXN = Mexican pesos
MYR = Malaysian ringgits
NOK = Norwegian kroner
PLN = Polish zloty
THB = Thai baht
USD/$ = U.S. dollars
ZAR = South African rand
See Notes to Financial Statements
American Funds Insurance Series | 87 |
Bond Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Bonds, notes & other debt instruments 96.18% | Principal amount (000) | Value (000) | ||||||
Corporate bonds & notes 35.64% | ||||||||
Financials 10.04% | ||||||||
Bank of America Corp. 2.82%–3.97% 2023–20291 | $ | 119,258 | $ | 116,105 | ||||
Intesa Sanpaolo SpA 5.017% 20242 | 79,790 | 72,486 | ||||||
Other securities | 877,710 | |||||||
1,066,301 | ||||||||
Health care 6.27% | ||||||||
Pfizer Inc. 7.20% 2039 | 100 | 139 | ||||||
Teva Pharmaceutical Finance Company BV 2.80% 2023 | 84,169 | 72,759 | ||||||
Teva Pharmaceutical Finance Company BV 2.20%–6.75% 2021–2046 | 139,530 | 111,699 | ||||||
Other securities | 482,075 | |||||||
666,672 | ||||||||
Energy 5.16% | ||||||||
Petróleos Mexicanos 7.47% 2026 | MXN | 295,000 | 12,849 | |||||
Petróleos Mexicanos 5.35%–6.75% 2027–20482 | $ | 38,710 | 36,841 | |||||
Other securities | 498,905 | |||||||
548,595 | ||||||||
Consumer discretionary 3.61% | ||||||||
Other securities | 384,045 | |||||||
Utilities 3.36% | ||||||||
Other securities | 357,004 | |||||||
Consumer staples 3.10% | ||||||||
Other securities | 329,484 | |||||||
Information technology 1.19% | ||||||||
Other securities | 126,026 | |||||||
Telecommunication services 1.13% | ||||||||
Other securities | 120,568 | |||||||
Other 1.78% | ||||||||
Other securities | 188,128 | |||||||
Total corporate bonds & notes | 3,786,823 | |||||||
U.S. Treasury bonds & notes 25.14% | ||||||||
U.S. Treasury 21.10% | ||||||||
U.S. Treasury 2.25% 2023 | 115,000 | 111,918 | ||||||
U.S. Treasury 2.625% 2023 | 125,000 | 124,461 | ||||||
U.S. Treasury 2.75% 2023 | 75,000 | 75,066 | ||||||
U.S. Treasury 2.75% 2023 | 60,000 | 60,035 | ||||||
U.S. Treasury 2.125% 20243 | 260,000 | 251,069 | ||||||
U.S. Treasury 2.125% 20243 | 75,000 | 72,167 | ||||||
U.S. Treasury 2.125% 2024 | 75,000 | 72,072 | ||||||
U.S. Treasury 2.25% 2024 | 80,000 | 77,812 | ||||||
U.S. Treasury 2.75% 2025 | 150,000 | 149,406 | ||||||
U.S. Treasury 2.875% 20253 | 211,118 | 211,855 | ||||||
U.S. Treasury 2.25% 2027 | 125,000 | 118,715 | ||||||
U.S. Treasury 2.25% 2027 | 100,000 | 95,095 | ||||||
U.S. Treasury 2.25% 2027 | 76,075 | 72,548 | ||||||
U.S. Treasury 2.375% 2027 | 100,000 | 96,217 |
88 | American Funds Insurance Series |
Bond Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
U.S. Treasury 2.875% 2028 | $ | 137,043 | $ | 137,214 | ||||
U.S. Treasury 3.00% 20483 | 255,970 | 256,259 | ||||||
U.S. Treasury 2.38%–8.75% 2020–20483 | 250,595 | 259,898 | ||||||
2,241,807 | ||||||||
U.S. Treasury inflation-protected securities 4.04% | ||||||||
U.S. Treasury Inflation-Protected Security 0.375% 20254 | 53,902 | 52,965 | ||||||
U.S. Treasury Inflation-Protected Security 0.375% 20274 | 153,615 | 149,471 | ||||||
U.S. Treasury Inflation-Protected Security 0.50% 20284 | 149,474 | 124,214 | ||||||
U.S. Treasury Inflation-Protected Security 0.875% 20474 | 74,253 | 74,202 | ||||||
U.S. Treasury Inflation-Protected Security 1.00% 20484 | 34,489 | 28,664 | ||||||
429,516 | ||||||||
Total U.S. Treasury bonds & notes | 2,671,323 | |||||||
Mortgage-backed obligations 23.53% | ||||||||
Federal agency mortgage-backed obligations 23.35% | ||||||||
Fannie Mae 3.50% 20335,6 | 51,893 | 52,455 | ||||||
Fannie Mae 3.00% 20465 | 72,156 | 70,008 | ||||||
Fannie Mae 3.50% 20475 | 77,731 | 77,509 | ||||||
Fannie Mae 4.00% 20475 | 83,559 | 85,338 | ||||||
Fannie Mae 3.50% 20485,6 | 204,040 | 203,034 | ||||||
Fannie Mae 4.00% 20485,6 | 316,485 | 322,197 | ||||||
Fannie Mae 4.00% 20485,6 | 134,434 | 137,055 | ||||||
Fannie Mae 4.00% 20485,6 | 88,904 | 90,428 | ||||||
Fannie Mae 4.50% 20485,6 | 220,469 | 229,172 | ||||||
Fannie Mae 4.50% 20485,6 | 199,176 | 206,726 | ||||||
Fannie Mae 3.27%–9.22% 2023–20485,6,7 | 178,846 | 182,387 | ||||||
Freddie Mac 3.50% 20475 | 73,151 | 72,823 | ||||||
Freddie Mac 4.00% 20485,6 | 73,022 | 74,303 | ||||||
Freddie Mac 0%–5.50% 2021–20485,6 | 198,319 | 198,150 | ||||||
Government National Mortgage Assn. 4.00% 20485,6 | 196,439 | 201,300 | ||||||
Government National Mortgage Assn. 4.00% 20485,6 | 151,761 | 155,292 | ||||||
Government National Mortgage Assn. 4.50% 20485,6 | 92,096 | 95,739 | ||||||
Government National Mortgage Assn. 4.50% 2040–20485,6 | 26,465 | 27,481 | ||||||
2,481,397 | ||||||||
Other 0.18% | ||||||||
Other securities | 18,484 | |||||||
Total mortgage-backed obligations | 2,499,881 | |||||||
Bonds & notes of governments & government agencies outside the U.S. 7.15% | ||||||||
Italy (Republic of) 0.95% 2023 | € | 45,000 | 50,753 | |||||
Japan, Series 19, 0.10% 20244 | ¥ | 5,377,070 | 50,874 | |||||
Japan, Series 20, 0.10% 20254 | 11,340,000 | 107,393 | ||||||
Portuguese Republic 5.125% 2024 | $ | 100,550 | 104,384 | |||||
Portuguese Republic 4.10%–5.65% 2024–2045 | € | 20,375 | 30,139 | |||||
United Mexican States, Series M, 5.75% 2026 | MXN | 527,500 | 23,743 | |||||
United Mexican States, Series M, 6.50% 2021 | 3,132,700 | 152,863 | ||||||
United Mexican States 3.60%–4.35% 2025–2047 | $ | 29,175 | 28,113 | |||||
Other securities | 211,594 | |||||||
759,856 | ||||||||
Asset-backed obligations 2.61% | ||||||||
Other securities | 277,546 | |||||||
Municipals 2.00% | ||||||||
Illinois 1.72% | ||||||||
G.O. Bonds, Pension Funding Series 2003, 4.95% 2023 | 26,190 | 26,663 | ||||||
G.O. Bonds, Pension Funding Series 2003, 5.10% 20335 | 93,085 | 88,239 | ||||||
G.O. Bonds, Pension Funding Series 2013, 5.877% 2019 | 400 | 407 |
American Funds Insurance Series | 89 |
Bond Fund
Bonds, notes & other debt instruments (continued) | Principal amount (000) | Value (000) | ||||||
Municipals (continued) | ||||||||
Illinois (continued) | ||||||||
G.O. Bonds, Series 2013-B, 3.65% 2020 | $ | 1,000 | $ | 997 | ||||
G.O. Bonds, Series 2013-B, 4.11% 2022 | 750 | 736 | ||||||
G.O. Bonds, Series 2013-B, 4.31% 2023 | 2,125 | 2,063 | ||||||
G.O. Bonds, Series 2013-B, 4.91% 2027 | 1,450 | 1,360 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-1, 6.63% 2035 | 4,360 | 4,627 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 5.65% 2020 | 250 | 257 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 5.85% 2022 | 2,370 | 2,467 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 5.95% 2023 | 3,210 | 3,338 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 6.15% 2025 | 3,955 | 4,104 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-3, 5.547% 2019 | 335 | 340 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-3, 5.727% 2020 | 2,400 | 2,476 | ||||||
G.O. Bonds, Taxable Build America Bonds, Series 2010-5, 6.20% 20215 | 7,784 | 8,043 | ||||||
Other securities | 36,502 | |||||||
182,619 | ||||||||
Other 0.28% | ||||||||
Other securities | 29,918 | |||||||
Total municipals | 212,537 | |||||||
Federal agency bonds & notes 0.11% | ||||||||
Fannie Mae 2.125% 2026 | 12,410 | 11,659 | ||||||
Total bonds, notes & other debt instruments (cost: $10,356,835,000) | 10,219,625 | |||||||
Common stocks 0.03% | Shares | |||||||
Other 0.03% | ||||||||
Other securities | 2,833 | |||||||
Total common stocks (cost: $3,654,000) | 2,833 | |||||||
Rights & warrants 0.00% | ||||||||
Energy 0.00% | ||||||||
Other securities | 97 | |||||||
Total rights & warrants (cost: $16,000) | 97 |
Short-term securities 21.76% | Principal amount (000) | |||||||
Chevron Corp. 1.93%–2.02% due 7/13/2018–7/17/20182 | $ | 59,200 | 59,150 | |||||
ExxonMobil Corp. 2.00%–2.02% due 7/23/2018–8/28/2018 | 84,000 | 83,821 | ||||||
Federal Home Loan Bank 1.77%–1.95% due 7/9/2018–10/5/2018 | 796,700 | 794,803 | ||||||
Freddie Mac 1.91% due 8/20/2018 | 50,000 | 49,876 | ||||||
PepsiCo Inc. 1.95%–1.98% due 8/1/2018–8/7/20182 | 70,000 | 69,858 | ||||||
Pfizer Inc. 2.02%–2.05% due 7/2/2018–8/20/20182 | 109,000 | 108,874 | ||||||
U.S. Treasury Bills 1.56%–2.00% due 7/5/2018–11/15/2018 | 846,300 | 843,339 | ||||||
Other securities | 302,784 | |||||||
Total short-term securities (cost: $2,312,454,000) | 2,312,505 | |||||||
Total investment securities 117.97% (cost: $12,672,959,000) | 12,535,060 | |||||||
Other assets less liabilities (17.97)% | (1,909,862 | ) | ||||||
Net assets 100.00% | $ | 10,625,198 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
90 | American Funds Insurance Series |
Bond Fund
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $5,494,000, which represented .05% of the net assets of the fund. “Other securities” also includes loan participations and assignments, which may be subject to legal or contractual restrictions on resale. The total value of all such loans was $12,171,000, which represented .11% of the net assets of the fund. Some securities in “Other securities” (with an aggregate value of $2,150,000, an aggregate cost of $780,000, and which represented .02% of the net assets of the fund) were acquired on 8/31/2015 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject them to legal or contractual restrictions on resale.
Futures contracts
Number of | Notional amount | 8 | Value at 6/30/2018 | 9 | Unrealized appreciation (depreciation) at 6/30/2018 | ||||||||||||||
Contracts | Type | contracts | Expiration | (000) | (000) | (000) | |||||||||||||
2 Year U.S. Treasury Note Futures | Long | 13,334 | October 2018 | $ | 2,666,800 | $ | 2,824,516 | $ | 23 | ||||||||||
5 Year Euro-Bobl Futures | Short | 2,269 | September 2018 | (226,900 | ) | (350,216 | ) | (1,831 | ) | ||||||||||
5 Year U.S. Treasury Note Futures | Long | 12,291 | October 2018 | 1,229,100 | 1,396,469 | 4,536 | |||||||||||||
10 Year Euro-Bund Futures | Short | 763 | September 2018 | (76,300 | ) | (144,837 | ) | (1,625 | ) | ||||||||||
10 Year U.S. Treasury Note Futures | Long | 503 | September 2018 | 50,300 | 60,454 | 251 | |||||||||||||
10 Year Ultra U.S. Treasury Note Futures | Short | 112 | September 2018 | (11,200 | ) | (14,362 | ) | (126 | ) | ||||||||||
30 Year Euro-Buxl Futures | Long | 214 | September 2018 | 21,400 | 44,409 | 619 | |||||||||||||
30 Year Ultra U.S. Treasury Bond Futures | Long | 772 | September 2018 | 77,200 | 123,182 | 340 | |||||||||||||
$ | 2,187 |
Forward currency contracts
Contract amount | Unrealized appreciation (depreciation) | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 6/30/2018 (000) | |||||||
USD31,395 | JPY3,430,000 | Goldman Sachs | 7/9/2018 | $ | 394 | ||||||
USD66,828 | JPY7,300,000 | JPMorgan Chase | 7/10/2018 | 844 | |||||||
USD76,688 | EUR65,550 | JPMorgan Chase | 7/10/2018 | 77 | |||||||
USD12,310 | MXN252,000 | Citibank | 7/10/2018 | (357 | ) | ||||||
USD10,283 | EUR8,725 | JPMorgan Chase | 7/12/2018 | 84 | |||||||
USD26,432 | EUR22,400 | JPMorgan Chase | 7/16/2018 | 241 | |||||||
USD13,179 | JPY1,445,000 | Goldman Sachs | 7/25/2018 | 105 | |||||||
USD59,923 | MXN1,220,000 | Bank of New York Mellon | 7/25/2018 | (1,249 | ) | ||||||
USD44,704 | JPY4,925,000 | Bank of New York Mellon | 7/31/2018 | 123 | |||||||
USD448 | EUR385 | Goldman Sachs | 7/31/2018 | (3 | ) | ||||||
USD119,413 | MXN2,400,000 | Citibank | 7/31/2018 | (808 | ) | ||||||
$ | (549 | ) |
Swap contracts
Interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) | |||||||||||||||
1.39% | 3-month Canada BA | 7/13/2018 | C$ | 1,460,000 | $ | (123 | ) | $ | — | $ | (123 | ) | |||||||||
1.77% | 3-month Canada BA | 9/26/2018 | 975,000 | 58 | — | 58 | |||||||||||||||
1.669% | 3-month USD-LIBOR | 10/28/2019 | $ | 112,000 | (1,478 | ) | — | (1,478 | ) | ||||||||||||
U.S. EFFR | 2.165% | 4/3/2020 | 594,600 | 1,977 | — | 1,977 | |||||||||||||||
2.55% | 3-month USD-LIBOR | 4/3/2020 | 594,600 | (2,162 | ) | — | (2,162 | ) |
American Funds Insurance Series | 91 |
Bond Fund
Swap contracts (continued)
Interest rate swaps (continued)
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) | |||||||||||||||
U.S. EFFR | 2.174% | 4/4/2020 | $ | 760,300 | $ | 2,443 | $ | — | $ | 2,443 | |||||||||||
2.5725% | 3-month USD-LIBOR | 4/4/2020 | 760,298 | (2,500 | ) | — | (2,500 | ) | |||||||||||||
U.S. EFFR | 2.19% | 4/6/2020 | 503,300 | 1,480 | — | 1,480 | |||||||||||||||
2.599% | 3-month USD-LIBOR | 4/6/2020 | 503,300 | (1,426 | ) | — | (1,426 | ) | |||||||||||||
3-month USD-LIBOR | 2.761% | 4/27/2020 | 500,000 | 92 | — | 92 | |||||||||||||||
3-month USD-LIBOR | 2.75% | 4/30/2020 | 352,900 | 137 | — | 137 | |||||||||||||||
3-month USD-LIBOR | 2.746% | 5/1/2020 | 504,100 | 237 | — | 237 | |||||||||||||||
3-month USD-LIBOR | 2.7515% | 5/3/2020 | 501,000 | 202 | — | 202 | |||||||||||||||
1.6915% | 3-month USD-LIBOR | 6/3/2020 | 1,600 | (33 | ) | — | (33 | ) | |||||||||||||
1.7345% | 3-month USD-LIBOR | 12/31/2020 | 120,000 | (3,187 | ) | — | (3,187 | ) | |||||||||||||
3-month USD-LIBOR | 1.975% | 4/27/2022 | 15,000 | 490 | — | 490 | |||||||||||||||
3-month USD-LIBOR | 2.1305% | 7/17/2022 | 100,000 | 2,848 | — | 2,848 | |||||||||||||||
1.9375% | 3-month USD-LIBOR | 12/18/2022 | 150,000 | (5,934 | ) | — | (5,934 | ) | |||||||||||||
3-month USD-LIBOR | 2.701% | 6/9/2024 | 60,000 | 610 | — | 610 | |||||||||||||||
6-month EURIBOR | 0.9852% | 10/17/2024 | € | 25,000 | (996 | ) | — | (996 | ) | ||||||||||||
3-month USD-LIBOR | 2.438% | 11/19/2024 | $ | 750 | 20 | — | 20 | ||||||||||||||
3-month USD-LIBOR | 2.4585% | 11/24/2024 | 23,000 | 584 | — | 584 | |||||||||||||||
3-month USD-LIBOR | 2.0475% | 3/23/2025 | 450 | 23 | — | 23 | |||||||||||||||
3-month USD-LIBOR | 2.3175% | 5/8/2025 | 1,500 | 54 | — | 54 | |||||||||||||||
3-month USD-LIBOR | 2.339% | 5/13/2025 | 375 | 13 | — | 13 | |||||||||||||||
3-month USD-LIBOR | 2.351% | 5/15/2025 | 590 | 20 | — | 20 | |||||||||||||||
3-month USD-LIBOR | 2.287% | 5/20/2025 | 500 | 19 | — | 19 | |||||||||||||||
3-month USD-LIBOR | 2.227% | 5/28/2025 | 260 | 11 | — | 11 | |||||||||||||||
3-month USD-LIBOR | 2.2125% | 5/29/2025 | 465 | 20 | — | 20 | |||||||||||||||
3-month USD-LIBOR | 2.451% | 6/5/2025 | 650 | 18 | — | 18 | |||||||||||||||
3-month USD-LIBOR | 2.46% | 6/10/2025 | 2,536 | 70 | — | 70 | |||||||||||||||
3-month USD-LIBOR | 2.455% | 6/24/2025 | 235 | 7 | — | 7 | |||||||||||||||
3-month USD-LIBOR | 2.397% | 7/13/2025 | 900 | 29 | — | 29 | |||||||||||||||
3-month USD-LIBOR | 2.535% | 7/15/2025 | 800 | 18 | — | 18 | |||||||||||||||
3-month USD-LIBOR | 2.4615% | 7/22/2025 | 1,300 | 36 | — | 36 | |||||||||||||||
3-month USD-LIBOR | 2.312% | 7/29/2025 | 1,000 | 37 | — | 37 | |||||||||||||||
3-month USD-LIBOR | 2.331% | 7/30/2025 | 435 | 16 | — | 16 | |||||||||||||||
3-month USD-LIBOR | 2.228% | 9/4/2025 | 12,000 | 523 | — | 523 | |||||||||||||||
6-month JPY-LIBOR | 0.282% | 2/2/2026 | ¥ | 5,500,000 | (328 | ) | — | (328 | ) | ||||||||||||
6-month JPY-LIBOR | 0.0875% | 3/10/2026 | 11,100,000 | 859 | — | 859 | |||||||||||||||
3-month USD-LIBOR | 1.595% | 5/12/2026 | $ | 8,500 | 788 | — | 788 | ||||||||||||||
3-month USD-LIBOR | 1.592% | 5/12/2026 | 4,000 | 371 | — | 371 | |||||||||||||||
3.0865% | 3-month USD-LIBOR | 8/18/2034 | 2,250 | 37 | — | 37 | |||||||||||||||
2.913% | 3-month USD-LIBOR | 11/24/2034 | 10,000 | (65 | ) | — | (65 | ) | |||||||||||||
2.844% | 3-month USD-LIBOR | 6/11/2035 | 3,250 | (52 | ) | — | (52 | ) | |||||||||||||
2.9535% | 3-month USD-LIBOR | 6/30/2035 | 2,500 | (2 | ) | — | (2 | ) | |||||||||||||
2.773% | 3-month USD-LIBOR | 7/13/2035 | 500 | (13 | ) | — | (13 | ) | |||||||||||||
2.589% | 3-month USD-LIBOR | 9/4/2035 | 3,100 | (160 | ) | — | (160 | ) | |||||||||||||
2.377% | 3-month USD-LIBOR | 4/29/2045 | 1,910 | (208 | ) | — | (208 | ) | |||||||||||||
6-month JPY-LIBOR | 0.58295% | 3/23/2046 | ¥ | 2,000,000 | 1,093 | — | 1,093 | ||||||||||||||
0.64355% | 6-month JPY-LIBOR | 4/27/2046 | 2,000,000 | (813 | ) | — | (813 | ) | |||||||||||||
3-month USD-LIBOR | 2.1155% | 5/13/2046 | $ | 2,400 | 393 | — | 393 | ||||||||||||||
3-month USD-LIBOR | 2.78875% | 1/23/2048 | 91,500 | 2,707 | — | 2,707 | |||||||||||||||
3-month USD-LIBOR | 2.816% | 1/23/2048 | 19,600 | 469 | — | 469 | |||||||||||||||
$ | — | $ | (671 | ) |
92 | American Funds Insurance Series |
Bond Fund
Credit default swaps
Centrally cleared credit default swaps on credit indices — buy protection
Receive | Pay/ Payment frequency | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments (000) | Unrealized appreciation at 6/30/2018 (000) | |||||||||||||||
CDX.NA.IG.30 | 1.00%/Quarterly | 6/20/2023 | $50,000 | $(740 | ) | $(899 | ) | $159 |
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Step bond; coupon rate may change at a later date. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $1,486,045,000, which represented 13.99% of the net assets of the fund. |
3 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $55,344,000, which represented .52% of the net assets of the fund. |
4 | Index-linked bond whose principal amount moves with a government price index. |
5 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
6 | Purchased on a TBA basis. |
7 | Coupon rate may change periodically. |
8 | Notional amount is calculated based on the number of contracts and notional contract size. |
9 | Value is calculated based on the notional amount and current market price. |
Key to abbreviations and symbols
BA = Banker’s acceptances
C$ = Canadian dollars
EFFR = Federal Funds Effective Rate
EUR/€ = Euros
EURIBOR = Euro Interbank Offered Rate
G.O. = General Obligation
JPY/¥ = Japanese yen
LIBOR = London Interbank Offered Rate
MXN = Mexican pesos
TBA = To-be-announced
USD/$ = U.S. dollars
See Notes to Financial Statements
American Funds Insurance Series | 93 |
Bonds, notes & other debt instruments 91.91% | Principal amount (000) | Value (000) | ||||||
Euros 12.82% | ||||||||
Belgium (Kingdom of), Series 82, 0.50% 2024 | € | 12,920 | $ | 15,432 | ||||
Belgium (Kingdom of), Series 77, 1.00% 2026 | 6,480 | 7,932 | ||||||
French Republic O.A.T. 2.25% 2024 | 11,680 | 15,457 | ||||||
Germany (Federal Republic of) 2.50% 2046 | 7,370 | 11,824 | ||||||
Germany (Federal Republic of) 1.25% 2048 | 17,050 | 21,083 | ||||||
Germany (Federal Republic of) 0.50%–6.25% 2024–2040 | 12,950 | 17,500 | ||||||
Italy (Republic of) 0.95% 2023 | 14,000 | 15,789 | ||||||
Italy (Republic of) 2.05%–4.75% 2023–2027 | 11,600 | 14,071 | ||||||
Portuguese Republic 2.875% 2025 | 12,350 | 16,061 | ||||||
Portuguese Republic 2.875% 2026 | 2,095 | 2,711 | ||||||
Portuguese Republic 4.125% 2027 | 11,510 | 16,191 | ||||||
Romania 2.75%–3.88% 2025–2038 | 8,265 | 9,589 | ||||||
Spain (Kingdom of) 1.45% 2027 | 19,430 | 23,094 | ||||||
Spain (Kingdom of) 1.50% 2027 | 10,350 | 12,401 | ||||||
Spain (Kingdom of) 2.70%–2.90% 2046–2048 | 7,895 | 9,707 | ||||||
Other securities | 77,863 | |||||||
286,705 | ||||||||
Japanese yen 10.49% | ||||||||
Japan, Series 134, 0.10% 2022 | ¥ | 1,350,000 | 12,310 | |||||
Japan, Series 18, 0.10% 20241 | 3,153,700 | 29,667 | ||||||
Japan, Series 19, 0.10% 20241 | 2,691,050 | 25,461 | ||||||
Japan, Series 346, 0.10% 2027 | 3,125,000 | 28,494 | ||||||
Japan, Series 116, 2.20% 2030 | 1,735,000 | 19,472 | ||||||
Japan, Series 145, 1.70% 2033 | 2,210,000 | 24,147 | ||||||
Japan, Series 57, 0.80% 2047 | 3,756,250 | 34,764 | ||||||
Japan 0.10%–2.30% 2021–20441 | 6,172,565 | 60,336 | ||||||
234,651 | ||||||||
Polish zloty 3.68% | ||||||||
Poland (Republic of), Series 1021, 5.75% 2021 | PLN | 126,530 | 37,839 | |||||
Poland (Republic of), Series 0922, 5.75% 2022 | 34,600 | 10,521 | ||||||
Poland (Republic of) 1.50%–5.25% 2020–2025 | 122,240 | 34,035 | ||||||
82,395 | ||||||||
Mexican pesos 3.16% | ||||||||
United Mexican States, Series M, 6.50% 2021 | MXN | 373,300 | 18,216 | |||||
United Mexican States, Series M, 5.75% 2026 | 654,500 | 29,459 | ||||||
United Mexican States 4.00%–10.00% 2020–20421 | 432,123 | 22,899 | ||||||
70,574 | ||||||||
Indian rupees 2.90% | ||||||||
India (Republic of) 7.80% 2021 | INR | 727,600 | 10,636 | |||||
India (Republic of) 8.83% 2023 | 1,284,200 | 19,456 | ||||||
India (Republic of) 6.79%–8.40% 2023–2030 | 2,203,470 | 30,936 | ||||||
Other securities | 3,804 | |||||||
64,832 | ||||||||
British pounds 2.17% | ||||||||
United Kingdom 1.25% 2027 | £ | 11,725 | 15,372 | |||||
United Kingdom 3.25% 2044 | 6,500 | 11,192 | ||||||
United Kingdom 1.50%–4.25% 2023–2047 | 12,520 | 19,127 | ||||||
Other securities | 2,827 | |||||||
48,518 | ||||||||
Danish kroner 1.94% | ||||||||
Nykredit Realkredit AS, Series 01E, 1.50% 20402 | DKr | 178,600 | 27,868 | |||||
Nykredit Realkredit AS, Series 01E, 2.50% 20472 | 14,724 | 2,410 | ||||||
Other securities | 13,205 | |||||||
43,483 |
94 | American Funds Insurance Series |
Global Bond Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
Malaysian ringgits 1.59% | ||||||||
Malaysia (Federation of) 3.58%–4.50% 2018–2030 | MYR | 145,265 | $ | 35,569 | ||||
South Korean won 1.41% | ||||||||
South Korea (Republic of), Series 2209, 2.00% 2022 | KRW | 13,974,200 | 12,391 | |||||
South Korea (Republic of), Series 2712, 2.375% 2027 | 14,470,000 | 12,802 | ||||||
South Korea (Republic of) 1.88%–2.38% 2022–2023 | 7,040,000 | 6,280 | ||||||
31,473 | ||||||||
Thai baht 1.25% | ||||||||
Thailand (Kingdom of) 2.125% 2026 | THB | 379,250 | 11,052 | |||||
Other securities | 16,996 | |||||||
28,048 | ||||||||
Israeli shekels 0.86% | ||||||||
Israel (State of) 5.50% 2042 | ILS | 29,300 | 11,443 | |||||
Other securities | 7,746 | |||||||
19,189 | ||||||||
Canadian dollars 0.66% | ||||||||
Canada 2.25% 2025 | C$ | 15,450 | 11,838 | |||||
Other securities | 2,954 | |||||||
14,792 | ||||||||
Romanian leu 0.51% | ||||||||
Romania 2.30%–5.95% 2020–2022 | RON | 46,525 | 11,517 | |||||
U.S. dollars 44.73% | ||||||||
Banco Nacional de Comercio Exterior SNC 3.80% 2026 (UST Yield Curve Rate T Note Constant Maturity 5 year + 3.00% on 8/11/2021)3,4 | $ | 880 | 849 | |||||
Fannie Mae 2.18%–4.50% 2022–20482,5 | 38,880 | 39,591 | ||||||
Petróleos Mexicanos 6.35%–6.50% 2027–20484 | 3,602 | 3,584 | ||||||
Poland (Republic of) 3.25%–4.00% 2024–2026 | 5,570 | 5,436 | ||||||
Romania 5.125% 20484 | 6,200 | 5,998 | ||||||
U.S. Treasury 1.125% 20216 | 28,660 | 27,575 | ||||||
U.S. Treasury 2.00% 2021 | 16,500 | 16,177 | ||||||
U.S. Treasury 2.125% 2022 | 41,955 | 40,888 | ||||||
U.S. Treasury 2.375% 2023 | 27,625 | 27,205 | ||||||
U.S. Treasury 2.75% 2023 | 39,400 | 39,423 | ||||||
U.S. Treasury 2.75% 2025 | 12,000 | 11,945 | ||||||
U.S. Treasury 2.00% 2026 | 33,560 | 31,430 | ||||||
U.S. Treasury 2.25% 2027 | 27,700 | 26,307 | ||||||
U.S. Treasury 2.75% 20286 | 57,600 | 57,050 | ||||||
U.S. Treasury 2.875% 2028 | 24,000 | 24,030 | ||||||
U.S. Treasury 2.75% 20476 | 18,900 | 17,995 | ||||||
U.S. Treasury 3.00% 2048 | 10,600 | 10,612 | ||||||
U.S. Treasury 1.88%–3.13% 2020–2048 | 31,700 | 31,179 | ||||||
U.S. Treasury Inflation-Protected Security 0.625% 20241 | 27,083 | 27,056 | ||||||
U.S. Treasury Inflation-Protected Security 0.25% 20251 | 11,740 | 11,422 | ||||||
U.S. Treasury Inflation-Protected Securities 0.13%–2.38% 2024–20461 | 43,860 | 44,328 | ||||||
United Mexican States 3.75% 2028 | 2,000 | 1,893 | ||||||
Other securities | 498,445 | |||||||
1,000,418 | ||||||||
Other 3.74% | ||||||||
Other securities | 83,542 | |||||||
Total bonds, notes & other debt instruments (cost: $2,095,810,000) | 2,055,706 |
American Funds Insurance Series | 95 |
Global Bond Fund
Convertible stocks 0.05% | Shares | Value (000) | ||||||
U.S. dollars 0.05% | ||||||||
Other securities | $ | 1,033 | ||||||
Total convertible stocks (cost: $816,000) | 1,033 | |||||||
Common stocks 0.07% | ||||||||
Swiss francs 0.01% | ||||||||
Other securities | 200 | |||||||
U.S. dollars 0.06% | ||||||||
Other securities | 1,304 | |||||||
Total common stocks (cost: $2,505,000) | 1,504 | |||||||
Rights & warrants 0.00% | ||||||||
U.S. dollars 0.00% | ||||||||
Other securities | 56 | |||||||
Total rights & warrants (cost: $8,000) | 56 |
Short-term securities 9.89% | Principal amount (000) | |||||||
Caisse d’Amortissement de la Dette Sociale 1.99% due 7/9/2018 | $ | 16,100 | 16,092 | |||||
Egyptian Treasury Bills 15.42%–16.35% due 7/10/2018–12/18/2018 | EGP | 209,900 | 11,129 | |||||
Japanese Treasury Discount Bills (0.14)% due 5/20/2019 | ¥ | 11,900,000 | 107,607 | |||||
Nigerian Treasury Bills 11.65%–16.91% due 7/5/2018–12/6/2018 | NGN | 5,525,905 | 14,861 | |||||
Swedbank AB 1.85% due 7/2/2018 | $ | 30,900 | 30,895 | |||||
United Overseas Bank Ltd. 2.00% due 7/10/20184 | 40,600 | 40,576 | ||||||
Total short-term securities (cost: $221,612,000) | 221,160 | |||||||
Total investment securities 101.92% (cost: $2,320,751,000) | 2,279,459 | |||||||
Other assets less liabilities (1.92)% | (42,856 | ) | ||||||
Net assets 100.00% | $ | 2,236,603 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $3,268,000, which represented .15% of the net assets of the fund. “Other securities” also includes loan participations and assignments, which may be subject to legal or contractual restrictions on resale. The total value of all such loans was $5,825,000, which represented .26% of the net assets of the fund. Some securities in “Other securities” (with an aggregate value of $4,153,000, an aggregate cost of $3,632,000, and which represented .19% of the net assets of the fund) were acquired from 8/31/2015 to 8/9/2017 through private placement transactions exempt from registration under the Securities Act of 1933, which may subject them to legal or contractual restrictions on resale.
96 | American Funds Insurance Series |
Global Bond Fund
Futures contracts
Number of | Notional amount | 7 | Value at 6/30/2018 | 8 | Unrealized (depreciation) appreciation at 6/30/2018 | ||||||||||||||
Contracts | Type | contracts | Expiration | (000) | (000) | (000) | |||||||||||||
5 Year Euro-Bobl Futures | Short | 142 | September 2018 | $ | (14,200 | ) | $ | (21,918 | ) | $ | (115 | ) | |||||||
5 Year U.S. Treasury Note Futures | Long | 1,068 | October 2018 | 106,800 | 121,343 | 627 | |||||||||||||
10 Year Ultra U.S. Treasury Note Futures | Long | 93 | September 2018 | 9,300 | 11,926 | 93 | |||||||||||||
10 Year U.S. Treasury Note Futures | Long | 76 | September 2018 | 7,600 | 9,134 | 86 | |||||||||||||
30 Year Ultra U.S. Treasury Bond Futures | Short | 141 | September 2018 | (14,100 | ) | (22,498 | ) | (204 | ) | ||||||||||
$ | 487 |
Forward currency contracts
Contract amount | Unrealized appreciation (depreciation) | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 6/30/2018 (000) | |||||||
USD5,763 | MXN107,300 | JPMorgan Chase | 7/9/2018 | $ | 369 | ||||||
USD3,099 | ZAR39,200 | UBS AG | 7/9/2018 | 245 | |||||||
USD20,347 | JPY2,253,235 | JPMorgan Chase | 7/9/2018 | (18 | ) | ||||||
JPY1,655,674 | USD15,154 | Goldman Sachs | 7/9/2018 | (190 | ) | ||||||
JPY2,444,831 | USD22,377 | Goldman Sachs | 7/9/2018 | (281 | ) | ||||||
USD18,116 | MYR72,000 | JPMorgan Chase | 7/10/2018 | 297 | |||||||
USD7,430 | PLN26,900 | JPMorgan Chase | 7/10/2018 | 248 | |||||||
USD16,626 | EUR14,075 | Citibank | 7/10/2018 | 176 | |||||||
USD5,651 | GBP4,200 | Citibank | 7/10/2018 | 105 | |||||||
USD10,112 | CHF9,930 | JPMorgan Chase | 7/10/2018 | 76 | |||||||
JPY445,496 | USD4,079 | Citibank | 7/10/2018 | (52 | ) | ||||||
CHF9,929 | USD10,112 | JPMorgan Chase | 7/10/2018 | (76 | ) | ||||||
JPY1,483,519 | USD13,545 | Citibank | 7/10/2018 | (136 | ) | ||||||
MYR60,765 | USD15,198 | JPMorgan Chase | 7/10/2018 | (159 | ) | ||||||
EUR14,075 | USD16,685 | Bank of America, N.A. | 7/10/2018 | (236 | ) | ||||||
PLN26,900 | USD7,463 | JPMorgan Chase | 7/10/2018 | (280 | ) | ||||||
USD7,727 | GBP5,900 | Morgan Stanley | 7/11/2018 | (63 | ) | ||||||
USD15,400 | GBP11,737 | JPMorgan Chase | 7/11/2018 | (99 | ) | ||||||
GBP23,523 | USD31,700 | Bank of America, N.A. | 7/11/2018 | (638 | ) | ||||||
USD7,709 | THB244,600 | Bank of America, N.A. | 7/12/2018 | 323 | |||||||
USD13,972 | INR941,650 | JPMorgan Chase | 7/12/2018 | 250 | |||||||
USD1,723 | INR116,000 | JPMorgan Chase | 7/12/2018 | 32 | |||||||
NOK37,200 | USD4,621 | Bank of America, N.A. | 7/12/2018 | (51 | ) | ||||||
GBP6,389 | USD8,564 | Citibank | 7/12/2018 | (127 | ) | ||||||
USD4,890 | BRL17,500 | Citibank | 7/13/2018 | 382 | |||||||
USD9,306 | ILS33,250 | Bank of America, N.A. | 7/16/2018 | 206 | |||||||
EUR4,605 | USD5,442 | Bank of America, N.A. | 7/16/2018 | (58 | ) | ||||||
EUR17,250 | USD20,667 | UBS AG | 7/16/2018 | (496 | ) | ||||||
JPY1,010,000 | USD9,169 | JPMorgan Chase | 7/17/2018 | (35 | ) | ||||||
JPY392,473 | USD3,563 | Citibank | 7/18/2018 | (14 | ) | ||||||
NOK31,115 | DKK24,600 | Citibank | 7/18/2018 | (38 | ) | ||||||
USD15,595 | KRW16,837,700 | Bank of America, N.A. | 7/19/2018 | 480 | |||||||
USD5,759 | COP16,479,481 | JPMorgan Chase | 7/19/2018 | 142 | |||||||
USD13,575 | INR923,000 | Citibank | 7/19/2018 | 135 | |||||||
USD8,450 | COP24,598,000 | Bank of America, N.A. | 7/19/2018 | 66 | |||||||
EUR5,423 | USD6,310 | Goldman Sachs | 7/19/2018 | 33 | |||||||
USD7,565 | MXN158,000 | Bank of America, N.A. | 7/19/2018 | (365 | ) | ||||||
USD7,616 | MYR30,500 | JPMorgan Chase | 7/20/2018 | 69 | |||||||
EUR10,653 | GBP9,396 | Citibank | 7/20/2018 | 46 | |||||||
USD2,407 | INR163,000 | Goldman Sachs | 7/20/2018 | 34 | |||||||
JPY615,168 | EUR4,800 | JPMorgan Chase | 7/20/2018 | (50 | ) |
American Funds Insurance Series | 97 |
Global Bond Fund
Forward currency contracts (continued)
Contract amount | Unrealized appreciation (depreciation) | ||||||||||
Purchases (000) | Sales (000) | Counterparty | Settlement date | at 6/30/2018 (000) | |||||||
GBP9,342 | EUR10,652 | JPMorgan Chase | 7/20/2018 | $ | (119 | ) | |||||
USD30,622 | PLN114,400 | Bank of America, N.A. | 7/23/2018 | 70 | |||||||
USD7,540 | PLN28,100 | Bank of America, N.A. | 7/23/2018 | 36 | |||||||
JPY1,310,000 | USD11,918 | Citibank | 7/23/2018 | (67 | ) | ||||||
USD9,131 | INR627,000 | Bank of America, N.A. | 7/24/2018 | 7 | |||||||
USD8,828 | ILS31,900 | Bank of America, N.A. | 7/25/2018 | 92 | |||||||
EUR10,459 | USD12,171 | JPMorgan Chase | 7/25/2018 | 68 | |||||||
USD23,290 | JPY2,576,365 | JPMorgan Chase | 7/25/2018 | (21 | ) | ||||||
JPY727,337 | USD6,624 | Bank of America, N.A. | 7/25/2018 | (43 | ) | ||||||
JPY2,576,365 | USD23,464 | Bank of America, N.A. | 7/25/2018 | (153 | ) | ||||||
USD13,460 | CAD17,900 | JPMorgan Chase | 7/25/2018 | (163 | ) | ||||||
EUR9,784 | PLN42,600 | Goldman Sachs | 7/27/2018 | 72 | |||||||
JPY878,869 | USD8,048 | Morgan Stanley | 7/27/2018 | (94 | ) | ||||||
EUR24,418 | USD28,398 | Goldman Sachs | 7/31/2018 | 186 | |||||||
EUR3,395 | USD3,948 | Goldman Sachs | 7/31/2018 | 26 | |||||||
USD6,091 | THB201,000 | JPMorgan Chase | 7/31/2018 | 19 | |||||||
USD9,614 | AUD13,010 | Morgan Stanley | 7/31/2018 | (15 | ) | ||||||
JPY646,098 | USD5,865 | Bank of New York Mellon | 7/31/2018 | (16 | ) | ||||||
USD8,655 | EUR7,410 | JPMorgan Chase | 7/31/2018 | (19 | ) | ||||||
JPY2,218,752 | USD20,140 | Bank of New York Mellon | 7/31/2018 | (55 | ) | ||||||
JPY3,592,753 | USD32,612 | Bank of New York Mellon | 7/31/2018 | (90 | ) | ||||||
USD7,567 | INR504,900 | Citibank | 9/24/2018 | 275 | |||||||
USD5,348 | BRL18,000 | Citibank | 11/29/2018 | 771 | |||||||
USD2,192 | BRL7,400 | Citibank | 11/29/2018 | 310 | |||||||
USD5,778 | BRL19,300 | Citibank | 3/11/2019 | 916 | |||||||
BRL19,300 | USD5,077 | JPMorgan Chase | 3/11/2019 | (216 | ) | ||||||
USD16,793 | BRL56,500 | JPMorgan Chase | 3/15/2019 | 2,570 | |||||||
USD1,143 | EUR900 | JPMorgan Chase | 3/15/2019 | 69 | |||||||
BRL27,600 | USD7,227 | JPMorgan Chase | 3/15/2019 | (279 | ) | ||||||
USD947 | EUR745 | Goldman Sachs | 4/12/2019 | 56 | |||||||
USD110,652 | JPY11,900,000 | Citibank | 5/20/2019 | 376 | |||||||
$ | 4,821 |
Swap contracts
Interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) | |||||||||||||||
1.8935% | U.S. EFFR | 9/26/2018 | $ | 335,900 | $ | (22 | ) | $ | — | $ | (22 | ) | |||||||||
1.6505% | 3-month USD-LIBOR | 3/21/2019 | 85,000 | (526 | ) | — | (526 | ) | |||||||||||||
1.4898% | 6-month EURIBOR | 11/24/2047 | € | 2,150 | 22 | — | 22 | ||||||||||||||
1.5768% | 6-month EURIBOR | 3/6/2048 | 5,000 | 179 | — | 179 | |||||||||||||||
1.4658% | 6-month EURIBOR | 4/20/2048 | 3,000 | 10 | — | 10 | |||||||||||||||
$ | — | $ | (337 | ) |
98 | American Funds Insurance Series |
Global Bond Fund
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Index-linked bond whose principal amount moves with a government price index. |
2 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
3 | Step bond; coupon rate may change at a later date. |
4 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $215,969,000, which represented 9.66% of the net assets of the fund. |
5 | Purchased on a TBA basis. |
6 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $2,553,000, which represented .11% of the net assets of the fund. |
7 | Notional amount is calculated based on the number of contracts and notional contract size. |
8 | Value is calculated based on the notional amount and current market price. |
Key to abbreviations and symbols
AUD/A$ = Australian dollars
BRL = Brazilian reais
CAD/C$ = Canadian dollars
CHF = Swiss francs
COP = Colombian pesos
DKK/DKr = Danish kroner
EFFR = Effective Federal Funds Rate
EUR/€ = Euros
EURIBOR = Euro Interbank Offered Rate
GBP/£ = British pounds
ILS = Israeli shekels
INR = Indian rupees
JPY/¥ = Japanese yen
KRW = South Korean won
LIBOR = London Interbank Offered Rate
MXN = Mexican pesos
MYR = Malaysian ringgits
NOK = Norwegian kroner
PLN = Polish zloty
RON = Romanian leu
TBA = To-be-announced
THB = Thai baht
USD/$ = U.S. dollars
ZAR = South African rand
See Notes to Financial Statements
American Funds Insurance Series | 99 |
High-Income Bond Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Bonds, notes & other debt instruments 95.20% | Principal amount (000) | Value (000) | ||||||
Corporate bonds & notes 94.70% | ||||||||
Energy 18.98% | ||||||||
Blackstone CQP Holdco LP 6.00% 20211,2 | $ | 1,600 | $ | 1,604 | ||||
Blackstone CQP Holdco LP 6.50% 20211,2 | 21,230 | 21,336 | ||||||
Cheniere Energy Partners, LP 5.25% 20251 | 2,200 | 2,151 | ||||||
Chesapeake Energy Corp. 8.00% 2025 | 6,100 | 6,228 | ||||||
Chesapeake Energy Corp. 4.88%–8.00% 2019–20271,3 | 12,508 | 12,566 | ||||||
CONSOL Energy Inc. 5.875% 2022 | 12,824 | 12,923 | ||||||
NGL Energy Partners LP 6.875% 2021 | 7,010 | 7,124 | ||||||
Southwestern Energy Co. 4.10% 2022 | 7,430 | 7,133 | ||||||
Teekay Corp. 8.50% 2020 | 12,018 | 12,439 | ||||||
Weatherford International PLC 6.75% 2040 | 7,755 | 6,185 | ||||||
Weatherford International PLC 4.50%–9.88% 2021–20361 | 13,820 | 12,518 | ||||||
Other securities | 162,603 | |||||||
264,810 | ||||||||
Health care 14.05% | ||||||||
Centene Corp. 4.75% 2022 | 6,515 | 6,588 | ||||||
Centene Corp. 4.75%–6.13% 2024–20261 | 11,315 | 11,507 | ||||||
Kinetic Concepts, Inc. 12.50% 20211 | 6,463 | 7,174 | ||||||
Molina Healthcare, Inc. 5.375% 2022 | 10,910 | 11,033 | ||||||
Molina Healthcare, Inc. 4.875% 20251 | 4,294 | 4,187 | ||||||
Rotech Healthcare Inc., Term Loan, (3-month USD-LIBOR + 11.00%) 13.325% 20233,4,5,6,7,8 | 6,914 | 6,311 | ||||||
Tenet Healthcare Corp. 6.00% 2020 | 6,565 | 6,770 | ||||||
Tenet Healthcare Corp. 4.38%–8.13% 2020–20241 | 18,652 | 18,581 | ||||||
Valeant Pharmaceuticals International, Inc. 5.875% 20231 | 7,585 | 7,154 | ||||||
Valeant Pharmaceuticals International, Inc. 6.125% 20251 | 12,705 | 11,752 | ||||||
Valeant Pharmaceuticals International, Inc. 9.25% 20261 | 6,985 | 7,273 | ||||||
Valeant Pharmaceuticals International, Inc. 5.63%–9.00% 2021–20271 | 10,580 | 10,842 | ||||||
Valeant Pharmaceuticals International, Inc., Term Loan B, (3-month USD-LIBOR + 3.00%) 4.982% 20253,4,5 | 1,675 | 1,672 | ||||||
Other securities | 85,213 | |||||||
196,057 | ||||||||
Consumer discretionary 12.90% | ||||||||
CCO Holdings LLC and CCO Holdings Capital Corp. 5.75% 20261 | 8,450 | 8,323 | ||||||
CCO Holdings LLC and CCO Holdings Capital Corp. 4.00%–5.88% 2023–20281 | 17,150 | 16,323 | ||||||
Clear Channel Worldwide Holdings, Inc. 7.625% 2020 | 12,700 | 12,672 | ||||||
Meredith Corp. 6.875% 20261 | 7,140 | 7,060 | ||||||
Petsmart, Inc. 5.875% 20251 | 15,140 | 11,696 | ||||||
Petsmart, Inc. 7.13%–8.88% 2023–20251 | 9,200 | 6,133 | ||||||
Wynn Las Vegas, LLC and Wynn Capital Corp. 5.50% 20251 | 7,275 | 7,166 | ||||||
Other securities | 110,623 | |||||||
179,996 | ||||||||
Materials 11.45% | ||||||||
Cleveland-Cliffs Inc. 4.875% 20241 | 3,825 | 3,701 | ||||||
Cleveland-Cliffs Inc. 5.75% 2025 | 15,000 | 14,269 | ||||||
First Quantum Minerals Ltd. 7.50% 20251 | 12,300 | 12,185 | ||||||
First Quantum Minerals Ltd. 6.50%–7.25% 2021–20261 | 16,195 | 16,048 | ||||||
Freeport-McMoRan Inc. 3.55% 2022 | 7,415 | 7,063 | ||||||
Platform Specialty Products Corp. 5.875% 20251 | 6,535 | 6,396 | ||||||
Ryerson Inc. 11.00% 20221 | 6,336 | 6,985 | ||||||
Other securities | 93,138 | |||||||
159,785 | ||||||||
Industrials 9.08% | ||||||||
Allison Transmission Holdings, Inc. 5.00% 20241 | 6,265 | 6,179 | ||||||
Associated Materials, LLC 9.00% 20241 | 7,000 | 7,367 | ||||||
Brand Energy 8.50% 20251 | 6,305 | 6,407 | ||||||
Corporate Risk Holdings LLC 9.50% 20191 | 12,782 | 13,373 |
100 | American Funds Insurance Series |
High-Income Bond Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
Corporate Risk Holdings LLC 13.50% 2020 (100% PIK)1,6,7,8 | $ | 1,187 | $ | 1,270 | ||||
DAE Aviation Holdings, Inc. 10.00% 20231 | 7,965 | 8,632 | ||||||
Other securities | 83,475 | |||||||
126,703 | ||||||||
Telecommunication services 8.97% | ||||||||
Frontier Communications Corp. 10.50% 2022 | 7,440 | 6,789 | ||||||
Frontier Communications Corp. 11.00% 2025 | 14,225 | 11,447 | ||||||
Frontier Communications Corp. 8.50%–9.25% 2021–20261 | 5,500 | 5,338 | ||||||
Intelsat Jackson Holding Co. 7.25% 2020 | 5,775 | 5,775 | ||||||
Intelsat Jackson Holding Co. 7.50% 2021 | 11,910 | 11,880 | ||||||
Intelsat Jackson Holding Co. 5.50%–8.00% 2023–20241 | 7,725 | 7,375 | ||||||
Ligado Networks, Term Loan, (3-month USD-LIBOR + 8.75%) 10.78% 2020 (100% PIK)3,4,5,6 | 8,749 | 7,269 | ||||||
Sprint Corp. 11.50% 2021 | 5,880 | 6,968 | ||||||
Sprint Corp. 6.88%–8.75% 2021–2032 | 12,970 | 13,140 | ||||||
Ziggo Bond Finance BV 5.50% 20271 | 6,950 | 6,509 | ||||||
Other securities | 42,589 | |||||||
125,079 | ||||||||
Information technology 7.41% | ||||||||
Almonde Inc., Term Loan, (3-month USD-LIBOR + 7.25%) 9.557% 20253,4,5 | 6,750 | 6,524 | ||||||
Camelot Finance SA 7.875% 20241 | 7,530 | 7,568 | ||||||
Gogo Inc. 12.50% 20221 | 12,850 | 13,749 | ||||||
Infor Software 7.125% 20211,6 | 7,960 | 8,010 | ||||||
Kronos Inc., Term Loan B, (3-month USD-LIBOR + 8.25%) 10.608% 20243,4,5 | 7,870 | 8,155 | ||||||
Unisys Corp. 10.75% 20221 | 6,400 | 7,200 | ||||||
Other securities | 52,179 | |||||||
103,385 | ||||||||
Financials 3.92% | ||||||||
Other securities | 54,662 | |||||||
Utilities 2.93% | ||||||||
Other securities | 40,819 | |||||||
Consumer staples 2.75% | ||||||||
B&G Foods, Inc. 5.25% 2025 | 7,158 | 6,764 | ||||||
Other securities | 31,563 | |||||||
38,327 | ||||||||
Real estate 2.26% | ||||||||
Iron Mountain Inc. 5.75% 2024 | 7,650 | 7,554 | ||||||
Other securities | 23,988 | |||||||
31,542 | ||||||||
Total corporate bonds & notes | 1,321,165 | |||||||
Other bonds & notes 0.50% | ||||||||
Other securities | 6,917 | |||||||
Total bonds, notes & other debt instruments (cost: $1,345,692,000) | 1,328,082 | |||||||
Convertible bonds 0.55% | ||||||||
Energy 0.10% | ||||||||
Chesapeake Energy Corp., convertible notes, 5.50% 20261 | 600 | 611 | ||||||
Other securities | 715 | |||||||
1,326 |
American Funds Insurance Series | 101 |
High-Income Bond Fund
Convertible bonds (continued) | Principal amount (000) | Value (000) | ||||||
Telecommunication services 0.05% | ||||||||
Intelsat SA, convertible notes, 4.50% 20251 | $ | 550 | $ | 676 | ||||
Other 0.17% | ||||||||
Other securities | 2,422 | |||||||
Miscellaneous 0.23% | ||||||||
Other convertible bonds in initial period of acquisition | 3,203 | |||||||
Total convertible bonds (cost: $7,329,000) | 7,627 | |||||||
Convertible stocks 0.56% | Shares | |||||||
Industrials 0.42% | ||||||||
Associated Materials, LLC, 14.00% convertible preferred 20207,8 | 4,850 | 5,892 | ||||||
Health care 0.06% | ||||||||
Other securities | 818 | |||||||
Telecommunication services 0.01% | ||||||||
Frontier Communications Corp., Series A, 11.125% convertible preferred 2018 | 10,000 | 99 | ||||||
Miscellaneous 0.07% | ||||||||
Other convertible stocks in initial period of acquisition | 974 | |||||||
Total convertible stocks (cost: $7,154,000) | 7,783 | |||||||
Common stocks 1.09% | ||||||||
Information technology 0.48% | ||||||||
Corporate Risk Holdings I, Inc.2,7,8,9 | 218,504 | 6,693 | ||||||
Other securities | — | |||||||
6,693 | ||||||||
Other 0.55% | ||||||||
Other securities | 7,645 | |||||||
Miscellaneous 0.06% | ||||||||
Other common stocks in initial period of acquisition | 896 | |||||||
Total common stocks (cost: $21,440,000) | 15,234 | |||||||
Rights & warrants 0.03% | ||||||||
Energy 0.03% | ||||||||
Other securities | 354 | |||||||
Total rights & warrants (cost: $51,000) | 354 |
102 | American Funds Insurance Series |
High-Income Bond Fund
Short-term securities 3.17% | Principal amount (000) | Value (000) | ||||||
Federal Home Loan Bank 1.84% due 7/20/2018 | $ | 10,000 | $ | 9,991 | ||||
Honeywell International Inc. 1.95% due 7/25/20181 | 6,400 | 6,391 | ||||||
Société Générale 1.79% due 7/2/20181 | 27,900 | 27,896 | ||||||
Total short-term securities (cost: $44,281,000) | 44,278 | |||||||
Total investment securities 100.60% (cost: $1,425,947,000) | 1,403,358 | |||||||
Other assets less liabilities (0.60)% | (8,340 | ) | ||||||
Net assets 100.00% | $ | 1,395,018 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
As permitted by U.S. Securities and Exchange Commission regulations, “Miscellaneous” securities include holdings in their first year of acquisition that have not previously been publicly disclosed.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” also includes a security which was pledged as collateral. The total value of pledged collateral was $4,276,000, which represented less than .01% of the net assets of the fund.
Futures contracts
Number of | Notional amount | 10 | Value at 6/30/2018 | 11 | Unrealized depreciation at 6/30/2018 | |||||||||||||
Contracts | Type | contracts | Expiration | (000) | (000) | (000) | ||||||||||||
10 Year U.S. Treasury Note Futures | Short | 159 | September 2018 | $(15,900 | ) | $(19,110 | ) | $(75 | ) |
Swap contracts | ||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized appreciation (depreciation) at 6/30/2018 (000) | ||||||||||||||
3-month USD-LIBOR | 2.772% | 2/28/2025 | $ | 14,500 | $ | 105 | $ | — | $ | 105 | ||||||||||
3-month USD-LIBOR | 2.0745% | 11/21/2026 | 18,600 | 1,165 | — | 1,165 | ||||||||||||||
3-month USD-LIBOR | 2.2825% | 4/13/2027 | 10,700 | 527 | — | 527 | ||||||||||||||
2.2865% | 3-month USD-LIBOR | 10/2/2027 | 10,100 | (523 | ) | — | (523 | ) | ||||||||||||
3-month USD-LIBOR | 2.6475% | 1/25/2028 | 5,000 | 115 | — | 115 | ||||||||||||||
$ | — | $ | 1,389 |
Credit default swaps
Centrally cleared credit default swaps on credit indices — buy protection
Receive | Pay/ Payment frequency | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments (000) | Unrealized appreciation at 6/30/2018 (000) | ||||||||||||||
CDX.NA.HY.29 | 5.00%/Quarterly | 12/20/2022 | $ | 62,650 | $ | (3,846 | ) | $ | (4,557 | ) | $ | 711 | ||||||||
CDX.NA.HY.30 | 5.00%/Quarterly | 6/20/2023 | 22,110 | (1,270 | ) | (1,660 | ) | 390 | ||||||||||||
$ | (6,217 | ) | $ | 1,101 |
American Funds Insurance Series | 103 |
High-Income Bond Fund
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $778,268,000, which represented 55.79% of the net assets of the fund. |
2 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on these holdings appear below. |
3 | Coupon rate may change periodically. |
4 | Loan participations and assignments; may be subject to legal or contractual restrictions on resale. The total value of all such loans, including those in “Other securities,” was $98,836,000, which represented 7.08% of the net assets of the fund. |
5 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
6 | Payment in kind; the issuer has the option of paying additional securities in lieu of cash. Most recent payment was 100% cash unless otherwise noted. |
7 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Other securities,” was $32,911,000, which represented 2.36% of the net assets of the fund. |
8 | Value determined using significant unobservable inputs. |
9 | Security did not produce income during the last 12 months. |
10 | Notional amount is calculated based on the number of contracts and notional contract size. |
11 | Value is calculated based on the notional amount and current market price. |
Private placement securities | Acquisition date(s) | Cost (000) | Value (000) | Percent of net assets | ||||||||||
Blackstone CQP Holdco LP, 6.50% 2021 | 3/6/2017–2/5/2018 | $ | 21,235 | $ | 21,336 | 1.53 | % | |||||||
Blackstone CQP Holdco LP, 6.00% 2021 | 8/9/2017 | 1,600 | 1,604 | .11 | ||||||||||
Corporate Risk Holdings I, Inc. | 8/31/2015 | 2,428 | 6,693 | .48 | ||||||||||
Corporate Risk Holdings Corp. | 8/31/2015 | — | — | .00 | ||||||||||
Other securities | 12/13/2012–11/15/2016 | 4,633 | 1,475 | .11 | ||||||||||
Total private placement securities | $ | 29,896 | $ | 31,108 | 2.23 | % |
Key to abbreviations and symbol
LIBOR = London Interbank Offered Rate
USD/$ = U.S. dollars
See Notes to Financial Statements
104 | American Funds Insurance Series |
Mortgage Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Bonds, notes & other debt instruments 95.27% | Principal amount (000) | Value (000) | ||||||
Mortgage-backed obligations 72.60% | ||||||||
Federal agency mortgage-backed obligations 70.16% | ||||||||
Fannie Mae 4.00% 20471 | $ | 7,529 | $ | 7,694 | ||||
Fannie Mae 4.00% 20471 | 4,797 | 4,897 | ||||||
Fannie Mae 4.00% 20481,2 | 10,113 | 10,296 | ||||||
Fannie Mae 4.00% 20481,2 | 4,296 | 4,380 | ||||||
Fannie Mae 4.00% 20481,2 | 2,841 | 2,890 | ||||||
Fannie Mae 4.50% 20481 | 14,986 | 15,643 | ||||||
Fannie Mae 4.50% 20481 | 7,966 | 8,348 | ||||||
Fannie Mae 4.50% 20481 | 4,973 | 5,210 | ||||||
Fannie Mae 4.00%–5.00% 2036–20481 | 2,963 | 3,088 | ||||||
Freddie Mac 4.00% 20361 | 5,574 | 5,746 | ||||||
Freddie Mac 4.00% 20481,2 | 12,500 | 12,719 | ||||||
Freddie Mac 4.00% 20481,2 | 6,354 | 6,474 | ||||||
Freddie Mac 4.50% 20481,2 | 16,418 | 17,058 | ||||||
Freddie Mac 4.50% 20481,2 | 4,282 | 4,456 | ||||||
Freddie Mac 2.60%–5.00% 2020–20361 | 5,336 | 5,456 | ||||||
Freddie Mac Pool #760014 2.978% 20451,3 | 2,555 | 2,556 | ||||||
Freddie Mac, Series K031, Class A2, Multi Family, 3.30% 20461 | 4,722 | 4,770 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT, 2.50% 20571,3 | 12,818 | 12,496 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 20571 | 11,539 | 11,334 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT, 3.50% 20571 | 7,866 | 7,733 | ||||||
Government National Mortgage Assn. 5.50% 20401 | 2,037 | 2,222 | ||||||
Government National Mortgage Assn. 4.00% 20481,2 | 5,190 | 5,319 | ||||||
Government National Mortgage Assn. 4.00% 20481,2 | 4,010 | 4,103 | ||||||
Government National Mortgage Assn. 4.50% 20481,2 | 33,082 | 34,391 | ||||||
Government National Mortgage Assn. 4.50% 20481,2 | 4,868 | 5,052 | ||||||
Government National Mortgage Assn. 3.50%–6.50% 2034–20661 | 23,415 | 23,928 | ||||||
Vendee Mortgage Trust, Series 2011-2, Class V, 3.75% 20281 | 4,357 | 4,302 | ||||||
Vendee Mortgage Trust, Series 2010-1, Class DA, 4.25% 20351 | 558 | 566 | ||||||
Other securities | 4,653 | |||||||
237,780 | ||||||||
Collateralized mortgage-backed (privately originated) 2.41% | ||||||||
Other securities | 8,177 | |||||||
Commercial mortgage-backed securities 0.03% | ||||||||
Other securities | 84 | |||||||
Total mortgage-backed obligations | 246,041 | |||||||
U.S. Treasury bonds & notes 10.08% | ||||||||
U.S. Treasury 6.97% | ||||||||
U.S. Treasury 1.875% 20224 | 7,800 | 7,538 | ||||||
U.S. Treasury 2.00% 2022 | 3,300 | 3,203 | ||||||
U.S. Treasury 2.75% 2023 | 3,500 | 3,503 | ||||||
U.S. Treasury 2.50% 2024 | 2,500 | 2,460 | ||||||
U.S. Treasury 3.00% 20484 | 5,000 | 5,006 | ||||||
U.S. Treasury 1.50%–2.75% 2020–2023 | 1,968 | 1,930 | ||||||
23,640 | ||||||||
U.S. Treasury inflation-protected securities 3.11% | ||||||||
U.S. Treasury Inflation-Protected Security 0.50% 20285 | 4,093 | 3,401 | ||||||
U.S. Treasury Inflation-Protected Security 2.125% 20415 | 126 | 159 | ||||||
U.S. Treasury Inflation-Protected Security 0.75% 20424,5 | 7,134 | 6,966 | ||||||
10,526 | ||||||||
Total U.S. Treasury bonds & notes | 34,166 |
American Funds Insurance Series | 105 |
Mortgage Fund
Bonds, notes & other debt instruments (continued) | Principal amount (000) | Value (000) | ||||||
Asset-backed obligations 6.29% | ||||||||
Exeter Automobile Receivables Trust, Series 2018-2A, Class A, 2.79% 20211,6 | $ | 2,413 | $ | 2,412 | ||||
SLM Private Credit Student Loan Trust, Series 2010-1, Class A, (1-month USD-LIBOR + 0.40%) 2.491% 20251,3 | 2,851 | 2,813 | ||||||
Other securities | 16,099 | |||||||
21,324 | ||||||||
Federal agency bonds & notes 6.26% | ||||||||
Fannie Mae 1.88%–2.00% 2022 | 8,800 | 8,565 | ||||||
Federal Home Loan Bank 1.38%–1.88% 2021 | 13,000 | 12,638 | ||||||
21,203 | ||||||||
Corporate bonds & notes 0.04% | ||||||||
Financials 0.04% | ||||||||
Other securities | 134 | |||||||
Total bonds, notes & other debt instruments (cost: $324,480,000) | 322,868 | |||||||
Short-term securities 36.05% | ||||||||
Chariot Funding, LLC 2.05% due 8/3/20186 | 9,000 | 8,982 | ||||||
Chevron Corp. 1.92% due 7/23/20186 | 8,300 | 8,289 | ||||||
Coca-Cola Co. 2.04% due 8/13/20186 | 7,900 | 7,880 | ||||||
ExxonMobil Corp. 1.97% due 8/8/2018 | 10,000 | 9,978 | ||||||
Federal Farm Credit Banks 1.82%–2.06% due 7/16/2018–11/27/2018 | 23,000 | 22,882 | ||||||
Federal Home Loan Bank 1.90% due 8/22/2018 | 6,000 | 5,985 | ||||||
Freddie Mac 1.78% due 7/18/2018 | 5,000 | 4,996 | ||||||
Honeywell International Inc. 1.88% due 7/11/20186 | 10,000 | 9,994 | ||||||
Intel Corp. 2.00% due 9/6/20186 | 9,000 | 8,965 | ||||||
John Deere Bank SA 2.00% due 8/1/20186 | 6,400 | 6,388 | ||||||
Paccar Financial Corp. 1.96% due 7/23/2018 | 9,000 | 8,988 | ||||||
PepsiCo Inc. 1.84% due 8/7/20186 | 10,000 | 9,978 | ||||||
Société Générale 1.79% due 7/2/20186 | 6,900 | 6,899 | ||||||
Other securities | 1,991 | |||||||
Total short-term securities (cost: $122,206,000) | 122,195 | |||||||
Total investment securities 131.32% (cost: $446,686,000) | 445,063 | |||||||
Other assets less liabilities (31.32)% | (106,155 | ) | ||||||
Net assets 100.00% | $ | 338,908 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio. “Other securities” includes securities which were valued under fair value procedures adopted by authority of the board of trustees. The total value of securities which were valued under fair value procedures was $1,765,000, which represented .52% of the net assets of the fund.
106 | American Funds Insurance Series |
Mortgage Fund
Futures contracts | ||||||||||||||||||
Contracts | Type | Number of contracts | Expiration | Notional amount (000) | 7 �� | Value at 6/30/2018 (000) | 8
| Unrealized appreciation at 6/30/2018 (000) | ||||||||||
5 Year U.S. Treasury Note Futures | Long | 1,134 | October 2018 | $ | 113,400 | $ | 128,842 | $ | 667 | |||||||||
10 Year Ultra U.S. Treasury Note Futures | Long | 107 | September 2018 | 10,700 | 13,721 | 111 | ||||||||||||
20 Year U.S. Treasury Bond Futures | Long | 48 | September 2018 | 4,800 | 6,960 | 18 | ||||||||||||
30 Year Ultra U.S. Treasury Bond Futures | Long | 5 | September 2018 | 500 | 798 | 2 | ||||||||||||
$ | 798 |
Swap contracts
Interest rate swaps
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) | ||||||||||||||
1.8935% | U.S. EFFR | 9/26/2018 | $ | 71,000 | $ | (5 | ) | $ | — | $ | (5 | ) | ||||||||
1.865% | U.S. EFFR | 9/26/2018 | 65,100 | (7 | ) | — | (7 | ) | ||||||||||||
2.088% | U.S. EFFR | 2/6/2020 | 21,000 | (72 | ) | — | (72 | ) | ||||||||||||
2.0115% | U.S. EFFR | 2/8/2020 | 25,000 | (119 | ) | — | (119 | ) | ||||||||||||
3-month USD-LIBOR | 1.217% | 9/22/2021 | 11,500 | 587 | — | 587 | ||||||||||||||
3-month USD-LIBOR | 1.225% | 9/22/2021 | 11,500 | 585 | — | 585 | ||||||||||||||
3-month USD-LIBOR | 1.2796% | 10/11/2021 | 14,500 | 725 | — | 725 | ||||||||||||||
2.0135% | 3-month USD-LIBOR | 10/20/2021 | 30,000 | (815 | ) | — | (815 | ) | ||||||||||||
2.012% | 3-month USD-LIBOR | 10/4/2022 | 9,000 | (313 | ) | — | (313 | ) | ||||||||||||
2.00% | 3-month USD-LIBOR | 10/5/2022 | 41,500 | (1,464 | ) | — | (1,464 | ) | ||||||||||||
2.1045% | 3-month USD-LIBOR | 10/31/2022 | 4,000 | (126 | ) | — | (126 | ) | ||||||||||||
3-month USD-LIBOR | 2.2835% | 1/5/2023 | 36,000 | 911 | — | 911 | ||||||||||||||
3-month USD-LIBOR | 2.24% | 12/5/2026 | 10,500 | 529 | — | 529 | ||||||||||||||
3-month USD-LIBOR | 2.27% | 12/5/2026 | 8,500 | 409 | — | 409 | ||||||||||||||
3-month USD-LIBOR | 3.206% | 7/31/2044 | 1,000 | (50 | ) | — | (50 | ) | ||||||||||||
3-month USD-LIBOR | 3.238% | 8/8/2044 | 2,000 | (112 | ) | — | (112 | ) | ||||||||||||
3-month USD-LIBOR | 3.2265% | 9/25/2044 | 3,000 | (163 | ) | — | (163 | ) | ||||||||||||
U.S. EFFR | 2.145% | 11/9/2047 | 2,200 | 145 | — | 145 | ||||||||||||||
U.S. EFFR | 2.153% | 11/10/2047 | 2,200 | 141 | — | 141 | ||||||||||||||
U.S. EFFR | 2.155% | 11/10/2047 | 1,280 | 82 | — | 82 | ||||||||||||||
U.S. EFFR | 2.17% | 11/13/2047 | 2,320 | 141 | — | 141 | ||||||||||||||
U.S. EFFR | 2.5635% | 2/12/2048 | 4,528 | (97 | ) | — | (97 | ) | ||||||||||||
2.98% | 3-month USD-LIBOR | 3/15/2048 | 300 | 3 | — | 3 | ||||||||||||||
2.9625% | 3-month USD-LIBOR | 3/15/2048 | 300 | 2 | — | 2 | ||||||||||||||
U.S. EFFR | 2.4615% | 3/15/2048 | 300 | — | 9 | — | — | 9 | ||||||||||||
U.S. EFFR | 2.485% | 3/15/2048 | 300 | (1 | ) | — | (1 | ) | ||||||||||||
U.S. EFFR | 2.425% | 3/16/2048 | 600 | 5 | — | 5 | ||||||||||||||
2.917% | 3-month USD-LIBOR | 3/16/2048 | 600 | (2 | ) | — | (2 | ) | ||||||||||||
$ | — | $ | 919 |
American Funds Insurance Series | 107 |
Mortgage Fund
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
2 | Purchased on a TBA basis. |
3 | Coupon rate may change periodically. |
4 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $5,550,000, which represented 1.64% of the net assets of the fund. |
5 | Index-linked bond whose principal amount moves with a government price index. |
6 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities, including those in “Other securities,” was $90,987,000, which represented 26.85% of the net assets of the fund. |
7 | Notional amount is calculated based on the number of contracts and notional contract size. |
8 | Value is calculated based on the notional amount and current market price. |
9 | Amount less than one thousand. |
Key to abbreviations and symbol
EFFR = Effective Federal Funds Rate
LIBOR = London Interbank Offered Rate
TBA = To-be-announced
USD/$ = U.S. dollars
See Notes to Financial Statements
108 | American Funds Insurance Series |
Ultra-Short Bond Fund | |
Investment portfolio June 30, 2018 | unaudited |
Short-term securities 99.94% | Principal amount (000) | Value (000) | ||||||
Commercial paper 84.63% | ||||||||
American Honda Finance Corp. 2.15% due 7/24/2018 | $ | 8,650 | $ | 8,638 | ||||
Caisse d’Amortissement de la Dette Sociale 1.99% due 7/9/2018 | 10,000 | 9,995 | ||||||
Chevron Corp. 2.06% due 9/12/20181 | 10,000 | 9,957 | ||||||
Emerson Electric Co. 1.92% due 7/10/20181 | 7,990 | 7,985 | ||||||
Essilor International 1.98% due 7/16/20181 | 10,000 | 9,991 | ||||||
Fairway Finance Corp. 2.00% due 7/16/20181 | 6,500 | 6,494 | ||||||
General Dynamics Corp. 2.03% due 7/17/20181 | 10,000 | 9,990 | ||||||
Hydro-Québec 2.02% due 8/2/20181 | 10,000 | 9,981 | ||||||
John Deere Canada ULC 1.97% due 7/17/20181 | 9,100 | 9,091 | ||||||
KfW 2.12% due 9/24/20181 | 10,000 | 9,950 | ||||||
Kimberly-Clark Corp. 1.95% due 7/11/20181 | 8,000 | 7,995 | ||||||
Mitsubishi UFJ Trust and Banking Corp. 2.05% due 7/6/20181 | 9,300 | 9,297 | ||||||
Mizuho Bank, Ltd. 2.04% due 8/13/20181 | 10,000 | 9,974 | ||||||
National Australia Bank Ltd. 1.95% due 7/2/20181 | 11,000 | 10,998 | ||||||
National Rural Utilities Cooperative Finance Corp. 1.98% due 7/17/2018 | 8,800 | 8,791 | ||||||
Nestlé Capital Corp. 2.08% due 9/4/20181 | 10,000 | 9,962 | ||||||
Old Line Funding, LLC 2.05% due 8/6/20181 | 4,800 | 4,790 | ||||||
Pfizer Inc. 2.02% due 8/21/20181 | 10,000 | 9,970 | ||||||
Province of Ontario 1.91% due 7/5/2018 | 9,300 | 9,297 | ||||||
Prudential Funding, LLC 1.90% due 7/6/2018 | 10,000 | 9,996 | ||||||
Simon Property Group, L.P. 2.08% due 8/20/20181 | 11,150 | 11,117 | ||||||
Société Générale 1.79% due 7/2/20181 | 12,000 | 11,998 | ||||||
Starbird Funding Corp. 1.96% due 7/6/20181 | 5,000 | 4,998 | ||||||
Sumitomo Mitsui Banking Corp. 2.00% due 7/23/20181 | 11,000 | 10,986 | ||||||
Swedbank AB 2.23% due 9/27/2018 | 6,800 | 6,763 | ||||||
Toyota Industries Commercial Finance, Inc. 2.10% due 8/17/20181 | 8,000 | 7,978 | ||||||
United Overseas Bank Ltd. 2.00% due 7/10/20181 | 10,000 | 9,994 | ||||||
246,976 | ||||||||
Federal agency discount notes 11.20% | ||||||||
Federal Home Loan Bank 1.85%–1.89% due 7/20/2018–8/6/2018 | 32,000 | 31,957 | ||||||
Freddie Mac 1.83% due 8/6/2018 | 715 | 714 | ||||||
32,671 | ||||||||
U.S. Treasury bonds & notes 4.11% | ||||||||
U.S. Treasury Bill 1.60% due 7/19/2018 | 12,000 | 11,990 | ||||||
Total short-term securities (cost: $291,655,000) | 291,637 | |||||||
Total investment securities 99.94% (cost: $291,655,000) | 291,637 | |||||||
Other assets less liabilities 0.06% | 178 | |||||||
Net assets 100.00% | $ | 291,815 |
1 | Acquired in a transaction exempt from registration under Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $193,496,000, which represented 66.31% of the net assets of the fund. |
See Notes to Financial Statements
American Funds Insurance Series | 109 |
U.S. Government/AAA-Rated Securities Fund | |
Summary investment portfolio June 30, 2018 | unaudited |
Bonds, notes & other debt instruments 99.10% | Principal amount (000) | Value (000) | ||||||
U.S. Treasury bonds & notes 50.17% | ||||||||
U.S. Treasury 43.02% | ||||||||
U.S. Treasury 2.50% 2020 | $ | 50,000 | $ | 49,973 | ||||
U.S. Treasury 1.125% 2021 | 31,950 | 30,481 | ||||||
U.S. Treasury 1.75% 20211 | 33,540 | 32,544 | ||||||
U.S. Treasury 2.00% 2021 | 46,300 | 45,268 | ||||||
U.S. Treasury 2.00% 2021 | 26,500 | 26,038 | ||||||
U.S. Treasury 1.75% 2022 | 174,300 | 168,177 | ||||||
U.S. Treasury 1.875% 2022 | 63,000 | 61,122 | ||||||
U.S. Treasury 2.00% 2022 | 69,500 | 67,464 | ||||||
U.S. Treasury 2.00% 2022 | 43,510 | 42,222 | ||||||
U.S. Treasury 1.50% 2023 | 26,020 | 24,625 | ||||||
U.S. Treasury 1.625% 2023 | 38,150 | 36,210 | ||||||
U.S. Treasury 2.125% 20231 | 64,095 | 62,028 | ||||||
U.S. Treasury 2.625% 2023 | 63,000 | 62,728 | ||||||
U.S. Treasury 2.75% 2023 | 99,300 | 99,387 | ||||||
U.S. Treasury 2.75% 2023 | 52,956 | 52,987 | ||||||
U.S. Treasury 2.125% 2024 | 55,975 | 53,790 | ||||||
U.S. Treasury 2.50% 2024 | 44,000 | 43,296 | ||||||
U.S. Treasury 2.75% 2025 | 38,000 | 37,850 | ||||||
U.S. Treasury 2.875% 2025 | 25,000 | 25,084 | ||||||
U.S. Treasury 2.75% 2028 | 27,461 | 27,199 | ||||||
U.S. Treasury 2.75% 20471 | 43,501 | 41,423 | ||||||
U.S. Treasury 1.50%–6.25% 2019–2048 | 210,954 | 207,086 | ||||||
1,296,982 | ||||||||
U.S. Treasury inflation-protected securities 7.15% | ||||||||
U.S. Treasury Inflation-Protected Security 0.50% 20282 | 57,386 | 47,688 | ||||||
U.S. Treasury Inflation-Protected Security 1.375% 20441,2 | 46,441 | 51,833 | ||||||
U.S. Treasury Inflation-Protected Security 1.00% 20482 | 31,748 | 26,386 | ||||||
U.S. Treasury Inflation-Protected Securities 0.13%–2.13% 2022–20472 | 91,391 | 89,863 | ||||||
215,770 | ||||||||
Total U.S. Treasury bonds & notes | 1,512,752 | |||||||
Mortgage-backed obligations 28.50% | ||||||||
Federal agency mortgage-backed obligations 28.50% | ||||||||
Fannie Mae 3.00% 20363 | 27,950 | 27,543 | ||||||
Fannie Mae 4.00% 20473 | 32,646 | 33,360 | ||||||
Fannie Mae 4.50% 20483,4 | 95,470 | 99,239 | ||||||
Fannie Mae 4.50% 20483,4 | 67,539 | 70,099 | ||||||
Fannie Mae 4.50% 20483 | 43,815 | 45,915 | ||||||
Fannie Mae 0%–9.22% 2022–20483,4,5 | 129,020 | 132,015 | ||||||
Freddie Mac 4.50% 20483,4 | 36,248 | 37,659 | ||||||
Freddie Mac 0%–5.50% 2020–20483,4,5 | 75,257 | 75,767 | ||||||
Freddie Mac, Series K010, Class A1, Multi Family, 3.32% 20203 | 107 | 107 | ||||||
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 20573 | 44,020 | 43,237 | ||||||
Government National Mortgage Assn. 3.50% 20483,4 | 25,000 | 25,090 | ||||||
Government National Mortgage Assn. 4.00% 20483,4 | 33,367 | 34,143 | ||||||
Government National Mortgage Assn. 4.50% 20483,4 | 60,719 | 63,017 | ||||||
Government National Mortgage Assn. 4.50% 20483,4 | 31,081 | 32,310 | ||||||
Government National Mortgage Assn. 2.74%–6.64% 2034–20653,4,5 | 61,832 | 64,125 | ||||||
Other securities | 75,485 | |||||||
859,111 | ||||||||
Federal agency bonds & notes 20.43% | ||||||||
Fannie Mae 1.25%–7.13% 2019–2030 | 31,400 | 32,266 | ||||||
Federal Home Loan Bank 1.75%–5.50% 2018–2036 | 91,315 | 91,736 | ||||||
Freddie Mac 2.38%–3.75% 2019–2021 | 112,750 | 112,154 | ||||||
Tennessee Valley Authority 2.88%–5.88% 2021–2060 | 47,305 | 49,028 | ||||||
U.S. Department of Housing and Urban Development 1.33%–3.70% 2018–2034 | 83,632 | 83,208 |
110 | American Funds Insurance Series |
U.S. Government/AAA-Rated Securities Fund
Bonds, notes & other debt instruments | Principal amount (000) | Value (000) | ||||||
United States Agency for International Development, Jordan (Kingdom of) 1.95%–3.00% 2019–2025 | $ | 194,000 | $ | 193,737 | ||||
United States Agency for International Development, Morocco (Kingdom of) 7.55% 20263 | 3,477 | 3,997 | ||||||
United States Agency for International Development, Iraq (State of), 2.149% 2022 | 6,670 | 6,475 | ||||||
United States Agency for International Development, Tunisia (Kingdom of) 1.416% 2021 | 3,000 | 2,878 | ||||||
United States Agency for International Development, Ukraine 1.47%–1.84% 2019–2021 | 5,855 | 5,663 | ||||||
Other securities | 34,757 | |||||||
615,899 | ||||||||
Total bonds, notes & other debt instruments (cost: $3,019,008,000) | 2,987,762 | |||||||
Short-term securities 16.56% | ||||||||
Chariot Funding, LLC 2.25% due 8/31/20186 | 25,000 | 24,905 | ||||||
CHARTA, LLC 2.27% due 9/28/20186 | 30,000 | 29,827 | ||||||
Chevron Corp. 1.98%–2.01% due 8/23/2018–9/10/20186 | 50,000 | 49,809 | ||||||
Coca-Cola Co. 2.23% due 10/5/20186 | 50,000 | 49,704 | ||||||
Eli Lilly and Co. 1.91% due 7/9/20186 | 30,000 | 29,984 | ||||||
Intel Corp. 1.94% due 7/23/20186 | 41,300 | 41,246 | ||||||
PepsiCo Inc. 1.96% due 8/6/20186 | 60,000 | 59,873 | ||||||
Pfizer Inc. 2.03% due 9/10/20186 | 50,000 | 49,787 | ||||||
Société Générale 1.79% due 7/2/20186 | 37,100 | 37,094 | ||||||
Other securities | 127,082 | |||||||
Total short-term securities (cost: $499,371,000) | 499,311 | |||||||
Total investment securities 115.66% (cost: $3,518,379,000) | 3,487,073 | |||||||
Other assets less liabilities (15.66)% | (472,050 | ) | ||||||
Net assets 100.00% | $ | 3,015,023 |
This summary investment portfolio is designed to streamline the report and help investors better focus on the fund’s principal holdings. See the inside back cover for details on how to obtain a complete schedule of portfolio holdings.
“Other securities” includes all issues that are not disclosed separately in the summary investment portfolio.
Futures contracts
Unrealized | ||||||||||||||||||
(depreciation) | ||||||||||||||||||
Notional | Value at | appreciation | ||||||||||||||||
Number of | amount7 | 6/30/20188 | at 6/30/2018 | |||||||||||||||
Contracts | Type | contracts | Expiration | (000) | (000) | (000) | ||||||||||||
90 Day Euro Dollar Futures | Long | 1 | December 2018 | $ | 250 | $ | 243 | $ | — | 9 | ||||||||
2 Year U.S. Treasury Note Futures | Long | 1,895 | October 2018 | 379,000 | 401,414 | (233 | ) | |||||||||||
5 Year U.S. Treasury Note Futures | Long | 13,644 | October 2018 | 1,364,400 | 1,550,193 | 7,833 | ||||||||||||
10 Year U.S. Treasury Note Futures | Long | 3,146 | September 2018 | 314,600 | 378,110 | 2,093 | ||||||||||||
10 Year Ultra U.S. Treasury Note Futures | Long | 312 | September 2018 | 31,200 | 40,009 | 361 | ||||||||||||
20 Year U.S. Treasury Bond Futures | Long | 97 | September 2018 | 9,700 | 14,065 | 35 | ||||||||||||
30 Year Ultra U.S. Treasury Bond Futures | Short | 159 | September 2018 | (15,900 | ) | (25,370 | ) | 17 | ||||||||||
$ | 10,106 |
American Funds Insurance Series | 111 |
U.S. Government/AAA-Rated Securities Fund
Swap contracts
Interest rate swaps
Unrealized | ||||||||||||||||||||
Upfront | appreciation | |||||||||||||||||||
Value at | payments/ | (depreciation) | ||||||||||||||||||
Expiration | Notional | 6/30/2018 | receipts | at 6/30/2018 | ||||||||||||||||
Receive | Pay | date | (000) | (000) | (000) | (000) | ||||||||||||||
1.9475% | U.S. EFFR | 9/26/2018 | $ | 3,090,000 | $ | 54 | $ | — | $ | 54 | ||||||||||
1.882% | U.S. EFFR | 9/26/2018 | 142,200 | (12 | ) | — | (12 | ) | ||||||||||||
1.8975% | U.S. EFFR | 9/26/2018 | 374,000 | (22 | ) | — | (22 | ) | ||||||||||||
1.8935% | U.S. EFFR | 9/26/2018 | 398,000 | (26 | ) | — | (26 | ) | ||||||||||||
1.865% | U.S. EFFR | 9/26/2018 | 364,900 | (40 | ) | — | (40 | ) | ||||||||||||
U.S. EFFR | 2.385% | 5/1/2019 | 2,143,040 | (120 | ) | — | (120 | ) | ||||||||||||
1.37% | U.S. EFFR | 6/14/2019 | 60,500 | (474 | ) | — | (474 | ) | ||||||||||||
1.362% | U.S. EFFR | 6/21/2019 | 60,500 | (492 | ) | — | (492 | ) | ||||||||||||
1.351% | U.S. EFFR | 6/28/2019 | 60,500 | (511 | ) | — | (511 | ) | ||||||||||||
2.32475% | 3-month USD-LIBOR | 2/9/2020 | 490,000 | (3,245 | ) | — | (3,245 | ) | ||||||||||||
3-month USD-LIBOR | 2.3774% | 2/13/2020 | 390,000 | 2,270 | — | 2,270 | ||||||||||||||
1.997% | U.S. EFFR | 2/13/2020 | 60,900 | (308 | ) | — | (308 | ) | ||||||||||||
1.989% | U.S. EFFR | 2/13/2020 | 61,000 | (316 | ) | — | (316 | ) | ||||||||||||
1.9425% | 3-month USD-LIBOR | 3/17/2020 | 165,000 | (2,231 | ) | — | (2,231 | ) | ||||||||||||
U.S. EFFR | 2.19% | 3/29/2020 | 135,300 | 383 | — | 383 | ||||||||||||||
2.5935% | 3-month USD-LIBOR | 3/29/2020 | 136,200 | (377 | ) | — | (377 | ) | ||||||||||||
2.577% | 3-month USD-LIBOR | 3/29/2020 | 135,300 | (413 | ) | — | (413 | ) | ||||||||||||
U.S. EFFR | 2.174% | 4/4/2020 | 71,520 | 230 | — | 230 | ||||||||||||||
2.5725% | 3-month USD-LIBOR | 4/4/2020 | 71,516 | (235 | ) | — | (235 | ) | ||||||||||||
U.S. EFFR | 2.19% | 4/6/2020 | 47,300 | 139 | — | 139 | ||||||||||||||
3-month USD-LIBOR | 2.761% | 4/27/2020 | 100,000 | 18 | — | 18 | ||||||||||||||
U.S. EFFR | 2.4195% | 6/14/2020 | 121,000 | (36 | ) | — | (36 | ) | ||||||||||||
1.8005% | 3-month USD-LIBOR | 9/28/2020 | 48,000 | (1,062 | ) | — | (1,062 | ) | ||||||||||||
3-month USD-LIBOR | 1.217% | 9/22/2021 | 60,000 | 3,065 | — | 3,065 | ||||||||||||||
3-month USD-LIBOR | 1.225% | 9/22/2021 | 60,000 | 3,051 | — | 3,051 | ||||||||||||||
3-month USD-LIBOR | 1.2255% | 9/23/2021 | 5,000 | 254 | — | 254 | ||||||||||||||
3-month USD-LIBOR | 1.9665% | 2/2/2022 | 50,000 | 1,560 | — | 1,560 | ||||||||||||||
3-month USD-LIBOR | 2.2175% | 3/17/2022 | 52,000 | 1,203 | — | 1,203 | ||||||||||||||
3-month USD-LIBOR | 1.8675% | 4/19/2022 | 70,000 | 2,545 | — | 2,545 | ||||||||||||||
3-month USD-LIBOR | 1.75918% | 4/29/2022 | 58,000 | 2,351 | — | 2,351 | ||||||||||||||
3-month USD-LIBOR | 1.948% | 7/28/2022 | 20,000 | 714 | — | 714 | ||||||||||||||
2.80% | 3-month USD-LIBOR | 9/2/2022 | 280,000 | (767 | ) | — | (767 | ) | ||||||||||||
2.75% | 3-month USD-LIBOR | 9/2/2022 | 280,000 | (1,024 | ) | — | (1,024 | ) | ||||||||||||
2.009% | 3-month USD-LIBOR | 10/4/2022 | 50,000 | (1,744 | ) | — | (1,744 | ) | ||||||||||||
2.08934% | 3-month USD-LIBOR | 11/17/2022 | 40,700 | (1,324 | ) | — | (1,324 | ) | ||||||||||||
2.2025% | 3-month USD-LIBOR | 12/4/2022 | 20,000 | (563 | ) | — | (563 | ) | ||||||||||||
3-month USD-LIBOR | 2.2455% | 12/21/2022 | 25,000 | 666 | — | 666 | ||||||||||||||
2.27403% | 3-month USD-LIBOR | 12/29/2022 | 60,000 | (1,529 | ) | — | (1,529 | ) | ||||||||||||
3-month USD-LIBOR | 2.6778% | 2/12/2023 | 51,000 | 452 | — | 452 | ||||||||||||||
2.7435% | 3-month USD-LIBOR | 2/16/2023 | 41,000 | (246 | ) | — | (246 | ) | ||||||||||||
3-month USD-LIBOR | 2.8655% | 4/23/2023 | 55,000 | 37 | — | 37 | ||||||||||||||
2.5815% | U.S. EFFR | 5/25/2023 | 80,000 | 295 | — | 295 | ||||||||||||||
3-month USD-LIBOR | 2.0815% | 2/10/2024 | 28,700 | 1,204 | — | 1,204 | ||||||||||||||
3-month USD-LIBOR | 2.0955% | 2/10/2024 | 14,300 | 590 | — | 590 | ||||||||||||||
3-month USD-LIBOR | 2.3875% | 3/17/2024 | 160,700 | 4,231 | — | 4,231 | ||||||||||||||
3-month USD-LIBOR | 2.12813% | 10/3/2024 | 65,000 | 2,848 | — | 2,848 | ||||||||||||||
3-month USD-LIBOR | 2.4595% | 1/12/2025 | 26,400 | 684 | — | 684 | ||||||||||||||
3-month USD-LIBOR | 2.588% | 1/26/2025 | 15,600 | 286 | — | 286 | ||||||||||||||
2.8775% | 3-month USD-LIBOR | 3/23/2025 | 29,800 | (24 | ) | — | (24 | ) | ||||||||||||
2.905% | 3-month USD-LIBOR | 6/21/2025 | 38,425 | 29 | — | 29 | ||||||||||||||
3-month USD-LIBOR | 1.798% | 2/2/2026 | 35,000 | 2,652 | — | 2,652 | ||||||||||||||
3-month USD-LIBOR | 2.24% | 12/5/2026 | 55,100 | 2,776 | — | 2,776 | ||||||||||||||
3-month USD-LIBOR | 2.27% | 12/5/2026 | 44,900 | 2,160 | — | 2,160 | ||||||||||||||
2.579% | 3-month USD-LIBOR | 3/14/2027 | 53,000 | (1,360 | ) | — | (1,360 | ) | ||||||||||||
2.333% | 3-month USD-LIBOR | 3/29/2027 | 42,000 | (1,890 | ) | — | (1,890 | ) | ||||||||||||
3-month USD-LIBOR | 2.31934% | 11/17/2027 | 21,200 | 1,054 | — | 1,054 |
112 | American Funds Insurance Series |
U.S. Government/AAA-Rated Securities Fund
Unrealized | ||||||||||||||||||||
Upfront | appreciation | |||||||||||||||||||
Value at | payments/ | (depreciation) | ||||||||||||||||||
Expiration | Notional | 6/30/2018 | receipts | at 6/30/2018 | ||||||||||||||||
Receive | Pay | date | (000) | (000) | (000) | (000) | ||||||||||||||
3-month USD-LIBOR | 2.31613% | 11/17/2027 | $ | 19,800 | $ | 990 | $ | — | $ | 990 | ||||||||||
2.925% | 3-month USD-LIBOR | 2/1/2028 | 12,800 | (20 | ) | — | (20 | ) | ||||||||||||
2.91% | 3-month USD-LIBOR | 2/1/2028 | 16,000 | (35 | ) | — | (35 | ) | ||||||||||||
2.908% | 3-month USD-LIBOR | 2/1/2028 | 16,000 | (36 | ) | — | (36 | ) | ||||||||||||
2.92% | 3-month USD-LIBOR | 2/2/2028 | 12,200 | (22 | ) | — | (22 | ) | ||||||||||||
U.S. EFFR | 2.5065% | 3/22/2028 | 8,700 | 12 | — | 12 | ||||||||||||||
U.S. EFFR | 2.535% | 3/23/2028 | 6,700 | (7 | ) | — | (7 | ) | ||||||||||||
U.S. EFFR | 2.471% | 3/27/2028 | 8,100 | 36 | — | 36 | ||||||||||||||
U.S. EFFR | 2.4575% | 3/29/2028 | 9,638 | 55 | — | 55 | ||||||||||||||
U.S. EFFR | 2.424% | 3/30/2028 | 8,160 | 70 | — | 70 | ||||||||||||||
U.S. EFFR | 2.412% | 4/5/2028 | 3,702 | 36 | — | 36 | ||||||||||||||
3-month USD-LIBOR | 2.97125% | 9/2/2030 | 62,000 | 47 | — | 47 | ||||||||||||||
3-month USD-LIBOR | 3.005% | 9/2/2030 | 62,000 | (127 | ) | — | (127 | ) | ||||||||||||
3-month USD-LIBOR | 2.9625% | 2/1/2038 | 9,800 | 31 | — | 31 | ||||||||||||||
3-month USD-LIBOR | 2.963% | 2/1/2038 | 9,800 | 31 | — | 31 | ||||||||||||||
3-month USD-LIBOR | 2.986% | 2/1/2038 | 7,800 | 12 | — | 12 | ||||||||||||||
3-month USD-LIBOR | 2.967% | 2/2/2038 | 7,600 | 22 | — | 22 | ||||||||||||||
3-month USD-LIBOR | 3.34% | 6/27/2044 | 10,000 | (752 | ) | — | (752 | ) | ||||||||||||
3-month USD-LIBOR | 3.206% | 7/31/2044 | 16,000 | (803 | ) | — | (803 | ) | ||||||||||||
3-month USD-LIBOR | 3.238% | 8/8/2044 | 16,000 | (897 | ) | — | (897 | ) | ||||||||||||
3-month USD-LIBOR | 2.7045% | 1/2/2045 | 12,000 | 548 | — | 548 | ||||||||||||||
3-month USD-LIBOR | 2.5055% | 1/9/2045 | 11,000 | 923 | — | 923 | ||||||||||||||
3-month USD-LIBOR | 2.4945% | 1/9/2045 | 2,000 | 172 | — | 172 | ||||||||||||||
3-month USD-LIBOR | 2.52822% | 11/23/2045 | 13,350 | 1,079 | — | 1,079 | ||||||||||||||
U.S. EFFR | 2.166% | 10/23/2047 | 10,000 | 615 | — | 615 | ||||||||||||||
U.S. EFFR | 2.145% | 11/9/2047 | 15,400 | 1,015 | — | 1,015 | ||||||||||||||
U.S. EFFR | 2.153% | 11/10/2047 | 15,300 | 983 | — | 983 | ||||||||||||||
U.S. EFFR | 2.155% | 11/10/2047 | 8,640 | 551 | — | 551 | ||||||||||||||
U.S. EFFR | 2.17% | 11/13/2047 | 15,660 | 951 | — | 951 | ||||||||||||||
2.964% | 3-month USD-LIBOR | 2/12/2048 | 9,100 | 61 | — | 61 | ||||||||||||||
U.S. EFFR | 2.5635% | 2/12/2048 | 33,204 | (708 | ) | — | (708 | ) | ||||||||||||
3-month USD-LIBOR | 2.96% | 2/15/2048 | 4,600 | (27 | ) | — | (27 | ) | ||||||||||||
3-month USD-LIBOR | 2.9825% | 2/20/2048 | 9,000 | (96 | ) | — | (96 | ) | ||||||||||||
2.98% | 3-month USD-LIBOR | 3/15/2048 | 2,000 | 21 | — | 21 | ||||||||||||||
2.9625% | 3-month USD-LIBOR | 3/15/2048 | 2,000 | 13 | — | 13 | ||||||||||||||
U.S. EFFR | 2.4615% | 3/15/2048 | 2,000 | — | 9 | — | — | 9 | ||||||||||||
U.S. EFFR | 2.485% | 3/15/2048 | 2,000 | (10 | ) | — | (10 | ) | ||||||||||||
U.S. EFFR | 2.425% | 3/16/2048 | 4,100 | 32 | — | 32 | ||||||||||||||
2.917% | 3-month USD-LIBOR | 3/16/2048 | 4,100 | (12 | ) | — | (12 | ) | ||||||||||||
U.S. EFFR | 2.505% | 3/22/2048 | 4,300 | (38 | ) | — | (38 | ) | ||||||||||||
U.S. EFFR | 2.51375% | 3/22/2048 | 4,700 | (51 | ) | — | (51 | ) | ||||||||||||
3-month USD-LIBOR | 3.006% | 3/23/2048 | 11,074 | (174 | ) | — | (174 | ) | ||||||||||||
3-month USD-LIBOR | 2.848% | 4/3/2048 | 14,000 | 241 | — | 241 | ||||||||||||||
3-month USD-LIBOR | 2.8245% | 4/4/2048 | 11,300 | 250 | — | 250 | ||||||||||||||
3-month USD-LIBOR | 3.016% | 5/9/2048 | 4,026 | (72 | ) | — | (72 | ) | ||||||||||||
3-month USD-LIBOR | 3.003% | 5/9/2048 | 6,000 | (91 | ) | — | (91 | ) | ||||||||||||
3.06% | 3-month USD-LIBOR | 5/11/2048 | 3,400 | 92 | — | 92 | ||||||||||||||
3.04% | 3-month USD-LIBOR | 5/14/2048 | 3,526 | 81 | — | 81 | ||||||||||||||
3.029% | 3-month USD-LIBOR | 5/14/2048 | 3,100 | 64 | — | 64 | ||||||||||||||
U.S. EFFR | 2.625% | 5/25/2048 | 18,000 | (616 | ) | — | (616 | ) | ||||||||||||
U.S. EFFR | 2.445% | 6/4/2048 | 6,700 | 25 | — | 25 | ||||||||||||||
U.S. EFFR | 2.471% | 6/29/2048 | 9,008 | (16 | ) | — | (16 | ) | ||||||||||||
$ | — | $ | 21,859 |
American Funds Insurance Series | 113 |
U.S. Government/AAA-Rated Securities Fund
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
1 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $64,163,000, which represented 2.13% of the net assets of the fund. |
2 | Index-linked bond whose principal amount moves with a government price index. |
3 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
4 | Purchased on a TBA basis. |
5 | Coupon rate may change periodically. |
6 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $449,461,000, which represented 14.91% of the net assets of the fund. |
7 | Notional amount is calculated based on the number of contracts and notional contract size. |
8 | Value is calculated based on the notional amount and current market price. |
9 | Amount less than one thousand. |
Key to abbreviations and symbol
EFFR = Effective Federal Funds Rate
LIBOR = London Interbank Offered Rate
TBA = To-be-announced
USD/$ = U.S. dollars
See Notes to Financial Statements
114 | American Funds Insurance Series |
Managed Risk Growth Fund | |
Investment portfolio June 30, 2018 | unaudited |
Growth funds 80.38% | Shares | Value (000) | ||||||
American Funds Insurance Series – Growth Fund, Class 1 | 3,351,155 | $ | 259,279 | |||||
Total growth funds (cost: $233,384,000) | 259,279 | |||||||
Fixed income funds 15.27% | ||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 4,658,402 | 49,239 | ||||||
Total fixed income funds (cost: $50,664,000) | 49,239 | |||||||
Short-term securities 4.40% | ||||||||
Government Cash Management Fund | 14,206,955 | 14,207 | ||||||
Total short-term securities (cost: $14,207,000) | 14,207 | |||||||
Total investment securities 100.05% (cost: $298,255,000) | 322,725 | |||||||
Other assets less liabilities (0.05)% | (162 | ) | ||||||
Net assets 100.00% | $ | 322,563 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) | |||||||||||||
5 Year U.S. Treasury Note Futures | Long | 150 | September 2018 | $ | 15,000 | $ | 17,043 | $ | 76 |
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (loss) (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliates at 6/30/2018 (000) | |||||||||||||||||||||||||
Growth funds 80.38% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Growth Fund, Class 1 | 2,960,791 | 522,087 | 131,723 | 3,351,155 | $ | 1,773 | $ | (3,761 | ) | $ | 368 | $ | 259,279 | |||||||||||||||||||
Fixed income funds 15.27% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 4,022,202 | 1,034,742 | 398,542 | 4,658,402 | (134 | ) | (923 | ) | 207 | 49,239 | ||||||||||||||||||||||
Total 95.65% | $ | 1,639 | $ | (4,684 | ) | $ | 575 | $ | 308,518 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
See Notes to Financial Statements
American Funds Insurance Series | 115 |
Managed Risk International Fund | |
Investment portfolio June 30, 2018 | unaudited |
Growth funds 80.64% | Shares | Value (000) | ||||||
American Funds Insurance Series – International Fund, Class 1 | 6,052,381 | $ | 125,103 | |||||
Total growth funds (cost: $112,444,000) | 125,103 | |||||||
Fixed income funds 14.98% | ||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 2,198,449 | 23,237 | ||||||
Total fixed income funds (cost: $23,947,000) | 23,237 | |||||||
Short-term securities 4.45% | ||||||||
Government Cash Management Fund | 689,518 | 6,896 | ||||||
Total short-term securities (cost: $6,896,000) | 6,896 | |||||||
Total investment securities 100.07% (cost: $143,287,000) | 155,236 | |||||||
Other assets less liabilities (0.07)% | (109 | ) | ||||||
Net assets 100.00% | $ | 155,127 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) | |||||||||||||
5 Year U.S. Treasury Note Futures | Long | 74 | September 2018 | $ | 7,400 | $ | 8,408 | $ | 38 |
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (loss) (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliates at 6/30/2018 (000) | |||||||||||||||||||||||||
Growth funds 80.64% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – International Fund, Class 1 | 5,479,657 | 828,398 | 255,674 | 6,052,381 | $ | 376 | $ | (6,615 | ) | $ | 287 | $ | 125,103 | |||||||||||||||||||
Fixed income funds 14.98% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 2,063,150 | 412,750 | 277,451 | 2,198,449 | (98 | ) | (452 | ) | 102 | 23,237 | ||||||||||||||||||||||
Total 95.62% | $ | 278 | $ | (7,067 | ) | $ | 389 | $ | 148,340 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
See Notes to Financial Statements
116 | American Funds Insurance Series |
Managed Risk Blue Chip Income and Growth Fund | |
Investment portfolio June 30, 2018 | unaudited |
Growth-and-income funds 80.26% | Shares | Value (000) | ||||||
American Funds Insurance Series – Blue Chip Income and Growth Fund, Class 1 | 20,377,436 | $ | 282,024 | |||||
Total growth-and-income funds (cost: $274,887,000) | 282,024 | |||||||
Fixed income funds 15.01% | ||||||||
American Funds Insurance Series – U.S. Government/AAA-Rated Securities Fund, Class 1 | 4,429,371 | 52,754 | ||||||
Total fixed income funds (cost: $54,041,000) | 52,754 | |||||||
Short-term securities 4.78% | ||||||||
Government Cash Management Fund | 16,809,408 | 16,809 | ||||||
Total short-term securities (cost: $16,809,000) | 16,809 | |||||||
Total investment securities 100.05% (cost: $345,737,000) | 351,587 | |||||||
Other assets less liabilities (0.05)% | (188 | ) | ||||||
Net assets 100.00% | $ | 351,399 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) | |||||||||||||
5 Year U.S. Treasury Note Futures | Long | 168 | September 2018 | $ | 16,800 | $ | 19,088 | $ | 85 |
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (loss) (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliates at 6/30/2018 (000) | |||||||||||||||||||||||||
Growth-and-income funds 80.26% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Blue Chip Income and Growth Fund, Class 1 | 19,699,331 | 2,006,662 | 1,328,557 | 20,377,436 | $ | 3,053 | $ | (24,163 | ) | $ | 1,201 | $ | 282,024 | |||||||||||||||||||
Fixed income funds 15.01% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – U.S. Government/AAA-Rated Securities Fund, Class 1 | 4,530,491 | 313,891 | 415,011 | 4,429,371 | (149 | ) | (619 | ) | 175 | 52,754 | ||||||||||||||||||||||
Total 95.27% | $ | 2,904 | $ | (24,782 | ) | $ | 1,376 | $ | 334,778 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
See Notes to Financial Statements
American Funds Insurance Series | 117 |
Managed Risk Growth-Income Fund | |
Investment portfolio June 30, 2018 | unaudited |
Growth-and-income funds 81.58% | Shares | Value (000) | ||||||
American Funds Insurance Series – Growth-Income Fund, Class 1 | 3,723,850 | $ | 185,671 | |||||
Total growth-and-income funds (cost: $172,960,000) | 185,671 | |||||||
Fixed income funds 15.31% | ||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 3,296,207 | 34,841 | ||||||
Total fixed income funds (cost: $35,853,000) | 34,841 | |||||||
Short-term securities 3.18% | ||||||||
Government Cash Management Fund | 7,224,073 | 7,224 | ||||||
Total short-term securities (cost: $7,224,000) | 7,224 | |||||||
Total investment securities 100.07% (cost: $216,037,000) | 227,736 | |||||||
Other assets less liabilities (0.07)% | (155 | ) | ||||||
Net assets 100.00% | $ | 227,581 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) | |||||||||||||
5 Year U.S. Treasury Note Futures | Long | 70 | September 2018 | $ | 7,000 | $ | 7,953 | $ | 36 |
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized loss (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliates at 6/30/2018 (000) | |||||||||||||||||||||||||
Growth-and-income funds 81.58% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Growth-Income Fund, Class 1 | 3,331,787 | 486,437 | 94,374 | 3,723,850 | $ | (152 | ) | $ | (1,448 | ) | $ | 491 | $ | 185,671 | ||||||||||||||||||
Fixed income funds 15.31% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 2,916,097 | 744,555 | 364,445 | 3,296,207 | (127 | ) | (643 | ) | 147 | 34,841 | ||||||||||||||||||||||
Total 96.89% | $ | (279 | ) | $ | (2,091 | ) | $ | 638 | $ | 220,512 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
See Notes to Financial Statements
118 | American Funds Insurance Series |
Managed Risk Asset Allocation Fund | |
Investment portfolio June 30, 2018 | unaudited |
Asset allocation funds 96.49% | Shares | Value (000) | ||||||
American Funds Insurance Series – Asset Allocation Fund, Class 1 | 188,290,272 | $ | 4,308,081 | |||||
Total asset allocation funds (cost: $4,129,979,000) | 4,308,081 | |||||||
Short-term securities 3.61% | ||||||||
Government Cash Management Fund | 161,351,550 | 161,352 | ||||||
Total short-term securities (cost: $161,352,000) | 161,352 | |||||||
Total investment securities 100.10% (cost: $4,291,331,000) | 4,469,433 | |||||||
Other assets less liabilities (0.10)% | (4,589 | ) | ||||||
Net assets 100.00% | $ | 4,464,844 |
Futures contracts
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) | |||||||||||||
5 Year U.S. Treasury Note Futures | Long | 1,599 | September 2018 | $ | 159,900 | $ | 181,674 | $ | 810 |
Investment in affiliates
This holding is an affiliate of the fund under the Investment Company Act of 1940 since it is controlled by the same board of trustees as the series. Further details on this holding and related transactions during the six months ended June 30, 2018, appear below.
Beginning shares | Additions | Reductions | Ending shares | Net realized gain (000) | Net unrealized depreciation (000) | Dividend income (000) | Value of affiliate at 6/30/2018 (000) | |||||||||||||||||||||||||
Asset allocation funds 96.49% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Asset Allocation Fund, Class 1 | 178,833,494 | 11,775,274 | 2,318,496 | 188,290,272 | $ | 7,542 | $ | (160,545 | ) | $ | 15,338 | $ | 4,308,081 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
See Notes to Financial Statements
American Funds Insurance Series | 119 |
Statements of assets and liabilities
at June 30, 2018
Global Growth Fund | Global Small Capitalization Fund | Growth Fund | International Fund | New World Fund | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities, at value: | ||||||||||||||||||||
Unaffiliated issuers | $ | 6,256,704 | $ | 4,254,330 | $ | 25,794,041 | $ | 9,849,487 | $ | 3,381,973 | ||||||||||
Affiliated issuers | — | 39,287 | — | — | — | |||||||||||||||
Cash | 1,133 | 258 | 116 | 58 | 289 | |||||||||||||||
Cash denominated in currencies other than U.S. dollars | 2,781 | 273 | 1,777 | 4,095 | 1,374 | |||||||||||||||
Unrealized appreciation on open forward currency contracts | 35 | 502 | — | 662 | 600 | |||||||||||||||
Receivables for: | ||||||||||||||||||||
Sales of investments | 9,928 | 11,559 | 64,385 | 4,855 | 21,777 | |||||||||||||||
Sales of fund’s shares | 8,940 | 2,146 | 6,214 | 9,876 | 3,986 | |||||||||||||||
Dividends and interest | 15,984 | 4,924 | 23,533 | 23,294 | 11,437 | |||||||||||||||
Closed forward currency contracts | — | — | — | — | — | |||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | |||||||||||||||
Variation margin on swap contracts | — | — | — | — | — | |||||||||||||||
Other | 132 | 64 | — | — | 1,055 | |||||||||||||||
6,295,637 | 4,313,343 | 25,890,066 | 9,892,327 | 3,422,491 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Unrealized depreciation on open forward currency contracts | 3 | 74 | — | — | 1 | |||||||||||||||
Payables for: | ||||||||||||||||||||
Purchases of investments | 6,506 | 8,867 | 18,563 | 42,621 | — | |||||||||||||||
Repurchases of fund’s shares | 3,285 | 3,148 | 63,897 | 5,667 | 1,864 | |||||||||||||||
Investment advisory services | 2,709 | 2,531 | 6,932 | 4,030 | 2,006 | |||||||||||||||
Services provided by related parties | 917 | 592 | 3,788 | 1,070 | 325 | |||||||||||||||
Trustees’ deferred compensation | 70 | 47 | 507 | 216 | 31 | |||||||||||||||
Closed forward currency contracts | — | — | — | — | 44 | |||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | |||||||||||||||
Variation margin on swap contracts | — | — | — | — | — | |||||||||||||||
Non-U.S. taxes | 5,261 | 2,035 | 3,269 | 607 | 17,526 | |||||||||||||||
Other | 1,878 | 178 | 786 | 1,516 | 470 | |||||||||||||||
20,782 | 17,472 | 97,742 | 55,727 | 22,267 | ||||||||||||||||
Net assets at June 30, 2018 | $ | 6,274,855 | $ | 4,295,871 | $ | 25,792,324 | $ | 9,836,600 | $ | 3,400,224 | ||||||||||
Net assets consist of: | ||||||||||||||||||||
Capital paid in on shares of beneficial interest | $ | 3,900,107 | $ | 3,094,834 | $ | 14,046,657 | $ | 7,655,392 | $ | 2,717,195 | ||||||||||
Undistributed (distributions in excess of) net investment income | 35,281 | 15,695 | 97,128 | 85,084 | 16,403 | |||||||||||||||
Undistributed (accumulated) net realized gain (loss) | 203,923 | 247,849 | 902,753 | 204,320 | 162,131 | |||||||||||||||
Net unrealized appreciation (depreciation) | 2,135,544 | 937,493 | 10,745,786 | 1,891,804 | 504,495 | |||||||||||||||
Net assets at June 30, 2018 | $ | 6,274,855 | $ | 4,295,871 | $ | 25,792,324 | $ | 9,836,600 | $ | 3,400,224 | ||||||||||
Investment securities, at cost: | ||||||||||||||||||||
Unaffiliated issuers | $ | 4,116,065 | $ | 3,308,839 | $ | 15,048,209 | $ | 7,957,697 | $ | 2,862,464 | ||||||||||
Affiliated issuers | — | 45,822 | — | — | — | |||||||||||||||
Cash denominated in currencies other than U.S. dollars, at cost | 2,781 | 283 | 1,777 | 4,095 | 1,374 |
See end of statements of assets and liabilities for footnote.
See Notes to Financial Statements
120 | American Funds Insurance Series |
unaudited
(dollars in thousands)
Blue Chip Income and Growth Fund | Global Growth and Income Fund | Growth- Income Fund | International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | Global Balanced Fund | Bond Fund | Global Bond Fund | ||||||||||||||||||
$ | 9,092,984 | $ | 2,029,056 | $ | 31,469,009 | $ | 1,461,736 | $ | 658,570 | $ | 26,142,488 | $ | 389,679 | $ | 12,535,060 | $ | 2,279,459 | |||||||||
— | — | — | — | — | 324,176 | — | — | — | ||||||||||||||||||
1,737 | 750 | 457 | 8 | 254 | 4,682 | 52 | 14,056 | 74 | ||||||||||||||||||
— | 1,074 | 1,130 | 813 | 53 | 2,401 | 90 | 7,016 | 1,149 | ||||||||||||||||||
— | — | — | — | — | — | 335 | 1,868 | 9,633 | ||||||||||||||||||
— | 303 | 91,938 | 686 | 27,991 | 419,291 | 6,622 | 1,456,332 | 77,901 | ||||||||||||||||||
1,443 | 1,567 | 7,994 | 490 | 536 | 8,310 | 232 | 2,111 | 485 | ||||||||||||||||||
14,515 | 6,918 | 34,264 | 5,731 | 2,942 | 85,663 | 2,016 | 70,399 | 20,161 | ||||||||||||||||||
— | — | — | — | — | — | — | — | 412 | ||||||||||||||||||
— | — | — | — | — | 7 | — | 544 | 16 | ||||||||||||||||||
— | — | — | — | — | 131 | — | 1,593 | 108 | ||||||||||||||||||
— | 162 | 134 | — | — | 46 | — | — | — | ||||||||||||||||||
9,110,679 | 2,039,830 | 31,604,926 | 1,469,464 | 690,346 | 26,987,195 | 399,026 | 14,088,979 | 2,389,398 | ||||||||||||||||||
— | — | — | — | — | — | 151 | 2,417 | 4,812 | ||||||||||||||||||
2,037 | — | 2,739 | 2,393 | 40,212 | 1,023,982 | 10,809 | 3,448,248 | 144,176 | ||||||||||||||||||
8,632 | 941 | 37,467 | 165 | 355 | 20,779 | 90 | 6,005 | 1,305 | ||||||||||||||||||
2,929 | 1,009 | 6,752 | 732 | 263 | 5,697 | 211 | 3,160 | 976 | ||||||||||||||||||
826 | 335 | 3,332 | 81 | 77 | 2,065 | 59 | 928 | 256 | ||||||||||||||||||
76 | 22 | 580 | 8 | 2 | 248 | 2 | 112 | 24 | ||||||||||||||||||
— | — | — | — | — | — | 7 | — | 218 | ||||||||||||||||||
— | — | — | — | — | 38 | — | 1,118 | 35 | ||||||||||||||||||
— | — | — | — | — | 94 | — | 1,418 | 11 | ||||||||||||||||||
114 | 2,180 | 408 | 263 | — | 4,611 | 140 | — | — | ||||||||||||||||||
191 | 110 | 628 | 140 | 300 | 2,509 | 136 | 375 | 982 | ||||||||||||||||||
14,805 | 4,597 | 51,906 | 3,782 | 41,209 | 1,060,023 | 11,605 | 3,463,781 | 152,795 | ||||||||||||||||||
$ | 9,095,874 | $ | 2,035,233 | $ | 31,553,020 | $ | 1,465,682 | $ | 649,137 | $ | 25,927,172 | $ | 387,421 | $ | 10,625,198 | $ | 2,236,603 | |||||||||
$ | 6,739,312 | $ | 1,541,810 | $ | 20,831,509 | $ | 1,306,166 | $ | 640,382 | $ | 20,281,109 | $ | 331,952 | $ | 10,769,062 | $ | 2,234,032 | |||||||||
100,168 | 25,019 | 244,551 | 24,174 | 947 | 257,027 | 2,987 | 124,247 | 26,284 | ||||||||||||||||||
571,644 | 40,850 | 1,817,428 | 27,874 | (1,921 | ) | 912,701 | 5,781 | (131,287 | ) | 13,276 | ||||||||||||||||
1,684,750 | 427,554 | 8,659,532 | 107,468 | 9,729 | 4,476,335 | 46,701 | (136,824 | ) | (36,989 | ) | ||||||||||||||||
$ | 9,095,874 | $ | 2,035,233 | $ | 31,553,020 | $ | 1,465,682 | $ | 649,137 | $ | 25,927,172 | $ | 387,421 | $ | 10,625,198 | $ | 2,236,603 | |||||||||
$ | 7,408,226 | $ | 1,599,905 | $ | 22,809,399 | $ | 1,354,200 | $ | 648,832 | $ | 21,450,874 | $ | 342,992 | $ | 12,672,959 | $ | 2,320,751 | |||||||||
— | — | — | — | — | 538,159 | — | — | — | ||||||||||||||||||
— | 1,075 | 1,130 | 813 | 53 | 2,382 | 90 | 7,003 | 1,148 | ||||||||||||||||||
American Funds Insurance Series | 121 |
Statements of assets and liabilities
at June 30, 2018
High- Income Bond Fund | Mortgage Fund | Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | Managed Risk Growth Fund | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities, at value: | ||||||||||||||||||||
Unaffiliated issuers | $ | 1,403,358 | $ | 445,063 | $ | 291,637 | $ | 3,487,073 | $ | 14,207 | ||||||||||
Affiliated issuers | — | — | — | — | 308,518 | |||||||||||||||
Cash | 160 | 96 | 76 | 2,325 | — | * | ||||||||||||||
Cash pledged for futures contracts | — | — | — | — | 102 | |||||||||||||||
Cash denominated in currencies other than U.S. dollars | — | * | — | — | — | — | ||||||||||||||
Receivables for: | ||||||||||||||||||||
Sales of investments | 4,666 | 130,368 | — | 635,581 | 234 | |||||||||||||||
Sales of fund’s shares | 145 | 85 | 542 | 571 | 264 | |||||||||||||||
Dividends and interest | 24,008 | 918 | — | 13,945 | 20 | |||||||||||||||
Variation margin on futures contracts | — | 2 | — | 13 | — | |||||||||||||||
Variation margin on swap contracts | 97 | 72 | — | 1,152 | — | |||||||||||||||
Other | 4 | — | * | — | — | 2 | ||||||||||||||
1,432,438 | 576,604 | 292,255 | 4,140,660 | 323,347 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Payables for: | ||||||||||||||||||||
Purchases of investments | 35,545 | 237,316 | — | 1,117,448 | 250 | |||||||||||||||
Repurchases of fund’s shares | 560 | 149 | 282 | 3,214 | 247 | |||||||||||||||
Investment advisory services | 542 | 117 | 76 | 840 | 26 | |||||||||||||||
Services provided by related parties | 172 | 18 | 55 | 331 | 256 | |||||||||||||||
Trustees’ deferred compensation | 52 | 2 | 18 | 60 | 1 | |||||||||||||||
Variation margin on futures contracts | — | 27 | — | 2,818 | 4 | |||||||||||||||
Variation margin on swap contracts | 35 | 57 | — | 870 | — | |||||||||||||||
Non-U.S. taxes | 5 | — | — | — | — | |||||||||||||||
Other | 509 | 10 | 9 | 56 | — | |||||||||||||||
37,420 | 237,696 | 440 | 1,125,637 | 784 | ||||||||||||||||
Net assets at June 30, 2018 | $ | 1,395,018 | $ | 338,908 | $ | 291,815 | $ | 3,015,023 | $ | 322,563 | ||||||||||
Net assets consist of: | ||||||||||||||||||||
Capital paid in on shares of beneficial interest | $ | 1,558,816 | $ | 343,263 | $ | 290,165 | $ | 3,067,310 | $ | 286,485 | ||||||||||
Undistributed (distributions in excess of) net investment income | 41,321 | 3,128 | 1,668 | 28,754 | (282 | ) | ||||||||||||||
Undistributed (accumulated) net realized gain (loss) | (184,946 | ) | (7,578 | ) | — | (81,699 | ) | 11,814 | ||||||||||||
Net unrealized appreciation (depreciation) | (20,173 | ) | 95 | (18 | ) | 658 | 24,546 | |||||||||||||
Net assets at June 30, 2018 | $ | 1,395,018 | $ | 338,908 | $ | 291,815 | $ | 3,015,023 | $ | 322,563 | ||||||||||
Investment securities, at cost: | ||||||||||||||||||||
Unaffiliated issuers | $ | 1,425,947 | $ | 446,686 | $ | 291,655 | $ | 3,518,379 | $ | 14,207 | ||||||||||
Affiliated issuers | — | — | — | — | 284,048 | |||||||||||||||
Cash denominated in currencies other than U.S. dollars, at cost | — | * | — | — | — | — |
See end of statements of assets and liabilities for footnote.
See Notes to Financial Statements
122 | American Funds Insurance Series |
unaudited
(dollars in thousands)
Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth- Income Fund | Managed Risk Asset Allocation Fund | |||||||||||
$ | 6,896 | $ | 16,809 | $ | 7,224 | $ | 161,352 | |||||||
148,340 | 334,778 | 220,512 | 4,308,081 | |||||||||||
— | * | — | * | — | * | — | * | |||||||
50 | 114 | 48 | 1,088 | |||||||||||
— | — | — | — | |||||||||||
615 | 86 | 551 | 9,360 | |||||||||||
62 | 134 | 335 | 1,078 | |||||||||||
10 | 25 | 10 | 235 | |||||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
4 | — | 4 | — | |||||||||||
155,977 | 351,946 | 228,684 | 4,481,194 | |||||||||||
57 | 90 | 317 | 849 | |||||||||||
648 | 131 | 581 | 10,037 | |||||||||||
13 | 29 | 19 | 371 | |||||||||||
130 | 287 | 183 | 3,329 | |||||||||||
— | * | 1 | 1 | 20 | ||||||||||
2 | 4 | 2 | 38 | |||||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
— | 5 | — | 1,706 | |||||||||||
850 | 547 | 1,103 | 16,350 | |||||||||||
$ | 155,127 | $ | 351,399 | $ | 227,581 | $ | 4,464,844 | |||||||
$ | 144,278 | $ | 330,269 | $ | 212,154 | $ | 4,136,918 | |||||||
(48 | ) | 364 | 13 | 5,002 | ||||||||||
(1,090 | ) | 14,831 | 3,679 | 144,012 | ||||||||||
11,987 | 5,935 | 11,735 | 178,912 | |||||||||||
$ | 155,127 | $ | 351,399 | $ | 227,581 | $ | 4,464,844 | |||||||
$ | 6,896 | $ | 16,809 | $ | 7,224 | $ | 161,352 | |||||||
136,391 | 328,928 | 208,813 | 4,129,979 | |||||||||||
— | — | — | — |
American Funds Insurance Series | 123 |
Statements of assets and liabilities
at June 30, 2018
Global Growth Fund | Global Small Capitalization Fund | Growth Fund | International Fund | New World Fund | ||||||||||||||||
Shares of beneficial interest issued and outstanding (no stated par value) — unlimited shares authorized | ||||||||||||||||||||
Class 1: | ||||||||||||||||||||
Net assets | $ | 2,125,350 | $ | 1,671,016 | $ | 8,449,474 | $ | 5,051,798 | $ | 1,978,499 | ||||||||||
Shares outstanding | 72,341 | 65,698 | 109,203 | 244,377 | 83,760 | |||||||||||||||
Net asset value per share | $ | 29.38 | $ | 25.44 | $ | 77.37 | $ | 20.67 | $ | 23.62 | ||||||||||
Class 1A: | ||||||||||||||||||||
Net assets | $ | 4,347 | $ | 361 | $ | 6,823 | $ | 4,310 | $ | 1,837 | ||||||||||
Shares outstanding | 149 | 14 | 88 | 209 | 78 | |||||||||||||||
Net asset value per share | $ | 29.30 | $ | 25.39 | $ | 77.16 | $ | 20.61 | $ | 23.55 | ||||||||||
Class 2: | ||||||||||||||||||||
Net assets | $ | 3,892,666 | $ | 2,474,075 | $ | 16,009,356 | $ | 4,431,950 | $ | 959,932 | ||||||||||
Shares outstanding | 133,886 | 100,074 | 208,561 | 215,415 | 41,054 | |||||||||||||||
Net asset value per share | $ | 29.07 | $ | 24.72 | $ | 76.76 | $ | 20.57 | $ | 23.38 | ||||||||||
Class 3: | ||||||||||||||||||||
Net assets | $ | 217,167 | $ | 28,956 | ||||||||||||||||
Shares outstanding | 2,790 | 1,399 | ||||||||||||||||||
Net asset value per share | $ | 77.84 | $ | 20.70 | ||||||||||||||||
Class 4: | ||||||||||||||||||||
Net assets | $ | 252,492 | $ | 150,419 | $ | 1,109,504 | $ | 319,586 | $ | 459,956 | ||||||||||
Shares outstanding | 8,726 | 6,044 | 14,636 | 15,713 | 19,753 | |||||||||||||||
Net asset value per share | $ | 28.93 | $ | 24.89 | $ | 75.80 | $ | 20.34 | $ | 23.28 | ||||||||||
High- Income Bond Fund | Mortgage Fund | Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | Managed Risk Growth Fund | ||||||||||||||||
Shares of beneficial interest issued and outstanding (no stated par value) — unlimited shares authorized | ||||||||||||||||||||
Class 1: | ||||||||||||||||||||
Net assets | $ | 611,063 | $ | 262,166 | $ | 36,131 | $ | 1,526,368 | ||||||||||||
Shares outstanding | 60,323 | 25,420 | 3,186 | 128,239 | ||||||||||||||||
Net asset value per share | $ | 10.13 | $ | 10.31 | $ | 11.34 | $ | 11.90 | ||||||||||||
Class 1A: | ||||||||||||||||||||
Net assets | $ | 614 | $ | 609 | $ | 10 | $ | 1,136 | ||||||||||||
Shares outstanding | 61 | 59 | 1 | 96 | ||||||||||||||||
Net asset value per share | $ | 10.11 | $ | 10.29 | $ | 11.34 | $ | 11.89 | ||||||||||||
Class 2: | ||||||||||||||||||||
Net assets | $ | 737,830 | $ | 60,290 | $ | 237,240 | $ | 1,411,958 | ||||||||||||
Shares outstanding | 74,060 | 5,862 | 21,470 | 119,909 | ||||||||||||||||
Net asset value per share | $ | 9.96 | $ | 10.29 | $ | 11.05 | $ | 11.78 | ||||||||||||
Class 3: | ||||||||||||||||||||
Net assets | $ | 11,987 | $ | 4,491 | $ | 8,908 | ||||||||||||||
Shares outstanding | 1,179 | 402 | 747 | |||||||||||||||||
Net asset value per share | $ | 10.16 | $ | 11.17 | $ | 11.92 | ||||||||||||||
Class 4: | ||||||||||||||||||||
Net assets | $ | 33,524 | $ | 15,843 | $ | 13,943 | $ | 66,653 | ||||||||||||
Shares outstanding | 3,120 | 1,552 | 1,248 | 5,654 | ||||||||||||||||
Net asset value per share | $ | 10.75 | $ | 10.20 | $ | 11.17 | $ | 11.79 | ||||||||||||
Class P1: | ||||||||||||||||||||
Net assets | $ | 2,110 | ||||||||||||||||||
Shares outstanding | 163 | |||||||||||||||||||
Net asset value per share | $ | 12.97 | ||||||||||||||||||
Class P2: | ||||||||||||||||||||
Net assets | $ | 320,453 | ||||||||||||||||||
Shares outstanding | 24,848 | |||||||||||||||||||
Net asset value per share | $12.90 |
* | Amount less than one thousand. |
See Notes to Financial Statements
124 | American Funds Insurance Series |
unaudited
(dollars and shares in thousands, except per-share amounts)
Blue Chip Income and Growth Fund | Global Growth and Income Fund | Growth- Income Fund | International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | Global Balanced Fund | Bond Fund | Global Bond Fund | ||||||||||||||||||
$ | 5,452,895 | $ | 511,918 | $ | 16,653,404 | $ | 1,124,429 | $ | 288,518 | $ | 16,913,613 | $ | 110,615 | $ | 6,532,048 | $ | 1,079,163 | |||||||||
394,094 | 35,313 | 334,012 | 64,874 | 28,856 | 739,298 | 8,717 | 617,843 | 92,762 | ||||||||||||||||||
$ | 13.84 | $ | 14.50 | $ | 49.86 | $ | 17.33 | $ | 10.00 | $ | 22.88 | $ | 12.69 | $ | 10.57 | $ | 11.63 | |||||||||
$ | 2,549 | $ | 872 | $ | 5,658 | $ | 1,899 | $ | 3,120 | $ | 6,777 | $ | 1,476 | $ | 2,530 | $ | 311 | |||||||||
185 | 60 | 114 | 110 | 312 | 297 | 117 | 240 | 27 | ||||||||||||||||||
$ | 13.80 | $ | 14.47 | $ | 49.73 | $ | 17.29 | $ | 9.99 | $ | 22.83 | $ | 12.67 | $ | 10.54 | $ | 11.62 | |||||||||
$ | 3,334,607 | $ | 1,430,006 | $ | 13,815,850 | $ | 265,551 | $ | 2,939 | $ | 5,235,377 | $ | 206,382 | $ | 3,759,209 | $ | 1,117,576 | |||||||||
244,088 | 98,925 | 280,381 | 15,382 | 294 | 231,320 | 16,313 | 360,304 | 96,865 | ||||||||||||||||||
$ | 13.66 | $ | 14.46 | $ | 49.28 | $ | 17.26 | $ | 9.99 | $ | 22.63 | $ | 12.65 | $ | 10.43 | $ | 11.54 | |||||||||
$ | 163,240 | $ | 35,083 | |||||||||||||||||||||||
3,271 | 1,533 | |||||||||||||||||||||||||
$ | 49.91 | $ | 22.89 | |||||||||||||||||||||||
$ | 305,823 | $ | 92,437 | $ | 914,868 | $ | 73,803 | $ | 354,560 | $ | 3,736,322 | $ | 68,948 | $ | 331,411 | $ | 39,553 | |||||||||
22,464 | 6,485 | 18,749 | 4,300 | 35,528 | 165,886 | 5,499 | 31,816 | 3,458 | ||||||||||||||||||
$ | 13.61 | $ | 14.25 | $ | 48.80 | $ | 17.16 | $ | 9.98 | $ | 22.52 | $ | 12.54 | $ | 10.42 | $ | 11.44 | |||||||||
Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth- Income Fund | Managed Risk Asset Allocation Fund | |||||||||||||||||||||||
$ | 229 | $ | 211 | $ | 2,834 | $ | 1,718,689 | |||||||||||||||||||
21 | 17 | 229 | 133,575 | |||||||||||||||||||||||
$ | 11.01 | $ | 12.16 | $ | 12.38 | $ | 12.87 | |||||||||||||||||||
$ | 154,898 | $ | 351,188 | $ | 224,747 | $ | 2,746,155 | |||||||||||||||||||
14,179 | 29,111 | 18,250 | 213,747 | |||||||||||||||||||||||
$ | 10.92 | $ | 12.06 | $ | 12.32 | $ | 12.85 | |||||||||||||||||||
American Funds Insurance Series | 125 |
Statements of operations
for the six months ended June 30, 2018
Global | ||||||||||||||||||||
Global | Small | New | ||||||||||||||||||
Growth | Capitalization | Growth | International | World | ||||||||||||||||
Fund | Fund | Fund | Fund | Fund | ||||||||||||||||
Investment income: | ||||||||||||||||||||
Income (net of non-U.S. taxes*): | ||||||||||||||||||||
Dividends | $ | 58,468 | $ | 23,989 | $ | 142,604 | $ | 126,679 | $ | 30,583 | ||||||||||
Interest | 2,423 | 2,955 | 9,504 | 8,724 | 4,953 | |||||||||||||||
60,891 | 26,944 | 152,108 | 135,403 | 35,536 | ||||||||||||||||
Fees and expenses*: | ||||||||||||||||||||
Investment advisory services | 16,370 | 15,017 | 41,134 | 24,375 | 12,285 | |||||||||||||||
Distribution services | 5,317 | 3,326 | 21,396 | 6,044 | 1,846 | |||||||||||||||
Insurance administrative services | 296 | 172 | 1,293 | 390 | 570 | |||||||||||||||
Transfer agent services | 1 | — | † | 1 | 1 | — | † | |||||||||||||
Administrative services | 318 | 216 | 1,274 | 496 | 176 | |||||||||||||||
Reports to shareholders | 94 | 60 | 379 | 143 | 50 | |||||||||||||||
Registration statement and prospectus | 23 | 16 | 93 | 38 | 13 | |||||||||||||||
Trustees’ compensation | 20 | 13 | 79 | 31 | 11 | |||||||||||||||
Auditing and legal | 19 | 15 | 12 | 33 | 18 | |||||||||||||||
Custodian | 434 | 331 | 248 | 893 | 626 | |||||||||||||||
State, local and other taxes | — | † | — | — | 1 | — | † | |||||||||||||
Other | 5 | 48 | 13 | 9 | 41 | |||||||||||||||
Total fees and expenses before waivers/reimbursements | 22,897 | 19,214 | 65,922 | 32,454 | 15,636 | |||||||||||||||
Less waivers/reimbursements of fees and expenses: | ||||||||||||||||||||
Investment advisory services waivers | — | — | — | — | — | |||||||||||||||
Miscellaneous fee reimbursements | — | — | — | — | — | |||||||||||||||
Total waivers/reimbursements of fees and expenses | — | — | — | — | — | |||||||||||||||
Total fees and expenses after waivers/reimbursements | 22,897 | 19,214 | 65,922 | 32,454 | 15,636 | |||||||||||||||
Net investment income (loss) | 37,994 | 7,730 | 86,186 | 102,949 | 19,900 | |||||||||||||||
Net realized gain (loss) and unrealized (depreciation) appreciation: | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | ||||||||||||||||||||
Unaffiliated issuers | 204,049 | 194,899 | 1,032,911 | 208,387 | 162,902 | |||||||||||||||
Affiliated issuers* | — | 3,739 | — | — | — | |||||||||||||||
Futures contracts | — | — | — | — | — | |||||||||||||||
Forward currency contracts | (53 | ) | (334 | ) | — | 413 | (41 | ) | ||||||||||||
Swap contracts | — | — | — | — | — | |||||||||||||||
Currency transactions | (41 | ) | 13 | (442 | ) | (1,114 | ) | 238 | ||||||||||||
203,955 | 198,317 | 1,032,469 | 207,686 | 163,099 | ||||||||||||||||
Net unrealized (depreciation) appreciation on: | ||||||||||||||||||||
Investments | ||||||||||||||||||||
Unaffiliated issuers | (46,500 | ) | (4,037 | ) | 1,292,961 | (319,100 | ) | (323,788 | ) | |||||||||||
Affiliated issuers | — | (10,233 | ) | — | — | — | ||||||||||||||
Futures contracts | — | — | — | — | — | |||||||||||||||
Forward currency contracts | 18 | 1,531 | — | 1,017 | 922 | |||||||||||||||
Swap contracts | — | — | — | — | — | |||||||||||||||
Currency translations | 43 | (23 | ) | (86 | ) | (365 | ) | 1,092 | ||||||||||||
(46,439 | ) | (12,762 | ) | 1,292,875 | (318,448 | ) | (321,774 | ) | ||||||||||||
Net realized gain (loss) and unrealized (depreciation) appreciation | 157,516 | 185,555 | 2,325,344 | (110,762 | ) | (158,675 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 195,510 | $ | 193,285 | $ | 2,411,530 | $ | (7,813 | ) | $ | (138,775 | ) |
See end of statements of operations for footnotes.
See Notes to Financial Statements
126 | American Funds Insurance Series |
unaudited
(dollars in thousands)
Blue Chip Income and Growth Fund | Global Growth and Income Fund | Growth- Income Fund | International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | Global Balanced Fund | Bond Fund | Global Bond Fund | ||||||||||||||||||||||||||
$ | 121,448 | $ | 29,629 | $ | 278,235 | $ | 27,379 | $ | 9,904 | $ | 172,799 | $ | 3,616 | $ | — | $ | — | |||||||||||||||||
2,421 | 2,323 | 19,173 | 2,587 | 2,275 | 131,203 | 1,780 | 157,930 | 36,371 | ||||||||||||||||||||||||||
123,869 | 31,952 | 297,408 | 29,966 | 12,179 | 304,002 | 5,396 | 157,930 | 36,371 | ||||||||||||||||||||||||||
17,773 | 6,200 | 40,241 | 4,450 | 1,537 | 34,120 | 1,242 | 19,179 | 6,271 | ||||||||||||||||||||||||||
4,601 | 1,996 | 18,626 | 428 | 428 | 11,259 | 341 | 5,153 | 1,487 | ||||||||||||||||||||||||||
344 | 109 | 1,096 | 88 | 428 | 4,563 | 78 | 390 | 46 | ||||||||||||||||||||||||||
1 | — | † | 2 | — | † | — | † | 1 | — | † | 1 | — | † | |||||||||||||||||||||
458 | 105 | 1,557 | 74 | 31 | 1,285 | 19 | 530 | 118 | ||||||||||||||||||||||||||
107 | 24 | 447 | 11 | 5 | 369 | 3 | 147 | 28 | ||||||||||||||||||||||||||
10 | 3 | 107 | 16 | 18 | 345 | 8 | 37 | 4 | ||||||||||||||||||||||||||
29 | 7 | 97 | 4 | 2 | 80 | 1 | 33 | 8 | ||||||||||||||||||||||||||
4 | 12 | 16 | 10 | 5 | 13 | 10 | 8 | 3 | ||||||||||||||||||||||||||
246 | 189 | 537 | 194 | 21 | 178 | 19 | 127 | 206 | ||||||||||||||||||||||||||
— | — | † | — | — | † | — | — | — | — | — | ||||||||||||||||||||||||
5 | 1 | 17 | 2 | 5 | 34 | 17 | 57 | 48 | ||||||||||||||||||||||||||
23,578 | 8,646 | 62,743 | 5,277 | 2,480 | 52,247 | 1,738 | 25,662 | 8,219 | ||||||||||||||||||||||||||
— | — | — | 1 | 5 | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | 1 | 5 | — | — | — | — | ||||||||||||||||||||||||||
23,578 | 8,646 | 62,743 | 5,276 | 2,475 | 52,247 | 1,738 | 25,662 | 8,219 | ||||||||||||||||||||||||||
100,291 | 23,306 | 234,665 | 24,690 | 9,704 | 251,755 | 3,658 | 132,268 | 28,152 | ||||||||||||||||||||||||||
551,972 | 42,500 | 1,792,533 | 32,229 | (1,828 | ) | 805,562 | 4,495 | (109,690 | ) | 16,505 | ||||||||||||||||||||||||
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
— | — | — | — | — | 746 | — | (39,999 | ) | (5,196 | ) | ||||||||||||||||||||||||
— | — | — | — | — | — | (303 | ) | 4,320 | 2,923 | |||||||||||||||||||||||||
— | — | — | — | — | (3,011 | ) | — | 17,220 | 1,540 | |||||||||||||||||||||||||
36 | (250 | ) | (1,536 | ) | 349 | (74 | ) | (223 | ) | (1 | ) | (470 | ) | (969 | ) | |||||||||||||||||||
552,008 | 42,250 | 1,790,997 | 32,578 | (1,902 | ) | 803,074 | 4,191 | (128,619 | ) | 14,803 | ||||||||||||||||||||||||
(610,059 | ) | (83,171 | ) | (40,002 | ) | (84,086 | ) | (22,182 | ) | (776,248 | ) | (10,963 | ) | (188,704 | ) | (79,744 | ) | |||||||||||||||||
— | — | — | — | — | (11,665 | ) | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | 486 | — | 6,343 | 846 | ||||||||||||||||||||||||||
— | — | — | — | — | — | 309 | (8,091 | ) | 4,160 | |||||||||||||||||||||||||
— | — | — | — | — | 5,263 | — | (8,040 | ) | 1,142 | |||||||||||||||||||||||||
(38 | ) | 58 | (90 | ) | (102 | ) | (19 | ) | (82 | ) | (44 | ) | (157 | ) | (726 | ) | ||||||||||||||||||
(610,097 | ) | (83,113 | ) | (40,092 | ) | (84,188 | ) | (22,201 | ) | (782,246 | ) | (10,698 | ) | (198,649 | ) | (74,322 | ) | |||||||||||||||||
(58,089 | ) | (40,863 | ) | 1,750,905 | (51,610 | ) | (24,103 | ) | 20,828 | (6,507 | ) | (327,268 | ) | (59,519 | ) | |||||||||||||||||||
$ | 42,202 | $ | (17,557 | ) | $ | 1,985,570 | $ | (26,920 | ) | $ | (14,399 | ) | $ | 272,583 | $ | (2,849 | ) | $ | (195,000 | ) | $ | (31,367 | ) | |||||||||||
American Funds Insurance Series | 127 |
Statements of operations
for the six months ended June 30, 2018
U.S. | ||||||||||||||||||||
High- | Government/ | Managed | ||||||||||||||||||
Income | AAA-Rated | Risk | ||||||||||||||||||
Bond | Mortgage | Ultra-Short | Securities | Growth | ||||||||||||||||
Fund | Fund | Bond Fund | Fund | Fund | ||||||||||||||||
Investment income: | ||||||||||||||||||||
Income (net of non-U.S. taxes*): | ||||||||||||||||||||
Dividends | $ | — | $ | — | $ | — | $ | — | $ | 575 | ||||||||||
Interest | 47,139 | 4,009 | 2,519 | 35,728 | 88 | |||||||||||||||
47,139 | 4,009 | 2,519 | 35,728 | 663 | ||||||||||||||||
Fees and expenses*: | ||||||||||||||||||||
Investment advisory services | 3,319 | 704 | 472 | 5,121 | 226 | |||||||||||||||
Distribution services | 989 | 93 | 321 | 1,875 | 375 | |||||||||||||||
Insurance administrative services | 38 | 18 | 17 | 78 | 377 | |||||||||||||||
Transfer agent services | — | † | — | † | — | † | — | † | — | † | ||||||||||
Administrative services | 71 | 17 | 15 | 152 | — | |||||||||||||||
Accounting and administrative services | — | — | — | — | 19 | |||||||||||||||
Reports to shareholders | 15 | 3 | 4 | 31 | 3 | |||||||||||||||
Registration statement and prospectus | 5 | 1 | — | † | 11 | 5 | ||||||||||||||
Trustees’ compensation | 5 | 1 | 1 | 10 | 1 | |||||||||||||||
Auditing and legal | 4 | — | † | — | † | 1 | 8 | |||||||||||||
Custodian | 14 | 17 | — | † | 25 | 4 | ||||||||||||||
Other | 20 | 22 | — | † | 38 | 1 | ||||||||||||||
Total fees and expenses before waivers/reimbursements | 4,480 | 876 | 830 | 7,342 | 1,019 | |||||||||||||||
Less waivers/reimbursements of fees and expenses: | ||||||||||||||||||||
Investment advisory services waivers | — | — | — | — | 75 | |||||||||||||||
Miscellaneous fee reimbursements | — | — | — | — | 11 | |||||||||||||||
Total waivers/reimbursements of fees and expenses | — | — | — | — | 86 | |||||||||||||||
Total fees and expenses after waivers/reimbursements | 4,480 | 876 | 830 | 7,342 | 933 | |||||||||||||||
Net investment income (loss) | 42,659 | 3,133 | 1,689 | 28,386 | (270 | ) | ||||||||||||||
Net realized gain (loss) and unrealized (depreciation) appreciation: | ||||||||||||||||||||
Net realized gain (loss) on: | �� | |||||||||||||||||||
Investments | ||||||||||||||||||||
Unaffiliated issuers | (20,160 | ) | (3,153 | ) | — | † | (24,670 | ) | — | |||||||||||
Affiliated issuers* | — | — | — | — | 1,639 | |||||||||||||||
Futures contracts | — | (5,150 | ) | — | (52,726 | ) | (6,082 | ) | ||||||||||||
Swap contracts | (1,217 | ) | 624 | — | (6,083 | ) | — | |||||||||||||
Currency transactions | (4 | ) | — | — | — | (1 | ) | |||||||||||||
Capital gain distributions received from affiliated issuers | — | — | — | — | 24,732 | |||||||||||||||
(21,381 | ) | (7,679 | ) | — | † | (83,479 | ) | 20,288 | ||||||||||||
Net unrealized (depreciation) appreciation on: | ||||||||||||||||||||
Investments | ||||||||||||||||||||
Unaffiliated issuers | (18,063 | ) | (2,593 | ) | 23 | (30,329 | ) | — | ||||||||||||
Affiliated issuers | — | — | — | — | (4,684 | ) | ||||||||||||||
Futures contracts | (75 | ) | 1,430 | — | 17,551 | 114 | ||||||||||||||
Swap contracts | 2,488 | 1,705 | — | 30,287 | — | |||||||||||||||
Currency translations | 3 | — | — | — | — | |||||||||||||||
(15,647 | ) | 542 | 23 | 17,509 | (4,570 | ) | ||||||||||||||
Net realized gain (loss) and unrealized (depreciation) appreciation | (37,028 | ) | (7,137 | ) | 23 | (65,970 | ) | 15,718 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 5,631 | $ | (4,004 | ) | $ | 1,712 | $ | (37,584 | ) | $ | 15,448 |
* | Additional information related to non-U.S. taxes, class-specific fees and expenses and affiliated income is included in the Notes to Financial Statements. |
† | Amount less than one thousand. |
See Notes to Financial Statements
128 | American Funds Insurance Series |
unaudited
(dollars in thousands)
Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth- Income Fund | Managed Risk Asset Allocation Fund | ||||||||||||
$ | 389 | $ | 1,376 | $ | 638 | $ | 15,338 | ||||||||
51 | 106 | 56 | 1,266 | ||||||||||||
440 | 1,482 | 694 | 16,604 | ||||||||||||
116 | 265 | 163 | 3,335 | ||||||||||||
194 | 441 | 269 | 3,455 | ||||||||||||
194 | 441 | 272 | 5,559 | ||||||||||||
— | † | — | † | — | † | — | † | ||||||||
— | — | — | — | ||||||||||||
18 | 20 | 18 | 51 | ||||||||||||
2 | 3 | 2 | 37 | ||||||||||||
4 | 6 | 4 | 58 | ||||||||||||
— | † | 1 | 1 | 14 | |||||||||||
8 | 8 | 8 | 11 | ||||||||||||
4 | 4 | 4 | 4 | ||||||||||||
1 | 1 | 1 | 3 | ||||||||||||
541 | 1,190 | 742 | 12,527 | ||||||||||||
39 | 88 | 54 | 1,112 | ||||||||||||
22 | — | 17 | — | ||||||||||||
61 | 88 | 71 | 1,112 | ||||||||||||
480 | 1,102 | 671 | 11,415 | ||||||||||||
(40 | ) | 380 | 23 | 5,189 | |||||||||||
— | — | — | — | ||||||||||||
278 | 2,904 | (279 | ) | 7,542 | |||||||||||
(377 | ) | (7,203 | ) | (3,050 | ) | (49,802 | ) | ||||||||
— | — | — | — | ||||||||||||
— | † | (1 | ) | — | † | 6 | |||||||||
5,858 | 21,502 | 12,395 | 185,909 | ||||||||||||
5,759 | 17,202 | 9,066 | 143,655 | ||||||||||||
— | — | — | — | ||||||||||||
(7,067 | ) | (24,782 | ) | (2,091 | ) | (160,545 | ) | ||||||||
57 | 134 | 64 | 1,402 | ||||||||||||
— | — | — | — | ||||||||||||
— | — | — | — | ||||||||||||
(7,010 | ) | (24,648 | ) | (2,027 | ) | (159,143 | ) | ||||||||
(1,251 | ) | (7,446 | ) | 7,039 | (15,488 | ) | |||||||||
$ | (1,291 | ) | $ | (7,066 | ) | $ | 7,062 | $ | (10,299 | ) |
American Funds Insurance Series | 129 |
Statements of changes in net assets
Global Small | ||||||||||||||||||||||||
Global Growth Fund | Capitalization Fund | Growth Fund | ||||||||||||||||||||||
Six months | Six months | Six months | ||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||
2018* | 2017 | 2018* | 2017 | 2018* | 2017 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 37,994 | $ | 44,912 | $ | 7,730 | $ | 15,312 | $ | 86,186 | $ | 136,774 | ||||||||||||
Net realized gain (loss) | 203,955 | 433,191 | 198,317 | 207,903 | 1,032,469 | 2,561,073 | ||||||||||||||||||
Net unrealized (depreciation) appreciation | (46,439 | ) | 1,102,516 | (12,762 | ) | 731,086 | 1,292,875 | 3,159,797 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 195,510 | 1,580,619 | 193,285 | 954,301 | 2,411,530 | 5,857,644 | ||||||||||||||||||
Dividends and distributions paid to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (5,955 | ) | (42,742 | ) | (2,542 | ) | (21,019 | ) | (30,167 | ) | (136,164 | ) | ||||||||||||
Distributions from net realized gain on investments | (428,020 | ) | (174,096 | ) | (188,621 | ) | — | (2,516,015 | ) | (2,251,429 | ) | |||||||||||||
Total dividends and distributions paid to shareholders | (433,975 | ) | (216,838 | ) | (191,163 | ) | (21,019 | ) | (2,546,182 | ) | (2,387,593 | ) | ||||||||||||
Net capital share transactions | 278,244 | (335,425 | ) | (21,289 | ) | (495,098 | ) | 941,518 | (34,343 | ) | ||||||||||||||
Total increase (decrease) in net assets | 39,779 | 1,028,356 | (19,167 | ) | 438,184 | 806,866 | 3,435,708 | |||||||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of period | 6,235,076 | 5,206,720 | 4,315,038 | 3,876,854 | 24,985,458 | 21,549,750 | ||||||||||||||||||
End of period | $ | 6,274,855 | $ | 6,235,076 | $ | 4,295,871 | $ | 4,315,038 | $ | 25,792,324 | $ | 24,985,458 | ||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 35,281 | $ | 3,242 | $ | 15,695 | $ | 10,507 | $ | 97,128 | $ | 41,109 | ||||||||||||
International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | ||||||||||||||||||||||
Six months | Six months | Six months | ||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||
2018* | 2017 | 2018* | 2017 | 2018* | 2017 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 24,690 | $ | 35,259 | $ | 9,704 | $ | 14,607 | $ | 251,755 | $ | 419,292 | ||||||||||||
Net realized gain (loss) | 32,578 | 5,636 | (1,902 | ) | 8,964 | 803,074 | 1,243,464 | |||||||||||||||||
Net unrealized (depreciation) appreciation | (84,188 | ) | 242,768 | (22,201 | ) | 35,709 | (782,246 | ) | 1,880,231 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (26,920 | ) | 283,663 | (14,399 | ) | 59,280 | 272,583 | 3,542,987 | ||||||||||||||||
Dividends and distributions paid to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (4,863 | ) | (32,772 | ) | (9,018 | ) | (14,010 | ) | (87,244 | ) | (405,124 | ) | ||||||||||||
Distributions from net realized gain on investments | — | — | (1,388 | ) | — | (1,120,993 | ) | (1,069,604 | ) | |||||||||||||||
Total dividends and distributions paid to shareholders | (4,863 | ) | (32,772 | ) | (10,406 | ) | (14,010 | ) | (1,208,237 | ) | (1,474,728 | ) | ||||||||||||
Net capital share transactions | 35,498 | 109,624 | 79,485 | 137,152 | 1,202,732 | 2,543,934 | ||||||||||||||||||
Total increase (decrease) in net assets | 3,715 | 360,515 | 54,680 | 182,422 | 267,078 | 4,612,193 | ||||||||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of period | 1,461,967 | 1,101,452 | 594,457 | 412,035 | 25,660,094 | 21,047,901 | ||||||||||||||||||
End of period | $ | 1,465,682 | $ | 1,461,967 | $ | 649,137 | $ | 594,457 | $ | 25,927,172 | $ | 25,660,094 | ||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 24,174 | $ | 4,347 | $ | 947 | $ | 261 | $ | 257,027 | $ | 92,516 |
See end of statements of changes in net assets for footnote.
See Notes to Financial Statements
130 | American Funds Insurance Series |
(dollars in thousands)
International Fund | New World Fund | Blue Chip Income and Growth Fund | Global Growth and Income Fund | Growth-Income Fund | ||||||||||||||||||||||||||||||||||
Six months | Six months | Six months | Six months | Six months | ||||||||||||||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||||||||||||
2018* | 2017 | 2018* | 2017 | 2018* | 2017 | 2018* | 2017 | 2018* | 2017 | |||||||||||||||||||||||||||||
$ | 102,949 | $ | 105,868 | $ | 19,900 | $ | 32,918 | $ | 100,291 | $ | 195,270 | $ | 23,306 | $ | 44,369 | $ | 234,665 | $ | 445,666 | |||||||||||||||||||
207,686 | 438,684 | 163,099 | 236,990 | 552,008 | 686,720 | 42,250 | 151,286 | 1,790,997 | 2,102,617 | |||||||||||||||||||||||||||||
(318,448 | ) | 1,850,536 | (321,774 | ) | 567,588 | (610,097 | ) | 550,461 | (83,113 | ) | 281,638 | (40,092 | ) | 3,222,646 | ||||||||||||||||||||||||
(7,813 | ) | 2,395,088 | (138,775 | ) | 837,496 | 42,202 | 1,432,451 | (17,557 | ) | 477,293 | 1,985,570 | 5,770,929 | ||||||||||||||||||||||||||
(20,717 | ) | (124,236 | ) | (8,140 | ) | (34,131 | ) | (37,394 | ) | (188,626 | ) | (4,953 | ) | (42,795 | ) | (78,162 | ) | (435,451 | ) | |||||||||||||||||||
(462,357 | ) | (100,924 | ) | (93,325 | ) | — | (699,094 | ) | (328,660 | ) | (153,097 | ) | (33,692 | ) | (2,127,600 | ) | (1,807,557 | ) | ||||||||||||||||||||
(483,074 | ) | (225,160 | ) | (101,465 | ) | (34,131 | ) | (736,488 | ) | (517,286 | ) | (158,050 | ) | (76,487 | ) | (2,205,762 | ) | (2,243,008 | ) | |||||||||||||||||||
569,665 | 133,019 | 107,751 | (164,517 | ) | 410,311 | (178,554 | ) | 108,394 | (289,969 | ) | 1,080,850 | 1,071,251 | ||||||||||||||||||||||||||
78,778 | 2,302,947 | (132,489 | ) | 638,848 | (283,975 | ) | 736,611 | (67,213 | ) | 110,837 | 860,658 | 4,599,172 | ||||||||||||||||||||||||||
9,757,822 | 7,454,875 | 3,532,713 | 2,893,865 | 9,379,849 | 8,643,238 | 2,102,446 | 1,991,609 | 30,692,362 | 26,093,190 | |||||||||||||||||||||||||||||
$ | 9,836,600 | $ | 9,757,822 | $ | 3,400,224 | $ | 3,532,713 | $ | 9,095,874 | $ | 9,379,849 | $ | 2,035,233 | $ | 2,102,446 | $ | 31,553,020 | $ | 30,692,362 | |||||||||||||||||||
$ | 85,084 | $ | 2,852 | $ | 16,403 | $ | 4,643 | $ | 100,168 | $ | 37,271 | $ | 25,019 | $ | 6,666 | $ | 244,551 | $ | 88,048 | |||||||||||||||||||
Global Balanced Fund | Bond Fund | Global Bond Fund | High-Income Bond Fund | Mortgage Fund | ||||||||||||||||||||||||||||||||||
Six months | Six months | Six months | Six months | Six months | ||||||||||||||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||||||||||||
2018* | 2017 | 2018* | 2017 | 2018* | 2017 | 2018* | 2017 | 2018* | 2017 | |||||||||||||||||||||||||||||
$ | 3,658 | $ | 4,343 | $ | 132,268 | $ | 226,928 | $ | 28,152 | $ | 53,646 | $ | 42,659 | $ | 96,458 | $ | 3,133 | $ | 5,003 | |||||||||||||||||||
4,191 | 9,276 | (128,619 | ) | (10,510 | ) | 14,803 | (26,825 | ) | (21,381 | ) | 24,442 | (7,679 | ) | 408 | ||||||||||||||||||||||||
(10,698 | ) | 38,239 | (198,649 | ) | 193,041 | (74,322 | ) | 132,187 | (15,647 | ) | (3,823 | ) | 542 | (431 | ) | |||||||||||||||||||||||
(2,849 | ) | 51,858 | (195,000 | ) | 409,459 | (31,367 | ) | 159,008 | 5,631 | 117,077 | (4,004 | ) | 4,980 | |||||||||||||||||||||||||
— | (3,252 | ) | (43,397 | ) | (220,546 | ) | (4,652 | ) | (11,164 | ) | (14,715 | ) | (98,414 | ) | (1,057 | ) | (5,571 | ) | ||||||||||||||||||||
— | (10,070 | ) | (14,589 | ) | (157,395 | ) | (7,707 | ) | (14,449 | ) | — | — | — | (2,214 | ) | |||||||||||||||||||||||
— | (13,322 | ) | (57,986 | ) | (377,941 | ) | (12,359 | ) | (25,613 | ) | (14,715 | ) | (98,414 | ) | (1,057 | ) | (7,785 | ) | ||||||||||||||||||||
36,371 | 63,483 | 180,490 | (223,341 | ) | (187,249 | ) | 85,999 | (49,778 | ) | (346,424 | ) | 3,799 | 2,570 | |||||||||||||||||||||||||
33,522 | 102,019 | (72,496 | ) | (191,823 | ) | (230,975 | ) | 219,394 | (58,862 | ) | (327,761 | ) | (1,262 | ) | (235 | ) | ||||||||||||||||||||||
353,899 | 251,880 | 10,697,694 | 10,889,517 | 2,467,578 | 2,248,184 | 1,453,880 | 1,781,641 | 340,170 | 340,405 | |||||||||||||||||||||||||||||
$ | 387,421 | $ | 353,899 | $ | 10,625,198 | $ | 10,697,694 | $ | 2,236,603 | $ | 2,467,578 | $ | 1,395,018 | $ | 1,453,880 | $ | 338,908 | $ | 340,170 | |||||||||||||||||||
$ | 2,987 | $ | (671 | ) | $ | 124,247 | $ | 35,376 | $ | 26,284 | $ | 2,784 | $ | 41,321 | $ | 13,377 | $ | 3,128 | $ | 1,052 |
American Funds Insurance Series | 131 |
Statements of changes in net assets
Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | Managed Risk Growth Fund | ||||||||||||||||||||||
Six months | Six months | Six months | ||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||
2018* | 2017 | 2018* | 2017 | 2018* | 2017 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 1,689 | $ | 1,388 | $ | 28,386 | $ | 46,503 | $ | (270 | ) | $ | 859 | |||||||||||
Net realized gain (loss) | — | † | 9 | (83,479 | ) | 11,669 | 20,288 | 19,268 | ||||||||||||||||
Net unrealized (depreciation) appreciation | 23 | (64 | ) | 17,509 | (6,874 | ) | (4,570 | ) | 35,360 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,712 | 1,333 | (37,584 | ) | 51,298 | 15,448 | 55,487 | |||||||||||||||||
Dividends and distributions paid to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (483 | ) | (906 | ) | (9,358 | ) | (43,993 | ) | (1,411 | ) | (734 | ) | ||||||||||||
Distributions from net realized gain on investments | — | — | — | — | (20,530 | ) | (4,142 | ) | ||||||||||||||||
Total dividends and distributions paid to shareholders | (483 | ) | (906 | ) | (9,358 | ) | (43,993 | ) | (21,941 | ) | (4,876 | ) | ||||||||||||
Net capital share transactions | (14,219 | ) | (46,638 | ) | (41,350 | ) | 58,286 | 41,097 | 36,220 | |||||||||||||||
Total increase (decrease) in net assets | (12,990 | ) | (46,211 | ) | (88,292 | ) | 65,591 | 34,604 | 86,831 | |||||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of period | 304,805 | 351,016 | 3,103,315 | 3,037,724 | 287,959 | 201,128 | ||||||||||||||||||
End of period | $ | 291,815 | $ | 304,805 | $ | 3,015,023 | $ | 3,103,315 | $ | 322,563 | $ | 287,959 | ||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 1,668 | $ | 462 | $ | 28,754 | $ | 9,726 | $ | (282 | ) | $ | 1,399 |
* | Unaudited. |
See Notes to Financial Statements
132 | American Funds Insurance Series |
(dollars in thousands)
Managed Risk | Managed Risk Blue Chip | Managed Risk | Managed Risk | |||||||||||||||||||||||||||
International Fund | Income and Growth Fund | Growth-Income Fund | Asset Allocation Fund | |||||||||||||||||||||||||||
Six months | Six months | Six months | Six months | |||||||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||||||
June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | June 30 | December 31 | |||||||||||||||||||||||
2018* | 2017 | 2018* | 2017 | 2018* | 2017 | 2018* | 2017 | |||||||||||||||||||||||
$ | (40 | ) | $ | 1,283 | $ | 380 | $ | 5,049 | $ | 23 | $ | 2,028 | $ | 5,189 | $ | 50,782 | ||||||||||||||
5,759 | 248 | 17,202 | 12,835 | 9,066 | 8,283 | 143,655 | 177,329 | |||||||||||||||||||||||
(7,010 | ) | 28,741 | (24,648 | ) | 30,876 | (2,027 | ) | 24,060 | (159,143 | ) | 329,033 | |||||||||||||||||||
(1,291 | ) | 30,272 | (7,066 | ) | 48,760 | 7,062 | 34,371 | (10,299 | ) | 557,144 | ||||||||||||||||||||
(1,331 | ) | (900 | ) | (5,685 | ) | (5,161 | ) | (2,177 | ) | (1,867 | ) | (53,278 | ) | (31,722 | ) | |||||||||||||||
(739 | ) | (1,403 | ) | (12,120 | ) | (5,568 | ) | (9,936 | ) | (7,726 | ) | (174,365 | ) | (38,742 | ) | |||||||||||||||
(2,070 | ) | (2,303 | ) | (17,805 | ) | (10,729 | ) | (12,113 | ) | (9,593 | ) | (227,643 | ) | (70,464 | ) | |||||||||||||||
10,065 | 22,849 | 9,366 | 37,657 | 23,664 | 23,434 | 248,376 | 408,750 | |||||||||||||||||||||||
6,704 | 50,818 | (15,505 | ) | 75,688 | 18,613 | 48,212 | 10,434 | 895,430 | ||||||||||||||||||||||
148,423 | 97,605 | 366,904 | 291,216 | 208,968 | 160,756 | 4,454,410 | 3,558,980 | |||||||||||||||||||||||
$ | 155,127 | $ | 148,423 | $ | 351,399 | $ | 366,904 | $ | 227,581 | $ | 208,968 | $ | 4,464,844 | $ | 4,454,410 | |||||||||||||||
$ | (48 | ) | $ | 1,323 | $ | 364 | $ | 5,669 | $ | 13 | $ | 2,167 | $ | 5,002 | $ | 53,091 |
American Funds Insurance Series | 133 |
Notes to financial statements | unaudited |
1. Organization |
American Funds Insurance Series (the “series”) is registered under the Investment Company Act of 1940 as an open-end, diversified management investment company with 28 different funds (the “funds”). Twenty-three funds in the series are covered in this report. The other five funds in the series, American Funds Insurance Series - Portfolio Series, are covered in a separate report. The assets of each fund are segregated, with each fund accounted for separately. Capital Research and Management Company (“CRMC”) is the series’ investment adviser. Milliman Financial Risk Management LLC (“Milliman FRM”) is the subadviser for the risk management strategy for eight of the funds (the “managed risk funds”), five of which are covered in this report.
The managed risk funds covered in this report are Managed Risk Growth Fund, Managed Risk International Fund, Managed Risk Blue Chip Income and Growth Fund, Managed Risk Growth-Income Fund and Managed Risk Asset Allocation Fund. The managed risk funds invest in other funds within the series (the “underlying funds”) and employ Milliman FRM to implement the risk management strategy, which consists of using hedging instruments — primarily short positions on exchange-traded futures contracts — to attempt to stabilize the volatility of the funds around target volatility levels and reduce the downside exposure of the funds during periods of significant market declines.
Shareholders approved a proposal to reorganize the series from a Massachusetts business trust to a Delaware statutory trust. The reorganization may be completed in the next 12 months; however, the series reserves the right to delay the implementation.
The investment objectives for each fund covered in this report are as follows:
Global Growth Fund — Seeks to provide long-term growth of capital.
Global Small Capitalization Fund — Seeks to provide long-term growth of capital.
Growth Fund — Seeks to provide growth of capital.
International Fund — Seeks to provide long-term growth of capital.
New World Fund — Seeks long-term capital appreciation.
Blue Chip Income and Growth Fund — Seeks to produce income exceeding the average yield on U.S. stocks generally and to provide an opportunity for growth of principal consistent with sound common stock investing.
Global Growth and Income Fund — Seeks to provide long-term growth of capital while providing current income.
Growth-Income Fund — Seeks to achieve long-term growth of capital and income.
International Growth and Income Fund — Seeks to provide long-term growth of capital while providing current income.
Capital Income Builder — Seeks to provide a level of current income that exceeds the average yield on U.S. stocks generally and to provide a growing stream of income over the years. Secondarily, seeks to provide growth of capital.
Asset Allocation Fund — Seeks to provide high total return consistent with preservation of capital over the long term.
Global Balanced Fund — Seeks the balanced accomplishment of three objectives: long-term growth of capital, conservation of principal and current income.
Bond Fund — Seeks to provide as high a level of current income as is consistent with the preservation of capital.
Global Bond Fund — Seeks to provide, over the long term, a high level of total return consistent with prudent investment management.
High-Income Bond Fund — Seeks to provide a high level of current income and, secondarily, capital appreciation.
Mortgage Fund — Seeks to provide current income and preservation of capital.
134 | American Funds Insurance Series |
Ultra-Short Bond Fund — Seeks to provide current income, consistent with the maturity and quality standards applicable to the fund, and preservation of capital and liquidity.
U.S. Government/AAA-Rated Securities Fund — Seeks to provide a high level of current income consistent with preservation of capital.
Managed Risk Growth Fund — Seeks to provide growth of capital while seeking to manage volatility and provide downside protection.
Managed Risk International Fund — Seeks to provide long-term growth of capital while seeking to manage volatility and provide downside protection.
Managed Risk Blue Chip Income and Growth Fund — Seeks to produce income exceeding the average yield on U.S. stocks generally and to provide an opportunity for growth of principal consistent with sound common stock investing, in each case while seeking to manage volatility and provide downside protection.
Managed Risk Growth-Income Fund — Seeks to achieve long-term growth of capital and income while seeking to manage volatility and provide downside protection.
Managed Risk Asset Allocation Fund — Seeks to provide high total return consistent with preservation of capital over the long term while seeking to manage volatility and provide downside protection.
Each fund in the series, except the managed risk funds, offers either four or five share classes (Classes 1, 1A, 2, 3 or 4); the managed risk funds offer two share classes (Classes P1 and P2). Holders of all share classes of each fund have equal pro rata rights to assets, dividends and liquidation proceeds of each fund held. Each share class of each fund has identical voting rights, except for the exclusive right to vote on matters affecting only its class. Share classes have different fees and expenses (“class-specific fees and expenses”), primarily due to different arrangements for certain distribution expenses. Differences in class-specific fees and expenses will result in differences in net investment income and, therefore, the payment of different per-share dividends by each class of each fund.
2. Significant accounting policies
Each fund is an investment company that applies the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board. Each fund’s financial statements have been prepared to comply with U.S. generally accepted accounting principles (“U.S. GAAP”). These principles require the series’ investment adviser to make estimates and assumptions that affect reported amounts and disclosures. Actual results could differ from those estimates. Subsequent events, if any, have been evaluated through the date of issuance in the preparation of the financial statements. The funds follow the significant accounting policies described in this section, as well as the valuation policies described in the next section on valuation.
Security transactions and related investment income — Security transactions are recorded by the funds as of the date the trades are executed with brokers. Realized gains and losses from security transactions are determined based on the specific identified cost of the securities. In the event a security is purchased with a delayed payment date, the funds will segregate liquid assets sufficient to meet their payment obligations. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Market discounts, premiums and original issue discounts on fixed-income securities are amortized daily over the expected life of the security.
Fees and expenses — The fees and expenses of the underlying funds held by the managed risk funds are not included in the fees and expenses reported for each of the managed risk funds; however, they are indirectly reflected in the valuation of each of the underlying funds. These fees are included in the net effective expense ratios that are provided as supplementary information in the financial highlights tables.
Class allocations — Income, fees and expenses (other than class-specific fees and expenses) and realized and unrealized gains and losses are allocated daily among the various share classes of each fund based on their relative net assets. Class-specific fees and expenses, such as distribution expenses, are accrued daily and charged directly to the respective share class of each fund.
Dividends and distributions to shareholders — Dividends and distributions to shareholders are recorded on each fund’s ex-dividend date.
American Funds Insurance Series | 135 |
Currency translation — Assets and liabilities, including investment securities, denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates supplied by one or more pricing vendors on the valuation date. Purchases and sales of investment securities and income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. The effects of changes in exchange rates on investment securities are included with the net realized gain or loss and net unrealized appreciation or depreciation on investments in the funds’ statements of operations. The realized gain or loss and unrealized appreciation or depreciation resulting from all other transactions denominated in currencies other than U.S. dollars are disclosed separately.
3. Valuation
CRMC, the series’ investment adviser, values the funds’ investments at fair value as defined by U.S. GAAP. The net asset value of each share class of each fund is generally determined as of approximately 4:00 p.m. New York time each day the New York Stock Exchange is open.
Methods and inputs — The series’ investment adviser uses the following methods and inputs to establish the fair value of each fund’s assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.
Equity securities are generally valued at the official closing price of, or the last reported sale price on, the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the last available bid price. Prices for each security are taken from the principal exchange or market on which the security trades. The value of an underlying fund is based on its reported net asset value.
Fixed-income securities, including short-term securities, are generally valued at prices obtained from one or more pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income securities in which the funds are authorized to invest. However, these classifications are not exclusive and any of the inputs may be used to value any other class of fixed-income security.
Fixed-income class | Examples of standard inputs | |
All | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”) | |
Corporate bonds & notes; convertible securities | Standard inputs and underlying equity of the issuer | |
Bonds & notes of governments & government agencies | Standard inputs and interest rate volatilities | |
Mortgage-backed; asset-backed obligations | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information | |
Municipal securities | Standard inputs and, for certain distressed securities, cash flows or liquidation values using a net present value calculation based on inputs that include, but are not limited to, financial statements and debt contracts |
When the series’ investment adviser deems it appropriate to do so (such as when vendor prices are unavailable or not deemed to be representative), fixed-income securities will be valued in good faith at the mean quoted bid and ask prices that are reasonably and timely available (or bid prices, if ask prices are not available) or at prices for securities of comparable maturity, quality and type.
136 | American Funds Insurance Series |
Securities with both fixed-income and equity characteristics, or equity securities traded principally among fixed-income dealers, are generally valued in the manner described for either equity or fixed-income securities, depending on which method is deemed most appropriate by the series’ investment adviser. The Government Cash Management Fund held by the managed risk funds is managed to maintain a $1.00 net asset value per share. The net asset value of each share class of each managed risk fund is calculated based on the reported net asset values of the underlying funds in which each fund invests.
Exchange-traded futures are generally valued at the official settlement price of, or the last reported sale price on, the exchange or market on which such instruments are traded, as of the close of business on the day the futures are being valued or, lacking any sales, at the last available bid price. Prices for each future are taken from the exchange or market on which the security trades. Forward currency contracts are valued at the mean of representative quoted bid and ask prices, generally based on prices supplied by one or more pricing vendors. Interest rate swaps and credit default swaps are generally valued by pricing vendors based on market inputs that include the index and term of index, reset frequency, payer/receiver, currency and pay frequency.
Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the series’ investment adviser are fair valued as determined in good faith under fair value guidelines adopted by authority of the series’ board of trustees as further described. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as the type and cost of the security; contractual or legal restrictions on resale of the security; relevant financial or business developments of the issuer; actively traded similar or related securities; conversion or exchange rights on the security; related corporate actions; significant events occurring after the close of trading in the security; and changes in overall market conditions. In addition, the closing prices of equity securities and futures that trade in markets outside U.S. time zones may be adjusted to reflect significant events that occur after the close of local trading but before the net asset value of each share class of each fund is determined. Fair valuations and valuations of investments and futures that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
Processes and structure — The series’ board of trustees has delegated authority to the series’ investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the “Fair Valuation Committee”) to administer, implement and oversee the fair valuation process, and to make fair value decisions. The Fair Valuation Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser’s valuation teams. The Fair Valuation Committee reviews changes in fair value measurements from period to period and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. The Fair Valuation Committee reports any changes to the fair valuation guidelines to the board of trustees. The series’ board and audit committee also regularly review reports that describe fair value determinations and methods.
The series’ investment adviser has also established a Fixed-Income Pricing Review Group to administer and oversee the fixed-income valuation process, including the use of fixed-income pricing vendors. This group regularly reviews pricing vendor information and market data. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews, including an annual control self-evaluation program facilitated by the investment adviser’s compliance group.
Classifications — The series’ investment adviser classifies the funds’ assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Certain securities trading outside the U.S. may transfer between Level 1 and Level 2 due to valuation adjustments resulting from significant market movements following the close of local trading. Level 3 values are based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities.
American Funds Insurance Series | 137 |
The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market. The following tables present the funds’ valuation levels as of June 30, 2018 (dollars in thousands):
Global Growth Fund
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 1,950,234 | $ | — | $ | — | $ | 1,950,234 | ||||||||
Consumer discretionary | 1,122,705 | — | — | 1,122,705 | ||||||||||||
Financials | 608,521 | — | — | 608,521 | ||||||||||||
Health care | 608,279 | — | — | 608,279 | ||||||||||||
Consumer staples | 394,353 | — | — | 394,353 | ||||||||||||
Industrials | 364,065 | — | — | 364,065 | ||||||||||||
Energy | 130,055 | — | — | 130,055 | ||||||||||||
Materials | 120,071 | 9,961 | — | 130,032 | ||||||||||||
Telecommunication services | 68,099 | — | — | 68,099 | ||||||||||||
Miscellaneous | 312,437 | — | — | 312,437 | ||||||||||||
Bonds, notes & other debt instruments | — | 1,000 | — | 1,000 | ||||||||||||
Short-term securities | — | 566,924 | — | 566,924 | ||||||||||||
Total | $ | 5,678,819 | $ | 577,885 | $ | — | $ | 6,256,704 | ||||||||
Other investments† | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on open forward currency contracts | $ | — | $ | 35 | $ | — | $ | 35 | ||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on open forward currency contracts | — | (3 | ) | — | (3 | ) | ||||||||||
Total | $ | — | $ | 32 | $ | — | $ | 32 |
* | Securities with a value of $2,470,292,000, which represented 39.37% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
† | Forward currency contracts are not included in the investment portfolio. |
Global Small Capitalization Fund
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Health care | $ | 928,403 | $ | — | $ | — | $ | 928,403 | ||||||||
Consumer discretionary | 773,092 | — | — | 773,092 | ||||||||||||
Information technology | 581,292 | — | — | 581,292 | ||||||||||||
Financials | 435,315 | — | — | 435,315 | ||||||||||||
Industrials | 400,842 | — | — | 400,842 | ||||||||||||
Energy | 122,278 | — | 13,979 | 136,257 | ||||||||||||
Real estate | 122,176 | — | — | 122,176 | ||||||||||||
Materials | 121,095 | — | — | 121,095 | ||||||||||||
Consumer staples | 117,997 | — | — | 117,997 | ||||||||||||
Utilities | 70,971 | — | — | 70,971 | ||||||||||||
Telecommunication services | 18,116 | — | — | 18,116 | ||||||||||||
Miscellaneous | 204,413 | — | — | 204,413 | ||||||||||||
Convertible bonds | — | 7,655 | — | 7,655 | ||||||||||||
Bonds, notes & other debt instruments | — | 4,123 | — | 4,123 | ||||||||||||
Short-term securities | — | 371,870 | — | 371,870 | ||||||||||||
Total | $ | 3,895,990 | $ | 383,648 | $ | 13,979 | $ | 4,293,617 |
138 | American Funds Insurance Series |
Other investments† | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on open forward currency contracts | $ | — | $ | 502 | $ | — | $ | 502 | ||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on open forward currency contracts | — | (74 | ) | — | (74 | ) | ||||||||||
Total | $ | — | $ | 428 | $ | — | $ | 428 |
* | Securities with a value of $1,530,340,000, which represented 35.62% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
† | Forward currency contracts are not included in the investment portfolio. |
Growth Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 8,591,258 | $ | — | $ | — | $ | 8,591,258 | ||||||||
Consumer discretionary | 5,527,922 | — | — | 5,527,922 | ||||||||||||
Health care | 3,578,032 | — | — | 3,578,032 | ||||||||||||
Financials | 2,559,944 | — | — | 2,559,944 | ||||||||||||
Energy | 1,837,951 | — | — | 1,837,951 | ||||||||||||
Industrials | 1,071,026 | — | — | 1,071,026 | ||||||||||||
Consumer staples | 380,221 | — | — | 380,221 | ||||||||||||
Real estate | 268,938 | — | — | 268,938 | ||||||||||||
Other | 508,337 | — | — | 508,337 | ||||||||||||
Miscellaneous | 454,883 | — | — | 454,883 | ||||||||||||
Convertible stocks | — | — | 11,351 | 11,351 | ||||||||||||
Short-term securities | — | 1,004,178 | — | 1,004,178 | ||||||||||||
Total | $ | 24,778,512 | $ | 1,004,178 | $ | 11,351 | $ | 25,794,041 |
* | Securities with a value of $1,535,112,000, which represented 5.95% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
International Fund
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Financials | $ | 1,219,859 | $ | 298,839 | $ | — | $ | 1,518,698 | ||||||||
Industrials | 1,297,161 | — | — | 1,297,161 | ||||||||||||
Information technology | 1,160,520 | 31,384 | — | 1,191,904 | ||||||||||||
Health care | 1,061,956 | — | — | 1,061,956 | ||||||||||||
Consumer discretionary | 1,044,228 | — | — | 1,044,228 | ||||||||||||
Consumer staples | 792,722 | — | — | 792,722 | ||||||||||||
Materials | 743,373 | — | — | 743,373 | ||||||||||||
Energy | 458,445 | — | — | 458,445 | ||||||||||||
Utilities | 433,083 | 4,642 | — | 437,725 | ||||||||||||
Telecommunication services | 153,338 | — | — | 153,338 | ||||||||||||
Real estate | 145,135 | — | — | 145,135 | ||||||||||||
Miscellaneous | 142,545 | — | — | 142,545 | ||||||||||||
Rights & warrants | — | 12,024 | — | 12,024 | ||||||||||||
Bonds, notes & other debt instruments | — | 62,740 | — | 62,740 | ||||||||||||
Short-term securities | — | 787,493 | — | 787,493 | ||||||||||||
Total | $ | 8,652,365 | $ | 1,197,122 | $ | — | $ | 9,849,487 |
See next page for footnote.
American Funds Insurance Series | 139 |
Other investments† | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on open forward currency contracts | $ | — | $ | 662 | $ | — | $ | 662 |
* | Securities with a value of $6,219,677,000, which represented 63.23% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading and due to observable quoted prices in an active market. |
† | Forward currency contracts are not included in the investment portfolio. |
New World Fund
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 674,565 | $ | — | $ | — | $ | 674,565 | ||||||||
Financials | 322,040 | 88,342 | — | 410,382 | ||||||||||||
Materials | 336,556 | 11,198 | — | 347,754 | ||||||||||||
Consumer discretionary | 327,550 | — | — | 327,550 | ||||||||||||
Energy | 306,481 | — | — | 306,481 | ||||||||||||
Health care | 219,208 | 17,445 | — | 236,653 | ||||||||||||
Consumer staples | 234,080 | — | — | 234,080 | ||||||||||||
Industrials | 195,635 | — | — | 195,635 | ||||||||||||
Real estate | 37,909 | — | 25 | 37,934 | ||||||||||||
Utilities | 36,168 | — | — | 36,168 | ||||||||||||
Telecommunication services | 29,897 | — | — | 29,897 | ||||||||||||
Miscellaneous | 67 | — | — | 67 | ||||||||||||
Preferred securities | — | — | 1,340 | 1,340 | ||||||||||||
Rights & warrants | — | 38,459 | — | 38,459 | ||||||||||||
Bonds, notes & other debt instruments | — | 94,991 | — | 94,991 | ||||||||||||
Short-term securities | — | 410,017 | — | 410,017 | ||||||||||||
Total | $ | 2,720,156 | $ | 660,452 | $ | 1,365 | $ | 3,381,973 |
Other investments† | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on open forward currency contracts | $ | — | $ | 600 | $ | — | $ | 600 | ||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on open forward currency contracts | — | (1 | ) | — | (1 | ) | ||||||||||
Total | $ | — | $ | 599 | $ | — | $ | 599 |
* | Securities with a value of $1,533,679,000, which represented 45.11% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
† | Forward currency contracts are not included in the investment portfolio. |
140 | American Funds Insurance Series |
Blue Chip Income and Growth Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Health care | $ | 1,974,003 | $ | — | $ | — | $ | 1,974,003 | ||||||||
Information technology | 1,405,932 | — | — | 1,405,932 | ||||||||||||
Industrials | 997,557 | — | — | 997,557 | ||||||||||||
Consumer staples | 951,222 | — | — | 951,222 | ||||||||||||
Consumer discretionary | 937,854 | — | — | 937,854 | ||||||||||||
Financials | 866,918 | — | — | 866,918 | ||||||||||||
Energy | 848,611 | — | — | 848,611 | ||||||||||||
Telecommunication services | 295,377 | — | — | 295,377 | ||||||||||||
Materials | 219,584 | — | — | 219,584 | ||||||||||||
Utilities | 150,746 | — | — | 150,746 | ||||||||||||
Real estate | 74,396 | — | — | 74,396 | ||||||||||||
Miscellaneous | 26,164 | — | — | 26,164 | ||||||||||||
Short-term securities | — | 344,620 | — | 344,620 | ||||||||||||
Total | $ | 8,748,364 | $ | 344,620 | $ | — | $ | 9,092,984 | ||||||||
Global Growth and Income Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 447,491 | $ | 30,569 | $ | — | $ | 478,060 | ||||||||
Industrials | 205,559 | — | — | 205,559 | ||||||||||||
Financials | 193,526 | — | — | 193,526 | ||||||||||||
Health care | 175,193 | — | — | 175,193 | ||||||||||||
Consumer discretionary | 164,902 | — | — | 164,902 | ||||||||||||
Materials | 164,096 | — | — | 164,096 | ||||||||||||
Consumer staples | 141,804 | — | — | 141,804 | ||||||||||||
Energy | 119,869 | — | — | 119,869 | ||||||||||||
Real estate | 60,804 | — | — | 60,804 | ||||||||||||
Telecommunication services | 33,213 | — | — | 33,213 | ||||||||||||
Utilities | 29,740 | — | — | 29,740 | ||||||||||||
Miscellaneous | 89,264 | — | — | 89,264 | ||||||||||||
Rights & warrants | 154 | — | — | 154 | ||||||||||||
Bonds, notes & other debt instruments | — | 41,217 | — | 41,217 | ||||||||||||
Short-term securities | — | 131,655 | — | 131,655 | ||||||||||||
Total | $ | 1,825,615 | $ | 203,441 | $ | — | $ | 2,029,056 |
* | Securities with a value of $861,256,000, which represented 42.32% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
American Funds Insurance Series | 141 |
Growth-Income Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 5,706,737 | $ | — | $ | — | $ | 5,706,737 | ||||||||
Consumer discretionary | 4,287,333 | — | — | 4,287,333 | ||||||||||||
Health care | 4,262,135 | — | — | 4,262,135 | ||||||||||||
Financials | 3,326,237 | 39,701 | — | 3,365,938 | ||||||||||||
Industrials | 3,219,784 | — | — | 3,219,784 | ||||||||||||
Consumer staples | 2,399,436 | 116,085 | — | 2,515,521 | ||||||||||||
Energy | 2,016,461 | — | — | 2,016,461 | ||||||||||||
Materials | 1,267,896 | — | — | 1,267,896 | ||||||||||||
Real estate | 514,715 | — | — | 514,715 | ||||||||||||
Utilities | 440,113 | — | — | 440,113 | ||||||||||||
Telecommunication services | 404,220 | — | — | 404,220 | ||||||||||||
Mutual funds | 57,781 | — | — | 57,781 | ||||||||||||
Miscellaneous | 860,215 | — | — | 860,215 | ||||||||||||
Convertible stocks | 11,888 | 7,305 | — | 19,193 | ||||||||||||
Convertible bonds | — | 42,780 | — | 42,780 | ||||||||||||
Short-term securities | — | 2,488,187 | — | 2,488,187 | ||||||||||||
Total | $ | 28,774,951 | $ | 2,694,058 | $ | — | $ | 31,469,009 |
* | Securities with a value of $1,670,829,000, which represented 5.30% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
International Growth and Income Fund
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Financials | $ | 259,807 | $ | 41,741 | $ | — | $ | 301,548 | ||||||||
Health care | 145,478 | — | — | 145,478 | ||||||||||||
Information technology | 130,920 | — | — | 130,920 | ||||||||||||
Materials | 124,356 | — | — | 124,356 | ||||||||||||
Consumer staples | 114,521 | — | — | 114,521 | ||||||||||||
Industrials | 107,414 | — | — | 107,414 | ||||||||||||
Energy | 103,345 | — | — | 103,345 | ||||||||||||
Consumer discretionary | 91,022 | — | — | 91,022 | ||||||||||||
Utilities | 86,696 | — | — | 86,696 | ||||||||||||
Real estate | 67,028 | — | — | 67,028 | ||||||||||||
Telecommunication services | 40,341 | — | — | 40,341 | ||||||||||||
Miscellaneous | 15,814 | — | — | 15,814 | ||||||||||||
Bonds, notes & other debt instruments | — | 20,410 | — | 20,410 | ||||||||||||
Short-term securities | — | 112,843 | — | 112,843 | ||||||||||||
Total | $ | 1,286,742 | $ | 174,994 | $ | — | $ | 1,461,736 |
* | Securities with a value of $1,033,353,000, which represented 70.50% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
142 | American Funds Insurance Series |
Capital Income Builder | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Financials | $ | 63,897 | $ | 156 | $ | — | $ | 64,053 | ||||||||
Energy | 57,600 | — | — | 57,600 | ||||||||||||
Information technology | 55,486 | — | — | 55,486 | ||||||||||||
Consumer staples | 53,094 | — | — | 53,094 | ||||||||||||
Real estate | 41,635 | — | — | 41,635 | ||||||||||||
Consumer discretionary | 40,361 | — | — | 40,361 | ||||||||||||
Utilities | 29,204 | — | — | 29,204 | ||||||||||||
Telecommunication services | 28,255 | — | — | 28,255 | ||||||||||||
Industrials | 23,280 | — | — | 23,280 | ||||||||||||
Health care | 22,975 | — | — | 22,975 | ||||||||||||
Materials | 11,843 | — | — | 11,843 | ||||||||||||
Miscellaneous | 8,754 | — | — | 8,754 | ||||||||||||
Convertible stocks | 4,706 | — | — | 4,706 | ||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
U.S. Treasury bonds & notes | — | 84,622 | — | 84,622 | ||||||||||||
Mortgage-backed obligations | — | 45,981 | — | 45,981 | ||||||||||||
Corporate bonds & notes | — | 21,696 | — | 21,696 | ||||||||||||
Asset-backed obligations | — | 494 | — | 494 | ||||||||||||
Short-term securities | — | 64,531 | — | 64,531 | ||||||||||||
Total | $ | 441,090 | $ | 217,480 | $ | — | $ | 658,570 |
* | Securities with a value of $204,880,000, which represented 31.56% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
Asset Allocation Fund
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 4,405,169 | $ | — | $ | 5,171 | $ | 4,410,340 | ||||||||
Health care | 2,640,060 | — | 368 | 2,640,428 | ||||||||||||
Financials | 2,264,802 | 9,140 | — | 2,273,942 | ||||||||||||
Consumer discretionary | 1,720,702 | 324 | — | 1,721,026 | ||||||||||||
Energy | 1,655,898 | 2,988 | — | 1,658,886 | ||||||||||||
Materials | 1,084,717 | — | — | 1,084,717 | ||||||||||||
Consumer staples | 1,083,940 | — | — | 1,083,940 | ||||||||||||
Industrials | 757,050 | 3,372 | 25 | 760,447 | ||||||||||||
Real estate | 322,756 | — | — | 322,756 | ||||||||||||
Telecommunication services | 84,344 | — | — | 84,344 | ||||||||||||
Miscellaneous | 89,771 | — | — | 89,771 | ||||||||||||
Rights & warrants | — | — | 328 | 328 | ||||||||||||
Convertible stocks | — | — | 6,074 | 6,074 | ||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
U.S. Treasury bonds & notes | — | 2,906,555 | — | 2,906,555 | ||||||||||||
Corporate bonds & notes | — | 2,312,520 | 11,477 | 2,323,997 | ||||||||||||
Mortgage-backed obligations | — | 1,275,172 | — | 1,275,172 | ||||||||||||
Other | — | 199,805 | — | 199,805 | ||||||||||||
Short-term securities | — | 3,624,136 | — | 3,624,136 | ||||||||||||
Total | $ | 16,109,209 | $ | 10,334,012 | $ | 23,443 | $ | 26,466,664 |
See next page for footnote.
American Funds Insurance Series | 143 |
Other investments† | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on interest rate swaps | $ | — | $ | 992 | $ | — | $ | 992 | ||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (268 | ) | — | — | (268 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (1,977 | ) | — | (1,977 | ) | ||||||||||
Total | $ | (268 | ) | $ | (985 | ) | $ | — | $ | (1,253 | ) |
* | Securities with a value of $722,537,000, which represented 2.79% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
† | Futures contracts and interest rate swaps are not included in the investment portfolio. |
Global Balanced Fund
Investment securities | ||||||||||||||||
Level 1* | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Common stocks: | ||||||||||||||||
Information technology | $ | 49,412 | $ | — | $ | — | $ | 49,412 | ||||||||
Financials | 30,305 | — | — | 30,305 | ||||||||||||
Health care | 24,561 | — | — | 24,561 | ||||||||||||
Industrials | 24,379 | — | — | 24,379 | ||||||||||||
Energy | 22,210 | — | — | 22,210 | ||||||||||||
Consumer discretionary | 22,194 | — | — | 22,194 | ||||||||||||
Consumer staples | 18,959 | — | — | 18,959 | ||||||||||||
Materials | 13,330 | — | — | 13,330 | ||||||||||||
Real estate | 9,204 | — | — | 9,204 | ||||||||||||
Utilities | 6,904 | — | — | 6,904 | ||||||||||||
Miscellaneous | 18,045 | — | — | 18,045 | ||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Bonds & notes of governments & government agencies outside the U.S. | — | 59,160 | — | 59,160 | ||||||||||||
U.S. Treasury bonds & notes | — | 40,569 | — | 40,569 | ||||||||||||
Corporate bonds & notes | — | 22,724 | — | 22,724 | ||||||||||||
Mortgage-backed obligations | — | 6,646 | — | 6,646 | ||||||||||||
Short-term securities | — | 21,077 | — | 21,077 | ||||||||||||
Total | $ | 239,503 | $ | 150,176 | $ | — | $ | 389,679 | ||||||||
Other investments† | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on open forward currency contracts | $ | — | $ | 335 | $ | — | $ | 335 | ||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on open forward currency contracts | — | (151 | ) | — | (151 | ) | ||||||||||
Total | $ | — | $ | 184 | $ | — | $ | 184 |
* | Securities with a value of $97,681,000, which represented 25.21% of the net assets of the fund, transferred from Level 2 to Level 1 since the prior fiscal year-end, primarily due to a lack of significant market movements following the close of local trading. |
† | Forward currency contracts are not included in the investment portfolio. |
144 | American Funds Insurance Series |
Bond Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Corporate bonds & notes | $ | — | $ | 3,786,408 | $ | 415 | $ | 3,786,823 | ||||||||
U.S. Treasury bonds & notes | — | 2,671,323 | — | 2,671,323 | ||||||||||||
Mortgage-backed obligations | — | 2,499,881 | — | 2,499,881 | ||||||||||||
Bonds & notes of governments & government agencies outside the U.S. | — | 759,856 | — | 759,856 | ||||||||||||
Asset-backed obligations | — | 277,546 | — | 277,546 | ||||||||||||
Municipals | — | 212,537 | — | 212,537 | ||||||||||||
Federal agency bonds & notes | — | 11,659 | — | 11,659 | ||||||||||||
Common stocks | — | 682 | 2,151 | 2,833 | ||||||||||||
Rights & warrants | — | — | 97 | 97 | ||||||||||||
Short-term securities | — | 2,312,505 | — | 2,312,505 | ||||||||||||
Total | $ | — | $ | 12,532,397 | $ | 2,663 | $ | 12,535,060 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 5,769 | $ | — | $ | — | $ | 5,769 | ||||||||
Unrealized appreciation on open forward currency contracts | — | 1,868 | — | 1,868 | ||||||||||||
Unrealized appreciation on interest rate swaps | — | 18,809 | — | 18,809 | ||||||||||||
Unrealized appreciation on credit default swaps | — | 159 | — | 159 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (3,582 | ) | — | — | (3,582 | ) | ||||||||||
Unrealized depreciation on open forward currency contracts | — | (2,417 | ) | — | (2,417 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (19,480 | ) | — | (19,480 | ) | ||||||||||
Total | $ | 2,187 | $ | (1,061 | ) | $ | — | $ | 1,126 |
* | Futures contracts, forward currency contracts, interest rate swaps and credit default swaps are not included in the investment portfolio. |
Global Bond Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Euros | $ | — | $ | 286,705 | $ | — | $ | 286,705 | ||||||||
Japanese yen | — | 234,651 | — | 234,651 | ||||||||||||
Polish zloty | — | 82,395 | — | 82,395 | ||||||||||||
Mexican pesos | — | 70,574 | — | 70,574 | ||||||||||||
Indian rupees | — | 64,832 | — | 64,832 | ||||||||||||
British pounds | — | 48,518 | — | 48,518 | ||||||||||||
Danish kroner | — | 43,483 | — | 43,483 | ||||||||||||
Malaysian ringgits | — | 35,569 | — | 35,569 | ||||||||||||
South Korean won | — | 31,473 | — | 31,473 | ||||||||||||
Thai baht | — | 28,048 | — | 28,048 | ||||||||||||
Israeli shekels | — | 19,189 | — | 19,189 | ||||||||||||
Brazilian reais | — | 16,106 | — | 16,106 | ||||||||||||
Australian dollars | — | 15,852 | — | 15,852 | ||||||||||||
Canadian dollars | — | 14,792 | — | 14,792 | ||||||||||||
Romanian leu | — | 11,517 | — | 11,517 | ||||||||||||
U.S. dollars | — | 999,743 | 675 | 1,000,418 | ||||||||||||
Other | — | 51,584 | — | 51,584 | ||||||||||||
Convertible stocks | — | — | 1,033 | 1,033 | ||||||||||||
Common stocks | — | 713 | 791 | 1,504 | ||||||||||||
Rights & warrants | — | — | 56 | 56 | ||||||||||||
Short-term securities | — | 221,160 | — | 221,160 | ||||||||||||
Total | $ | — | $ | 2,276,904 | $ | 2,555 | $ | 2,279,459 |
American Funds Insurance Series | 145 |
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 806 | $ | — | $ | — | $ | 806 | ||||||||
Unrealized appreciation on open forward currency contracts | — | 9,633 | — | 9,633 | ||||||||||||
Unrealized appreciation on interest rate swaps | — | 211 | — | 211 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (319 | ) | — | — | (319 | ) | ||||||||||
Unrealized depreciation on open forward currency contracts | — | (4,812 | ) | — | (4,812 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (548 | ) | — | (548 | ) | ||||||||||
Total | $ | 487 | $ | 4,484 | $ | — | $ | 4,971 |
* | Futures contracts, forward currency contracts and interest rate swaps are not included in the investment portfolio. |
High-Income Bond Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Corporate bonds & notes | $ | — | $ | 1,311,273 | $ | 9,892 | $ | 1,321,165 | ||||||||
Other | — | 6,917 | — | 6,917 | ||||||||||||
Convertible bonds | — | 7,627 | — | 7,627 | ||||||||||||
Convertible stocks | 1,891 | — | 5,892 | 7,783 | ||||||||||||
Common stocks | 896 | 6,151 | 8,187 | 15,234 | ||||||||||||
Rights & warrants | — | — | 354 | 354 | ||||||||||||
Short-term securities | — | 44,278 | — | 44,278 | ||||||||||||
Total | $ | 2,787 | $ | 1,376,246 | $ | 24,325 | $ | 1,403,358 | ||||||||
Other investments1 | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on interest rate swaps | $ | — | $ | 1,912 | $ | — | $ | 1,912 | ||||||||
Unrealized appreciation on credit default swaps | — | 1,101 | — | 1,101 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (75 | ) | — | — | (75 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (523 | ) | — | (523 | ) | ||||||||||
Total | $ | (75 | ) | $ | 2,490 | $ | — | $ | 2,415 |
1 | Futures contracts, interest rate swaps and credit default swaps are not included in the investment portfolio. |
The following table reconciles the valuation of the fund’s Level 3 investment securities and related transactions for the six months ended June 30, 2018 (dollars in thousands):
Beginning value at 1/1/2018 | Transfers into Level 32 | Purchases | Sales | Net realized gain3 | Unrealized appreciation3 | Transfers out of Level 32 | Ending value at 6/30/2018 | |||||||||||||||||||||||||
Investment securities | $ | 23,741 | $ | — | $ | 17,761 | $ | (18,621 | ) | $ | — | $ | 5,838 | $ | (4,394 | ) | $ | 24,325 | ||||||||||||||
Net unrealized appreciation during the period on Level 3 investment securities held at June 30, 2018 | $ | 3,411 |
2 | Transfers into or out of Level 3 are based on the beginning market value of the quarter in which they occurred. |
3 | Net realized gain and unrealized appreciation are included in the related amounts on investments in the statement of operations. |
146 | American Funds Insurance Series |
Unobservable inputs — Valuation of the fund’s Level 3 securities is based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. The following table provides additional information used by the fund’s investment adviser to fair value the fund’s Level 3 securities (dollars in thousands):
Value at 6/30/2018 | Valuation techniques | Unobservable inputs | Range | Impact to valuation from an increase in input* | |||||||
Corporate bonds & notes | $ | 9,892 | Yield analysis | Yield to call/maturity risk premium | 0-700 bps | Decrease | |||||
Convertible stocks | 5,892 | Market comparable companies | EBITDA multiple | 13.9x | Increase | ||||||
Common stocks | 8,187 | Expected proceeds | Discount to reflect timing of receipt and amount of proceeds | 23% | Decrease | ||||||
Transaction price | N/A | N/A | N/A | ||||||||
Market comparable companies | EBITDA multiple | 5.0x -5.5x | Increase | ||||||||
Discount for lack of marketability (DLOM) | 22% | Decrease | |||||||||
Rights & warrants | 354 | Black-Scholes | Implied volatility | 30% | Increase | ||||||
$ | 24,325 |
* | This column represents the directional change in fair value of the Level 3 securities that would result in an increase from the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these inputs in isolation could result in significantly higher or lower fair value measurements. |
Key to abbreviations
EBITDA = Earnings before income taxes, depreciation and amortization
DLOM = Discount for lack of marketability
Mortgage Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
Mortgage-backed obligations | $ | — | $ | 246,041 | $ | — | $ | 246,041 | ||||||||
U.S. Treasury bonds & notes | — | 34,166 | — | 34,166 | ||||||||||||
Asset-backed obligations | — | 21,324 | — | 21,324 | ||||||||||||
Federal agency bonds & notes | — | 21,203 | — | 21,203 | ||||||||||||
Corporate bonds & notes | — | — | 134 | 134 | ||||||||||||
Short-term securities | — | 122,195 | — | 122,195 | ||||||||||||
Total | $ | — | $ | 444,929 | $ | 134 | $ | 445,063 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 798 | $ | — | $ | — | $ | 798 | ||||||||
Unrealized appreciation on interest rate swaps | — | 4,265 | — | 4,265 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on interest rate swaps | — | (3,346 | ) | — | (3,346 | ) | ||||||||||
Total | $ | 798 | $ | 919 | $ | — | $ | 1,717 |
* | Futures contracts and interest rate swaps are not included in the investment portfolio. |
Ultra-Short Bond Fund
At June 30, 2018, all of the fund’s investment securities were classified as Level 2.
American Funds Insurance Series | 147 |
U.S. Government/AAA-Rated Securities Fund | ||||||||||||||||
Investment securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Bonds, notes & other debt instruments: | ||||||||||||||||
U.S. Treasury bonds & notes | $ | — | $ | 1,512,752 | $ | — | $ | 1,512,752 | ||||||||
Mortgage-backed obligations | — | 859,111 | — | 859,111 | ||||||||||||
Federal agency bonds & notes | — | 615,899 | — | 615,899 | ||||||||||||
Short-term securities | — | 499,311 | — | 499,311 | ||||||||||||
Total | $ | — | $ | 3,487,073 | $ | — | $ | 3,487,073 | ||||||||
Other investments* | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 10,339 | $ | — | $ | — | $ | 10,339 | ||||||||
Unrealized appreciation on interest rate swaps | — | 46,860 | — | 46,860 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized depreciation on futures contracts | (233 | ) | — | — | (233 | ) | ||||||||||
Unrealized depreciation on interest rate swaps | — | (25,001 | ) | — | (25,001 | ) | ||||||||||
Total | $ | 10,106 | $ | 21,859 | $ | — | $ | 31,965 |
* | Futures contracts and interest rate swaps are not included in the investment portfolio. |
Managed Risk Growth Fund
At June 30, 2018, all of the fund’s investments were classified as Level 1.
Managed Risk International Fund
At June 30, 2018, all of the fund’s investments were classified as Level 1.
Managed Risk Blue Chip Income and Growth Fund
At June 30, 2018, all of the fund’s investments were classified as Level 1.
Managed Risk Growth-Income Fund
At June 30, 2018, all of the fund’s investments were classified as Level 1.
Managed Risk Asset Allocation Fund
At June 30, 2018, all of the fund’s investments were classified as Level 1.
4. Risk factors
Investing in the funds may involve certain risks including, but not limited to, those described below.
Market conditions — The prices of, and the income generated by, the common stocks, bonds and other securities held by a fund may decline — sometimes rapidly or unpredictably — due to various factors, including events or conditions affecting the general economy or particular industries; overall market changes; local, regional or global political, social or economic instability; governmental or governmental agency responses to economic conditions; and currency exchange rate, interest rate and commodity price fluctuations.
Issuer risks — The prices of, and the income generated by, securities held by a fund may decline in response to various factors directly related to the issuers of such securities, including reduced demand for an issuer’s goods or services, poor management performance and strategic initiatives such as mergers, acquisitions or dispositions and the market response to any such initiatives.
Investing in growth-oriented stocks — Growth-oriented common stocks and other equity-type securities (such as preferred stocks, convertible preferred stocks and convertible bonds) may involve larger price swings and greater potential for loss than other types of investments. These risks may be even greater in the case of smaller capitalization stocks.
Investing in income-oriented stocks — Income provided by a fund may be reduced by changes in the dividend policies of, and the capital resources available for dividend payments at, the companies in which the fund invests.
148 | American Funds Insurance Series |
Investing in small companies — Investing in smaller companies may pose additional risks. For example, it is often more difficult to value or dispose of small company stocks and more difficult to obtain information about smaller companies than about larger companies. Furthermore, smaller companies often have limited product lines, operating histories, markets and/or financial resources, may be dependent on one or a few key persons for management, and can be more susceptible to losses. Moreover, the prices of their stocks may be more volatile than stocks of larger, more established companies.
Investing outside the U.S. — Securities of issuers domiciled outside the U.S., or with significant operations or revenues outside the U.S., may lose value because of adverse political, social, economic or market developments (including social instability, regional conflicts, terrorism and war) in the countries or regions in which the issuers operate or generate revenue. These securities may also lose value due to changes in foreign currency exchange rates against the U.S. dollar and/or currencies of other countries. Issuers of these securities may be more susceptible to actions of foreign governments, such as the imposition of price controls or punitive taxes, that could adversely impact the value of these securities. Securities markets in certain countries may be more volatile and/or less liquid than those in the U.S. Investments outside the U.S. may also be subject to different accounting practices and different regulatory, legal and reporting standards and practices, and may be more difficult to value, than those in the U.S. In addition, the value of investments outside the U.S. may be reduced by foreign taxes, including foreign withholding taxes on interest and dividends. Further, there may be increased risks of delayed settlement of securities purchased or sold by the fund. The risks of investing outside the U.S. may be heightened in connection with investments in emerging markets.
Investing in developing countries — Investing in countries with developing economies and/or markets may involve risks in addition to and greater than those generally associated with investing in developed countries. For instance, developing countries may have less developed legal and accounting systems than those in developed countries. The governments of these countries may be less stable and more likely to impose capital controls, nationalize a company or industry, place restrictions on foreign ownership and on withdrawing sale proceeds of securities from the country, and/or impose punitive taxes that could adversely affect the prices of securities. In addition, the economies of these countries may be dependent on relatively few industries that are more susceptible to local and global changes. Securities markets in these countries can also be relatively small and have substantially lower trading volumes. As a result, securities issued in these countries may be more volatile and less liquid, and may be more difficult to value, than securities issued in countries with more developed economies and/or markets. Less certainty with respect to security valuations may lead to additional challenges and risks in calculating the fund’s net asset value. Additionally, there may be increased settlement risks for transactions in local securities.
Investing in emerging markets — Investing in emerging markets may involve risks in addition to and greater than those generally associated with investing in the securities markets of developed countries. For instance, developing countries may have less developed legal and accounting systems than those in developed countries. The governments of these countries may be less stable and more likely to impose capital controls, nationalize a company or industry, place restrictions on foreign ownership and on withdrawing sale proceeds of securities from the country, and/or impose punitive taxes that could adversely affect the prices of securities. In addition, the economies of these countries may be dependent on relatively few industries that are more susceptible to local and global changes. Securities markets in these countries can also be relatively small and have substantially lower trading volumes. As a result, securities issued in these countries may be more volatile and less liquid, and may be more difficult to value, than securities issued in countries with more developed economies and/or markets. Less certainty with respect to security valuations may lead to additional challenges and risks in calculating a fund’s net asset value. Additionally, there may be increased settlement risks for transactions in local securities.
Investing in debt instruments — The prices of, and the income generated by, bonds and other debt securities held by a fund may be affected by changing interest rates and by changes in the effective maturities and credit ratings of these securities.
Rising interest rates will generally cause the prices of bonds and other debt securities to fall. Falling interest rates may cause an issuer to redeem, call or refinance a debt security before its stated maturity, which may result in a fund having to reinvest the proceeds in lower yielding securities. Longer maturity debt securities generally have greater sensitivity to changes in interest rates and may be subject to greater price fluctuations than shorter maturity debt securities.
Bonds and other debt securities are also subject to credit risk, which is the possibility that the credit strength of an issuer will weaken and/or an issuer of a debt security will fail to make timely payments of principal or interest and the security will go into default. Lower quality debt securities generally have higher rates of interest and may be subject to greater price fluctuations than higher quality debt securities. Credit risk is gauged, in part, by the credit ratings of the debt securities in which a fund invests. However, ratings are only the opinions of the rating agencies issuing them and are not guarantees as to credit quality or an evaluation of market risk. The funds’ investment adviser relies on its own credit analysts to research issuers and issues in seeking to mitigate various credit and default risks.
American Funds Insurance Series | 149 |
Investing in lower rated debt instruments — Lower rated bonds and other lower rated debt securities generally have higher rates of interest and involve greater risk of default or price declines due to changes in the issuer’s creditworthiness than those of higher quality debt securities. The market prices of these securities may fluctuate more than the prices of higher quality debt securities and may decline significantly in periods of general economic difficulty. These risks may be increased with respect to investments in junk bonds.
Investing in derivatives — The use of derivatives involves a variety of risks, which may be different from, or greater than, the risks associated with investing in traditional cash securities, such as stocks and bonds. Changes in the value of a derivative may not correlate perfectly with, and may be more sensitive to market events than, the underlying asset, rate or index, and a derivative instrument may expose a fund to losses in excess of its initial investment. Derivatives may be difficult for a fund to buy or sell at an opportune time or price and may be difficult to terminate or otherwise offset. A fund’s use of derivatives may result in losses to the fund, and investing in derivatives may reduce a fund’s returns and increase a fund’s price volatility. A fund’s counterparty to a derivative transaction (including, if applicable, the fund’s clearing broker, the derivatives exchange or the clearinghouse) may be unable or unwilling to honor its financial obligations in respect of the transaction.
Currency — The prices of, and the income generated by, most debt securities held by a fund may also be affected by changes in relative currency values. If the U.S. dollar appreciates against foreign currencies, the value in U.S. dollars of a fund’s securities denominated in such currencies would generally fall and vice versa. U.S. dollar-denominated securities of foreign issuers may also be affected by changes in relative currency values.
Investing in mortgage-related and other asset-backed securities — Mortgage-related securities, such as mortgage-backed securities, and other asset-backed securities, include debt obligations that represent interests in pools of mortgages or other income-bearing assets, such as consumer loans or receivables. Such securities often involve risks that are different from or more acute than the risks associated with investing in other types of debt securities. Mortgage-backed and other asset-backed securities are subject to changes in the payment patterns of borrowers of the underlying debt. When interest rates fall, borrowers are more likely to refinance or prepay their debt before its stated maturity. This may result in a fund having to reinvest the proceeds in lower yielding securities, effectively reducing a fund’s income. Conversely, if interest rates rise and borrowers repay their debt more slowly than expected, the time in which the mortgage-backed and other asset-backed securities are paid off could be extended, reducing a fund’s cash available for reinvestment in higher yielding securities.
Investing in future delivery contracts — A fund may enter into contracts, such as to-be-announced contracts and mortgage dollar rolls, that involve a fund selling mortgage-related securities and simultaneously contracting to repurchase similar securities for delivery at a future date at a predetermined price. This can increase a fund’s market exposure, and the market price of the securities that the fund contracts to repurchase could drop below their purchase price. While a fund can preserve and generate capital through the use of such contracts by, for example, realizing the difference between the sale price and the future purchase price, the income generated by the fund may be reduced by engaging in such transactions. In addition, these transactions may increase the turnover rate of a fund.
Investing in inflation linked bonds — The values of inflation linked bonds generally fluctuate in response to changes in real interest rates — i.e., rates of interest after factoring in inflation. A rise in real interest rates may cause the prices of inflation linked securities to fall, while a decline in real interest rates may cause the prices to increase. Inflation linked bonds may experience greater losses than other debt securities with similar durations when real interest rates rise faster than nominal interest rates. There can be no assurance that the value of an inflation linked security will be directly correlated to changes in interest rates; for example, if interest rates rise for reasons other than inflation, the increase may not be reflected in the security’s inflation measure.
Investing in inflation linked bonds may also reduce a fund’s distributable income during periods of extreme deflation. If prices for goods and services decline throughout the economy, the principal and income on inflation linked securities may decline and result in losses to a fund.
Investing in securities backed by the U.S. government — Securities backed by the U.S. Treasury or the full faith and credit of the U.S. government are guaranteed only as to the timely payment of interest and principal when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates. Securities issued by government-sponsored entities and federal agencies and instrumentalities that are not backed by the full faith and credit of the U.S. government are neither issued nor guaranteed by the U.S. government.
Investing in repurchase agreements — Upon entering into a repurchase agreement, a fund purchases a security from a bank or broker-dealer, which simultaneously commits to repurchase the security within a specified time at the fund’s cost with interest. The security purchased by the fund constitutes collateral for the seller’s repurchase obligation. If the party agreeing to repurchase should default, the fund may seek to sell the security it holds as collateral. The fund may incur a loss if the value of the collateral securing the
150 | American Funds Insurance Series |
repurchase obligation falls below the repurchase price. The fund may also incur disposition costs and encounter procedural delays in connection with liquidating the collateral.
Interest rate risk — The values and liquidity of the securities held by a fund may be affected by changing interest rates. For example, the values of these securities may decline when interest rates rise and increase when interest rates fall. Longer maturity debt securities generally have greater sensitivity to changes in interest rates and may be subject to greater price fluctuations than shorter maturity debt securities. A fund may invest in variable and floating rate securities. Although the values of such securities are generally less sensitive to interest rate changes than those of other debt securities, the value of variable and floating rate securities may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Conversely, floating rate securities will not generally increase in value if interest rates decline. During periods of extremely low short-term interest rates, a fund may not be able to maintain a positive yield and, given the current historically low interest rate environment, risks associated with rising rates are currently heightened.
Credit and liquidity support — Changes in the credit quality of banks and financial institutions providing credit and liquidity support features with respect to securities held by a fund could cause the values of these securities to decline.
Asset allocation — A fund’s percentage allocation to equity securities, debt securities and money market instruments could cause the fund to underperform relative to relevant benchmarks and other funds with similar investment objectives.
Nondiversification risk— As nondiversified funds, certain funds have the ability to invest a larger percentage of their assets in the securities of a smaller number of issuers than diversified funds. Although the funds do not intend to limit their investments to the securities of a small number of issuers, if they were to do so, poor performance by a single large holding could adversely impact the funds’ investment results more than if the funds were invested in a larger number of issuers.
Liquidity risk — Certain fund holdings may be deemed to be less liquid or illiquid because they cannot be readily sold without significantly impacting the value of the holdings. Liquidity risk may result from the lack of an active market for a holding, legal or contractual restrictions on resale, or the reduced number and capacity of market participants to make a market in such holding. Market prices for less liquid or illiquid holdings may be volatile, and reduced liquidity may have an adverse impact on the market price of such holdings. Additionally, the sale of less liquid or illiquid holdings may involve substantial delays (including delays in settlement) and additional costs and the fund may be unable to sell such holdings when necessary to meet its liquidity needs.
Management — The investment adviser to the funds actively manages the funds’ investments. Consequently, the funds are subject to the risk that the methods and analyses employed by the investment adviser in this process may not produce the desired results. This could cause the funds to lose value or their investment results to lag relevant benchmarks or other funds with similar objectives.
Investing in the managed risk funds may involve additional risks including, but not limited to, those described below.
Fund structure — The managed risk funds invest in underlying funds and incur expenses related to those underlying funds. In addition, investors in the managed risk funds will incur fees to pay for certain expenses related to the operations of the managed risk funds. An investor holding the underlying fund directly would incur lower overall expenses but would not receive the benefit of the managed risk strategy.
Management — The managed risk funds are subject to the risk that the managed risk strategy or the methods employed by the subadviser in implementing the managed risk strategy may not produce the desired results. This could cause the managed risk funds to lose value or their investment results to lag relevant benchmarks or other funds with similar objectives.
Underlying fund risks — Because the managed risk funds’ investments consist of investments in underlying funds, the managed risk funds’ risks are directly related to the risks of the respective underlying fund in which each managed fund invests. For this reason, it is important to understand the risks associated with investing both in the managed risk fund and in each of the underlying funds.
Investing in futures contracts — In addition to the risks generally associated with investing in derivative instruments, futures contracts are subject to the creditworthiness of the clearing organizations, exchanges and futures commission merchants with which a fund transacts. Additionally, although futures require only a small initial investment in the form of a deposit of initial margin, the amount of a potential loss on a futures contract could greatly exceed the initial amount invested. While futures contracts are generally liquid instruments, under certain market conditions, futures may be deemed to be illiquid. For example, a fund may be temporarily prohibited from closing out its position in a futures contract if intraday price change limits or limits on trading volume imposed by the applicable futures exchange are triggered. If a fund is unable to close out a position on a futures contract, the fund would remain subject to the risk of adverse price movements until the fund is able to close out the futures position. The ability of a fund to successfully utilize futures contracts may depend in part upon the ability of the fund’s investment adviser or subadviser to accurately forecast interest rates and other economic factors and to assess and predict the impact of such economic factors on the futures in which the fund invests. If the
American Funds Insurance Series | 151 |
investment adviser or subadviser incorrectly forecasts economic developments or incorrectly predicts the impact of such developments on the futures in which it invests, a fund could be exposed to the risk of loss.
Hedging — There may be imperfect or even negative correlation between the prices of the futures contracts and the prices of the underlying securities. For example, futures contracts may not provide an effective hedge because changes in futures contract prices may not track those of the underlying securities or indexes they are intended to hedge. In addition, there are significant differences between the securities and futures markets that could result in an imperfect correlation between the markets, causing a given hedge not to achieve its objectives. The degree of imperfection of correlation depends on circumstances such as variations in speculative market demand for futures, including technical influences in futures trading, and differences between the financial instruments being hedged and the instruments underlying the standard contracts available for trading. A decision as to whether, when and how to hedge involves the exercise of skill and judgment, and even a well-conceived hedge may be unsuccessful to some degree because of market behavior or unexpected interest rate trends. In addition, the fund’s investment in exchange-traded futures and their resulting costs could limit the fund’s gains in rising markets relative to those of the underlying funds, or to those of unhedged funds in general.
Short positions — Losses from short positions in futures contracts occur when the underlying index increases in value. As the underlying index increases in value, the holder of the short position in the corresponding futures contract is required to pay the difference in value of the futures contract resulting from the increase in the index on a daily basis. Losses from a short position in an index futures contract could potentially be very large if the value of the underlying index rises dramatically in a short period of time.
5. Certain investment techniques
Index-linked bonds — Some of the funds have invested in index-linked bonds, which are fixed-income securities whose principal value is periodically adjusted to a government price index. Over the life of an index-linked bond, interest is paid on the adjusted principal value. Increases or decreases in the principal value of index-linked bonds are recorded as interest income in the fund’s statement of operations.
Mortgage dollar rolls — Some of the funds have entered into mortgage dollar roll transactions in which the fund sells a mortgage-backed security to a counterparty and simultaneously enters into an agreement with the same counterparty to buy back a similar security on a specific future date at a predetermined price. Mortgage dollar rolls are accounted for as purchase and sale transactions, which may increase the funds’ portfolio turnover rates.
Loan transactions — Some of the funds have entered into loan transactions in which the fund acquires a loan either through an agent, by assignment from another holder, or as a participation interest in another holder’s portion of a loan. The loan is often administered by a financial institution that acts as agent for the holders of the loan, and the fund may be required to receive approval from the agent and/or borrower prior to the sale of the investment. The loan’s interest rate and maturity date may change based on the terms of the loan, including potential early payments of principal.
Short-term securities — The managed risk funds hold shares of the Government Cash Management Fund, a cash management vehicle offered by the Bank of New York Mellon (“BNY Mellon”), the funds’ custodian bank. The Government Cash Management Fund is managed by the Dreyfus Corporation.
Futures contracts — Some of the funds have entered into futures contracts, which provide for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument for a specified price, date, time and place designated at the time the contract is made. Futures contracts are used to strategically manage the fund’s interest rate sensitivity by increasing or decreasing the duration of the fund or a portion of the fund’s portfolio. For the managed risk funds, futures contracts are used to strategically manage portfolio volatility and downside equity risk.
Upon entering into futures contracts, and to maintain the fund’s open positions in futures contracts, the fund is required to deposit with a futures broker, or FCM, in a segregated account in the name of the FCM an amount of cash, U.S. government securities or other liquid securities, known as initial margin. The margin required for a particular futures contract is set by the exchange on which the contract is traded to serve as collateral, and may be significantly modified from time to time by the exchange during the term of the contract. Securities deposited as initial margin, if any, are disclosed in the investment portfolio and cash deposited as initial margin, if any, is reflected as restricted cash pledged for futures contracts in the fund’s statement of assets and liabilities.
On a daily basis, each fund pays or receives variation margin based on the increase or decrease in the value of the futures contracts and records variation margin on futures contracts in each fund’s statement of assets and liabilities. In addition, each fund segregates liquid assets equivalent to the fund’s outstanding obligations under the contract in excess of the initial margin and variation margin, if any.
152 | American Funds Insurance Series |
Futures contracts may involve a risk of loss in excess of the variation margin shown on each fund’s statement of assets and liabilities. Each fund records realized gains or losses at the time the futures contract is closed or expires. Net realized gains or losses and net unrealized appreciation or depreciation from futures contracts are recorded in each fund’s statement of operations.
Forward currency contracts — Some of the funds have entered into forward currency contracts, which represent agreements to exchange currencies on specific future dates at predetermined rates. The series’ investment adviser uses forward currency contracts to manage the fund’s exposure to changes in exchange rates. Upon entering into these contracts, risks may arise from the potential inability of counterparties to meet the terms of their contracts and from possible movements in exchange rates.
On a daily basis, the series’ investment adviser values forward currency contracts based on the applicable exchange rates and records unrealized appreciation or depreciation for open forward currency contracts in each fund’s statement of assets and liabilities. Realized gains or losses are recorded at the time the forward contract is closed or offset by another contract with the same broker for the same settlement date and currency. Closed forward currency contracts that have not reached their settlement date are included in the respective receivables or payables for closed forward currency contracts in each fund’s statement of assets and liabilities. Net realized gains or losses from closed forward currency contracts and net unrealized appreciation or depreciation from open forward currency contracts are recorded in each fund’s statement of operations.
Interest rate swaps — Some of the funds have entered into interest rate swaps, which are agreements to exchange one stream of future interest payments for another based on a specified notional amount. Typically, interest rate swaps exchange a fixed interest rate for a payment that floats relative to a benchmark or vice versa. The series’ investment adviser uses interest rate swaps to manage the interest rate sensitivity of the fund by increasing or decreasing the duration of the fund or a portion of the fund’s portfolio. Risks may arise as a result of the series’ investment adviser incorrectly anticipating changes in interest rates, increased volatility, reduced liquidity and the potential inability of counterparties to meet the terms of their agreements.
Upon entering into an interest rate swap contract, the fund is required to deposit cash, U.S. government securities or other liquid securities, which is known as initial margin. Generally, the initial margin required for a particular interest rate swap is set and held as collateral by the clearinghouse on which the contract is cleared. The amount of initial margin required may be significantly modified from time to time by the clearinghouse during the term of the contract.
On a daily basis, the series’ investment adviser records daily interest accruals related to the exchange of future payments as a receivable and payable in each fund’s statement of assets and liabilities. Each fund also pays or receives a variation margin based on the increase or decrease in the value of the interest rate swaps, including accrued interest, and records variation margin on interest rate swaps in each fund’s statement of assets and liabilities. Each fund records realized gains and losses on both the net accrued interest and any gain or loss recognized at the time the interest rate swap is closed or expires. Net realized gains or losses, as well as any net unrealized appreciation or depreciation, from interest rate swaps are recorded in each fund’s statement of operations.
Credit default swap indices — Some of the funds have entered into centrally cleared credit default swap agreements on credit indices (“CDSI”) that 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 return upon the occurrence of a credit event, such as a default or restructuring, with respect to any of the underlying issuers (reference obligations) in the referenced index. The series’ investment adviser uses credit default swaps to assume exposure to a diversified portfolio of credits or to hedge against existing credit risks.
CDSI are portfolios of credit instruments or exposures designed to be representative of some part of the credit market, such as the high-yield or investment-grade credit market. CDSI are generally traded using standardized terms, including a fixed spread and standard maturity dates, and reference all the names in the index. If there is a credit event, it is settled based on that name’s weight in the index. The composition of the underlying issuers or obligations within a particular index may change periodically, usually every six months. A specified credit event may affect all or individual underlying reference obligations included in the index, and will be settled based upon the relative weighting of the affected obligation(s) within the index. The value of each CDSI can be used as a measure of the current payment/performance risk of the CDSI and represents the likelihood of an expected liability or profit should the notional amount of the CDSI be closed or sold as of the period end. An increasing value, as compared to the notional amount of the CDSI, represents a deterioration of the referenced indices’ credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. When a fund provides sell protection, its maximum exposure is the notional amount of the credit default swap agreement.
Upon entering into a centrally cleared CDSI contract, the fund is required to deposit with a derivatives clearing member (“DCM”) in a segregated account in the name of the DCM an amount of cash, U.S. government securities or other liquid securities, which is known as initial margin. Generally, the initial margin required for a particular credit default swap is set and held as collateral by the clearinghouse
American Funds Insurance Series | 153 |
on which the contract is cleared. The amount of initial margin required may be significantly modified from time to time by the clearinghouse during the term of the contract. Securities deposited as initial margin are designated on the investment portfolio.
On a daily basis, interest accruals related to the exchange of future payments are recorded as a receivable and payable in each fund’s statement of assets and liabilities. Each fund also pays or receives a variation margin based on the increase or decrease in the value of the centrally cleared swaps, and records variation margin in each fund’s statement of assets and liabilities. Each fund records realized gains and losses on both the net accrued interest and any gain or loss recognized at the time the swap is closed or expires. Net realized gains or losses, as well as any net unrealized appreciation or depreciation, from credit default swaps are recorded in each fund’s statement of operations.
The following table presents the average month-end notional amounts of futures contracts, forward currency contracts, interest rate swaps and credit default swaps while held for each fund (dollars in thousands):
Futures | Forwards | Interest Rate Swaps | Credit Default Swaps | |||||
Global Growth Fund | Not applicable | $5,719 | Not applicable | Not applicable | ||||
Global Small Capitalization Fund | Not applicable | 91,823 | Not applicable | Not applicable | ||||
International Fund | Not applicable | 29,375 | Not applicable | Not applicable | ||||
New World Fund | Not applicable | 17,798 | Not applicable | Not applicable | ||||
Asset Allocation Fund | $364,453 | Not applicable | $1,706,924 | Not applicable | ||||
Global Balanced Fund | Not applicable | 23,716 | Not applicable | Not applicable | ||||
Bond Fund | 2,096,319 | 500,160 | 4,467,319 | $58,750 | ||||
Global Bond Fund | 178,243 | 722,202 | 578,995 | Not applicable | ||||
High-Income Bond Fund | 15,900 | Not applicable | 46,258 | 91,748 | ||||
Mortgage Fund | 203,510 | Not applicable | 1,052,719 | Not applicable | ||||
U.S. Government/AAA-Rated Securities Fund | 2,706,965 | Not applicable | 11,924,170 | Not applicable | ||||
Managed Risk Growth Fund | 34,134 | Not applicable | Not applicable | Not applicable | ||||
Managed Risk International Fund | 29,987 | Not applicable | Not applicable | Not applicable | ||||
Managed Risk Blue Chip Income and Growth Fund | 29,245 | Not applicable | Not applicable | Not applicable | ||||
Managed Risk Growth-Income Fund | 17,118 | Not applicable | Not applicable | Not applicable | ||||
Managed Risk Asset Allocation Fund | 246,886 | Not applicable | Not applicable | Not applicable |
The following tables present the financial statement impacts resulting from the funds’ use of futures contracts, forward currency contracts, interest rate swaps and/or credit default swaps as of, or for the six months ended June 30, 2018 (dollars in thousands):
Global Growth Fund
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | $ | 35 | Unrealized depreciation on open forward currency contracts | $ | 3 | |||||||
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized loss on forward currency contracts | $ | (53 | ) | Net unrealized appreciation on forward currency contracts | $ | 18 | ||||||
Global Small Capitalization Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | $ | 502 | Unrealized depreciation on open forward currency contracts | $ | 74 |
154 | American Funds Insurance Series |
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized loss on forward currency contracts | $ | (334 | ) | Net unrealized appreciation on forward currency contracts | $ | 1,531 | ||||||
International Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | $ | 662 | Unrealized depreciation on open forward currency contracts | $ | — | |||||||
Net realized gain | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized gain on forward currency contracts | $ | 413 | Net unrealized appreciation on forward currency contracts | $ | 1,017 | |||||||
New World Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | $ | 600 | Unrealized depreciation on open forward currency contracts | $ | 1 | |||||||
Forward currency | Currency | Receivables for closed forward currency contracts | — | Payables for closed forward currency contracts | 44 | |||||||||
$ | 600 | $ | 45 | |||||||||||
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized loss on forward currency contracts | $ | (41 | ) | Net unrealized appreciation on forward currency contracts | $ | 922 | ||||||
Asset Allocation Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | — | Unrealized depreciation* | $ | 268 | |||||||
Swaps | Interest | Unrealized appreciation* | 992 | Unrealized depreciation* | 1,977 | |||||||||
$ | 992 | $ | 2,245 |
See end of tables for footnote.
American Funds Insurance Series | 155 |
Net realized gain (loss) | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized gain on futures contracts | $ | 746 | Net unrealized appreciation on futures contracts | $ | 486 | |||||||
Swaps | Interest | Net realized loss on swap contracts | (3,011 | ) | Net unrealized appreciation on swap contracts | 5,263 | ||||||||
$ | (2,265 | ) | $ | 5,749 | ||||||||||
Global Balanced Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | $ | 335 | Unrealized depreciation on open forward currency contracts | $ | 151 | |||||||
Forward currency | Currency | Receivables for closed forward currency contracts | — | Payables for closed forward currency contracts | 7 | |||||||||
$ | 335 | $ | 158 | |||||||||||
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Forward currency | Currency | Net realized loss on forward currency contracts | $ | (303 | ) | Net unrealized appreciation on forward currency contracts | $ | 309 | ||||||
Bond Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 5,769 | Unrealized depreciation* | $ | 3,582 | |||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | 1,868 | Unrealized depreciation on open forward currency contracts | 2,417 | |||||||||
Swaps | Interest | Unrealized appreciation* | 18,809 | Unrealized depreciation* | 19,480 | |||||||||
Swaps | Credit | Unrealized appreciation* | 159 | Unrealized depreciation* | — | |||||||||
$ | 26,605 | $ | 25,490 | |||||||||||
Net realized (loss) gain | Net unrealized appreciation (depreciation) | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized loss on futures contracts | $ | (39,999 | ) | Net unrealized appreciation on futures contracts | $ | 6,343 | ||||||
Forward currency | Currency | Net realized gain on forward currency contracts | 4,320 | Net unrealized depreciation on forward currency contracts | (8,091 | ) | ||||||||
Swaps | Interest | Net realized gain on swap contracts | 17,251 | Net unrealized depreciation on swap contracts | (8,383 | ) | ||||||||
Swaps | Credit | Net realized loss on swap contracts | (31 | ) | Net unrealized appreciation on swap contracts | 343 | ||||||||
$ | (18,459 | ) | $ | (9,788 | ) |
156 | American Funds Insurance Series |
Global Bond Fund
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 806 | Unrealized depreciation* | $ | 319 | |||||||
Forward currency | Currency | Unrealized appreciation on open forward currency contracts | 9,633 | Unrealized depreciation on open forward currency contracts | 4,812 | |||||||||
Forward currency | Currency | Receivables for closed forward currency contracts | 412 | Payables for closed forward currency contracts | 218 | |||||||||
Swaps | Interest | Unrealized appreciation* | 211 | Unrealized depreciation* | 548 | |||||||||
$ | 11,062 | $ | 5,897 | |||||||||||
Net realized (loss) gain | Net unrealized appreciation (depreciation) | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized loss on futures contracts | $ | (5,196 | ) | Net unrealized appreciation on futures contracts | $ | 846 | ||||||
Forward currency | Currency | Net realized gain on forward currency contracts | 2,923 | Net unrealized appreciation on forward currency contracts | 4,160 | |||||||||
Swaps | Interest | Net realized gain on swap contracts | 1,540 | Net unrealized appreciation on swap contracts | 1,142 | |||||||||
$ | (733 | ) | $ | 6,148 | ||||||||||
High-Income Bond Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | — | Unrealized depreciation* | $ | 75 | |||||||
Swaps | Interest | Unrealized appreciation* | 1,912 | Unrealized depreciation* | 523 | |||||||||
Swaps | Credit | Unrealized appreciation* | 1,101 | Unrealized depreciation* | — | |||||||||
$ | 3,087 | $ | 622 | |||||||||||
Net realized gain (loss) | Net unrealized (depreciation) appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized gain on futures contracts | $ | — | Net unrealized depreciation on futures contracts | $ | (75 | ) | ||||||
Swaps | Interest | Net realized loss on swap contracts | (954 | ) | Net unrealized appreciation on swap contracts | 968 | ||||||||
Swaps | Credit | Net realized loss on swap contracts | (263 | ) | Net unrealized appreciation on swap contracts | 1,520 | ||||||||
$ | (1,217 | ) | $ | 2,413 |
See end of tables for footnote.
American Funds Insurance Series | 157 |
Mortgage Fund
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 798 | Unrealized depreciation* | $ | — | |||||||
Swaps | Interest | Unrealized appreciation* | 4,265 | Unrealized depreciation* | 3,346 | |||||||||
$ | 5,063 | $ | 3,346 | |||||||||||
Net realized (loss) gain | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized loss on futures contracts | $ | (5,150 | ) | Net unrealized appreciation on futures contracts | $ | 1,430 | ||||||
Swaps | Interest | Net realized gain on swap contracts | 624 | Net unrealized appreciation on swap contracts | 1,705 | |||||||||
$ | (4,526 | ) | $ | 3,135 | ||||||||||
U.S. Government/AAA-Rated Securities Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 10,339 | Unrealized depreciation* | $ | 233 | |||||||
Swaps | Interest | Unrealized appreciation* | 46,860 | Unrealized depreciation* | 25,001 | |||||||||
$ | 57,199 | $ | 25,234 | |||||||||||
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Interest | Net realized loss on futures contracts | $ | (52,726 | ) | Net unrealized appreciation on futures contracts | $ | 17,551 | ||||||
Swaps | Interest | Net realized loss on swap contracts | (6,083 | ) | Net unrealized appreciation on swap contracts | 30,287 | ||||||||
$ | (58,809 | ) | $ | 47,838 | ||||||||||
Managed Risk Growth Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 76 | Unrealized depreciation* | $ | — |
158 | American Funds Insurance Series |
Net realized gain (loss) | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 41 | Net unrealized appreciation on futures contracts | $ | — | |||||||
Futures | Equity | Net realized loss on futures contracts | (5,074 | ) | Net unrealized appreciation on futures contracts | — | ||||||||
Futures | Interest | Net realized loss on futures contracts | (1,049 | ) | Net unrealized appreciation on futures contracts | 114 | ||||||||
$ | (6,082 | ) | $ | 114 | ||||||||||
Managed Risk International Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 38 | Unrealized depreciation* | $ | — | |||||||
Net realized gain (loss) | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 35 | Net unrealized appreciation on futures contracts | $ | — | |||||||
Futures | Equity | Net realized loss on futures contracts | (208 | ) | Net unrealized appreciation on futures contracts | — | ||||||||
Futures | Interest | Net realized loss on futures contracts | (204 | ) | Net unrealized appreciation on futures contracts | 57 | ||||||||
$ | (377 | ) | $ | 57 | ||||||||||
Managed Risk Blue Chip Income and Growth Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 85 | Unrealized depreciation* | $ | — | |||||||
Net realized gain (loss) | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 57 | Net unrealized appreciation on futures contracts | $ | — | |||||||
Futures | Equity | Net realized loss on futures contracts | (5,958 | ) | Net unrealized appreciation on futures contracts | — | ||||||||
Futures | Interest | Net realized loss on futures contracts | (1,302 | ) | Net unrealized appreciation on futures contracts | 134 | ||||||||
$ | (7,203 | ) | $ | 134 |
See end of tables for footnote.
American Funds Insurance Series | 159 |
Managed Risk Growth-Income Fund
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 36 | Unrealized depreciation* | $ | — | |||||||
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized loss on futures contracts | $ | (5 | ) | Net unrealized appreciation on futures contracts | $ | — | ||||||
Futures | Equity | Net realized loss on futures contracts | (2,466 | ) | Net unrealized appreciation on futures contracts | — | ||||||||
Futures | Interest | Net realized loss on futures contracts | (599 | ) | Net unrealized appreciation on futures contracts | 64 | ||||||||
$ | (3,050 | ) | $ | 64 | ||||||||||
Managed Risk Asset Allocation Fund | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 810 | Unrealized depreciation* | $ | — | |||||||
Net realized loss | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized loss on futures contracts | $ | (15 | ) | Net unrealized appreciation on futures contracts | $ | — | ||||||
Futures | Equity | Net realized loss on futures contracts | (38,734 | ) | Net unrealized appreciation on futures contracts | — | ||||||||
Futures | Interest | Net realized loss on futures contracts | (11,053 | ) | Net unrealized appreciation on futures contracts | 1,402 | ||||||||
$ | (49,802 | ) | $ | 1,402 |
* | Includes cumulative appreciation/depreciation on futures contracts, interest rate swaps and/or credit default swaps as reported in the applicable table(s) following each fund’s investment portfolio. Only current day’s variation margin is reported within the statements of assets and liabilities. |
Collateral — Funds that invest in futures contracts, forward currency contracts, interest rate swaps, credit default swaps and/or future delivery contracts participate in a collateral program. For futures contracts, interest rate swaps and credit default swaps, the program calls for the fund to pledge highly liquid assets, such as cash or U.S. government securities, as collateral for initial and variation margin by contract. For forward currency contracts, the program calls for the fund to either receive or pledge collateral based on the net gain or loss on unsettled forward currency contracts by counterparty. For future delivery contracts, the program calls for the fund to either receive or pledge collateral based on the net gain or loss on unsettled contracts by certain counterparties. The purpose of the collateral is to cover potential losses that could occur in the event that either party cannot meet its contractual obligations. Non-cash collateral pledged by the fund, if any, is disclosed in the fund’s investment portfolio, and cash collateral pledged by the fund, if any, is held in a segregated account with the fund’s custodian, which is reflected as restricted cash in the fund’s statement of assets and liabilities.
Rights of offset — Funds that hold forward currency contracts have enforceable master netting agreements with certain counterparties, where amounts payable by each party to the other in the same currency (with the same settlement date and with the same counter-party) are settled net of each party’s payment obligation. If an early termination date occurs under these agreements following an event of default or termination event, all obligations of each party to its counterparty are settled net through a single payment in a single
160 | American Funds Insurance Series |
currency (“close-out netting”). For financial reporting purposes, the funds do not offset financial assets and financial liabilities that are subject to these master netting arrangements in the statements of assets and liabilities.
The following tables present each fund’s forward currency contracts by counterparty that are subject to master netting agreements but that are not offset in the funds’ statements of assets and liabilities. The net amount column shows the impact of offsetting on the funds’ statement of assets and liabilities as of June 30, 2018, if close-out netting was exercised (dollars in thousands):
Global Growth Fund
Gross amounts recognized in the | Gross amounts not offset in the statement of assets and liabilities and subject to a master netting agreement | |||||||||||||||||||
Counterparty | statement of assets and liabilities | Available to offset | Non-cash collateral* | Cash collateral | Net amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Bank of America, N.A. | $ | 35 | $ | — | $ | — | $ | — | $ | 35 | ||||||||||
Liabilities: | ||||||||||||||||||||
Goldman Sachs | $ | 3 | $ | — | $ | — | $ | — | $ | 3 | ||||||||||
Global Small Capitalization Fund | ||||||||||||||||||||
Gross amounts recognized in the | Gross amounts not offset in the statement of assets and liabilities and subject to a master netting agreement | |||||||||||||||||||
Counterparty | statement of assets and liabilities | Available to offset | Non-cash collateral* | Cash collateral | Net amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Citibank | $ | 256 | $ | — | $ | — | $ | (130 | ) | $ | 126 | |||||||||
JPMorgan Chase | 246 | (8 | ) | (40 | ) | — | 198 | |||||||||||||
Total | $ | 502 | $ | (8 | ) | $ | (40 | ) | $ | (130 | ) | $ | 324 | |||||||
Liabilities: | ||||||||||||||||||||
Bank of America, N.A. | $ | 4 | $ | — | $ | — | $ | — | $ | 4 | ||||||||||
Bank of New York Mellon | 62 | — | — | — | 62 | |||||||||||||||
JPMorgan Chase | 8 | (8 | ) | — | — | — | ||||||||||||||
Total | $ | 74 | $ | (8 | ) | $ | — | $ | — | $ | 66 | |||||||||
International Fund | ||||||||||||||||||||
Gross amounts recognized in the | Gross amounts not offset in the statement of assets and liabilities and subject to a master netting agreement | |||||||||||||||||||
Counterparty | statement of assets and liabilities | Available to offset | Non-cash collateral* | Cash collateral | Net amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Bank of America, N.A. | $ | 662 | $ | — | $ | (662 | ) | $ | — | $ | — |
See end of tables for footnote.
American Funds Insurance Series | 161 |
New World Fund
Gross amounts recognized in the | Gross amounts not offset in the statement of assets and liabilities and subject to a master netting agreement | |||||||||||||||||||
Counterparty | statement of assets and liabilities | Available to offset | Non-cash collateral* | Cash collateral | Net amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Bank of America, N.A. | $ | 15 | $ | (15 | ) | $ | — | $ | — | $ | — | |||||||||
Citibank | 96 | — | — | — | 96 | |||||||||||||||
Goldman Sachs | 110 | (1 | ) | — | — | 109 | ||||||||||||||
JPMorgan Chase | 379 | — | (270 | ) | — | 109 | ||||||||||||||
Total | $ | 600 | $ | (16 | ) | $ | (270 | ) | $ | — | $ | 314 | ||||||||
Liabilities: | ||||||||||||||||||||
Bank of America, N.A. | $ | 44 | $ | (15 | ) | $ | — | $ | — | $ | 29 | |||||||||
Goldman Sachs | 1 | (1 | ) | — | — | — | ||||||||||||||
Total | $ | 45 | $ | (16 | ) | $ | — | $ | — | $ | 29 | |||||||||
Global Balanced Fund | ||||||||||||||||||||
Gross amounts recognized in the | Gross amounts not offset in the statement of assets and liabilities and subject to a master netting agreement | |||||||||||||||||||
Counterparty | statement of assets and liabilities | Available to offset | Non-cash collateral* | Cash collateral | Net amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Bank of America, N.A. | $ | 72 | $ | (52 | ) | $ | — | $ | — | $ | 20 | |||||||||
Citibank | 140 | (21 | ) | — | — | 119 | ||||||||||||||
Goldman Sachs | 22 | (22 | ) | — | — | — | ||||||||||||||
JPMorgan Chase | 83 | (50 | ) | — | — | 33 | ||||||||||||||
UBS AG | 18 | — | — | — | 18 | |||||||||||||||
Total | $ | 335 | $ | (145 | ) | $ | — | $ | — | $ | 190 | |||||||||
Liabilities: | ||||||||||||||||||||
Bank of America, N.A. | $ | 52 | $ | (52 | ) | $ | — | $ | — | $ | — | |||||||||
Bank of New York Mellon | 6 | — | — | — | 6 | |||||||||||||||
Citibank | 21 | (21 | ) | — | — | — | ||||||||||||||
Goldman Sachs | 28 | (22 | ) | — | — | 6 | ||||||||||||||
JPMorgan Chase | 50 | (50 | ) | — | — | — | ||||||||||||||
Morgan Stanley | 1 | — | — | — | 1 | |||||||||||||||
Total | $ | 158 | $ | (145 | ) | $ | — | $ | — | $ | 13 | |||||||||
Bond Fund | ||||||||||||||||||||
Gross amounts recognized in the | Gross amounts not offset in the statement of assets and liabilities and subject to a master netting agreement | |||||||||||||||||||
Counterparty | statement of assets and liabilities | Available to offset | Non-cash collateral* | Cash collateral | Net amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Bank of New York Mellon | $ | 123 | $ | (123 | ) | $ | — | $ | — | $ | — | |||||||||
Goldman Sachs | 499 | (3 | ) | — | (80 | ) | 416 | |||||||||||||
JPMorgan Chase | 1,246 | — | (1,246 | ) | — | — | ||||||||||||||
Total | $ | 1,868 | $ | (126 | ) | $ | (1,246 | ) | $ | (80 | ) | $ | 416 | |||||||
Liabilities: | ||||||||||||||||||||
Bank of New York Mellon | $ | 1,249 | $ | (123 | ) | $ | (783 | ) | $ | — | $ | 343 | ||||||||
Citibank | 1,165 | — | (391 | ) | — | 774 | ||||||||||||||
Goldman Sachs | 3 | (3 | ) | — | — | — | ||||||||||||||
Total | $ | 2,417 | $ | (126 | ) | $ | (1,174 | ) | $ | — | $ | 1,117 |
162 | American Funds Insurance Series |
Global Bond Fund
Gross amounts recognized in the | Gross amounts not offset in the statement of assets and liabilities and subject to a master netting agreement | |||||||||||||||||||
Counterparty | statement of assets and liabilities | Available to offset | Non-cash collateral* | Cash collateral | Net amount | |||||||||||||||
Assets: | ||||||||||||||||||||
Bank of America, N.A. | $ | 1,279 | $ | (1,279 | ) | $ | — | $ | — | $ | — | |||||||||
Citibank | 3,641 | (433 | ) | — | (3,020 | ) | 188 | |||||||||||||
Goldman Sachs | 671 | (594 | ) | — | — | 77 | ||||||||||||||
JPMorgan Chase | 4,209 | (1,534 | ) | (2,183 | ) | — | 492 | �� | ||||||||||||
UBS AG | 245 | (245 | ) | — | — | — | ||||||||||||||
Total | $ | 10,045 | $ | (4,085 | ) | $ | (2,183 | ) | $ | (3,020 | ) | $ | 757 | |||||||
Liabilities: | ||||||||||||||||||||
Bank of America, N.A. | $ | 1,638 | $ | (1,279 | ) | $ | (359 | ) | $ | — | $ | — | ||||||||
Bank of New York Mellon | 161 | — | — | — | 161 | |||||||||||||||
Citibank | 433 | (433 | ) | — | — | — | ||||||||||||||
Goldman Sachs | 594 | (594 | ) | — | — | — | ||||||||||||||
JPMorgan Chase | 1,534 | (1,534 | ) | — | — | — | ||||||||||||||
Morgan Stanley | 173 | — | — | — | 173 | |||||||||||||||
UBS AG | 497 | (245 | ) | (155 | ) | — | 97 | |||||||||||||
Total | $ | 5,030 | $ | (4,085 | ) | $ | (514 | ) | $ | — | $ | 431 |
* | Non-cash collateral is shown on a settlement basis. |
6. Taxation and distributions
Federal income taxation — Each fund complies with the requirements under Subchapter M of the Internal Revenue Code applicable to mutual funds and intends to distribute substantially all of its net taxable income and net capital gains each year. The funds are not subject to income taxes to the extent such distributions are made. Therefore, no federal income tax provision is required.
As of and during the period ended June 30, 2018, none of the funds had a liability for any unrecognized tax benefits. Each fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in their respective statements of operations. During the period, none of the funds incurred any significant interest or penalties.
Each fund’s tax returns are not subject to examination by federal, state and, if applicable, non-U.S. tax authorities after the expiration of each jurisdiction’s statute of limitations, which is generally three years after the date of filing but can be extended in certain jurisdictions.
Non-U.S. taxation — Dividend and interest income, if any, are recorded net of non-U.S. taxes paid. The funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. As a result of rulings from European courts, the funds filed for additional reclaims related to prior years. These reclaims are recorded when the amount is known and there are no significant uncertainties on collectability. Gains realized by the funds on the sale of securities in certain countries, if any, may be subject to non-U.S. taxes. If applicable, the funds record an estimated deferred tax liability based on unrealized gains to provide for potential non-U.S. taxes payable upon the sale of these securities.
Distributions — Distributions paid to shareholders are based on each fund’s net investment income and net realized gains determined on a tax basis, which may differ from net investment income and net realized gains for financial reporting purposes. These differences are due primarily to different treatment for items such as currency gains and losses; short-term capital gains and losses; capital losses related to sales of certain securities within 30 days of purchase; unrealized appreciation of certain investments in securities outside the U.S.; deferred expenses; cost of investments sold; paydowns on fixed-income securities; net capital losses; non-U.S. taxes on capital gains and income on certain investments. The fiscal year in which amounts are distributed may differ from the year in which the net investment income and net realized gains are recorded by the funds for financial reporting purposes.
American Funds Insurance Series | 163 |
Additional tax basis disclosures for each fund are as follows (dollars in thousands):
Global Growth Fund | Global Small Capitalization Fund | Growth Fund | International Fund | New World Fund | Blue Chip Income and Growth Fund | |||||||||||||||||||
As of December 31, 2017: | ||||||||||||||||||||||||
Undistributed ordinary income | $ | 31,444 | $ | 44,103 | $ | 112,122 | $ | 158,459 | $ | 8,129 | $ | 233,361 | ||||||||||||
Undistributed long-term capital gains | 402,492 | 147,040 | 2,434,009 | 324,550 | 93,323 | 502,967 | ||||||||||||||||||
As of June 30, 2018: | ||||||||||||||||||||||||
Gross unrealized appreciation on investments | 2,273,058 | 1,213,793 | 10,988,525 | 2,317,465 | 692,686 | 1,980,494 | ||||||||||||||||||
Gross unrealized depreciation on investments | (135,020 | ) | (216,845 | ) | (360,899 | ) | (445,958 | ) | (177,000 | ) | (275,986 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments | 2,138,038 | 996,948 | 10,627,626 | 1,871,507 | 515,686 | 1,704,508 | ||||||||||||||||||
Cost of investments | 4,118,698 | 3,297,097 | 15,166,415 | 7,978,642 | 2,866,886 | 7,388,476 | ||||||||||||||||||
Global Growth and Income Fund | Growth- Income Fund | International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | Global Balanced Fund | |||||||||||||||||||
As of December 31, 2017: | ||||||||||||||||||||||||
Undistributed ordinary income | $ | 30,483 | $ | 199,924 | $ | 4,856 | $ | 2,111 | $ | 180,609 | $ | — | ||||||||||||
Late year ordinary loss deferral* | — | — | — | — | — | (316 | ) | |||||||||||||||||
Undistributed long-term capital gains | 127,553 | 2,005,758 | — | 1,388 | 1,027,497 | — | ||||||||||||||||||
Post-October capital loss deferral* | — | — | — | — | — | (158 | ) | |||||||||||||||||
Capital loss carryforward† | — | — | (4,708 | ) | — | — | — | |||||||||||||||||
As of June 30, 2018: | ||||||||||||||||||||||||
Gross unrealized appreciation on investments | 484,206 | 9,480,000 | 177,121 | 38,135 | 5,450,441 | 59,086 | ||||||||||||||||||
Gross unrealized depreciation on investments | (54,706 | ) | (783,403 | ) | (70,081 | ) | (29,309 | ) | (854,857 | ) | (10,835 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments | 429,500 | 8,696,597 | 107,040 | 8,826 | 4,595,584 | 48,251 | ||||||||||||||||||
Cost of investments | 1,599,556 | 22,772,412 | 1,354,696 | 649,744 | 21,869,828 | 341,611 | ||||||||||||||||||
Bond Fund | Global Bond Fund | High- Income Bond Fund | Mortgage Fund | Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | |||||||||||||||||||
As of December 31, 2017: | ||||||||||||||||||||||||
Undistributed ordinary income | $ | 43,324 | $ | 5,555 | $ | 14,711 | $ | 1,055 | $ | 481 | $ | 9,342 | ||||||||||||
Undistributed long-term capital gains | 14,531 | 6,778 | — | — | — | — | ||||||||||||||||||
Capital loss carryforward† | — | — | (146,596 | ) | (490 | ) | — | (1,300 | ) | |||||||||||||||
As of June 30, 2018: | ||||||||||||||||||||||||
Gross unrealized appreciation on investments | 86,618 | 38,827 | 17,819 | 7,171 | 4 | 75,336 | ||||||||||||||||||
Gross unrealized depreciation on investments | (229,829 | ) | (78,317 | ) | (55,149 | ) | (6,486 | ) | (22 | ) | (69,156 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments | (143,211 | ) | (39,490 | ) | (37,330 | ) | 685 | (18 | ) | 6,180 | ||||||||||||||
Cost of investments | 12,680,296 | 2,323,919 | 1,449,320 | 446,095 | 291,655 | 3,512,857 |
164 | American Funds Insurance Series |
Managed Risk Growth Fund | Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth- Income Fund | Managed Risk Asset Allocation Fund | ||||||||||||||||
As of December 31, 2017: | ||||||||||||||||||||
Undistributed ordinary income | $ | 1,399 | $ | 1,323 | $ | 5,669 | $ | 2,167 | $ | 53,091 | ||||||||||
Undistributed long-term capital gains | 20,518 | 732 | 12,104 | 9,926 | 174,185 | |||||||||||||||
As of June 30, 2018: | ||||||||||||||||||||
Gross unrealized appreciation on investments | 17,260 | 5,729 | 4,735 | 7,026 | 178,046 | |||||||||||||||
Gross unrealized depreciation on investments | (1,425 | ) | (709 | ) | (1,287 | ) | (1,012 | ) | — | |||||||||||
Net unrealized appreciation (depreciation) on investments | 15,835 | 5,020 | 3,448 | 6,014 | 178,046 | |||||||||||||||
Cost of investments | 306,890 | 150,216 | 348,139 | 221,722 | 4,291,387 |
* | These deferrals are considered incurred in the subsequent year. |
† | Capital loss carryforwards will be used to offset any capital gains realized by the funds in the current year or in subsequent years. The funds will not make distributions from capital gains while a capital loss carryforwards remains. |
Distributions paid by each fund were characterized for tax purposes as follows (dollars in thousands):
Global Growth Fund
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 11,170 | $ | 134,884 | $ | 146,054 | $ | 16,830 | $ | 55,298 | $ | 72,128 | ||||||||||||
Class 1A1 | 21 | 273 | 294 | 15 | 16 | 31 | ||||||||||||||||||
Class 2 | 19,118 | 251,323 | 270,441 | 24,835 | 114,893 | 139,728 | ||||||||||||||||||
Class 4 | 1,162 | 16,024 | 17,186 | 1,062 | 3,889 | 4,951 | ||||||||||||||||||
Total | $ | 31,471 | $ | 402,504 | $ | 433,975 | $ | 42,742 | $ | 174,096 | $ | 216,838 | ||||||||||||
Global Small Capitalization Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends paid | ||||||||||||||||||
Class 1 | $ | 17,229 | $ | 55,968 | $ | 73,197 | $ | 10,151 | $ | — | $ | 10,151 | ||||||||||||
Class 1A1 | 3 | 12 | 15 | 1 | — | 1 | ||||||||||||||||||
Class 2 | 25,423 | 86,037 | 111,460 | 10,597 | — | 10,597 | ||||||||||||||||||
Class 4 | 1,456 | 5,035 | 6,491 | 270 | — | 270 | ||||||||||||||||||
Total | $ | 44,111 | $ | 147,052 | $ | 191,163 | $ | 21,019 | $ | — | $ | 21,019 |
See end of tables for footnotes.
American Funds Insurance Series | 165 |
Growth Fund
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 38,940 | $ | 792,865 | $ | 831,805 | $ | 75,247 | $ | 713,987 | $ | 789,234 | ||||||||||||
Class 1A1 | 30 | 634 | 664 | 15 | 63 | 78 | ||||||||||||||||||
Class 2 | 67,863 | 1,515,757 | 1,583,620 | 110,909 | 1,409,266 | 1,520,175 | ||||||||||||||||||
Class 3 | 930 | 20,248 | 21,178 | 1,601 | 18,484 | 20,085 | ||||||||||||||||||
Class 4 | 4,388 | 104,527 | 108,915 | 4,893 | 53,128 | 58,021 | ||||||||||||||||||
Total | $ | 112,151 | $ | 2,434,031 | $ | 2,546,182 | $ | 192,665 | $ | 2,194,928 | $ | 2,387,593 | ||||||||||||
International Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 82,087 | $ | 165,915 | $ | 248,002 | $ | 70,384 | $ | 49,783 | $ | 120,167 | ||||||||||||
Class 1A1 | 69 | 140 | 209 | 17 | 3 | 20 | ||||||||||||||||||
Class 2 | 70,871 | 146,986 | 217,857 | 53,513 | 46,642 | 100,155 | ||||||||||||||||||
Class 3 | 470 | 970 | 1,440 | 396 | 331 | 727 | ||||||||||||||||||
Class 4 | 5,010 | 10,556 | 15,566 | 3,025 | 1,066 | 4,091 | ||||||||||||||||||
Total | $ | 158,507 | $ | 324,567 | $ | 483,074 | $ | 127,335 | $ | 97,825 | $ | 225,160 | ||||||||||||
New World Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends paid | ||||||||||||||||||
Class 1 | $ | 5,166 | $ | 54,023 | $ | 59,189 | $ | 21,960 | $ | — | $ | 21,960 | ||||||||||||
Class 1A1 | 5 | 50 | 55 | 6 | — | 6 | ||||||||||||||||||
Class 2 | 2,100 | 26,593 | 28,693 | 9,149 | — | 9,149 | ||||||||||||||||||
Class 4 | 869 | 12,659 | 13,528 | 3,016 | — | 3,016 | ||||||||||||||||||
Total | $ | 8,140 | $ | 93,325 | $ | 101,465 | $ | 34,131 | $ | — | $ | 34,131 | ||||||||||||
Blue Chip Income and Growth Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 140,206 | $ | 299,947 | $ | 440,153 | $ | 140,306 | $ | 170,748 | $ | 311,054 | ||||||||||||
Class 1A1 | 63 | 135 | 198 | 12 | 5 | 17 | ||||||||||||||||||
Class 2 | 85,621 | 186,318 | 271,939 | 82,680 | 113,013 | 195,693 | ||||||||||||||||||
Class 4 | 7,578 | 16,620 | 24,198 | 4,917 | 5,605 | 10,522 | ||||||||||||||||||
Total | $ | 233,468 | $ | 503,020 | $ | 736,488 | $ | 227,915 | $ | 289,371 | $ | 517,286 |
166 | American Funds Insurance Series |
Global Growth and Income Fund
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 7,714 | $ | 31,541 | $ | 39,255 | $ | 10,516 | $ | 7,109 | $ | 17,625 | ||||||||||||
Class 1A1 | 13 | 52 | 65 | 2 | — | 2 | 2 | |||||||||||||||||
Class 2 | 21,411 | 90,173 | 111,584 | 30,799 | 26,178 | 56,977 | ||||||||||||||||||
Class 4 | 1,357 | 5,789 | 7,146 | 1,478 | 405 | 1,883 | ||||||||||||||||||
Total | $ | 30,495 | $ | 127,555 | $ | 158,050 | $ | 42,795 | $ | 33,692 | $ | 76,487 | ||||||||||||
Growth-Income Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 108,059 | $ | 1,049,641 | $ | 1,157,700 | $ | 250,221 | $ | 884,958 | $ | 1,135,179 | ||||||||||||
Class 1A1 | 35 | 344 | 379 | 24 | 16 | 40 | ||||||||||||||||||
Class 2 | 85,521 | 886,942 | 972,463 | 195,450 | 853,292 | 1,048,742 | ||||||||||||||||||
Class 3 | 1,014 | 10,337 | 11,351 | 2,421 | 10,140 | 12,561 | ||||||||||||||||||
Class 4 | 5,368 | 58,501 | 63,869 | 9,973 | 36,513 | 46,486 | ||||||||||||||||||
Total | $ | 199,997 | $ | 2,005,765 | $ | 2,205,762 | $ | 458,089 | $ | 1,784,919 | $ | 2,243,008 | ||||||||||||
International Growth and Income Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends paid | Ordinary income | Long-term capital gains | Total dividends paid | ||||||||||||||||||
Class 1 | $ | 3,855 | $ | — | $ | 3,855 | $ | 25,860 | $ | — | $ | 25,860 | ||||||||||||
Class 1A1 | 6 | — | 6 | 14 | — | 14 | ||||||||||||||||||
Class 2 | 800 | — | 800 | 5,714 | — | 5,714 | ||||||||||||||||||
Class 4 | 202 | — | 202 | 1,184 | — | 1,184 | ||||||||||||||||||
Total | $ | 4,863 | $ | — | $ | 4,863 | $ | 32,772 | $ | — | $ | 32,772 | ||||||||||||
Capital Income Builder | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends paid | ||||||||||||||||||
Class 1 | $ | 4,370 | $ | 617 | $ | 4,987 | $ | 6,303 | $ | — | $ | 6,303 | ||||||||||||
Class 1A1 | 21 | 3 | 24 | 8 | — | 8 | ||||||||||||||||||
Class 2 | 34 | 6 | 40 | 23 | — | 23 | ||||||||||||||||||
Class 4 | 4,593 | 762 | 5,355 | 7,676 | — | 7,676 | ||||||||||||||||||
Total | $ | 9,018 | $ | 1,388 | $ | 10,406 | $ | 14,010 | $ | — | $ | 14,010 |
See end of tables for footnotes.
American Funds Insurance Series | 167 |
Asset Allocation Fund
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 120,676 | $ | 666,856 | $ | 787,532 | $ | 287,347 | $ | 666,425 | $ | 953,772 | ||||||||||||
Class 1A1 | 46 | 263 | 309 | 50 | 70 | 120 | ||||||||||||||||||
Class 2 | 35,740 | 210,133 | 245,873 | 84,847 | 241,077 | 325,924 | ||||||||||||||||||
Class 3 | 245 | 1,413 | 1,658 | 601 | 1,646 | 2,247 | ||||||||||||||||||
Class 4 | 23,998 | 148,867 | 172,865 | 47,458 | 145,207 | 192,665 | ||||||||||||||||||
Total | $ | 180,705 | $ | 1,027,532 | $ | 1,208,237 | $ | 420,303 | $ | 1,054,425 | $ | 1,474,728 | ||||||||||||
Global Balanced Fund | ||||||||||||||||||||||||
Six months ended June 30, 20183 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | — | $ | — | $ | — | $ | 1,298 | $ | 2,309 | $ | 3,607 | ||||||||||||
Class 1A1 | — | — | — | 3 | 5 | 8 | ||||||||||||||||||
Class 2 | — | — | — | 2,516 | 5,414 | 7,930 | ||||||||||||||||||
Class 4 | — | — | — | 582 | 1,195 | 1,777 | ||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | 4,399 | $ | 8,923 | $ | 13,322 | ||||||||||||
Bond Fund | �� | |||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 27,667 | $ | 8,915 | $ | 36,582 | $ | 211,473 | $ | 25,594 | $ | 237,067 | ||||||||||||
Class 1A1 | 10 | 4 | 14 | 19 | 1 | 20 | ||||||||||||||||||
Class 2 | 14,535 | 5,217 | 19,752 | 119,175 | 15,280 | 134,455 | ||||||||||||||||||
Class 4 | 1,185 | 453 | 1,638 | 5,958 | 441 | 6,399 | ||||||||||||||||||
Total | $ | 43,397 | $ | 14,589 | $ | 57,986 | $ | 336,625 | $ | 41,316 | $ | 377,941 | ||||||||||||
Global Bond Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 2,915 | $ | 3,256 | $ | 6,171 | $ | 14,181 | $ | 103 | $ | 14,284 | ||||||||||||
Class 1A1 | 1 | 1 | 2 | — | 2 | — | 2 | — | 2 | |||||||||||||||
Class 2 | 2,574 | 3,412 | 5,986 | 11,033 | 99 | 11,132 | ||||||||||||||||||
Class 4 | 82 | 118 | 200 | 196 | 1 | 197 | ||||||||||||||||||
Total | $ | 5,572 | $ | 6,787 | $ | 12,359 | $ | 25,410 | $ | 203 | $ | 25,613 |
168 | American Funds Insurance Series |
High-Income Bond Fund
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends paid | Ordinary income | Long-term capital gains | Total dividends paid | ||||||||||||||||||
Class 1 | $ | 6,576 | $ | — | $ | 6,576 | $ | 43,976 | $ | — | $ | 43,976 | ||||||||||||
Class 1A1 | 6 | — | 6 | 12 | — | 12 | ||||||||||||||||||
Class 2 | 7,724 | — | 7,724 | 51,640 | — | 51,640 | ||||||||||||||||||
Class 3 | 125 | — | 125 | 805 | — | 805 | ||||||||||||||||||
Class 4 | 284 | — | 284 | 1,981 | — | 1,981 | ||||||||||||||||||
Total | $ | 14,715 | $ | — | $ | 14,715 | $ | 98,414 | $ | — | $ | 98,414 | ||||||||||||
Mortgage Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class 1 | $ | 846 | $ | — | $ | 846 | $ | 5,106 | $ | 1,186 | $ | 6,292 | ||||||||||||
Class 1A1 | 2 | — | 2 | 2 | — | 2 | 2 | |||||||||||||||||
Class 2 | 169 | — | 169 | 1,025 | 262 | 1,287 | ||||||||||||||||||
Class 4 | 40 | — | 40 | 165 | 39 | 204 | ||||||||||||||||||
Total | $ | 1,057 | $ | — | $ | 1,057 | $ | 6,298 | $ | 1,487 | $ | 7,785 | ||||||||||||
Ultra-Short Bond Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends paid | Ordinary income | Long-term capital gains | Total dividends paid | ||||||||||||||||||
Class 1 | $ | 71 | $ | — | $ | 71 | $ | 184 | $ | — | $ | 184 | ||||||||||||
Class 1A1 | — | 2 | — | — | 2 | — | 2 | — | — | 2 | ||||||||||||||
Class 2 | 388 | — | 388 | 697 | — | 697 | ||||||||||||||||||
Class 3 | 8 | — | 8 | 15 | — | 15 | ||||||||||||||||||
Class 4 | 16 | — | 16 | 10 | — | 10 | ||||||||||||||||||
Total | $ | 483 | $ | — | $ | 483 | $ | 906 | $ | — | $ | 906 | ||||||||||||
U.S. Government/AAA-Rated Securities Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends paid | Ordinary income | Long-term capital gains | Total dividends paid | ||||||||||||||||||
Class 1 | $ | 5,048 | $ | — | $ | 5,048 | $ | 23,690 | $ | — | $ | 23,690 | ||||||||||||
Class 1A1 | 4 | — | 4 | 1 | — | 1 | ||||||||||||||||||
Class 2 | 4,111 | — | 4,111 | 19,498 | — | 19,498 | ||||||||||||||||||
Class 3 | 27 | — | 27 | 141 | — | 141 | ||||||||||||||||||
Class 4 | 168 | — | 168 | 663 | — | 663 | ||||||||||||||||||
Total | $ | 9,358 | $ | — | $ | 9,358 | $ | 43,993 | $ | — | $ | 43,993 |
See end of tables for footnotes.
American Funds Insurance Series | 169 |
Managed Risk Growth Fund
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class P1 | $ | 14 | $ | 135 | $ | 149 | $ | 7 | $ | 22 | $ | 29 | ||||||||||||
Class P2 | 1,397 | 20,395 | 21,792 | 727 | 4,120 | 4,847 | ||||||||||||||||||
Total | $ | 1,411 | $ | 20,530 | $ | 21,941 | $ | 734 | $ | 4,142 | $ | 4,876 | ||||||||||||
Managed Risk International Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class P1 | $ | 3 | $ | 1 | $ | 4 | $ | 1 | $ | 1 | $ | 2 | ||||||||||||
Class P2 | 1,328 | 738 | 2,066 | 899 | 1,402 | 2,301 | ||||||||||||||||||
Total | $ | 1,331 | $ | 739 | $ | 2,070 | $ | 900 | $ | 1,403 | $ | 2,303 | ||||||||||||
Managed Risk Blue Chip Income and Growth Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class P1 | $ | 3 | $ | 7 | $ | 10 | $ | 4 | $ | 3 | $ | 7 | ||||||||||||
Class P2 | 5,682 | 12,113 | 17,795 | 5,157 | 5,565 | 10,722 | ||||||||||||||||||
Total | $ | 5,685 | $ | 12,120 | $ | 17,805 | $ | 5,161 | $ | 5,568 | $ | 10,729 | ||||||||||||
Managed Risk Growth-Income Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class P1 | $ | 34 | $ | 122 | $ | 156 | $ | 19 | $ | 73 | $ | 92 | ||||||||||||
Class P2 | 2,143 | 9,814 | 11,957 | 1,848 | 7,653 | 9,501 | ||||||||||||||||||
Total | $ | 2,177 | $ | 9,936 | $ | 12,113 | $ | 1,867 | $ | 7,726 | $ | 9,593 | ||||||||||||
Managed Risk Asset Allocation Fund | ||||||||||||||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||||||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||||||||||||||
Class P1 | $ | 23,251 | $ | 66,960 | $ | 90,211 | $ | 11,453 | $ | 13,811 | $ | 25,264 | ||||||||||||
Class P2 | 30,027 | 107,405 | 137,432 | 20,269 | 24,931 | 45,200 | ||||||||||||||||||
Total | $ | 53,278 | $ | 174,365 | $ | 227,643 | $ | 31,722 | $ | 38,742 | $ | 70,464 |
1 | Class 1A shares began investment operations on January 6, 2017. |
2 | Amount less than one thousand. |
3 | No distributions were paid by Global Balanced Fund during the six months ended June 30, 2018. |
170 | American Funds Insurance Series |
7. Fees and transactions
CRMC, the series’ investment adviser, is the parent company of American Funds Distributors,® Inc. (“AFD”), the distributor of the series’ shares, and American Funds Service Company® (“AFS”), the series’ transfer agent. CRMC, AFD and AFS are considered related parties to the series.
Investment advisory services — The series has an investment advisory and service agreement with CRMC that provides for monthly fees accrued daily. These fees are based on annual rates that generally decrease as average net asset levels increase. CRMC receives investment advisory fees from the underlying funds held by the managed risk funds. These fees are included in the net effective expense ratios that are provided as supplementary information in the financial highlights tables. Subadvisory fees for the managed risk funds are paid by CRMC to Milliman FRM. The managed risk funds are not responsible for paying any subadvisory fees.
Investment advisory services waivers — On December 4, 2017, the series board of trustees approved amended agreements effective February 1, 2018, decreasing the annual rate to 0.580% on average daily net assets in excess of $4 billion for New World Fund, decreasing the annual rate to 0.350% on average daily net assets in excess of $10.5 billion for Blue Chip Income and Growth Fund, and decreasing the annual rate to 0.320% on average daily net assets in excess of $13 billion for Bond Fund. During the six months ended June 30, 2018, CRMC voluntarily reduced the investment advisory services fees to a proposed rate of 0.500% on average daily net assets in excess of $1.5 billion for International Growth and Income Fund and a proposed rate of 0.450% on average daily net assets in excess of $600 million for Capital Income Builder. CRMC is also waiving a portion of its investment advisory services fees for each of the managed risk funds. Investment advisory services fees are presented in each fund’s statement of operations gross of the waivers from CRMC. For the six months ended June 30, 2018, total investment advisory services fees waived by CRMC were $1,374,000.
The range of rates, net asset levels and the current annualized rates of average net assets for each fund before and after any investment advisory services waivers (if applicable), are as follows:
Rates | Net asset level (in billions) | For the period ended June 30, | For the period ended June 30, | |||||||||||||||||||||
Beginning | Ending | In excess | 2018, | 2018, | ||||||||||||||||||||
Fund | with | with | Up to | of | before waiver | after waiver | ||||||||||||||||||
Global Growth Fund | .690 | % | .460 | % | $ | .6 | $ | 5.0 | .515 | % | .515 | % | ||||||||||||
Global Small Capitalization Fund | .800 | .635 | .6 | 5.0 | .695 | .695 | ||||||||||||||||||
Growth Fund | .500 | .280 | .6 | 34.0 | .323 | .323 | ||||||||||||||||||
International Fund | .690 | .430 | .5 | 21.0 | .491 | .491 | ||||||||||||||||||
New World Fund | .850 | .580 | .5 | 4.0 | .697 | .697 | ||||||||||||||||||
Blue Chip Income and Growth Fund | .500 | .350 | .6 | 10.5 | .388 | .388 | ||||||||||||||||||
Global Growth and Income Fund | .690 | .480 | .6 | 3.0 | .591 | .591 | ||||||||||||||||||
Growth-Income Fund | .500 | .219 | .6 | 34.0 | .258 | .258 | ||||||||||||||||||
International Growth and Income Fund | .690 | .530 | .5 | 1.0 | .604 | .604 | ||||||||||||||||||
Capital Income Builder | .500 | all | .500 | .498 | ||||||||||||||||||||
Asset Allocation Fund | .500 | .240 | .6 | 21.0 | .266 | .266 | ||||||||||||||||||
Global Balanced Fund | .660 | .510 | .5 | 1.0 | .660 | .660 | ||||||||||||||||||
Bond Fund | .480 | .320 | .6 | 13.0 | .362 | .362 | ||||||||||||||||||
Global Bond Fund | .570 | .450 | 1.0 | 3.0 | .529 | .529 | ||||||||||||||||||
High-Income Bond Fund | .500 | .420 | .6 | 2.0 | .471 | .471 | ||||||||||||||||||
Mortgage Fund | .420 | .290 | .6 | 3.0 | .420 | .420 | ||||||||||||||||||
Ultra-Short Bond Fund | .320 | .270 | 1.0 | 2.0 | .320 | .320 | ||||||||||||||||||
U.S. Government/AAA-Rated Securities Fund | .420 | .290 | .6 | 3.0 | .338 | .338 | ||||||||||||||||||
Managed Risk Growth Fund | .150 | all | .150 | .100 | ||||||||||||||||||||
Managed Risk International Fund | .150 | all | .150 | .100 | ||||||||||||||||||||
Managed Risk Blue Chip Income and Growth Fund | .150 | all | .150 | .100 | ||||||||||||||||||||
Managed Risk Growth-Income Fund | .150 | all | .150 | .100 | ||||||||||||||||||||
Managed Risk Asset Allocation Fund | .150 | all | .150 | .100 |
Distribution services — The series has plans of distribution for all share classes except Class 1. Under the plans, the board of trustees approves certain categories of expenses that are used to finance activities primarily intended to sell fund shares. The plans provide for payments to pay service fees to firms that have entered into agreements with the series. These payments, based on an annualized
American Funds Insurance Series | 171 |
percentage of average daily net assets, range from 0.18% to 0.50% as noted in the table below. In some cases, the board of trustees has limited the amounts that may be paid to less than the maximum allowed by the plans.
Share class | Currently approved limits | Plan limits | ||||||
Class 1A | 0.00 | % | 0.25 | % | ||||
Class 2 | 0.25 | 0.25 | ||||||
Class 3 | 0.18 | 0.18 | ||||||
Class 4 | 0.25 | 0.25 | ||||||
Class P1 | 0.00 | 0.25 | ||||||
Class P2 | 0.25 | 0.50 |
Insurance administrative services — The series has an insurance administrative services plan for Class 1A, 4, P1 and P2 shares. Under the plan, these share classes pay 0.25% of each insurance company’s respective average daily net assets in each share class to compensate the insurance companies for services provided to their separate accounts and contractholders for which the shares of the fund are beneficially owned as underlying investments of such contractholders’ annuities. These services include, but are not limited to, maintenance, shareholder communications and transactional services. The insurance companies are not related parties to the series.
Transfer agent services — The series has a shareholder services agreement with AFS under which the funds compensate AFS for providing transfer agent services to all of the funds’ share classes. These services include recordkeeping, shareholder communications and transaction processing. In addition, the managed risk funds reimburse AFS for amounts paid to third parties for performing transfer agent services on behalf of fund shareholders.
Administrative services — The series has an administrative services agreement with CRMC to provide administrative services to all of the funds’ share classes. The services include, but are not limited to, coordinating, monitoring, assisting and overseeing third parties that provide services to fund shareholders. Under the agreement, each share class of each fund, except the managed risk funds, pays an annual fee of 0.01% based on its respective average daily net assets to compensate CRMC for providing administrative services. For the managed risk funds, CRMC receives administrative services fees of 0.01% of average daily net assets from Class 1 shares of the underlying funds for administrative services provided to the series.
Accounting and administrative services — The managed risk funds have a subadministration agreement with BNY Mellon under which the fund compensates BNY Mellon for providing accounting and administrative services to each of the managed risk funds’ share classes. These services include, but are not limited to, fund accounting (including calculation of net asset value), financial reporting and tax services. BNY Mellon is not a related party to the managed risk funds.
Miscellaneous fee reimbursements — CRMC is currently reimbursing a portion of miscellaneous fees and expenses for Managed Risk Growth Fund, Managed Risk International Fund and Managed Risk Growth-Income Fund. Miscellaneous expenses exclude investment advisory services and distribution services fees. For the six months ended June 30, 2018, total expenses reimbursed by CRMC were $50,000.
Class-specific expenses under the agreements described above were as follows (dollars in thousands):
Global Growth Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 105 | ||||||||
Class 1A | $ | — | $ | 4 | — | * | ||||||
Class 2 | 5,025 | Not applicable | 201 | |||||||||
Class 4 | 292 | 292 | 12 | |||||||||
Total class-specific expenses | $ | 5,317 | $ | 296 | $ | 318 |
Global Small Capitalization Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 83 | ||||||||
Class 1A | $ | — | $ | 1 | — | * | ||||||
Class 2 | 3,155 | Not applicable | 126 | |||||||||
Class 4 | 171 | 171 | 7 | |||||||||
Total class-specific expenses | $ | 3,326 | $ | 172 | $ | 216 |
172 | American Funds Insurance Series |
Growth Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 415 | ||||||||
Class 1A | $ | — | $ | 6 | — | * | ||||||
Class 2 | 19,915 | Not applicable | 797 | |||||||||
Class 3 | 194 | Not applicable | 11 | |||||||||
Class 4 | 1,287 | 1,287 | 51 | |||||||||
Total class-specific expenses | $ | 21,396 | $ | 1,293 | $ | 1,274 |
International Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 254 | ||||||||
Class 1A | $ | — | $ | 4 | — | * | ||||||
Class 2 | 5,631 | Not applicable | 225 | |||||||||
Class 3 | 27 | Not applicable | 2 | |||||||||
Class 4 | 386 | 386 | 15 | |||||||||
Total class-specific expenses | $ | 6,044 | $ | 390 | $ | 496 |
New World Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 102 | ||||||||
Class 1A | $ | — | $ | 2 | — | * | ||||||
Class 2 | 1,278 | Not applicable | 51 | |||||||||
Class 4 | 568 | 568 | 23 | |||||||||
Total class-specific expenses | $ | 1,846 | $ | 570 | $ | 176 |
Blue Chip Income and Growth Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 274 | ||||||||
Class 1A | $ | — | $ | 2 | — | * | ||||||
Class 2 | 4,259 | Not applicable | 170 | |||||||||
Class 4 | 342 | 342 | 14 | |||||||||
Total class-specific expenses | $ | 4,601 | $ | 344 | $ | 458 |
Global Growth and Income Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 25 | ||||||||
Class 1A | $ | — | $ | 1 | — | * | ||||||
Class 2 | 1,887 | Not applicable | 76 | |||||||||
Class 4 | 109 | 108 | 4 | |||||||||
Total class-specific expenses | $ | 1,996 | $ | 109 | $ | 105 |
Growth-Income Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 810 | ||||||||
Class 1A | $ | — | $ | 5 | — | * | ||||||
Class 2 | 17,386 | Not applicable | 695 | |||||||||
Class 3 | 149 | Not applicable | 8 | |||||||||
Class 4 | 1,091 | 1,091 | 44 | |||||||||
Total class-specific expenses | $ | 18,626 | $ | 1,096 | $ | 1,557 |
International Growth and Income Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 57 | ||||||||
Class 1A | $ | — | $ | 3 | — | * | ||||||
Class 2 | 342 | Not applicable | 14 | |||||||||
Class 4 | 86 | 85 | 3 | |||||||||
Total class-specific expenses | $ | 428 | $ | 88 | $ | 74 |
Capital Income Builder
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 14 | ||||||||
Class 1A | $ | — | $ | 2 | — | * | ||||||
Class 2 | 2 | Not applicable | — | * | ||||||||
Class 4 | 426 | 426 | 17 | |||||||||
Total class-specific expenses | $ | 428 | $ | 428 | $ | 31 |
See end of tables for footnotes.
American Funds Insurance Series | 173 |
Asset Allocation Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 834 | ||||||||
Class 1A | $ | — | $ | 7 | — | * | ||||||
Class 2 | 6,669 | Not applicable | 267 | |||||||||
Class 3 | 33 | Not applicable | 2 | |||||||||
Class 4 | 4,557 | 4,556 | 182 | |||||||||
Total class-specific expenses | $ | 11,259 | $ | 4,563 | $ | 1,285 |
Global Balanced Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 5 | ||||||||
Class 1A | $ | — | $ | — | * | — | * | |||||
Class 2 | 263 | Not applicable | 11 | |||||||||
Class 4 | 78 | 78 | 3 | |||||||||
Total class-specific expenses | $ | 341 | $ | 78 | $ | 19 |
Bond Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 323 | ||||||||
Class 1A | $ | — | $ | 2 | — | * | ||||||
Class 2 | 4,765 | Not applicable | 191 | |||||||||
Class 4 | 388 | 388 | 16 | |||||||||
Total class-specific expenses | $ | 5,153 | $ | 390 | $ | 530 |
Global Bond Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 59 | ||||||||
Class 1A | $ | — | $ | — | * | — | * | |||||
Class 2 | 1,441 | Not applicable | 57 | |||||||||
Class 4 | 46 | 46 | 2 | |||||||||
Total class-specific expenses | $ | 1,487 | $ | 46 | $ | 118 |
High-Income Bond Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 31 | ||||||||
Class 1A | $ | — | $ | 1 | — | * | ||||||
Class 2 | 941 | Not applicable | 38 | |||||||||
Class 3 | 11 | Not applicable | 1 | |||||||||
Class 4 | 37 | 37 | 1 | |||||||||
Total class-specific expenses | $ | 989 | $ | 38 | $ | 71 |
Mortgage Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 13 | ||||||||
Class 1A | $ | — | $ | — | * | — | * | |||||
Class 2 | 76 | Not applicable | 3 | |||||||||
Class 4 | 17 | 18 | 1 | |||||||||
Total class-specific expenses | $ | 93 | $ | 18 | $ | 17 |
Ultra-Short Bond Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 2 | ||||||||
Class 1A | $ | — | $ | — | — | * | ||||||
Class 2 | 300 | Not applicable | 12 | |||||||||
Class 3 | 4 | Not applicable | — | * | ||||||||
Class 4 | 17 | 17 | 1 | |||||||||
Total class-specific expenses | $ | 321 | $ | 17 | $ | 15 |
U.S. Government/AAA-Rated Securities Fund
Share class | Distribution services | Insurance administrative services | Administrative services | |||||||||
Class 1 | Not applicable | Not applicable | $ | 76 | ||||||||
Class 1A | $ | — | $ | 1 | — | * | ||||||
Class 2 | 1,789 | Not applicable | 72 | |||||||||
Class 3 | 9 | Not applicable | 1 | |||||||||
Class 4 | 77 | 77 | 3 | |||||||||
Total class-specific expenses | $ | 1,875 | $ | 78 | $ | 152 |
174 | American Funds Insurance Series |
Managed Risk Growth Fund
Share class | Distribution services | Insurance administrative services | ||||||||||
Class P1 | Not applicable | $ | 2 | |||||||||
Class P2 | $ | 375 | 375 | |||||||||
Total class-specific expenses | $ | 375 | $ | 377 |
Managed Risk International Fund
Share class | Distribution services | Insurance administrative services | ||||||||||
Class P1 | Not applicable | $ | — | * | ||||||||
Class P2 | $ | 194 | 194 | |||||||||
Total class-specific expenses | $ | 194 | $ | 194 |
Managed Risk Blue Chip Income and Growth Fund
Share class | Distribution services | Insurance administrative services | ||||||||||
Class P1 | Not applicable | $ | — | * | ||||||||
Class P2 | $ | 441 | 441 | |||||||||
Total class-specific expenses | $ | 441 | $ | 441 |
Managed Risk Growth-Income Fund
Share class | Distribution services | Insurance administrative services | ||||||||||
Class P1 | Not applicable | $ | 3 | |||||||||
Class P2 | $ | 269 | 269 | |||||||||
Total class-specific expenses | $ | 269 | $ | 272 |
Managed Risk Asset Allocation Fund
Share class | Distribution services | Insurance administrative services | ||||||||||
Class P1 | Not applicable | $ | 2,104 | |||||||||
Class P2 | $ | 3,455 | 3,455 | |||||||||
Total class-specific expenses | $ | 3,455 | $ | 5,559 |
* | Amount less than one thousand. |
Trustees’ deferred compensation — Trustees who are unaffiliated with CRMC may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the funds, are treated as if invested in one or more of the American Funds. These amounts represent general, unsecured liabilities of the funds and vary according to the total returns of the
American Funds Insurance Series | 175 |
selected funds. Trustees’ compensation, shown on the accompanying financial statements, reflects current fees (either paid in cash or deferred) and a net increase in the value of the deferred amounts as follows (dollars in thousands):
Fund | Current fees | Increase in value of deferred amounts | Total trustees’ compensation | |||||||||
Global Growth Fund | $ | 18 | $ | 2 | $ | 20 | ||||||
Global Small Capitalization Fund | 12 | 1 | 13 | |||||||||
Growth Fund | 71 | 8 | 79 | |||||||||
International Fund | 28 | 3 | 31 | |||||||||
New World Fund | 10 | 1 | 11 | |||||||||
Blue Chip Income and Growth Fund | 26 | 3 | 29 | |||||||||
Global Growth and Income Fund | 6 | 1 | 7 | |||||||||
Growth-Income Fund | 87 | 10 | 97 | |||||||||
International Growth and Income Fund | 4 | — | * | 4 | ||||||||
Capital Income Builder | 2 | — | * | 2 | ||||||||
Asset Allocation Fund | 72 | 8 | 80 | |||||||||
Global Balanced Fund | 1 | — | * | 1 | ||||||||
Bond Fund | 30 | 3 | 33 | |||||||||
Global Bond Fund | 7 | 1 | 8 | |||||||||
High-Income Bond Fund | 4 | 1 | 5 | |||||||||
Mortgage Fund | 1 | — | * | 1 | ||||||||
Ultra-Short Bond Fund | 1 | — | * | 1 | ||||||||
U.S. Government/AAA-Rated Securities Fund | 9 | 1 | 10 | |||||||||
Managed Risk Growth Fund | 1 | — | * | 1 | ||||||||
Managed Risk International Fund | — | * | — | * | — | * | ||||||
Managed Risk Blue Chip Income and Growth Fund | 1 | — | * | 1 | ||||||||
Managed Risk Growth-Income Fund | 1 | — | * | 1 | ||||||||
Managed Risk Asset Allocation Fund | 12 | 2 | 14 |
* | Amount less than one thousand. |
Affiliated officers and trustees — Officers and certain trustees of the series are or may be considered to be affiliated with CRMC, AFD and AFS. No affiliated officers or trustees received any compensation directly from any fund in the series.
Security transactions with related funds — The funds may purchase from, or sell securities to, other CRMC-managed funds (or funds managed by certain affiliates of CRMC) under procedures adopted by the fund’s board of trustees. The funds involved in such transactions are considered related by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers. When such transactions occur, each transaction is executed at the current market price of the security and no brokerage commissions or fees are paid in accordance with Rule 17a-7 of the 1940 Act.
The following table presents purchase and sales transactions between each fund and related funds as of June 30, 2018 (dollars in thousands):
Fund | Purchases | Sales | ||||||
Global Small Capitalization Fund | $ | 816 | $ | 58,133 | ||||
Growth Fund | 195,155 | 86,011 | ||||||
Blue Chip Income and Growth Fund | 45,791 | 156,443 | ||||||
Global Growth and Income Fund | 5,892 | 22,571 | ||||||
International Growth and Income Fund | 22,356 | 5,081 |
8. Committed line of credit
Global Small Capitalization Fund, New World Fund and High-Income Bond Fund participate with other funds managed by CRMC in a $1.5 billion credit facility (the “line of credit”) to be utilized for temporary purposes to fund shareholder redemptions. Each fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which are reflected in other expenses in each fund’s statement of operations. None of the funds borrowed on this line of credit at any time during the six months ended June 30, 2018.
176 | American Funds Insurance Series |
9. Capital share transactions
Capital share transactions in the funds were as follows (dollars and shares in thousands):
Global Growth Fund
Reinvestments of | Net increase | |||||||||||||||||||||||||||||||
Sales1 | dividends and distributions | Repurchases1 | (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 157,697 | 5,028 | $ | 146,054 | 4,811 | $ | (106,207 | ) | (3,374 | ) | $ | 197,544 | 6,465 | ||||||||||||||||||
Class 1A | 2,843 | 90 | 294 | 10 | (894 | ) | (28 | ) | 2,243 | 72 | ||||||||||||||||||||||
Class 2 | 28,966 | 932 | 270,442 | 9,000 | (274,246 | ) | (8,738 | ) | 25,162 | 1,194 | ||||||||||||||||||||||
Class 4 | 48,013 | 1,543 | 17,185 | 575 | (11,903 | ) | (385 | ) | 53,295 | 1,733 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 237,519 | 7,593 | $ | 433,975 | 14,396 | $ | (393,250 | ) | (12,525 | ) | $ | 278,244 | 9,464 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 202,598 | 7,210 | $ | 72,128 | 2,554 | $ | (331,323 | ) | (11,655 | ) | $ | (56,597 | ) | (1,891 | ) | ||||||||||||||||
Class 1A2 | 2,333 | 80 | 31 | 1 | (125 | ) | (4 | ) | 2,239 | 77 | ||||||||||||||||||||||
Class 2 | 55,435 | 2,042 | 139,728 | 5,015 | (563,057 | ) | (20,391 | ) | (367,894 | ) | (13,334 | ) | ||||||||||||||||||||
Class 4 | 92,931 | 3,271 | 4,951 | 178 | (11,055 | ) | (400 | ) | 86,827 | 3,049 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 353,297 | 12,603 | $ | 216,838 | 7,748 | $ | (905,560 | ) | (32,450 | ) | $ | (335,425 | ) | (12,099 | ) |
Global Small Capitalization Fund
Reinvestments of | Net increase | |||||||||||||||||||||||||||||||
Sales1 | dividends and distributions | Repurchases1 | (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 56,600 | 2,152 | $ | 72,908 | 2,741 | $ | (99,688 | ) | (3,768 | ) | $ | 29,820 | 1,125 | ||||||||||||||||||
Class 1A | 260 | 10 | 16 | — | 3 | (104 | ) | (4 | ) | 172 | 6 | |||||||||||||||||||||
Class 2 | 11,815 | 463 | 111,459 | 4,310 | (201,063 | ) | (7,886 | ) | (77,789 | ) | (3,113 | ) | ||||||||||||||||||||
Class 4 | 28,288 | 1,101 | 6,491 | 249 | (8,271 | ) | (323 | ) | 26,508 | 1,027 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 96,963 | 3,726 | $ | 190,874 | 7,300 | $ | (309,126 | ) | (11,981 | ) | $ | (21,289 | ) | (955 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 128,448 | 5,651 | $ | 10,108 | 429 | $ | (396,272 | ) | (17,174 | ) | $ | (257,716 | ) | (11,094 | ) | ||||||||||||||||
Class 1A2 | 169 | 8 | 1 | — | 3 | — | 3 | — | 3 | 170 | 8 | |||||||||||||||||||||
Class 2 | 27,876 | 1,267 | 10,597 | 472 | (343,593 | ) | (15,314 | ) | (305,120 | ) | (13,575 | ) | ||||||||||||||||||||
Class 4 | 73,197 | 3,126 | 270 | 12 | (5,899 | ) | (258 | ) | 67,568 | 2,880 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 229,690 | 10,052 | $ | 20,976 | 913 | $ | (745,764 | ) | (32,746 | ) | $ | (495,098 | ) | (21,781 | ) |
See end of tables for footnotes.
American Funds Insurance Series | 177 |
Growth Fund
Reinvestments of | Net increase | |||||||||||||||||||||||||||||||
Sales1 | dividends and distributions | Repurchases1 | (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 199,125 | 2,439 | $ | 829,371 | 10,546 | $ | (640,474 | ) | (7,841 | ) | $ | 388,022 | 5,144 | ||||||||||||||||||
Class 1A | 3,693 | 45 | 664 | 8 | (121 | ) | (1 | ) | 4,236 | 52 | ||||||||||||||||||||||
Class 2 | 118,407 | 1,459 | 1,583,621 | 20,295 | (1,329,785 | ) | (16,374 | ) | 372,243 | 5,380 | ||||||||||||||||||||||
Class 3 | 365 | 4 | 21,179 | 268 | (15,163 | ) | (184 | ) | 6,381 | 88 | ||||||||||||||||||||||
Class 4 | 121,617 | 1,511 | 108,914 | 1,413 | (59,895 | ) | (747 | ) | 170,636 | 2,177 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 443,207 | 5,458 | $ | 2,543,749 | 32,530 | $ | (2,045,438 | ) | (25,147 | ) | $ | 941,518 | 12,841 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 505,734 | 6,906 | $ | 786,807 | 11,094 | $ | (1,258,545 | ) | (16,930 | ) | $ | 33,996 | 1,070 | ||||||||||||||||||
Class 1A2 | 2,708 | 36 | 78 | 1 | (94 | ) | (1 | ) | 2,692 | 36 | ||||||||||||||||||||||
Class 2 | 206,092 | 2,819 | 1,520,175 | 21,621 | (2,205,078 | ) | (30,135 | ) | (478,811 | ) | (5,695 | ) | ||||||||||||||||||||
Class 3 | 468 | 6 | 20,085 | 282 | (21,851 | ) | (295 | ) | (1,298 | ) | (7 | ) | ||||||||||||||||||||
Class 4 | 407,312 | 5,509 | 58,020 | 832 | (56,254 | ) | (776 | ) | 409,078 | 5,565 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,122,314 | 15,276 | $ | 2,385,165 | 33,830 | $ | (3,541,822 | ) | (48,137 | ) | $ | (34,343 | ) | 969 |
International Fund
Reinvestments of | Net increase | |||||||||||||||||||||||||||||||
Sales1 | dividends and distributions | Repurchases1 | (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 277,526 | 12,672 | $ | 247,566 | 11,607 | $ | (240,266 | ) | (10,845 | ) | $ | 284,826 | 13,434 | ||||||||||||||||||
Class 1A | 2,769 | 125 | 209 | 10 | (44 | ) | (2 | ) | 2,934 | 133 | ||||||||||||||||||||||
Class 2 | 289,273 | 13,069 | 217,857 | 10,257 | (272,427 | ) | (12,390 | ) | 234,703 | 10,936 | ||||||||||||||||||||||
Class 3 | 505 | 23 | 1,441 | 67 | (2,818 | ) | (128 | ) | (872 | ) | (38 | ) | ||||||||||||||||||||
Class 4 | 55,407 | 2,547 | 15,566 | 741 | (22,899 | ) | (1,053 | ) | 48,074 | 2,235 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 625,480 | 28,436 | $ | 482,639 | 22,682 | $ | (538,454 | ) | (24,418 | ) | $ | 569,665 | 26,700 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 760,186 | 38,348 | $ | 119,937 | 5,881 | $ | (613,463 | ) | (30,471 | ) | $ | 266,660 | 13,758 | ||||||||||||||||||
Class 1A2 | 1,638 | 80 | 20 | 1 | (119 | ) | (5 | ) | 1,539 | 76 | ||||||||||||||||||||||
Class 2 | 174,876 | 8,941 | 100,155 | 4,954 | (605,647 | ) | (30,845 | ) | (330,616 | ) | (16,950 | ) | ||||||||||||||||||||
Class 3 | 274 | 13 | 726 | 36 | (3,886 | ) | (197 | ) | (2,886 | ) | (148 | ) | ||||||||||||||||||||
Class 4 | 209,217 | 10,089 | 4,092 | 200 | (14,987 | ) | (752 | ) | 198,322 | 9,537 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,146,191 | 57,471 | $ | 224,930 | 11,072 | $ | (1,238,102 | ) | (62,270 | ) | $ | 133,019 | 6,273 |
178 | American Funds Insurance Series |
New World Fund
Reinvestments of | Net increase | |||||||||||||||||||||||||||||||
Sales1 | dividends and distributions | Repurchases1 | (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 101,755 | 3,978 | $ | 59,059 | 2,383 | $ | (93,299 | ) | (3,621 | ) | $ | 67,515 | 2,740 | ||||||||||||||||||
Class 1A | 1,340 | 52 | 54 | 2 | (65 | ) | (2 | ) | 1,329 | 52 | ||||||||||||||||||||||
Class 2 | 37,024 | 1,459 | 28,693 | 1,170 | (93,419 | ) | (3,657 | ) | (27,702 | ) | (1,028 | ) | ||||||||||||||||||||
Class 4 | 69,660 | 2,766 | 13,528 | 554 | (16,579 | ) | (661 | ) | 66,609 | 2,659 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 209,779 | 8,255 | $ | 101,334 | 4,109 | $ | (203,362 | ) | (7,941 | ) | $ | 107,751 | 4,423 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 280,518 | 12,105 | $ | 21,909 | 893 | $ | (475,480 | ) | (20,394 | ) | $ | (173,053 | ) | (7,396 | ) | ||||||||||||||||
Class 1A2 | 629 | 27 | 6 | — | 3 | (13 | ) | (1 | ) | 622 | 26 | |||||||||||||||||||||
Class 2 | 143,361 | 6,559 | 9,149 | 376 | (254,737 | ) | (11,445 | ) | (102,227 | ) | (4,510 | ) | ||||||||||||||||||||
Class 4 | 127,556 | 5,560 | 3,016 | 124 | (20,431 | ) | (895 | ) | 110,141 | 4,789 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 552,064 | 24,251 | $ | 34,080 | 1,393 | $ | (750,661 | ) | (32,735 | ) | $ | (164,517 | ) | (7,091 | ) |
Blue Chip Income and Growth Fund
Reinvestments of | Net increase | |||||||||||||||||||||||||||||||
Sales1 | dividends and distributions | Repurchases1 | (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 116,868 | 7,990 | $ | 436,701 | 31,104 | $ | (269,537 | ) | (18,041 | ) | $ | 284,032 | 21,053 | ||||||||||||||||||
Class 1A | 1,929 | 130 | 198 | 14 | (21 | ) | (1 | ) | 2,106 | 143 | ||||||||||||||||||||||
Class 2 | 15,822 | 1,089 | 271,938 | 19,606 | (246,012 | ) | (16,608 | ) | 41,748 | 4,087 | ||||||||||||||||||||||
Class 4 | 73,920 | 5,052 | 24,199 | 1,751 | (15,694 | ) | (1,074 | ) | 82,425 | 5,729 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 208,539 | 14,261 | $ | 733,036 | 52,475 | $ | (531,264 | ) | (35,724 | ) | $ | 410,311 | 31,012 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 458,480 | 32,688 | $ | 309,238 | 21,989 | $ | (834,928 | ) | (58,499 | ) | $ | (67,210 | ) | (3,822 | ) | ||||||||||||||||
Class 1A2 | 593 | 42 | 17 | 1 | (15 | ) | (1 | ) | 595 | 42 | ||||||||||||||||||||||
Class 2 | 34,639 | 2,502 | 195,693 | 14,095 | (439,009 | ) | (31,376 | ) | (208,677 | ) | (14,779 | ) | ||||||||||||||||||||
Class 4 | 129,429 | 9,259 | 10,522 | 756 | (43,213 | ) | (3,132 | ) | 96,738 | 6,883 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 623,141 | 44,491 | $ | 515,470 | 36,841 | $ | (1,317,165 | ) | (93,008 | ) | $ | (178,554 | ) | (11,676 | ) |
Global Growth and Income Fund
Reinvestments of | Net increase | |||||||||||||||||||||||||||||||
Sales1 | dividends and distributions | Repurchases1 | (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 56,678 | 3,563 | $ | 37,352 | 2,500 | $ | (23,104 | ) | (1,429 | ) | $ | 70,926 | 4,634 | ||||||||||||||||||
Class 1A | 771 | 48 | 65 | 4 | (5 | ) | — | 3 | 831 | 52 | ||||||||||||||||||||||
Class 2 | 12,827 | 807 | 111,584 | 7,489 | (109,172 | ) | (6,787 | ) | 15,239 | 1,509 | ||||||||||||||||||||||
Class 4 | 24,335 | 1,546 | 7,147 | 486 | (10,084 | ) | (641 | ) | 21,398 | 1,391 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 94,611 | 5,964 | $ | 156,148 | 10,479 | $ | (142,365 | ) | (8,857 | ) | $ | 108,394 | 7,586 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 133,943 | 8,899 | $ | 16,607 | 1,095 | $ | (345,498 | ) | (23,190 | ) | $ | (194,948 | ) | (13,196 | ) | ||||||||||||||||
Class 1A2 | 125 | 8 | 3 | — | 3 | (3 | ) | — | 3 | 125 | 8 | |||||||||||||||||||||
Class 2 | 25,134 | 1,709 | 56,976 | 3,780 | (236,596 | ) | (16,119 | ) | (154,486 | ) | (10,630 | ) | ||||||||||||||||||||
Class 4 | 63,660 | 4,175 | 1,883 | 123 | (6,203 | ) | (417 | ) | 59,340 | 3,881 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 222,862 | 14,791 | $ | 75,469 | 4,998 | $ | (588,300 | ) | (39,726 | ) | $ | (289,969 | ) | (19,937 | ) |
See end of tables for footnotes.
American Funds Insurance Series | 179 |
Growth-Income Fund
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 590,501 | 11,378 | $ | 1,155,345 | 22,846 | $ | (741,189 | ) | (14,160 | ) | $ | 1,004,657 | 20,064 | ||||||||||||||||||
Class 1A | 3,710 | 71 | 379 | 8 | (444 | ) | (8 | ) | 3,645 | 71 | ||||||||||||||||||||||
Class 2 | 51,958 | 1,007 | 972,463 | 19,453 | (1,047,271 | ) | (20,309 | ) | (22,850 | ) | 151 | |||||||||||||||||||||
Class 3 | 160 | 3 | 11,352 | 224 | (14,958 | ) | (286 | ) | (3,446 | ) | (59 | ) | ||||||||||||||||||||
Class 4 | 82,473 | 1,615 | 63,870 | 1,290 | (47,499 | ) | (929 | ) | 98,844 | 1,976 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 728,802 | 14,074 | $ | 2,203,409 | 43,821 | $ | (1,851,361 | ) | (35,692 | ) | $ | 1,080,850 | 22,203 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 1,521,886 | 32,100 | $ | 1,132,034 | 24,392 | $ | (1,241,004 | ) | (26,012 | ) | $ | 1,412,916 | 30,480 | ||||||||||||||||||
Class 1A2 | 2,070 | 43 | 40 | 1 | (24 | ) | (1 | ) | 2,086 | 43 | ||||||||||||||||||||||
Class 2 | 120,223 | 2,558 | 1,048,742 | 22,899 | (1,761,342 | ) | (37,375 | ) | (592,377 | ) | (11,918 | ) | ||||||||||||||||||||
Class 3 | 473 | 10 | 12,561 | 271 | (21,746 | ) | (457 | ) | (8,712 | ) | (176 | ) | ||||||||||||||||||||
Class 4 | 267,835 | 5,641 | 46,486 | 1,020 | (56,983 | ) | (1,217 | ) | 257,338 | 5,444 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,912,487 | 40,352 | $ | 2,239,863 | 48,583 | $ | (3,081,099 | ) | (65,062 | ) | $ | 1,071,251 | 23,873 | ||||||||||||||||||
International Growth and Income Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of dividends | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 80,670 | 4,546 | $ | 3,856 | 217 | $ | (56,753 | ) | (3,133 | ) | $ | 27,773 | 1,630 | ||||||||||||||||||
Class 1A | 127 | 7 | 6 | — | 3 | (341 | ) | (19 | ) | (208 | ) | (12 | ) | |||||||||||||||||||
Class 2 | 6,981 | 395 | 800 | 45 | (12,055 | ) | (670 | ) | (4,274 | ) | (230 | ) | ||||||||||||||||||||
Class 4 | 17,174 | 964 | 202 | 11 | (5,169 | ) | (284 | ) | 12,207 | 691 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 104,952 | 5,912 | $ | 4,864 | 273 | $ | (74,318 | ) | (4,106 | ) | $ | 35,498 | 2,079 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 186,307 | 11,140 | $ | 25,860 | 1,487 | $ | (101,536 | ) | (6,072 | ) | $ | 110,631 | 6,555 | ||||||||||||||||||
Class 1A2 | 2,100 | 121 | 14 | 1 | (1 | ) | — | 3 | 2,113 | 122 | ||||||||||||||||||||||
Class 2 | 8,391 | 510 | 5,714 | 329 | (34,542 | ) | (2,118 | ) | (20,437 | ) | (1,279 | ) | ||||||||||||||||||||
Class 4 | 19,465 | 1,164 | 1,184 | 69 | (3,332 | ) | (202 | ) | 17,317 | 1,031 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 216,263 | 12,935 | $ | 32,772 | 1,886 | $ | (139,411 | ) | (8,392 | ) | $ | 109,624 | 6,429 | ||||||||||||||||||
Capital Income Builder | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 43,810 | 4,261 | $ | 4,987 | 492 | $ | (3,291 | ) | (324 | ) | $ | 45,506 | 4,429 | ||||||||||||||||||
Class 1A | 2,335 | 232 | 24 | 2 | (91 | ) | (9 | ) | 2,268 | 225 | ||||||||||||||||||||||
Class 2 | 1,562 | 154 | 40 | 5 | (55 | ) | (6 | ) | 1,547 | 153 | ||||||||||||||||||||||
Class 4 | 36,533 | 3,584 | 5,355 | 529 | (11,724 | ) | (1,143 | ) | 30,164 | 2,970 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 84,240 | 8,231 | $ | 10,406 | 1,028 | $ | (15,161 | ) | (1,482 | ) | $ | 79,485 | 7,777 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 84,130 | 8,355 | $ | 6,303 | 622 | $ | (9,923 | ) | (984 | ) | $ | 80,510 | 7,993 | ||||||||||||||||||
Class 1A2 | 1,245 | 122 | 8 | 1 | (365 | ) | (36 | ) | 888 | 87 | ||||||||||||||||||||||
Class 2 | 1,371 | 136 | 23 | 2 | (122 | ) | (12 | ) | 1,272 | 126 | ||||||||||||||||||||||
Class 4 | 66,028 | 6,590 | 7,676 | 760 | (19,222 | ) | (1,922 | ) | 54,482 | 5,428 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 152,774 | 15,203 | $ | 14,010 | 1,385 | $ | (29,632 | ) | (2,954 | ) | $ | 137,152 | 13,634 |
180 | American Funds Insurance Series |
Asset Allocation Fund
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 612,693 | 25,709 | $ | 787,533 | 33,902 | $ | (442,520 | ) | (18,563 | ) | $ | 957,706 | 41,048 | ||||||||||||||||||
Class 1A | 2,591 | 109 | 309 | 14 | (94 | ) | (4 | ) | 2,806 | 119 | ||||||||||||||||||||||
Class 2 | 43,440 | 1,830 | 245,872 | 10,699 | (342,228 | ) | (14,515 | ) | (52,916 | ) | (1,986 | ) | ||||||||||||||||||||
Class 3 | 649 | 27 | 1,657 | 71 | (3,651 | ) | (153 | ) | (1,345 | ) | (55 | ) | ||||||||||||||||||||
Class 4 | 189,138 | 8,044 | 172,866 | 7,559 | (65,523 | ) | (2,794 | ) | 296,481 | 12,809 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 848,511 | 35,719 | $ | 1,208,237 | 52,245 | $ | (854,016 | ) | (36,029 | ) | $ | 1,202,732 | 51,935 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 1,929,702 | 84,102 | $ | 953,771 | 41,982 | $ | (641,572 | ) | (27,828 | ) | $ | 2,241,901 | 98,256 | ||||||||||||||||||
Class 1A2 | 4,261 | 184 | 121 | 5 | (253 | ) | (11 | ) | 4,129 | 178 | ||||||||||||||||||||||
Class 2 | 109,962 | 4,876 | 325,924 | 14,513 | (579,020 | ) | (25,433 | ) | (143,134 | ) | (6,044 | ) | ||||||||||||||||||||
Class 3 | 1,400 | 61 | 2,246 | 99 | (4,469 | ) | (195 | ) | (823 | ) | (35 | ) | ||||||||||||||||||||
Class 4 | 408,549 | 18,017 | 192,666 | 8,617 | (159,354 | ) | (7,104 | ) | 441,861 | 19,530 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 2,453,874 | 107,240 | $ | 1,474,728 | 65,216 | $ | (1,384,668 | ) | (60,571 | ) | $ | 2,543,934 | 111,885 | ||||||||||||||||||
Global Balanced Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 18,368 | 1,414 | $ | — | — | $ | (92 | ) | (7 | ) | $ | 18,276 | 1,407 | ||||||||||||||||||
Class 1A | 1,259 | 98 | — | — | (12 | ) | (1 | ) | 1,247 | 97 | ||||||||||||||||||||||
Class 2 | 9,081 | 699 | — | — | (10,784 | ) | (834 | ) | (1,703 | ) | (135 | ) | ||||||||||||||||||||
Class 4 | 20,501 | 1,596 | — | — | (1,950 | ) | (152 | ) | 18,551 | 1,444 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 49,209 | 3,807 | $ | — | — | $ | (12,838 | ) | (994 | ) | $ | 36,371 | 2,813 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 22,241 | 1,783 | $ | 3,607 | 285 | $ | (6,039 | ) | (501 | ) | $ | 19,809 | 1,567 | ||||||||||||||||||
Class 1A2 | 244 | 19 | 9 | 1 | — | 3 | — | 3 | 253 | 20 | ||||||||||||||||||||||
Class 2 | 16,382 | 1,346 | 7,928 | 628 | (20,169 | ) | (1,671 | ) | 4,141 | 303 | ||||||||||||||||||||||
Class 4 | 39,763 | 3,218 | 1,778 | 142 | (2,261 | ) | (182 | ) | 39,280 | 3,178 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 78,630 | 6,366 | $ | 13,322 | 1,056 | $ | (28,469 | ) | (2,354 | ) | $ | 63,483 | 5,068 |
See end of tables for footnotes.
American Funds Insurance Series | 181 |
Bond Fund
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 401,752 | 37,558 | $ | 36,339 | 3,455 | $ | (188,956 | ) | (17,777 | ) | $ | 249,135 | 23,236 | ||||||||||||||||||
Class 1A | 1,752 | 166 | 13 | 1 | (277 | ) | (26 | ) | 1,488 | 141 | ||||||||||||||||||||||
Class 2 | 66,414 | 6,309 | 19,752 | 1,901 | (198,670 | ) | (18,939 | ) | (112,504 | ) | (10,729 | ) | ||||||||||||||||||||
Class 4 | 61,774 | 5,896 | 1,638 | 158 | (21,041 | ) | (2,011 | ) | 42,371 | 4,043 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 531,692 | 49,929 | $ | 57,742 | 5,515 | $ | (408,944 | ) | (38,753 | ) | $ | 180,490 | 16,691 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 967,669 | 88,718 | $ | 235,240 | 21,678 | $ | (1,624,503 | ) | (147,887 | ) | $ | (421,594 | ) | (37,491 | ) | ||||||||||||||||
Class 1A2 | 1,338 | 122 | 21 | 2 | (272 | ) | (25 | ) | 1,087 | 99 | ||||||||||||||||||||||
Class 2 | 138,965 | 12,898 | 134,455 | 12,545 | (273,010 | ) | (25,301 | ) | 410 | 142 | ||||||||||||||||||||||
Class 4 | 212,848 | 19,725 | 6,398 | 597 | (22,490 | ) | (2,080 | ) | 196,756 | 18,242 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 1,320,820 | 121,463 | $ | 376,114 | 34,822 | $ | (1,920,275 | ) | (175,293 | ) | $ | (223,341 | ) | (19,008 | ) | ||||||||||||||||
Global Bond Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 105,872 | 8,842 | $ | 6,171 | 531 | $ | (286,991 | ) | (23,775 | ) | $ | (174,948 | ) | (14,402 | ) | ||||||||||||||||
Class 1A | 244 | 21 | 2 | — | 3 | (1 | ) | — | 3 | 245 | 21 | |||||||||||||||||||||
Class 2 | 30,320 | 2,560 | 5,986 | 519 | (58,828 | ) | (4,961 | ) | (22,522 | ) | (1,882 | ) | ||||||||||||||||||||
Class 4 | 22,690 | 1,921 | 200 | 17 | (12,914 | ) | (1,104 | ) | 9,976 | 834 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 159,126 | 13,344 | $ | 12,359 | 1,067 | $ | (358,734 | ) | (29,840 | ) | $ | (187,249 | ) | (15,429 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 177,200 | 15,155 | $ | 14,284 | 1,210 | $ | (100,697 | ) | (8,588 | ) | $ | 90,787 | 7,777 | ||||||||||||||||||
Class 1A2 | 74 | 6 | — | 3 | — | 3 | — | 3 | — | 3 | 74 | 6 | ||||||||||||||||||||
Class 2 | 45,841 | 3,978 | 11,132 | 952 | (79,734 | ) | (6,868 | ) | (22,761 | ) | (1,938 | ) | ||||||||||||||||||||
Class 4 | 20,651 | 1,777 | 197 | 17 | (2,949 | ) | (255 | ) | 17,899 | 1,539 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 243,766 | 20,916 | $ | 25,613 | 2,179 | $ | (183,380 | ) | (15,711 | ) | $ | 85,999 | 7,384 | ||||||||||||||||||
High-Income Bond Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of distributions | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 13,009 | 1,273 | $ | 6,576 | 648 | $ | (36,324 | ) | (3,570 | ) | $ | (16,739 | ) | (1,649 | ) | ||||||||||||||||
Class 1A | 232 | 23 | 6 | 1 | (18 | ) | (2 | ) | 220 | 22 | ||||||||||||||||||||||
Class 2 | 9,674 | 962 | 7,724 | 773 | (50,387 | ) | (5,030 | ) | (32,989 | ) | (3,295 | ) | ||||||||||||||||||||
Class 3 | 1,314 | 128 | 125 | 12 | (1,462 | ) | (143 | ) | (23 | ) | (3 | ) | ||||||||||||||||||||
Class 4 | 31,294 | 2,892 | 284 | 26 | (31,825 | ) | (2,954 | ) | (247 | ) | (36 | ) | ||||||||||||||||||||
Total net increase (decrease) | $ | 55,523 | 5,278 | $ | 14,715 | 1,460 | $ | (120,016 | ) | (11,699 | ) | $ | (49,778 | ) | (4,961 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 43,584 | 4,162 | $ | 43,816 | 4,273 | $ | (422,269 | ) | (39,685 | ) | $ | (334,869 | ) | (31,250 | ) | ||||||||||||||||
Class 1A2 | 400 | 39 | 12 | 1 | (7 | ) | (1 | ) | 405 | 39 | ||||||||||||||||||||||
Class 2 | 15,931 | 1,540 | 51,640 | 5,121 | (92,969 | ) | (8,946 | ) | (25,398 | ) | (2,285 | ) | ||||||||||||||||||||
Class 3 | 397 | 38 | 805 | 78 | (1,921 | ) | (181 | ) | (719 | ) | (65 | ) | ||||||||||||||||||||
Class 4 | 84,996 | 7,657 | 1,981 | 182 | (72,820 | ) | (6,577 | ) | 14,157 | 1,262 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 145,308 | 13,436 | $ | 98,254 | 9,655 | $ | (589,986 | ) | (55,390 | ) | $ | (346,424 | ) | (32,299 | ) |
182 | American Funds Insurance Series |
Mortgage Fund
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 14,936 | 1,450 | $ | 802 | 78 | $ | (14,807 | ) | �� | (1,436 | ) | $ | 931 | 92 | |||||||||||||||||
Class 1A | 511 | 50 | 2 | — | 3 | (7 | ) | (1 | ) | 506 | 49 | |||||||||||||||||||||
Class 2 | 3,458 | 336 | 169 | 17 | (4,948 | ) | (481 | ) | (1,321 | ) | (128 | ) | ||||||||||||||||||||
Class 4 | 4,718 | 461 | 40 | 4 | (1,075 | ) | (105 | ) | 3,683 | 360 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 23,623 | 2,297 | $ | 1,013 | 99 | $ | (20,837 | ) | (2,023 | ) | $ | 3,799 | 373 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 52,151 | 4,904 | $ | 5,982 | 566 | $ | (59,926 | ) | (5,621 | ) | $ | (1,793 | ) | (151 | ) | ||||||||||||||||
Class 1A2 | 109 | 10 | 2 | — | 3 | (6 | ) | — | 3 | 105 | 10 | |||||||||||||||||||||
Class 2 | 7,132 | 672 | 1,287 | 122 | (8,011 | ) | (755 | ) | 408 | 39 | ||||||||||||||||||||||
Class 4 | 8,522 | 808 | 204 | 20 | (4,876 | ) | (462 | ) | 3,850 | 366 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 67,914 | 6,394 | $ | 7,475 | 708 | $ | (72,819 | ) | (6,838 | ) | $ | 2,570 | 264 | ||||||||||||||||||
Ultra-Short Bond Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of dividends | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 12,473 | 1,102 | $ | 71 | 6 | $ | (13,689 | ) | (1,208 | ) | $ | (1,145 | ) | (100 | ) | ||||||||||||||||
Class 1A | — | — | — | 3 | — | 3 | — | — | — | 3 | — | 3 | ||||||||||||||||||||
Class 2 | 48,032 | 4,355 | 388 | 35 | (60,466 | ) | (5,482 | ) | (12,046 | ) | (1,092 | ) | ||||||||||||||||||||
Class 3 | 2,044 | 183 | 8 | 1 | (1,759 | ) | (158 | ) | 293 | 26 | ||||||||||||||||||||||
Class 4 | 7,902 | 708 | 16 | 1 | (9,239 | ) | (828 | ) | (1,321 | ) | (119 | ) | ||||||||||||||||||||
Total net increase (decrease) | $ | 70,451 | 6,348 | $ | 483 | 43 | $ | (85,153 | ) | (7,676 | ) | $ | (14,219 | ) | (1,285 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 14,832 | 1,312 | $ | 184 | 16 | $ | (15,478 | ) | (1,371 | ) | $ | (462 | ) | (43 | ) | ||||||||||||||||
Class 1A2 | 10 | 1 | — | 3 | — | 3 | — | — | 10 | 1 | ||||||||||||||||||||||
Class 2 | 62,145 | 5,646 | 697 | 63 | (111,628 | ) | (10,146 | ) | (48,786 | ) | (4,437 | ) | ||||||||||||||||||||
Class 3 | 1,448 | 130 | 15 | 2 | (1,233 | ) | (111 | ) | 230 | 21 | ||||||||||||||||||||||
Class 4 | 16,767 | 1,507 | 10 | 1 | (14,407 | ) | (1,294 | ) | 2,370 | 214 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 95,202 | 8,596 | $ | 906 | 82 | $ | (142,746 | ) | (12,922 | ) | $ | (46,638 | ) | (4,244 | ) |
See end of tables for footnotes.
American Funds Insurance Series | 183 |
U.S. Government/AAA-Rated Securities Fund
Sales1 | Reinvestments of dividends | Repurchases1 | Net (decrease) increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 48,631 | 4,074 | $ | 4,973 | 420 | $ | (62,263 | ) | (5,234 | ) | $ | (8,659 | ) | (740 | ) | ||||||||||||||||
Class 1A | 847 | 72 | 3 | — | 3 | (13 | ) | (1 | ) | 837 | 71 | |||||||||||||||||||||
Class 2 | 33,424 | 2,831 | 4,111 | 351 | (75,644 | ) | (6,435 | ) | (38,109 | ) | (3,253 | ) | ||||||||||||||||||||
Class 3 | 229 | 19 | 27 | 2 | (1,413 | ) | (118 | ) | (1,157 | ) | (97 | ) | ||||||||||||||||||||
Class 4 | 14,905 | 1,266 | 168 | 14 | (9,335 | ) | (789 | ) | 5,738 | 491 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 98,036 | 8,262 | $ | 9,282 | 787 | $ | (148,668 | ) | (12,577 | ) | $ | (41,350 | ) | (3,528 | ) | ||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 1 | $ | 291,253 | 23,702 | $ | 23,401 | 1,927 | $ | (226,514 | ) | (18,425 | ) | $ | 88,140 | 7,204 | ||||||||||||||||||
Class 1A2 | 1,016 | 83 | 2 | — | 3 | (714 | ) | (58 | ) | 304 | 25 | |||||||||||||||||||||
Class 2 | 49,410 | 4,091 | 19,498 | 1,621 | (103,407 | ) | (8,550 | ) | (34,499 | ) | (2,838 | ) | ||||||||||||||||||||
Class 3 | 1,050 | 86 | 141 | 12 | (1,501 | ) | (123 | ) | (310 | ) | (25 | ) | ||||||||||||||||||||
Class 4 | 27,872 | 2,299 | 663 | 55 | (23,884 | ) | (1,976 | ) | 4,651 | 378 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 370,601 | 30,261 | $ | 43,705 | 3,615 | $ | (356,020 | ) | (29,132 | ) | $ | 58,286 | 4,744 | ||||||||||||||||||
Managed Risk Growth Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 488 | 36 | $ | 149 | 11 | $ | (143 | ) | (10 | ) | $ | 494 | 37 | ||||||||||||||||||
Class P2 | 31,070 | 2,304 | 21,792 | 1,658 | (12,259 | ) | (908 | ) | 40,603 | 3,054 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 31,558 | 2,340 | $ | 21,941 | 1,669 | $ | (12,402 | ) | (918 | ) | $ | 41,097 | 3,091 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 836 | 70 | $ | 29 | 2 | $ | (230 | ) | (19 | ) | $ | 635 | 53 | ||||||||||||||||||
Class P2 | 46,748 | 3,893 | 4,847 | 408 | (16,010 | ) | (1,330 | ) | 35,585 | 2,971 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 47,584 | 3,963 | $ | 4,876 | 410 | $ | (16,240 | ) | (1,349 | ) | $ | 36,220 | 3,024 |
Managed Risk International Fund
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 108 | 9 | $ | 4 | 1 | $ | (15 | ) | (1 | ) | $ | 97 | 9 | ||||||||||||||||||
Class P2 | 17,395 | 1,541 | 2,066 | 186 | (9,493 | ) | (846 | ) | 9,968 | 881 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 17,503 | 1,550 | $ | 2,070 | 187 | $ | (9,508 | ) | (847 | ) | $ | 10,065 | 890 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 130 | 14 | $ | 2 | — | 3 | $ | (166 | ) | (17 | ) | $ | (34 | ) | (3 | ) | |||||||||||||||
Class P2 | 30,462 | 3,002 | 2,301 | 230 | (9,880 | ) | (967 | ) | 22,883 | 2,265 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 30,592 | 3,016 | $ | 2,303 | 230 | $ | (10,046 | ) | (984 | ) | $ | 22,849 | 2,262 |
184 | American Funds Insurance Series |
Managed Risk Blue Chip Income and Growth Fund
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase (decrease) | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 1 | — | 3 | $ | 10 | 1 | $ | (2 | ) | (1 | ) | $ | 9 | — | 3 | ||||||||||||||||
Class P2 | 11,697 | 927 | 17,795 | 1,461 | (20,135 | ) | (1,570 | ) | 9,357 | 818 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 11,698 | 927 | $ | 17,805 | 1,462 | $ | (20,137 | ) | (1,571 | ) | $ | 9,366 | 818 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 59 | 5 | $ | 7 | 1 | $ | (136 | ) | (11 | ) | $ | (70 | ) | (5 | ) | ||||||||||||||||
Class P2 | 83,072 | 6,949 | 10,722 | 898 | (56,067 | ) | (4,624 | ) | 37,727 | 3,223 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 83,131 | 6,954 | $ | 10,729 | 899 | $ | (56,203 | ) | (4,635 | ) | $ | 37,657 | 3,218 | ||||||||||||||||||
Managed Risk Growth-Income Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 356 | 28 | $ | 156 | 12 | $ | (96 | ) | (7 | ) | $ | 416 | 33 | ||||||||||||||||||
Class P2 | 21,581 | 1,687 | 11,957 | 957 | (10,290 | ) | (805 | ) | 23,248 | 1,839 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 21,937 | 1,715 | $ | 12,113 | 969 | $ | (10,386 | ) | (812 | ) | $ | 23,664 | 1,872 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 1,093 | 92 | $ | 92 | 8 | $ | (154 | ) | (13 | ) | $ | 1,031 | 87 | ||||||||||||||||||
Class P2 | 27,997 | 2,382 | 9,501 | 835 | (15,095 | ) | (1,278 | ) | 22,403 | 1,939 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 29,090 | 2,474 | $ | 9,593 | 843 | $ | (15,249 | ) | (1,291 | ) | $ | 23,434 | 2,026 | ||||||||||||||||||
Managed Risk Asset Allocation Fund | ||||||||||||||||||||||||||||||||
Sales1 | Reinvestments of dividends and distributions | Repurchases1 | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 82,974 | 6,113 | $ | 90,211 | 6,907 | $ | (17,450 | ) | (1,325 | ) | $ | 155,735 | 11,695 | ||||||||||||||||||
Class P2 | 69,408 | 5,116 | 137,432 | 10,539 | (114,199 | ) | (8,450 | ) | 92,641 | 7,205 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 152,382 | 11,229 | $ | 227,643 | 17,446 | $ | (131,649 | ) | (9,775 | ) | $ | 248,376 | 18,900 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P1 | $ | 264,545 | 20,631 | $ | 25,264 | 1,986 | $ | (25,397 | ) | (1,973 | ) | $ | 264,412 | 20,644 | ||||||||||||||||||
Class P2 | 253,137 | 19,936 | 45,200 | 3,559 | (153,999 | ) | (11,957 | ) | 144,338 | 11,538 | ||||||||||||||||||||||
Total net increase (decrease) | $ | 517,682 | 40,567 | $ | 70,464 | 5,545 | $ | (179,396 | ) | (13,930 | ) | $ | 408,750 | 32,182 |
1 | Includes exchanges between share classes of the fund. |
2 | Class 1A shares began investment operations on January 6, 2017. |
3 | Amount less than one thousand. |
American Funds Insurance Series | 185 |
10. Investment transactions and other disclosures
The following tables present additional information for each of the funds for the six months ended June 30, 2018 (dollars in thousands):
Global Growth Fund | Global Small Capitalization Fund | Growth Fund | International Fund | New World Fund | Blue Chip Income and Growth Fund | |||||||||||||||||||
Purchases of investment securities* | $ | 632,954 | $ | 633,882 | $ | 2,695,351 | $ | 1,736,664 | $ | 627,614 | $ | 2,542,362 | ||||||||||||
Sales of investment securities* | 1,134,660 | 938,437 | 3,693,631 | 1,463,805 | 872,281 | 2,763,401 | ||||||||||||||||||
Non-U.S. taxes paid on interest income | — | — | — | — | 31 | — | ||||||||||||||||||
Non-U.S. taxes paid on realized gains | — | — | — | — | 65 | — | ||||||||||||||||||
Non-U.S. taxes provided on unrealized gains | 5,261 | 1,944 | — | 607 | 16,668 | — | ||||||||||||||||||
Dividend income from affiliated issuers | — | 401 | — | — | — | — | ||||||||||||||||||
Global Growth and Income Fund | Growth- Income Fund | International Growth and Income Fund | Capital Income Builder | Asset Allocation Fund | Global Balanced Fund | |||||||||||||||||||
Purchases of investment securities* | $ | 285,460 | $ | 4,983,498 | $ | 312,576 | $ | 305,388 | $ | 8,882,433 | $ | 126,528 | ||||||||||||
Sales of investment securities* | 368,636 | 6,744,355 | 278,908 | 251,736 | 9,443,218 | 88,547 | ||||||||||||||||||
Non-U.S. taxes (refunded) paid on interest income | — | — | (8 | ) | — | — | 9 | |||||||||||||||||
Non-U.S. taxes paid on realized gains | 3 | — | 6 | — | — | 1 | ||||||||||||||||||
Non-U.S. taxes provided on unrealized gains | 1,757 | 213 | 23 | — | 108 | 140 | ||||||||||||||||||
Dividend income from affiliated issuers | — | — | — | — | 222 | — | ||||||||||||||||||
Interest income from affiliated issuers | — | — | — | — | 1,050 | — | ||||||||||||||||||
Bond Fund | Global Bond Fund | High- Income Bond Fund | Mortgage Fund | Ultra-Short Bond Fund | U.S. Government/ AAA-Rated Securities Fund | |||||||||||||||||||
Purchases of investment securities* | $ | 24,186,976 | $ | 1,365,571 | $ | 455,950 | $ | 1,486,176 | $ | — | $ | 6,391,688 | ||||||||||||
Sales of investment securities* | 23,885,296 | 1,446,097 | 449,971 | 1,461,510 | — | 6,205,133 | ||||||||||||||||||
Non-U.S. taxes paid on interest income | 33 | 221 | — | — | — | — | ||||||||||||||||||
Non-U.S. taxes (refunded) paid on realized gains | (196 | ) | 403 | — | — | — | — | |||||||||||||||||
Non-U.S. taxes provided on unrealized gains | — | 188 | 5 | — | — | — | ||||||||||||||||||
Managed Risk Growth Fund | Managed Risk International Fund | Managed Risk Blue Chip Income and Growth Fund | Managed Risk Growth- Income Fund | Managed Risk Asset Allocation Fund | ||||||||||||||||||||
Purchases of investment securities* | $ | 52,581 | $ | 22,449 | $ | 32,125 | $ | 32,821 | $ | 275,727 | ||||||||||||||
Sales of investment securities* | 15,035 | 8,607 | 24,901 | 8,814 | 54,784 | |||||||||||||||||||
Dividend income from affiliated issuers | 575 | 389 | 1,376 | 638 | 15,338 |
* Excludes short-term securities and U.S. government obligations, if any.
11. Ownership concentration
At June 30, 2018, American Funds Insurance Series - Managed Risk Growth and Income Portfolio, American Funds Insurance Series -Managed Risk Global Allocation Portfolio and Managed Risk Asset Allocation Fund held 36%, 18% and 16% of the outstanding shares of Capital Income Builder, Global Balanced Fund and Asset Allocation Fund, respectively.
186 | American Funds Insurance Series |
Financial highlights
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Global Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 30.51 | $ | .22 | $ | .82 | $ | 1.04 | $ | (.04 | ) | $ | (2.13 | ) | $ | (2.17 | ) | $ | 29.38 | 3.18 | %4 | $ | 2,125 | .54 | %5 | 1.38 | %5 | |||||||||||||||||||||
12/31/17 | 24.05 | .26 | 7.30 | 7.56 | (.26 | ) | (.84 | ) | (1.10 | ) | 30.51 | 31.80 | 2,010 | .55 | .94 | |||||||||||||||||||||||||||||||||
12/31/16 | 26.39 | .25 | (.14 | ) | .11 | (.29 | ) | (2.16 | ) | (2.45 | ) | 24.05 | .87 | 1,630 | .56 | 1.00 | ||||||||||||||||||||||||||||||||
12/31/15 | 27.48 | .25 | 1.80 | 2.05 | (.35 | ) | (2.79 | ) | (3.14 | ) | 26.39 | 7.24 | 1,626 | .55 | .90 | |||||||||||||||||||||||||||||||||
12/31/14 | 30.11 | .31 | 6 | .40 | .71 | (.40 | ) | (2.94 | ) | (3.34 | ) | 27.48 | 2.52 | 1,558 | .55 | 1.08 | 6 | |||||||||||||||||||||||||||||||
12/31/13 | 23.58 | .31 | 6.62 | 6.93 | (.40 | ) | — | (.40 | ) | 30.11 | 29.51 | 1,508 | .55 | 1.17 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 30.46 | .20 | .80 | 1.00 | (.03 | ) | (2.13 | ) | (2.16 | ) | 29.30 | 3.07 | 4 | 4 | .79 | 5 | 1.30 | 5 | ||||||||||||||||||||||||||||||
12/31/172,7 | 24.50 | .11 | 6.94 | 7.05 | (.25 | ) | (.84 | ) | (1.09 | ) | 30.46 | 29.13 | 4 | 2 | .80 | 5 | .39 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 30.24 | .17 | .82 | .99 | (.03 | ) | (2.13 | ) | (2.16 | ) | 29.07 | 3.03 | 4 | 3,893 | .79 | 5 | 1.11 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 23.85 | .19 | 7.23 | 7.42 | (.19 | ) | (.84 | ) | (1.03 | ) | 30.24 | 31.47 | 4,012 | .80 | .69 | |||||||||||||||||||||||||||||||||
12/31/16 | 26.19 | .18 | (.14 | ) | .04 | (.22 | ) | (2.16 | ) | (2.38 | ) | 23.85 | .62 | 3,483 | .81 | .76 | ||||||||||||||||||||||||||||||||
12/31/15 | 27.30 | .18 | 1.78 | 1.96 | (.28 | ) | (2.79 | ) | (3.07 | ) | 26.19 | 6.94 | 3,817 | .80 | .66 | |||||||||||||||||||||||||||||||||
12/31/14 | 29.92 | .24 | 6 | .41 | .65 | (.33 | ) | (2.94 | ) | (3.27 | ) | 27.30 | 2.31 | 3,992 | .80 | .85 | 6 | |||||||||||||||||||||||||||||||
12/31/13 | 23.44 | .24 | 6.58 | 6.82 | (.34 | ) | — | (.34 | ) | 29.92 | 29.18 | 4,379 | .80 | .91 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 30.13 | .14 | .81 | .95 | (.02 | ) | (2.13 | ) | (2.15 | ) | 28.93 | 2.92 | 4 | 253 | 1.04 | 5 | .91 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 23.81 | .10 | 7.22 | 7.32 | (.16 | ) | (.84 | ) | (1.00 | ) | 30.13 | 31.11 | 211 | 1.05 | .37 | |||||||||||||||||||||||||||||||||
12/31/16 | 26.16 | .12 | (.14 | ) | (.02 | ) | (.17 | ) | (2.16 | ) | (2.33 | ) | 23.81 | .37 | 94 | 1.06 | .50 | |||||||||||||||||||||||||||||||
12/31/15 | 27.34 | .09 | 1.81 | 1.90 | (.29 | ) | (2.79 | ) | (3.08 | ) | 26.16 | 6.69 | 91 | 1.05 | .34 | |||||||||||||||||||||||||||||||||
12/31/14 | 30.07 | .07 | 6 | .50 | .57 | (.36 | ) | (2.94 | ) | (3.30 | ) | 27.34 | 2.01 | 19 | 1.05 | .26 | 6 | |||||||||||||||||||||||||||||||
12/31/13 | 23.58 | .13 | 6.77 | 6.90 | (.41 | ) | — | (.41 | ) | 30.07 | 29.36 | 1 | 1.06 | .43 | ||||||||||||||||||||||||||||||||||
Global Small Capitalization Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 25.38 | $ | .07 | $ | 1.15 | $ | 1.22 | $ | (.02 | ) | $ | (1.14 | ) | $ | (1.16 | ) | $ | 25.44 | 4.58 | %4 | $ | 1,671 | .73 | %5 | .52 | %5 | |||||||||||||||||||||
12/31/17 | 20.24 | .12 | 5.17 | 5.29 | (.15 | ) | — | (.15 | ) | 25.38 | 26.22 | 1,639 | .73 | .54 | ||||||||||||||||||||||||||||||||||
12/31/16 | 24.41 | .12 | .17 | .29 | (.11 | ) | (4.35 | ) | (4.46 | ) | 20.24 | 2.35 | 1,532 | .74 | .57 | |||||||||||||||||||||||||||||||||
12/31/15 | 26.09 | .04 | .36 | .40 | — | (2.08 | ) | (2.08 | ) | 24.41 | .50 | 1,706 | .73 | .15 | ||||||||||||||||||||||||||||||||||
12/31/14 | 25.69 | .09 | .52 | .61 | (.09 | ) | (.12 | ) | (.21 | ) | 26.09 | 2.36 | 1,411 | .74 | .34 | |||||||||||||||||||||||||||||||||
12/31/13 | 20.16 | .04 | 5.70 | 5.74 | (.21 | ) | — | (.21 | ) | 25.69 | 28.60 | 1,241 | .74 | .17 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 25.36 | .05 | 1.14 | 1.19 | (.02 | ) | (1.14 | ) | (1.16 | ) | 25.39 | 4.49 | 4 | — | 8 | .97 | 5 | .41 | 5 | |||||||||||||||||||||||||||||
12/31/172,7 | 20.70 | .08 | 4.71 | 4.79 | (.13 | ) | — | (.13 | ) | 25.36 | 23.19 | 4 | — | 8 | .96 | 5 | .35 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 24.72 | .03 | 1.12 | 1.15 | (.01 | ) | (1.14 | ) | (1.15 | ) | 24.72 | 4.46 | 4 | 2,474 | .98 | 5 | .27 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 19.72 | .06 | 5.04 | 5.10 | (.10 | ) | — | (.10 | ) | 24.72 | 25.89 | 2,551 | .98 | .27 | ||||||||||||||||||||||||||||||||||
12/31/16 | 23.90 | .07 | .15 | .22 | (.05 | ) | (4.35 | ) | (4.40 | ) | 19.72 | 2.10 | 2,303 | .99 | .31 | |||||||||||||||||||||||||||||||||
12/31/15 | 25.64 | (.03 | ) | .37 | .34 | — | (2.08 | ) | (2.08 | ) | 23.90 | .27 | 2,492 | .98 | (.10 | ) | ||||||||||||||||||||||||||||||||
12/31/14 | 25.25 | .03 | .51 | .54 | (.03 | ) | (.12 | ) | (.15 | ) | 25.64 | 2.12 | 2,738 | .99 | .10 | |||||||||||||||||||||||||||||||||
12/31/13 | 19.86 | (.01 | ) | 5.60 | 5.59 | (.20 | ) | — | (.20 | ) | 25.25 | 28.28 | 2,955 | .99 | (.05 | ) | ||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 24.91 | .01 | 1.12 | 1.13 | (.01 | ) | (1.14 | ) | (1.15 | ) | 24.89 | 4.33 | 4 | 151 | 1.23 | 5 | .05 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 19.91 | — | 9 | 5.09 | 5.09 | (.09 | ) | — | (.09 | ) | 24.91 | 25.62 | 125 | 1.23 | — | 10 | ||||||||||||||||||||||||||||||||
12/31/16 | 24.11 | .01 | .16 | .17 | (.02 | ) | (4.35 | ) | (4.37 | ) | 19.91 | 1.85 | 42 | 1.24 | .03 | |||||||||||||||||||||||||||||||||
12/31/15 | 25.92 | (.10 | ) | .37 | .27 | — | (2.08 | ) | (2.08 | ) | 24.11 | (.02 | ) | 34 | 1.23 | (.37 | ) | |||||||||||||||||||||||||||||||
12/31/14 | 25.57 | (.05 | ) | .54 | .49 | (.02 | ) | (.12 | ) | (.14 | ) | 25.92 | 1.88 | 12 | 1.24 | (.17 | ) | |||||||||||||||||||||||||||||||
12/31/13 | 20.16 | (.12 | ) | 5.74 | 5.62 | (.21 | ) | — | (.21 | ) | 25.57 | 28.01 | 4 | 1.24 | (.50 | ) |
See end of tables for footnotes.
American Funds Insurance Series | 187 |
Financial highlights (continued)
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 77.85 | $ | .35 | $ | 7.53 | $ | 7.88 | $ | (.12 | ) | $ | (8.24 | ) | $ | (8.36 | ) | $ | 77.37 | 9.95 | %4 | $ | 8,449 | .34 | %5 | .86 | %5 | |||||||||||||||||||||
12/31/17 | 67.29 | .55 | 17.89 | 18.44 | (.55 | ) | (7.33 | ) | (7.88 | ) | 77.85 | 28.62 | 8,100 | .35 | .75 | |||||||||||||||||||||||||||||||||
12/31/16 | 68.02 | .67 | 5.40 | 6.07 | (.67 | ) | (6.13 | ) | (6.80 | ) | 67.29 | 9.77 | 6,931 | .35 | 1.03 | |||||||||||||||||||||||||||||||||
12/31/15 | 80.15 | .64 | 5.08 | 5.72 | (.61 | ) | (17.24 | ) | (17.85 | ) | 68.02 | 7.12 | 6,796 | .35 | .87 | |||||||||||||||||||||||||||||||||
12/31/14 | 78.54 | .88 | 6 | 5.79 | 6.67 | (1.16 | ) | (3.90 | ) | (5.06 | ) | 80.15 | 8.78 | 7,118 | .35 | 1.12 | 6 | |||||||||||||||||||||||||||||||
12/31/13 | 60.90 | .64 | 17.84 | 18.48 | (.84 | ) | — | (.84 | ) | 78.54 | 30.43 | 7,003 | .35 | .93 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 77.74 | .28 | 7.49 | 7.77 | (.11 | ) | (8.24 | ) | (8.35 | ) | 77.16 | 9.81 | 4 | 7 | .59 | 5 | .69 | 5 | ||||||||||||||||||||||||||||||
12/31/172,7 | 68.84 | .35 | 16.38 | 16.73 | (.50 | ) | (7.33 | ) | (7.83 | ) | 77.74 | 25.47 | 4 | 3 | .59 | 5 | .47 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 77.35 | .24 | 7.50 | 7.74 | (.09 | ) | (8.24 | ) | (8.33 | ) | 76.76 | 9.83 | 4 | 16,009 | .59 | 5 | .60 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 66.92 | .37 | 17.76 | 18.13 | (.37 | ) | (7.33 | ) | (7.70 | ) | 77.35 | 28.28 | 15,716 | .60 | .50 | |||||||||||||||||||||||||||||||||
12/31/16 | 67.69 | .51 | 5.36 | 5.87 | (.51 | ) | (6.13 | ) | (6.64 | ) | 66.92 | 9.49 | 13,978 | .60 | .78 | |||||||||||||||||||||||||||||||||
12/31/15 | 79.84 | .46 | 5.06 | 5.52 | (.43 | ) | (17.24 | ) | (17.67 | ) | 67.69 | 6.86 | 14,414 | .60 | .62 | |||||||||||||||||||||||||||||||||
12/31/14 | 77.94 | .68 | 6 | 5.75 | 6.43 | (.63 | ) | (3.90 | ) | (4.53 | ) | 79.84 | 8.51 | 15,413 | .60 | .87 | 6 | |||||||||||||||||||||||||||||||
12/31/13 | 60.45 | .47 | 17.68 | 18.15 | (.66 | ) | — | (.66 | ) | 77.94 | 30.11 | 16,334 | .60 | .68 | ||||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 78.32 | .28 | 7.58 | 7.86 | (.10 | ) | (8.24 | ) | (8.34 | ) | 77.84 | 9.86 | 4 | 217 | .52 | 5 | .67 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 67.67 | .42 | 17.98 | 18.40 | (.42 | ) | (7.33 | ) | (7.75 | ) | 78.32 | 28.39 | 212 | .53 | .57 | |||||||||||||||||||||||||||||||||
12/31/16 | 68.37 | .56 | 5.42 | 5.98 | (.55 | ) | (6.13 | ) | (6.68 | ) | 67.67 | 9.56 | 183 | .53 | .85 | |||||||||||||||||||||||||||||||||
12/31/15 | 80.47 | .51 | 5.11 | 5.62 | (.48 | ) | (17.24 | ) | (17.72 | ) | 68.37 | 6.92 | 194 | .53 | .69 | |||||||||||||||||||||||||||||||||
12/31/14 | 78.62 | .74 | 6 | 5.79 | 6.53 | (.78 | ) | (3.90 | ) | (4.68 | ) | 80.47 | 8.58 | 208 | .53 | .94 | 6 | |||||||||||||||||||||||||||||||
12/31/13 | 60.97 | .52 | 17.84 | 18.36 | (.71 | ) | — | (.71 | ) | 78.62 | 30.20 | 216 | .53 | .75 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 76.56 | .15 | 7.40 | 7.55 | (.07 | ) | (8.24 | ) | (8.31 | ) | 75.80 | 9.68 | 4 | 1,110 | .84 | 5 | .36 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 66.41 | .18 | 17.61 | 17.79 | (.31 | ) | (7.33 | ) | (7.64 | ) | 76.56 | 27.99 | 954 | .85 | .25 | |||||||||||||||||||||||||||||||||
12/31/16 | 67.26 | .34 | 5.32 | 5.66 | (.38 | ) | (6.13 | ) | (6.51 | ) | 66.41 | 9.22 | 458 | .85 | .53 | |||||||||||||||||||||||||||||||||
12/31/15 | 79.74 | .29 | 5.02 | 5.31 | (.55 | ) | (17.24 | ) | (17.79 | ) | 67.26 | 6.59 | 394 | .85 | .42 | |||||||||||||||||||||||||||||||||
12/31/14 | 78.32 | .37 | 6 | 5.87 | 6.24 | (.92 | ) | (3.90 | ) | (4.82 | ) | 79.74 | 8.25 | 24 | .85 | .47 | 6 | |||||||||||||||||||||||||||||||
12/31/13 | 60.90 | .29 | 17.90 | 18.19 | (.77 | ) | — | (.77 | ) | 78.32 | 29.96 | 5 | .85 | .40 |
188 | American Funds Insurance Series |
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
International Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 21.71 | $ | .24 | $ | (.21 | ) | $ | .03 | $ | (.05 | ) | $ | (1.02 | ) | $ | (1.07 | ) | $ | 20.67 | (.02 | )%4 | $ | 5,052 | .52 | %5 | 2.20 | %5 | ||||||||||||||||||||
12/31/17 | 16.82 | .26 | 5.16 | 5.42 | (.30 | ) | (.23 | ) | (.53 | ) | 21.71 | 32.46 | 5,014 | .53 | 1.33 | |||||||||||||||||||||||||||||||||
12/31/16 | 18.08 | .27 | .30 | .57 | (.28 | ) | (1.55 | ) | (1.83 | ) | 16.82 | 3.78 | 3,652 | .54 | 1.57 | |||||||||||||||||||||||||||||||||
12/31/15 | 20.35 | .29 | (1.03 | ) | (.74 | ) | (.35 | ) | (1.18 | ) | (1.53 | ) | 18.08 | (4.25 | ) | 3,427 | .54 | 1.41 | ||||||||||||||||||||||||||||||
12/31/14 | 21.22 | .30 | (.81 | ) | (.51 | ) | (.36 | ) | — | (.36 | ) | 20.35 | (2.41 | ) | 3,282 | .54 | 1.43 | |||||||||||||||||||||||||||||||
12/31/13 | 17.68 | .27 | 3.59 | 3.86 | (.32 | ) | — | (.32 | ) | 21.22 | 21.91 | 3,324 | .54 | 1.41 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 21.67 | .24 | (.23 | ) | .01 | (.05 | ) | (1.02 | ) | (1.07 | ) | 20.61 | (.13) | 4 | 4 | .77 | 5 | 2.17 | 5 | |||||||||||||||||||||||||||||
12/31/172,7 | 17.17 | .09 | 4.93 | 5.02 | (.29 | ) | (.23 | ) | (.52 | ) | 21.67 | 29.46 | 4 | 2 | .77 | 5 | .43 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 21.63 | .21 | (.21 | ) | — | 9 | (.04 | ) | (1.02 | ) | (1.06 | ) | 20.57 | (.16) | 4 | 4,432 | .77 | 5 | 1.96 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 16.76 | .22 | 5.13 | 5.35 | (.25 | ) | (.23 | ) | (.48 | ) | 21.63 | 32.14 | 4,422 | .78 | 1.10 | |||||||||||||||||||||||||||||||||
12/31/16 | 18.02 | .23 | .30 | .53 | (.24 | ) | (1.55 | ) | (1.79 | ) | 16.76 | 3.53 | 3,710 | .79 | 1.35 | |||||||||||||||||||||||||||||||||
12/31/15 | 20.29 | .24 | (1.03 | ) | (.79 | ) | (.30 | ) | (1.18 | ) | (1.48 | ) | 18.02 | (4.53 | ) | 3,978 | .79 | 1.17 | ||||||||||||||||||||||||||||||
12/31/14 | 21.15 | .25 | (.81 | ) | (.56 | ) | (.30 | ) | — | (.30 | ) | 20.29 | (2.65 | ) | 4,374 | .79 | 1.19 | |||||||||||||||||||||||||||||||
12/31/13 | 17.62 | .22 | 3.58 | 3.80 | (.27 | ) | — | (.27 | ) | 21.15 | 21.64 | 5,916 | .79 | 1.15 | ||||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 21.75 | .22 | (.21 | ) | .01 | (.04 | ) | (1.02 | ) | (1.06 | ) | 20.70 | (.10) | 4 | 29 | .70 | 5 | 2.02 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 16.85 | .23 | 5.17 | 5.40 | (.27 | ) | (.23 | ) | (.50 | ) | 21.75 | 32.23 | 31 | .71 | 1.17 | |||||||||||||||||||||||||||||||||
12/31/16 | 18.11 | .24 | .30 | .54 | (.25 | ) | (1.55 | ) | (1.80 | ) | 16.85 | 3.57 | 27 | .72 | 1.42 | |||||||||||||||||||||||||||||||||
12/31/15 | 20.38 | .25 | (1.03 | ) | (.78 | ) | (.31 | ) | (1.18 | ) | (1.49 | ) | 18.11 | (4.44 | ) | 32 | .72 | 1.24 | ||||||||||||||||||||||||||||||
12/31/14 | 21.24 | .27 | (.82 | ) | (.55 | ) | (.31 | ) | — | (.31 | ) | 20.38 | (2.56 | ) | 38 | .72 | 1.28 | |||||||||||||||||||||||||||||||
12/31/13 | 17.70 | .23 | 3.59 | 3.82 | (.28 | ) | — | (.28 | ) | 21.24 | 21.67 | 46 | .72 | 1.22 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 21.42 | .18 | (.20 | ) | (.02 | ) | (.04 | ) | (1.02 | ) | (1.06 | ) | 20.34 | (.28) | 4 | 320 | 1.02 | 5 | 1.71 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 16.64 | .11 | 5.16 | 5.27 | (.26 | ) | (.23 | ) | (.49 | ) | 21.42 | 31.89 | 289 | 1.03 | .55 | |||||||||||||||||||||||||||||||||
12/31/16 | 17.93 | .18 | .29 | .47 | (.21 | ) | (1.55 | ) | (1.76 | ) | 16.64 | 3.21 | 66 | 1.04 | 1.03 | |||||||||||||||||||||||||||||||||
12/31/15 | 20.23 | .17 | (1.00 | ) | (.83 | ) | (.29 | ) | (1.18 | ) | (1.47 | ) | 17.93 | (4.75 | ) | 46 | 1.04 | .88 | ||||||||||||||||||||||||||||||
12/31/14 | 21.16 | .07 | (.68 | ) | (.61 | ) | (.32 | ) | — | (.32 | ) | 20.23 | (2.88 | ) | 18 | 1.04 | .31 | |||||||||||||||||||||||||||||||
12/31/13 | 17.68 | (.01 | ) | 3.79 | 3.78 | (.30 | ) | — | (.30 | ) | 21.16 | 21.48 | 2 | 1.04 | (.07 | ) |
See end of tables for footnotes.
American Funds Insurance Series | 189 |
Financial highlights (continued)
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
New World Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 25.30 | $ | .16 | $ | (1.11 | ) | $ | (.95 | ) | $ | (.06 | ) | $ | (.67 | ) | $ | (.73 | ) | $ | 23.62 | (3.89 | )%4 | $ | 1,978 | .75 | %5 | 1.27 | %5 | |||||||||||||||||||
12/31/17 | 19.72 | .26 | 5.59 | 5.85 | (.27 | ) | — | (.27 | ) | 25.30 | 29.73 | 2,050 | .77 | 1.14 | ||||||||||||||||||||||||||||||||||
12/31/16 | 18.87 | .24 | .81 | 1.05 | (.20 | ) | — | (.20 | ) | 19.72 | 5.59 | 1,743 | .78 | 1.25 | ||||||||||||||||||||||||||||||||||
12/31/15 | 20.72 | .19 | (.71 | ) | (.52 | ) | (.17 | ) | (1.16 | ) | (1.33 | ) | 18.87 | (2.96 | ) | 1,562 | .79 | .92 | ||||||||||||||||||||||||||||||
12/31/14 | 25.08 | .29 | 6 | (1.92 | ) | (1.63 | ) | (.29 | ) | (2.44 | ) | (2.73 | ) | 20.72 | (7.63 | ) | 1,433 | .78 | 1.23 | 6 | ||||||||||||||||||||||||||||
12/31/13 | 22.93 | .34 | 2.31 | 2.65 | (.39 | ) | (.11 | ) | (.50 | ) | 25.08 | 11.66 | 1,388 | .78 | 1.45 | |||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 25.25 | .16 | (1.13 | ) | (.97 | ) | (.06 | ) | (.67 | ) | (.73 | ) | 23.55 | (3.99 | )4 | 2 | 1.00 | 5 | 1.24 | 5 | ||||||||||||||||||||||||||||
12/31/172,7 | 20.14 | .13 | 5.24 | 5.37 | (.26 | ) | — | (.26 | ) | 25.25 | 26.72 | 4 | 1 | 1.00 | 5 | .53 | 5 | |||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 25.07 | .13 | (1.10 | ) | (.97 | ) | (.05 | ) | (.67 | ) | (.72 | ) | 23.38 | (4.01 | )4 | 960 | 1.00 | 5 | 1.00 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 19.54 | .20 | 5.55 | 5.75 | (.22 | ) | — | (.22 | ) | 25.07 | 29.44 | 1,055 | 1.02 | .89 | ||||||||||||||||||||||||||||||||||
12/31/16 | 18.71 | .19 | .79 | .98 | (.15 | ) | — | (.15 | ) | 19.54 | 5.26 | 911 | 1.03 | 1.00 | ||||||||||||||||||||||||||||||||||
12/31/15 | 20.54 | .14 | (.69 | ) | (.55 | ) | (.12 | ) | (1.16 | ) | (1.28 | ) | 18.71 | (3.14 | ) | 961 | 1.04 | .68 | ||||||||||||||||||||||||||||||
12/31/14 | 24.88 | .24 | 6 | (1.91 | ) | (1.67 | ) | (.23 | ) | (2.44 | ) | (2.67 | ) | 20.54 | (7.87 | ) | 1,084 | 1.03 | 1.01 | 6 | ||||||||||||||||||||||||||||
12/31/13 | 22.75 | .28 | 2.29 | 2.57 | (.33 | ) | (.11 | ) | (.44 | ) | 24.88 | 11.38 | 1,307 | 1.03 | 1.22 | |||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 24.99 | .10 | (1.09 | ) | (.99 | ) | (.05 | ) | (.67 | ) | (.72 | ) | 23.28 | (4.13 | )4 | 460 | 1.25 | 5 | .79 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 19.51 | .14 | 5.52 | 5.66 | (.18 | ) | — | (.18 | ) | 24.99 | 29.06 | 427 | 1.27 | .61 | ||||||||||||||||||||||||||||||||||
12/31/16 | 18.69 | .14 | .80 | .94 | (.12 | ) | — | (.12 | ) | 19.51 | 5.04 | 240 | 1.28 | .75 | ||||||||||||||||||||||||||||||||||
12/31/15 | 20.56 | .08 | (.68 | ) | (.60 | ) | (.11 | ) | (1.16 | ) | (1.27 | ) | 18.69 | (3.37 | ) | 171 | 1.29 | .39 | ||||||||||||||||||||||||||||||
12/31/14 | 24.99 | .09 | 6 | (1.83 | ) | (1.74 | ) | (.25 | ) | (2.44 | ) | (2.69 | ) | 20.56 | (8.13 | ) | 64 | 1.28 | .40 | 6 | ||||||||||||||||||||||||||||
12/31/13 | 22.93 | .14 | 2.41 | 2.55 | (.38 | ) | (.11 | ) | (.49 | ) | 24.99 | 11.20 | 8 | 1.29 | .56 | |||||||||||||||||||||||||||||||||
Blue Chip Income and Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 14.96 | $ | .17 | $ | (.09 | ) | $ | .08 | $ | (.06 | ) | $ | (1.14 | ) | $ | (1.20 | ) | $ | 13.84 | .47 | %4 | $5,453 | .41 | %5 | 2.30 | %5 | |||||||||||||||||||||
12/31/17 | 13.53 | .32 | 1.96 | 2.28 | (.32 | ) | (.53 | ) | (.85 | ) | 14.96 | 17.30 | 5,581 | .41 | 2.27 | |||||||||||||||||||||||||||||||||
12/31/16 | 12.62 | .31 | 1.97 | 2.28 | (.29 | ) | (1.08 | ) | (1.37 | ) | 13.53 | 19.06 | 5,099 | .41 | 2.39 | |||||||||||||||||||||||||||||||||
12/31/15 | 14.69 | .31 | (.64 | ) | (.33 | ) | (.29 | ) | (1.45 | ) | (1.74 | ) | 12.62 | (2.72 | ) | 3,638 | .41 | 2.23 | ||||||||||||||||||||||||||||||
12/31/14 | 13.12 | .46 | 6 | 1.59 | 2.05 | (.48 | ) | — | (.48 | ) | 14.69 | 15.69 | 3,542 | .42 | 3.31 | 6 | ||||||||||||||||||||||||||||||||
12/31/13 | 10.05 | .27 | 3.06 | 3.33 | (.26 | ) | — | (.26 | ) | 13.12 | 33.26 | 2,814 | .42 | 2.27 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 14.94 | .15 | (.09 | ) | .06 | (.06 | ) | (1.14 | ) | (1.20 | ) | 13.80 | .32 | 4 | 2 | .66 | 5 | 2.05 | 5 | |||||||||||||||||||||||||||||
12/31/172,7 | 13.75 | .28 | 1.75 | 2.03 | (.31 | ) | (.53 | ) | (.84 | ) | 14.94 | 15.21 | 4 | 1 | .65 | 5 | 2.01 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 14.80 | .15 | (.09 | ) | .06 | (.06 | ) | (1.14 | ) | (1.20 | ) | 13.66 | .29 | 4 | 3,335 | .66 | 5 | 2.05 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 13.39 | .28 | 1.94 | 2.22 | (.28 | ) | (.53 | ) | (.81 | ) | 14.80 | 17.04 | 3,551 | .66 | �� | 2.02 | ||||||||||||||||||||||||||||||||
12/31/16 | 12.51 | .28 | 1.94 | 2.22 | (.26 | ) | (1.08 | ) | (1.34 | ) | 13.39 | 18.70 | 3,412 | .66 | 2.16 | |||||||||||||||||||||||||||||||||
12/31/15 | 14.57 | .27 | (.62 | ) | (.35 | ) | (.26 | ) | (1.45 | ) | (1.71 | ) | 12.51 | (2.93 | ) | 3,228 | .66 | 1.97 | ||||||||||||||||||||||||||||||
12/31/14 | 13.02 | .44 | 6 | 1.55 | 1.99 | (.44 | ) | — | (.44 | ) | 14.57 | 15.36 | 3,722 | .67 | 3.14 | 6 | ||||||||||||||||||||||||||||||||
12/31/13 | 9.97 | .23 | 3.05 | 3.28 | (.23 | ) | — | (.23 | ) | 13.02 | 33.00 | 3,755 | .67 | 2.03 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 14.77 | .13 | (.10 | ) | .03 | (.05 | ) | (1.14 | ) | (1.19 | ) | 13.61 | .14 | 4 | 306 | .91 | 5 | 1.80 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 13.39 | .25 | 1.93 | 2.18 | (.27 | ) | (.53 | ) | (.80 | ) | 14.77 | 16.70 | 247 | .91 | 1.76 | |||||||||||||||||||||||||||||||||
12/31/16 | 12.53 | .24 | 1.96 | 2.20 | (.26 | ) | (1.08 | ) | (1.34 | ) | 13.39 | 18.49 | 132 | .91 | 1.81 | |||||||||||||||||||||||||||||||||
12/31/15 | 14.63 | .24 | (.63 | ) | (.39 | ) | (.26 | ) | (1.45 | ) | (1.71 | ) | 12.53 | (3.21 | ) | 32 | .91 | 1.75 | ||||||||||||||||||||||||||||||
12/31/14 | 13.12 | .34 | 6 | 1.63 | 1.97 | (.46 | ) | — | (.46 | ) | 14.63 | 15.13 | 9 | .92 | 2.33 | 6 | ||||||||||||||||||||||||||||||||
12/31/13 | 10.05 | .18 | 3.15 | 3.33 | (.26 | ) | — | (.26 | ) | 13.12 | 33.27 | — | 8 | .86 | 1.39 |
190 | American Funds Insurance Series |
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Global Growth and Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 15.81 | $ | .19 | $ | (.28 | ) | $ | (.09 | ) | $ | (.04 | ) | $ | (1.18 | ) | $ | (1.22 | ) | $ | 14.50 | (.79 | )%4 | $ | 512 | .62 | %5 | 2.44 | %5 | |||||||||||||||||||
12/31/17 | 13.02 | .35 | 3.06 | 3.41 | (.36 | ) | (.26 | ) | (.62 | ) | 15.81 | 26.40 | 485 | .63 | 2.43 | |||||||||||||||||||||||||||||||||
12/31/16 | 12.35 | .28 | .66 | .94 | (.27 | ) | — | (.27 | ) | 13.02 | 7.61 | 571 | .63 | 2.18 | ||||||||||||||||||||||||||||||||||
12/31/15 | 12.78 | .36 | (.50 | ) | (.14 | ) | (.29 | ) | — | (.29 | ) | 12.35 | (1.14 | ) | 293 | .64 | 2.79 | |||||||||||||||||||||||||||||||
12/31/14 | 12.53 | .43 | 6 | .31 | .74 | (.49 | ) | — | (.49 | ) | 12.78 | 6.00 | 200 | .63 | 3.34 | 6 | ||||||||||||||||||||||||||||||||
12/31/13 | 10.56 | .39 | 2.00 | 2.39 | (.42 | ) | — | (.42 | ) | 12.53 | 22.81 | 206 | .62 | 3.35 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 15.81 | .21 | (.33 | ) | (.12 | ) | (.04 | ) | (1.18 | ) | (1.22 | ) | 14.47 | (.99 | )4 | 1 | .87 | 5 | 2.71 | 5 | ||||||||||||||||||||||||||||
12/31/172,7 | 13.21 | .18 | 3.03 | 3.21 | (.35 | ) | (.26 | ) | (.61 | ) | 15.81 | 24.54 | 4 | — | 8 | .84 | 5 | 1.20 | 5 | |||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 15.78 | .17 | (.27 | ) | (.10 | ) | (.04 | ) | (1.18 | ) | (1.22 | ) | 14.46 | (.90 | )4 | 1,430 | .87 | 5 | 2.16 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 13.00 | .31 | 3.05 | 3.36 | (.32 | ) | (.26 | ) | (.58 | ) | 15.78 | 26.06 | 1,538 | .88 | 2.11 | |||||||||||||||||||||||||||||||||
12/31/16 | 12.33 | .25 | .65 | .90 | (.23 | ) | — | (.23 | ) | 13.00 | 7.34 | 1,405 | .88 | 1.98 | ||||||||||||||||||||||||||||||||||
12/31/15 | 12.75 | .22 | (.39 | ) | (.17 | ) | (.25 | ) | — | (.25 | ) | 12.33 | (1.34 | ) | 1,479 | .89 | 1.73 | |||||||||||||||||||||||||||||||
12/31/14 | 12.51 | .41 | 6 | .29 | .70 | (.46 | ) | — | (.46 | ) | 12.75 | 5.64 | 1,685 | .88 | 3.22 | 6 | ||||||||||||||||||||||||||||||||
12/31/13 | 10.54 | .36 | 2.00 | 2.36 | (.39 | ) | — | (.39 | ) | 12.51 | 22.54 | 1,822 | .87 | 3.09 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 15.60 | .15 | (.29 | ) | (.14 | ) | (.03 | ) | (1.18 | ) | (1.21 | ) | 14.25 | (1.12 | )4 | 92 | 1.12 | 5 | 1.97 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 12.89 | .22 | 3.08 | 3.30 | (.33 | ) | (.26 | ) | (.59 | ) | 15.60 | 25.83 | 79 | 1.14 | 1.49 | |||||||||||||||||||||||||||||||||
12/31/16 | 12.26 | .21 | .65 | .86 | (.23 | ) | — | (.23 | ) | 12.89 | 7.04 | 16 | 1.13 | 1.63 | ||||||||||||||||||||||||||||||||||
12/31/15 | 12.71 | .17 | (.37 | ) | (.20 | ) | (.25 | ) | — | (.25 | ) | 12.26 | (1.60 | ) | 5 | 1.14 | 1.32 | |||||||||||||||||||||||||||||||
12/31/14 | 12.50 | .30 | 6 | .37 | .67 | (.46 | ) | — | (.46 | ) | 12.71 | 5.41 | 1 | 1.13 | 2.30 | 6 | ||||||||||||||||||||||||||||||||
12/31/13 | 10.55 | .28 | 2.09 | 2.37 | (.42 | ) | — | (.42 | ) | 12.50 | 22.60 | 1 | 1.12 | 2.27 |
See end of tables for footnotes.
American Funds Insurance Series | 191 |
Financial highlights (continued)
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Growth-Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 50.22 | $ | .42 | $ | 2.94 | $ | 3.36 | $ | (.14 | ) | $ | (3.58 | ) | $ | (3.72 | ) | $ | 49.86 | 6.58 | %4 | $ | 16,653 | .28 | %5 | 1.63 | %5 | |||||||||||||||||||||
12/31/17 | 44.41 | .81 | 8.89 | 9.70 | (.78 | ) | (3.11 | ) | (3.89 | ) | 50.22 | 22.68 | 15,765 | .28 | 1.69 | |||||||||||||||||||||||||||||||||
12/31/16 | 45.40 | .79 | 4.09 | 4.88 | (.75 | ) | (5.12 | ) | (5.87 | ) | 44.41 | 11.80 | 12,588 | .29 | 1.79 | |||||||||||||||||||||||||||||||||
12/31/15 | 52.76 | .79 | .37 | 1.16 | (.75 | ) | (7.77 | ) | (8.52 | ) | 45.40 | 1.72 | 10,747 | .29 | 1.59 | |||||||||||||||||||||||||||||||||
12/31/14 | 50.72 | .81 | 4.57 | 5.38 | (.80 | ) | (2.54 | ) | (3.34 | ) | 52.76 | 10.91 | 10,812 | .29 | 1.56 | |||||||||||||||||||||||||||||||||
12/31/13 | 38.48 | .66 | 12.31 | 12.97 | (.73 | ) | — | (.73 | ) | 50.72 | 33.82 | 9,857 | .29 | 1.49 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 50.15 | .37 | 2.93 | 3.30 | (.14 | ) | (3.58 | ) | (3.72 | ) | 49.73 | 6.46 | 4 | 6 | .53 | 5 | 1.42 | 5 | ||||||||||||||||||||||||||||||
12/31/172,7 | 45.39 | .67 | 7.96 | 8.63 | (.76 | ) | (3.11 | ) | (3.87 | ) | 50.15 | 19.83 | 4 | 2 | .52 | 5 | 1.41 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 49.71 | .35 | 2.92 | 3.27 | (.12 | ) | (3.58 | ) | (3.70 | ) | 49.28 | 6.44 | 4 | 13,816 | .53 | 5 | 1.38 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 44.00 | .68 | 8.80 | 9.48 | (.66 | ) | (3.11 | ) | (3.77 | ) | 49.71 | 22.38 | 13,930 | .53 | 1.45 | |||||||||||||||||||||||||||||||||
12/31/16 | 45.04 | .67 | 4.05 | 4.72 | (.64 | ) | (5.12 | ) | (5.76 | ) | 44.00 | 11.51 | 12,854 | .54 | 1.54 | |||||||||||||||||||||||||||||||||
12/31/15 | 52.41 | .66 | .37 | 1.03 | (.63 | ) | (7.77 | ) | (8.40 | ) | 45.04 | 1.45 | 12,895 | .54 | 1.34 | |||||||||||||||||||||||||||||||||
12/31/14 | 50.40 | .67 | 4.55 | 5.22 | (.67 | ) | (2.54 | ) | (3.21 | ) | 52.41 | 10.63 | 14,337 | .54 | 1.31 | |||||||||||||||||||||||||||||||||
12/31/13 | 38.24 | .55 | 12.23 | 12.78 | (.62 | ) | — | (.62 | ) | 50.40 | 33.50 | 14,980 | .54 | 1.25 | ||||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 50.29 | .38 | 2.95 | 3.33 | (.13 | ) | (3.58 | ) | (3.71 | ) | 49.91 | 6.50 | 4 | 163 | .46 | 5 | 1.45 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 44.47 | .72 | 8.90 | 9.62 | (.69 | ) | (3.11 | ) | (3.80 | ) | 50.29 | 22.47 | 168 | .46 | 1.52 | |||||||||||||||||||||||||||||||||
12/31/16 | 45.46 | .71 | 4.09 | 4.80 | (.67 | ) | (5.12 | ) | (5.79 | ) | 44.47 | 11.59 | 156 | .47 | 1.61 | |||||||||||||||||||||||||||||||||
12/31/15 | 52.82 | .70 | .37 | 1.07 | (.66 | ) | (7.77 | ) | (8.43 | ) | 45.46 | 1.53 | 161 | .47 | 1.41 | |||||||||||||||||||||||||||||||||
12/31/14 | 50.77 | .71 | 4.59 | 5.30 | (.71 | ) | (2.54 | ) | (3.25 | ) | 52.82 | 10.71 | 185 | .47 | 1.38 | |||||||||||||||||||||||||||||||||
12/31/13 | 38.52 | .58 | 12.32 | 12.90 | (.65 | ) | — | (.65 | ) | 50.77 | 33.58 | 193 | .47 | 1.32 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 49.31 | .29 | 2.88 | 3.17 | (.10 | ) | (3.58 | ) | (3.68 | ) | 48.80 | 6.33 | 4 | 915 | .78 | 5 | 1.14 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 43.73 | .56 | 8.73 | 9.29 | (.60 | ) | (3.11 | ) | (3.71 | ) | 49.31 | 22.08 | 827 | .78 | 1.19 | |||||||||||||||||||||||||||||||||
12/31/16 | 44.82 | .56 | 4.02 | 4.58 | (.55 | ) | (5.12 | ) | (5.67 | ) | 43.73 | 11.25 | 495 | .79 | 1.29 | |||||||||||||||||||||||||||||||||
12/31/15 | 52.39 | .58 | .33 | .91 | (.71 | ) | (7.77 | ) | (8.48 | ) | 44.82 | 1.21 | 410 | .79 | 1.25 | |||||||||||||||||||||||||||||||||
12/31/14 | 50.56 | .58 | 4.51 | 5.09 | (.72 | ) | (2.54 | ) | (3.26 | ) | 52.39 | 10.34 | 30 | .79 | 1.11 | |||||||||||||||||||||||||||||||||
12/31/13 | 38.47 | .45 | 12.33 | 12.78 | (.69 | ) | — | (.69 | ) | 50.56 | 33.32 | 3 | .79 | .96 |
192 | American Funds Insurance Series |
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
International Growth and Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 17.72 | $ | .30 | $ | (.63 | ) | $ | (.33 | ) | $ | (.06 | ) | $ | — | $ | (.06 | ) | $ | 17.33 | (1.87 | )%4 | $ | 1,124 | .65 | %5 | 3.42 | %5 | ||||||||||||||||||||
12/31/17 | 14.48 | .46 | 3.20 | 3.66 | (.42 | ) | — | (.42 | ) | 17.72 | 25.31 | 1,121 | .66 | 2.75 | ||||||||||||||||||||||||||||||||||
12/31/16 | 14.72 | .43 | (.19 | ) | .24 | (.42 | ) | (.06 | ) | (.48 | ) | 14.48 | 1.71 | 820 | .68 | 2.93 | ||||||||||||||||||||||||||||||||
12/31/15 | 16.27 | .42 | (1.25 | ) | (.83 | ) | (.38 | ) | (.34 | ) | (.72 | ) | 14.72 | (5.34 | ) | 707 | .68 | 2.60 | ||||||||||||||||||||||||||||||
12/31/14 | 17.48 | .58 | 6 | (1.09 | ) | (.51 | ) | (.53 | ) | (.17 | ) | (.70 | ) | 16.27 | (2.93 | ) | 740 | .68 | 3.32 | 6 | ||||||||||||||||||||||||||||
12/31/13 | 15.29 | .44 | 2.50 | 2.94 | (.47 | ) | (.28 | ) | (.75 | ) | 17.48 | 19.39 | 696 | .69 | 2.63 | |||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 17.70 | .28 | (.63 | ) | (.35 | ) | (.06 | ) | — | (.06 | ) | 17.29 | (2.00 | )4 | 2 | .90 | 5 | 3.09 | 5 | |||||||||||||||||||||||||||||
12/31/172,7 | 14.69 | .34 | 3.08 | 3.42 | (.41 | ) | — | (.41 | ) | 17.70 | 23.36 | 4 | 2 | .91 | 5 | 1.99 | 5 | |||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 17.66 | .28 | (.63 | ) | (.35 | ) | (.05 | ) | — | (.05 | ) | 17.26 | (1.98 | )4 | 266 | .90 | 5 | 3.15 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 14.43 | .43 | 3.17 | 3.60 | (.37 | ) | — | (.37 | ) | 17.66 | 25.03 | 276 | .91 | 2.60 | ||||||||||||||||||||||||||||||||||
12/31/16 | 14.68 | .40 | (.21 | ) | .19 | (.38 | ) | (.06 | ) | (.44 | ) | 14.43 | 1.44 | 244 | .93 | 2.72 | ||||||||||||||||||||||||||||||||
12/31/15 | 16.22 | .38 | (1.24 | ) | (.86 | ) | (.34 | ) | (.34 | ) | (.68 | ) | 14.68 | (5.60 | ) | 254 | .93 | 2.32 | ||||||||||||||||||||||||||||||
12/31/14 | 17.43 | .56 | 6 | (1.10 | ) | (.54 | ) | (.50 | ) | (.17 | ) | (.67 | ) | 16.22 | (3.15 | ) | 248 | .93 | 3.21 | 6 | ||||||||||||||||||||||||||||
12/31/13 | 15.25 | .38 | 2.51 | 2.89 | (.43 | ) | (.28 | ) | (.71 | ) | 17.43 | 19.09 | 257 | .94 | 2.28 | |||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 17.58 | .26 | (.63 | ) | (.37 | ) | (.05 | ) | — | (.05 | ) | 17.16 | (2.12 | )4 | 74 | 1.15 | 5 | 2.98 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 14.38 | .37 | 3.18 | 3.55 | (.35 | ) | — | (.35 | ) | 17.58 | 24.72 | 63 | 1.16 | 2.24 | ||||||||||||||||||||||||||||||||||
12/31/16 | 14.63 | .36 | (.19 | ) | .17 | (.36 | ) | (.06 | ) | (.42 | ) | 14.38 | 1.18 | 37 | 1.18 | 2.43 | ||||||||||||||||||||||||||||||||
12/31/15 | 16.19 | .33 | (1.23 | ) | (.90 | ) | (.32 | ) | (.34 | ) | (.66 | ) | 14.63 | (5.82 | ) | 32 | 1.18 | 2.02 | ||||||||||||||||||||||||||||||
12/31/14 | 17.45 | .26 | 6 | (.85 | ) | (.59 | ) | (.50 | ) | (.17 | ) | (.67 | ) | 16.19 | (3.39 | ) | 20 | 1.18 | 1.52 | 6 | ||||||||||||||||||||||||||||
12/31/13 | 15.29 | .03 | 2.87 | 2.90 | (.46 | ) | (.28 | ) | (.74 | ) | 17.45 | 19.16 | 1 | 1.19 | .18 | |||||||||||||||||||||||||||||||||
Capital Income Builder | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 10.40 | $ | .17 | $ | (.39 | ) | $ | (.22 | ) | $ | (.16 | ) | $ | (.02 | ) | $ | (.18 | ) | $ | 10.00 | (2.11 | )%4 | $ | 288 | .53 | %5 | 3.45 | %5 | |||||||||||||||||||
12/31/17 | 9.46 | .32 | .93 | 1.25 | (.31 | ) | — | (.31 | ) | 10.40 | 13.29 | 254 | .54 | 3.21 | ||||||||||||||||||||||||||||||||||
12/31/16 | 9.40 | .32 | .07 | .39 | (.33 | ) | — | (.33 | ) | 9.46 | 4.17 | 156 | .54 | 3.39 | ||||||||||||||||||||||||||||||||||
12/31/15 | 9.81 | .28 | (.40 | ) | (.12 | ) | (.29 | ) | — | (.29 | ) | 9.40 | (1.23 | ) | 80 | .56 | 2.88 | |||||||||||||||||||||||||||||||
12/31/142,11 | 10.00 | .19 | (.18 | ) | .01 | (.19 | ) | (.01 | ) | (.20 | ) | 9.81 | .12 | 4 | 20 | .56 | 5 | 2.87 | 5 | |||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.39 | .17 | (.40 | ) | (.23 | ) | (.15 | ) | (.02 | ) | (.17 | ) | 9.99 | (2.23 | )4 | 3 | .78 | 5 | 3.43 | 5 | ||||||||||||||||||||||||||||
12/31/172,7 | 9.57 | .27 | .84 | 1.11 | (.29 | ) | — | (.29 | ) | 10.39 | 11.72 | 4 | 1 | .79 | 5 | 2.63 | 5 | |||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.40 | .17 | (.41 | ) | (.24 | ) | (.15 | ) | (.02 | ) | (.17 | ) | 9.99 | (2.32 | )4 | 3 | .78 | 5 | 3.38 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 9.46 | .29 | .93 | 1.22 | (.28 | ) | — | (.28 | ) | 10.40 | 13.04 | 1 | .79 | 2.82 | ||||||||||||||||||||||||||||||||||
12/31/16 | 9.40 | .27 | .11 | .38 | (.32 | ) | — | (.32 | ) | 9.46 | 4.08 | — | 8 | .80 | 2.82 | |||||||||||||||||||||||||||||||||
12/31/15 | 9.81 | .31 | (.43 | ) | (.12 | ) | (.29 | ) | — | (.29 | ) | 9.40 | (1.23 | )12 | — | 8 | .46 | 12 | 3.12 | 12 | ||||||||||||||||||||||||||||
12/31/142,11 | 10.00 | .20 | (.19 | ) | .01 | (.19 | ) | (.01 | ) | (.20 | ) | 9.81 | .12 | 4,12 | — | 8 | .47 | 5,12 | 2.94 | 5,12 | ||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.38 | .15 | (.40 | ) | (.25 | ) | (.13 | ) | (.02 | ) | (.15 | ) | 9.98 | (2.36 | )4 | 355 | 1.03 | 5 | 2.92 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 9.45 | .27 | .92 | 1.19 | (.26 | ) | — | (.26 | ) | 10.38 | 12.65 | 338 | 1.04 | 2.72 | ||||||||||||||||||||||||||||||||||
12/31/16 | 9.38 | .27 | .08 | .35 | (.28 | ) | — | (.28 | ) | 9.45 | 3.78 | 256 | 1.04 | 2.88 | ||||||||||||||||||||||||||||||||||
12/31/15 | 9.80 | .25 | (.42 | ) | (.17 | ) | (.25 | ) | — | (.25 | ) | 9.38 | (1.79 | ) | 157 | 1.05 | 2.55 | |||||||||||||||||||||||||||||||
12/31/142,11 | 10.00 | .14 | (.16 | ) | (.02 | ) | (.17 | ) | (.01 | ) | (.18 | ) | 9.80 | (.21 | )4 | 55 | 1.06 | 5 | 2.08 | 5 |
See end of tables for footnotes.
American Funds Insurance Series | 193 |
Financial highlights (continued)
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Asset Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 23.71 | $ | .25 | $ | .04 | $ | .29 | $ | (.09 | ) | $ | (1.03 | ) | $ | (1.12 | ) | $ | 22.88 | 1.14 | %4 | $ | 16,914 | .28 | %5 | 2.08 | %5 | |||||||||||||||||||||
12/31/17 | 21.68 | .44 | 3.06 | 3.50 | (.41 | ) | (1.06 | ) | (1.47 | ) | 23.71 | 16.51 | 16,556 | .29 | 1.90 | |||||||||||||||||||||||||||||||||
12/31/16 | 20.62 | .42 | 1.54 | 1.96 | (.39 | ) | (.51 | ) | (.90 | ) | 21.68 | 9.69 | 13,008 | .29 | 1.97 | |||||||||||||||||||||||||||||||||
12/31/15 | 22.23 | .40 | (.02 | ) | .38 | (.40 | ) | (1.59 | ) | (1.99 | ) | 20.62 | 1.64 | 10,913 | .29 | 1.85 | ||||||||||||||||||||||||||||||||
12/31/14 | 22.49 | .44 | .81 | 1.25 | (.39 | ) | (1.12 | ) | (1.51 | ) | 22.23 | 5.66 | 11,997 | .30 | 1.95 | |||||||||||||||||||||||||||||||||
12/31/13 | 18.43 | .35 | 4.07 | 4.42 | (.36 | ) | — | (.36 | ) | 22.49 | 24.04 | 10,515 | .31 | 1.71 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 23.69 | .23 | .02 | .25 | (.08 | ) | (1.03 | ) | (1.11 | ) | 22.83 | 1.00 | 4 | 7 | .53 | 5 | 1.91 | 5 | ||||||||||||||||||||||||||||||
12/31/172,7 | 21.97 | .39 | 2.78 | 3.17 | (.39 | ) | (1.06 | ) | (1.45 | ) | 23.69 | 14.78 | 4 | 4 | .53 | 5 | 1.69 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 23.49 | .21 | .03 | .24 | (.07 | ) | (1.03 | ) | (1.10 | ) | 22.63 | .98 | 4 | 5,235 | .53 | 5 | 1.82 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 21.49 | .37 | 3.04 | 3.41 | (.35 | ) | (1.06 | ) | (1.41 | ) | 23.49 | 16.23 | 5,480 | .54 | 1.64 | |||||||||||||||||||||||||||||||||
12/31/16 | 20.45 | .36 | 1.53 | 1.89 | (.34 | ) | (.51 | ) | (.85 | ) | 21.49 | 9.41 | 5,144 | .54 | 1.72 | |||||||||||||||||||||||||||||||||
12/31/15 | 22.06 | .34 | (.01 | ) | .33 | (.35 | ) | (1.59 | ) | (1.94 | ) | 20.45 | 1.40 | 5,008 | .54 | 1.60 | ||||||||||||||||||||||||||||||||
12/31/14 | 22.33 | .37 | .81 | 1.18 | (.33 | ) | (1.12 | ) | (1.45 | ) | 22.06 | 5.40 | 5,494 | .55 | 1.69 | |||||||||||||||||||||||||||||||||
12/31/13 | 18.31 | .30 | 4.03 | 4.33 | (.31 | ) | — | (.31 | ) | 22.33 | 23.69 | 5,760 | .56 | 1.47 | ||||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 23.73 | .22 | .05 | .27 | (.08 | ) | (1.03 | ) | (1.11 | ) | 22.89 | 1.07 | 4 | 35 | .46 | 5 | 1.89 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 21.70 | .39 | 3.07 | 3.46 | (.37 | ) | (1.06 | ) | (1.43 | ) | 23.73 | 16.29 | 38 | .47 | 1.72 | |||||||||||||||||||||||||||||||||
12/31/16 | 20.64 | .38 | 1.54 | 1.92 | (.35 | ) | (.51 | ) | (.86 | ) | 21.70 | 9.49 | 35 | .47 | 1.79 | |||||||||||||||||||||||||||||||||
12/31/15 | 22.25 | .36 | (.02 | ) | .34 | (.36 | ) | (1.59 | ) | (1.95 | ) | 20.64 | 1.46 | 36 | .47 | 1.67 | ||||||||||||||||||||||||||||||||
12/31/14 | 22.51 | .39 | .81 | 1.20 | (.34 | ) | (1.12 | ) | (1.46 | ) | 22.25 | 5.47 | 40 | .48 | 1.76 | |||||||||||||||||||||||||||||||||
12/31/13 | 18.45 | .32 | 4.06 | 4.38 | (.32 | ) | — | (.32 | ) | 22.51 | 23.81 | 42 | .49 | 1.54 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 23.40 | .18 | .04 | .22 | (.07 | ) | (1.03 | ) | (1.10 | ) | 22.52 | .86 | 4 | 3,736 | .78 | 5 | 1.59 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 21.43 | .32 | 3.02 | 3.34 | (.31 | ) | (1.06 | ) | (1.37 | ) | 23.40 | 15.91 | 3,582 | .79 | 1.40 | |||||||||||||||||||||||||||||||||
12/31/16 | 20.40 | .31 | 1.53 | 1.84 | (.30 | ) | (.51 | ) | (.81 | ) | 21.43 | 9.16 | 2,861 | .79 | 1.47 | |||||||||||||||||||||||||||||||||
12/31/15 | 22.11 | .30 | (.02 | ) | .28 | (.40 | ) | (1.59 | ) | (1.99 | ) | 20.40 | 1.14 | 2,414 | .79 | 1.45 | ||||||||||||||||||||||||||||||||
12/31/14 | 22.46 | .34 | .79 | 1.13 | (.36 | ) | (1.12 | ) | (1.48 | ) | 22.11 | 5.16 | 32 | .80 | 1.55 | |||||||||||||||||||||||||||||||||
12/31/13 | 18.43 | .27 | 4.12 | 4.39 | (.36 | ) | — | (.36 | ) | 22.46 | 23.89 | 1 | .79 | 1.22 |
194 | American Funds Insurance Series |
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Global Balanced Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 12.75 | $ | .14 | $ | (.20 | ) | $ | (.06 | ) | $ | — | $ | — | $ | — | $ | 12.69 | (.47 | )%4 | $ | 111 | .70 | %5 | 2.19 | %5 | ||||||||||||||||||||||
12/31/17 | 11.08 | .21 | 1.99 | 2.20 | (.15 | ) | (.38 | ) | (.53 | ) | 12.75 | 19.91 | 93 | .72 | 1.68 | |||||||||||||||||||||||||||||||||
12/31/16 | 10.74 | .19 | .32 | .51 | (.17 | ) | — | (.17 | ) | 11.08 | 4.73 | 64 | .72 | 1.73 | ||||||||||||||||||||||||||||||||||
12/31/15 | 11.11 | .20 | (.28 | ) | (.08 | ) | (.14 | ) | (.15 | ) | (.29 | ) | 10.74 | (.69 | ) | 47 | .72 | 1.80 | ||||||||||||||||||||||||||||||
12/31/14 | 11.37 | .25 | 6 | (.03 | ) | .22 | (.18 | ) | (.30 | ) | (.48 | ) | 11.11 | 1.87 | 37 | .71 | 2.14 | 6 | ||||||||||||||||||||||||||||||
12/31/13 | 10.34 | .22 | 1.07 | 1.29 | (.18 | ) | (.08 | ) | (.26 | ) | 11.37 | 12.56 | 36 | .70 | 2.05 | |||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 12.74 | .14 | (.21 | ) | (.07 | ) | — | — | — | 12.67 | (.55 | )4 | 1 | .96 | 5 | 2.26 | 5 | |||||||||||||||||||||||||||||||
12/31/172,7 | 11.18 | .16 | 1.92 | 2.08 | (.14 | ) | (.38 | ) | (.52 | ) | 12.74 | 18.71 | 4 | — | 8 | .94 | 5 | 1.27 | 5 | |||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 12.72 | .12 | (.19 | ) | (.07 | ) | — | — | — | 12.65 | (.55 | )4 | 206 | .95 | 5 | 1.89 | 5 | |||||||||||||||||||||||||||||||
12/31/17 | 11.06 | .18 | 1.98 | 2.16 | (.12 | ) | (.38 | ) | (.50 | ) | 12.72 | 19.57 | 210 | .96 | 1.43 | |||||||||||||||||||||||||||||||||
12/31/16 | 10.72 | .16 | .32 | .48 | (.14 | ) | — | (.14 | ) | 11.06 | 4.48 | 178 | .97 | 1.48 | ||||||||||||||||||||||||||||||||||
12/31/15 | 11.09 | .18 | (.28 | ) | (.10 | ) | (.12 | ) | (.15 | ) | (.27 | ) | 10.72 | (.95 | ) | 171 | .97 | 1.60 | ||||||||||||||||||||||||||||||
12/31/14 | 11.35 | .22 | 6 | (.03 | ) | .19 | (.15 | ) | (.30 | ) | (.45 | ) | 11.09 | 1.63 | 179 | .96 | 1.88 | 6 | ||||||||||||||||||||||||||||||
12/31/13 | 10.33 | .20 | 1.06 | 1.26 | (.16 | ) | (.08 | ) | (.24 | ) | 11.35 | 12.23 | 156 | .95 | 1.79 | |||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 12.63 | .11 | (.20 | ) | (.09 | ) | — | — | — | 12.54 | (.71 | )4 | 69 | 1.20 | 5 | 1.72 | 5 | |||||||||||||||||||||||||||||||
12/31/17 | 11.00 | .13 | 1.99 | 2.12 | (.11 | ) | (.38 | ) | (.49 | ) | 12.63 | 19.38 | 51 | 1.22 | 1.07 | |||||||||||||||||||||||||||||||||
12/31/16 | 10.69 | .12 | .33 | .45 | (.14 | ) | — | (.14 | ) | 11.00 | 4.21 | 10 | 1.24 | 1.12 | ||||||||||||||||||||||||||||||||||
12/31/15 | 11.09 | .06 | (.17 | ) | (.11 | ) | (.14 | ) | (.15 | ) | (.29 | ) | 10.69 | (1.00 | ) | 1 | 1.34 | .58 | ||||||||||||||||||||||||||||||
12/31/14 | 11.35 | .24 | 6 | (.02 | ) | .22 | (.18 | ) | (.30 | ) | (.48 | ) | 11.09 | 1.88 | 12 | — | 8 | .67 | 12 | 2.07 | 6,12 | |||||||||||||||||||||||||||
12/31/13 | 10.33 | .22 | 1.06 | 1.28 | (.18 | ) | (.08 | ) | (.26 | ) | 11.35 | 12.49 | 12 | — | 8 | .71 | 12 | 1.98 | 12 | |||||||||||||||||||||||||||||
Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 10.82 | $ | .14 | $ | (.33 | ) | $ | (.19 | ) | $ | (.05 | ) | $ | (.01 | ) | $ | (.06 | ) | $ | 10.57 | (1.76 | )%4 | $ | 6,532 | .38 | %5 | 2.60 | %5 | |||||||||||||||||||
12/31/17 | 10.80 | .24 | .18 | .42 | (.24 | ) | (.16 | ) | (.40 | ) | 10.82 | 3.88 | 6,434 | .38 | 2.19 | |||||||||||||||||||||||||||||||||
12/31/16 | 10.70 | .21 | .14 | .35 | (.21 | ) | (.04 | ) | (.25 | ) | 10.80 | 3.27 | 6,829 | .38 | 1.91 | |||||||||||||||||||||||||||||||||
12/31/15 | 11.08 | .22 | (.17 | ) | .05 | (.21 | ) | (.22 | ) | (.43 | ) | 10.70 | .45 | 5,731 | .38 | 1.95 | ||||||||||||||||||||||||||||||||
12/31/14 | 10.73 | .23 | .37 | .60 | (.25 | ) | — | 9 | (.25 | ) | 11.08 | 5.59 | 4,977 | .39 | 2.03 | |||||||||||||||||||||||||||||||||
12/31/13 | 11.29 | .22 | (.43 | ) | (.21 | ) | (.23 | ) | (.12 | ) | (.35 | ) | 10.73 | (1.89 | ) | 4,506 | .39 | 2.01 | ||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.80 | .13 | (.34 | ) | (.21 | ) | (.04 | ) | (.01 | ) | (.05 | ) | 10.54 | (1.87 | )4 | 3 | .63 | 5 | 2.41 | 5 | ||||||||||||||||||||||||||||
12/31/172,7 | 10.82 | .22 | .15 | .37 | (.23 | ) | (.16 | ) | (.39 | ) | 10.80 | 3.46 | 4 | 1 | .62 | 5 | 2.01 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.69 | .12 | (.33 | ) | (.21 | ) | (.04 | ) | (.01 | ) | (.05 | ) | 10.43 | (1.92 | )4 | 3,759 | .63 | 5 | 2.35 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 10.67 | .21 | .18 | .39 | (.21 | ) | (.16 | ) | (.37 | ) | 10.69 | 3.67 | 3,966 | .63 | 1.94 | |||||||||||||||||||||||||||||||||
12/31/16 | 10.58 | .18 | .13 | .31 | (.18 | ) | (.04 | ) | (.22 | ) | 10.67 | 2.95 | 3,959 | .63 | 1.65 | |||||||||||||||||||||||||||||||||
12/31/15 | 10.95 | .18 | (.15 | ) | .03 | (.18 | ) | (.22 | ) | (.40 | ) | 10.58 | .28 | 4,135 | .63 | 1.69 | ||||||||||||||||||||||||||||||||
12/31/14 | 10.61 | .20 | .36 | .56 | (.22 | ) | — | 9 | (.22 | ) | 10.95 | 5.28 | 4,565 | .64 | 1.79 | |||||||||||||||||||||||||||||||||
12/31/13 | 11.17 | .19 | (.43 | ) | (.24 | ) | (.20 | ) | (.12 | ) | (.32 | ) | 10.61 | (2.16 | ) | 4,763 | .64 | 1.76 | ||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.68 | .11 | (.32 | ) | (.21 | ) | (.04 | ) | (.01 | ) | (.05 | ) | 10.42 | (1.94 | )4 | 331 | .88 | 5 | 2.11 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 10.70 | .19 | .16 | .35 | (.21 | ) | (.16 | ) | (.37 | ) | 10.68 | 3.29 | 297 | .88 | 1.72 | |||||||||||||||||||||||||||||||||
12/31/16 | 10.61 | .15 | .15 | .30 | (.17 | ) | (.04 | ) | (.21 | ) | 10.70 | 2.80 | 102 | .88 | 1.41 | |||||||||||||||||||||||||||||||||
12/31/15 | 11.01 | .16 | (.16 | ) | — | (.18 | ) | (.22 | ) | (.40 | ) | 10.61 | (.08 | ) | 59 | .88 | 1.47 | |||||||||||||||||||||||||||||||
12/31/14 | 10.69 | .16 | .39 | .55 | (.23 | ) | — | 9 | (.23 | ) | 11.01 | 5.15 | 29 | .89 | 1.43 | |||||||||||||||||||||||||||||||||
12/31/13 | 11.29 | .17 | (.43 | ) | (.26 | ) | (.22 | ) | (.12 | ) | (.34 | ) | 10.69 | (2.34 | ) | 3 | .89 | 1.58 |
See end of tables for footnotes.
American Funds Insurance Series | 195 |
Financial highlights (continued)
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Global Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 11.88 | $ | .15 | $ | (.33 | ) | $ | (.18 | ) | $ | (.03 | ) | $ | (.04 | ) | $ | (.07 | ) | $ | 11.63 | (1.54 | )%4 | $ | 1,079 | .56 | %5 | 2.50 | %5 | |||||||||||||||||||
12/31/17 | 11.22 | .28 | .52 | .80 | (.07 | ) | (.07 | ) | (.14 | ) | 11.88 | 7.11 | 1,273 | .56 | 2.37 | |||||||||||||||||||||||||||||||||
12/31/16 | 11.01 | .26 | .06 | .32 | (.09 | ) | (.02 | ) | (.11 | ) | 11.22 | 2.92 | 1,115 | .57 | 2.26 | |||||||||||||||||||||||||||||||||
12/31/15 | 11.77 | .27 | (.71 | ) | (.44 | ) | (.01 | ) | (.31 | ) | (.32 | ) | 11.01 | (3.75 | ) | 1,032 | .57 | 2.34 | ||||||||||||||||||||||||||||||
12/31/14 | 11.88 | .29 | (.08 | ) | .21 | (.21 | ) | (.11 | ) | (.32 | ) | 11.77 | 1.71 | 1,194 | .57 | 2.35 | ||||||||||||||||||||||||||||||||
12/31/13 | 12.32 | .28 | (.58 | ) | (.30 | ) | — | (.14 | ) | (.14 | ) | 11.88 | (2.40 | ) | 1,093 | .56 | 2.37 | |||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.87 | .14 | (.32 | ) | (.18 | ) | (.03 | ) | (.04 | ) | (.07 | ) | 11.62 | (1.55 | )4 | — | 8 | .80 | 5 | 2.35 | 5 | |||||||||||||||||||||||||||
12/31/172,7 | 11.22 | .26 | .52 | .78 | (.06 | ) | (.07 | ) | (.13 | ) | 11.87 | 7.00 | 4 | — | 8 | .72 | 5 | 2.27 | 5 | |||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.79 | .13 | (.32 | ) | (.19 | ) | (.02 | ) | (.04 | ) | (.06 | ) | 11.54 | (1.59 | )4 | 1,118 | .81 | 5 | 2.26 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 11.14 | .25 | .51 | .76 | (.04 | ) | (.07 | ) | (.11 | ) | 11.79 | 6.86 | 1,164 | .81 | 2.12 | |||||||||||||||||||||||||||||||||
12/31/16 | 10.93 | .23 | .07 | .30 | (.07 | ) | (.02 | ) | (.09 | ) | 11.14 | 2.71 | 1,121 | .82 | 2.01 | |||||||||||||||||||||||||||||||||
12/31/15 | 11.72 | .24 | (.71 | ) | (.47 | ) | (.01 | ) | (.31 | ) | (.32 | ) | 10.93 | (4.07 | ) | 1,208 | .82 | 2.09 | ||||||||||||||||||||||||||||||
12/31/14 | 11.81 | .26 | (.09 | ) | .17 | (.15 | ) | (.11 | ) | (.26 | ) | 11.72 | 1.39 | 1,386 | .82 | 2.11 | ||||||||||||||||||||||||||||||||
12/31/13 | 12.27 | .25 | (.57 | ) | (.32 | ) | — | (.14 | ) | (.14 | ) | 11.81 | (2.58 | ) | 1,496 | .81 | 2.11 | |||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.70 | .12 | (.32 | ) | (.20 | ) | (.02 | ) | (.04 | ) | (.06 | ) | 11.44 | (1.71 | )4 | 40 | 1.07 | 5 | 2.03 | 5 | ||||||||||||||||||||||||||||
12/31/17 | 11.08 | .22 | .51 | .73 | (.04 | ) | (.07 | ) | (.11 | ) | 11.70 | 6.63 | 31 | 1.06 | 1.89 | |||||||||||||||||||||||||||||||||
12/31/16 | 10.89 | .20 | .06 | .26 | (.05 | ) | (.02 | ) | (.07 | ) | 11.08 | 2.42 | 12 | 1.07 | 1.76 | |||||||||||||||||||||||||||||||||
12/31/15 | 11.70 | .21 | (.71 | ) | (.50 | ) | — | 9 | (.31 | ) | (.31 | ) | 10.89 | (4.27 | ) | 6 | 1.07 | 1.86 | ||||||||||||||||||||||||||||||
12/31/14 | 11.87 | .20 | (.05 | ) | .15 | (.21 | ) | (.11 | ) | (.32 | ) | 11.70 | 1.16 | 4 | 1.09 | 1.66 | ||||||||||||||||||||||||||||||||
12/31/13 | 12.31 | .27 | (.57 | ) | (.30 | ) | — | (.14 | ) | (.14 | ) | 11.87 | (2.41 | ) | — | 8 | .79 | 2.25 |
196 | American Funds Insurance Series |
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
High-Income Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 10.19 | $ | .31 | $ | (.26 | ) | $ | .05 | $ | (.11 | ) | $ | — | $ | (.11 | ) | $ | 10.13 | .48 | %4 | $ | 611 | .49 | %5 | 6.20 | %5 | |||||||||||||||||||||
12/31/17 | 10.18 | .63 | .10 | .73 | (.72 | ) | — | (.72 | ) | 10.19 | 7.25 | 632 | .49 | 5.98 | ||||||||||||||||||||||||||||||||||
12/31/16 | 9.19 | .61 | 1.02 | 1.63 | (.64 | ) | — | (.64 | ) | 10.18 | 17.83 | 949 | .49 | 6.18 | ||||||||||||||||||||||||||||||||||
12/31/15 | 10.54 | .64 | (1.36 | ) | (.72 | ) | (.63 | ) | — | (.63 | ) | 9.19 | (6.94 | ) | 1,017 | .48 | 6.12 | |||||||||||||||||||||||||||||||
12/31/14 | 11.13 | .67 | (.59 | ) | .08 | (.67 | ) | — | (.67 | ) | 10.54 | .80 | 1,017 | .48 | 5.90 | |||||||||||||||||||||||||||||||||
12/31/13 | 11.16 | .75 | .01 | .76 | (.79 | ) | — | (.79 | ) | 11.13 | 6.89 | 856 | .48 | 6.54 | ||||||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.18 | .30 | (.26 | ) | .04 | (.11 | ) | — | (.11 | ) | 10.11 | .37 | 4 | 1 | .73 | 5 | 5.99 | 5 | ||||||||||||||||||||||||||||||
12/31/172,7 | 10.28 | .60 | .02 | .62 | (.72 | ) | — | (.72 | ) | 10.18 | 6.02 | 4 | — | 8 | .72 | 5 | 5.74 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.03 | .30 | (.27 | ) | .03 | (.10 | ) | — | (.10 | ) | 9.96 | .35 | 4 | 738 | .74 | 5 | 5.95 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 10.04 | .59 | .10 | .69 | (.70 | ) | — | (.70 | ) | 10.03 | 6.89 | 776 | .74 | 5.72 | ||||||||||||||||||||||||||||||||||
12/31/16 | 9.06 | .58 | 1.01 | 1.59 | (.61 | ) | — | (.61 | ) | 10.04 | 17.69 | 799 | .74 | 5.92 | ||||||||||||||||||||||||||||||||||
12/31/15 | 10.41 | .60 | (1.35 | ) | (.75 | ) | (.60 | ) | — | (.60 | ) | 9.06 | (7.30 | ) | 765 | .73 | 5.85 | |||||||||||||||||||||||||||||||
12/31/14 | 10.99 | .63 | (.57 | ) | .06 | (.64 | ) | — | (.64 | ) | 10.41 | .63 | 929 | .73 | 5.67 | |||||||||||||||||||||||||||||||||
12/31/13 | 11.03 | .71 | .01 | .72 | (.76 | ) | — | (.76 | ) | 10.99 | 6.60 | 1,061 | .73 | 6.29 | ||||||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.23 | .31 | �� | (.27 | ) | .04 | (.11 | ) | — | (.11 | ) | 10.16 | .35 | 4 | 12 | .67 | 5 | 6.03 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 10.22 | .61 | .10 | .71 | (.70 | ) | — | (.70 | ) | 10.23 | 7.02 | 12 | .67 | 5.79 | ||||||||||||||||||||||||||||||||||
12/31/16 | 9.22 | .59 | 1.03 | 1.62 | (.62 | ) | — | (.62 | ) | 10.22 | 17.68 | 13 | .67 | 5.99 | ||||||||||||||||||||||||||||||||||
12/31/15 | 10.57 | .62 | (1.37 | ) | (.75 | ) | (.60 | ) | — | (.60 | ) | 9.22 | (7.13 | ) | 12 | .66 | 5.91 | |||||||||||||||||||||||||||||||
12/31/14 | 11.16 | .65 | (.59 | ) | .06 | (.65 | ) | — | (.65 | ) | 10.57 | .59 | 16 | .66 | 5.74 | |||||||||||||||||||||||||||||||||
12/31/13 | 11.18 | .73 | .02 | .75 | (.77 | ) | — | (.77 | ) | 11.16 | 6.77 | 19 | .66 | 6.36 | ||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.82 | .31 | (.28 | ) | .03 | (.10 | ) | — | (.10 | ) | 10.75 | .27 | 4 | 33 | .99 | 5 | 5.69 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 10.79 | .61 | .10 | .71 | (.68 | ) | — | (.68 | ) | 10.82 | 6.63 | 34 | .99 | 5.46 | ||||||||||||||||||||||||||||||||||
12/31/16 | 9.73 | .60 | 1.07 | 1.67 | (.61 | ) | — | (.61 | ) | 10.79 | 17.29 | 21 | .99 | 5.55 | ||||||||||||||||||||||||||||||||||
12/31/15 | 11.05 | .62 | (1.43 | ) | (.81 | ) | (.51 | ) | — | (.51 | ) | 9.73 | (7.42 | ) | 1 | .98 | 5.51 | |||||||||||||||||||||||||||||||
12/31/14 | 11.12 | .63 | (.59 | ) | .04 | (.11 | ) | — | (.11 | ) | 11.05 | .35 | — | 8 | .98 | 5.49 | ||||||||||||||||||||||||||||||||
12/31/13 | 11.16 | .67 | .08 | .75 | (.79 | ) | — | (.79 | ) | 11.12 | 6.81 | — | 8 | .93 | 5.82 |
See end of tables for footnotes.
American Funds Insurance Series | 197 |
Financial highlights (continued)
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Mortgage Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 10.47 | $ | .10 | $ | (.23 | ) | $ | (.13 | ) | $ | (.03 | ) | $ | — | $ | (.03 | ) | $ | 10.31 | (1.21 | )%4 | $ | 262 | .46 | %5 | 1.93 | %5 | ||||||||||||||||||||
12/31/17 | 10.56 | .16 | — | 9 | .16 | (.18 | ) | (.07 | ) | (.25 | ) | 10.47 | 1.47 | 265 | .47 | 1.52 | ||||||||||||||||||||||||||||||||
12/31/16 | 10.61 | .15 | .11 | .26 | (.20 | ) | (.11 | ) | (.31 | ) | 10.56 | 2.50 | 269 | .46 | 1.39 | |||||||||||||||||||||||||||||||||
12/31/15 | 10.70 | .10 | .13 | .23 | (.18 | ) | (.14 | ) | (.32 | ) | 10.61 | 2.09 | 272 | .45 | .89 | |||||||||||||||||||||||||||||||||
12/31/14 | 10.23 | .12 | .45 | .57 | (.10 | ) | — | (.10 | ) | 10.70 | 5.54 | 292 | .45 | 1.12 | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.47 | .04 | (.18 | ) | (.14 | ) | (.08 | ) | (.02 | ) | (.10 | ) | 10.23 | (1.41 | ) | 198 | .44 | .35 | ||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.46 | .09 | (.23 | ) | (.14 | ) | (.03 | ) | — | (.03 | ) | 10.29 | (1.31 | )4 | 1 | .70 | 5 | 1.76 | 5 | |||||||||||||||||||||||||||||
12/31/172,7 | 10.55 | .14 | — | 9 | .14 | (.16 | ) | (.07 | ) | (.23 | ) | 10.46 | 1.31 | 4 | — | 8 | .70 | 5 | 1.38 | 5 | ||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.45 | .09 | (.22 | ) | (.13 | ) | (.03 | ) | — | (.03 | ) | 10.29 | (1.26 | )4 | 60 | .71 | 5 | 1.68 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 10.54 | .14 | (.01 | ) | .13 | (.15 | ) | (.07 | ) | (.22 | ) | 10.45 | 1.22 | 63 | .72 | 1.27 | ||||||||||||||||||||||||||||||||
12/31/16 | 10.59 | .12 | .12 | .24 | (.18 | ) | (.11 | ) | (.29 | ) | 10.54 | 2.25 | 63 | .71 | 1.14 | |||||||||||||||||||||||||||||||||
12/31/15 | 10.68 | .07 | .13 | .20 | (.15 | ) | (.14 | ) | (.29 | ) | 10.59 | 1.86 | 59 | .70 | .65 | |||||||||||||||||||||||||||||||||
12/31/14 | 10.22 | .10 | .44 | .54 | (.08 | ) | — | (.08 | ) | 10.68 | 5.23 | 52 | .70 | .91 | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.46 | — | 9 | (.17 | ) | (.17 | ) | (.05 | ) | (.02 | ) | (.07 | ) | 10.22 | (1.68 | ) | 49 | .69 | (.02 | ) | ||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 10.38 | .07 | (.22 | ) | (.15 | ) | (.03 | ) | — | (.03 | ) | 10.20 | (1.38 | )4 | 16 | .96 | 5 | 1.45 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 10.48 | .11 | — | 9 | .11 | (.14 | ) | (.07 | ) | (.21 | ) | 10.38 | .97 | 12 | .97 | 1.03 | ||||||||||||||||||||||||||||||||
12/31/16 | 10.52 | .09 | .12 | .21 | (.14 | ) | (.11 | ) | (.25 | ) | 10.48 | 2.01 | 8 | .96 | .86 | |||||||||||||||||||||||||||||||||
12/31/15 | 10.65 | .04 | .14 | .18 | (.17 | ) | (.14 | ) | (.31 | ) | 10.52 | 1.62 | 11 | .97 | .37 | |||||||||||||||||||||||||||||||||
12/31/14 | 10.23 | .05 | .46 | .51 | (.09 | ) | — | (.09 | ) | 10.65 | 4.98 | 1 | .94 | .47 | ||||||||||||||||||||||||||||||||||
12/31/13 | 10.47 | .02 | (.16 | ) | (.14 | ) | (.08 | ) | (.02 | ) | (.10 | ) | 10.23 | (1.41 | )12 | — | 8 | .38 | 12 | .23 | 12 |
198 | American Funds Insurance Series |
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
Ultra-Short Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 11.29 | $ | .08 | $ | (.01 | ) | $ | .07 | $ | (.02 | ) | $ | — | $ | (.02 | ) | $ | 11.34 | .65 | %4 | $ | 36 | .33 | %5 | 1.38 | %5 | |||||||||||||||||||||
12/31/17 | 11.27 | .08 | (.01 | ) | .07 | (.05 | ) | — | (.05 | ) | 11.29 | .66 | 37 | .35 | .68 | |||||||||||||||||||||||||||||||||
12/31/1613 | 11.26 | .01 | — | 9 | .01 | — | — | — | 11.27 | .09 | 37 | .35 | .11 | |||||||||||||||||||||||||||||||||||
12/31/15 | 11.28 | (.03 | ) | .01 | (.02 | ) | — | — | — | 11.26 | (.18 | ) | 39 | .34 | (.24 | ) | ||||||||||||||||||||||||||||||||
12/31/14 | 11.31 | (.03 | ) | — | (.03 | ) | — | — | — | 11.28 | (.27 | ) | 49 | .34 | (.26 | ) | ||||||||||||||||||||||||||||||||
12/31/13 | 11.34 | (.03 | ) | — | 9 | (.03 | ) | — | — | — | 11.31 | (.27 | ) | 57 | .34 | (.24 | ) | |||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.29 | .08 | (.01 | ) | .07 | (.02 | ) | — | (.02 | ) | 11.34 | .65 | 4 | — | 8 | .33 | 5 | 1.38 | 5 | |||||||||||||||||||||||||||||
12/31/172,7 | 11.27 | .08 | — | 9 | .08 | (.06 | ) | — | (.06 | ) | 11.29 | .67 | 4 | — | 8 | .34 | 5 | .69 | 5 | |||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.01 | .06 | — | 9 | .06 | (.02 | ) | — | (.02 | ) | 11.05 | .53 | 4 | 237 | .58 | 5 | 1.13 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 10.99 | .05 | — | 9 | .05 | (.03 | ) | — | (.03 | ) | 11.01 | .46 | 249 | .60 | .42 | |||||||||||||||||||||||||||||||||
12/31/1613 | 11.01 | (.02 | ) | — | 9 | (.02 | ) | — | — | — | 10.99 | (.18 | ) | 297 | .60 | (.14 | ) | |||||||||||||||||||||||||||||||
12/31/15 | 11.06 | (.05 | ) | — | 9 | (.05 | ) | — | — | — | 11.01 | (.45 | ) | 302 | .59 | (.49 | ) | |||||||||||||||||||||||||||||||
12/31/14 | 11.12 | (.06 | ) | — | (.06 | ) | — | — | — | 11.06 | (.54 | ) | 331 | .59 | (.51 | ) | ||||||||||||||||||||||||||||||||
12/31/13 | 11.17 | (.05 | ) | — | 9 | (.05 | ) | — | — | — | 11.12 | (.45 | ) | 395 | .59 | (.49 | ) | |||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.12 | .07 | — | 9 | .07 | (.02 | ) | — | (.02 | ) | 11.17 | .63 | 4 | 5 | .51 | 5 | 1.21 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 11.10 | .06 | — | 9 | .06 | (.04 | ) | — | (.04 | ) | 11.12 | .54 | 4 | .53 | .50 | |||||||||||||||||||||||||||||||||
12/31/1613 | 11.11 | (.01 | ) | — | 9 | (.01 | ) | — | — | — | 11.10 | (.09 | ) | 4 | .53 | (.08 | ) | |||||||||||||||||||||||||||||||
12/31/15 | 11.16 | (.05 | ) | — | 9 | (.05 | ) | — | — | — | 11.11 | (.45 | ) | 6 | .52 | (.42 | ) | |||||||||||||||||||||||||||||||
12/31/14 | 11.21 | (.05 | ) | — | (.05 | ) | — | — | — | 11.16 | (.45 | ) | 8 | .52 | (.44 | ) | ||||||||||||||||||||||||||||||||
12/31/13 | 11.26 | (.05 | ) | — | 9 | (.05 | ) | — | — | — | 11.21 | (.44 | ) | 8 | .52 | (.42 | ) | |||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.13 | .05 | — | 9 | .05 | (.01 | ) | — | (.01 | ) | 11.17 | .47 | 4 | 14 | .83 | 5 | .88 | 5 | ||||||||||||||||||||||||||||||
12/31/17 | 11.12 | .02 | — | 9 | .02 | (.01 | ) | — | (.01 | ) | 11.13 | .16 | 15 | .85 | .19 | |||||||||||||||||||||||||||||||||
12/31/1613 | 11.17 | (.04 | ) | (.01 | ) | (.05 | ) | — | — | — | 11.12 | (.45 | ) | 13 | .85 | (.40 | ) | |||||||||||||||||||||||||||||||
12/31/15 | 11.25 | (.08 | ) | — | 9 | (.08 | ) | — | — | — | 11.17 | (.71 | ) | 16 | .85 | (.74 | ) | |||||||||||||||||||||||||||||||
12/31/14 | 11.30 | (.09 | ) | .04 | (.05 | ) | — | — | — | 11.25 | (.44 | ) | 7 | .84 | (.77 | ) | ||||||||||||||||||||||||||||||||
12/31/13 | 11.34 | (.04 | ) | — | 9 | (.04 | ) | — | — | — | 11.30 | (.35 | )12 | — | 8 | .37 | 12 | (.32 | )12 |
See end of tables for footnotes.
American Funds Insurance Series | 199 |
Financial highlights (continued)
Income (loss) from investment operations1 | Dividends and distributions | |||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distributions | Net asset value, end of period | Total return | Net assets, end of period (in millions) | Ratio of expenses to average net assets | Ratio of net income (loss) to average net assets | ||||||||||||||||||||||||||||||||||||
U.S. Government/AAA-Rated Securities Fund | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 12.08 | $ | .12 | $ | (.26 | ) | $ | (.14 | ) | $ | (.04 | ) | $ | — | $ | (.04 | ) | $ | 11.90 | (1.08 | )%4 | $ | 1,526 | .36 | %5 | 2.00 | %5 | ||||||||||||||||||||
12/31/17 | 12.05 | .21 | .01 | .22 | (.19 | ) | — | (.19 | ) | 12.08 | 1.83 | 1,558 | .36 | 1.68 | ||||||||||||||||||||||||||||||||||
12/31/16 | 12.31 | .16 | .03 | .19 | (.20 | ) | (.25 | ) | (.45 | ) | 12.05 | 1.44 | 1,467 | .36 | 1.31 | |||||||||||||||||||||||||||||||||
12/31/15 | 12.40 | .13 | .09 | .22 | (.21 | ) | (.10 | ) | (.31 | ) | 12.31 | 1.93 | 1,426 | .35 | 1.02 | |||||||||||||||||||||||||||||||||
12/31/14 | 11.94 | .15 | .48 | .63 | (.17 | ) | — | (.17 | ) | 12.40 | 5.24 | 1,723 | .35 | 1.24 | ||||||||||||||||||||||||||||||||||
12/31/13 | 12.75 | .08 | (.44 | ) | (.36 | ) | (.11 | ) | (.34 | ) | (.45 | ) | 11.94 | (2.87 | ) | 1,584 | .35 | .67 | ||||||||||||||||||||||||||||||
Class 1A: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 12.08 | .11 | (.26 | ) | (.15 | ) | (.04 | ) | — | (.04 | ) | 11.89 | (1.25 | )4 | 1 | .60 | 5 | 1.86 | 5 | |||||||||||||||||||||||||||||
12/31/172,7 | 12.05 | .18 | .03 | .21 | (.18 | ) | — | (.18 | ) | 12.08 | 1.73 | 4 | — | 8 | .58 | 5 | 1.53 | 5 | ||||||||||||||||||||||||||||||
Class 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.96 | .10 | (.25 | ) | (.15 | ) | (.03 | ) | — | (.03 | ) | 11.78 | (1.22 | )4 | 1,412 | .61 | 5 | 1.75 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 11.93 | .17 | .02 | .19 | (.16 | ) | — | (.16 | ) | 11.96 | 1.59 | 1,473 | .61 | 1.43 | ||||||||||||||||||||||||||||||||||
12/31/16 | 12.20 | .13 | .02 | .15 | (.17 | ) | (.25 | ) | (.42 | ) | 11.93 | 1.19 | 1,503 | .61 | 1.05 | |||||||||||||||||||||||||||||||||
12/31/15 | 12.29 | .10 | .09 | .19 | (.18 | ) | (.10 | ) | (.28 | ) | 12.20 | 1.59 | 1,579 | .60 | .79 | |||||||||||||||||||||||||||||||||
12/31/14 | 11.83 | .12 | .47 | .59 | (.13 | ) | — | (.13 | ) | 12.29 | 5.01 | 1,717 | .60 | 1.00 | ||||||||||||||||||||||||||||||||||
12/31/13 | 12.63 | .05 | (.43 | ) | (.38 | ) | (.08 | ) | (.34 | ) | (.42 | ) | 11.83 | (.3.08 | ) | 1,801 | .60 | .42 | ||||||||||||||||||||||||||||||
Class 3: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 12.11 | .11 | (.26 | ) | (.15 | ) | (.04 | ) | — | (.04 | ) | 11.92 | (1.19 | )4 | 9 | .54 | 5 | 1.82 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 12.07 | .18 | .03 | .21 | (.17 | ) | — | (.17 | ) | 12.11 | 1.72 | 10 | .54 | 1.50 | ||||||||||||||||||||||||||||||||||
12/31/16 | 12.34 | .14 | .02 | .16 | (.18 | ) | (.25 | ) | (.43 | ) | 12.07 | 1.24 | 11 | .54 | 1.12 | |||||||||||||||||||||||||||||||||
12/31/15 | 12.43 | .11 | .09 | .20 | (.19 | ) | (.10 | ) | (.29 | ) | 12.34 | 1.64 | 11 | .53 | .85 | |||||||||||||||||||||||||||||||||
12/31/14 | 11.96 | .13 | .48 | .61 | (.14 | ) | — | (.14 | ) | 12.43 | 5.11 | 13 | .53 | 1.08 | ||||||||||||||||||||||||||||||||||
12/31/13 | 12.76 | .06 | (.43 | ) | (.37 | ) | (.09 | ) | (.34 | ) | (.43 | ) | 11.96 | (3.00 | ) | 14 | .53 | .47 | ||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.98 | .09 | (.25 | ) | (.16 | ) | (.03 | ) | — | (.03 | ) | 11.79 | (1.33 | )4 | 67 | .86 | 5 | 1.51 | 5 | |||||||||||||||||||||||||||||
12/31/17 | 11.96 | .14 | .01 | .15 | (.13 | ) | — | (.13 | ) | 11.98 | 1.28 | 62 | .86 | 1.18 | ||||||||||||||||||||||||||||||||||
12/31/16 | 12.22 | .10 | .03 | .13 | (.14 | ) | (.25 | ) | (.39 | ) | 11.96 | .99 | 57 | .86 | .82 | |||||||||||||||||||||||||||||||||
12/31/15 | 12.34 | .07 | .08 | .15 | (.17 | ) | (.10 | ) | (.27 | ) | 12.22 | 1.29 | 46 | .85 | .56 | |||||||||||||||||||||||||||||||||
12/31/14 | 11.93 | .06 | .51 | .57 | (.16 | ) | — | (.16 | ) | 12.34 | 4.76 | 21 | .85 | .50 | ||||||||||||||||||||||||||||||||||
12/31/13 | 12.75 | .08 | (.44 | ) | (.36 | ) | (.12 | ) | (.34 | ) | (.46 | ) | 11.93 | (2.95 | ) | — | 8 | .84 | .68 |
200 | American Funds Insurance Series |
Income (loss) from investment operations1 | Dividends and distributions | Ratio of expenses | Ratio of expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distribu- tions (from capital gains) | Total tions | Net asset value, end of period | Total return14 | Net assets, end of period (in millions) | to average net assets before waivers/ reimburse- ments | to average net assets after waivers/ reimburse- ments14 | Net effective expense ratio14,15 | Ratio of net income (loss) to average net assets14 | ||||||||||||||||||||||||||||||||||||||||||
Managed Risk Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 13.22 | $ | .01 | $ | .73 | $ | .74 | $ | (.10 | ) | $ | (.89 | ) | $ | (.99 | ) | $ | 12.97 | 5.41 | %4,12 | $ | 2 | .41 | %5,12 | .36 | %5,12 | .71 | %5,12 | .10 | %5,12 | |||||||||||||||||||||||||
12/31/17 | 10.71 | .08 | 2.70 | 2.78 | (.07 | ) | (.20 | ) | (.27 | ) | 13.22 | 26.23 | 12 | 2 | .42 | 12 | .36 | 12 | .70 | 12 | .69 | 12 | ||||||||||||||||||||||||||||||||||
12/31/16 | 11.49 | .08 | .20 | .28 | (.05 | ) | (1.01 | ) | (1.06 | ) | 10.71 | 2.89 | 12 | 1 | .50 | 12 | .34 | 12 | .68 | 12 | .79 | 12 | ||||||||||||||||||||||||||||||||||
12/31/15 | 11.37 | .09 | .03 | .12 | — | — | — | 11.49 | 1.06 | 12 | — | 8 | .53 | 12 | .29 | 12 | .63 | 12 | .80 | 12 | ||||||||||||||||||||||||||||||||||||
12/31/14 | 11.43 | .31 | (.06 | ) | .25 | (.12 | ) | (.19 | ) | (.31 | ) | 11.37 | 2.18 | 12 | — | 8 | .50 | 12 | .32 | 12 | .65 | 12 | 2.71 | 12 | ||||||||||||||||||||||||||||||||
12/31/132,16 | 10.00 | .12 | 1.38 | 1.50 | (.07 | ) | — | (.07 | ) | 11.43 | 15.05 | 4,12 | — | 8 | .88 | 5,12 | .25 | 5,12 | .58 | 5,12 | 1.64 | 5,12 | ||||||||||||||||||||||||||||||||||
Class P2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 13.14 | (.01 | ) | .72 | .71 | (.06 | ) | (.89 | ) | (.95 | ) | 12.90 | 5.26 | 4 | 320 | .68 | 5 | .62 | 5 | .97 | 5 | (.18 | )5 | |||||||||||||||||||||||||||||||||
12/31/17 | 10.64 | .04 | 2.70 | 2.74 | (.04 | ) | (.20 | ) | (.24 | ) | 13.14 | 25.99 | 286 | .69 | .63 | .97 | .34 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 11.43 | .05 | .19 | .24 | (.02 | ) | (1.01 | ) | (1.03 | ) | 10.64 | 2.52 | 200 | .79 | .63 | .97 | .43 | |||||||||||||||||||||||||||||||||||||||
12/31/15 | 11.35 | .04 | .04 | .08 | — | — | — | 11.43 | .71 | 146 | .89 | .66 | 1.00 | .31 | ||||||||||||||||||||||||||||||||||||||||||
12/31/14 | 11.43 | .12 | .08 | .20 | (.09 | ) | (.19 | ) | (.28 | ) | 11.35 | 1.77 | 79 | .87 | .69 | 1.02 | 1.01 | |||||||||||||||||||||||||||||||||||||||
12/31/132,16 | 10.00 | .12 | 1.37 | 1.49 | (.06 | ) | — | (.06 | ) | 11.43 | 14.94 | 4,12 | 28 | 1.05 | 5,12 | .52 | 5,12 | .85 | 5,12 | 1.69 | 5,12 | |||||||||||||||||||||||||||||||||||
Managed Risk International Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 11.25 | $ | .03 | $ | (.09 | ) | $ | (.06 | ) | $ | (.13 | ) | $ | (.05 | ) | $ | (.18 | ) | $ | 11.01 | (.50 | )%4,12 | $ | — | 8 | .27 | %5,12 | .21 | %5,12 | .70 | %5,12 | .46 | %5,12 | ||||||||||||||||||||||
12/31/17 | 8.89 | .11 | 2.47 | 2.58 | (.10 | ) | (.12 | ) | (.22 | ) | 11.25 | 29.28 | 12 | — | 8 | .28 | 12 | .20 | 12 | .69 | 12 | 1.13 | 12 | |||||||||||||||||||||||||||||||||
12/31/16 | 9.48 | .10 | (.35 | ) | (.25 | ) | (.12 | ) | (.22 | ) | (.34 | ) | 8.89 | (2.59 | )12 | — | 8 | .39 | 12 | .23 | 12 | .74 | 12 | 1.15 | 12 | |||||||||||||||||||||||||||||||
12/31/15 | 10.10 | .18 | (.80 | ) | (.62 | ) | — | 9 | — | — | 9 | 9.48 | (6.12 | )12 | — | 8 | .45 | 12 | .21 | 12 | .72 | 12 | 1.75 | 12 | ||||||||||||||||||||||||||||||||
12/31/14 | 10.82 | .14 | (.71 | ) | (.57 | ) | (.15 | ) | — | (.15 | ) | 10.10 | (5.31 | )12 | — | 8 | .50 | 12 | .25 | 12 | .76 | 12 | 1.33 | 12 | ||||||||||||||||||||||||||||||||
12/31/132,16 | 10.00 | .13 | .78 | .91 | (.09 | ) | — | (.09 | ) | 10.82 | 9.08 | 4,12 | — | 8 | 1.05 | 5,12 | .23 | 5,12 | .73 | 5,12 | 1.92 | 5,12 | ||||||||||||||||||||||||||||||||||
Class P2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 11.15 | — | 9 | (.08 | ) | (.08 | ) | (.10 | ) | (.05 | ) | (.15 | ) | 10.92 | (.76 | )4 | 155 | .70 | 5 | .62 | 5 | 1.11 | 5 | (.05 | )5 | |||||||||||||||||||||||||||||||
12/31/17 | 8.83 | .11 | 2.41 | 2.52 | (.08 | ) | (.12 | ) | (.20 | ) | 11.15 | 28.69 | 148 | .71 | .63 | 1.12 | 1.03 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.43 | .09 | (.38 | ) | (.29 | ) | (.09 | ) | (.22 | ) | (.31 | ) | 8.83 | (3.05 | ) | 97 | .79 | .63 | 1.14 | .97 | ||||||||||||||||||||||||||||||||||||
12/31/15 | 10.09 | .13 | (.79 | ) | (.66 | ) | — | 9 | — | — | 9 | 9.43 | (6.52 | ) | 83 | .90 | .66 | 1.17 | 1.30 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 10.82 | .16 | (.77 | ) | (.61 | ) | (.12 | ) | — | (.12 | ) | 10.09 | (5.68 | ) | 46 | .91 | .67 | 1.18 | 1.51 | |||||||||||||||||||||||||||||||||||||
12/31/132,16 | 10.00 | .18 | .72 | .90 | (.08 | ) | — | (.08 | ) | 10.82 | 8.99 | 4,12 | 17 | 1.19 | 5,12 | .44 | 5,12 | .94 | 5,12 | 2.66 | 5,12 | |||||||||||||||||||||||||||||||||||
Managed Risk Blue Chip Income and Growth Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 13.04 | $ | .04 | $ | (.27 | ) | $ | (.23 | ) | $ | (.21 | ) | $ | (.44 | ) | $ | (.65 | ) | $ | 12.16 | (1.80 | )%4,12 | $ | — | 8 | .27 | %5,12 | .22 | %5,12 | .61 | %5,12 | .62 | %5,12 | ||||||||||||||||||||||
12/31/17 | 11.67 | .19 | 1.59 | 1.78 | (.22 | ) | (.19 | ) | (.41 | ) | 13.04 | 15.48 | 12 | — | 8 | .30 | 12 | .25 | 12 | .64 | 12 | 1.59 | 12 | |||||||||||||||||||||||||||||||||
12/31/16 | 10.80 | .20 | 1.25 | 1.45 | (.21 | ) | (.37 | ) | (.58 | ) | 11.67 | 13.77 | 12 | — | 8 | .43 | 12 | .27 | 12 | .67 | 12 | 1.83 | 12 | |||||||||||||||||||||||||||||||||
12/31/15 | 11.70 | .19 | (1.02 | ) | (.83 | ) | (.07 | ) | — | (.07 | ) | 10.80 | (7.07 | )12 | — | 8 | .50 | 12 | .27 | 12 | .66 | 12 | 1.64 | 12 | ||||||||||||||||||||||||||||||||
12/31/14 | 11.05 | .40 | .55 | .95 | (.30 | ) | — | (.30 | ) | 11.70 | 8.58 | 12 | — | 8 | .50 | 12 | .31 | 12 | .70 | 12 | 3.43 | 12 | ||||||||||||||||||||||||||||||||||
12/31/132,16 | 10.00 | .20 | 1.01 | 1.21 | (.16 | ) | — | (.16 | ) | 11.05 | 12.16 | 4,12 | — | 8 | .84 | 5,12 | .24 | 5,12 | .64 | 5,12 | 2.80 | 5,12 | ||||||||||||||||||||||||||||||||||
Class P2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 12.96 | .01 | (.26 | ) | (.25 | ) | (.21 | ) | (.44 | ) | (.65 | ) | 12.06 | (2.04 | )4 | 351 | .67 | 5 | .62 | 5 | 1.01 | 5 | .21 | 5 | ||||||||||||||||||||||||||||||||
12/31/17 | 11.61 | .17 | 1.55 | 1.72 | (.18 | ) | (.19 | ) | (.37 | ) | 12.96 | 15.03 | 367 | .68 | .63 | 1.02 | 1.43 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 10.76 | .23 | 1.18 | 1.41 | (.19 | ) | (.37 | ) | (.56 | ) | 11.61 | 13.39 | 291 | .79 | .63 | 1.03 | 2.04 | |||||||||||||||||||||||||||||||||||||||
12/31/15 | 11.67 | .18 | (1.05 | ) | (.87 | ) | (.04 | ) | — | (.04 | ) | 10.76 | (7.43 | ) | 137 | .89 | .66 | 1.05 | 1.57 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 11.05 | .50 | .40 | .90 | (.28 | ) | — | (.28 | ) | 11.67 | 8.10 | 98 | .88 | .69 | 1.08 | 4.27 | ||||||||||||||||||||||||||||||||||||||||
12/31/132,16 | 10.00 | .28 | .92 | 1.20 | (.15 | ) | — | (.15 | ) | 11.05 | 12.05 | 4,12 | 26 | 1.04 | 5,12 | .54 | 5,12 | .94 | 5,12 | 3.91 | 5,12 |
See end of tables for footnotes.
American Funds Insurance Series | 201 |
Financial highlights (continued)
Income (loss) from investment operations1 | Dividends and distributions | Ratio of expenses | Ratio of expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss) | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distribu- tions (from capital gains) | Total dividends and distribu- tions | Net asset value, end of period | Total return14 | Net assets, end of period (in millions) | to average net assets before waivers/ reimburse- ments | to average net assets after waivers/ reimburse- ments14 | Net effective expense ratio14,15 | Ratio of net income (loss) to average net assets14 | ||||||||||||||||||||||||||||||||||||||||||
Managed Risk Growth-Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 12.66 | $ | .02 | $ | .43 | $ | .45 | $ | (.16 | ) | $ | (.57 | ) | $ | (.73 | ) | $ | 12.38 | 3.47 | %4,12 | $ | 3 | .43 | %5,12 | .36 | %5,12 | .65 | %5,12 | .28 | %5,12 | |||||||||||||||||||||||||
12/31/17 | 11.07 | .19 | 2.03 | 2.22 | (.13 | ) | (.50 | ) | (.63 | ) | 12.66 | 20.64 | 12 | 2 | .44 | 12 | .37 | 12 | .66 | 12 | 1.61 | 12 | ||||||||||||||||||||||||||||||||||
12/31/16 | 11.25 | .16 | .52 | .68 | (.16 | ) | (.70 | ) | (.86 | ) | 11.07 | 6.49 | 12 | 1 | .52 | 12 | .36 | 12 | .64 | 12 | 1.46 | 12 | ||||||||||||||||||||||||||||||||||
12/31/15 | 11.67 | .25 | (.63 | ) | (.38 | ) | (.04 | ) | — | (.04 | ) | 11.25 | (3.27 | )12 | 1 | .56 | 12 | .31 | 12 | .59 | 12 | 2.17 | 12 | |||||||||||||||||||||||||||||||||
12/31/14 | 11.50 | .35 | .21 | .56 | (.14 | ) | (.25 | ) | (.39 | ) | 11.67 | 4.85 | 12 | — | 8 | .45 | 12 | .25 | 12 | .52 | 12 | 2.94 | 12 | |||||||||||||||||||||||||||||||||
12/31/132,16 | 10.00 | .14 | 1.47 | 1.61 | (.11 | ) | — | (.11 | ) | 11.50 | 16.15 | 4,12 | — | 8 | .92 | 5,12 | .23 | 5,12 | .50 | 5,12 | 2.01 | 5,12 | ||||||||||||||||||||||||||||||||||
Class P2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 12.58 | — | 9 | .43 | .43 | (.12 | ) | (.57 | ) | (.69 | ) | 12.32 | 3.39 | 4 | 225 | .69 | 5 | .62 | 5 | .91 | 5 | .02 | 5 | |||||||||||||||||||||||||||||||||
12/31/17 | 11.02 | .13 | 2.05 | 2.18 | (.12 | ) | (.50 | ) | (.62 | ) | 12.58 | 20.40 | 206 | .70 | .63 | .92 | 1.08 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 11.22 | .12 | .52 | .64 | (.14 | ) | (.70 | ) | (.84 | ) | 11.02 | 6.08 | 160 | .79 | .63 | .91 | 1.13 | |||||||||||||||||||||||||||||||||||||||
12/31/15 | 11.65 | .12 | (.54 | ) | (.42 | ) | (.01 | ) | — | (.01 | ) | 11.22 | (3.64 | ) | 122 | .89 | .66 | .94 | 1.04 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 11.50 | .16 | .35 | .51 | (.11 | ) | (.25 | ) | (.36 | ) | 11.65 | 4.42 | 76 | .87 | .69 | .96 | 1.38 | |||||||||||||||||||||||||||||||||||||||
12/31/132,16 | 10.00 | .20 | 1.40 | 1.60 | (.10 | ) | — | (.10 | ) | 11.50 | 16.04 | 4,12 | 24 | 1.09 | 5,12 | .50 | 5,12 | .77 | 5,12 | 2.73 | 5,12 | |||||||||||||||||||||||||||||||||||
Managed Risk Asset Allocation Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P1: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | $ | 13.59 | $ | .03 | $ | (.04 | ) | $ | (.01 | ) | $ | (.18 | ) | $ | (.53 | ) | $ | (.71 | ) | $ | 12.87 | (.14 | )%4 | $ | 1,719 | .41 | %5 | .36 | %5 | .64 | %5 | .40 | %5 | |||||||||||||||||||||||
12/31/17 | 12.02 | .19 | 1.60 | 1.79 | (.10 | ) | (.12 | ) | (.22 | ) | 13.59 | 15.06 | 1,656 | .43 | .38 | .66 | 1.45 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 11.72 | .19 | .67 | .86 | (.19 | ) | (.37 | ) | (.56 | ) | 12.02 | 7.57 | 1,217 | .43 | .38 | .66 | 1.65 | |||||||||||||||||||||||||||||||||||||||
12/31/15 | 12.29 | .25 | (.34 | ) | (.09 | ) | (.22 | ) | (.26 | ) | (.48 | ) | 11.72 | (.83 | ) | 712 | .54 | .40 | .68 | 2.06 | ||||||||||||||||||||||||||||||||||||
12/31/14 | 11.93 | .13 | .26 | .39 | (.03 | ) | — | (.03 | ) | 12.29 | 3.24 | 277 | .53 | .48 | .76 | 1.04 | ||||||||||||||||||||||||||||||||||||||||
12/31/13 | 9.99 | .27 | 1.81 | 2.08 | (.14 | ) | — | (.14 | ) | 11.93 | 20.82 | 12 | 112 | .55 | 12 | .47 | 12 | .75 | 12 | 2.37 | 12 | |||||||||||||||||||||||||||||||||||
Class P2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/182,3 | 13.55 | .01 | (.03 | ) | (.02 | ) | (.15 | ) | (.53 | ) | (.68 | ) | 12.85 | (.26 | )4 | 2,746 | .66 | 5 | .61 | 5 | .89 | 5 | .13 | 5 | ||||||||||||||||||||||||||||||||
12/31/17 | 12.01 | .15 | 1.61 | 1.76 | (.10 | ) | (.12 | ) | (.22 | ) | 13.55 | 14.80 | 2,798 | .68 | .63 | .91 | 1.13 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 11.71 | .14 | .69 | .83 | (.16 | ) | (.37 | ) | (.53 | ) | 12.01 | 7.27 | 2,342 | .68 | .63 | .91 | 1.20 | |||||||||||||||||||||||||||||||||||||||
12/31/15 | 12.27 | .14 | (.26 | ) | (.12 | ) | (.18 | ) | (.26 | ) | (.44 | ) | 11.71 | (1.07 | ) | 1,953 | .79 | .66 | .94 | 1.16 | ||||||||||||||||||||||||||||||||||||
12/31/14 | 11.93 | .16 | .19 | .35 | (.01 | ) | — | (.01 | ) | 12.27 | 2.91 | 1,780 | .79 | .73 | 1.01 | 1.33 | ||||||||||||||||||||||||||||||||||||||||
12/31/13 | 9.99 | .28 | 1.77 | 2.05 | (.11 | ) | — | (.11 | ) | 11.93 | 20.58 | 12 | 795 | .80 | 12 | .73 | 12 | 1.01 | 12 | 2.43 | 12 |
Portfolio turnover rate for all share classes, | Six months ended | Period ended December 31 | ||||||||||||||||||||||
excluding mortgage dollar roll transactions17 | June 30, 20182,3,4 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Capital Income Builder | 21 | % | 59 | % | 41 | % | 38 | % | 24 | %4,11 | ||||||||||||||
Asset Allocation Fund | 13 | 39 | 43 | 28 | 42 | |||||||||||||||||||
Global Balanced Fund | 16 | 28 | 43 | 36 | 40 | Not | ||||||||||||||||||
Bond Fund | 49 | 153 | 108 | 141 | 121 | available | ||||||||||||||||||
Global Bond Fund | 49 | 74 | 70 | 88 | 134 | |||||||||||||||||||
Mortgage Fund | 29 | 98 | 113 | 138 | 108 | |||||||||||||||||||
U.S. Government/AAA-Rated Securities Fund | 33 | 120 | 273 | 352 | 88 |
202 | American Funds Insurance Series |
Portfolio turnover rate for all share classes, | Six months ended | Year ended December 31 | ||||||||||||||||||||||
including mortgage dollar roll transactions17 | June 30, 20182,3,4 | 2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||
Global Growth Fund | 10 | % | 31 | % | 27 | % | 29 | % | 22 | % | 39 | % | ||||||||||||
Global Small Capitalization Fund | 16 | 33 | 40 | 36 | 28 | 36 | ||||||||||||||||||
Growth Fund | 11 | 24 | 26 | 20 | 29 | 19 | ||||||||||||||||||
International Fund | 16 | 29 | 31 | 37 | 18 | 21 | ||||||||||||||||||
New World Fund | 19 | 56 | 32 | 39 | 36 | 43 | ||||||||||||||||||
Blue Chip Income and Growth Fund | 29 | 34 | 30 | 26 | 37 | 30 | ||||||||||||||||||
Global Growth and Income Fund | 14 | 41 | 57 | 37 | 28 | 31 | ||||||||||||||||||
Growth-Income Fund | 17 | 27 | 27 | 25 | 25 | 19 | ||||||||||||||||||
International Growth and Income Fund | 20 | 51 | 32 | 35 | 34 | 34 | ||||||||||||||||||
Capital Income Builder | 56 | 88 | 53 | 128 | 35 | 4,11 | ||||||||||||||||||
Asset Allocation Fund | 41 | 85 | 83 | 76 | 88 | 74 | ||||||||||||||||||
Global Balanced Fund | 26 | 41 | 65 | 76 | 73 | 81 | ||||||||||||||||||
Bond Fund | 269 | 502 | 375 | 434 | 365 | 354 | ||||||||||||||||||
Global Bond Fund | 72 | 105 | 154 | 159 | 200 | 213 | ||||||||||||||||||
High-Income Bond Fund | 33 | 78 | 89 | 66 | 54 | 64 | ||||||||||||||||||
Mortgage Fund | 477 | 680 | 713 | 1103 | 790 | 715 | ||||||||||||||||||
U.S. Government/AAA-Rated Securities Fund | 241 | 551 | 539 | 901 | 387 | 621 | ||||||||||||||||||
Ultra-Short Bond Fund | — | 18 | — | 18 | — | 13,18 | N/A | N/A | N/A | |||||||||||||||
Managed Risk Growth Fund | 5 | 25 | 15 | 16 | 22 | 10 | 2,4,16 | |||||||||||||||||
Managed Risk International Fund | 6 | 25 | 26 | 15 | 22 | 6 | 2,4,16 | |||||||||||||||||
Managed Risk Blue Chip Income and Growth Fund | 7 | 32 | 9 | 20 | 22 | 3 | 2,4,16 | |||||||||||||||||
Managed Risk Growth-Income Fund | 4 | 26 | 14 | 11 | 28 | 2 | 2,4,16 | |||||||||||||||||
Managed Risk Asset Allocation Fund | 1 | 1 | 3 | 3 | 3 | 3 |
1 | Based on average shares outstanding. |
2 | Based on operations for a period that is less than a full year. |
3 | Unaudited. |
4 | Not annualized. |
5 | Annualized. |
6 | For the year ended December 31, 2014, reflects the impact of a corporate action event that resulted in a one-time increase to net investment income. If the corporate action event had not occurred, the net investment income per share and ratio of net income to average net assets would have been lower for all share classes. |
7 | Class 1A shares began investment operations on January 6, 2017. |
8 | Amount less than $1 million. |
9 | Amount less than $.01. |
10 | Amount less than .01%. |
11 | For the period May 1, 2014, commencement of operations, through December 31, 2014. |
12 | All or a significant portion of assets in this class consisted of seed capital invested by CRMC and/or its affiliates. Certain fees (including, where applicable, fees for distribution services) are not charged or accrued on these seed capital assets. If such fees were paid by the fund on seed capital assets, fund expenses would have been higher and net income and total return would have been lower. |
13 | On May 1, 2016, the fund converted from a cash fund to an ultra-short-term bond fund and changed its name from Cash Management Fund to Ultra-Short Bond Fund. |
14 | This column reflects the impact of certain waivers/reimbursements by CRMC. CRMC waived a portion of investment advisory services and reimbursed a portion of miscellaneous fees and expenses for some of the managed risk funds. |
15 | Ratio reflects weighted average net expense ratio of the underlying fund for the period presented. See Expense Example for further information regarding fees and expenses. |
16 | For the period May 1, 2013, commencement of operations, through December 31, 2013. |
17 | Refer to Note 5 for further information on mortgage dollar rolls. |
18 | Amount is either less than 1% or there is no turnover. |
See Notes to Financial Statements
American Funds Insurance Series | 203 |
Expense example | unaudited |
The funds in American Funds Insurance Series serve as the underlying investment vehicle for various insurance products. As an owner of an insurance contract that invests in one of the funds in the series, you incur two types of costs: (1) transaction costs, such as initial sales charges on purchase payments and contingent deferred sales charges on redemptions (loads), and (2) ongoing costs, including management fees, distribution and service (12b-1) fees, and other expenses. Additional fees are charged by the insurance companies related to the various benefits they provide. This example is intended to help you understand your ongoing costs (in dollars) of investing in the underlying funds so you can compare these costs with the ongoing costs of investing in other mutual funds that serve a similar function in other annuity products. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period (January 1, 2018, through June 30, 2018).
Actual expenses:
The first line of each share class in the table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses paid during period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes:
The second line of each share class in the table on the following pages provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio for the share class and an assumed rate of return of 5.00% per year before expenses, which is not the actual return of the share class. 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 fund and other funds. To do so, compare this 5.00% hypothetical example with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Notes:
Additional fees are charged by the insurance companies related to the various benefits they provide. You can estimate the impact of these fees by adding the amount of the fees to the total estimated expenses you paid on your account during the period as calculated above. In addition, your ending account value would be lower by the amount of these fees.
Note that the expenses shown in the table on the following pages are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of each share class in the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
204 | American Funds Insurance Series |
Beginning | Ending | Expenses | Annualized | |||||||||||||
account value | account value | paid during | expense | |||||||||||||
1/1/2018 | 6/30/2018 | period1 | ratio | |||||||||||||
Global Growth Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,031.77 | $ | 2.72 | .54 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.12 | 2.71 | .54 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,030.66 | 3.98 | .79 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.88 | 3.96 | .79 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,030.27 | 3.98 | .79 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.88 | 3.96 | .79 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,029.16 | 5.23 | 1.04 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.64 | 5.21 | 1.04 | ||||||||||||
Global Small Capitalization Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,045.83 | $ | 3.70 | .73 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.17 | 3.66 | .73 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,044.90 | 4.92 | .97 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,019.98 | 4.86 | .97 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,044.62 | 4.97 | .98 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,019.93 | 4.91 | .98 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,043.26 | 6.23 | 1.23 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||
Growth Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,099.51 | $ | 1.77 | .34 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.11 | 1.71 | .34 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,098.14 | 3.07 | .59 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.87 | 2.96 | .59 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,098.28 | 3.07 | .59 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.87 | 2.96 | .59 | ||||||||||||
Class 3 – actual return | 1,000.00 | 1,098.63 | 2.71 | .52 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.22 | 2.61 | .52 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,096.83 | 4.37 | .84 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.63 | 4.21 | .84 | ||||||||||||
International Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 999.79 | $ | 2.58 | .52 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.22 | 2.61 | .52 | ||||||||||||
Class 1A – actual return | 1,000.00 | 998.70 | 3.82 | .77 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.98 | 3.86 | .77 | ||||||||||||
Class 2 – actual return | 1,000.00 | 998.45 | 3.82 | .77 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.98 | 3.86 | .77 | ||||||||||||
Class 3 – actual return | 1,000.00 | 999.00 | 3.47 | .70 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,021.32 | 3.51 | .70 | ||||||||||||
Class 4 – actual return | 1,000.00 | 997.25 | 5.05 | 1.02 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.74 | 5.11 | 1.02 | ||||||||||||
New World Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 961.10 | $ | 3.65 | .75 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.08 | 3.76 | .75 | ||||||||||||
Class 1A – actual return | 1,000.00 | 960.11 | 4.86 | 1.00 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Class 2 – actual return | 1,000.00 | 959.91 | 4.86 | 1.00 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Class 4 – actual return | 1,000.00 | 958.72 | 6.07 | 1.25 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,018.60 | 6.26 | 1.25 |
See end of tables for footnotes.
American Funds Insurance Series | 205 |
Beginning | Ending | Expenses | Annualized | |||||||||||||
account value | account value | paid during | expense | |||||||||||||
1/1/2018 | 6/30/2018 | period1 | ratio | |||||||||||||
Blue Chip Income and Growth Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,004.71 | $ | 2.04 | .41 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.76 | 2.06 | .41 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,003.23 | 3.28 | .66 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.52 | 3.31 | .66 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,002.92 | 3.28 | .66 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.52 | 3.31 | .66 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,001.37 | 4.52 | .91 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.28 | 4.56 | .91 | ||||||||||||
Global Growth and Income Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 992.10 | $ | 3.06 | .62 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.72 | 3.11 | .62 | ||||||||||||
Class 1A – actual return | 1,000.00 | 990.11 | 4.29 | .87 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.48 | 4.36 | .87 | ||||||||||||
Class 2 – actual return | 1,000.00 | 991.02 | 4.29 | .87 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.48 | 4.36 | .87 | ||||||||||||
Class 4 – actual return | 1,000.00 | 988.75 | 5.52 | 1.12 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.24 | 5.61 | 1.12 | ||||||||||||
Growth-Income Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,065.81 | $ | 1.43 | .28 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.41 | 1.40 | .28 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,064.62 | 2.71 | .53 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,022.17 | 2.66 | .53 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,064.43 | 2.71 | .53 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,022.17 | 2.66 | .53 | ||||||||||||
Class 3 – actual return | 1,000.00 | 1,065.03 | 2.36 | .46 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.51 | 2.31 | .46 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,063.25 | 3.99 | .78 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.93 | 3.91 | .78 | ||||||||||||
International Growth and Income Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 981.29 | $ | 3.19 | .65 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.57 | 3.26 | .65 | ||||||||||||
Class 1A – actual return | 1,000.00 | 979.96 | 4.42 | .90 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.33 | 4.51 | .90 | ||||||||||||
Class 2 – actual return | 1,000.00 | 980.25 | 4.42 | .90 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.33 | 4.51 | .90 | ||||||||||||
Class 4 – actual return | 1,000.00 | 978.77 | 5.64 | 1.15 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.09 | 5.76 | 1.15 | ||||||||||||
Capital Income Builder | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 978.89 | $ | 2.60 | .53 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.17 | 2.66 | .53 | ||||||||||||
Class 1A – actual return | 1,000.00 | 977.74 | 3.82 | .78 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.93 | 3.91 | .78 | ||||||||||||
Class 2 – actual return | 1,000.00 | 976.82 | 3.82 | .78 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.93 | 3.91 | .78 | ||||||||||||
Class 4 – actual return | 1,000.00 | 976.42 | 5.05 | 1.03 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.69 | 5.16 | 1.03 |
206 | American Funds Insurance Series |
Beginning | Ending | Expenses | Annualized | |||||||||||||
account value | account value | paid during | expense | |||||||||||||
1/1/2018 | 6/30/2018 | period1 | ratio | |||||||||||||
Asset Allocation Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,011.43 | $ | 1.40 | .28 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.41 | 1.40 | .28 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,009.98 | 2.64 | .53 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,022.17 | 2.66 | .53 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,009.82 | 2.64 | .53 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,022.17 | 2.66 | .53 | ||||||||||||
Class 3 – actual return | 1,000.00 | 1,010.71 | 2.29 | .46 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.51 | 2.31 | .46 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,008.65 | 3.88 | .78 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.93 | 3.91 | .78 | ||||||||||||
Global Balanced Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 995.29 | $ | 3.46 | .70 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,021.32 | 3.51 | .70 | ||||||||||||
Class 1A – actual return | 1,000.00 | 994.51 | 4.75 | .96 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.03 | 4.81 | .96 | ||||||||||||
Class 2 – actual return | 1,000.00 | 994.49 | 4.70 | .95 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.08 | 4.76 | .95 | ||||||||||||
Class 4 – actual return | 1,000.00 | 992.88 | 5.93 | 1.20 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Bond Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 982.41 | $ | 1.87 | .38 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.91 | 1.91 | .38 | ||||||||||||
Class 1A – actual return | 1,000.00 | 981.35 | 3.09 | .63 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.67 | 3.16 | .63 | ||||||||||||
Class 2 – actual return | 1,000.00 | 980.84 | 3.09 | .63 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.67 | 3.16 | .63 | ||||||||||||
Class 4 – actual return | 1,000.00 | 980.58 | 4.32 | .88 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.43 | 4.41 | .88 | ||||||||||||
Global Bond Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 984.61 | $ | 2.76 | .56 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.02 | 2.81 | .56 | ||||||||||||
Class 1A – actual return | 1,000.00 | 984.53 | 3.94 | .80 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,020.83 | 4.01 | .80 | ||||||||||||
Class 2 – actual return | 1,000.00 | 984.07 | 3.98 | .81 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,020.78 | 4.06 | .81 | ||||||||||||
Class 4 – actual return | 1,000.00 | 982.94 | 5.26 | 1.07 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.49 | 5.36 | 1.07 |
See end of tables for footnotes.
American Funds Insurance Series | 207 |
Beginning | Ending | Expenses | Annualized | |||||||||||||
account value | account value | paid during | expense | |||||||||||||
1/1/2018 | 6/30/2018 | period1 | ratio | |||||||||||||
High-Income Bond Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,004.83 | $ | 2.44 | .49 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.36 | 2.46 | .49 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,003.71 | 3.63 | .73 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.17 | 3.66 | .73 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,003.46 | 3.68 | .74 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.12 | 3.71 | .74 | ||||||||||||
Class 3 – actual return | 1,000.00 | 1,003.52 | 3.33 | .67 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,021.47 | 3.36 | .67 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,002.74 | 4.92 | .99 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,019.89 | 4.96 | .99 | ||||||||||||
Mortgage Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 987.90 | $ | 2.27 | .46 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,022.51 | 2.31 | .46 | ||||||||||||
Class 1A – actual return | 1,000.00 | 986.87 | 3.45 | .70 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.32 | 3.51 | .70 | ||||||||||||
Class 2 – actual return | 1,000.00 | 987.45 | 3.50 | .71 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.27 | 3.56 | .71 | ||||||||||||
Class 4 – actual return | 1,000.00 | 986.21 | 4.73 | .96 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.03 | 4.81 | .96 | ||||||||||||
Ultra-Short Bond Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 1,006.47 | $ | 1.64 | .33 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.16 | 1.66 | .33 | ||||||||||||
Class 1A – actual return | 1,000.00 | 1,006.48 | 1.64 | .33 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,023.16 | 1.66 | .33 | ||||||||||||
Class 2 – actual return | 1,000.00 | 1,005.28 | 2.88 | .58 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.92 | 2.91 | .58 | ||||||||||||
Class 3 – actual return | 1,000.00 | 1,006.28 | 2.54 | .51 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.27 | 2.56 | .51 | ||||||||||||
Class 4 – actual return | 1,000.00 | 1,004.73 | 4.13 | .83 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.68 | 4.16 | .83 | ||||||||||||
U.S. Government/AAA-Rated Securities Fund | ||||||||||||||||
Class 1 – actual return | $ | 1,000.00 | $ | 989.20 | $ | 1.78 | .36 | % | ||||||||
Class 1 – assumed 5% return | 1,000.00 | 1,023.01 | 1.81 | .36 | ||||||||||||
Class 1A – actual return | 1,000.00 | 987.50 | 2.96 | .60 | ||||||||||||
Class 1A – assumed 5% return | 1,000.00 | 1,021.82 | 3.01 | .60 | ||||||||||||
Class 2 – actual return | 1,000.00 | 987.82 | 3.01 | .61 | ||||||||||||
Class 2 – assumed 5% return | 1,000.00 | 1,021.77 | 3.06 | .61 | ||||||||||||
Class 3 – actual return | 1,000.00 | 988.07 | 2.66 | .54 | ||||||||||||
Class 3 – assumed 5% return | 1,000.00 | 1,022.12 | 2.71 | .54 | ||||||||||||
Class 4 – actual return | 1,000.00 | 986.66 | 4.24 | .86 | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,020.53 | 4.31 | .86 |
208 | American Funds Insurance Series |
Beginning | Ending | Expenses | Effective | Effective | ||||||||||||||||||||
account value | account value | paid during | Annualized | expenses paid | annualized | |||||||||||||||||||
1/1/2018 | 6/30/2018 | period1,2 | expense ratio2 | during period3 | expense ratio4 | |||||||||||||||||||
Managed Risk Growth Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 1,054.08 | $ | 1.83 | .36 | % | $ | 3.62 | .71 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.01 | 1.81 | .36 | 3.56 | .71 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 1,052.61 | 3.16 | .62 | 4.94 | .97 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.72 | 3.11 | .62 | 4.86 | .97 | ||||||||||||||||||
Managed Risk International Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 995.01 | $ | 1.04 | .21 | % | $ | 3.46 | .70 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.75 | 1.05 | .21 | 3.51 | .70 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 992.36 | 3.06 | .62 | 5.48 | 1.11 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.72 | 3.11 | .62 | 5.56 | 1.11 | ||||||||||||||||||
Managed Risk Blue Chip Income and Growth Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 981.97 | $ | 1.08 | .22 | % | $ | 3.00 | .61 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.70 | 1.10 | .22 | 3.06 | .61 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 979.60 | 3.04 | .62 | 4.96 | 1.01 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.72 | 3.11 | .62 | 5.06 | 1.01 | ||||||||||||||||||
Managed Risk Growth-Income Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 1,034.70 | $ | 1.82 | .36 | % | $ | 3.28 | .65 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.01 | 1.81 | .36 | 3.26 | .65 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 1,033.87 | 3.13 | .62 | 4.59 | .91 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.72 | 3.11 | .62 | 4.56 | .91 | ||||||||||||||||||
Managed Risk Asset Allocation Fund | ||||||||||||||||||||||||
Class P1 – actual return | $ | 1,000.00 | $ | 998.57 | $ | 1.78 | .36 | % | $ | 3.17 | .64 | % | ||||||||||||
Class P1 – assumed 5% return | 1,000.00 | 1,023.01 | 1.81 | .36 | 3.21 | .64 | ||||||||||||||||||
Class P2 – actual return | 1,000.00 | 997.44 | 3.02 | .61 | 4.41 | .89 | ||||||||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.77 | 3.06 | .61 | 4.46 | .89 |
1 | The “expenses paid during period” are equal to the “annualized expense ratio,” multiplied by the average account value over the period, multiplied by the number of days in the period, and divided by 365 (to reflect the one-half year period). |
2 | The “expenses paid during period” and “annualized expense ratio” do not include the expenses of the underlying funds in which each fund invests. |
3 | The “effective expenses paid during period” are equal to the “effective annualized expense ratio,” multiplied by the average account value over the period, multiplied by the number of days in the period, and divided by 365 (to reflect the period). |
4 | The “effective annualized expense ratio” reflects the net annualized expense ratio of the class plus the class’s pro-rata share of the weighted average expense ratio of the underlying funds in which it invests. |
American Funds Insurance Series | 209 |
This page was intentionally left blank.
210 | American Funds Insurance Series |
This page was intentionally left blank.
American Funds Insurance Series | 211 |
Offices of the series and of the investment adviser
Capital Research and Management Company
333 South Hope Street
Los Angeles, CA 90071-1406
6455 Irvine Center Drive
Irvine, CA 92618-4518
Investment subadviser
Milliman Financial Risk Management LLC
(Managed Risk Funds only)
71 South Wacker Drive, 31st Floor
Chicago, IL 60606
Custodians of assets
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Bank of New York Mellon
(Managed Risk Funds only)
One Wall Street
New York, NY 10286
Counsel
Morgan, Lewis & Bockius LLP
300 South Grand Avenue, 22nd Floor
Los Angeles, CA 90071-3132
Independent registered public accounting firm
PricewaterhouseCoopers LLP
601 South Figueroa Street
Los Angeles, CA 90017-3874
212 | American Funds Insurance Series |
Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the series’ prospectuses and summary prospectuses, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at (800) 421-4225 or visit the American Funds website at americanfunds.com. Fund shares offered through American Funds Distributors, Inc.
“American Funds Proxy Voting Procedures and Principles” — which describes how we vote proxies relating to portfolio securities — is available on the American Funds website or upon request by calling AFS. The series files its proxy voting record with the U.S. Securities and Exchange Commission (SEC) for the 12 months ended June 30 by August 31. The proxy voting record is available free of charge on the SEC website at sec.gov and on the American Funds website.
Complete June 30, 2018, portfolios of American Funds Insurance Series investments are available free of charge by calling AFS or visiting the SEC website (where they are part of Form N-CSR).
American Funds Insurance Series files a complete list of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This filing is available free of charge on the SEC website. You may also review or, for a fee, copy this filing at the SEC’s Public Reference Room in Washington, D.C. Additional information regarding the operation of the Public Reference Room may be obtained by calling the SEC’s Office of Investor Education and Advocacy at (800) SEC-0330. Additionally, the list of portfolio holdings is available by calling AFS.
This report is for the information of American Funds Insurance Series investors, but it also may be used as sales literature when preceded or accompanied by the current prospectuses or summary prospectuses for American Funds Insurance Series and the prospectus for the applicable insurance contract, which give details about charges, expenses, investment objectives and operating policies of the series. If used as sales material after September 30, 2018, this report must be accompanied by a statistical update for the most recently completed calendar quarter.
Fund attribution data was produced using FactSet, a third-party software system, based on daily portfolios. Securities in their initial period of acquisition may not be included in this analysis. The analysis includes equity investments only and excludes forward contracts and fixed income investments, if applicable. It does not account for buy-and-sell transactions that might have occurred intraday. As a result, average portfolio weight percentages are approximate and the actual average portfolio weight percentages might be higher or lower. Data elements, such as pricing, income, market cap, etc., were provided by FactSet. The indexes provided for attribution are based on FactSet’s methodology. The indexes are broad-based market benchmarks and may not be used by Capital Group® as the sole comparative index for the funds. Capital Group believes the software and information from FactSet to be reliable. However, Capital Group cannot be responsible for inaccuracies, incomplete information or updating of information by FactSet.
Futures may not provide an effective hedge of the underlying securities because changes in the prices of futures may not track those of the securities they are intended to hedge. In addition, the managed risk strategy may not effectively protect the fund from market declines and will limit the fund’s participation in market gains. The use of the managed risk strategy could cause the fund’s return to lag that of the underlying fund in certain market conditions.
Bloomberg® is a trademark and service mark of Bloomberg Finance L.P. (collectively with its affiliates, “Bloomberg”). Barclays® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approve or endorse this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products. The S&P 500 is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Capital Group. Copyright © 2018 S&P Dow Jones Indices LLC, a division of S&P Global, and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part is prohibited without written permission of S&P Dow Jones Indices LLC.
The Capital Advantage®
Since 1931, American Funds® by Capital Group has helped investors pursue long-term investment success. Our consistent approach — in combination with The Capital SystemSM — has resulted in a superior long-term track record for American Funds Insurance Series®.
Aligned with investor success
We base our decisions on a long-term perspective, which we believe aligns our goals with the interests of our clients. American Funds Insurance Series portfolio managers average 27 years of investment experience, including 22 years at our company, reflecting a career commitment to our long-term approach.1
The Capital System
The Capital System combines individual accountability with teamwork. Funds using The Capital System are divided into portions that are managed independently by investment professionals with diverse backgrounds, ages and investment approaches. An extensive global research effort is the backbone of our system.
Superior long-term track record
American Funds Insurance Series equity funds have beaten their comparable Lipper indexes in 93% of 10-year periods and 100% of 20-year periods. Our fixed income funds have beaten comparable Lipper indexes in 69% of 10-year periods and 84% of 20-year periods.2 We strive to keep management fees competitive. Over the past 20 years, most funds’ fees have been below industry averages.3
1 | Portfolio manager experience as of the American Funds Insurance Series prospectus dated May 1, 2018. | |
2 | Based on Class 1 share results for rolling periods through December 31, 2017. Periods covered are the shorter of the fund’s lifetime or since the comparable Lipper index inception date. The comparable Lipper indexes are: Global Funds Index (Global Growth Fund), Growth Funds Index (Growth Fund), International Funds Index (International Fund), Emerging Markets Funds Index (New World Fund), Growth & Income Funds Index (Blue Chip Income and Growth Fund, Growth-Income Fund), Balanced Portfolio Funds Index (Asset Allocation Fund), Core Bond Funds Index (Bond Fund), High Yield Funds Index (High-Income Bond Fund) and General U.S. Government Funds Index (U.S. Government/AAA-Rated Securities Fund). The Lipper Global Small-/Mid-Cap Funds Average was used for Global Small Capitalization Fund. | |
3 | Based on management fees for the 20-year period ended December 31, 2017, versus comparable Lipper categories, excluding funds of funds. |
Lit. No. INGESRX-998-0818P Litho in USA RCG/QD/6311-S66290
American Funds
Semi-annual report |
Portfolios that invest
in global companies
for the long term.
American Funds Insurance Series — Portfolio Series, by Capital Group, is the underlying investment vehicle for variable annuities and insurance products. For more than 85 years, Capital has invested with a long-term focus based on thorough research and attention to risk.
American Funds Global Growth PortfolioSM seeks to provide long-term growth of capital.
American Funds Growth and Income PortfolioSM seeks to provide long-term growth of capital while providing current income.
American Funds Managed Risk Growth PortfolioSM seeks to provide long-term growth of capital while seeking to manage volatility and provide downside protection.
American Funds Managed Risk Growth and Income PortfolioSM seeks to provide long-term growth of capital and current income while seeking to manage volatility and provide downside protection.
American Funds Managed Risk Global Allocation PortfolioSM seeks to provide high total return (including income and capital gains) consistent with preservation of capital over the long term while seeking to manage volatility and provide downside protection.
Investing for short periods makes losses more likely. For current information and month-end results, visit americanfunds.com/afis. For information about your insurance contract and month-end results, go to the website of the company that issued your contract.
Here are the average annual total returns on a $1,000 investment with all distributions reinvested for periods ended June 30, 2018. Also shown are the estimated gross and net expense ratios as of the series prospectus dated May 1, 2018:
1 year | Lifetime (since 5/1/15) | Gross expense ratio | Net expense ratio | |||||||||||||
American Funds Global Growth Portfolio, Class 4 | 12.18 | % | 8.07 | % | 1.24 | % | 1.18 | % | ||||||||
American Funds Growth and Income Portfolio, Class 4 | 7.79 | 5.85 | .97 | .97 | ||||||||||||
American Funds Managed Risk Growth Portfolio, Class P2 | 10.44 | 5.61 | 1.07 | 1.02 | ||||||||||||
American Funds Managed Risk Growth and Income Portfolio, Class P2 | 6.78 | 4.30 | 1.12 | 1.07 | ||||||||||||
American Funds Managed Risk Global Allocation Portfolio, Class P2 | 6.62 | 3.58 | 1.26 | 1.19 |
Investment results assume all distributions are reinvested and reflect applicable fees and expenses. The investment adviser is currently waiving a portion of its management fee equal to 0.05% of the funds’ net assets for the three managed risk portfolios. In addition, the investment adviser is currently reimbursing a portion of the other expenses for American Funds Global Growth Portfolio and American Funds Managed Risk Global Allocation Portfolio. Investment results and net expense ratios shown reflect the waiver and reimbursement, without which the results would have been lower and the expenses would have been higher. This waiver and reimbursement will be in effect through at least May 1, 2019, unless modified or terminated by the series board. The adviser may elect at its discretion to extend, modify or terminate the reimbursement at that time. The waiver may only be modified or terminated with the approval of the series board. Refer to the series’ most recent prospectus for details.
Investment allocations may not achieve fund objectives. There are expenses associated with the underlying funds in addition to fund of funds expenses. The funds’ risks are directly related to the risks of the underlying funds. Underlying fund allocations are as of June 30, 2018. Allocation percentages and underlying funds are subject to the Portfolio Oversight Committee’s discretion and will evolve over time. Underlying funds may be added or removed during the year. Investing outside the United States involves risks such as currency fluctuations, periods of illiquidity and price volatility, as more fully described in the funds’ prospectuses. These risks may be heightened in connection with investments in developing countries. Small-company stocks entail additional risks, and they can fluctuate in price more than larger company stocks. The return of principal for bond funds and funds with significant underlying bond holdings is not guaranteed. Fund shares are subject to the same interest rate, inflation and credit risks associated with the underlying bond holdings. Lower rated bonds are subject to greater fluctuations in value and risk of loss of income and principal than higher rated bonds. Futures contracts may not provide an effective hedge of the underlying securities because changes in the prices of futures contracts may not track those of the securities they are intended to hedge. In addition, the managed risk strategy may not effectively protect the funds from market declines and will limit the funds’ participation in market gains. The use of the managed risk strategy could cause the funds’ returns to lag those of the applicable underlying funds in certain rising market conditions. Refer to the funds’ prospectuses and the Risk Factors section of this report for more information on these and other risks associated with investing in the funds.
Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.
Contents
We are pleased to present this semi-annual report for American Funds Insurance Series (AFIS) — Portfolio Series, a suite of funds that offers variable annuity investors objective-based portfolios to help meet retirement goals. The series was created by the American Funds Portfolio Oversight Committee, a group of seasoned investment professionals with varied backgrounds, diverse investment approaches and decades of experience. In creating the series, the Committee carefully chose a mix of individual American Funds Insurance Series funds, employing an objective-based process and rigorous analysis. The Committee regularly monitors each fund in the series.
Strong corporate earnings boosted U.S. stocks early in the period as the economy continued to expand for the 10th consecutive year. Investor sentiment shifted abruptly in February and March when equity markets fell sharply over escalating trade tensions, inflationary pressures and higher interest rates. Since then, U.S. stocks started rising again on the back of positive earnings growth. Despite the onset of occasional volatility, global economic activity remained on solid footing and continued to accelerate. The U.S., Europe, Japan and China all enjoyed a solid period of synchronized growth. The Federal Reserve increased interest rates in March and June to a range of 1.75% and 2.00%, and signaled that two additional hikes were likely before the end of the year. Other factors, including global trade conflicts, helped prevent longer dated Treasury yields from rising further.
For the six months ended June 30, 2018, the Standard & Poor’s 500 Composite Index1, a market capitalization-weighted index based on the results of approximately 500 widely held common stocks, increased 2.65%. The Bloomberg Barclays U.S. Aggregate Index2, which measures investment-grade U.S. bonds (rated BBB/Baa and above)3, lost 1.62%, while the Bloomberg Barclays Global Aggregate Index2, a measure of global investment-grade bonds (rated BBB/Baa and above)3, declined 1.46%.
Though brief, the period was an excellent one for the series. All but one of the portfolios, American Funds Managed Risk Global Allocation Portfolio, recorded positive returns for the six months ended June 30, 2018, but it nonetheless managed to beat its respective benchmark index.
See page 2 for footnotes.
American Funds Insurance Series – Portfolio Series | 1 |
American Funds Global Growth Portfolio rose 1.12%. By comparison, the MSCI ACWI (All Country World Index)4, a free float-adjusted, market capitalization-weighted index designed to measure the results of more than 40 developed and emerging equity markets, declined 0.43%.
American Funds Growth and Income Portfolio gained 1.37%. The 70%/30% Blended Index5 climbed 1.42%.
American Funds Managed Risk Growth Portfolio recorded a return of 2.18%. In comparison, the Standard & Poor’s 500 Managed Risk Index — Moderate6 rose 0.49%.
American Funds Managed Risk Growth and Income Portfolio marginally increased by 0.03%. The Standard & Poor’s 500 Managed Risk Index — Moderate6 ticked up 0.49%.
American Funds Managed Risk Global Allocation Portfolio declined 0.43%. The Standard & Poor’s Global LargeMidCap Managed Risk Index — Moderate6 fell 0.76%.
Historically, stock markets have experienced periods of volatility. With that in mind, it is important to note that the managed risk portfolios employ a risk management overlay. As such, the portfolios may lag in a strong market environment, but they have been designed to reduce volatility and provide downside protection, which can be very beneficial to certain investors.
Thank you for your interest in AFIS — Portfolio Series. We look forward to reporting to you again at fiscal year-end.
Sincerely,
Donald D. O’Neal
Vice Chairman of the Board
Alan N. Berro
President
August 15, 2018
The market indexes shown are unmanaged and, therefore, have no expenses. Investors cannot invest directly in an index.
1 | S&P 500 source: S&P Dow Jones Indices LLC. |
2 | Bloomberg Barclays source: Bloomberg Index Services Ltd. |
3 | Bond ratings, which typically range from AAA/Aaa (highest) to D (lowest) are assigned by credit rating agencies such as Standard & Poor’s, Moody’s and/or Fitch as an indication of an issuer’s creditworthiness. |
4 | MSCI index results reflect dividends net of withholding taxes. Source: MSCI. |
5 | The 70%/30% Blended Index weights the total returns of the S&P 500 and Bloomberg Barclays U.S. Aggregate indexes at the corresponding percentages. |
6 | Source: S&P Dow Jones Indices LLC. The Standard & Poor’s Managed Risk Index Series is designed to simulate a dynamic protective portfolio that allocates between the underlying equity index and cash, based on realized volatilities of the underlying equity and bond indices, while maintaining a fixed allocation to the underlying bond index. These indices are generated and published under agreements between Standard and Poor’s Dow Jones Indices and Milliman Financial Risk Management LLC. |
2 | American Funds Insurance Series – Portfolio Series |
American Funds Global Growth Portfolio
Underlying allocations as of 6/30/18: | ||
30.0% | Global Growth Fund | |
9.9% | Global Small Capitalization Fund | |
10.0% | Growth Fund | |
20.0% | New World Fund® | |
30.1% | Global Growth and Income Fund |
The fund’s investment objective is to provide long-term growth of capital. The fund will attempt to achieve its investment objective by investing in a mix of American Funds Insurance Series Funds (AFIS) in different combinations and weightings. The underlying AFIS funds will primarily consist of growth funds. The fund may also invest in growth-and-income funds. Through its investments in the underlying funds, the fund will have significant exposure to growth-oriented common stocks.
For the six months ended June 30, 2018, the fund’s shares had a return of 1.12%.
American Funds Growth and Income Portfolio
Underlying allocations as of 6/30/18: | ||
15.0% | Growth Fund | |
9.9% | Global Growth and Income Fund | |
20.0% | Growth-Income Fund | |
25.0% | Capital Income Builder® | |
20.1% | Bond Fund | |
10.0% | Global Bond Fund |
The fund’s investment objective is to provide long-term growth of capital while providing current income. The fund will attempt to achieve its investment objective by investing in a mix of AFIS funds in different combinations and weightings. The underlying AFIS funds will primarily consist of equity funds in the growth, growth-and-income and equity-income categories. However, the fund may also invest in fixed income funds.
For the six months ended June 30, 2018, the fund’s shares had a return of 1.37%.
American Funds Managed Risk Growth Portfolio
Underlying allocations as of 6/30/18: | ||
10.0% | Global Small Capitalization Fund | |
25.4% | Growth Fund | |
10.2% | International Fund | |
10.2% | Blue Chip Income and Growth Fund | |
20.4% | Growth-Income Fund | |
20.6% | Bond Fund | |
3.2% | Cash & equivalents in support of managed risk strategy*,† |
The fund’s investment objective is to provide long-term growth of capital while seeking to manage volatility and provide downside protection. The fund will attempt to achieve its investment objective by investing in a mix of AFIS funds in different combinations and weightings, while seeking to manage portfolio volatility and to provide downside protection primarily through the use of exchange-traded futures contracts. The underlying AFIS funds will primarily consist of growth funds. The fund may also invest in growth-and-income and fixed income funds.
For the six months ended June 30, 2018, the fund’s shares had a return of 2.18%.
See page 4 for footnotes.
American Funds Insurance Series – Portfolio Series | 3 |
American Funds Managed Risk Growth and Income Portfolio
Underlying allocations as of 6/30/18: | ||
15.2% | Growth Fund | |
20.3% | Global Growth and Income Fund | |
20.3% | Growth-Income Fund | |
25.5% | Capital Income Builder® | |
7.7% | Bond Fund | |
7.7% | Global Bond Fund | |
3.3% | Cash & equivalents in support of managed risk strategy*,† |
The fund’s investment objective is to provide long-term growth of capital and current income while seeking to manage volatility and provide downside protection. The fund will attempt to achieve its investment objective by investing in a mix of AFIS funds in different combinations and weightings, while seeking to manage portfolio volatility and to provide downside protection primarily through the use of exchange-traded futures contracts. The underlying AFIS funds will primarily consist of equity funds in the growth, growth-and-income and equity-income categories. However, the fund may also invest in fixed income funds.
For the six months ended June 30, 2018, the fund’s shares had a return of 0.03%.
American Funds Managed Risk Global Allocation Portfolio
Underlying allocations as of 6/30/18: | ||
15.1% | Global Growth Fund | |
10.1% | International Fund | |
20.1% | Global Growth and Income Fund | |
10.0% | Asset Allocation Fund | |
25.1% | Global Balanced Fund | |
15.1% | Global Bond Fund | |
4.5% | Cash & equivalents in support of managed risk strategy*,† |
The fund’s investment objective is to provide high total return (including income and capital gains) consistent with preservation of capital over the long term while seeking to manage volatility and provide downside protection. The fund will attempt to achieve its investment objective by investing in a mix of AFIS funds in different combinations and weightings, while seeking to manage portfolio volatility and to provide downside protection primarily through the use of exchange-traded futures contracts. The underlying AFIS funds may include growth, growth-and-income, equity income, balanced, asset allocation and fixed income funds.
For the six months ended June 30, 2018, the fund’s shares fell 0.43%.
The Portfolio Series funds are actively monitored; allocations and funds may change.
* | Cash and equivalents includes short-term securities, accrued income and other assets less liabilities. |
† | The managed risk strategy is operated by Milliman Financial Risk Management LLC. Futures contracts may not provide an effective hedge of the underlying securities because changes in the prices of futures contracts may not track those of the securities they are intended to hedge. In addition, the managed risk strategy may not effectively protect the fund from market declines and will limit the fund’s participation in market gains. The use of the managed risk strategy could cause the fund’s return to lag that of the underlying funds in certain rising market conditions. |
4 | American Funds Insurance Series – Portfolio Series |
American Funds Global Growth Portfolio | |
Investment portfolio June 30, 2018 | unaudited |
Growth funds 70.00% | Shares | Value (000) | ||||||
American Funds Insurance Series - Global Growth Fund, Class 1 | 374,479 | $ | 11,002 | |||||
American Funds Insurance Series - New World Fund, Class 1 | 309,353 | 7,307 | ||||||
American Funds Insurance Series - Growth Fund, Class 1 | 47,530 | 3,677 | ||||||
American Funds Insurance Series - Global Small Capitalization Fund, Class 1 | 142,528 | 3,624 | ||||||
Total growth funds (cost: $23,986,000) | 25,610 | |||||||
Growth-and-income funds 30.08% | ||||||||
American Funds Insurance Series - Global Growth and Income Fund, Class 1 | 758,793 | 11,003 | ||||||
Total growth-and-income funds (cost: $10,847,000) | 11,003 | |||||||
Total investment securities 100.08% (cost: $34,833,000) | 36,613 | |||||||
Other assets less liabilities (0.08)% | (29 | ) | ||||||
Net assets 100.00% | $ | 36,584 |
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Net | Net | Value of | ||||||||||||||||||||||||||||||
realized | unrealized | Dividend | affiliates at | |||||||||||||||||||||||||||||
Beginning | Ending | (loss) gain | depreciation | income | 6/30/2018 | |||||||||||||||||||||||||||
shares | Additions | Reductions | shares | (000) | (000) | (000) | (000) | |||||||||||||||||||||||||
Growth funds 70.00% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series - Global Growth Fund, Class 1 | 293,679 | 95,978 | 15,178 | 374,479 | $ | (4 | ) | $ | (463 | ) | $ | 13 | $ | 11,002 | ||||||||||||||||||
American Funds Insurance Series - New World Fund, Class 1 | 236,744 | 81,715 | 9,106 | 309,353 | (5 | ) | (524 | ) | 19 | 7,307 | ||||||||||||||||||||||
American Funds Insurance Series - Growth Fund, Class 1 | 38,188 | 12,852 | 3,510 | 47,530 | (1 | ) | (35 | ) | 5 | 3,677 | ||||||||||||||||||||||
American Funds Insurance Series - Global Small Capitalization Fund, Class 1 | 117,487 | 33,338 | 8,297 | 142,528 | 1 | (10 | ) | 3 | 3,624 | |||||||||||||||||||||||
25,610 | ||||||||||||||||||||||||||||||||
Growth-and-income funds 30.08% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series - Global Growth and Income Fund, Class 1 | 567,886 | 211,390 | 20,483 | 758,793 | (5 | ) | (977 | ) | 30 | 11,003 | ||||||||||||||||||||||
Total 100.08% | $ | (14 | ) | $ | (2,009 | ) | $ | 70 | $ | 36,613 |
See Notes to Financial Statements
American Funds Insurance Series – Portfolio Series | 5 |
American Funds Growth and Income Portfolio | |
Investment portfolio June 30, 2018 | unaudited |
Growth funds 14.95% | Shares | Value (000) | ||||||
American Funds Insurance Series - Growth Fund, Class 1 | 308,553 | $ | 23,873 | |||||
Total growth funds (cost: $21,949,000) | 23,873 | |||||||
Growth-and-income funds 29.93% | ||||||||
American Funds Insurance Series - Growth-Income Fund, Class 1 | 639,637 | 31,893 | ||||||
American Funds Insurance Series - Global Growth and Income Fund, Class 1 | 1,097,945 | 15,920 | ||||||
Total growth-and-income funds (cost: $45,308,000) | 47,813 | |||||||
Equity-income and Balanced funds 25.07% | ||||||||
American Funds Insurance - Capital Income Builder, Class 1 | 4,004,928 | 40,049 | ||||||
Total equity-income and balanced funds (cost: $39,517,000) | 40,049 | |||||||
Fixed income funds 30.13% | ||||||||
American Funds Insurance Series - Bond Fund, Class 1 | 3,033,206 | 32,061 | ||||||
American Funds Insurance Series - Global Bond Fund, Class 1 | 1,382,118 | 16,074 | ||||||
Total fixed income funds (cost: $49,214,000) | 48,135 | |||||||
Total investment securities 100.08% (cost: $155,988,000) | 159,870 | |||||||
Other assets less liabilities (0.08)% | (127 | ) | ||||||
Net assets 100.00% | $ | 159,743 |
6 | American Funds Insurance Series – Portfolio Series |
American Funds Growth and Income Portfolio
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Net | Net | Value of | ||||||||||||||||||||||||||||||
realized | unrealized | Dividend | affiliates at | |||||||||||||||||||||||||||||
Beginning | Ending | gain (loss) | depreciation | income | 6/30/2018 | |||||||||||||||||||||||||||
shares | Additions | Reductions | shares | (000) | (000) | (000) | (000) | |||||||||||||||||||||||||
Growth funds 14.95% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series - Growth Fund, Class 1 | 258,406 | 62,326 | 12,179 | 308,553 | $ | 7 | $ | (223 | ) | $ | 34 | $ | 23,873 | |||||||||||||||||||
Growth-and-income funds 29.93% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series - Growth-Income Fund, Class 1 | 534,210 | 118,355 | 12,928 | 639,637 | 9 | (346 | ) | 83 | 31,893 | |||||||||||||||||||||||
American Funds Insurance Series - Global Growth and Income Fund, Class 1 | 848,766 | 262,627 | 13,448 | 1,097,945 | — | 1 | (1,390 | ) | 43 | 15,920 | ||||||||||||||||||||||
47,813 | ||||||||||||||||||||||||||||||||
Equity-income and Balanced funds 25.07% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series - Capital Income Builder, Class 1 | 3,226,866 | 850,065 | 72,003 | 4,004,928 | (13 | ) | (1,478 | ) | 602 | 40,049 | ||||||||||||||||||||||
Fixed income funds 30.13% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series - Bond Fund, Class 1 | 2,482,578 | 695,007 | 144,379 | 3,033,206 | (51 | ) | (614 | ) | 135 | 32,061 | ||||||||||||||||||||||
American Funds Insurance Series - Global Bond Fund, Class 1 | 1,132,056 | 289,597 | 39,535 | 1,382,118 | (2 | ) | (340 | ) | 37 | 16,074 | ||||||||||||||||||||||
48,135 | ||||||||||||||||||||||||||||||||
Total 100.08% | $ | (50 | ) | $ | (4,391 | ) | $ | 934 | $ | 159,870 |
1 | Amount less than one thousand. |
See Notes to Financial Statements
American Funds Insurance Series – Portfolio Series | 7 |
American Funds Managed Risk Growth Portfolio | |
Investment portfolio June 30, 2018 | unaudited |
Growth funds 45.63% | Shares | Value (000) | ||||||
American Funds Insurance Series – Growth Fund, Class 1 | 3,352,729 | $ | 259,400 | |||||
American Funds Insurance Series – International Fund, Class 1 | 5,029,698 | 103,964 | ||||||
American Funds Insurance Series – Global Small Capitalization Fund, Class 1 | 4,031,453 | 102,520 | ||||||
Total growth funds (cost: $421,112,000) | 465,884 | |||||||
Growth-and-income funds 30.58% | ||||||||
American Funds Insurance Series – Growth-Income Fund, Class 1 | 4,176,088 | 208,220 | ||||||
American Funds Insurance Series – Blue Chip Income and Growth Fund, Class 1 | 7,508,509 | 103,918 | ||||||
Total growth-and-income funds (cost: $295,055,000) | 312,138 | |||||||
Fixed income funds 20.64% | ||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 19,934,163 | 210,704 | ||||||
Total fixed income funds (cost: $217,287,000) | 210,704 | |||||||
Short-term securities 3.22% | ||||||||
Government Cash Management Fund | 32,898,362 | 32,898 | ||||||
Total short-term securities (cost: $32,898,000) | 32,898 | |||||||
Total investment securities 100.07% (cost: $966,352,000) | 1,021,624 | |||||||
Other assets less liabilities (0.07)% | (702 | ) | ||||||
Net assets 100.00% | $ | 1,020,922 |
Futures contracts
Unrealized | ||||||||||||||||||
Notional | Value at | appreciation | ||||||||||||||||
Number of | amount | 1 | 6/30/2018 | 2 | at 6/30/2018 | |||||||||||||
Contracts | Type | contracts | Expiration | (000) | (000) | (000) | ||||||||||||
5 Year U.S. Treasury Note Futures | Long | 314 | September 2018 | $31,400 | $35,676 | $159 |
8 | American Funds Insurance Series – Portfolio Series |
American Funds Managed Risk Growth Portfolio
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Net | Net | Value of | ||||||||||||||||||||||||||||||
realized | unrealized | Dividend | affiliates at | |||||||||||||||||||||||||||||
Beginning | Ending | gain (loss) | depreciation | income | 6/30/2018 | |||||||||||||||||||||||||||
shares | Additions | Reductions | shares | (000) | (000) | (000) | (000) | |||||||||||||||||||||||||
Growth funds 45.63% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Growth Fund, Class 1 | 2,900,062 | 505,291 | 52,624 | 3,352,729 | $ | 671 | $ | (2,972 | ) | $ | 373 | $ | 259,400 | |||||||||||||||||||
American Funds Insurance Series – International Fund, Class 1 | 4,185,102 | 856,700 | 12,104 | 5,029,698 | 24 | (5,210 | ) | 230 | 103,964 | |||||||||||||||||||||||
American Funds Insurance Series – Global Small Capitalization Fund, Class 1 | 3,558,907 | 481,006 | 8,460 | 4,031,453 | (13 | ) | (181 | ) | 85 | 102,520 | ||||||||||||||||||||||
465,884 | ||||||||||||||||||||||||||||||||
Growth-and-income funds 30.58% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Growth-Income Fund, Class 1 | 3,605,094 | 574,965 | 3,971 | 4,176,088 | 28 | (2,157 | ) | 548 | 208,220 | |||||||||||||||||||||||
American Funds Insurance Series – Blue Chip Income and Growth Fund, Class 1 | 6,018,449 | 1,490,060 | — | 7,508,509 | — | (7,772 | ) | 432 | 103,918 | |||||||||||||||||||||||
312,138 | ||||||||||||||||||||||||||||||||
Fixed income funds 20.64% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 16,821,550 | 3,522,361 | 409,748 | 19,934,163 | (140 | ) | (4,304 | ) | 880 | 210,704 | ||||||||||||||||||||||
Total 96.85% | $ | 570 | $ | (22,596 | ) | $ | 2,548 | $ | 988,726 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
See Notes to Financial Statements
American Funds Insurance Series – Portfolio Series | 9 |
American Funds Managed Risk Growth and Income Portfolio
Investment portfolio June 30, 2018 | unaudited |
Growth funds 15.24% | Shares | Value (000) | ||||||||
American Funds Insurance Series – Growth Fund, Class 1 | 1,857,040 | $ | 143,679 | |||||||
Total growth funds (cost: $129,288,000) | 143,679 | |||||||||
Growth-and-income funds 40.65% | ||||||||||
American Funds Insurance Series – Global Growth and Income Fund, Class 1 | 13,213,043 | 191,589 | ||||||||
American Funds Insurance Series – Growth-Income Fund, Class 1 | 3,842,541 | 191,589 | ||||||||
Total growth-and-income funds (cost: $357,238,000) | 383,178 | |||||||||
Equity-income and Balanced funds 25.54% | ||||||||||
American Funds Insurance Series – Capital Income Builder Fund, Class 1 | 24,076,063 | 240,761 | ||||||||
Total equity-income and balanced funds (cost: $236,654,000) | 240,761 | |||||||||
Fixed income funds 15.37% | ||||||||||
American Funds Insurance Series – Global Bond Fund, Class 1 | 6,237,199 | 72,538 | ||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 6,850,888 | 72,414 | ||||||||
Total fixed income funds (cost: $147,664,000) | 144,952 | |||||||||
Short-term securities 3.27% | ||||||||||
Government Cash Management Fund | 30,804,611 | 30,805 | ||||||||
Total short-term securities (cost: $30,805,000) | 30,805 | |||||||||
Total investment securities 100.07% (cost: $901,649,000) | 943,375 | |||||||||
Other assets less liabilities (0.07)% | (681 | ) | ||||||||
Net assets 100.00% | $ | 942,694 |
Futures contracts
Unrealized | ||||||||||||
Notional | Value at | appreciation | ||||||||||
Number of | amount | 1 | 6/30/2018 | 2 | at 6/30/2018 | |||||||
Contracts | Type | contracts | Expiration | (000) | (000) | (000) | ||||||
5 Year U.S. Treasury Note Futures | Long | 293 | September 2018 | $29,300 | $33,290 | $149 |
10 | American Funds Insurance Series – Portfolio Series |
American Funds Managed Risk Growth and Income Portfolio
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Net | Net | Value of | ||||||||||||||||||||||||||||||
realized | unrealized | Dividend | affiliates at | |||||||||||||||||||||||||||||
Beginning | Ending | gain (loss) | depreciation | income | 6/30/2018 | |||||||||||||||||||||||||||
shares | Additions | Reductions | shares | (000) | (000) | (000) | (000) | |||||||||||||||||||||||||
Growth funds 15.24% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Growth Fund, Class 1 | 1,639,050 | 255,240 | 37,250 | 1,857,040 | $ | 565 | $ | (1,596 | ) | $ | 207 | $ | 143,679 | |||||||||||||||||||
Growth-and-income funds 40.65% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Global Growth and Income Fund, Class 1 | 10,798,048 | 2,425,672 | 10,677 | 13,213,043 | 38 | (16,556 | ) | 517 | 191,589 | |||||||||||||||||||||||
American Funds Insurance Series – Growth-Income Fund, Class 1 | 3,387,876 | 463,668 | 9,003 | 3,842,541 | 46 | (1,833 | ) | 508 | 191,589 | |||||||||||||||||||||||
383,178 | ||||||||||||||||||||||||||||||||
Equity-income and Balanced funds 25.54% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Capital Income Builder, Class 1 | 20,529,514 | 3,752,549 | 206,000 | 24,076,063 | 18 | (9,233 | ) | 3,652 | 240,761 | |||||||||||||||||||||||
Fixed income funds 15.37% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Global Bond Fund, Class 1 | 5,404,346 | 946,379 | 113,526 | 6,237,199 | 107 | (1,640 | ) | 165 | 72,538 | |||||||||||||||||||||||
American Funds Insurance Series – Bond Fund, Class 1 | 5,924,284 | 1,078,332 | 151,728 | 6,850,888 | (18 | ) | (1,552 | ) | 305 | 72,414 | ||||||||||||||||||||||
144,952 | ||||||||||||||||||||||||||||||||
Total 96.80% | $ | 756 | $ | (32,410 | ) | $ | 5,354 | $ | 912,570 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
See Notes to Financial Statements
American Funds Insurance Series – Portfolio Series | 11 |
American Funds Managed Risk Global Allocation Portfolio
Investment portfolio June 30, 2018 | unaudited |
Growth funds 25.16% | Shares | Value (000) | ||||||||
American Funds Insurance Series – Global Growth Fund, Class 1 | 1,642,984 | $ | 48,271 | |||||||
American Funds Insurance Series – International Fund, Class 1 | 1,557,447 | 32,192 | ||||||||
Total growth funds (cost: $75,257,000) | 80,463 | |||||||||
Growth-and-income funds 20.14% | ||||||||||
American Funds Insurance Series – Global Growth and Income Fund, Class 1 | 4,440,261 | 64,384 | ||||||||
Total growth-and-income funds (cost: $62,712,000) | 64,384 | |||||||||
Asset allocation funds 10.01% | ||||||||||
American Funds Insurance Series – Asset Allocation Fund, Class 1 | 1,398,332 | 31,994 | ||||||||
Total asset allocation funds (cost: $31,199,000) | 31,994 | |||||||||
Equity-income and Balanced funds 25.10% | ||||||||||
American Funds Insurance Series – Global Balanced Fund, Class 1 | 6,325,705 | 80,273 | ||||||||
Total equity-income and balanced funds (cost: $75,261,000) | 80,273 | |||||||||
Fixed income funds 15.15% | ||||||||||
American Funds Insurance Series – Global Bond Fund, Class 1 | 4,166,076 | 48,451 | ||||||||
Total fixed income funds (cost: $48,992,000) | 48,451 | |||||||||
Short-term securities 4.48% | ||||||||||
Government Cash Management Fund | 14,311,770 | 14,312 | ||||||||
Total short-term securities (cost: $14,312,000) | 14,312 | |||||||||
Total investment securities 100.04% (cost: $307,733,000) | 319,877 | |||||||||
Other assets less liabilities (0.04)% | (117 | ) | ||||||||
Net assets 100.00% | $ | 319,760 |
Futures contracts
Unrealized | ||||||||||||
Notional | Value at | appreciation | ||||||||||
Number of | amount | 1 | 6/30/2018 | 2 | at 6/30/2018 | |||||||
Contracts | Type | contracts | Expiration | (000) | (000) | (000) | ||||||
5 Year U.S. Treasury Note Futures | Long | 131 | September 2018 | $13,100 | $14,884 | $66 |
12 | American Funds Insurance Series – Portfolio Series |
American Funds Managed Risk Global Allocation Portfolio
Investments in affiliates
These holdings are affiliates of the fund under the Investment Company Act of 1940 since they are controlled by the same board of trustees as the series. Further details on these holdings and related transactions during the six months ended June 30, 2018, appear below.
Net | Net | Value of | ||||||||||||||||||||||||||||||
realized | unrealized | Dividend | affiliates at | |||||||||||||||||||||||||||||
Beginning | Ending | gain | depreciation | income | 6/30/2018 | |||||||||||||||||||||||||||
shares | Additions | Reductions | shares | (000) | (000) | (000) | (000) | |||||||||||||||||||||||||
Growth funds 25.16% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Global Growth Fund, Class 1 | 1,234,700 | 421,840 | 13,556 | 1,642,984 | $ | 62 | $ | (2,129 | ) | $ | 58 | $ | 48,271 | |||||||||||||||||||
American Funds Insurance Series – International Fund, Class 1 | 1,154,138 | 405,292 | 1,983 | 1,557,447 | 5 | (1,670 | ) | 71 | 32,192 | |||||||||||||||||||||||
80,463 | ||||||||||||||||||||||||||||||||
Growth-and-income funds 20.14% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Global Growth and Income Fund, Class 1 | 3,182,280 | 1,266,620 | 8,639 | 4,440,261 | 25 | (5,723 | ) | 172 | 64,384 | |||||||||||||||||||||||
Asset allocation funds 10.01% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Asset Allocation Fund, Class 1 | 1,055,652 | 342,680 | — | 1,398,332 | — | (1,200 | ) | 112 | 31,994 | |||||||||||||||||||||||
Equity-income and Balanced funds 25.10% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Global Balanced Fund, Class 1 | 4,918,785 | 1,413,721 | 6,801 | 6,325,705 | 11 | (732 | ) | — | 80,273 | |||||||||||||||||||||||
Fixed income funds 15.15% | ||||||||||||||||||||||||||||||||
American Funds Insurance Series – Global Bond Fund, Class 1 | 3,175,896 | 1,075,573 | 85,393 | 4,166,076 | 69 | (1,137 | ) | 110 | 48,451 | |||||||||||||||||||||||
Total 95.56% | $ | 172 | $ | (12,591 | ) | $ | 523 | $ | 305,565 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
See Notes to Financial Statements
American Funds Insurance Series – Portfolio Series | 13 |
Statements of assets and liabilities at June 30, 2018 | unaudited |
(dollars and shares in thousands, except per-share amounts) |
Global Growth Portfolio | Growth and Income Portfolio | Managed Risk Growth Portfolio | Managed Risk Growth and Income Portfolio | Managed Risk Global Allocation Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investment securities, at value: | ||||||||||||||||||||
Unaffiliated issuers | $ | — | $ | — | $ | 32,898 | $ | 30,805 | $ | 14,312 | ||||||||||
Affiliated issuers | 36,613 | 159,870 | 988,726 | 912,570 | 305,565 | |||||||||||||||
Cash | — | * | — | — | * | — | * | — | * | |||||||||||
Cash pledged for futures contracts | — | — | 214 | 199 | 89 | |||||||||||||||
Receivables for: | ||||||||||||||||||||
Sales of investments | 4 | 107 | — | 702 | — | |||||||||||||||
Sales of fund’s shares | — | 161 | 422 | 462 | 1,063 | |||||||||||||||
Dividends and interest | — | — | 47 | 44 | 20 | |||||||||||||||
Other | — | — | — | — | 3 | |||||||||||||||
36,617 | 160,138 | 1,022,307 | 944,782 | 321,052 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Payables for: | ||||||||||||||||||||
Purchases of investments | — | 161 | 387 | 438 | 1,008 | |||||||||||||||
Repurchases of fund’s shares | 4 | 107 | 14 | 739 | 1 | |||||||||||||||
Investment advisory services | — | — | 84 | 77 | 26 | |||||||||||||||
Services provided by related parties | 7 | 32 | 814 | 756 | 253 | |||||||||||||||
Trustees’ deferred compensation | — | * | — | * | 3 | 3 | 1 | |||||||||||||
Variation margin on futures contracts | — | — | 7 | 7 | 3 | |||||||||||||||
Insurance administrative services | 22 | 95 | — | — | — | |||||||||||||||
Other | — | — | 76 | 68 | — | |||||||||||||||
33 | 395 | 1,385 | 2,088 | 1,292 | ||||||||||||||||
Net assets at June 30, 2018 | $ | 36,584 | $ | 159,743 | $ | 1,020,922 | $ | 942,694 | $ | 319,760 | ||||||||||
Net assets consist of: | ||||||||||||||||||||
Capital paid in on shares of beneficial interest | $ | 32,626 | $ | 149,703 | $ | 928,177 | $ | 871,081 | $ | 298,968 | ||||||||||
(Distributions in excess of) undistributed net investment income | (22 | ) | 541 | (222 | ) | 2,767 | (289 | ) | ||||||||||||
Undistributed net realized gain | 2,200 | 5,617 | 37,536 | 26,971 | 8,871 | |||||||||||||||
Net unrealized appreciation | 1,780 | 3,882 | 55,431 | 41,875 | 12,210 | |||||||||||||||
Net assets at June 30, 2018 | $ | 36,584 | $ | 159,743 | $ | 1,020,922 | $ | 942,694 | $ | 319,760 | ||||||||||
Investment securities, at cost: | ||||||||||||||||||||
Unaffiliated issuers | $ | — | $ | — | $ | 32,898 | $ | 30,805 | $ | 14,312 | ||||||||||
Affiliated issuers | 34,833 | 155,988 | 933,454 | 870,844 | 293,421 | |||||||||||||||
Shares of beneficial interest issued and outstanding (no stated par value) — unlimited shares authorized |
Class 4: | Net assets | $ | 36,584 | $ | 159,743 | |||||||||||||||||
Shares outstanding | 3,047 | 14,273 | ||||||||||||||||||||
Net asset value per share | $ | 12.01 | $ | 11.19 | ||||||||||||||||||
Class P2: | Net assets | $ | 1,020,922 | $ | 942,694 | $ | 319,760 | |||||||||||||||
Shares outstanding | 92,955 | 87,579 | 29,635 | |||||||||||||||||||
Net asset value per share | $ | 10.98 | $ | 10.76 | $ | 10.79 |
* | Amount less than one thousand. |
See Notes to Financial Statements
14 | American Funds Insurance Series – Portfolio Series |
Statements of operations for the six months ended June 30, 2018 | unaudited (dollars in thousands) |
Global Growth Portfolio | Growth and Income Portfolio | Managed Risk Growth Portfolio | Managed Risk Growth and Income Portfolio | Managed Risk Global Allocation Portfolio | ||||||||||||||||
Investment income: | ||||||||||||||||||||
Income: | ||||||||||||||||||||
Dividends from affiliated issuers | $ | 70 | $ | 934 | $ | 2,548 | $ | 5,354 | $ | 523 | ||||||||||
Interest | — | — | 248 | 230 | 95 | |||||||||||||||
70 | 934 | 2,796 | 5,584 | 618 | ||||||||||||||||
Fees and expenses: | ||||||||||||||||||||
Investment advisory services | — | — | 720 | 673 | 216 | |||||||||||||||
Distribution services | 43 | 185 | 1,200 | 1,121 | 360 | |||||||||||||||
Insurance administrative services | 43 | 185 | 1,200 | 1,121 | 360 | |||||||||||||||
Transfer agent services | — | * | — | * | — | * | — | * | — | * | ||||||||||
Accounting and administrative services | — | — | 24 | 23 | 19 | |||||||||||||||
Reports to shareholders | 1 | 3 | 18 | 17 | 6 | |||||||||||||||
Registration statement and prospectus | 1 | 7 | 30 | 24 | 10 | |||||||||||||||
Trustees’ compensation | — | * | — | * | 3 | 3 | 1 | |||||||||||||
Auditing and legal | — | * | — | * | 9 | 9 | 9 | |||||||||||||
Custodian | 3 | 3 | 4 | 4 | 4 | |||||||||||||||
Other | — | * | — | * | — | * | — | * | — | * | ||||||||||
Total fees and expenses before waivers/reimbursements | 91 | 383 | 3,208 | 2,995 | 985 | |||||||||||||||
Less waivers/reimbursements of fees and expenses: | ||||||||||||||||||||
Investment advisory services waivers | — | — | 240 | 224 | 72 | |||||||||||||||
Miscellaneous fee reimbursements | — | — | — | — | 21 | |||||||||||||||
Total waivers/reimbursements of fees and expenses | — | — | 240 | 224 | 93 | |||||||||||||||
Total fees and expenses after waivers/reimbursements | 91 | 383 | 2,968 | 2,771 | 892 | |||||||||||||||
Net investment (loss) income | (21 | ) | 551 | (172 | ) | 2,813 | (274 | ) | ||||||||||||
Net realized gain and unrealized depreciation: | ||||||||||||||||||||
Net realized (loss) gain on: | ||||||||||||||||||||
Investments in affiliated issuers | (14 | ) | (50 | ) | 570 | 756 | 172 | |||||||||||||
Futures contracts | — | — | (13,771 | ) | (13,354 | ) | (849 | ) | ||||||||||||
Currency transactions | — | — | (24 | ) | (41 | ) | (1 | ) | ||||||||||||
Capital gain distributions received from affiliated issuers | 2,240 | 5,712 | 55,738 | 41,469 | 10,787 | |||||||||||||||
2,226 | 5,662 | 42,513 | 28,830 | 10,109 | ||||||||||||||||
Net unrealized (depreciation) appreciation on: | ||||||||||||||||||||
Investments in affiliated issuers | (2,009 | ) | (4,391 | ) | (22,596 | ) | (32,410 | ) | (12,591 | ) | ||||||||||
Futures contracts | — | — | 271 | 254 | 98 | |||||||||||||||
(2,009 | ) | (4,391 | ) | (22,325 | ) | (32,156 | ) | (12,493 | ) | |||||||||||
Net realized gain and unrealized depreciation | 217 | 1,271 | 20,188 | (3,326 | ) | (2,384 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 196 | $ | 1,822 | $ | 20,016 | $ | (513 | ) | $ | (2,658 | ) |
* | Amount less than one thousand. |
See Notes to Financial Statements
American Funds Insurance Series – Portfolio Series | 15 |
Statements of changes in net assets | (dollars in thousands) |
Global Growth Portfolio | Growth and Income Portfolio | Managed Risk Growth Portfolio | ||||||||||||||||||||||
Six months ended June 30 2018* | Year ended December 31 2017 | Six months ended June 30 2018* | Year ended December 31 2017 | Six months ended June 30 2018* | Year ended December 31 2017 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment (loss) income | $ | (21 | ) | $ | 230 | $ | 551 | $ | 1,688 | $ | (172 | ) | $ | 7,122 | ||||||||||
Net realized gain | 2,226 | 651 | 5,662 | 4,037 | 42,513 | 31,639 | ||||||||||||||||||
Net unrealized (depreciation) appreciation | (2,009 | ) | 4,188 | (4,391 | ) | 8,763 | (22,325 | ) | 82,325 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 196 | 5,069 | 1,822 | 14,488 | 20,016 | 121,086 | ||||||||||||||||||
Dividends and distributions paid to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (235 | ) | (117 | ) | (1,322 | ) | (1,380 | ) | (8,649 | ) | (6,769 | ) | ||||||||||||
Distributions from net realized gain on investments | (656 | ) | (461 | ) | (3,729 | ) | (1,424 | ) | (29,409 | ) | (16,589 | ) | ||||||||||||
Total dividends and distributions paid to shareholders | (891 | ) | (578 | ) | (5,051 | ) | (2,804 | ) | (38,058 | ) | (23,358 | ) | ||||||||||||
Net capital share transactions | 7,421 | �� | 12,183 | 28,855 | 56,254 | 135,343 | 237,525 | |||||||||||||||||
Total increase in net assets | 6,726 | 16,674 | 25,626 | 67,938 | 117,301 | 335,253 | ||||||||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of period | 29,858 | 13,184 | 134,117 | 66,179 | 903,621 | 568,368 | ||||||||||||||||||
End of period | $ | 36,584 | $ | 29,858 | $ | 159,743 | $ | 134,117 | $ | 1,020,922 | $ | 903,621 | ||||||||||||
(Distributions in excess of) undistributed net investment income | $ | (22 | ) | $ | 234 | $ | 541 | $ | 1,312 | $ | (222 | ) | $ | 8,599 |
Managed Risk Growth and Income Portfolio | Managed Risk Global Allocation Portfolio | |||||||||||||||||||||||
Six months ended June 30 2018* | Year ended December 31 2017 | Six months ended June 30 2018* | Year ended December 31 2017 | |||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment (loss) income | $ | 2,813 | $ | 9,844 | $ | (274 | ) | $ | 1,796 | |||||||||||||||
Net realized gain | 28,830 | 24,588 | 10,109 | 5,001 | ||||||||||||||||||||
Net unrealized (depreciation) appreciation | (32,156 | ) | 71,947 | (12,493 | ) | 24,831 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (513 | ) | 106,379 | (2,658 | ) | 31,628 | ||||||||||||||||||
Dividends and distributions paid to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (8,618 | ) | (8,603 | ) | (2,223 | ) | (1,285 | ) | ||||||||||||||||
Distributions from net realized gain on investments | (23,151 | ) | (1,336 | ) | (3,611 | ) | — | |||||||||||||||||
Total dividends and distributions paid to shareholders | (31,769 | ) | (9,939 | ) | (5,834 | ) | (1,285 | ) | ||||||||||||||||
Net capital share transactions | 123,489 | 185,598 | 77,584 | 76,579 | ||||||||||||||||||||
Total increase in net assets | 91,207 | 282,038 | 69,092 | 106,922 | ||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of period | 851,487 | 569,449 | 250,668 | 143,746 | ||||||||||||||||||||
End of period | $ | 942,694 | $ | 851,487 | $ | 319,760 | $ | 250,668 | ||||||||||||||||
(Distributions in excess of) undistributed net investment income | $ | 2,767 | $ | 8,572 | $ | (289 | ) | $ | 2,208 |
* | Unaudited. |
See Notes to Financial Statements
16 | American Funds Insurance Series – Portfolio Series |
Notes to financial statements | unaudited |
1. Organization
American Funds Insurance Series (the “series”) is registered under the Investment Company Act of 1940 as an open-end, diversified management investment company with 28 different funds, including the Global Growth Portfolio, Growth and Income Portfolio, Managed Risk Growth Portfolio, Managed Risk Growth and Income Portfolio and Managed Risk Global Allocation Portfolio (the “funds”). The other 23 funds in the series are covered in a separate report. The assets of each fund are segregated, with each fund accounted for separately. Capital Research and Management Company (“CRMC”) is the series’ investment adviser. Milliman Financial Risk Management LLC (“Milliman FRM”) is the subadviser for the risk management strategy for eight of the funds (the “managed risk funds”), three of which are covered in this report.
The managed risk funds covered in this report are Managed Risk Growth Portfolio, Managed Risk Growth and Income Portfolio and Managed Risk Global Allocation Portfolio. The managed risk funds invest in other funds within the series (the “underlying funds”) and employ Milliman FRM to implement the risk management strategy, which consists of using hedging instruments — primarily short positions on exchange-traded futures contracts — to attempt to stabilize the volatility of the funds around target volatility levels and reduce the downside exposure of the funds during periods of significant market declines.
Shareholders approved a proposal to reorganize the series from a Massachusetts business trust to a Delaware statutory trust. The reorganization may be completed in the next 12 months; however, the series reserves the right to delay the implementation.
The investment objectives for each fund covered in this report are as follows:
Global Growth Portfolio — Seeks to provide long-term growth of capital.
Growth and Income Portfolio — Seeks to provide long-term growth of capital while providing current income.
Managed Risk Growth Portfolio — Seeks to provide long-term growth of capital while seeking to manage volatility and provide downside protection.
Managed Risk Growth and Income Portfolio — Seeks to provide long-term growth of capital and current income while seeking to manage volatility and provide downside protection.
Managed Risk Global Allocation Portfolio — Seeks to provide high total return (including income and capital gains) consistent with preservation of capital over the long term while seeking to manage volatility and provide downside protection.
Each fund offers one share class (Class 4 for Global Growth Portfolio and Growth and Income Portfolio, and Class P2 for the three managed risk funds). Share classes have different fees and expenses (“class-specific fees and expenses”), primarily due to different arrangements for certain distribution expenses. Differences in class-specific fees and expenses will result in differences in net investment income and, therefore, the payment of different per-share dividends by each class of each fund.
2. Significant accounting policies
Each fund is an investment company that applies the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board. Each fund’s financial statements have been prepared to comply with U.S. generally accepted accounting principles (“U.S. GAAP”). These principles require the series’ investment adviser to make estimates and assumptions that affect reported amounts and disclosures. Actual results could differ from those estimates. Subsequent events, if any, have been evaluated through the date of issuance in the preparation of the financial statements. The funds follow the significant accounting policies described in this section, as well as the valuation policies described in the next section on valuation.
Security transactions and related investment income — Security transactions are recorded by the funds as of the date the trades are executed with brokers. Realized gains and losses from security transactions are determined based on the specific identified cost of the securities. In the event a security is purchased with a delayed payment date, the funds will segregate liquid assets sufficient to meet their payment obligations. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis.
American Funds Insurance Series – Portfolio Series | 17 |
Fees and expenses — The fees and expenses of the underlying funds are not included in the fees and expenses reported for each of the managed risk funds; however, they are indirectly reflected in the valuation of each of the underlying funds. These fees are included in the net effective expense ratios that are provided as supplementary information in the financial highlights tables.
Dividends and distributions to shareholders — Dividends and distributions to shareholders are recorded on each fund’s ex-dividend date.
Currency translation — Assets and liabilities, including investment securities, denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates supplied by one or more pricing vendors on the valuation date. Purchases and sales of investment securities and income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. The effects of changes in exchange rates on investment securities are included with the net realized gain or loss and net unrealized appreciation or depreciation on investments in the fund’s statement of operations. The realized gain or loss and unrealized appreciation or depreciation resulting from all other transactions denominated in currencies other than U.S. dollars are disclosed separately.
3. Valuation
Security valuation — The net asset value of each share class of each fund is calculated based on the reported net asset values of the underlying funds in which each fund invests. The net asset value of each underlying fund is calculated based on the policies and procedures of the underlying fund contained in each underlying fund’s statement of additional information. Generally, the funds and the underlying funds determine the net asset value of each share class as of approximately 4:00 p.m. New York time each day the New York Stock Exchange is open. Exchange-traded futures are generally valued at the official settlement price of, or the last reported sale price on, the exchange or market on which such instruments are traded, as of the close of business on the day the futures are being valued or, lacking any sales, at the last available bid price. Prices for each future are taken from the exchange or market on which the security trades.
Processes and structure — The series’ board of trustees has delegated authority to the series’ investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the “Fair Valuation Committee”) to administer, implement and oversee the fair valuation process, and to make fair value decisions. The Fair Valuation Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser’s valuation teams. The Fair Valuation Committee reviews changes in fair value measurements from period to period and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. The Fair Valuation Committee reports any changes to the fair valuation guidelines to the board of trustees. The series’ board and audit committee also regularly review reports that describe fair value determinations and methods. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews, including an annual control self-evaluation program facilitated by the investment adviser’s compliance group.
Classifications — The series’ investment adviser classifies each fund’s assets and liabilities into three levels based on the method used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Level 3 values are based on significant unobservable inputs that reflect the investment adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. At June 30, 2018, all of the investment securities held by each fund were classified as Level 1.
4. Risk factors
Investing in the funds may involve certain risks including, but not limited to, those described below.
Allocation risk — Investments in a fund are subject to risks related to the investment adviser’s allocation choices. The selection of the underlying funds and the allocation of a fund’s assets could cause the fund to lose value or its results to lag relevant benchmarks or other funds with similar objectives. Certain of the funds may invest in an underlying fixed-income fund that is a non-diversified investment company under the Investment Company Act of 1940. Poor performance by a single large holding in a non-diversified underlying fund would adversely affect such a fund’s investment results more than if the underlying fund were invested in a larger number of issuers.
18 | American Funds Insurance Series – Portfolio Series |
Fund structure — Each fund invests in underlying funds and incurs expenses related to the underlying funds. In addition, investors in each fund will incur fees to pay for certain expenses related to the operations of the fund. An investor holding the underlying funds directly and in the same proportions as a fund would incur lower overall expenses but would not receive the benefit of the portfolio management and other services provided by the fund, including the managed risk strategy.
Underlying fund risks — Because a fund’s investments consist of underlying funds, the fund’s risks are directly related to the risks of the underlying funds. For this reason, it is important to understand the risks associated with investing both in a fund and the applicable underlying funds.
Market conditions — The prices of, and the income generated by, the securities held by the underlying funds may decline — sometimes rapidly or unpredictably — due to various factors, including events or conditions affecting the general economy or particular industries; overall market changes; local, regional or global political, social or economic instability; governmental or governmental agency responses to economic conditions; and currency exchange rate, interest rate and commodity price fluctuations.
Issuer risks — The prices of, and the income generated by, securities held by the underlying funds may decline in response to various factors directly related to the issuers of such securities, including reduced demand for an issuer’s goods or services, poor management performance and strategic initiatives such as mergers, acquisitions or dispositions, and the market response to any such initiatives.
Investing in growth-oriented stocks — Growth-oriented common stocks and other equity-type securities (such as preferred stocks, convertible preferred stocks and convertible bonds) may involve larger price swings and greater potential for loss than other types of investments. These risks may be even greater in the case of smaller capitalization stocks.
Investing in income-oriented stocks — Income provided by an underlying fund may be reduced by changes in the dividend policies of, and the capital resources available for dividend payments at, the companies in which the underlying fund invests.
Investing outside the U.S. — Securities of issuers domiciled outside the U.S., or with significant operations or revenues outside the U.S., may lose value because of adverse political, social, economic or market developments (including social instability, regional conflicts, terrorism and war) in the countries or regions in which the issuers operate or generate revenue. These securities may also lose value due to changes in foreign currency exchange rates against the U.S. dollar and/or currencies of other countries. Issuers of these securities may be more susceptible to actions of foreign governments, such as the imposition of price controls or punitive taxes, that could adversely impact the value of these securities. Securities markets in certain countries may be more volatile and/or less liquid than those in the U.S. Investments outside the U.S. may also be subject to different accounting practices and different regulatory, legal and reporting standards and practices, and may be more difficult to value, than those in the U.S. In addition, the value of investments outside the U.S. may be reduced by foreign taxes, including foreign withholding taxes on interest and dividends. Further, there may be increased risks of delayed settlement of securities purchased or sold by the underlying funds. The risks of investing outside the U.S. may be heightened in connection with investments in emerging markets.
Investing in emerging markets — Investing in emerging markets may involve risks in addition to and greater than those generally associated with investing in the securities markets of developed countries. For instance, developing countries may have less developed legal and accounting systems than those in developed countries. The governments of these countries may be less stable and more likely to impose capital controls, nationalize a company or industry, place restrictions on foreign ownership and on withdrawing sale proceeds of securities from the country, and/or impose punitive taxes that could adversely affect the prices of securities. In addition, the economies of these countries may be dependent on relatively few industries that are more susceptible to local and global changes. Securities markets in these countries can also be relatively small and have substantially lower trading volumes. As a result, securities issued in these countries may be more volatile and less liquid, and may be more difficult to value, than securities issued in countries with more developed economies and/or markets. Less certainty with respect to security valuations may lead to additional challenges and risks in calculating an underlying fund’s net asset value and, accordingly, in calculating the fund’s net asset value. Additionally, there may be increased settlement risks for transactions in local securities.
Investing in small companies — Investing in smaller companies may pose additional risks. For example, it is often more difficult to value or dispose of small company stocks and more difficult to obtain information about smaller companies than about larger companies. Furthermore, smaller companies often have limited product lines, operating histories, markets and/or financial resources, may be dependent on one or a few key persons for management, and can be more susceptible to losses. Moreover, the prices of their stocks may be more volatile than stocks of larger, more established companies.
American Funds Insurance Series – Portfolio Series | 19 |
Investing in debt instruments — The prices of, and the income generated by, bonds and other debt securities held by an underlying fund may be affected by changing interest rates and by changes in the effective maturities and credit ratings of these securities.
Rising interest rates will generally cause the prices of bonds and other debt securities to fall. Falling interest rates may cause an issuer to redeem, call or refinance a debt security before its stated maturity, which may result in the fund having to reinvest the proceeds in lower yielding securities. Longer maturity debt securities generally have greater sensitivity to changes in interest rates and may be subject to greater price fluctuations than shorter maturity debt securities.
Bonds and other debt securities are also subject to credit risk, which is the possibility that the credit strength of an issuer will weaken and/or an issuer of a debt security will fail to make timely payments of principal or interest and the security will go into default. Credit risk is gauged, in part, by the credit ratings of the debt securities in which an underlying fund invests. However, ratings are only the opinions of the rating agencies issuing them and are not guarantees as to credit quality or an evaluation of market risk. The underlying funds’ investment adviser relies on its own credit analysts to research issuers and issues in seeking to mitigate various credit and default risks.
Investing in lower rated debt instruments — Lower rated bonds and other lower rated debt securities generally have higher rates of interest and involve greater risk of default or price declines due to changes in the issuer’s creditworthiness than those of higher quality debt securities. The market prices of these securities may fluctuate more than the prices of higher quality debt securities and may decline significantly in periods of general economic difficulty. These risks may be increased with respect to investments in junk bonds.
Investing in mortgage-related and other asset-backed securities — Mortgage-related securities, such as mortgage-backed securities, and other asset-backed securities, include debt obligations that represent interests in pools of mortgages or other income-bearing assets, such as consumer loans or receivables. Such securities often involve risks that are different from or more acute than the risks associated with investing in other types of debt securities. Mortgage-backed and other asset-backed securities are subject to changes in the payment patterns of borrowers of the underlying debt. When interest rates fall, borrowers are more likely to refinance or prepay their debt before its stated maturity. This may result in an underlying fund having to reinvest the proceeds in lower yielding securities, effectively reducing the fund’s income. Conversely, if interest rates rise and borrowers repay their debt more slowly than expected, the time in which the mortgage-backed and other asset-backed securities are paid off could be extended, reducing the underlying fund’s cash available for reinvestment in higher yielding securities.
Investing in future delivery contracts — The underlying funds may enter into contracts, such as to-be-announced contracts and mortgage dollar rolls, that involve the underlying fund selling mortgage-related securities and simultaneously contracting to repurchase similar securities for delivery at a future date at a predetermined price. This can increase the underlying fund’s market exposure, and the market price of the securities that the underlying fund contracts to repurchase could drop below their purchase price. While the underlying fund can preserve and generate capital through the use of such contracts by, for example, realizing the difference between the sale price and the future purchase price, the income generated by the underlying fund may be reduced by engaging in such transactions. In addition, these transactions may increase the turnover rate of the underlying fund.
Investing in securities backed by the U.S. government — Securities backed by the U.S. Treasury or the full faith and credit of the U.S. government are guaranteed only as to the timely payment of interest and principal when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates. Securities issued by government-sponsored entities and federal agencies and instrumentalities that are not backed by the full faith and credit of the U.S. government are neither issued nor guaranteed by the U.S. government.
Asset allocation — A certain fund’s percentage allocation to equity securities, debt securities and money market instruments (through its investments in the underlying funds) could cause the fund to underperform relative to relevant benchmarks and other funds with similar investment objectives.
Currency — The prices of, and the income generated by, most debt securities held by the underlying funds may also be affected by changes in relative currency values. If the U.S. dollar appreciates against foreign currencies, the value in U.S. dollars of an underlying fund’s securities denominated in such currencies would generally fall and vice versa. U.S. dollar-denominated securities of foreign issuers may also be affected by changes in relative currency values.
Liquidity risk — Certain underlying fund holdings may be deemed to be less liquid or illiquid because they cannot be readily sold without significantly impacting the value of the holdings. Liquidity risk may result from the lack of an active market for a holding, legal or contractual restrictions on resale, or the reduced number and capacity of market participants to make a market in such holding. Market
20 | American Funds Insurance Series – Portfolio Series |
prices for less liquid or illiquid holdings may be volatile, and reduced liquidity may have an adverse impact on the market price of such holdings. Additionally, the sale of less liquid or illiquid holdings may involve substantial delays (including delays in settlement) and additional costs and the underlying fund may be unable to sell such holdings when necessary to meet its liquidity needs.
Management — The investment adviser to the funds and to the underlying funds actively manages each underlying fund’s investments. Consequently, the underlying funds are subject to the risk that the methods and analyses employed by the investment adviser in this process may not produce the desired results. This could cause an underlying fund to lose value or its investment results to lag relevant benchmarks or other funds with similar objectives.
Investing in the managed risk funds may involve additional risks including, but not limited to, those described below.
Investing in futures contracts — In addition to the risks generally associated with investing in derivative instruments, futures contracts are subject to the creditworthiness of the clearing organizations, exchanges and futures commission merchants with which a fund transacts. Additionally, although futures require only a small initial investment in the form of a deposit of initial margin, the amount of a potential loss on a futures contract could greatly exceed the initial amount invested. While futures contracts are generally liquid instruments, under certain market conditions, futures may be deemed to be illiquid. For example, a fund may be temporarily prohibited from closing out its position in a futures contract if intraday price change limits or limits on trading volume imposed by the applicable futures exchange are triggered. If a fund is unable to close out a position on a futures contract, the fund would remain subject to the risk of adverse price movements until the fund is able to close out the futures position. The ability of a fund to successfully utilize futures contracts may depend in part upon the ability of the fund’s investment adviser or subadviser to accurately forecast interest rates and other economic factors and to assess and predict the impact of such economic factors on the futures in which the fund invests. If the investment adviser or subadviser incorrectly forecasts economic developments or incorrectly predicts the impact of such developments on the futures in which it invests, a fund could be exposed to the risk of loss.
Hedging — There may be imperfect or even negative correlation between the prices of the futures contracts and the prices of the underlying securities. For example, futures contracts may not provide an effective hedge because changes in futures contract prices may not track those of the underlying securities or indexes they are intended to hedge. In addition, there are significant differences between the securities and futures markets that could result in an imperfect correlation between the markets, causing a given hedge not to achieve its objectives. The degree of imperfection of correlation depends on circumstances such as variations in speculative market demand for futures, including technical influences in futures trading, and differences between the financial instruments being hedged and the instruments underlying the standard contracts available for trading. A decision as to whether, when and how to hedge involves the exercise of skill and judgment, and even a well-conceived hedge may be unsuccessful to some degree because of market behavior or unexpected interest rate trends. In addition, a fund’s investment in exchange-traded futures and their resulting costs could limit the fund’s gains in rising markets relative to those of the underlying fund, or to those of unhedged funds in general.
Short positions — Losses from short positions in futures contracts occur when the underlying index increases in value. As the underlying index increases in value, the holder of the short position in the corresponding futures contract is required to pay the difference in value of the futures contract resulting from the increase in the index on a daily basis. Losses from a short position in an index futures contract could potentially be very large if the value of the underlying index rises dramatically in a short period of time.
Nondiversification — As nondiversified funds, the managed risk funds have the ability to invest a larger percentage of their assets in the securities of a smaller number of issuers than a diversified fund. Therefore, poor performance by a single large holding could adversely impact a managed risk fund’s investment results more than if the fund were invested in a larger number of issuers.
Management — The managed risk funds are subject to the risk that the methods employed by the subadviser in implementing the managed risk strategy may not produce the desired results. This could cause the managed risk funds to lose value or their investment results to lag relevant benchmarks or other funds with similar objectives.
5. Certain investment techniques
Futures contracts — The managed risk funds have entered into futures contracts, which provide for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument for a specified price, date, time and place designated at the time the contract is made. Futures contracts are used to strategically manage portfolio volatility and downside equity risk.
American Funds Insurance Series – Portfolio Series | 21 |
Upon entering into futures contracts, and to maintain the fund’s open positions in futures contracts, the fund is required to deposit with a futures broker, or futures commission merchant (“FCM”), in a segregated account in the name of the FCM an amount of cash, U.S. government securities, suitable money market instruments, or other liquid securities, known as initial margin. The margin required for a particular futures contract is set by the exchange on which the contract is traded to serve as collateral, and may be significantly modified from time to time by the exchange during the term of the contract. When initial margin is deposited with brokers, a receivable is recorded in each fund’s statement of assets and liabilities.
On a daily basis, each fund pays or receives variation margin based on the increase or decrease in the value of the futures contracts and records variation margin on futures contracts in the statement of assets and liabilities. In addition, each fund segregates liquid assets equivalent to the fund’s outstanding obligations under the contract in excess of the initial margin and variation margin, if any. Futures contracts may involve a risk of loss in excess of the variation margin shown on each fund’s statement of assets and liabilities. Each fund records realized gains or losses at the time the futures contract is closed or expires. Net realized gains or losses and net unrealized appreciation or depreciation from futures contracts are recorded in each fund’s statement of operations. The average month-end notional amount of futures contracts while held by Managed Risk Growth Portfolio, Managed Risk Growth and Income Portfolio and Managed Risk Global Allocation Portfolio was $137,164,000, $155,027,000 and $15,888,000, respectively.
The following tables present the financial statement impacts resulting from the managed risk funds’ use of futures contracts as of June 30, 2018 (dollars in thousands):
Managed Risk Growth Portfolio
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciaton* | $ | 159 | Unrealized depreciation* | $ | — | |||||||
Net realized gain (loss) | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 179 | Net unrealized appreciation on futures contracts | $ | — | |||||||
Futures | Equity | Net realized loss on futures contracts | (11,262 | ) | Net unrealized appreciation on futures contracts | — | ||||||||
Futures | Interest | Net realized loss on futures contracts | (2,688 | ) | Net unrealized appreciation on futures contracts | 271 | ||||||||
$ | (13,771 | ) | $ | 271 |
22 | American Funds Insurance Series – Portfolio Series |
Managed Risk Growth and Income Portfolio
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 149 | Unrealized depreciation* | $ | — | |||||||
Net realized gain (loss) | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 353 | Net unrealized appreciation on futures contracts | $ | — | |||||||
Futures | Equity | Net realized loss on futures contracts | (11,177 | ) | Net unrealized appreciation on futures contracts | — | ||||||||
Futures | Interest | Net realized loss on futures contracts | (2,530 | ) | Net unrealized appreciation on futures contracts | 254 | ||||||||
$ | (13,354 | ) | $ | 254 | ||||||||||
Managed Risk Global Allocation Portfolio | ||||||||||||||
Assets | Liabilities | |||||||||||||
Contracts | Risk type | Location on statement of assets and liabilities | Value | Location on statement of assets and liabilities | Value | |||||||||
Futures | Interest | Unrealized appreciation* | $ | 66 | Unrealized depreciation* | $ | — | |||||||
Net realized gain (loss) | Net unrealized appreciation | |||||||||||||
Contracts | Risk type | Location on statement of operations | Value | Location on statement of operations | Value | |||||||||
Futures | Currency | Net realized gain on futures contracts | $ | 5 | Net unrealized appreciation on futures contracts | $ | — | |||||||
Futures | Equity | Net realized loss on futures contracts | (490 | ) | Net unrealized appreciation on futures contracts | — | ||||||||
Futures | Interest | Net realized loss on futures contracts | (364 | ) | Net unrealized appreciation on futures contracts | 98 | ||||||||
$ | (849 | ) | $ | 98 |
* | Includes cumulative appreciation (depreciation) on futures contracts as reported in the applicable table after each fund’s investment portfolio. Only current day’s variation margin is reported within the statements of assets and liabilities. |
Collateral — Funds that invest in futures contracts participate in a collateral program. The program calls for the fund to pledge highly liquid assets, such as cash or U.S. government securities, as collateral for initial and variation margin by contract. The purpose of the collateral is to cover potential losses that could occur in the event that either party cannot meet its contractual obligations. Non-cash collateral pledged by the fund, if any, is disclosed in the fund’s investment portfolio, and cash collateral pledged by the fund, if any, is held in a segregated account with the fund’s custodian, which is reflected as restricted cash in the fund’s statement of assets and liabilities.
6. Taxation and distributions
Federal income taxation — Each fund complies with the requirements under Subchapter M of the Internal Revenue Code applicable to mutual funds and intends to distribute substantially all of its net taxable income and net capital gains each year. The funds are not subject to income taxes to the extent such distributions are made. Therefore, no federal income tax provision is required.
American Funds Insurance Series – Portfolio Series | 23 |
As of and during the period ended June 30, 2018, none of the funds had a liability for any unrecognized tax benefits. Each fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in their respective statements of operations. During the period, none of the funds incurred any significant interest or penalties.
Each fund’s tax returns are not subject to examination by federal, state and, if applicable, non-U.S. tax authorities after the expiration of each jurisdiction’s statute of limitations, which is generally three years after the date of filing but can be extended in certain jurisdictions.
Distributions — Distributions paid to shareholders are based on each fund’s net investment income and net realized gains determined on a tax basis, which may differ from net investment income and net realized gains for financial reporting purposes. These differences are due primarily to different treatment for items such as short-term capital gains and losses; capital losses related to sales of certain securities within 30 days of purchase and cost of investments sold. The fiscal year in which amounts are distributed may differ from the year in which the net investment income and net realized gains are recorded by the funds for financial reporting purposes.
Additional tax basis disclosures for each fund are as follows (dollars in thousands):
Global Growth Portfolio | Growth and Income Portfolio | Managed Risk Growth Portfolio | Managed Risk Growth and Income Portfolio | Managed Risk Global Allocation Portfolio | ||||||||||||||||
As of December 31, 2017: | ||||||||||||||||||||
Undistributed ordinary income | $ | 329 | $ | 1,722 | $ | 8,599 | $ | 8,572 | $ | 2,208 | ||||||||||
Undistributed long-term capital gains | 559 | 3,307 | 29,361 | 23,104 | 3,594 | |||||||||||||||
As of June 30, 2018: | ||||||||||||||||||||
Gross unrealized appreciation on investments | 1,756 | 5,002 | 56,661 | 42,502 | 11,430 | |||||||||||||||
Gross unrealized depreciation on investments | — | (1,153 | ) | (6,583 | ) | (2,711 | ) | (540 | ) | |||||||||||
Net unrealized appreciation on investments | 1,756 | 3,849 | 50,078 | 39,791 | 10,890 | |||||||||||||||
Cost of investments | 34,857 | 156,021 | 971,546 | 903,584 | 308,987 |
Distributions paid by each fund were characterized for tax purposes as follows (dollars in thousands):
Global Growth Portfolio
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||
Class 4 | $331 | $560 | $891 | $180 | $398 | $578 | ||||||
Growth and Income Portfolio | ||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||
Share class | Ordinary income | Long-term capital gains | Total dividends and distributions paid | Ordinary income | Long-term capital gains | Total dividends and distributions paid | ||||||
Class 4 | $1,733 | $3,318 | $5,051 | $1,842 | $962 | $2,804 |
24 | American Funds Insurance Series – Portfolio Series |
Managed Risk Growth Portfolio
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||
Total | Total | |||||||||||
dividends and | dividends and | |||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||
Class P2 | $8,649 | $29,409 | $38,058 | $6,769 | $16,589 | $23,358 | ||||||
Managed Risk Growth and Income Portfolio | ||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||
Total | Total | |||||||||||
dividends and | dividends and | |||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | distributions | |||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||
Class P2 | $8,618 | $23,151 | $31,769 | $8,603 | $1,336 | $9,939 | ||||||
Managed Risk Global Allocation Portfolio | ||||||||||||
Six months ended June 30, 2018 | Year ended December 31, 2017 | |||||||||||
Total | ||||||||||||
dividends and | Total | |||||||||||
Ordinary | Long-term | distributions | Ordinary | Long-term | dividends | |||||||
Share class | income | capital gains | paid | income | capital gains | paid | ||||||
Class P2 | $2,223 | $3,611 | $5,834 | $1,285 | $— | $1,285 |
7. Fees and transactions
CRMC, the series’ investment adviser, is the parent company of American Funds Distributors,® Inc. (“AFD”), the distributor of the series’ shares, and American Funds Service Company® (“AFS”), the series’ transfer agent. CRMC, AFD and AFS are considered related parties to the series.
Investment advisory services — The series has an investment advisory and service agreement with CRMC that provides for monthly fees accrued daily. These fees are based on an annual rate of 0.150% of average daily net assets for the three managed risk funds. CRMC receives investment advisory fees from the underlying funds. These fees are included in the net effective expense ratios that are provided as supplementary information in the financial highlights tables. Subadvisory fees for the managed risk funds are paid by CRMC to Milliman FRM. The managed risk funds are not responsible for paying any subadvisory fees.
Investment advisory services waivers — CRMC has agreed to waive a portion of the investment advisory services fees for the three managed risk funds. Investment advisory services fees are presented in each fund’s statement of operations gross of the waivers from CRMC. For the six months ended June 30, 2018, total investment advisory services fees waived by CRMC were $536,000.
Distribution services — The series has plans of distribution for all share classes. Under the plans, the board of trustees approves certain categories of expenses that are used to finance activities primarily intended to sell fund shares. The plans provide for payments to pay service fees to firms that have entered into agreements with the series. These payments, based on an annualized percentage of average daily net assets, range from 0.25% to 0.50% as noted in the table below. In some cases, the board of trustees has limited the amounts that may be paid to less than the maximum allowed by the plans.
Share class | Currently approved limits | Plan limits | |||||||
Class 4 | 0.25 | % | 0.25 | % | |||||
Class P2 | 0.25 | 0.50 |
Insurance administrative services — The series has an insurance administrative services plan for all share classes. Under the plan, each share class pays 0.25% of each insurance company’s respective average daily net assets to compensate the insurance companies for services provided to their separate accounts and contractholders for which the shares of the fund are beneficially owned as underlying investments of such contractholders’ annuities. These services include, but are not limited to, maintenance, shareholder communications and transactional services. The insurance companies are not related parties to the series.
American Funds Insurance Series – Portfolio Series | 25 |
Transfer agent services — The series has a shareholder services agreement with AFS under which the funds compensate AFS for providing transfer agent services to the funds. These services include recordkeeping, shareholder communications and transaction processing. In addition, the managed risk funds reimburse AFS for amounts paid to third parties for performing transfer agent services on behalf of fund shareholders.
Administrative services — The series has an administrative services agreement with CRMC to provide administrative services to all of the funds. The services include, but are not limited to, coordinating, monitoring, assisting and overseeing third parties that provide services to fund shareholders. CRMC receives administrative services fees of 0.01% of average daily net assets from the Class 1 shares of the underlying funds for administrative services provided to the series.
Accounting and administrative services — The three managed risk funds have a subadministration agreement with BNY Mellon under which each fund compensates BNY Mellon for providing accounting and administrative services. These services include, but are not limited to, fund accounting (including calculation of net asset value), financial reporting and tax services. BNY Mellon is not a related party to the managed risk funds.
Miscellaneous fee reimbursements — CRMC is currently reimbursing a portion of miscellaneous fees and expenses for Managed Risk Global Allocation Portfolio. Miscellaneous expenses exclude investment advisory services and distribution services fees. For the six months ended June 30, 2018, total expenses reimbursed by CRMC were $21,000.
Trustees’ deferred compensation — Trustees who are unaffiliated with CRMC may elect to defer the cash payment of part or all of their compensation. These deferred amounts, which remain as liabilities of the funds, are treated as if invested in one or more of the American Funds. These amounts represent general, unsecured liabilities of the funds and vary according to the total returns of the selected funds. Trustees’ compensation in the fund’s statement of operations reflects the current fees (either paid in cash or deferred) and the net increase or decrease in the value of the deferred amounts.
Affiliated officers and trustees — Officers and certain trustees of the series are or may be considered to be affiliated with CRMC, AFD and AFS. No affiliated officers or trustees received any compensation directly from any fund in the series.
Security transactions with related funds — The funds may purchase from, or sell securities to, other CRMC-managed funds (or funds managed by certain affiliates of CRMC) under procedures adopted by the fund’s board of trustees. The funds involved in such transactions are considered related by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers. When such transactions occur, each transaction is executed at the current market price of the security and no brokerage commissions or fees are paid in accordance with Rule 17a-7 of the 1940 Act.
8. Capital share transactions
Capital share transactions in the funds were as follows (dollars and shares in thousands):
Global Growth Portfolio
Sales | Reinvestments of dividends and distributions | Repurchases | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 4 | $ | 8,202 | 655 | $ | 891 | 72 | $ | (1,672 | ) | (133 | ) | $ | 7,421 | 594 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 4 | $ | 13,946 | 1,261 | $ | 578 | 53 | $ | (2,341 | ) | (211 | ) | $ | 12,183 | 1,103 |
26 | American Funds Insurance Series – Portfolio Series |
Growth and Income Portfolio | ||||||||||||||||||||||||||||||||
Reinvestments of | ||||||||||||||||||||||||||||||||
Sales | dividends and distributions | Repurchases | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class 4 | $ | 28,503 | 2,468 | $ | 5,050 | 446 | $ | (4,698 | ) | (408 | ) | $ | 28,855 | 2,506 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class 4 | $ | 64,274 | 5,981 | $ | 2,804 | 257 | $ | (10,824 | ) | (1,003 | ) | $ | 56,254 | 5,235 | ||||||||||||||||||
Managed Risk Growth Portfolio | ||||||||||||||||||||||||||||||||
Reinvestments of | ||||||||||||||||||||||||||||||||
Sales | dividends and distributions | Repurchases | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class P2 | $ | 108,399 | 9,566 | $ | 38,058 | 3,404 | $ | (11,114 | ) | (982 | ) | $ | 135,343 | 11,988 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P2 | $ | 234,896 | 22,474 | $ | 23,358 | 2,255 | $ | (20,729 | ) | (1,977 | ) | $ | 237,525 | 22,752 | ||||||||||||||||||
Managed Risk Growth and Income Portfolio | ||||||||||||||||||||||||||||||||
Reinvestments of | ||||||||||||||||||||||||||||||||
Sales | dividends and distributions | Repurchases | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class P2 | $ | 101,708 | 9,071 | $ | 31,769 | 2,909 | $ | (9,988 | ) | (900 | ) | $ | 123,489 | 11,080 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P2 | $ | 200,646 | 19,165 | $ | 9,939 | 937 | $ | (24,987 | ) | (2,414 | ) | $ | 185,598 | 17,688 | ||||||||||||||||||
Managed Risk Global Allocation Portfolio | ||||||||||||||||||||||||||||||||
Reinvestments of | ||||||||||||||||||||||||||||||||
Sales | dividends and distributions | Repurchases | Net increase | |||||||||||||||||||||||||||||
Share class | Amount | Shares | Amount | Shares | Amount | Shares | Amount | Shares | ||||||||||||||||||||||||
Six months ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Class P2 | $ | 73,847 | 6,588 | $ | 5,834 | 531 | $ | (2,097 | ) | (188 | ) | $ | 77,584 | 6,931 | ||||||||||||||||||
Year ended December 31, 2017 | ||||||||||||||||||||||||||||||||
Class P2 | $ | 82,444 | 7,903 | $ | 1,285 | 125 | $ | (7,151 | ) | (714 | ) | $ | 76,578 | 7,314 |
9. Investment transactions
Each fund made purchases and sales of investment securities during the six months ended June 30, 2018, as follows (dollars in thousands):
Global Growth Portfolio | Growth and Income Portfolio | Managed Risk Growth Portfolio | Managed Risk Growth and Income Portfolio | Managed Risk Global Allocation Portfolio | ||||||||||||||||
Purchases of investment securities* | $ | 10,317 | $ | 34,731 | $ | 160,078 | $ | 142,738 | $ | 81,194 | ||||||||||
Sales of investment securities* | 1,563 | 4,655 | 9,372 | 8,781 | 1,721 |
* | Excludes short-term securities and U.S. government obligations, if any. |
American Funds Insurance Series – Portfolio Series | 27 |
Financial highlights
Income (loss) from investment operations1 | Dividends and distributions | Ratio of expenses | Ratio of expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Period ended | Net asset value, beginning of period | Net investment (loss) income | Net gains (losses) on securities (both realized and unrealized) | Total from investment operations | Dividends (from net investment income) | Distributions (from capital gains) | Total dividends and distribu- tions | Net asset value, end of period | Total return2 | Net assets, end of period (in millions) | to average net assets before waivers/ reimburse- ments3 | to average net assets after waivers/ reimburse- ments2,3 | Net effective expense ratio2,4 | Ratio of net (loss) income to average net assets2 | ||||||||||||||||||||||||||||||||||||||||||
Global Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/185,6 | $ | 12.17 | $ | (.01 | ) | $ | .16 | $ | .15 | $ | (.08 | ) | $ | (.23 | ) | $ | (.31 | ) | $ | 12.01 | 1.12 | %7 | $ | 37 | .53 | %8 | .53 | %8 | 1.15 | %8 | (.12 | )%8 | ||||||||||||||||||||||||
12/31/17 | 9.77 | .12 | 2.59 | 2.71 | (.06 | ) | (.25 | ) | (.31 | ) | 12.17 | 28.11 | 30 | .62 | .56 | 1.18 | 1.05 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.45 | .12 | .29 | .41 | (.05 | ) | (.04 | ) | (.09 | ) | 9.77 | 4.42 | 13 | .75 | .56 | 1.18 | 1.30 | |||||||||||||||||||||||||||||||||||||||
12/31/155,9 | 10.00 | .12 | (.67 | ) | (.55 | ) | — | — | — | 9.45 | (5.50 | )7 | 6 | 1.02 | 8 | .58 | 8 | 1.20 | 8 | 1.91 | 8 | |||||||||||||||||||||||||||||||||||
Growth and Income Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class 4: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/185,6 | $ | 11.40 | $ | .04 | $ | .12 | $ | .16 | $ | (.10 | ) | $ | (.27 | ) | $ | (.37 | ) | $ | 11.19 | 1.37 | %7 | $ | 160 | .52 | %8 | .52 | %8 | .96 | %8 | .75 | %8 | |||||||||||||||||||||||||
12/31/17 | 10.13 | .17 | 1.38 | 1.55 | (.13 | ) | (.15 | ) | (.28 | ) | 11.40 | 15.43 | 134 | .53 | .53 | .97 | 1.59 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.61 | .23 | .38 | .61 | (.07 | ) | (.02 | ) | (.09 | ) | 10.13 | 6.41 | 66 | .57 | .55 | .99 | 2.31 | |||||||||||||||||||||||||||||||||||||||
12/31/155,9 | 10.00 | .20 | (.58 | ) | (.38 | ) | (.01 | ) | — | (.01 | ) | 9.61 | (3.85 | )7 | 15 | .79 | 8 | .58 | 8 | 1.05 | 8 | 3.14 | 8 | |||||||||||||||||||||||||||||||||
Managed Risk Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/185,6 | $ | 11.16 | $ | — | 10 | $ | .25 | $ | .25 | $ | (.10 | ) | $ | (.33 | ) | $ | (.43 | ) | $ | 10.98 | 2.18 | %7 | $ | 1,021 | .67 | %8 | .62 | %8 | 1.01 | %8 | (.04 | )%8 | ||||||||||||||||||||||||
12/31/17 | 9.76 | .10 | 1.63 | 1.73 | (.09 | ) | (.24 | ) | (.33 | ) | 11.16 | 18.00 | 904 | .68 | .63 | 1.03 | .95 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.39 | .11 | .26 | .37 | — | 10 | — | — | 10 | 9.76 | 3.97 | 568 | .77 | .63 | 1.02 | 1.12 | ||||||||||||||||||||||||||||||||||||||||
12/31/155,9 | 10.00 | .18 | (.70 | ) | (.52 | ) | (.09 | ) | — | (.09 | ) | 9.39 | (5.20 | )7 | 254 | .86 | 8 | .61 | 8 | 1.01 | 8 | 2.77 | 8 | |||||||||||||||||||||||||||||||||
Managed Risk Growth and Income Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/185,6 | $ | 11.13 | $ | .03 | $ | (.02 | ) | $ | .01 | $ | (.10 | ) | $ | (.28 | ) | $ | (.38 | ) | $ | 10.76 | .03 | %7 | $ | 943 | .67 | %8 | .62 | %8 | 1.06 | %8 | .63 | %8 | ||||||||||||||||||||||||
12/31/17 | 9.68 | .15 | 1.44 | 1.59 | (.12 | ) | (.02 | ) | (.14 | ) | 11.13 | 16.55 | 851 | .68 | .63 | 1.08 | 1.38 | |||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.36 | .16 | .19 | .35 | (.03 | ) | — | (.03 | ) | 9.68 | 3.70 | 569 | .77 | .63 | 1.08 | 1.68 | ||||||||||||||||||||||||||||||||||||||||
12/31/155,9 | 10.00 | .18 | (.73 | ) | (.55 | ) | (.09 | ) | — | (.09 | ) | 9.36 | (5.50 | )7 | 231 | .86 | 8 | .61 | 8 | 1.08 | 8 | 2.85 | 8 | |||||||||||||||||||||||||||||||||
Managed Risk Global Allocation Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class P2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
6/30/185,6 | $ | 11.04 | $ | (.01 | ) | $ | (.03 | ) | $ | (.04 | ) | $ | (.08 | ) | $ | (.13 | ) | $ | (.21 | ) | $ | 10.79 | (.43 | )%7 | $ | 320 | .68 | %8 | .62 | %8 | 1.17 | %8 | (.19 | )%8 | ||||||||||||||||||||||
12/31/17 | 9.34 | .10 | 1.67 | 1.77 | (.07 | ) | — | (.07 | ) | 11.04 | 19.03 | 251 | .70 | .63 | 1.19 | .94 | ||||||||||||||||||||||||||||||||||||||||
12/31/16 | 9.24 | .10 | — | 10 | .10 | — | — | — | 9.34 | 1.08 | 144 | .77 | .63 | 1.20 | 1.08 | |||||||||||||||||||||||||||||||||||||||||
12/31/155,9 | 10.00 | .14 | (.81 | ) | (.67 | ) | (.09 | ) | — | (.09 | ) | 9.24 | (6.71 | )7 | 65 | .90 | 8 | .56 | 8 | 1.13 | 8 | 2.22 | 8 |
28 | American Funds Insurance Series – Portfolio Series |
Six months ended | Year ended December 31 | For the period ended | ||||||||||||||
Portfolio turnover rate | June 30, 20185,6,7 | 2017 | 2016 | December 31, 20155,7,9 | ||||||||||||
Global Growth Portfolio | 5 | % | 10 | % | 17 | % | 32 | % | ||||||||
Growth and Income Portfolio | 3 | 10 | 18 | 10 | ||||||||||||
Managed Risk Growth Portfolio | 1 | 7 | 6 | 4 | ||||||||||||
Managed Risk Growth and Income Portfolio | 1 | 10 | 3 | 4 | ||||||||||||
Managed Risk Global Allocation Portfolio | — | 11 | 8 | 13 | 15 |
1 | Based on average shares outstanding. |
2 | This column reflects the impact of certain waivers/reimbursements by CRMC. During some of the periods shown, CRMC waived a portion of investment advisory services fees and reimbursed a portion of miscellaneous fees and expenses for Global Growth Portfolio, Growth and Income Portfolio, Managed Risk Growth Portfolio and Managed Risk Growth and Income Portfolio. During all of the periods shown, CRMC waived a portion of investment advisory services fees and reimbursed a portion of miscellaneous fees and expenses for the Managed Risk Global Allocation Portfolio. |
3 | This column does not include expenses of the underlying funds in which each fund invests. |
4 | This column reflects the net effective expense ratios for each fund and class, which are unaudited. These ratios include each class’s expense ratio combined with the weighted average net expense ratio of the underlying funds for the periods presented. See Expense Example for further information regarding fees and expenses. |
5 | Based on operations for a period that is less than a full year. |
6 | Unaudited. |
7 | Not annualized. |
8 | Annualized. |
9 | For the period May 1, 2015, commencement of operations, through December 31, 2015. |
10 | Amount less than $.01. |
11 | Amount is either less than 1% or there is no turnover. |
American Funds Insurance Series – Portfolio Series | 29 |
Expense example | unaudited |
The funds in American Funds Insurance Series serve as the underlying investment vehicle for various insurance products. As an owner of an insurance contract that invests in one of the funds in the series, you incur two types of costs: (1) transaction costs, such as initial sales charges on purchase payments and contingent deferred sales charges on redemptions (loads), and (2) ongoing costs, including management fees, distribution and service (12b-1) fees, and other expenses. Additional fees are charged by the insurance companies related to the various benefits they provide. This example is intended to help you understand your ongoing costs (in dollars) of investing in the underlying funds so you can compare these costs with the ongoing costs of investing in other mutual funds that serve a similar function in other annuity products. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period (January 1, 2018, through June 30, 2018).
Actual expenses:
The first line of each share class in the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses paid during period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes:
The second line of each share class in the table on the following page provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio for the share class and an assumed rate of return of 5.00% per year before expenses, which is not the actual return of the share class. 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 fund and other funds. To do so, compare this 5.00% hypothetical example with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Notes:
Additional fees are charged by the insurance companies related to the various benefits they provide. You can estimate the impact of these fees by adding the amount of the fees to the total estimated expenses you paid on your account during the period as calculated above. In addition, your ending account value would be lower by the amount of these fees.
Note that the expenses shown in the table on the following page are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of each share class in the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
30 | American Funds Insurance Series – Portfolio Series |
Beginning account value 1/1/2018 | Ending account value 6/30/2018 | Expenses paid during period1,2 | Annualized expense ratio2 | Effective expenses paid during period3 | Effective annualized expense ratio4 | |||||||||||||||||||
Global Growth Portfolio | ||||||||||||||||||||||||
Class 4 – actual return | $ | 1,000.00 | $ | 1,011.22 | $ | 2.64 | .53 | % | $ | 5.73 | 1.15 | % | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,022.17 | 2.66 | .53 | 5.76 | 1.15 | ||||||||||||||||||
Growth and Income Portfolio | ||||||||||||||||||||||||
Class 4 – actual return | $ | 1,000.00 | $ | 1,013.71 | $ | 2.60 | .52 | % | $ | 4.79 | .96 | % | ||||||||||||
Class 4 – assumed 5% return | 1,000.00 | 1,022.22 | 2.61 | .52 | 4.81 | .96 | ||||||||||||||||||
Managed Risk Growth Portfolio | ||||||||||||||||||||||||
Class P2 – actual return | $ | 1,000.00 | $ | 1,021.82 | $ | 3.11 | .62 | % | $ | 5.06 | 1.01 | % | ||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.72 | 3.11 | .62 | 5.06 | 1.01 | ||||||||||||||||||
Managed Risk Growth and Income Portfolio | ||||||||||||||||||||||||
Class P2 – actual return | $ | 1,000.00 | $ | 1,000.34 | $ | 3.08 | .62 | % | $ | 5.26 | 1.06 | % | ||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.72 | 3.11 | .62 | 5.31 | 1.06 | ||||||||||||||||||
Managed Risk Global Allocation Portfolio | ||||||||||||||||||||||||
Class P2 – actual return | $ | 1,000.00 | $ | 995.70 | $ | 3.07 | .62 | % | $ | 5.79 | 1.17 | % | ||||||||||||
Class P2 – assumed 5% return | 1,000.00 | 1,021.72 | 3.11 | .62 | 5.86 | 1.17 |
1 | The “expenses paid during period” are equal to the “annualized expense ratio,” multiplied by the average account value over the period, multiplied by the number of days in the period, and divided by 365 (to reflect the one-half year period). |
2 | The “expenses paid during period” and “annualized expense ratio” do not include the expenses of the underlying funds in which each fund invests. |
3 | The “effective expenses paid during period” are equal to the “effective annualized expense ratio,” multiplied by the average account value over the period, multiplied by the number of days in the period, and divided by 365 (to reflect the period). |
4 | The “effective annualized expense ratio” reflects the net annualized expense ratio of the class plus the class’s pro-rata share of the weighted average expense ratio of the underlying funds in which it invests. |
American Funds Insurance Series – Portfolio Series | 31 |
This page was intentionally left blank.
32 | American Funds Insurance Series – Portfolio Series |
This page was intentionally left blank.
American Funds Insurance Series – Portfolio Series | 33 |
This page was intentionally left blank.
34 | American Funds Insurance Series – Portfolio Series |
This page was intentionally left blank.
American Funds Insurance Series – Portfolio Series | 35 |
Offices of the series and of the investment adviser
Capital Research and Management Company
333 South Hope Street
Los Angeles, CA 90071-1406
6455 Irvine Center Drive
Irvine, CA 92618-4518
Investment subadviser
Milliman Financial Risk Management LLC
(Managed Risk Funds only)
71 South Wacker Drive, 31st Floor
Chicago, IL 60606
Custodian of assets
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Bank of New York Mellon
(Managed Risk Funds only)
One Wall Street
New York, NY 10286
Counsel
Morgan, Lewis & Bockius LLP
300 South Grand Avenue, 22nd Floor
Los Angeles, CA 90071-3132
Independent registered public accounting firm
PricewaterhouseCoopers LLP
601 South Figueroa Street
Los Angeles, CA 90017-3874
36 | American Funds Insurance Series – Portfolio Series |
Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the series prospectus and summary prospectuses, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at (800) 421-4225 or visit the American Funds website at americanfunds.com. Fund shares offered through American Funds Distributors, Inc.
“Proxy Voting Guidelines for American Funds Insurance Series — Portfolio Series” — which describes how we vote proxies relating to the underlying funds held in the portfolios — is available on the American Funds website or upon request by calling AFS. The series files its proxy voting record with the U.S. Securities and Exchange Commission (SEC) for the 12 months ended June 30 by August 31. The proxy voting record is available free of charge on the SEC website at sec.gov and on the American Funds website.
Complete June 30, 2018, portfolios of American Funds Insurance Series — Portfolio Series investments are available free of charge by calling AFS or visiting the SEC website (where they are part of form N-CSR).
American Funds Insurance Series — Portfolio Series files a complete list of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This filing is available free of charge on the SEC website. You may also review or, for a fee, copy this filing at the SEC’s Public Reference Room in Washington, D.C. Additional information regarding the operation of the Public Reference Room may be obtained by calling the SEC’s Office of Investor Education and Advocacy at (800) SEC-0330. Additionally, the list of portfolio holdings is available by calling AFS.
This report is for the information of American Funds Insurance Series — Portfolio Series investors, but it also may be used as sales literature when preceded or accompanied by the current prospectus or summary prospectuses for American Funds Insurance Series — Portfolio Series and the prospectus for the applicable insurance contract, which give details about charges, expenses, investment objectives and operating policies of the series. If used as sales material after September 30, 2018, this report must be accompanied by a statistical update for the most recently completed calendar quarter.
Bloomberg® is a trademark of Bloomberg Finance L.P. (collectively with its affiliates, “Bloomberg”). Barclays® is a trademark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Neither Bloomberg nor Barclays approves or endorses this material, guarantees the accuracy or completeness of any information herein and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products. The Standard & Poor’s 500 Composite Index (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Capital Group. Copyright© 2018 S&P Dow Jones Indices LLC, a division of S&P Global, and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC.
Printed on recycled paper |
The Capital Advantage®
Since 1931, American Funds® by Capital Group has helped investors pursue long-term investment success. Our consistent approach — in combination with The Capital SystemSM — has resulted in a superior long-term track record for American Funds Insurance Series®.
Aligned with investor success
We base our decisions on a long-term perspective, which we believe aligns our goals with the interests of our clients. American Funds Insurance Series portfolio managers average 27 years of investment experience, including 22 years at our company, reflecting a career commitment to our long-term approach.1
The Capital System
The Capital System combines individual accountability with teamwork. Funds using The Capital System are divided into portions that are managed independently by investment professionals with diverse backgrounds, ages and investment approaches. An extensive global research effort is the backbone of our system.
Superior long-term track record
American Funds Insurance Series equity funds have beaten their comparable Lipper indexes in 93% of 10-year periods and 100% of 20-year periods. Our fixed income funds have beaten comparable Lipper indexes in 69% of 10-year periods and 84% of 20-year periods.2 We strive to keep management fees competitive. Over the past 20 years, most funds’ fees have been below industry averages.3
1 | Portfolio manager experience as of the American Funds Insurance Series prospectus dated May 1, 2018. | |
2 | Based on Class 1 share results for rolling periods through December 31, 2017. Periods covered are the shorter of the fund’s lifetime or since the comparable Lipper index inception date. The comparable Lipper indexes are: Global Funds Index (Global Growth Fund), Growth Funds Index (Growth Fund), International Funds Index (International Fund), Emerging Markets Funds Index (New World Fund), Growth & Income Funds Index (Blue Chip Income and Growth Fund, Growth-Income Fund), Balanced Portfolio Funds Index (Asset Allocation Fund), Core Bond Funds Index (Bond Fund), High Yield Funds Index (High-Income Bond Fund) and General U.S. Government Funds Index (U.S. Government/AAA-Rated Securities Fund). The Lipper Global Small-/Mid-Cap Funds Average was used for Global Small Capitalization Fund. | |
3 | Based on management fees for the 20-year period ended December 31, 2017, versus comparable Lipper categories, excluding funds of funds. |
Lit. No. INGESRX-825-0818P Litho in USA RCG/QD/6311-S66291
ITEM 2 – Code of Ethics
Not applicable for filing of semi-annual reports to shareholders.
ITEM 3 – Audit Committee Financial Expert
Not applicable for filing of semi-annual reports to shareholders.
ITEM 4 – Principal Accountant Fees and Services
Not applicable for filing of semi-annual reports to shareholders.
ITEM 5 – Audit Committee of Listed Registrants
Not applicable to this Registrant, insofar as the Registrant is not a listed issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934.
ITEM 6 – Schedule of Investments
Common stocks 90.66% Information technology 31.08% | Shares | Value (000) |
ASML Holding NV | 648,442 | $128,505 |
ASML Holding NV (New York registered) | 517,300 | 102,410 |
Alphabet Inc., Class A1 | 130,000 | 146,795 |
Alphabet Inc., Class C1 | 71,052 | 79,269 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 26,955,000 | 191,408 |
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 335,000 | 12,248 |
Facebook, Inc., Class A1 | 898,500 | 174,597 |
Microsoft Corp. | 1,583,100 | 156,109 |
Visa Inc., Class A | 998,800 | 132,291 |
Alibaba Group Holding Ltd. (ADR)1 | 671,050 | 124,500 |
Nintendo Co., Ltd. | 345,600 | 112,999 |
Broadcom Inc. | 373,700 | 90,675 |
Tencent Holdings Ltd. | 1,800,000 | 90,349 |
Just Eat PLC1 | 5,292,000 | 54,406 |
AAC Technologies Holdings Inc. | 3,806,540 | 53,613 |
Temenos AG | 335,000 | 50,742 |
Largan Precision Co., Ltd. | 255,000 | 37,554 |
PagSeguro Digital Ltd., Class A1 | 1,340,900 | 37,210 |
Intel Corp. | 598,500 | 29,751 |
Baidu, Inc., Class A (ADR)1 | 112,000 | 27,216 |
Samsung Electronics Co., Ltd., nonvoting preferred | 792,250 | 26,764 |
Murata Manufacturing Co., Ltd. | 155,000 | 26,068 |
Amphenol Corp., Class A | 265,000 | 23,095 |
Jack Henry & Associates, Inc. | 98,000 | 12,775 |
VeriSign, Inc.1 | 90,000 | 12,368 |
TE Connectivity Ltd. | 120,000 | 10,807 |
Tech Mahindra Ltd. | 596,894 | 5,710 |
1,950,234 | ||
Consumer discretionary 17.89% | ||
Amazon.com, Inc.1 | 262,400 | 446,028 |
Booking Holdings Inc.1 | 39,000 | 79,057 |
NIKE, Inc., Class B | 790,500 | 62,987 |
Home Depot, Inc. | 236,800 | 46,200 |
Naspers Ltd., Class N | 177,000 | 44,968 |
Moncler SpA | 915,000 | 41,673 |
Ctrip.com International, Ltd. (ADR)1 | 797,000 | 37,961 |
Wynn Macau, Ltd. | 9,846,400 | 31,689 |
ASOS PLC1 | 370,000 | 29,797 |
Newell Brands Inc. | 1,110,000 | 28,627 |
MGM China Holdings, Ltd. | 10,962,000 | 25,429 |
Tiffany & Co. | 190,000 | 25,004 |
GVC Holdings PLC | 1,559,000 | 21,624 |
Nitori Holdings Co., Ltd. | 135,000 | 21,070 |
Burberry Group PLC | 692,400 | 19,738 |
McDonald’s Corp. | 125,700 | 19,696 |
CBS Corp., Class B | 334,850 | 18,825 |
Common stocks Consumer discretionary (continued) | Shares | Value (000) |
Luxottica Group SpA | 270,617 | $17,464 |
Maruti Suzuki India Ltd. | 120,000 | 15,458 |
Brilliance China Automotive Holdings Ltd. | 7,494,000 | 13,525 |
Sony Corp. | 243,000 | 12,431 |
Sodexo SA | 122,000 | 12,198 |
Twenty-First Century Fox, Inc., Class A | 242,000 | 12,025 |
Cie. Financière Richemont SA, Class A | 121,450 | 10,316 |
Suzuki Motor Corp. | 182,000 | 10,057 |
Valeo SA, non-registered shares | 175,000 | 9,568 |
MGM Resorts International | 320,000 | 9,290 |
1,122,705 | ||
Financials 9.70% | ||
AIA Group Ltd. | 15,004,900 | 131,199 |
JPMorgan Chase & Co. | 853,600 | 88,945 |
Kotak Mahindra Bank Ltd. | 3,471,000 | 68,034 |
MarketAxess Holdings Inc. | 211,000 | 41,749 |
Prudential PLC | 1,793,884 | 41,064 |
Société Générale | 923,000 | 38,928 |
Moscow Exchange MICEX-RTS PJSC | 12,640,000 | 21,853 |
SunTrust Banks, Inc. | 317,000 | 20,928 |
AXA SA | 656,000 | 16,099 |
ORIX Corp. | 1,017,000 | 16,093 |
CME Group Inc., Class A | 97,200 | 15,933 |
Banco Santander, SA | 2,946,020 | 15,798 |
BlackRock, Inc. | 30,600 | 15,271 |
Berkshire Hathaway Inc., Class A1 | 54 | 15,230 |
Bankinter, SA | 1,281,000 | 12,479 |
HSBC Holdings PLC (GBP denominated) | 1,250,000 | 11,724 |
Grupo Financiero Galicia SA, Class B (ADR) | 327,000 | 10,785 |
Sberbank of Russia PJSC (ADR) | 645,500 | 9,318 |
GT Capital Holdings, Inc. | 545,000 | 9,293 |
Credit Suisse Group AG | 516,522 | 7,798 |
608,521 | ||
Health care 9.69% | ||
UnitedHealth Group Inc. | 324,200 | 79,539 |
Sartorius AG, non-registered shares, nonvoting preferred | 381,500 | 57,071 |
Express Scripts Holding Co.1 | 729,300 | 56,309 |
Boston Scientific Corp.1 | 1,638,200 | 53,569 |
Merck & Co., Inc. | 820,000 | 49,774 |
AstraZeneca PLC | 652,300 | 45,222 |
Mettler-Toledo International Inc.1 | 65,000 | 37,611 |
Fisher & Paykel Healthcare Corp. Ltd. | 3,680,000 | 37,113 |
Bayer AG | 309,860 | 34,141 |
Genmab A/S1 | 167,000 | 25,778 |
Regeneron Pharmaceuticals, Inc.1 | 64,200 | 22,148 |
CSL Ltd. | 147,000 | 20,955 |
Aetna Inc. | 110,000 | 20,185 |
Straumann Holding AG | 22,200 | 16,925 |
Hypera SA, ordinary nominative | 2,220,000 | 15,815 |
bioMérieux SA | 135,000 | 12,155 |
William Demant Holding A/S1 | 228,540 | 9,199 |
Common stocks Health care (continued) | Shares | Value (000) |
Novartis AG | 108,000 | $8,210 |
Vertex Pharmaceuticals Inc.1 | 38,600 | 6,560 |
608,279 | ||
Consumer staples 6.29% | ||
British American Tobacco PLC | 1,710,800 | 86,475 |
Nestlé SA | 739,650 | 57,436 |
Philip Morris International Inc. | 602,200 | 48,621 |
Uni-Charm Corp. | 1,157,000 | 34,831 |
Coca-Cola European Partners plc | 832,000 | 33,812 |
Pernod Ricard SA | 200,000 | 32,675 |
Shoprite Holdings Ltd. | 1,432,000 | 23,030 |
Lenta Ltd. (GDR)1 | 1,702,100 | 9,379 |
Lenta Ltd. (GDR)1,2 | 1,211,900 | 6,677 |
Associated British Foods PLC | 428,000 | 15,466 |
Costco Wholesale Corp. | 59,500 | 12,434 |
Coca-Cola HBC AG (CDI) | 336,700 | 11,247 |
Alimentation Couche-Tard Inc., Class B | 256,500 | 11,143 |
Coca-Cola FEMSA, SAB de CV, Series L | 1,965,000 | 11,127 |
394,353 | ||
Industrials 5.80% | ||
Airbus SE, non-registered shares | 1,177,500 | 137,866 |
ASSA ABLOY AB, Class B | 1,677,000 | 35,743 |
Ryanair Holdings PLC (ADR)1 | 307,000 | 35,069 |
Geberit AG | 65,000 | 27,955 |
Alliance Global Group, Inc.1 | 111,060,000 | 24,182 |
Caterpillar Inc. | 168,800 | 22,901 |
Boeing Co. | 51,300 | 17,212 |
IDEX Corp. | 122,400 | 16,705 |
Aalberts Industries NV, non-registered shares | 315,000 | 15,089 |
Rockwool International A/S, Class B | 33,293 | 13,004 |
Johnson Controls International PLC | 285,800 | 9,560 |
NIBE Industrier AB, Class B | 817,914 | 8,779 |
364,065 | ||
Energy 2.07% | ||
Royal Dutch Shell PLC, Class B | 1,042,000 | 37,315 |
Reliance Industries Ltd. | 2,090,000 | 29,664 |
LUKOIL Oil Co. PJSC (ADR) | 306,700 | 20,972 |
Gazprom PJSC (ADR) | 4,173,000 | 18,365 |
Occidental Petroleum Corp. | 114,000 | 9,540 |
Schlumberger Ltd. | 132,000 | 8,848 |
Baker Hughes, a GE Co., Class A | 162,000 | 5,351 |
130,055 | ||
Materials 2.07% | ||
Sherwin-Williams Co. | 155,500 | 63,377 |
Glencore PLC | 6,150,000 | 29,382 |
Randgold Resources Ltd. | 250,000 | 19,202 |
Air Liquide SA, bonus shares3 | 79,200 | 9,961 |
DowDuPont Inc. | 123,027 | 8,110 |
130,032 |
Common stocks Telecommunication services 1.09% | Shares | Value (000) |
SoftBank Group Corp. | 776,000 | $55,883 |
BT Group PLC | 4,250,000 | 12,216 |
68,099 | ||
Miscellaneous 4.98% | ||
Other common stocks in initial period of acquisition | 312,437 | |
Total common stocks (cost: $3,548,106,000) | 5,688,780 | |
Bonds, notes & other debt instruments 0.02% U.S. Treasury bonds & notes 0.02% U.S. Treasury 0.02% | Principal amount (000) | |
U.S. Treasury 0.875% 2018 | $1,000 | 1,000 |
Total bonds, notes & other debt instruments (cost: $1,000,000) | 1,000 | |
Short-term securities 9.03% | ||
Caisse d’Amortissement de la Dette Sociale 1.99% due 7/9/2018 | 15,000 | 14,993 |
Mizuho Bank, Ltd. 1.90%–2.04% due 7/2/2018–7/20/20182 | 134,100 | 133,977 |
National Australia Bank Ltd. 2.08% due 8/21/20182 | 76,100 | 75,862 |
Nestlé Capital Corp. 2.08% due 9/4/20182 | 24,800 | 24,707 |
Nordea Bank AB 2.22% due 9/17/20182 | 50,000 | 49,763 |
Sumitomo Mitsui Banking Corp. 2.00%–2.10% due 7/23/2018–8/21/20182 | 134,700 | 134,348 |
Swedbank AB 1.85%–2.23% due 7/2/2018–9/27/2018 | 133,800 | 133,274 |
Total short-term securities (cost: $566,959,000) | 566,924 | |
Total investment securities 99.71% (cost: $4,116,065,000) | 6,256,704 | |
Other assets less liabilities 0.29% | 18,151 | |
Net assets 100.00% | $6,274,855 |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
USD5,295 | JPY581,294 | Bank of America, N.A. | 7/25/2018 | $35 |
JPY581,294 | USD5,263 | Goldman Sachs | 7/25/2018 | (3) |
$32 |
1 | Security did not produce income during the last 12 months. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $325,640,000, which represented 5.19% of the net assets of the fund. |
3 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of the security was $9,961,000, which represented .16% of the net assets of the fund. |
Key to abbreviations and symbol |
ADR = American Depositary Receipts |
CDI = CREST Depository Interest |
GBP = British pounds |
GDR = Global Depositary Receipts |
JPY = Japanese yen |
USD/$ = U.S. dollars |
Common stocks 91.02% Health care 21.61% | Shares | Value (000) |
GW Pharmaceuticals PLC (ADR)1 | 746,460 | $104,161 |
Insulet Corp.1 | 879,755 | 75,395 |
Integra LifeSciences Holdings Corp.1 | 1,025,423 | 66,047 |
iRhythm Technologies, Inc.1 | 807,980 | 65,551 |
China Biologic Products Holdings, Inc.1 | 524,000 | 52,049 |
Madrigal Pharmaceuticals, Inc.1 | 177,800 | 49,729 |
WuXi Biologics (Cayman) Inc.1 | 3,729,800 | 41,526 |
Molina Healthcare, Inc.1 | 420,000 | 41,135 |
NuCana PLC (ADR)1,2 | 2,067,724 | 39,287 |
Evolent Health, Inc., Class A1 | 1,436,000 | 30,228 |
CONMED Corp. | 399,000 | 29,207 |
athenahealth, Inc.1 | 176,000 | 28,009 |
Illumina, Inc.1 | 100,200 | 27,985 |
CryoLife, Inc.1 | 898,000 | 25,009 |
Bluebird Bio, Inc.1 | 154,765 | 24,290 |
Haemonetics Corp.1 | 245,500 | 22,016 |
Nakanishi Inc. | 969,000 | 22,012 |
Tabula Rasa HealthCare, Inc.1 | 340,312 | 21,722 |
Wright Medical Group NV1 | 753,400 | 19,558 |
PRA Health Sciences, Inc.1 | 202,800 | 18,933 |
Osstem Implant Co., Ltd.1 | 412,245 | 18,828 |
Hikma Pharmaceuticals PLC | 869,000 | 17,214 |
BioMarin Pharmaceutical Inc.1 | 172,000 | 16,202 |
Ultragenyx Pharmaceutical Inc.1 | 203,374 | 15,633 |
Encompass Health Corp. | 219,000 | 14,831 |
NuVasive, Inc.1 | 200,000 | 10,424 |
ImmunoGen, Inc.1 | 1,048,000 | 10,197 |
Divi’s Laboratories Ltd. | 584,864 | 8,866 |
Genomma Lab Internacional, SAB de CV, Series B1 | 5,400,000 | 4,511 |
Teleflex Inc. | 12,000 | 3,219 |
NantKwest, Inc.1 | 773,700 | 2,368 |
Capio AB | 472,004 | 2,261 |
928,403 | ||
Consumer discretionary 18.00% | ||
Melco International Development Ltd. | 17,379,000 | 53,495 |
GVC Holdings PLC | 3,573,748 | 49,570 |
Five Below, Inc.1 | 457,000 | 44,653 |
Seria Co., Ltd. | 789,526 | 37,938 |
Entertainment One Ltd. | 7,563,697 | 36,714 |
Hilton Grand Vacations Inc.1 | 1,033,100 | 35,849 |
Cedar Fair, LP | 531,000 | 33,458 |
Domino’s Pizza, Inc. | 100,000 | 28,217 |
Caesars Entertainment Corp.1 | 2,375,836 | 25,421 |
Kyoritsu Maintenance Co., Ltd. | 401,100 | 22,027 |
Tele Columbus AG1 | 2,743,000 | 19,059 |
Common stocks Consumer discretionary (continued) | Shares | Value (000) |
Countryside Properties PLC | 4,005,566 | $18,185 |
Belmond Ltd., Class A1 | 1,624,000 | 18,108 |
Grand Canyon Education, Inc.1 | 141,000 | 15,737 |
Ted Baker PLC | 542,500 | 15,422 |
National Vision Holdings, Inc.1 | 397,500 | 14,537 |
Nifco Inc. | 466,000 | 14,437 |
Texas Roadhouse, Inc. | 210,000 | 13,757 |
Vail Resorts, Inc. | 49,673 | 13,620 |
ServiceMaster Global Holdings, Inc.1 | 218,000 | 12,964 |
Brunello Cucinelli SPA | 280,865 | 12,546 |
Inchcape PLC | 1,204,600 | 12,408 |
Melco Resorts & Entertainment Ltd. (ADR) | 425,000 | 11,900 |
Paddy Power Betfair PLC | 106,393 | 11,803 |
Hostelworld Group PLC | 2,823,000 | 11,736 |
Aritzia Inc., subordinate voting shares1 | 954,340 | 11,324 |
Man Wah Holdings Ltd. | 14,118,400 | 11,085 |
AA PLC | 6,744,804 | 11,051 |
zooplus AG, non-registered shares1 | 55,600 | 10,389 |
Zhongsheng Group Holdings Ltd. | 3,419,000 | 10,263 |
Casio Computer Co., Ltd. | 520,000 | 8,464 |
Elang Mahkota Teknologi Tbk PT | 13,386,100 | 8,360 |
Hyundai Wia Corp. | 211,948 | 7,750 |
Taiwan Paiho Ltd. | 3,621,000 | 7,625 |
Cie. Plastic Omnium SA | 178,600 | 7,552 |
Gestamp Automocion SA, non-registered shares1 | 945,000 | 7,090 |
Greene King PLC | 911,618 | 6,925 |
Momo.com Inc. | 938,000 | 6,645 |
Dine Brands Global, Inc. | 84,920 | 6,352 |
Lions Gate Entertainment Corp., Class A | 250,000 | 6,205 |
WE Solutions Ltd.1 | 40,044,000 | 6,023 |
Cuckoo Homesys Co., Ltd.1 | 28,563 | 5,690 |
ElringKlinger AG | 421,200 | 5,406 |
Cuckoo Holdings Co., Ltd. | 33,836 | 5,389 |
Greggs PLC | 375,200 | 4,929 |
Daily Mail and General Trust PLC, Class A, nonvoting | 485,000 | 4,740 |
Toll Brothers, Inc. | 105,000 | 3,884 |
Eclat Textile Co., Ltd. | 305,120 | 3,628 |
NAN LIU Enterprise Co., Ltd. | 633,000 | 3,592 |
ASOS PLC1 | 40,600 | 3,270 |
Chow Sang Sang Holdings International Ltd. | 1,622,000 | 3,126 |
PT Surya Citra Media Tbk | 21,510,000 | 3,092 |
Talwalkars Lifestyles Ltd.1 | 1,020,000 | 2,244 |
DO & CO AG, non-registered shares | 35,366 | 2,098 |
Mulberry Group PLC | 191,000 | 1,828 |
Minor International PCL, nonvoting depositary receipt | 1,373,000 | 1,347 |
POLYTEC Holding AG, non-registered shares | 81,244 | 1,159 |
Talwalkars Better Value Fitness Ltd. | 1,020,000 | 727 |
China Zenix Auto International Ltd. (ADR)1 | 428,500 | 279 |
773,092 | ||
Information technology 13.53% | ||
Qorvo, Inc.1 | 600,900 | 48,174 |
Paycom Software, Inc.1 | 428,885 | 42,387 |
Mellanox Technologies, Ltd.1 | 423,200 | 35,676 |
Hamamatsu Photonics KK | 735,753 | 31,632 |
Common stocks Information technology (continued) | Shares | Value (000) |
Topcon Corp. | 1,707,510 | $29,303 |
VTech Holdings Ltd. | 2,189,000 | 25,264 |
ZPG PLC | 3,813,656 | 24,592 |
Cree, Inc.1 | 538,507 | 22,386 |
Zebra Technologies Corp., Class A1 | 155,000 | 22,204 |
Lumentum Holdings Inc.1 | 364,500 | 21,104 |
WIN Semiconductors Corp. | 2,645,489 | 19,046 |
AAC Technologies Holdings Inc. | 1,305,561 | 18,388 |
II-VI, Inc.1 | 423,000 | 18,379 |
Moneysupermarket.com Group PLC | 4,295,000 | 17,850 |
Cypress Semiconductor Corp. | 850,000 | 13,243 |
Inphi Corp.1 | 405,000 | 13,207 |
X-FAB Silicon Foundries SE1 | 1,260,947 | 12,752 |
Integrated Device Technology, Inc.1 | 386,000 | 12,306 |
Silicon Laboratories Inc.1 | 122,000 | 12,151 |
Money Forward, Inc.1 | 233,104 | 11,538 |
Cognex Corp. | 250,000 | 11,152 |
Mitel Networks Corp.1 | 1,000,000 | 10,970 |
Endurance International Group Holdings, Inc.1 | 1,082,000 | 10,766 |
Vanguard International Semiconductor Corp. | 4,700,000 | 10,760 |
MACOM Technology Solutions Holdings, Inc.1 | 421,000 | 9,700 |
Viavi Solutions Inc.1 | 894,600 | 9,161 |
Coupa Software Inc.1 | 126,000 | 7,842 |
DocuSign, Inc.1 | 147,100 | 7,789 |
YY Inc., Class A (ADR)1 | 76,000 | 7,636 |
Kingboard Chemical Holdings Ltd. | 2,039,000 | 7,459 |
Faraday Technology Corp. | 3,581,000 | 7,024 |
Bechtle AG, non-registered shares | 87,500 | 6,754 |
RIB Software SE | 277,200 | 6,442 |
j2 Global, Inc. | 70,000 | 6,063 |
Finisar Corp.1 | 320,000 | 5,760 |
AGTech Holdings Ltd.1 | 30,000,000 | 3,059 |
Okta, Inc., Class A1 | 27,263 | 1,373 |
581,292 | ||
Financials 10.13% | ||
Kotak Mahindra Bank Ltd. | 3,282,732 | 64,344 |
Texas Capital Bancshares, Inc.1 | 514,201 | 47,049 |
Trupanion, Inc.1 | 1,063,800 | 41,063 |
Essent Group Ltd.1 | 1,018,841 | 36,495 |
Webster Financial Corp. | 553,000 | 35,226 |
Cannae Holdings, Inc.1 | 1,625,000 | 30,144 |
Avanza Bank Holding AB | 560,129 | 28,767 |
Close Brothers Group PLC | 905,303 | 17,754 |
EFG International AG | 2,231,703 | 16,767 |
Bharat Financial Inclusion Ltd.1 | 914,511 | 15,437 |
NMI Holdings, Inc.1 | 928,075 | 15,128 |
Eagle Bancorp, Inc.1 | 236,000 | 14,467 |
City Union Bank Ltd. | 5,185,775 | 13,980 |
Numis Corp. PLC | 2,022,302 | 11,049 |
Fanhua Inc. (ADR) | 330,000 | 9,405 |
Uzabase, Inc.1 | 316,000 | 9,347 |
BPER Banca SPA | 1,472,000 | 8,091 |
Eurobank Ergasias SA1 | 5,950,000 | 6,219 |
Signature Bank1 | 42,000 | 5,371 |
Common stocks Financials (continued) | Shares | Value (000) |
Bank of Ireland Group PLC | 469,984 | $3,669 |
National Bank of Pakistan1 | 5,270,000 | 2,055 |
Permanent TSB Group Holdings PLC1 | 750,000 | 1,752 |
Bank of Cyprus Holdings PLC1 | 622,100 | 1,736 |
435,315 | ||
Industrials 9.33% | ||
International Container Terminal Services, Inc. | 20,180,000 | 29,230 |
Advanced Disposal Services, Inc.1 | 1,159,501 | 28,732 |
Nihon M&A Center Inc. | 837,392 | 24,317 |
Bravida Holding AB | 2,729,000 | 21,678 |
Curtiss-Wright Corp. | 168,084 | 20,005 |
Tsubaki Nakashima Co., Ltd. | 828,361 | 19,535 |
Nabtesco Corp. | 592,796 | 18,258 |
Grafton Group PLC, units | 1,557,000 | 16,357 |
Johnson Electric Holdings Ltd. | 5,162,000 | 15,034 |
NORMA Group SE, non-registered shares | 215,718 | 14,800 |
Air Lease Corp., Class A | 350,000 | 14,690 |
BWX Technologies, Inc. | 235,665 | 14,687 |
Matson, Inc. | 379,000 | 14,546 |
Boyd Group Income Fund | 143,300 | 12,776 |
Allegiant Travel Co. | 86,642 | 12,039 |
Generac Holdings Inc.1 | 210,000 | 10,863 |
Amara Raja Batteries Ltd. | 969,766 | 10,278 |
Fujitec Co., Ltd. | 815,000 | 10,048 |
J. Kumar Infraprojects Ltd. | 2,901,000 | 9,662 |
AKR Corporindo Tbk PT | 30,527,800 | 9,161 |
Bossard Holding AG | 44,100 | 8,207 |
Trust Tech Inc. | 232,000 | 8,162 |
Carborundum Universal Ltd. | 1,740,000 | 8,048 |
Havells India Ltd.1 | 977,874 | 7,755 |
eHi Car Services Limited (ADR)1 | 598,100 | 7,751 |
Nexans SA | 221,000 | 7,621 |
Harmonic Drive Systems Inc. | 176,400 | 7,473 |
KeyW Holding Corp.1 | 750,000 | 6,555 |
Europcar Groupe SA | 464,040 | 4,842 |
va-Q-tec AG1 | 262,000 | 3,503 |
Talgo SA, non-registered shares1 | 568,402 | 3,412 |
Alliance Global Group, Inc.1 | 3,754,200 | 817 |
400,842 | ||
Energy 3.17% | ||
SM Energy Co. | 1,111,000 | 28,542 |
Whitecap Resources Inc. | 3,674,880 | 24,906 |
Cactus, Inc., Class A1 | 603,100 | 20,379 |
Kosmos Energy Ltd.1 | 1,765,000 | 14,597 |
Venture Global LNG, Inc., Series C1,3,4,5,6 | 2,760 | 13,979 |
Source Energy Services Ltd.1 | 2,183,000 | 8,253 |
Tullow Oil PLC1 | 2,059,866 | 6,660 |
Independence Contract Drilling, Inc.1 | 1,214,071 | 5,002 |
RSP Permian, Inc.1 | 110,000 | 4,842 |
Golar LNG Ltd. | 158,300 | 4,663 |
Ophir Energy PLC1 | 6,652,492 | 4,434 |
136,257 |
Common stocks Real estate 2.85% | Shares | Value (000) |
WHA Corp. PCL | 372,370,250 | $41,137 |
MGM Growth Properties LLC REIT, Class A | 1,323,600 | 40,317 |
Inmobiliaria Colonial Socimi SA REIT | 900,000 | 9,948 |
Mahindra Lifespace Developers Ltd. | 1,069,195 | 8,721 |
KKR Real Estate Finance Trust Inc. REIT | 423,700 | 8,381 |
K. Wah International Holdings Ltd. | 8,789,639 | 5,064 |
BR Properties SA, ordinary nominative | 1,284,800 | 3,016 |
Prologis Property Mexico, SA de CV REIT | 1,538,600 | 2,838 |
São Carlos Empreendimentos e Participações S.A | 344,300 | 2,754 |
122,176 | ||
Materials 2.82% | ||
Lundin Mining Corp. | 6,820,000 | 37,922 |
Sirius Minerals PLC1 | 44,273,655 | 19,329 |
PolyOne Corp. | 350,000 | 15,127 |
Buzzi Unicem SPA | 429,000 | 10,516 |
CPMC Holdings Ltd. | 11,300,000 | 6,985 |
Steel Dynamics, Inc. | 148,300 | 6,814 |
Allegheny Technologies Inc.1 | 250,500 | 6,292 |
Indorama Ventures PCL, foreign registered | 3,658,000 | 6,045 |
Hudbay Minerals Inc. | 1,037,900 | 5,787 |
Arkema SA | 27,400 | 3,245 |
KOLON Industries, Inc. | 50,000 | 3,033 |
121,095 | ||
Consumer staples 2.75% | ||
Varun Beverages Ltd. | 2,504,974 | 27,552 |
Treasury Wine Estates Ltd. | 1,834,975 | 23,615 |
COSMOS Pharmaceutical Corp. | 90,546 | 18,385 |
Century Pacific Food, Inc. | 32,693,000 | 9,802 |
Philip Morris CR AS | 10,500 | 7,217 |
Emperador Inc. | 45,300,000 | 6,273 |
Kernel Holding SA | 493,041 | 6,259 |
Morinaga & Co., Ltd. | 119,400 | 5,727 |
PriceSmart, Inc. | 56,700 | 5,131 |
Milbon Co., Ltd. | 102,900 | 4,614 |
Delfi Ltd. | 3,729,800 | 3,422 |
117,997 | ||
Utilities 1.65% | ||
ENN Energy Holdings Ltd. | 4,991,400 | 49,083 |
REN - Redes Energéticas Nacionais, SGPS, SA, non-registered shares | 6,201,733 | 17,382 |
EDP - Energias do Brasil SA | 877,900 | 3,141 |
Energy World Corp. Ltd.1 | 10,848,344 | 1,365 |
70,971 | ||
Telecommunication services 0.42% | ||
TalkTalk Telecom Group PLC | 4,905,500 | 6,798 |
Play Communications SA, non-registered shares | 795,000 | 5,433 |
Zegona Communications PLC | 1,980,903 | 3,085 |
Indosat Tbk PT | 12,616,000 | 2,800 |
18,116 |
Common stocks Miscellaneous 4.76% | Shares | Value (000) |
Other common stocks in initial period of acquisition | $204,413 | |
Total common stocks (cost: $2,970,217,000) | 3,909,969 | |
Convertible bonds 0.18% Consumer discretionary 0.18% | Principal amount (000) | |
Caesars Entertainment Corp., convertible notes, 5.00% 2024 | $—7 | 7,655 |
Total convertible bonds (cost: $8,455,000) | 7,655 | |
Bonds, notes & other debt instruments 0.09% U.S. Treasury bonds & notes 0.09% U.S. Treasury 0.09% | ||
U.S. Treasury 0.875% 2018 | $4,125 | 4,123 |
Total bonds, notes & other debt instruments (cost: $4,124,000) | 4,123 | |
Short-term securities 8.66% | ||
Australia & New Zealand Banking Group, Ltd. 1.95% due 7/13/20186 | 40,000 | 39,970 |
BNP Paribas, New York Branch 2.22% due 9/4/2018 | 38,600 | 38,447 |
Federal Home Loan Bank 1.79%–1.90% due 7/13/2018–8/13/2018 | 86,200 | 86,073 |
Nordea Bank AB 2.25% due 9/21/20186 | 5,600 | 5,572 |
Province of Ontario 1.91% due 7/5/2018 | 37,600 | 37,588 |
Sumitomo Mitsui Banking Corp. 2.24% due 8/28/20186 | 50,000 | 49,825 |
Swedbank AB 1.85%–2.21% due 7/2/2018–7/23/2018 | 91,400 | 91,366 |
U.S. Treasury Bills 1.87% due 8/30/2018 | 23,100 | 23,029 |
Total short-term securities (cost: $371,865,000) | 371,870 | |
Total investment securities 99.95% (cost: $3,354,661,000) | 4,293,617 | |
Other assets less liabilities 0.05% | 2,254 | |
Net assets 100.00% | $4,295,871 |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
USD16,095 | JPY1,765,175 | JPMorgan Chase | 7/10/2018 | $140 |
JPY1,765,175 | USD15,959 | Bank of America, N.A. | 7/10/2018 | (4) |
USD9,832 | INR663,163 | Citibank | 7/17/2018 | 173 |
INR663,163 | USD9,666 | JPMorgan Chase | 7/17/2018 | (8) |
GBP26,030 | USD34,286 | JPMorgan Chase | 7/23/2018 | 106 |
USD34,329 | GBP26,030 | Bank of New York Mellon | 7/23/2018 | (62) |
USD10,502 | GBP7,908 | Citibank | 7/25/2018 | 53 |
GBP7,908 | USD10,419 | Citibank | 7/25/2018 | 30 |
$428 |
1 | Security did not produce income during the last 12 months. |
2 | Represents an affiliated company as defined under the Investment Company Act of 1940. |
3 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of the security was $13,979,000, which represented .33% of the net assets of the fund. |
4 | Value determined using significant unobservable inputs. |
5 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on this holding appear below. |
6 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $109,346,000, which represented 2.55% of the net assets of the fund. |
7 | Amount less than one thousand. |
Private placement security | Acquisition date | Cost (000) | Value (000) | Percent of net assets |
Venture Global LNG, Inc., Series C | 5/1/2015 | $8,280 | $13,979 | .33% |
Key to abbreviations and symbol | |
ADR = American Depositary Receipts | |
GBP = British pounds | |
INR = Indian rupees | |
JPY = Japanese yen | |
USD/$ = U.S. dollars |
Common stocks 96.07% Information technology 33.31% | Shares | Value (000) |
Facebook, Inc., Class A1 | 7,340,500 | $1,426,406 |
Alphabet Inc., Class C1 | 713,000 | 795,458 |
Alphabet Inc., Class A1 | 396,500 | 447,724 |
Microsoft Corp. | 11,254,000 | 1,109,757 |
Broadcom Inc. | 3,248,100 | 788,119 |
ASML Holding NV (New York registered) | 2,382,000 | 471,565 |
ASML Holding NV | 1,199,568 | 237,725 |
ServiceNow, Inc.1 | 3,093,000 | 533,450 |
Visa Inc., Class A | 2,955,000 | 391,390 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 36,360,000 | 258,194 |
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 2,975,392 | 108,780 |
Intel Corp. | 4,790,000 | 238,111 |
Activision Blizzard, Inc. | 2,996,300 | 228,678 |
Samsung Electronics Co., Ltd. | 4,450,000 | 186,265 |
Samsung Electronics Co., Ltd., nonvoting preferred | 565,000 | 19,087 |
Alibaba Group Holding Ltd. (ADR)1 | 875,000 | 162,339 |
Intuit Inc. | 650,000 | 132,798 |
Paycom Software, Inc.1 | 1,260,600 | 124,585 |
Square, Inc., Class A1 | 1,985,000 | 122,355 |
Workday, Inc., Class A1 | 838,000 | 101,499 |
Hexagon AB, Class B | 1,788,300 | 99,730 |
TE Connectivity Ltd. | 1,065,000 | 95,914 |
Nintendo Co., Ltd. | 250,000 | 81,741 |
Murata Manufacturing Co., Ltd. | 387,000 | 65,085 |
Amphenol Corp., Class A | 650,000 | 56,647 |
Jack Henry & Associates, Inc. | 407,000 | 53,057 |
Fiserv, Inc.1 | 706,000 | 52,308 |
RingCentral, Inc., Class A1 | 680,000 | 47,838 |
PayPal Holdings, Inc.1 | 513,000 | 42,717 |
Apple Inc. | 209,000 | 38,688 |
Sabre Corp. | 1,314,300 | 32,384 |
VeriSign, Inc.1 | 185,000 | 25,423 |
Snap Inc., Class A1 | 1,179,600 | 15,441 |
8,591,258 | ||
Consumer discretionary 21.43% | ||
Amazon.com, Inc.1 | 1,147,916 | 1,951,229 |
Netflix, Inc.1 | 2,110,000 | 825,917 |
Tesla, Inc.1 | 1,813,000 | 621,768 |
Home Depot, Inc. | 2,292,000 | 447,169 |
NIKE, Inc., Class B | 4,505,000 | 358,958 |
Booking Holdings Inc.1 | 151,531 | 307,167 |
Charter Communications, Inc., Class A1 | 973,680 | 285,493 |
Comcast Corp., Class A | 8,685,000 | 284,955 |
Ulta Beauty, Inc.1 | 700,000 | 163,422 |
MGM Resorts International | 2,175,000 | 63,140 |
Common stocks Consumer discretionary (continued) | Shares | Value (000) |
Newell Brands Inc. | 1,818,900 | $46,910 |
Luxottica Group SpA | 689,000 | 44,463 |
Domino’s Pizza, Inc. | 141,866 | 40,030 |
Norwegian Cruise Line Holdings Ltd.1 | 670,000 | 31,658 |
Sturm, Ruger & Co., Inc. | 557,788 | 31,236 |
Paddy Power Betfair PLC | 220,000 | 24,407 |
5,527,922 | ||
Health care 13.87% | ||
UnitedHealth Group Inc. | 3,137,600 | 769,779 |
Intuitive Surgical, Inc.1 | 940,500 | 450,010 |
Regeneron Pharmaceuticals, Inc.1 | 1,194,000 | 411,918 |
Humana Inc. | 993,200 | 295,606 |
Vertex Pharmaceuticals Inc.1 | 1,559,200 | 265,002 |
Centene Corp.1 | 1,808,400 | 222,813 |
Boston Scientific Corp.1 | 5,997,000 | 196,102 |
Aetna Inc. | 1,030,000 | 189,005 |
Thermo Fisher Scientific Inc. | 795,000 | 164,676 |
Illumina, Inc.1 | 550,000 | 153,609 |
Express Scripts Holding Co.1 | 1,151,200 | 88,884 |
DexCom, Inc.1 | 920,000 | 87,382 |
Hologic, Inc.1 | 2,190,000 | 87,053 |
ResMed Inc. | 755,000 | 78,203 |
Johnson & Johnson | 527,800 | 64,043 |
Merck & Co., Inc. | 700,000 | 42,490 |
Incyte Corp.1 | 171,000 | 11,457 |
3,578,032 | ||
Financials 9.93% | ||
Wells Fargo & Co. | 9,990,454 | 553,871 |
BlackRock, Inc. | 539,000 | 268,983 |
Goldman Sachs Group, Inc. | 922,400 | 203,454 |
JPMorgan Chase & Co. | 1,947,000 | 202,877 |
Berkshire Hathaway Inc., Class A1 | 410 | 115,636 |
Berkshire Hathaway Inc., Class B1 | 363,734 | 67,891 |
PNC Financial Services Group, Inc. | 1,083,600 | 146,394 |
Legal & General Group PLC | 40,158,246 | 140,977 |
Bank of America Corp. | 4,015,000 | 113,183 |
Capital One Financial Corp. | 1,111,100 | 102,110 |
FCB Financial Holdings, Inc., Class A1 | 1,680,000 | 98,784 |
Onex Corp. | 1,342,800 | 98,556 |
First Republic Bank | 755,000 | 73,077 |
T. Rowe Price Group, Inc. | 627,500 | 72,847 |
CME Group Inc., Class A | 350,100 | 57,388 |
Oaktree Capital Group, LLC | 1,162,000 | 47,235 |
MarketAxess Holdings Inc. | 180,000 | 35,615 |
Chubb Ltd. | 250,000 | 31,755 |
Synchrony Financial | 935,000 | 31,210 |
Fifth Third Bancorp | 1,044,600 | 29,980 |
Webster Financial Corp. | 464,000 | 29,557 |
Morgan Stanley | 411,000 | 19,481 |
Financial Engines, Inc. | 425,000 | 19,083 |
2,559,944 |
Common stocks Energy 7.13% | Shares | Value (000) |
EOG Resources, Inc. | 2,402,400 | $298,931 |
Concho Resources Inc.1 | 1,870,000 | 258,714 |
Noble Energy, Inc. | 5,663,000 | 199,791 |
Suncor Energy Inc. | 4,588,116 | 186,714 |
Pioneer Natural Resources Co. | 810,000 | 153,284 |
Chevron Corp. | 1,000,000 | 126,430 |
Halliburton Co. | 2,500,000 | 112,650 |
Schlumberger Ltd. | 1,650,000 | 110,599 |
Diamondback Energy, Inc. | 687,721 | 90,483 |
Royal Dutch Shell PLC, Class B (ADR) | 760,100 | 55,221 |
Royal Dutch Shell PLC, Class A (ADR) | 70,279 | 4,866 |
Tourmaline Oil Corp. | 3,244,100 | 57,965 |
Seven Generations Energy Ltd., Class A1 | 5,050,000 | 55,661 |
Murphy Oil Corp. | 1,043,200 | 35,229 |
Cabot Oil & Gas Corp. | 1,227,900 | 29,224 |
Enbridge Inc. (CAD denominated)2 | 664,506 | 23,757 |
Enbridge Inc. (CAD denominated) | 11,325 | 405 |
Weatherford International PLC1 | 6,073,839 | 19,983 |
Peyto Exploration & Development Corp. | 2,344,000 | 18,044 |
1,837,951 | ||
Industrials 4.15% | ||
TransDigm Group Inc. | 524,000 | 180,853 |
MTU Aero Engines AG | 872,162 | 167,647 |
ASGN Inc.1 | 1,279,500 | 100,044 |
Norfolk Southern Corp. | 633,000 | 95,501 |
Raytheon Co. | 458,025 | 88,481 |
Boeing Co. | 250,000 | 83,878 |
Caterpillar Inc. | 505,000 | 68,513 |
Fortive Corp. | 875,000 | 67,471 |
Grafton Group PLC, units | 5,926,200 | 62,256 |
FedEx Corp. | 227,000 | 51,543 |
Johnson Controls International PLC | 1,355,000 | 45,325 |
Lockheed Martin Corp. | 110,000 | 32,497 |
Masco Corp. | 722,000 | 27,017 |
1,071,026 | ||
Consumer staples 1.47% | ||
Kerry Group PLC, Class A | 1,300,000 | 136,025 |
Philip Morris International Inc. | 800,000 | 64,592 |
Costco Wholesale Corp. | 280,000 | 58,515 |
Constellation Brands, Inc., Class A | 215,000 | 47,057 |
Coca-Cola Co. | 990,000 | 43,421 |
Coca-Cola European Partners plc | 470,000 | 19,101 |
British American Tobacco PLC | 227,703 | 11,510 |
380,221 | ||
Real estate 1.04% | ||
Equinix, Inc. REIT | 399,000 | 171,526 |
Iron Mountain Inc. REIT | 2,000,000 | 70,020 |
American Tower Corp. REIT | 190,000 | 27,392 |
268,938 |
Common stocks Materials 1.00% | Shares | Value (000) |
Sherwin-Williams Co. | 190,000 | $77,438 |
Goldcorp Inc. | 5,095,000 | 69,853 |
DowDuPont Inc. | 903,810 | 59,579 |
Praxair, Inc. | 314,200 | 49,691 |
256,561 | ||
Telecommunication services 0.70% | ||
Zayo Group Holdings, Inc.1 | 3,245,000 | 118,377 |
T-Mobile US, Inc.1 | 1,017,000 | 60,766 |
179,143 | ||
Utilities 0.28% | ||
Exelon Corp. | 1,705,000 | 72,633 |
Miscellaneous 1.76% | ||
Other common stocks in initial period of acquisition | 454,883 | |
Total common stocks (cost: $14,033,329,000) | 24,778,512 | |
Convertible stocks 0.05% Consumer discretionary 0.05% | ||
Uber Technologies, Inc., Series F, noncumulative convertible preferred3,4,5 | 268,677 | 11,351 |
Total convertible stocks (cost: $10,650,000) | 11,351 | |
Short-term securities 3.89% | Principal amount (000) | |
Apple Inc. 1.97% due 7/23/20182 | $12,300 | 12,284 |
CAFCO, LLC 2.27% due 8/16/20182 | 29,800 | 29,717 |
Chariot Funding, LLC 2.05% due 8/2/20182 | 50,000 | 49,902 |
Coca-Cola Co. 2.08% due 9/13/20182 | 7,600 | 7,567 |
Colgate-Palmolive Co. 1.91% due 7/5/20182 | 20,700 | 20,693 |
CRC Funding, LLC 2.27%–2.28% due 8/10/2018–9/27/20182 | 90,000 | 89,621 |
Eli Lilly and Co. 1.97% due 7/18/20182 | 27,000 | 26,972 |
Emerson Electric Co. 1.92% due 7/6/20182 | 21,500 | 21,492 |
ExxonMobil Corp. 1.97% due 8/3/2018 | 40,000 | 39,923 |
Federal Home Loan Bank 1.80%–1.90% due 7/6/2018–9/10/2018 | 345,300 | 344,813 |
Freddie Mac 1.80% due 7/18/2018 | 75,000 | 74,942 |
Honeywell International Inc. 1.95% due 7/25/20182 | 4,400 | 4,394 |
IBM Credit LLC 2.03% due 8/2/20182 | 36,600 | 36,531 |
Kimberly-Clark Corp. 1.95% due 7/9/2018–7/11/20182 | 43,000 | 42,974 |
Pfizer Inc. 2.00%–2.11% due 8/16/2018–9/24/20182 | 134,900 | 134,368 |
Prudential Funding, LLC 1.90% due 7/6/2018 | 40,000 | 39,985 |
U.S. Treasury Bills 1.56% due 11/8/2018 | 28,200 | 28,000 |
Total short-term securities (cost: $1,004,230,000) | 1,004,178 | |
Total investment securities 100.01% (cost: $15,048,209,000) | 25,794,041 | |
Other assets less liabilities (0.01)% | (1,717) | |
Net assets 100.00% | $25,792,324 |
1 | Security did not produce income during the last 12 months. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $500,272,000, which represented 1.94% of the net assets of the fund. |
3 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of the security was $11,351,000, which represented .04% of the net assets of the fund. |
4 | Value determined using significant unobservable inputs. |
5 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on this holding appear below. |
Private placement security | Acquisition date | Cost (000) | Value (000) | Percent of net assets |
Uber Technologies, Inc., Series F, convertible preferred | 5/22/2015 | $10,650 | $11,351 | .04% |
Key to abbreviations |
ADR = American Depositary Receipts |
CAD = Canadian dollars |
Common stocks 91.37% Financials 15.44% | Shares | Value (000) |
AIA Group Ltd. | 37,525,700 | $328,116 |
HDFC Bank Ltd.1 | 7,804,100 | 240,177 |
HDFC Bank Ltd. (ADR) | 130,800 | 13,737 |
Kotak Mahindra Bank Ltd. | 6,186,048 | 121,252 |
Prudential PLC | 5,142,265 | 117,712 |
Credit Suisse Group AG | 5,523,789 | 83,390 |
Sberbank of Russia PJSC (ADR) | 4,739,150 | 68,410 |
Axis Bank Ltd.1,2,3 | 8,530,055 | 58,662 |
Axis Bank Ltd. | 736,300 | 5,489 |
Barclays PLC | 24,242,926 | 60,470 |
BNP Paribas SA | 871,058 | 54,106 |
State Bank of India4 | 12,103,000 | 45,814 |
UniCredit SPA | 2,582,537 | 43,115 |
China Construction Bank Corp., Class H4 | 44,473,000 | 41,097 |
HSBC Holdings PLC (HKD denominated) | 3,240,816 | 30,402 |
UBS Group AG | 1,827,927 | 28,287 |
Banco Santander, SA | 5,205,000 | 27,912 |
Hana Financial Group Inc. | 704,000 | 27,067 |
Metropolitan Bank & Trust Co. | 15,180,804 | 20,879 |
Bank of China Ltd., Class H | 35,810,000 | 17,755 |
KB Financial Group Inc. | 320,000 | 15,160 |
RSA Insurance Group PLC | 1,542,100 | 13,827 |
Intesa Sanpaolo SpA | 4,735,000 | 13,749 |
Itaú Unibanco Holding SA, preferred nominative (ADR) | 1,050,000 | 10,899 |
Société Générale | 245,575 | 10,357 |
Royal Bank of Canada | 135,000 | 10,165 |
ICICI Bank Ltd.4 | 1,485,235 | 5,970 |
ICICI Bank Ltd. (ADR)4 | 323,062 | 2,594 |
Sumitomo Mitsui Financial Group, Inc. | 49,100 | 1,910 |
Aditya Birla Capital Ltd.4 | 112,192 | 218 |
1,518,698 | ||
Industrials 13.19% | ||
Airbus SE, non-registered shares | 2,926,849 | 342,686 |
Rolls-Royce Holdings PLC4 | 10,539,900 | 137,459 |
Ryanair Holdings PLC (ADR)4 | 991,700 | 113,282 |
Yamato Holdings Co., Ltd. | 3,294,395 | 97,122 |
Melrose Industries PLC | 30,195,733 | 84,763 |
SMC Corp. | 206,100 | 75,634 |
Safran SA | 549,000 | 66,709 |
Nidec Corp. | 377,200 | 56,641 |
Recruit Holdings Co., Ltd. | 1,763,000 | 48,822 |
Jardine Matheson Holdings Ltd. | 646,600 | 40,800 |
Komatsu Ltd. | 1,397,100 | 39,977 |
Thales | 276,000 | 35,567 |
Eiffage SA | 326,000 | 35,474 |
Common stocks Industrials (continued) | Shares | Value (000) |
Airports of Thailand PCL, foreign registered | 18,157,000 | $34,527 |
Rheinmetall AG | 174,400 | 19,259 |
International Container Terminal Services, Inc. | 12,890,350 | 18,671 |
Babcock International Group PLC | 1,574,000 | 16,988 |
BAE Systems PLC | 1,141,000 | 9,740 |
Kawasaki Heavy Industries, Ltd. | 300,000 | 8,847 |
Geberit AG | 16,800 | 7,225 |
Alliance Global Group, Inc.4 | 20,000,000 | 4,355 |
Hyundai Heavy Industries Co., Ltd.4 | 28,552 | 2,613 |
1,297,161 | ||
Information technology 12.12% | ||
Samsung Electronics Co., Ltd. | 5,920,950 | 247,835 |
Tencent Holdings Ltd. | 4,549,687 | 228,366 |
Alibaba Group Holding Ltd. (ADR)4 | 1,120,300 | 207,849 |
ASML Holding NV | 583,834 | 115,702 |
Nintendo Co., Ltd. | 162,739 | 53,210 |
Murata Manufacturing Co., Ltd. | 290,500 | 48,856 |
Worldpay, Inc., Class A (GBP denominated)4 | 535,597 | 43,556 |
SK hynix, Inc. | 536,000 | 41,216 |
Hamamatsu Photonics KK | 944,400 | 40,603 |
Tokyo Electron Ltd. | 192,200 | 33,019 |
Keyence Corp. | 50,800 | 28,705 |
Xiaomi Corp., Class B1 | 9,538,400 | 20,668 |
Lenovo Group Ltd. | 35,002,000 | 18,961 |
MercadoLibre, Inc. | 53,000 | 15,843 |
United Internet AG | 275,000 | 15,755 |
OMRON Corp. | 250,000 | 11,674 |
United Microelectronics Corp.1 | 19,000,000 | 10,716 |
AAC Technologies Holdings Inc. | 665,246 | 9,370 |
1,191,904 | ||
Health care 10.80% | ||
Novartis AG | 2,547,000 | 193,616 |
Teva Pharmaceutical Industries Ltd. (ADR) | 6,910,598 | 168,066 |
Grifols, SA, Class B, preferred nonvoting, non-registered shares | 3,304,730 | 71,242 |
Grifols, SA, Class A, non-registered shares | 881,000 | 26,523 |
Grifols, SA, Class B (ADR) | 793,690 | 17,065 |
Fresenius SE & Co. KGaA | 1,193,000 | 95,851 |
Daiichi Sankyo Co., Ltd. | 2,362,000 | 90,392 |
Shire PLC | 1,572,150 | 88,492 |
Chugai Pharmaceutical Co., Ltd. | 1,254,500 | 65,833 |
Hikma Pharmaceuticals PLC | 3,044,380 | 60,307 |
Essilor International SA | 402,218 | 56,788 |
Sysmex Corp. | 549,000 | 51,273 |
Merck KGaA | 420,900 | 41,101 |
Fresenius Medical Care AG & Co. KGaA | 351,000 | 35,407 |
1,061,956 | ||
Consumer discretionary 10.61% | ||
Galaxy Entertainment Group Ltd. | 15,379,000 | 119,083 |
Kering SA | 160,638 | 90,720 |
Industria de Diseño Textil, SA | 2,266,027 | 77,430 |
Techtronic Industries Co. Ltd. | 12,184,500 | 67,945 |
Naspers Ltd., Class N | 256,700 | 65,216 |
Common stocks Consumer discretionary (continued) | Shares | Value (000) |
Altice USA, Inc., Class A | 3,588,171 | $61,214 |
Sands China Ltd. | 11,098,000 | 59,340 |
Hyundai Motor Co. | 467,144 | 52,603 |
Ryohin Keikaku Co., Ltd. | 129,000 | 45,441 |
Melco Resorts & Entertainment Ltd. (ADR) | 1,494,400 | 41,843 |
Nitori Holdings Co., Ltd. | 263,000 | 41,048 |
Ctrip.com International, Ltd. (ADR)4 | 791,600 | 37,704 |
Altice Europe NV, Class A4 | 7,986,419 | 32,549 |
Altice Europe NV, Class B4 | 1,077,927 | 4,381 |
William Hill PLC | 6,980,000 | 27,949 |
Merlin Entertainments PLC | 5,390,000 | 27,508 |
Hyundai Mobis Co., Ltd. | 133,600 | 25,413 |
Kingfisher PLC | 5,851,000 | 22,934 |
Li & Fung Ltd. | 60,242,000 | 22,114 |
Toyota Motor Corp. | 325,800 | 21,099 |
ITV PLC | 8,441,291 | 19,384 |
Sony Corp. | 329,500 | 16,857 |
LVMH Moët Hennessy-Louis Vuitton SE | 41,500 | 13,822 |
Petrobras Distribuidora S.A. | 2,449,000 | 11,557 |
Midea Group Co., Ltd., Class A | 1,341,000 | 10,570 |
B&M European Value Retail SA | 1,543,700 | 8,233 |
Volkswagen AG, nonvoting preferred | 48,000 | 7,972 |
Paddy Power Betfair PLC | 66,000 | 7,322 |
Global Brands Group Holding Ltd.4 | 83,074,000 | 4,977 |
1,044,228 | ||
Consumer staples 8.06% | ||
Pernod Ricard SA | 657,337 | 107,393 |
Associated British Foods PLC | 2,671,488 | 96,534 |
Nestlé SA | 1,236,700 | 96,034 |
British American Tobacco PLC | 1,652,200 | 83,513 |
AMOREPACIFIC Corp. | 250,474 | 72,479 |
KOSÉ Corp. | 278,600 | 60,066 |
Treasury Wine Estates Ltd. | 4,542,300 | 58,457 |
Kirin Holdings Co., Ltd. | 1,623,000 | 43,435 |
Thai Beverage PCL | 73,460,000 | 38,819 |
Meiji Holdings Co., Ltd. | 456,400 | 38,502 |
Imperial Brands PLC | 760,000 | 28,305 |
LG Household & Health Care Ltd. | 19,000 | 23,799 |
Philip Morris International Inc. | 240,694 | 19,434 |
Kao Corp. | 184,000 | 14,043 |
Glanbia PLC | 605,527 | 11,243 |
AMOREPACIFIC Group | 6,015 | 666 |
792,722 | ||
Materials 7.56% | ||
Asahi Kasei Corp. | 10,521,900 | 133,811 |
Glencore PLC | 27,556,500 | 131,651 |
Vale SA, ordinary nominative (ADR) | 9,574,966 | 122,751 |
Vale SA, ordinary nominative | 102,481 | 1,311 |
First Quantum Minerals Ltd. | 5,407,000 | 79,666 |
Teck Resources Ltd., Class B | 2,769,100 | 70,541 |
Nitto Denko Corp. | 512,000 | 38,767 |
Akzo Nobel NV | 379,401 | 32,485 |
Grasim Industries Ltd. | 1,543,728 | 22,686 |
Common stocks Materials (continued) | Shares | Value (000) |
Linde AG, non-registered shares | 95,000 | $22,676 |
CRH PLC | 532,291 | 18,866 |
Ambuja Cements Ltd. | 5,704,000 | 17,271 |
ArcelorMittal SA | 582,000 | 17,066 |
BASF SE | 160,500 | 15,353 |
Fortescue Metals Group Ltd. | 2,860,000 | 9,292 |
Evonik Industries AG | 268,010 | 9,180 |
743,373 | ||
Energy 4.66% | ||
Royal Dutch Shell PLC, Class B | 2,675,000 | 95,796 |
Royal Dutch Shell PLC, Class A | 1,440,256 | 49,971 |
Suncor Energy Inc. | 1,433,000 | 58,316 |
Oil Search Ltd. | 8,643,000 | 56,927 |
Petróleo Brasileiro SA (Petrobras), preferred nominative (ADR) | 4,441,000 | 39,258 |
Petróleo Brasileiro SA (Petrobras), preferred nominative | 2,478,000 | 10,991 |
TOTAL SA | 783,362 | 47,762 |
Canadian Natural Resources, Ltd. (CAD denominated) | 943,000 | 34,036 |
Cenovus Energy Inc. | 2,152,000 | 22,344 |
Enbridge Inc. (CAD denominated) | 460,595 | 16,467 |
Enbridge Inc. (CAD denominated)3 | 160,859 | 5,751 |
BP PLC | 2,728,761 | 20,826 |
458,445 | ||
Utilities 4.45% | ||
ENN Energy Holdings Ltd. | 10,716,000 | 105,376 |
China Gas Holdings Ltd. | 22,790,000 | 91,647 |
Ørsted AS | 1,469,901 | 88,932 |
ENGIE SA | 2,775,757 | 42,562 |
ENGIE SA, bonus shares1 | 302,758 | 4,642 |
EDP - Energias de Portugal, SA | 8,526,424 | 33,854 |
CK Infrastructure Holdings Ltd. | 2,953,500 | 21,891 |
SSE PLC | 1,162,255 | 20,784 |
Gas Natural SDG, SA | 552,000 | 14,620 |
China Resources Gas Group Ltd. | 3,096,000 | 13,417 |
437,725 | ||
Telecommunication services 1.56% | ||
SoftBank Group Corp. | 911,900 | 65,669 |
Nippon Telegraph and Telephone Corp. | 1,117,000 | 50,808 |
BT Group PLC | 7,523,000 | 21,624 |
TalkTalk Telecom Group PLC | 5,624,000 | 7,793 |
Intouch Holdings PCL, foreign registered | 4,631,000 | 7,444 |
153,338 | ||
Real estate 1.47% | ||
CK Asset Holdings Ltd. | 5,070,000 | 40,260 |
Ayala Land, Inc. | 55,580,400 | 39,472 |
Sun Hung Kai Properties Ltd. | 2,488,666 | 37,557 |
China Overseas Land & Investment Ltd. | 5,566,000 | 18,339 |
China Resources Land Ltd. | 2,820,000 | 9,507 |
145,135 |
Common stocks Miscellaneous 1.45% | Shares | Value (000) |
Other common stocks in initial period of acquisition | $142,545 | |
Total common stocks (cost: $7,100,559,000) | 8,987,230 | |
Rights & warrants 0.12% Miscellaneous 0.12% | ||
Other rights & warrants in initial period of acquisition | 12,024 | |
Total rights & warrants (cost: $13,714,000) | 12,024 | |
Bonds, notes & other debt instruments 0.64% Corporate bonds & notes 0.37% Materials 0.37% | Principal amount (000) | |
First Quantum Minerals Ltd. 7.00% 20213 | $3,725 | 3,769 |
First Quantum Minerals Ltd. 7.25% 20223 | 25,720 | 26,106 |
Vale SA 6.875% 2036 | 955 | 1,077 |
Vale SA 6.875% 2039 | 4,685 | 5,329 |
Total corporate bonds & notes | 36,281 | |
Bonds & notes of governments & government agencies outside the U.S. 0.22% | ||
Brazil (Federative Republic of) 0% 2021 | BRL42,802 | 8,381 |
Brazil (Federative Republic of) 0% 2022 | 4,000 | 737 |
Brazil (Federative Republic of) 10.00% 2027 | 8,345 | 1,967 |
United Mexican States, Series M, 8.00% 2023 | MXN203,000 | 10,376 |
21,461 | ||
U.S. Treasury bonds & notes 0.05% U.S. Treasury 0.05% | ||
U.S. Treasury 0.875% 2018 | $5,000 | 4,998 |
Total U.S. Treasury bonds & notes | 4,998 | |
Total bonds, notes & other debt instruments (cost: $55,941,000) | 62,740 | |
Short-term securities 8.00% | ||
Apple Inc. 2.06% due 9/6/20183 | 25,000 | 24,902 |
Bank of Montreal 2.27% due 9/5/2018 | 25,000 | 24,898 |
Bank of Tokyo-Mitsubishi UFJ, Ltd. 2.00% due 7/6/2018 | 15,000 | 14,995 |
BASF SE 1.97% due 7/9/20183 | 25,000 | 24,987 |
Essilor International 1.99% due 7/16/20183 | 30,000 | 29,972 |
Fairway Finance Corp. 2.27% due 8/2/20183 | 25,000 | 24,951 |
Federal Home Loan Bank 1.83%–1.91% due 7/20/2018–9/7/2018 | 227,500 | 227,067 |
IBM Credit LLC 2.05% due 8/8/20183 | 30,000 | 29,933 |
KfW 2.15% due 8/3/20183 | 50,000 | 49,909 |
Liberty Street Funding Corp. 2.27%–2.28% due 8/6/2018–8/16/20183 | 55,000 | 54,863 |
L’Oréal USA, Inc. 1.96% due 7/19/20183 | 20,000 | 19,978 |
Merck & Co. Inc. 1.96% due 7/23/20183 | 25,000 | 24,968 |
Mitsubishi UFJ Trust and Banking Corp. 2.00% due 8/1/20183 | 25,000 | 24,953 |
Nestlé Capital Corp. 2.13% due 9/13/20183 | 20,000 | 19,913 |
Pfizer Inc. 2.00% due 7/17/20183 | 25,000 | 24,976 |
Swedbank AB 1.85%–1.89% due 7/2/2018–7/5/2018 | 41,400 | 41,389 |
Toronto-Dominion Bank 2.28% due 9/19/20183 | 25,000 | 24,876 |
Short-term securities | Principal amount (000) | Value (000) |
Victory Receivables Corp. 2.02% due 7/2/2018–7/16/20183 | $35,000 | $34,974 |
Wal-Mart Stores, Inc. 1.86% due 7/2/20183 | 65,000 | 64,989 |
Total short-term securities (cost: $787,483,000) | 787,493 | |
Total investment securities 100.13% (cost: $7,957,697,000) | 9,849,487 | |
Other assets less liabilities (0.13)% | (12,887) | |
Net assets 100.00% | $9,836,600 |
Contract amount | Counterparty | Settlement date | Unrealized appreciation at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
USD41,805 | INR2,825,000 | Bank of America, N.A. | 7/17/2018 | $662 |
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Miscellaneous,“ was $346,890,000, which represented 3.53% of the net assets of the fund. |
2 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on this holding appear below. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $573,433,000, which represented 5.83% of the net assets of the fund. |
4 | Security did not produce income during the last 12 months. |
Private placement security | Acquisition dates | Cost (000) | Value (000) | Percent of net assets |
Axis Bank Ltd. | 1/15/2013-12/18/2017 | $60,701 | $58,662 | .60% |
Key to abbreviations and symbol |
ADR = American Depositary Receipts |
CAD = Canadian dollars |
GBP = British pounds |
HKD = Hong Kong dollars |
INR = Indian rupees |
USD/$ = U.S. dollars |
Common stocks 83.44% Information technology 19.84% | Shares | Value (000) |
Taiwan Semiconductor Manufacturing Co., Ltd. | 9,770,000 | $69,377 |
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 500,000 | 18,280 |
PagSeguro Digital Ltd., Class A1 | 2,417,416 | 67,083 |
Alphabet Inc., Class C1 | 42,900 | 47,862 |
Alphabet Inc., Class A1 | 16,900 | 19,083 |
Alibaba Group Holding Ltd. (ADR)1 | 332,237 | 61,640 |
Samsung Electronics Co., Ltd. | 600,000 | 25,114 |
Samsung Electronics Co., Ltd., nonvoting preferred | 362,500 | 12,246 |
Broadcom Inc. | 146,450 | 35,535 |
Murata Manufacturing Co., Ltd. | 181,300 | 30,491 |
Baidu, Inc., Class A (ADR)1 | 122,800 | 29,840 |
Renesas Electronics Corp.1 | 3,011,800 | 29,543 |
TravelSky Technology Ltd., Class H1 | 8,784,956 | 25,586 |
Mastercard Inc., Class A | 116,500 | 22,895 |
Temenos AG | 141,500 | 21,433 |
Hangzhou Hikvision Digital Technology Co., Ltd., Class A | 3,500,000 | 19,615 |
Microsoft Corp. | 182,000 | 17,947 |
AAC Technologies Holdings Inc. | 1,269,600 | 17,881 |
Applied Materials, Inc. | 350,000 | 16,166 |
Amadeus IT Group SA, Class A, non-registered shares | 196,000 | 15,473 |
Facebook, Inc., Class A1 | 72,200 | 14,030 |
Tencent Holdings Ltd. | 264,100 | 13,256 |
Largan Precision Co., Ltd. | 77,000 | 11,340 |
Halma PLC | 527,600 | 9,539 |
ASML Holding NV | 43,400 | 8,601 |
Intel Corp. | 111,460 | 5,541 |
EPAM Systems, Inc.1 | 27,000 | 3,357 |
Hexagon AB, Class B | 59,840 | 3,337 |
VeriSign, Inc.1 | 18,000 | 2,474 |
United Microelectronics Corp.2 | 615 | —3 |
674,565 | ||
Financials 12.07% | ||
HDFC Bank Ltd.2 | 2,600,450 | 80,031 |
AIA Group Ltd. | 6,361,600 | 55,624 |
B3 SA - Brasil, Bolsa, Balcao | 7,898,000 | 41,673 |
Grupo Financiero Galicia SA, Class B (ADR) | 1,004,234 | 33,120 |
Shriram Transport Finance Co. Ltd. | 1,253,000 | 23,764 |
Capitec Bank Holdings Ltd. | 326,876 | 20,684 |
Industrial and Commercial Bank of China Ltd., Class H | 27,600,000 | 20,650 |
Sberbank of Russia | 1,310,500 | 18,862 |
UniCredit SPA | 1,123,984 | 18,765 |
BBVA Banco Francés SA (ADR) | 1,475,000 | 18,231 |
HSBC Holdings PLC (GBP denominated) | 1,500,000 | 14,069 |
Kotak Mahindra Bank Ltd. | 670,000 | 13,132 |
Société Générale | 306,000 | 12,906 |
Common stocks Financials (continued) | Shares | Value (000) |
Moscow Exchange MICEX-RTS PJSC | 5,880,000 | $10,166 |
Vietnam Technological and Commercial JSCB (dba Techcombank)1,2 | 1,935,172 | 8,311 |
Credicorp Ltd. | 30,000 | 6,754 |
Prudential PLC | 224,000 | 5,128 |
Bank Central Asia Tbk PT | 2,220,000 | 3,327 |
Ayala Corp. | 180,000 | 3,103 |
Itaú Unibanco Holding SA, preferred nominative | 200,000 | 2,082 |
China Construction Bank Corp., Class H1 | 535 | —3 |
410,382 | ||
Materials 10.23% | ||
First Quantum Minerals Ltd. | 5,680,283 | 83,693 |
Vale SA, ordinary nominative | 4,093,786 | 52,380 |
Randgold Resources Ltd. | 529,600 | 40,678 |
China Hongqiao Group Ltd. | 27,221,000 | 25,675 |
Aluminum Corp. of China Ltd., Class H1 | 57,800,000 | 25,490 |
KAZ Minerals PLC1 | 1,824,600 | 20,300 |
DowDuPont Inc. | 250,000 | 16,480 |
ArcelorMittal SA | 430,000 | 12,609 |
Klabin SA, units | 2,434,400 | 12,311 |
Glencore PLC | 2,439,000 | 11,652 |
Rio Tinto PLC | 182,000 | 10,091 |
En+ Group PLC (GDR)2,4 | 1,886,800 | 9,884 |
Koninklijke DSM NV | 91,000 | 9,152 |
Vedanta Resources PLC | 638,100 | 5,447 |
Air Products and Chemicals, Inc. | 33,000 | 5,139 |
Dalmia Bharat Ltd. | 90,803 | 3,022 |
Turquoise Hill Resources Ltd. (CAD denominated)1 | 861,200 | 2,437 |
Air Liquide SA2 | 10,450 | 1,314 |
347,754 | ||
Consumer discretionary 9.63% | ||
Sony Corp. | 700,000 | 35,811 |
Maruti Suzuki India Ltd. | 260,500 | 33,556 |
MakeMyTrip Ltd., non-registered shares1 | 871,500 | 31,505 |
General Motors Co. | 542,000 | 21,355 |
Samsonite International SA | 5,382,000 | 19,036 |
Melco Resorts & Entertainment Ltd. (ADR) | 678,000 | 18,984 |
NIKE, Inc., Class B | 236,000 | 18,804 |
Ctrip.com International, Ltd. (ADR)1 | 380,068 | 18,103 |
Naspers Ltd., Class N | 70,000 | 17,784 |
Domino’s Pizza, Inc. | 60,100 | 16,958 |
Brilliance China Automotive Holdings Ltd. | 7,834,000 | 14,139 |
Kroton Educacional SA, ordinary nominative | 3,827,000 | 9,203 |
Ryohin Keikaku Co., Ltd. | 24,800 | 8,736 |
Suzuki Motor Corp. | 131,000 | 7,239 |
TVS Motor Co Ltd. | 856,000 | 6,907 |
Booking Holdings Inc.1 | 3,400 | 6,892 |
GVC Holdings PLC | 387,000 | 5,368 |
Twenty-First Century Fox, Inc., Class A | 103,200 | 5,128 |
Valeo SA, non-registered shares | 90,000 | 4,921 |
Motherson Sumi Systems Ltd. | 1,068,041 | 4,438 |
MGM Resorts International | 150,000 | 4,354 |
Accor SA | 85,000 | 4,171 |
Wynn Macau, Ltd. | 1,200,000 | 3,862 |
Common stocks Consumer discretionary (continued) | Shares | Value (000) |
Wynn Resorts, Ltd. | 21,000 | $3,514 |
Vivo Energy Plc1 | 1,785,000 | 3,488 |
Steinhoff Africa Retail Ltd.1 | 1,846,183 | 2,248 |
Steinhoff International Holdings NV1 | 11,123,323 | 1,046 |
327,550 | ||
Energy 9.01% | ||
Reliance Industries Ltd. | 13,230,790 | 187,788 |
Royal Dutch Shell PLC, Class B | 1,050,000 | 37,602 |
Royal Dutch Shell PLC, Class A | 21,628 | 750 |
LUKOIL Oil Co. PJSC (ADR) | 303,000 | 20,719 |
Noble Energy, Inc. | 580,000 | 20,462 |
Petróleo Brasileiro SA (Petrobras), ordinary nominative (ADR) | 1,641,674 | 16,466 |
Occidental Petroleum Corp. | 120,000 | 10,042 |
Baker Hughes, a GE Co., Class A | 270,000 | 8,918 |
Oil Search Ltd. | 566,900 | 3,734 |
306,481 | ||
Health care 6.96% | ||
Yunnan Baiyao Group Co., Ltd., Class A | 2,417,912 | 39,035 |
CSL Ltd. | 209,500 | 29,864 |
Jiangsu Hengrui Medicine Co., Ltd., Class A | 2,360,410 | 26,991 |
BioMarin Pharmaceutical Inc.1 | 200,000 | 18,840 |
Ping An Healthcare and Technology Co. Ltd., Class H1,2,4 | 3,008,000 | 17,445 |
Hypera SA, ordinary nominative | 2,248,200 | 16,016 |
Genscript Biotech Corp.1 | 5,203,735 | 14,393 |
Teva Pharmaceutical Industries Ltd. (ADR) | 465,000 | 11,309 |
WuXi Biologics (Cayman) Inc.1 | 911,000 | 10,143 |
Straumann Holding AG | 13,000 | 9,911 |
Thermo Fisher Scientific Inc. | 42,000 | 8,700 |
bioMérieux SA | 88,000 | 7,923 |
Zoetis Inc., Class A | 80,000 | 6,815 |
AstraZeneca PLC | 89,500 | 6,205 |
Koninklijke Philips NV | 130,000 | 5,530 |
Novartis AG | 49,600 | 3,770 |
Merck & Co., Inc. | 62,000 | 3,763 |
236,653 | ||
Consumer staples 6.89% | ||
British American Tobacco PLC | 1,557,000 | 78,701 |
CP ALL PCL, foreign registered | 13,410,800 | 29,752 |
Foshan Haitian Flavouring and Food Co. Ltd., Class A | 2,250,000 | 25,009 |
Lenta Ltd. (GDR)1 | 4,040,000 | 22,260 |
Lenta Ltd. (GDR)1,4 | 244,500 | 1,347 |
Nestlé SA | 286,196 | 22,224 |
a2 Milk Co. Ltd.1 | 1,426,228 | 11,104 |
GRUMA, SAB de CV, Series B | 886,399 | 10,841 |
Uni-Charm Corp. | 265,000 | 7,978 |
Fomento Económico Mexicano, SAB de CV | 603,000 | 5,312 |
Coca-Cola HBC AG (CDI) | 133,000 | 4,442 |
Chongqing Fuling Zhacai Group Co., Ltd., Class A | 1,122,000 | 4,349 |
Lion Corp. | 223,600 | 4,100 |
Common stocks Consumer staples (continued) | Shares | Value (000) |
Coca-Cola FEMSA, SAB de CV, Series L | 657,000 | $3,720 |
Pernod Ricard SA | 18,000 | 2,941 |
234,080 | ||
Industrials 5.75% | ||
Airbus SE, non-registered shares | 594,229 | 69,574 |
Eicher Motors Ltd. | 118,200 | 49,323 |
BAE Systems PLC | 2,045,500 | 17,461 |
Shanghai International Airport Co., Ltd., Class A | 1,499,972 | 12,561 |
Deutsche Post AG | 350,000 | 11,432 |
Boeing Co. | 26,000 | 8,723 |
Ryanair Holdings PLC (ADR)1 | 59,000 | 6,740 |
Edenred SA | 211,700 | 6,690 |
Grupo Aeroportuario del Sureste, SA de CV, Series B | 300,695 | 4,775 |
Johnson Controls International PLC | 132,000 | 4,415 |
MTU Aero Engines AG | 20,500 | 3,941 |
195,635 | ||
Real estate 1.12% | ||
American Tower Corp. REIT | 236,800 | 34,140 |
Fibra Uno Administración, SA de CV REIT | 2,595,496 | 3,769 |
Ayala Land, Inc., preference shares1,2,5 | 15,000,000 | 25 |
37,934 | ||
Utilities 1.06% | ||
China Gas Holdings Ltd. | 4,071,842 | 16,374 |
Pampa Energía SA (ADR)1 | 310,000 | 11,089 |
Infraestructura Energética Nova, SAB de CV | 1,950,340 | 8,705 |
36,168 | ||
Telecommunication services 0.88% | ||
China Unicom (Hong Kong) Ltd. | 19,034,000 | 23,776 |
SoftBank Group Corp. | 85,000 | 6,121 |
29,897 | ||
Miscellaneous 0.00% | ||
Other common stocks in initial period of acquisition | 67 | |
Total common stocks (cost: $2,329,478,000) | 2,837,166 | |
Preferred securities 0.04% Information technology 0.04% | ||
Meituan Corp., Series C, 8.00% noncumulative1,2,5 | 239,754 | 1,340 |
Total preferred securities (cost: $1,340,000) | 1,340 | |
Rights & warrants 1.13% Consumer staples 1.13% | ||
Foshan Haitian Flavouring and Food Co., Ltd., Class A, warrants, expire 20181,2,4 | 2,330,000 | 25,898 |
Shanghai Jahwa United Co., Ltd., Class A, warrants, expire 20181,2,4 | 2,100,000 | 12,561 |
Total rights & warrants (cost: $21,028,000) | 38,459 |
Bonds, notes & other debt instruments 2.79% Bonds & notes of governments & government agencies outside the U.S. 2.29% | Principal amount (000) | Value (000) |
Argentine Republic 2.50% 20216 | ARS7,609 | $226 |
Argentine Republic 6.875% 2021 | $700 | 692 |
Argentine Republic (Badlar Private Banks ARS Index + 2.00%) 24.938% 20227 | ARS3,831 | 121 |
Argentine Republic 7.50% 2026 | $525 | 486 |
Argentine Republic 8.28% 20338,9 | 1,318 | 1,239 |
Argentine Republic 0% 2035 | 5,800 | 342 |
Bahrain (Kingdom of) 6.75% 20294 | 300 | 263 |
Brazil (Federative Republic of) 0% 2021 | BRL12,000 | 2,350 |
Brazil (Federative Republic of) 10.00% 2023 | 1,000 | 252 |
Brazil (Federative Republic of) 10.00% 2025 | 1,936 | 470 |
Brazil (Federative Republic of) Global 5.625% 2047 | $1,995 | 1,699 |
Buenos Aires (City of) 8.95% 20218 | 1,055 | 1,083 |
Buenos Aires (City of) (Badlar Private Banks ARS Index + 3.75%) 29.00% 20287 | ARS10,899 | 311 |
Colombia (Republic of) 4.50% 2026 | $250 | 254 |
Cote d’Ivoire (Republic of) 5.25% 20308 | €1,100 | 1,234 |
Cote d’Ivoire (Republic of) 5.75% 20328,10 | $925 | 860 |
Dominican Republic 7.50% 20218 | 800 | 841 |
Dominican Republic 5.50% 20254 | 970 | 966 |
Dominican Republic 10.375% 2026 | DOP24,000 | 502 |
Dominican Republic 8.625% 20274,8 | $575 | 654 |
Dominican Republic 11.25% 2027 | DOP22,900 | 501 |
Dominican Republic 7.45% 20444 | $1,125 | 1,173 |
Dominican Republic 7.45% 2044 | 1,100 | 1,147 |
Dominican Republic 6.85% 20454 | 500 | 497 |
Egypt (Arab Republic of) 5.577% 20234 | 500 | 475 |
Egypt (Arab Republic of) 17.20% 2023 | EGP19,700 | 1,116 |
Egypt (Arab Republic of) 7.50% 20274 | $640 | 631 |
Egypt (Arab Republic of) 6.588% 20284 | 500 | 461 |
Egypt (Arab Republic of) 8.50% 2047 | 1,000 | 972 |
Egypt (Arab Republic of) 8.50% 20474 | 490 | 476 |
Guatemala (Republic of) 4.375% 2027 | 1,100 | 1,023 |
Honduras (Republic of) 6.25% 2027 | 1,000 | 1,007 |
Hungary 5.75% 2023 | 1,900 | 2,048 |
India (Republic of) 7.80% 2021 | INR149,700 | 2,188 |
India (Republic of) 8.83% 2023 | 114,800 | 1,739 |
India (Republic of) 8.40% 2024 | 52,100 | 771 |
India (Republic of) 7.59% 2029 | 46,280 | 649 |
India (Republic of) 7.61% 2030 | 145,440 | 2,040 |
India (Republic of) 7.88% 2030 | 25,000 | 358 |
Indonesia (Republic of) 4.875% 2021 | $1,500 | 1,545 |
Indonesia (Republic of) 3.75% 2022 | 2,100 | 2,082 |
Indonesia (Republic of) 4.75% 20264 | 2,100 | 2,133 |
Indonesia (Republic of) 5.25% 2042 | 550 | 554 |
Iraq (Republic of) 6.752% 2023 | 1,000 | 963 |
Jordan (Hashemite Kingdom of) 6.125% 20264 | 230 | 223 |
Jordan (Hashemite Kingdom of) 5.75% 20274 | 230 | 214 |
Kazakhstan (Republic of) 5.125% 20254 | 900 | 950 |
Kazakhstan (Republic of) 6.50% 20454 | 800 | 945 |
Kenya (Republic of) 6.875% 2024 | 1,350 | 1,336 |
Kenya (Republic of) 6.875% 20244 | 900 | 891 |
Kuwait (State of) 2.75% 20224 | 550 | 537 |
Morocco (Kingdom of) 4.25% 2022 | 1,400 | 1,401 |
Morocco (Kingdom of) 4.25% 20224 | 250 | 250 |
Morocco (Kingdom of) 5.50% 2042 | 2,200 | 2,239 |
Nigeria (Republic of) 6.375% 2023 | 1,525 | 1,510 |
Bonds, notes & other debt instruments Bonds & notes of governments & government agencies outside the U.S. (continued) | Principal amount (000) | Value (000) |
Pakistan (Islamic Republic of) 5.50% 20214 | $900 | $839 |
Pakistan (Islamic Republic of) 8.25% 2024 | 300 | 288 |
Pakistan (Islamic Republic of) 8.25% 20254 | 410 | 393 |
Pakistan (Islamic Republic of) 6.875% 20274 | 500 | 436 |
Panama (Republic of) 4.50% 20478 | 2,075 | 2,018 |
Paraguay (Republic of) 5.00% 20264 | 500 | 504 |
Paraguay (Republic of) 5.00% 2026 | 500 | 504 |
Paraguay (Republic of) 4.70% 20274 | 800 | 784 |
Paraguay (Republic of) 4.70% 2027 | 500 | 490 |
Paraguay (Republic of) 5.60% 20484 | 230 | 224 |
Peru (Republic of) 2.75% 2026 | €855 | 1,096 |
Peru (Republic of) 6.55% 20378 | $382 | 478 |
Peru (Republic of) 5.625% 2050 | 130 | 151 |
Poland (Republic of) 3.25% 2026 | 300 | 290 |
Russian Federation 7.50% 2021 | RUB42,900 | 691 |
Russian Federation 7.00% 2023 | 49,000 | 770 |
Russian Federation 4.375% 20294 | $1,000 | 968 |
Saudi Arabia (Kingdom of) 2.375% 20214 | 375 | 361 |
Saudi Arabia (Kingdom of) 2.894% 20224 | 1,000 | 974 |
Saudi Arabia (Kingdom of) 3.25% 20264 | 810 | 761 |
Saudi Arabia (Kingdom of) 3.625% 20284 | 800 | 762 |
Senegal (Republic of) 4.75% 20288 | €1,000 | 1,092 |
South Africa (Republic of), Series R-186, 10.50% 2026 | ZAR6,600 | 527 |
South Africa (Republic of), Series R-214, 6.50% 2041 | 14,450 | 752 |
Sri Lanka (Democratic Socialist Republic of) 6.00% 2019 | $400 | 402 |
Sri Lanka (Democratic Socialist Republic of) 5.75% 2022 | 250 | 246 |
Sri Lanka (Democratic Socialist Republic of) 5.875% 2022 | 200 | 197 |
Sri Lanka (Democratic Socialist Republic of) 6.125% 2025 | 410 | 384 |
Sri Lanka (Democratic Socialist Republic of) 6.85% 2025 | 200 | 194 |
Sri Lanka (Democratic Socialist Republic of) 6.825% 2026 | 1,010 | 970 |
Sri Lanka (Democratic Socialist Republic of) 6.20% 20274 | 200 | 183 |
Turkey (Republic of) 4.875% 2026 | 1,820 | 1,606 |
Turkey (Republic of) 6.75% 2040 | 1,000 | 917 |
Turkey (Republic of) 6.00% 2041 | 650 | 553 |
Turkey (Republic of) 4.875% 2043 | 300 | 224 |
United Mexican States 4.00% 2023 | 932 | 937 |
United Mexican States 4.15% 2027 | 700 | 691 |
United Mexican States 4.00% 20406 | MXN2,673 | 140 |
United Mexican States 4.35% 2047 | $540 | 484 |
United Mexican States 5.75% 2110 | 140 | 138 |
United Mexican States, Series M, 6.50% 2021 | MXN7,500 | 366 |
United Mexican States, Series M20, 10.00% 2024 | 11,000 | 623 |
United Mexican States, Series M, 5.75% 2026 | 10,000 | 450 |
United Mexican States, Series M, 7.75% 2042 | 2,835 | 144 |
77,892 | ||
Corporate bonds & notes 0.47% Energy 0.20% | ||
Gazprom OJSC 6.51% 20224 | $600 | 638 |
Pemex Project Funding Master Trust, Series 13, 6.625% 2035 | 300 | 294 |
Petrobras Global Finance Co. 6.125% 2022 | 218 | 222 |
Petrobras Global Finance Co. 4.375% 2023 | 310 | 290 |
Petrobras Global Finance Co. 6.25% 2024 | 90 | 90 |
Petrobras Global Finance Co. 8.75% 2026 | 850 | 922 |
Petrobras Global Finance Co. 5.75% 2029 | 1,095 | 964 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Energy (continued) | Principal amount (000) | Value (000) |
Petrobras Global Finance Co. 6.85% 2115 | $890 | $751 |
Petróleos Mexicanos 6.375% 2021 | 505 | 533 |
Petróleos Mexicanos 3.50% 2023 | 145 | 138 |
Petróleos Mexicanos 6.875% 2026 | 600 | 632 |
Petróleos Mexicanos 6.35% 20484 | 612 | 557 |
YPF SA 8.50% 20254 | 860 | 822 |
6,853 | ||
Utilities 0.13% | ||
Cemig Geracao e Transmissao SA 9.25% 20244 | 480 | 490 |
Enel Chile SA 4.875% 2028 | 720 | 727 |
Eskom Holdings Ltd. 5.75% 20214 | 985 | 953 |
State Grid Overseas Investment Ltd. 3.50% 20274 | 2,500 | 2,388 |
4,558 | ||
Financials 0.07% | ||
BBVA Bancomer SA 6.50% 20214 | 525 | 548 |
HSBK (Europe) BV 7.25% 20214 | 1,125 | 1,204 |
VEB Finance Ltd. 6.902% 2020 | 600 | 623 |
2,375 | ||
Other mortgage-backed securities 0.02% | ||
Export Credit Bank of Turkey 5.375% 20214 | 590 | 576 |
Health care 0.02% | ||
Teva Pharmaceutical Finance Company BV 3.15% 2026 | 700 | 563 |
Materials 0.01% | ||
Vale SA 6.25% 2026 | 405 | 440 |
Industrials 0.01% | ||
Lima Metro Line Finance Ltd. 5.875% 20344,8 | 335 | 343 |
Telecommunication services 0.01% | ||
Digicel Group Ltd. 6.00% 20214 | 350 | 317 |
Consumer discretionary 0.00% | ||
Grupo Televisa, SAB 7.25% 2043 | MXN2,000 | 74 |
Total corporate bonds & notes | 16,099 | |
U.S. Treasury bonds & notes 0.03% U.S. Treasury 0.03% | ||
U.S. Treasury 0.875% 2018 | $1,000 | 1,000 |
Total U.S. Treasury bonds & notes | 1,000 | |
Total bonds, notes & other debt instruments (cost: $100,554,000) | 94,991 |
Short-term securities 12.06% | Principal amount (000) | Value (000) |
Australia & New Zealand Banking Group, Ltd. 1.95% due 7/13/20184 | $40,000 | $39,970 |
BASF SE 2.04% due 8/6/20184 | 21,500 | 21,455 |
CPPIB Capital Inc. 1.95% due 7/16/2018–7/23/2018 | 80,000 | 79,910 |
Egyptian Treasury Bills 15.66%–16.30% due 7/17/2018–12/11/2018 | EGP30,450 | 1,628 |
Federal Home Loan Bank 1.77%–1.90% due 7/11/2018–8/13/2018 | $55,000 | 54,935 |
Honeywell International Inc. 1.97% due 7/17/20184 | 15,000 | 14,985 |
Mizuho Bank, Ltd. 1.92% due 7/6/20184 | 68,000 | 67,974 |
Nigerian Treasury Bills 11.51%–16.91% due 7/5/2018–1/3/2019 | NGN513,530 | 1,388 |
Province of Ontario 1.91% due 7/5/2018 | $1,600 | 1,599 |
Roche Holdings, Inc. 1.94% due 7/20/20184 | 10,000 | 9,989 |
Sumitomo Mitsui Banking Corp. 2.01% due 7/16/20184 | 19,625 | 19,607 |
Swedbank AB 1.85%–1.89% due 7/2/2018–7/5/2018 | 71,600 | 71,581 |
Wal-Mart Stores, Inc. 1.93% due 7/2/20184 | 25,000 | 24,996 |
Total short-term securities (cost: $410,064,000) | 410,017 | |
Total investment securities 99.46% (cost: $2,862,464,000) | 3,381,973 | |
Other assets less liabilities 0.54% | 18,251 | |
Net assets 100.00% | $3,400,224 |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
USD841 | BRL3,000 | JPMorgan Chase | 7/9/2018 | $68 |
USD113 | MXN2,100 | JPMorgan Chase | 7/9/2018 | 7 |
USD1,766 | BRL6,300 | JPMorgan Chase | 7/12/2018 | 143 |
USD4,296 | INR289,525 | JPMorgan Chase | 7/12/2018 | 77 |
USD1,258 | ZAR16,605 | Goldman Sachs | 7/12/2018 | 50 |
USD1,389 | JPY153,000 | Goldman Sachs | 7/18/2018 | 5 |
JPY153,000 | USD1,385 | Goldman Sachs | 7/18/2018 | (1) |
USD1,637 | INR112,350 | Citibank | 7/24/2018 | 2 |
USD574 | JPY63,000 | Citibank | 7/25/2018 | 4 |
USD1,798 | INR120,000 | Citibank | 9/24/2018 | 66 |
USD968 | EUR805 | Bank of America, N.A. | 12/13/2018 | 15 |
USD406 | EUR320 | Citibank | 3/6/2019 | 24 |
USD531 | EUR415 | Goldman Sachs | 3/8/2019 | 36 |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
USD323 | EUR255 | Goldman Sachs | 3/8/2019 | $19 |
USD1,396 | EUR1,100 | JPMorgan Chase | 3/15/2019 | 84 |
$599 |
1 | Security did not produce income during the last 12 months. |
2 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $156,809,000, which represented 4.61% of the net assets of the fund. |
3 | Amount less than one thousand. |
4 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $293,875,000, which represented 8.64% of the net assets of the fund. |
5 | Value determined using significant unobservable inputs. |
6 | Index-linked bond whose principal amount moves with a government price index. |
7 | Coupon rate may change periodically. |
8 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
9 | Payment in kind; the issuer has the option of paying additional securities in lieu of cash. Most recent payment was 100% cash unless otherwise noted. |
10 | Step bond; coupon rate may change at a later date. |
Key to abbreviations and symbol | |
ADR = American Depositary Receipts | |
BRL = Brazilian reais | |
CAD = Canadian dollars | |
CDI = CREST Depository Interest | |
EGP = Egyptian pounds | |
EUR = Euros | |
GBP = British pounds | |
GDR = Global Depositary Receipts | |
INR = Indian rupees | |
JPY = Japanese yen | |
MXN = Mexican pesos | |
NGN = Nigerian naira | |
USD/$ = U.S. dollars | |
ZAR = South African rand |
Common stocks 96.18% Health care 21.70% | Shares | Value (000) |
AbbVie Inc. | 6,711,500 | $621,820 |
Amgen Inc. | 1,616,800 | 298,445 |
Abbott Laboratories | 4,365,000 | 266,221 |
Teva Pharmaceutical Industries Ltd. (ADR) | 10,833,800 | 263,478 |
Gilead Sciences, Inc. | 3,369,312 | 238,682 |
Medtronic PLC | 900,000 | 77,049 |
Bristol-Myers Squibb Co. | 1,125,000 | 62,258 |
UnitedHealth Group Inc. | 131,000 | 32,140 |
Stryker Corp. | 188,800 | 31,881 |
Merck & Co., Inc. | 500,000 | 30,350 |
Thermo Fisher Scientific Inc. | 144,600 | 29,952 |
Humana Inc. | 73,000 | 21,727 |
1,974,003 | ||
Information technology 15.45% | ||
Intel Corp. | 5,628,200 | 279,778 |
Microsoft Corp. | 2,805,000 | 276,601 |
Alphabet Inc., Class A1 | 179,550 | 202,746 |
Alphabet Inc., Class C1 | 17,500 | 19,524 |
QUALCOMM Inc. | 3,923,876 | 220,208 |
Facebook, Inc., Class A1 | 714,000 | 138,744 |
Apple Inc. | 624,180 | 115,542 |
Texas Instruments Inc. | 780,000 | 85,995 |
Mastercard Inc., Class A | 232,000 | 45,593 |
Applied Materials, Inc. | 459,000 | 21,201 |
1,405,932 | ||
Industrials 10.97% | ||
CSX Corp. | 3,919,000 | 249,954 |
General Electric Co. | 16,487,000 | 224,388 |
General Dynamics Corp. | 1,011,000 | 188,460 |
Union Pacific Corp. | 750,000 | 106,260 |
Illinois Tool Works Inc. | 650,000 | 90,051 |
United Technologies Corp. | 500,000 | 62,515 |
J.B. Hunt Transport Services, Inc. | 427,500 | 51,962 |
Airbus Group SE (ADR) | 661,000 | 19,232 |
Rolls-Royce Holdings PLC (ADR) | 356,800 | 4,735 |
997,557 | ||
Consumer staples 10.46% | ||
Altria Group, Inc. | 4,155,000 | 235,963 |
British American Tobacco PLC (ADR) | 3,075,912 | 155,180 |
Costco Wholesale Corp. | 606,255 | 126,695 |
Philip Morris International Inc. | 1,365,000 | 110,210 |
Kellogg Co. | 792,000 | 55,337 |
Coca-Cola Co. | 1,250,000 | 54,825 |
Common stocks Consumer staples (continued) | Shares | Value (000) |
Kimberly-Clark Corp. | 500,000 | $52,670 |
Kraft Heinz Co. | 776,666 | 48,790 |
PepsiCo, Inc. | 400,000 | 43,548 |
Lamb Weston Holdings, Inc. | 400,000 | 27,404 |
Mondelez International, Inc. | 537,000 | 22,017 |
Nestlé SA (ADR) | 240,000 | 18,583 |
951,222 | ||
Consumer discretionary 10.31% | ||
Twenty-First Century Fox, Inc., Class A | 3,955,900 | 196,569 |
Lowe’s Companies, Inc. | 1,739,000 | 166,196 |
CBS Corp., Class B | 2,023,400 | 113,755 |
Marriott International, Inc., Class A | 626,500 | 79,315 |
McDonald’s Corp. | 500,000 | 78,345 |
Viacom Inc., Class B | 2,112,850 | 63,724 |
Omnicom Group Inc. | 750,000 | 57,202 |
Royal Caribbean Cruises Ltd. | 500,000 | 51,800 |
NIKE, Inc., Class B | 450,000 | 35,856 |
Newell Brands Inc. | 1,300,000 | 33,527 |
TJX Companies, Inc. | 270,000 | 25,699 |
Starbucks Corp. | 300,000 | 14,655 |
Daimler AG (ADR) | 745,000 | 11,953 |
Harley-Davidson, Inc. | 220,000 | 9,258 |
937,854 | ||
Financials 9.53% | ||
Wells Fargo & Co. | 6,847,300 | 379,614 |
JPMorgan Chase & Co. | 1,763,200 | 183,725 |
Charles Schwab Corp. | 2,175,000 | 111,143 |
U.S. Bancorp | 1,000,000 | 50,020 |
PNC Financial Services Group, Inc. | 230,000 | 31,073 |
HSBC Holdings PLC (ADR) | 626,866 | 29,550 |
AIA Group Ltd. (ADR) | 782,000 | 27,390 |
Banco Santander, SA (ADR) | 3,885,000 | 20,746 |
Zions Bancorporation | 355,000 | 18,705 |
American International Group, Inc. | 282,000 | 14,952 |
866,918 | ||
Energy 9.33% | ||
EOG Resources, Inc. | 2,160,500 | 268,831 |
Exxon Mobil Corp. | 2,535,000 | 209,721 |
Halliburton Co. | 2,846,700 | 128,272 |
Canadian Natural Resources, Ltd. | 2,944,000 | 106,190 |
Royal Dutch Shell PLC, Class B (ADR) | 1,347,000 | 97,860 |
Williams Companies, Inc. | 1,392,000 | 37,737 |
848,611 | ||
Telecommunication services 3.25% | ||
Verizon Communications Inc. | 3,306,480 | 166,349 |
CenturyLink, Inc. | 3,476,800 | 64,808 |
AT&T Inc. | 2,000,000 | 64,220 |
295,377 |
Common stocks Materials 2.41% | Shares | Value (000) |
Freeport-McMoRan Inc. | 6,536,000 | $112,811 |
Praxair, Inc. | 552,000 | 87,299 |
Vale SA, ordinary nominative (ADR) | 1,519,000 | 19,474 |
219,584 | ||
Utilities 1.66% | ||
Edison International | 832,300 | 52,660 |
Southern Co. | 1,000,000 | 46,310 |
Sempra Energy | 374,000 | 43,425 |
NextEra Energy, Inc. | 50,000 | 8,351 |
150,746 | ||
Real estate 0.82% | ||
Crown Castle International Corp. REIT | 446,700 | 48,163 |
Kimco Realty Corp. REIT | 1,544,000 | 26,233 |
74,396 | ||
Miscellaneous 0.29% | ||
Other common stocks in initial period of acquisition | 26,164 | |
Total common stocks (cost: $7,063,606,000) | 8,748,364 | |
Short-term securities 3.79% | Principal amount (000) | |
Colgate-Palmolive Co. 1.91% due 7/9/20182 | $42,900 | 42,877 |
Eli Lilly and Co. 1.97% due 7/18/20182 | 10,100 | 10,090 |
Emerson Electric Co. 1.92%–1.95% due 7/6/2018–7/31/20182 | 34,500 | 34,451 |
Federal Home Loan Bank 1.78%–1.90% due 7/16/2018–8/17/2018 | 124,100 | 123,925 |
John Deere Financial Ltd. 1.93% due 7/12/20182 | 38,800 | 38,773 |
National Rural Utilities Cooperative Finance Corp. 1.98% due 7/17/2018 | 11,200 | 11,189 |
Swedbank AB 1.85% due 7/2/2018 | 24,200 | 24,196 |
U.S. Treasury Bills 1.60%–1.99% due 7/19/2018–11/15/2018 | 59,500 | 59,119 |
Total short-term securities (cost: $344,620,000) | 344,620 | |
Total investment securities 99.97% (cost: $7,408,226,000) | 9,092,984 | |
Other assets less liabilities 0.03% | 2,890 | |
Net assets 100.00% | $9,095,874 |
1 | Security did not produce income during the last 12 months. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $126,191,000, which represented 1.39% of the net assets of the fund. |
Key to abbreviation |
ADR = American Depositary Receipts |
Common stocks 91.19% Information technology 23.49% | Shares | Value (000) |
Nintendo Co., Ltd. | 249,000 | $81,415 |
Microsoft Corp. | 641,000 | 63,209 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 7,406,800 | 52,596 |
United Microelectronics Corp.1 | 54,200,000 | 30,569 |
Alphabet Inc., Class A2 | 16,800 | 18,970 |
Alphabet Inc., Class C2 | 9,000 | 10,041 |
Alibaba Group Holding Ltd. (ADR)2 | 154,500 | 28,664 |
Murata Manufacturing Co., Ltd. | 170,000 | 28,591 |
Broadcom Inc. | 117,500 | 28,510 |
PagSeguro Digital Ltd., Class A2 | 998,752 | 27,715 |
Facebook, Inc., Class A2 | 120,000 | 23,319 |
AAC Technologies Holdings Inc. | 1,503,500 | 21,176 |
TE Connectivity Ltd. | 200,000 | 18,012 |
Temenos AG | 101,000 | 15,298 |
Halma PLC | 610,000 | 11,029 |
MediaTek Inc. | 705,000 | 6,937 |
TravelSky Technology Ltd., Class H2 | 2,065,000 | 6,014 |
Intel Corp. | 120,600 | 5,995 |
478,060 | ||
Industrials 10.10% | ||
Airbus SE, non-registered shares | 503,000 | 58,893 |
Boeing Co. | 87,000 | 29,189 |
Grupo Aeroportuario del Pacífico SAB de CV | 2,930,000 | 27,130 |
Deutsche Post AG | 523,000 | 17,083 |
Ryanair Holdings PLC (ADR)2 | 141,375 | 16,149 |
Lockheed Martin Corp. | 51,800 | 15,303 |
Safran SA | 90,000 | 10,936 |
Aeroflot - Russian Airlines PJSC | 3,750,000 | 8,348 |
Eicher Motors Ltd. | 18,700 | 7,803 |
ACS, Actividades de Construcción y Servicios SA | 150,000 | 6,078 |
Flughafen Zürich AG | 22,000 | 4,497 |
DCC PLC | 45,600 | 4,150 |
205,559 | ||
Financials 9.51% | ||
Société Générale | 497,000 | 20,961 |
Prudential PLC | 765,000 | 17,512 |
AIA Group Ltd. | 1,860,000 | 16,263 |
CenterState Bank Corp. | 475,945 | 14,193 |
Blackstone Group LP | 355,000 | 11,420 |
CIT Group Inc. | 201,750 | 10,170 |
B3 SA - Brasil, Bolsa, Balcao | 1,866,000 | 9,846 |
HSBC Holdings PLC (GBP denominated) | 1,030,000 | 9,661 |
CME Group Inc., Class A | 58,500 | 9,589 |
JPMorgan Chase & Co. | 92,000 | 9,586 |
Common stocks Financials (continued) | Shares | Value (000) |
BNP Paribas SA | 150,000 | $9,317 |
DBS Group Holdings Ltd | 475,000 | 9,277 |
Bank Central Asia Tbk PT | 4,775,000 | 7,156 |
ABN AMRO Group NV, depository receipts | 275,000 | 7,136 |
Wells Fargo & Co. | 122,000 | 6,764 |
BlackRock, Inc. | 13,500 | 6,737 |
First Republic Bank | 60,000 | 5,807 |
Aviva PLC | 655,000 | 4,357 |
Itaú Unibanco Holding SA, preferred nominative (ADR) | 375,000 | 3,893 |
Capital One Financial Corp. | 32,000 | 2,941 |
UniCredit SPA | 56,319 | 940 |
193,526 | ||
Health care 8.61% | ||
UnitedHealth Group Inc. | 203,300 | 49,878 |
Merck & Co., Inc. | 437,000 | 26,526 |
Centene Corp.2 | 212,000 | 26,120 |
Hologic, Inc.2 | 400,000 | 15,900 |
ResMed Inc. | 111,100 | 11,508 |
Thermo Fisher Scientific Inc. | 55,000 | 11,393 |
Fleury SA, ordinary nominative | 1,500,000 | 10,237 |
Novartis AG | 124,000 | 9,426 |
Hikma Pharmaceuticals PLC | 340,000 | 6,735 |
Hypera SA, ordinary nominative | 562,000 | 4,004 |
AstraZeneca PLC | 50,000 | 3,466 |
175,193 | ||
Consumer discretionary 8.10% | ||
Home Depot, Inc. | 122,000 | 23,802 |
Amazon.com, Inc.2 | 14,000 | 23,797 |
Las Vegas Sands Corp. | 250,000 | 19,090 |
Vivendi SA | 715,200 | 17,539 |
Nitori Holdings Co., Ltd. | 105,000 | 16,388 |
Accor SA | 256,300 | 12,577 |
Paddy Power Betfair PLC | 90,000 | 9,985 |
Comcast Corp., Class A | 296,000 | 9,712 |
Axel Springer SE | 125,000 | 9,043 |
Sony Corp. | 174,000 | 8,901 |
Carnival Corp., units | 138,000 | 7,909 |
adidas AG | 28,000 | 6,113 |
Continental AG | 200 | 46 |
164,902 | ||
Materials 8.06% | ||
Century Aluminum Co.2 | 2,275,000 | 35,831 |
Randgold Resources Ltd. | 271,100 | 20,823 |
Vale SA, ordinary nominative | 1,075,000 | 13,755 |
Vale SA, ordinary nominative (ADR) | 505,000 | 6,474 |
BHP Billiton PLC | 800,000 | 18,012 |
DowDuPont Inc. | 232,044 | 15,296 |
James Hardie Industries PLC (CDI) | 850,000 | 14,267 |
Rio Tinto PLC | 199,000 | 11,033 |
CCL Industries Inc., Class B, nonvoting | 192,500 | 9,437 |
LafargeHolcim Ltd. | 150,000 | 7,328 |
Common stocks Materials (continued) | Shares | Value (000) |
Koninklijke DSM NV | 61,000 | $6,135 |
PPG Industries, Inc. | 55,000 | 5,705 |
164,096 | ||
Consumer staples 6.97% | ||
British American Tobacco PLC | 1,335,000 | 67,479 |
Nestlé SA | 258,700 | 20,089 |
Pinnacle Foods Inc. | 200,000 | 13,012 |
Wal-Mart de México, SAB de CV, Series V | 4,485,000 | 11,824 |
GRUMA, SAB de CV, Series B | 852,000 | 10,420 |
Coca-Cola FEMSA, SAB de CV, Series L | 1,610,000 | 9,117 |
Walgreens Boots Alliance, Inc. | 100,000 | 6,002 |
Coca-Cola European Partners plc | 95,000 | 3,861 |
141,804 | ||
Energy 5.89% | ||
Reliance Industries Ltd. | 2,915,148 | 41,375 |
BP PLC | 3,730,000 | 28,468 |
Royal Dutch Shell PLC, Class B | 325,000 | 11,639 |
Royal Dutch Shell PLC, Class B (ADR) | 150,000 | 10,897 |
Coal India Ltd. | 4,310,000 | 16,629 |
ConocoPhillips | 156,000 | 10,861 |
119,869 | ||
Real estate 2.99% | ||
MGM Growth Properties LLC REIT, Class A | 676,200 | 20,597 |
Gaming and Leisure Properties, Inc. REIT | 425,000 | 15,215 |
Public Storage REIT | 37,000 | 8,394 |
Prologis, Inc. REIT | 90,000 | 5,912 |
Crown Castle International Corp. REIT | 53,000 | 5,715 |
Vonovia SE | 104,442 | 4,971 |
60,804 | ||
Telecommunication services 1.63% | ||
Verizon Communications Inc. | 435,000 | 21,885 |
Advanced Info Service PCL, foreign registered | 1,350,000 | 7,538 |
Spark New Zealand Ltd. | 1,500,000 | 3,790 |
33,213 | ||
Utilities 1.46% | ||
Ørsted AS | 491,552 | 29,740 |
Miscellaneous 4.38% | ||
Other common stocks in initial period of acquisition | 89,264 | |
Total common stocks (cost: $1,429,021,000) | 1,856,030 | |
Rights & warrants 0.01% Miscellaneous 0.01% | ||
Other rights & warrants in initial period of acquisition | 154 | |
Total rights & warrants (cost: $163,000) | 154 |
Bonds, notes & other debt instruments 2.03% Corporate bonds & notes 1.98% Telecommunication services 1.69% | Principal amount (000) | Value (000) |
Sprint Corp. 7.25% 2021 | $33,000 | $34,402 |
Health care 0.29% | ||
Teva Pharmaceutical Finance Company BV 3.15% 2026 | 7,225 | 5,815 |
Total corporate bonds & notes | 40,217 | |
U.S. Treasury bonds & notes 0.05% U.S. Treasury 0.05% | ||
U.S. Treasury 0.875% 2018 | 1,000 | 1,000 |
Total U.S. Treasury bonds & notes | 1,000 | |
Total bonds, notes & other debt instruments (cost: $39,059,000) | 41,217 | |
Short-term securities 6.47% | ||
American Honda Finance Corp. 2.15% due 9/10/2018 | 15,000 | 14,935 |
BASF SE 2.03% due 8/2/20183 | 14,500 | 14,473 |
Federal Home Loan Bank 1.84% due 8/1/2018 | 25,000 | 24,963 |
Société Générale 1.79% due 7/2/20183 | 10,000 | 9,999 |
Swedbank AB 1.85%–1.89% due 7/2/2018–7/5/2018 | 47,300 | 47,289 |
Victory Receivables Corp. 2.02% due 7/2/20183 | 10,000 | 9,998 |
Wal-Mart Stores, Inc. 1.86% due 7/2/20183 | 10,000 | 9,998 |
Total short-term securities (cost: $131,662,000) | 131,655 | |
Total investment securities 99.70% (cost: $1,599,905,000) | 2,029,056 | |
Other assets less liabilities 0.30% | 6,177 | |
Net assets 100.00% | $2,035,233 |
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of the security was $30,569,000, which represented 1.50% of the net assets of the fund. |
2 | Security did not produce income during the last 12 months. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $44,468,000, which represented 2.18% of the net assets of the fund. |
Key to abbreviations |
ADR = American Depositary Receipts |
CDI = CREST Depository Interest |
GBP = British pounds |
Common stocks 91.65% Information technology 18.09% | Shares | Value (000) |
Alphabet Inc., Class A1 | 568,300 | $641,719 |
Alphabet Inc., Class C1 | 377,284 | 420,917 |
Microsoft Corp. | 9,316,400 | 918,690 |
Facebook, Inc., Class A1 | 3,498,600 | 679,848 |
Intel Corp. | 9,190,900 | 456,880 |
Texas Instruments Inc. | 3,340,982 | 368,343 |
Broadcom Inc. | 1,495,784 | 362,937 |
Accenture PLC, Class A | 1,504,900 | 246,187 |
QUALCOMM Inc. | 4,173,975 | 234,243 |
Mastercard Inc., Class A | 1,100,000 | 216,172 |
GoDaddy Inc., Class A1 | 2,175,970 | 153,623 |
NetApp, Inc. | 1,939,790 | 152,332 |
Visa Inc., Class A | 835,100 | 110,609 |
IAC/InterActiveCorp1 | 716,000 | 109,183 |
Worldpay, Inc., Class A1 | 1,250,000 | 102,225 |
International Business Machines Corp. | 500,000 | 69,850 |
Teradata Corp.1 | 1,587,757 | 63,748 |
Xilinx, Inc. | 975,000 | 63,629 |
Arista Networks, Inc.1 | 227,228 | 58,509 |
ASML Holding NV (New York registered) | 272,100 | 53,868 |
Apple Inc. | 190,500 | 35,263 |
Global Payments Inc. | 312,200 | 34,807 |
ON Semiconductor Corp.1 | 1,491,600 | 33,166 |
MercadoLibre, Inc. | 98,700 | 29,504 |
SAP SE | 239,500 | 27,675 |
Automatic Data Processing, Inc. | 155,000 | 20,792 |
Motorola Solutions, Inc. | 100,000 | 11,637 |
Trimble Inc.1 | 340,000 | 11,166 |
First Data Corp., Class A1 | 529,541 | 11,083 |
Western Union Co. | 400,000 | 8,132 |
5,706,737 | ||
Consumer discretionary 13.59% | ||
Netflix, Inc.1 | 2,982,977 | 1,167,627 |
Amazon.com, Inc.1 | 593,500 | 1,008,831 |
Twenty-First Century Fox, Inc., Class A | 5,441,000 | 270,363 |
NIKE, Inc., Class B | 2,901,200 | 231,168 |
Home Depot, Inc. | 1,132,420 | 220,935 |
Comcast Corp., Class A | 5,856,200 | 192,142 |
Charter Communications, Inc., Class A1 | 430,969 | 126,365 |
CBS Corp., Class B | 2,244,600 | 126,191 |
Viacom Inc., Class B | 3,516,900 | 106,070 |
Toyota Motor Corp. | 1,525,000 | 98,760 |
Lowe’s Companies, Inc. | 1,015,000 | 97,004 |
Signet Jewelers Ltd. | 1,674,500 | 93,353 |
Marriott International, Inc., Class A | 547,700 | 69,339 |
Common stocks Consumer discretionary (continued) | Shares | Value (000) |
Starbucks Corp. | 1,313,930 | $64,186 |
Wynn Resorts, Ltd. | 375,666 | 62,864 |
Booking Holdings Inc.1 | 29,000 | 58,786 |
Newell Brands Inc. | 2,222,600 | 57,321 |
Ferrari NV | 390,000 | 53,059 |
Cedar Fair, LP | 789,500 | 49,746 |
Aramark | 1,270,200 | 47,124 |
Tapestry, Inc. | 630,000 | 29,427 |
Carnival Corp., units | 427,000 | 24,471 |
Harley-Davidson, Inc. | 383,000 | 16,117 |
YUM! Brands, Inc. | 205,630 | 16,084 |
4,287,333 | ||
Health care 13.51% | ||
AbbVie Inc. | 6,563,841 | 608,140 |
UnitedHealth Group Inc. | 2,170,668 | 532,552 |
Amgen Inc. | 2,470,983 | 456,119 |
Gilead Sciences, Inc. | 5,535,100 | 392,106 |
Abbott Laboratories | 5,184,269 | 316,189 |
Express Scripts Holding Co.1 | 3,410,324 | 263,311 |
Merck & Co., Inc. | 3,714,380 | 225,463 |
Stryker Corp. | 1,091,544 | 184,318 |
Illumina, Inc.1 | 572,950 | 160,019 |
Eli Lilly and Co. | 1,520,600 | 129,753 |
Novartis AG | 1,670,150 | 126,960 |
Humana Inc. | 414,510 | 123,371 |
Pfizer Inc. | 3,151,351 | 114,331 |
Johnson & Johnson | 897,000 | 108,842 |
Hologic, Inc.1 | 2,573,300 | 102,289 |
Seattle Genetics, Inc.1 | 1,536,306 | 101,995 |
Incyte Corp.1 | 1,330,900 | 89,170 |
Thermo Fisher Scientific Inc. | 331,300 | 68,625 |
Ultragenyx Pharmaceutical Inc.1 | 695,200 | 53,440 |
Agios Pharmaceuticals, Inc.1 | 612,920 | 51,626 |
AstraZeneca PLC (ADR) | 1,228,600 | 43,136 |
CVS Health Corp. | 161,300 | 10,380 |
4,262,135 | ||
Financials 10.67% | ||
JPMorgan Chase & Co. | 4,733,030 | 493,182 |
Wells Fargo & Co. | 6,382,100 | 353,824 |
Bank of New York Mellon Corp. | 4,570,400 | 246,482 |
Intercontinental Exchange, Inc. | 3,073,355 | 226,045 |
State Street Corp. | 1,795,500 | 167,143 |
Aon PLC, Class A | 1,214,800 | 166,634 |
PNC Financial Services Group, Inc. | 1,133,276 | 153,106 |
American International Group, Inc. | 2,716,489 | 144,028 |
Chubb Ltd. | 1,095,100 | 139,100 |
CME Group Inc., Class A | 804,330 | 131,846 |
Marsh & McLennan Companies, Inc. | 1,580,200 | 129,529 |
EXOR NV | 1,600,000 | 107,811 |
Charles Schwab Corp. | 2,024,500 | 103,452 |
UniCredit SPA | 5,468,000 | 91,288 |
M&T Bank Corp. | 531,600 | 90,452 |
Banco Santander, SA | 16,095,805 | 86,314 |
Common stocks Financials (continued) | Shares | Value (000) |
Moody’s Corp. | 447,458 | $76,318 |
Kotak Mahindra Bank Ltd. | 3,417,778 | 66,991 |
Goldman Sachs Group, Inc. | 220,880 | 48,719 |
Bank of Montreal | 595,127 | 46,002 |
Nasdaq, Inc. | 482,600 | 44,047 |
Toronto-Dominion Bank | 750,000 | 43,395 |
HDFC Bank Ltd.2 | 1,290,000 | 39,701 |
AIA Group Ltd. | 4,300,000 | 37,598 |
BB&T Corp. | 554,000 | 27,944 |
Huntington Bancshares Inc. | 1,505,700 | 22,224 |
UBS Group AG | 1,343,666 | 20,793 |
KeyCorp | 893,000 | 17,449 |
Ameriprise Financial, Inc. | 101,100 | 14,142 |
Invesco Ltd. | 500,000 | 13,280 |
U.S. Bancorp | 201,000 | 10,054 |
Progressive Corp. | 119,100 | 7,045 |
3,365,938 | ||
Industrials 10.20% | ||
General Dynamics Corp. | 2,035,000 | 379,344 |
Airbus SE, non-registered shares | 2,782,764 | 325,816 |
BWX Technologies, Inc. | 4,908,579 | 305,903 |
Textron Inc. | 3,885,077 | 256,065 |
CSX Corp. | 3,362,000 | 214,428 |
Union Pacific Corp. | 1,074,077 | 152,175 |
General Electric Co. | 11,136,000 | 151,561 |
Equifax Inc. | 1,168,400 | 146,179 |
TransDigm Group Inc. | 404,300 | 139,540 |
Norfolk Southern Corp. | 840,000 | 126,731 |
L3 Technologies, Inc. | 602,000 | 115,777 |
Harris Corp. | 690,000 | 99,733 |
United Technologies Corp. | 787,300 | 98,436 |
Deere & Co. | 697,500 | 97,510 |
Safran SA | 757,903 | 92,092 |
BAE Systems PLC | 7,867,000 | 67,154 |
C.H. Robinson Worldwide, Inc. | 757,935 | 63,409 |
Waste Management, Inc. | 767,700 | 62,445 |
Waste Connections, Inc. | 662,000 | 49,835 |
Nielsen Holdings PLC | 1,398,100 | 43,243 |
Siemens AG (ADR) | 315,000 | 20,754 |
Siemens AG | 150,000 | 19,832 |
Huntington Ingalls Industries, Inc. | 163,500 | 35,445 |
Rockwell Automation | 202,700 | 33,695 |
Covanta Holding Corp. | 2,019,800 | 33,327 |
Lockheed Martin Corp. | 109,900 | 32,468 |
Meggitt PLC | 4,499,152 | 29,291 |
Boeing Co. | 82,250 | 27,596 |
3,219,784 | ||
Consumer staples 7.97% | ||
Coca-Cola Co. | 7,063,100 | 309,787 |
British American Tobacco PLC | 5,192,860 | 262,481 |
British American Tobacco PLC (ADR) | 494,440 | 24,944 |
Lamb Weston Holdings, Inc. | 3,533,000 | 242,046 |
Altria Group, Inc. | 3,588,000 | 203,762 |
Common stocks Consumer staples (continued) | Shares | Value (000) |
Philip Morris International Inc. | 2,192,170 | $176,996 |
Mondelez International, Inc. | 3,567,400 | 146,263 |
Procter & Gamble Co. | 1,769,178 | 138,102 |
Costco Wholesale Corp. | 650,900 | 136,025 |
Pernod Ricard SA | 807,000 | 131,844 |
Carlsberg A/S, Class B | 1,056,094 | 124,415 |
L’Oréal SA, bonus shares2 | 470,000 | 116,085 |
Nestlé SA | 1,383,846 | 107,460 |
Walgreens Boots Alliance, Inc. | 1,773,900 | 106,461 |
Kirin Holdings Co., Ltd. | 3,380,000 | 90,457 |
Herbalife Nutrition Ltd.1 | 1,022,000 | 54,902 |
PepsiCo, Inc. | 498,419 | 54,263 |
Diageo PLC | 1,220,000 | 43,827 |
Avon Products, Inc.1 | 16,957,600 | 27,471 |
Kroger Co. | 360,000 | 10,242 |
Hormel Foods Corp. | 206,600 | 7,688 |
2,515,521 | ||
Energy 6.39% | ||
Exxon Mobil Corp. | 4,034,000 | 333,733 |
Chevron Corp. | 2,337,200 | 295,492 |
EOG Resources, Inc. | 1,548,300 | 192,655 |
Enbridge Inc. (CAD denominated) | 3,025,159 | 108,152 |
Enbridge Inc. (CAD denominated)3 | 1,340,553 | 47,926 |
ConocoPhillips | 2,099,410 | 146,161 |
TOTAL SA | 2,323,438 | 141,662 |
Schlumberger Ltd. | 2,055,000 | 137,747 |
Concho Resources Inc.1 | 653,100 | 90,356 |
Williams Companies, Inc. | 3,272,600 | 88,720 |
Baker Hughes, a GE Co., Class A | 2,572,600 | 84,973 |
Royal Dutch Shell PLC, Class B (ADR) | 830,000 | 60,300 |
Royal Dutch Shell PLC, Class A (ADR) | 305,348 | 21,139 |
Canadian Natural Resources, Ltd. (CAD denominated) | 2,073,000 | 74,821 |
Kinder Morgan, Inc. | 3,264,200 | 57,679 |
Occidental Petroleum Corp. | 461,900 | 38,652 |
Tullow Oil PLC1 | 9,369,306 | 30,295 |
Whitecap Resources Inc. | 4,119,000 | 27,916 |
Noble Energy, Inc. | 540,000 | 19,051 |
Halliburton Co. | 202,800 | 9,138 |
Suncor Energy Inc. | 213,650 | 8,695 |
BP PLC | 157,000 | 1,198 |
2,016,461 | ||
Materials 4.02% | ||
Celanese Corp., Series A | 2,573,233 | 285,783 |
Vale SA, ordinary nominative (ADR) | 17,367,884 | 222,656 |
Vale SA, ordinary nominative | 3,570,848 | 45,689 |
DowDuPont Inc. | 3,737,900 | 246,403 |
Freeport-McMoRan Inc. | 9,055,000 | 156,289 |
Praxair, Inc. | 516,100 | 81,621 |
Mosaic Co. | 2,522,400 | 70,753 |
Rio Tinto PLC | 1,020,655 | 56,588 |
International Flavors & Fragrances Inc. | 418,500 | 51,877 |
PPG Industries, Inc. | 252,000 | 26,140 |
Common stocks Materials (continued) | Shares | Value (000) |
Centerra Gold Inc.1 | 2,917,909 | $16,225 |
Asahi Kasei Corp. | 619,000 | 7,872 |
1,267,896 | ||
Real estate 1.63% | ||
Crown Castle International Corp. REIT | 1,548,200 | 166,927 |
Iron Mountain Inc. REIT | 3,599,221 | 126,009 |
Weyerhaeuser Co. REIT1 | 3,324,541 | 121,213 |
American Tower Corp. REIT | 515,800 | 74,363 |
MGM Growth Properties LLC REIT, Class A | 860,262 | 26,203 |
514,715 | ||
Utilities 1.39% | ||
Sempra Energy | 2,112,942 | 245,334 |
American Electric Power Co., Inc. | 1,727,200 | 119,609 |
PG&E Corp. | 1,045,500 | 44,496 |
AES Corp. | 2,287,400 | 30,674 |
440,113 | ||
Telecommunication services 1.28% | ||
Verizon Communications Inc. | 7,348,400 | 369,698 |
Inmarsat PLC | 4,756,028 | 34,522 |
404,220 | ||
Mutual funds 0.18% | ||
Altaba Inc.1 | 789,243 | 57,781 |
Miscellaneous 2.73% | ||
Other common stocks in initial period of acquisition | 860,215 | |
Total common stocks (cost: $20,259,215,000) | 28,918,849 | |
Convertible stocks 0.06% Financials 0.02% | ||
OFG Bancorp, Series C, 8.75% noncumulative convertible preferred4 | 6,000 | 7,305 |
Miscellaneous 0.04% | ||
Other convertible stocks in initial period of acquisition | 11,888 | |
Total convertible stocks (cost: $18,683,000) | 19,193 | |
Convertible bonds 0.14% Energy 0.14% | Principal amount (000) | |
Weatherford International PLC, convertible notes, 5.875% 2021 | $43,359 | 42,780 |
Total convertible bonds (cost: $43,359,000) | 42,780 |
Short-term securities 7.88% | Principal amount (000) | Value (000) |
3M Co. 1.93% due 7/13/20183 | $40,000 | $39,970 |
Apple Inc. 1.93% due 7/10/20183 | 50,000 | 49,971 |
CHARTA, LLC 2.27%–2.28% due 8/7/2018–9/28/20183 | 71,300 | 70,964 |
Chevron Corp. 2.05% due 9/17/20183 | 50,000 | 49,772 |
ExxonMobil Corp. 1.97%–2.02% due 8/14/2018–8/27/2018 | 95,500 | 95,219 |
Fannie Mae 1.84% due 7/30/2018 | 50,000 | 49,931 |
Federal Home Loan Bank 1.70%–1.91% due 7/5/2018–8/29/2018 | 856,000 | 854,806 |
Freddie Mac 1.76%–1.79% due 7/18/2018–7/26/2018 | 100,000 | 99,902 |
General Dynamics Corp. 2.03% due 8/8/20183 | 25,000 | 24,943 |
Honeywell International Inc. 1.95% due 7/25/20183 | 50,000 | 49,929 |
Intel Corp. 1.98% due 8/7/20183 | 75,000 | 74,839 |
John Deere Bank SA 2.10% due 8/14/20183 | 25,000 | 24,935 |
Jupiter Securitization Co., LLC 2.28% due 8/3/20183 | 50,000 | 49,899 |
PepsiCo Inc. 1.98% due 8/7/20183 | 40,000 | 39,913 |
Pfizer Inc. 1.96%–2.03% due 8/13/2018–9/10/20183 | 106,800 | 106,414 |
Société Générale 1.79% due 7/2/20183 | 68,900 | 68,890 |
U.S. Treasury Bills 1.61%–2.01% due 7/12/2018–11/15/2018 | 691,200 | 687,916 |
United Parcel Service Inc. 1.87% due 7/9/20183 | 50,000 | 49,974 |
Total short-term securities (cost: $2,488,142,000) | 2,488,187 | |
Total investment securities 99.73% (cost: $22,809,399,000) | 31,469,009 | |
Other assets less liabilities 0.27% | 84,011 | |
Net assets 100.00% | $31,553,020 |
1 | Security did not produce income during the last 12 months. |
2 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $155,786,000, which represented .49% of the net assets of the fund. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $748,339,000, which represented 2.37% of the net assets of the fund. |
4 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on this holding appear below. |
Private placement security | Acquisition date | Cost (000) | Value (000) | Percent of net assets |
OFG Bancorp, Series C, 8.75% noncumulative convertible preferred | 6/28/2012 | $6,000 | $7,305 | .02% |
Key to abbreviations |
ADR = American Depositary Receipts |
CAD = Canadian dollars |
Common stocks 90.64% Financials 20.57% | Shares | Value (000) |
HDFC Bank Ltd.1 | 1,228,800 | $37,817 |
Zurich Insurance Group AG | 92,200 | 27,382 |
Banco Santander, SA | 4,488,061 | 24,067 |
BNP Paribas SA | 300,300 | 18,653 |
Prudential PLC | 738,000 | 16,894 |
KB Financial Group Inc. | 356,500 | 16,889 |
AIA Group Ltd. | 1,833,000 | 16,027 |
Swedbank AB, Class A | 611,000 | 13,084 |
Sumitomo Mitsui Financial Group, Inc. | 308,000 | 11,979 |
Sberbank of Russia PJSC (ADR) | 802,660 | 11,586 |
Intesa Sanpaolo SpA | 3,590,000 | 10,424 |
Itaú Unibanco Holding SA, preferred nominative (ADR) | 991,300 | 10,290 |
Lloyds Banking Group PLC | 11,968,000 | 9,959 |
Sampo Oyj, Class A | 203,000 | 9,909 |
Credit Suisse Group AG | 576,077 | 8,697 |
PICC Property and Casualty Co. Ltd., Class H | 7,905,000 | 8,534 |
Banco Bilbao Vizcaya Argentaria, SA | 825,000 | 5,852 |
Banco Bilbao Vizcaya Argentaria, SA (ADR) | 337,643 | 2,363 |
St. James’s Place PLC | 524,000 | 7,936 |
Moscow Exchange MICEX-RTS PJSC | 4,172,000 | 7,213 |
Banca Mediolanum SPA | 1,013,437 | 6,870 |
ABN AMRO Group NV, depository receipts | 260,000 | 6,747 |
Bank Rakyat Indonesia (Persero) Tbk PT | 20,420,000 | 4,047 |
Axis Bank Ltd.1,2,3 | 565,899 | 3,924 |
Jupiter Fund Management PLC | 587,000 | 3,455 |
GT Capital Holdings, Inc. | 55,680 | 950 |
301,548 | ||
Health care 9.93% | ||
Novartis AG | 426,145 | 32,394 |
Hikma Pharmaceuticals PLC | 1,317,700 | 26,103 |
Fresenius SE & Co. KGaA | 286,000 | 22,979 |
Daiichi Sankyo Co., Ltd. | 561,000 | 21,469 |
Teva Pharmaceutical Industries Ltd. (ADR) | 662,000 | 16,100 |
Essilor International SA | 100,072 | 14,129 |
Merck KGaA | 63,950 | 6,245 |
China Biologic Products Holdings, Inc.4 | 61,000 | 6,059 |
145,478 | ||
Information technology 8.93% | ||
Samsung Electronics Co., Ltd. | 646,634 | 27,066 |
Tencent Holdings Ltd. | 440,700 | 22,120 |
Lenovo Group Ltd. | 35,600,000 | 19,285 |
Yandex NV, Class A4 | 470,000 | 16,873 |
Tokyo Electron Ltd. | 63,700 | 10,943 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,464,000 | 10,396 |
Common stocks Information technology (continued) | Shares | Value (000) |
ASML Holding NV | 37,500 | $7,432 |
Flex Ltd.4 | 516,500 | 7,288 |
Alibaba Group Holding Ltd. (ADR)4 | 28,600 | 5,306 |
AAC Technologies Holdings Inc. | 299,000 | 4,211 |
130,920 | ||
Materials 8.49% | ||
Rio Tinto PLC | 1,098,800 | 60,920 |
Vale SA, ordinary nominative (ADR) | 1,701,000 | 21,807 |
Yara International ASA | 343,000 | 14,235 |
Akzo Nobel NV | 105,700 | 9,050 |
Glencore PLC | 1,880,000 | 8,982 |
Air Liquide SA, non-registered shares | 47,000 | 5,911 |
Norsk Hydro ASA | 576,000 | 3,451 |
124,356 | ||
Consumer staples 7.81% | ||
British American Tobacco PLC | 931,402 | 47,079 |
Pernod Ricard SA | 128,650 | 21,018 |
Imperial Brands PLC | 316,016 | 11,770 |
Associated British Foods PLC | 253,000 | 9,142 |
Philip Morris International Inc. | 109,400 | 8,833 |
Kirin Holdings Co., Ltd. | 313,000 | 8,377 |
Coca-Cola Icecek AS, Class C | 767,000 | 5,663 |
Orion Corp. | 19,739 | 2,639 |
114,521 | ||
Industrials 7.33% | ||
Airbus SE, non-registered shares | 253,960 | 29,734 |
Shanghai International Airport Co., Ltd., Class A | 3,256,033 | 27,266 |
ASSA ABLOY AB, Class B | 681,100 | 14,517 |
Rolls-Royce Holdings PLC4 | 838,400 | 10,934 |
Airports of Thailand PCL, foreign registered | 5,250,000 | 9,983 |
ALD SA | 513,000 | 8,759 |
Komatsu Ltd. | 166,800 | 4,773 |
International Container Terminal Services, Inc. | 1,000,000 | 1,448 |
107,414 | ||
Energy 7.05% | ||
Royal Dutch Shell PLC, Class A | 1,933,691 | 67,091 |
Royal Dutch Shell PLC, Class B | 89,900 | 3,219 |
TOTAL SA | 305,299 | 18,615 |
Canadian Natural Resources, Ltd. (CAD denominated) | 146,900 | 5,302 |
Cenovus Energy Inc. | 480,000 | 4,984 |
Petróleo Brasileiro SA (Petrobras), preferred nominative (ADR) | 360,300 | 3,185 |
Petróleo Brasileiro SA (Petrobras), preferred nominative | 214,000 | 949 |
103,345 | ||
Consumer discretionary 6.21% | ||
LVMH Moët Hennessy-Louis Vuitton SE | 48,000 | 15,987 |
NEXT PLC | 131,000 | 10,460 |
Naspers Ltd., Class N | 41,000 | 10,416 |
Kering SA | 16,600 | 9,375 |
ProSiebenSat.1 Media SE | 336,300 | 8,534 |
Galaxy Entertainment Group Ltd. | 1,100,000 | 8,518 |
Common stocks Consumer discretionary (continued) | Shares | Value (000) |
Inchcape PLC | 589,000 | $6,067 |
Sands China Ltd. | 972,000 | 5,197 |
Petrobras Distribuidora S.A. | 869,900 | 4,105 |
Paddy Power Betfair PLC | 32,000 | 3,550 |
Hyundai Motor Co. | 28,300 | 3,187 |
Hyundai Mobis Co., Ltd. | 13,875 | 2,639 |
RTL Group SA, non-registered shares | 32,100 | 2,178 |
PUMA SE | 1,383 | 809 |
91,022 | ||
Utilities 5.92% | ||
Ørsted AS | 441,200 | 26,694 |
EDP - Energias de Portugal, SA | 4,019,498 | 15,960 |
Korea Electric Power Corp. | 346,800 | 9,957 |
ENN Energy Holdings Ltd. | 858,000 | 8,437 |
ENGIE SA | 498,000 | 7,636 |
CK Infrastructure Holdings Ltd. | 901,500 | 6,682 |
Iberdrola, SA, non-registered shares | 807,869 | 6,249 |
National Grid PLC | 345,970 | 3,828 |
Red Eléctrica de Corporación, SA | 61,546 | 1,253 |
86,696 | ||
Real estate 4.57% | ||
Sun Hung Kai Properties Ltd. | 1,760,000 | 26,561 |
Daito Trust Construction Co., Ltd. | 95,500 | 15,535 |
CK Asset Holdings Ltd. | 1,797,348 | 14,272 |
China Resources Land Ltd. | 3,162,000 | 10,660 |
67,028 | ||
Telecommunication services 2.75% | ||
Nippon Telegraph and Telephone Corp. | 409,800 | 18,640 |
BT Group PLC | 4,859,461 | 13,968 |
Singapore Telecommunications Ltd. | 2,011,000 | 4,546 |
Intouch Holdings PCL, foreign registered | 1,983,000 | 3,187 |
40,341 | ||
Miscellaneous 1.08% | ||
Other common stocks in initial period of acquisition | 15,814 | |
Total common stocks (cost: $1,219,768,000) | 1,328,483 | |
Bonds, notes & other debt instruments 1.39% Bonds & notes of governments & government agencies outside the U.S. 0.84% | Principal amount (000) | |
Brazil (Federative Republic of) 0% 2022 | BRL14,800 | 2,728 |
Brazil (Federative Republic of) 10.00% 2025 | 22,000 | 5,346 |
Brazil (Federative Republic of) 10.00% 2027 | 8,500 | 2,003 |
Portuguese Republic 3.875% 2030 | €1,640 | 2,280 |
12,357 | ||
Corporate bonds & notes 0.52% Energy 0.29% | ||
Petróleos Mexicanos 6.875% 2026 | $3,617 | 3,810 |
Petróleos Mexicanos 6.35% 20483 | 454 | 413 |
4,223 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Health care 0.23% | Principal amount (000) | Value (000) |
Teva Pharmaceutical Finance Company BV 3.15% 2026 | $1,060 | $853 |
Teva Pharmaceutical Finance Company BV 4.10% 2046 | 1,160 | 832 |
Valeant Pharmaceuticals International, Inc. 6.125% 20253 | 1,865 | 1,725 |
3,410 | ||
Total corporate bonds & notes | 7,633 | |
U.S. Treasury bonds & notes 0.03% U.S. Treasury 0.03% | ||
U.S. Treasury 0.875% 2018 | 420 | 420 |
Total U.S. Treasury bonds & notes | 420 | |
Total bonds, notes & other debt instruments (cost: $21,587,000) | 20,410 | |
Short-term securities 7.70% | ||
Federal Home Loan Bank 1.87% due 7/30/2018 | 4,900 | 4,893 |
Mizuho Bank, Ltd. 2.05% due 8/7/20183 | 17,200 | 17,162 |
National Australia Bank Ltd. 1.95% due 7/2/20183 | 4,800 | 4,799 |
Nestlé Capital Corp. 2.08% due 9/4/20183 | 15,200 | 15,143 |
Nordea Bank AB 2.22% due 9/17/20183 | 8,300 | 8,261 |
Société Générale 1.79% due 7/2/20183 | 21,000 | 20,997 |
Swedbank AB 2.21%–2.22% due 9/18/2018–9/24/2018 | 41,800 | 41,588 |
Total short-term securities (cost: $112,845,000) | 112,843 | |
Total investment securities 99.73% (cost: $1,354,200,000) | 1,461,736 | |
Other assets less liabilities 0.27% | 3,946 | |
Net assets 100.00% | $1,465,682 |
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $41,741,000, which represented 2.85% of the net assets of the fund. |
2 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on this holding appear below. |
3 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $72,424,000, which represented 4.94% of the net assets of the fund. |
4 | Security did not produce income during the last 12 months. |
Private placement security | Acquisition date | Cost (000) | Value (000) | Percent of net assets |
Axis Bank Ltd. | 12/18/2017 | $4,634 | $3,924 | .27% |
Key to abbreviations and symbol |
ADR = American Depositary Receipts |
BRL = Brazilian reais |
CAD = Canadian dollars |
€ = Euros |
Common stocks 67.25% Financials 9.87% | Shares | Value (000) |
Wells Fargo & Co. | 164,800 | $9,137 |
CME Group Inc., Class A | 48,916 | 8,018 |
Sampo Oyj, Class A | 107,469 | 5,246 |
Zurich Insurance Group AG | 16,306 | 4,843 |
HSBC Holdings PLC (GBP denominated) | 437,200 | 4,101 |
ABN AMRO Group NV, depository receipts | 141,555 | 3,673 |
Swedbank AB, Class A | 166,138 | 3,558 |
JPMorgan Chase & Co. | 30,900 | 3,220 |
Intesa Sanpaolo SPA | 1,056,817 | 3,206 |
Oversea-Chinese Banking Corp. Ltd. | 350,000 | 2,990 |
Standard Life Aberdeen PLC | 519,907 | 2,235 |
Svenska Handelsbanken AB, Class A | 195,040 | 2,168 |
DBS Group Holdings Ltd | 110,600 | 2,160 |
KBC Groep NV | 27,025 | 2,087 |
Invesco Ltd. | 76,400 | 2,029 |
Lloyds Banking Group PLC | 2,325,300 | 1,935 |
BNP Paribas SA | 30,300 | 1,882 |
Bank of China Ltd., Class H | 1,894,000 | 939 |
MONETA Money Bank, AS, non-registered shares | 137,053 | 470 |
Union National Bank PJSC1 | 154,349 | 156 |
64,053 | ||
Energy 8.87% | ||
Royal Dutch Shell PLC, Class B | 303,840 | 10,881 |
Royal Dutch Shell PLC, Class B (ADR) | 8,500 | 618 |
Royal Dutch Shell PLC, Class A | 101 | 3 |
Enbridge Inc. (CAD denominated) | 229,370 | 8,200 |
Enbridge Inc. (CAD denominated)2 | 12,969 | 464 |
Schlumberger Ltd. | 119,800 | 8,030 |
Occidental Petroleum Corp. | 89,300 | 7,473 |
Kinder Morgan, Inc. | 359,000 | 6,343 |
Williams Companies, Inc. | 215,800 | 5,850 |
Inter Pipeline Ltd. | 260,000 | 4,873 |
Helmerich & Payne, Inc. | 76,300 | 4,865 |
57,600 | ||
Information technology 8.55% | ||
Microsoft Corp. | 132,120 | 13,028 |
QUALCOMM Inc. | 185,600 | 10,416 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 1,005,800 | 7,142 |
Intel Corp. | 135,200 | 6,721 |
Broadcom Inc. | 23,100 | 5,605 |
HP Inc. | 183,600 | 4,166 |
Vanguard International Semiconductor Corp. | 1,659,000 | 3,798 |
Common stocks Information technology (continued) | Shares | Value (000) |
VTech Holdings Ltd. | 217,400 | $2,509 |
Delta Electronics, Inc. | 585,000 | 2,101 |
55,486 | ||
Consumer staples 8.18% | ||
Diageo PLC | 259,500 | 9,322 |
British American Tobacco PLC | 155,000 | 7,835 |
Philip Morris International Inc. | 86,020 | 6,945 |
Coca-Cola Co. | 148,000 | 6,491 |
Imperial Brands PLC | 141,500 | 5,270 |
Altria Group, Inc. | 65,370 | 3,712 |
Reckitt Benckiser Group PLC | 36,100 | 2,973 |
Carlsberg A/S, Class B | 21,421 | 2,524 |
Danone SA | 31,203 | 2,291 |
Japan Tobacco Inc. | 75,700 | 2,116 |
Nestlé SA | 26,616 | 2,067 |
Walgreens Boots Alliance, Inc. | 25,800 | 1,548 |
53,094 | ||
Real estate 6.41% | ||
American Tower Corp. REIT | 87,769 | 12,654 |
Crown Castle International Corp. REIT | 76,900 | 8,291 |
Digital Realty Trust, Inc. REIT | 51,200 | 5,713 |
Link Real Estate Investment Trust REIT | 487,000 | 4,448 |
Nexity SA, Class A, non-registered shares | 65,289 | 4,125 |
Iron Mountain Inc. REIT | 115,800 | 4,054 |
CK Asset Holdings Ltd. | 296,000 | 2,350 |
41,635 | ||
Consumer discretionary 6.22% | ||
Las Vegas Sands Corp. | 176,600 | 13,484 |
Greene King PLC | 948,000 | 7,202 |
Sands China Ltd. | 1,018,800 | 5,448 |
SES SA, Class A (FDR) | 233,286 | 4,274 |
Modern Times Group MTG AB, Class B | 64,957 | 2,718 |
InterContinental Hotels Group PLC | 41,900 | 2,610 |
Starbucks Corp. | 38,200 | 1,866 |
Gannett Co., Inc. | 132,999 | 1,423 |
BCA Marketplace PLC | 460,000 | 1,336 |
40,361 | ||
Utilities 4.50% | ||
SSE PLC | 477,689 | 8,542 |
Enel SPA | 1,160,877 | 6,449 |
PG&E Corp. | 115,756 | 4,927 |
National Grid PLC | 357,100 | 3,951 |
Infratil Ltd. | 1,291,737 | 2,957 |
Iberdrola, SA, non-registered shares | 307,404 | 2,378 |
29,204 | ||
Telecommunication services 4.35% | ||
Vodafone Group PLC | 4,255,100 | 10,323 |
HKT Trust and HKT Ltd., units | 4,775,340 | 6,099 |
Koninklijke KPN NV | 1,553,475 | 4,227 |
NTT DoCoMo, Inc. | 121,700 | 3,103 |
Common stocks Telecommunication services (continued) | Shares | Value (000) |
Verizon Communications Inc. | 47,650 | $2,397 |
AT&T Inc. | 65,600 | 2,106 |
28,255 | ||
Industrials 3.59% | ||
Airbus SE, non-registered shares | 88,814 | 10,398 |
Boeing Co. | 17,600 | 5,905 |
BAE Systems PLC | 278,100 | 2,374 |
Kühne + Nagel International AG | 15,085 | 2,273 |
Capita PLC | 736,000 | 1,552 |
Air New Zealand Ltd. | 361,960 | 778 |
23,280 | ||
Health care 3.54% | ||
AstraZeneca PLC (ADR) | 113,500 | 3,985 |
AstraZeneca PLC | 39,300 | 2,725 |
Roche Holding AG, non-registered shares, nonvoting | 23,575 | 5,250 |
Gilead Sciences, Inc. | 69,200 | 4,902 |
Pfizer Inc. | 94,900 | 3,443 |
Johnson & Johnson | 22,000 | 2,670 |
22,975 | ||
Materials 1.82% | ||
DowDuPont Inc. | 84,800 | 5,590 |
Nutrien Ltd. | 64,720 | 3,520 |
Givaudan SA | 1,202 | 2,733 |
11,843 | ||
Miscellaneous 1.35% | ||
Other common stocks in initial period of acquisition | 8,754 | |
Total common stocks (cost: $424,055,000) | 436,540 | |
Convertible stocks 0.72% Utilities 0.38% | ||
Sempra Energy, Series A, 6.00% convertible preferred 2021 | 24,000 | 2,477 |
Real estate 0.34% | ||
Crown Castle International Corp. REIT, Series A, 6.875% convertible preferred 2020 | 2,231 | 2,229 |
Total convertible stocks (cost: $4,742,000) | 4,706 | |
Bonds, notes & other debt instruments 23.54% U.S. Treasury bonds & notes 13.04% U.S. Treasury 12.25% | Principal amount (000) | |
U.S. Treasury 2.625% 2021 | $215 | 215 |
U.S. Treasury 8.00% 2021 | 2,550 | 2,988 |
U.S. Treasury 1.625% 2022 | 6,050 | 5,793 |
U.S. Treasury 1.75% 2022 | 5,015 | 4,835 |
U.S. Treasury 1.875% 2022 | 9,000 | 8,711 |
U.S. Treasury 1.875% 2022 | 1,000 | 966 |
U.S. Treasury 2.00% 2022 | 15,000 | 14,561 |
Bonds, notes & other debt instruments U.S. Treasury bonds & notes (continued) U.S. Treasury (continued) | Principal amount (000) | Value (000) |
U.S. Treasury 2.00% 2022 | $3,000 | $2,911 |
U.S. Treasury 2.125% 2022 | 8,800 | 8,576 |
U.S. Treasury 2.75% 2023 | 3,770 | 3,772 |
U.S. Treasury 2.75% 2023 | 2,000 | 2,002 |
U.S. Treasury 2.00% 2025 | 13,200 | 12,499 |
U.S. Treasury 2.00% 2026 | 4,500 | 4,214 |
U.S. Treasury 2.875% 2045 | 200 | 196 |
U.S. Treasury, principal only, 0% 2047 | 12,400 | 5,206 |
U.S. Treasury 3.00% 2048 | 33 | 33 |
U.S. Treasury 3.125% 2048 | 2,000 | 2,052 |
79,530 | ||
U.S. Treasury inflation-protected securities 0.79% | ||
U.S. Treasury Inflation-Protected Security 0.375% 20273 | 1,037 | 1,008 |
U.S. Treasury Inflation-Protected Security 0.50% 20283 | 4,915 | 4,084 |
5,092 | ||
Total U.S. Treasury bonds & notes | 84,622 | |
Mortgage-backed obligations 7.08% | ||
Arroyo Mortgage Trust, Series 2018-1, Class A1, 3.763% 20482,4,5 | 973 | 985 |
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A1A, 6.251% 20494,5 | 26 | 26 |
Fannie Mae 4.00% 20464 | 1,126 | 1,150 |
Fannie Mae 4.00% 20474 | 9,639 | 9,848 |
Fannie Mae 4.00% 20474 | 840 | 859 |
Fannie Mae 4.50% 20484 | 7,956 | 8,337 |
Fannie Mae 4.50% 20484 | 5,975 | 6,261 |
Finance of America Structured Securities Trust, Series 2017-HB1, Class A, 2.3207% 20271,2,4,5 | 233 | 232 |
Freddie Mac 2.50% 20324 | 102 | 99 |
Freddie Mac 2.50% 20334 | 149 | 144 |
Freddie Mac 4.50% 20484,6 | 5,552 | 5,768 |
Freddie Mac 4.50% 20484,6 | 1,448 | 1,507 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 2.25% 20564 | 537 | 521 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HA, 2.50% 20564,5 | 266 | 259 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 20564 | 504 | 492 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT, 2.50% 20574,5 | 213 | 208 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 20574 | 3,192 | 3,135 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT, 3.50% 20574 | 165 | 163 |
Government National Mortgage Assn. 4.50% 20484,6 | 3,136 | 3,260 |
Government National Mortgage Assn. 4.50% 20484,6 | 1,889 | 1,960 |
Government National Mortgage Assn. 5.664% 20594 | 2 | 2 |
Government National Mortgage Assn. 4.812% 20604 | —7 | —7 |
Government National Mortgage Assn. 5.46% 20604 | 51 | 51 |
Government National Mortgage Assn. 4.646% 20614 | 50 | 50 |
Government National Mortgage Assn. 4.81% 20614 | 2 | 2 |
Government National Mortgage Assn. 6.87% 20614 | 9 | 9 |
Government National Mortgage Assn. 4.56% 20624 | 43 | 44 |
Government National Mortgage Assn. 4.62% 20624 | 259 | 262 |
Government National Mortgage Assn. 4.281% 20634 | 120 | 122 |
Government National Mortgage Assn. 4.479% 20634 | 51 | 52 |
Government National Mortgage Assn. 4.563% 20634 | 134 | 137 |
Nationstar HECM Loan Trust, Series 2017-1A, Class A, 1.968% 20271,2,4 | 36 | 36 |
45,981 |
Bonds, notes & other debt instruments Corporate bonds & notes 3.34% Financials 1.26% | Principal amount (000) | Value (000) |
American International Group, Inc. 4.75% 2048 | $100 | $97 |
Bank of America Corp. 3.55% 2024 (3-month USD-LIBOR + 0.78% on 3/5/2023)8 | 127 | 126 |
Bank of America Corp. 3.97% 2029 (3-month USD-LIBOR + 1.07% on 3/5/2028)8 | 265 | 261 |
Barclays Bank PLC 4.972% 2029 (3-month USD-LIBOR + 1.902% on 5/16/2028)8 | 200 | 198 |
BB&T Corp. 6.85% 2019 | 100 | 103 |
BB&T Corp. 3.70% 2025 | 200 | 199 |
BNP Paribas 3.375% 20252 | 250 | 236 |
Citigroup Inc. 4.50% 2022 | 230 | 236 |
Citigroup Inc. 4.044% 2024 (3-month USD-LIBOR + 1.023% on 6/1/2023)8 | 110 | 111 |
Citigroup Inc. 4.075% 2029 (3-month USD-LIBOR + 1.192% on 4/23/2028)8 | 234 | 230 |
CME Group Inc. 4.15% 2048 | 200 | 203 |
Cooperatieve Rabobank U.A. 2.75% 2023 | 250 | 241 |
Crédit Agricole SA 3.75% 20232 | 330 | 324 |
Credit Suisse Group AG 4.207% 2024 (3-month USD-LIBOR + 1.24% on 6/12/2023)2,8 | 250 | 250 |
Danske Bank AS 2.80% 20212 | 250 | 246 |
Goldman Sachs Group, Inc. 4.223% 2029 (3-month USD-LIBOR + 1.301% on 5/1/2028)8 | 575 | 567 |
Groupe BPCE SA 2.75% 20232 | 250 | 239 |
Groupe BPCE SA 4.00% 2024 | 285 | 286 |
HSBC Holdings PLC 3.326% 20245 | 250 | 249 |
Intesa Sanpaolo SpA 5.71% 20262 | 375 | 343 |
Intesa Sanpaolo SpA 3.875% 20272 | 200 | 173 |
JPMorgan Chase & Co. 6.30% 2019 | 200 | 206 |
JPMorgan Chase & Co. 4.25% 2020 | 300 | 307 |
JPMorgan Chase & Co. 3.559% 2024 (3-month USD-LIBOR + 0.73% on 4/23/2023)8 | 75 | 74 |
JPMorgan Chase & Co. 4.005% 2029 (3-month USD-LIBOR + 1.12% on 4/23/2028)8 | 430 | 425 |
Lloyds Banking Group PLC 4.45% 2025 | 200 | 201 |
Lloyds Banking Group PLC 4.375% 2028 | 200 | 198 |
Metropolitan Life Global Funding I 2.40% 20212 | 225 | 221 |
Morgan Stanley 5.50% 2020 | 300 | 313 |
Morgan Stanley 3.737% 2024 (3-month USD-LIBOR + 0.847% on 4/24/2023)8 | 100 | 100 |
Morgan Stanley 3.875% 2026 | 331 | 326 |
New York Life Global Funding 3.00% 20282 | 150 | 141 |
Travelers Companies, Inc. 4.05% 2048 | 70 | 68 |
US Bancorp 2.00% 2020 | 250 | 246 |
US Bancorp 2.375% 2026 | 65 | 59 |
Wells Fargo & Co. 4.60% 2021 | 300 | 310 |
Wells Fargo & Co. 3.55% 2025 | 99 | 96 |
8,209 | ||
Utilities 0.51% | ||
Consolidated Edison Co. of New York 4.50% 2058 | 95 | 95 |
DTE Electric Co 4.05% 2048 | 70 | 70 |
Duke Energy Corp. 2.65% 2026 | 115 | 104 |
Duke Energy Florida, LLC 3.80% 2028 | 75 | 75 |
Duke Energy Florida, LLC 4.20% 2048 | 50 | 50 |
Emera Inc. 6.75% 2076 (3-month USD-LIBOR + 5.44% on 6/15/2026)8 | 120 | 125 |
Emera US Finance LP 4.75% 2046 | 120 | 119 |
Enel Finance International SA 3.625% 20272 | 215 | 197 |
Entergy Corp. 5.125% 2020 | 200 | 206 |
Entergy Corp. 2.95% 2026 | 280 | 256 |
FirstEnergy Corp. 3.90% 2027 | 12 | 12 |
FirstEnergy Corp. 3.50% 20282 | 60 | 57 |
FirstEnergy Corp. 4.10% 20282 | 65 | 65 |
Great Plains Energy Inc. 4.20% 2048 | 65 | 64 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Utilities (continued) | Principal amount (000) | Value (000) |
Mississippi Power Co. 4.25% 2042 | $335 | $322 |
Pacific Gas and Electric Co. 3.30% 2027 | 200 | 180 |
Progress Energy, Inc. 7.05% 2019 | 100 | 103 |
Public Service Co. of Colorado 4.10% 2048 | 100 | 101 |
SCANA Corp. 6.25% 2020 | 400 | 412 |
SCANA Corp. 4.75% 2021 | 350 | 354 |
SCANA Corp. 4.125% 2022 | 160 | 158 |
South Carolina Electric & Gas Co. 5.45% 2041 | 50 | 54 |
Xcel Energy Inc. 4.00% 2028 | 120 | 120 |
3,299 | ||
Consumer staples 0.36% | ||
Anheuser-Busch InBev NV 4.90% 2046 | 170 | 175 |
Anheuser-Busch InBev NV 4.60% 2048 | 50 | 49 |
British American Tobacco PLC 3.557% 20272 | 600 | 559 |
British American Tobacco PLC 4.54% 20472 | 150 | 141 |
Constellation Brands, Inc. 3.20% 2023 | 230 | 224 |
Constellation Brands, Inc. 3.60% 2028 | 105 | 99 |
Maple Escrow 4.057% 20232 | 160 | 161 |
Maple Escrow 4.417% 20252 | 30 | 30 |
Maple Escrow 4.597% 20282 | 129 | 130 |
Maple Escrow 5.085% 20482 | 214 | 216 |
Molson Coors Brewing Co. 4.20% 2046 | 65 | 59 |
Reynolds American Inc. 6.875% 2020 | 300 | 318 |
Wal-Mart Stores, Inc. 4.05% 2048 | 175 | 176 |
2,337 | ||
Health care 0.32% | ||
Abbott Laboratories 3.40% 2023 | 290 | 286 |
AbbVie Inc. 4.45% 2046 | 125 | 120 |
Allergan Funding SCS 4.85% 2044 | 100 | 97 |
Becton, Dickinson and Co. 3.70% 2027 | 220 | 208 |
Boston Scientific Corp. 6.00% 2020 | 200 | 208 |
Centene Corp. 5.375% 20262 | 100 | 102 |
CVS Health Corp. 4.10% 2025 | 183 | 182 |
CVS Health Corp. 4.30% 2028 | 175 | 173 |
CVS Health Corp. 4.78% 2038 | 300 | 297 |
Medtronic, Inc. 4.125% 2021 | 200 | 205 |
Shire PLC 2.875% 2023 | 213 | 201 |
2,079 | ||
Energy 0.28% | ||
Cenovus Energy Inc. 4.25% 2027 | 105 | 101 |
Cenovus Energy Inc. 5.40% 2047 | 65 | 64 |
Concho Resources Inc. 4.30% 2028 | 155 | 155 |
Enbridge Energy Partners, LP 7.375% 2045 | 206 | 263 |
Energy Transfer Partners, LP 4.00% 2027 | 215 | 201 |
Energy Transfer Partners, LP 5.40% 2047 | 200 | 184 |
Energy Transfer Partners, LP 6.00% 2048 | 26 | 26 |
EnLink Midstream Partners, LP 5.45% 2047 | 75 | 63 |
Kinder Morgan, Inc. 4.30% 2028 | 50 | 49 |
Kinder Morgan, Inc. 5.55% 2045 | 200 | 203 |
Petróleos Mexicanos 6.35% 20482 | 40 | 36 |
Phillips 66 Partners LP 4.90% 2046 | 50 | 48 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Energy (continued) | Principal amount (000) | Value (000) |
TransCanada PipeLines Ltd. 4.25% 2028 | $60 | $60 |
Ultra Petroleum Corp. 6.875% 20222 | 125 | 95 |
Western Gas Partners LP 5.30% 2048 | 50 | 46 |
Williams Partners LP 4.125% 2020 | 200 | 203 |
1,797 | ||
Telecommunication services 0.27% | ||
Deutsche Telekom International Finance BV 6.75% 2018 | 450 | 452 |
Deutsche Telekom International Finance BV 3.60% 20272 | 150 | 142 |
Verizon Communications Inc. 4.329% 20282 | 312 | 310 |
Verizon Communications Inc. 4.125% 2046 | 108 | 93 |
Verizon Communications Inc. 4.862% 2046 | 100 | 96 |
Vodafone Group PLC 3.75% 2024 | 300 | 298 |
Vodafone Group PLC 4.375% 2028 | 50 | 49 |
Vodafone Group PLC 5.25% 2048 | 300 | 300 |
1,740 | ||
Consumer discretionary 0.22% | ||
Amazon.com, Inc. 4.05% 2047 | 35 | 34 |
CCO Holdings LLC and CCO Holdings Capital Corp. 4.20% 2028 | 310 | 291 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.75% 2048 | 80 | 78 |
Comcast Corp. 5.15% 2020 | 100 | 103 |
Comcast Corp. 4.00% 2047 | 100 | 89 |
Comcast Corp. 4.00% 2048 | 50 | 44 |
DaimlerChrysler North America Holding Corp. 3.35% 20232 | 350 | 344 |
Ford Motor Co. 5.291% 2046 | 90 | 84 |
McDonald’s Corp. 4.45% 2047 | 55 | 55 |
NBC Universal Enterprise, Inc. 5.25% 20492 | 300 | 304 |
1,426 | ||
Industrials 0.06% | ||
3M Co. 2.25% 2023 | 110 | 105 |
CSX Corp. 3.80% 2028 | 95 | 93 |
General Dynamics Corp. 3.375% 2023 | 65 | 65 |
Union Pacific Corp. 4.50% 2048 | 80 | 81 |
United Technologies Corp. 3.125% 2027 | 75 | 70 |
414 | ||
Real estate 0.05% | ||
Equinix, Inc. 5.375% 2027 | 300 | 300 |
Materials 0.01% | ||
Sherwin-Williams Co. 3.45% 2027 | 100 | 95 |
Total corporate bonds & notes | 21,696 | |
Asset-backed obligations 0.08% | ||
Westlake Automobile Receivables Trust, Series 2017-2A, Class A2A, 1.80% 20202,4 | 495 | 494 |
Total bonds, notes & other debt instruments (cost: $155,499,000) | 152,793 |
Short-term securities 9.94% | Principal amount (000) | Value (000) |
Chevron Corp. 1.88% due 7/13/20182 | $4,800 | $4,796 |
Eli Lilly and Co. 1.97% due 7/18/20182 | 7,800 | 7,792 |
Emerson Electric Co. 1.92%–1.99% due 7/23/2018–8/8/20182 | 13,500 | 13,477 |
Federal Home Loan Bank 1.80%–1.88% due 7/6/2018–8/2/2018 | 10,700 | 10,687 |
Kimberly-Clark Corp. 1.95% due 7/11/20182 | 7,800 | 7,795 |
Merck & Co. Inc. 1.97% due 8/8/20182 | 4,200 | 4,191 |
Swedbank AB 1.85% due 7/2/2018 | 10,000 | 9,998 |
Tennessee Valley Authority 1.88% due 7/17/2018 | 5,800 | 5,795 |
Total short-term securities (cost: $64,536,000) | 64,531 | |
Total investment securities 101.45% (cost: $648,832,000) | 658,570 | |
Other assets less liabilities (1.45)% | (9,433) | |
Net assets 100.00% | $649,137 |
1 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities, including those in “Miscellaneous,“ was $424,000, which represented .07% of the net assets of the fund. This amount includes $156,000 related to certain securities trading outside the U.S. whose values were adjusted as a result of significant market movements following the close of local trading. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $45,324,000, which represented 6.98% of the net assets of the fund. |
3 | Index-linked bond whose principal amount moves with a government price index. |
4 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
5 | Coupon rate may change periodically. |
6 | Purchased on a TBA basis. |
7 | Amount less than one thousand. |
8 | Step bond; coupon rate may change at a later date. |
Key to abbreviations |
ADR = American Depositary Receipts |
CAD = Canadian dollars |
FDR = Fiduciary Depositary Receipts |
GBP = British pounds |
LIBOR = London Interbank Offered Rate |
TBA = To-be-announced |
Common stocks 62.22% Information technology 17.01% | Shares | Value (000) |
Microsoft Corp. | 7,220,000 | $711,964 |
Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) | 14,251,000 | 521,016 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 8,600,000 | 61,069 |
ASML Holding NV (New York registered) | 2,202,100 | 435,950 |
VeriSign, Inc.1 | 3,140,000 | 431,499 |
Broadcom Inc. | 1,458,000 | 353,769 |
Intel Corp. | 6,945,000 | 345,236 |
Intuit Inc. | 1,100,000 | 224,735 |
Alphabet Inc., Class C1 | 108,985 | 121,589 |
Alphabet Inc., Class A1 | 83,000 | 93,723 |
Facebook, Inc., Class A1 | 986,000 | 191,600 |
Western Digital Corp. | 2,400,000 | 185,784 |
QUALCOMM Inc. | 3,000,000 | 168,360 |
Visa Inc., Class A | 1,059,000 | 140,265 |
Activision Blizzard, Inc. | 1,685,000 | 128,599 |
Amphenol Corp., Class A | 950,000 | 82,792 |
RingCentral, Inc., Class A1 | 1,170,000 | 82,309 |
Largan Precision Co., Ltd. | 487,000 | 71,720 |
Symantec Corp. | 2,033,300 | 41,988 |
Mastercard Inc., Class A | 57,000 | 11,202 |
Corporate Risk Holdings I, Inc.1,2,3,4 | 168,812 | 5,171 |
Corporate Risk Holdings Corp.1,2,3,4 | 854 | — |
4,410,340 | ||
Health care 10.18% | ||
UnitedHealth Group Inc. | 2,390,000 | 586,362 |
Johnson & Johnson | 2,900,000 | 351,886 |
Humana Inc. | 965,000 | 287,213 |
Aetna Inc. | 1,400,000 | 256,900 |
Express Scripts Holding Co.1 | 3,100,000 | 239,351 |
AbbVie Inc. | 2,329,000 | 215,782 |
Molina Healthcare, Inc.1 | 1,500,000 | 146,910 |
Merck & Co., Inc. | 2,170,300 | 131,737 |
Gilead Sciences, Inc. | 1,500,000 | 106,260 |
AstraZeneca PLC (ADR) | 2,001,300 | 70,266 |
Bluebird Bio, Inc.1 | 403,000 | 63,251 |
Bristol-Myers Squibb Co. | 978,000 | 54,122 |
Diplomat Pharmacy, Inc.1 | 1,732,000 | 44,270 |
Vertex Pharmaceuticals Inc.1 | 260,000 | 44,190 |
Regeneron Pharmaceuticals, Inc.1 | 120,467 | 41,560 |
Rotech Healthcare Inc.1,2,3,4 | 184,138 | 368 |
2,640,428 |
Common stocks Financials 8.77% | Shares | Value (000) |
Wells Fargo & Co. | 5,906,400 | $327,451 |
Chubb Ltd. | 2,450,000 | 311,199 |
First Republic Bank | 2,580,000 | 249,718 |
Arch Capital Group Ltd.1 | 8,496,000 | 224,804 |
JPMorgan Chase & Co. | 2,100,000 | 218,820 |
Bank of America Corp. | 6,000,000 | 169,140 |
Citigroup Inc. | 2,500,000 | 167,300 |
Oaktree Capital Group, LLC | 2,610,000 | 106,097 |
PNC Financial Services Group, Inc. | 708,000 | 95,651 |
BNP Paribas SA | 1,500,000 | 93,173 |
Capital One Financial Corp. | 1,000,000 | 91,900 |
Goldman Sachs Group, Inc. | 275,000 | 60,657 |
Blackstone Group LP | 1,510,000 | 48,577 |
RenaissanceRe Holdings Ltd. | 357,000 | 42,954 |
SunTrust Banks, Inc. | 510,000 | 33,670 |
Berkshire Hathaway Inc., Class A1 | 84 | 23,691 |
HDFC Bank Ltd.2 | 297,000 | 9,140 |
2,273,942 | ||
Consumer discretionary 6.64% | ||
Home Depot, Inc. | 1,400,000 | 273,140 |
Comcast Corp., Class A | 7,550,000 | 247,715 |
Newell Brands Inc. | 7,100,000 | 183,109 |
Amazon.com, Inc.1 | 105,000 | 178,479 |
VF Corp. | 2,000,000 | 163,040 |
NIKE, Inc., Class B | 1,980,000 | 157,766 |
General Motors Co. | 4,000,000 | 157,600 |
Dillard’s, Inc., Class A (USA)5 | 1,200,000 | 113,400 |
Netflix, Inc.1 | 165,700 | 64,860 |
CBS Corp., Class B | 1,000,000 | 56,220 |
Charter Communications, Inc., Class A1 | 177,126 | 51,935 |
Starbucks Corp. | 781,700 | 38,186 |
Cie. Financière Richemont SA, Class A | 415,000 | 35,252 |
Cumulus Media Inc., Class B1,2 | 10,599 | 178 |
Cumulus Media Inc., Class A1,2 | 8,723 | 146 |
1,721,026 | ||
Energy 6.40% | ||
Noble Energy, Inc. | 10,500,000 | 370,440 |
Cenovus Energy Inc. | 22,000,000 | 228,426 |
Weatherford International PLC1,5 | 56,000,000 | 184,240 |
Royal Dutch Shell PLC, Class B (ADR) | 2,465,000 | 179,082 |
Royal Dutch Shell PLC, Class A (ADR) | 10,061 | 697 |
Suncor Energy Inc. | 4,000,000 | 162,781 |
Chevron Corp. | 1,100,250 | 139,104 |
Cabot Oil & Gas Corp. | 3,000,000 | 71,400 |
Enbridge Inc. | 1,950,000 | 69,596 |
Enbridge Inc. (CAD denominated) | 48,515 | 1,734 |
Concho Resources Inc.1 | 500,000 | 69,175 |
Halliburton Co. | 1,500,000 | 67,590 |
Schlumberger Ltd. | 660,000 | 44,240 |
Extraction Oil & Gas, Inc.1 | 3,000,000 | 44,070 |
Common stocks Energy (continued) | Shares | Value (000) |
ConocoPhillips | 335,000 | $23,323 |
Ascent Resources Marcellus Holdings, Inc.1,2 | 926,514 | 2,988 |
1,658,886 | ||
Materials 4.18% | ||
DowDuPont Inc. | 5,904,000 | 389,192 |
LyondellBasell Industries NV | 1,700,000 | 186,745 |
Alcoa Corp.1 | 2,500,000 | 117,200 |
Nucor Corp. | 1,750,000 | 109,375 |
First Quantum Minerals Ltd. | 6,776,222 | 99,841 |
Royal Gold, Inc. | 695,000 | 64,524 |
CCL Industries Inc., Class B, nonvoting | 920,000 | 45,102 |
WestRock Co. | 590,000 | 33,642 |
Franco-Nevada Corp. | 292,832 | 21,372 |
Newmont Mining Corp. | 470,000 | 17,724 |
1,084,717 | ||
Consumer staples 4.18% | ||
Nestlé SA | 3,508,230 | 272,425 |
Nestlé SA (ADR) | 900,000 | 69,687 |
Philip Morris International Inc. | 3,660,000 | 295,508 |
Associated British Foods PLC | 4,000,000 | 144,539 |
British American Tobacco PLC | 1,575,000 | 79,611 |
Altria Group, Inc. | 1,400,000 | 79,506 |
Colgate-Palmolive Co. | 1,000,000 | 64,810 |
Mondelez International, Inc. | 1,025,000 | 42,025 |
Walgreens Boots Alliance, Inc. | 597,000 | 35,829 |
1,083,940 | ||
Industrials 2.93% | ||
Lockheed Martin Corp. | 1,162,000 | 343,290 |
Boeing Co. | 939,000 | 315,044 |
IDEX Corp. | 406,100 | 55,424 |
TransDigm Group Inc. | 75,000 | 25,885 |
Waste Management, Inc. | 214,000 | 17,407 |
CEVA Logistics AG1,2,6 | 157,127 | 3,372 |
Ply Gem Parent, LLC, Class B1,2,3 | 248 | 25 |
760,447 | ||
Real estate 1.25% | ||
Simon Property Group, Inc. REIT | 584,000 | 99,391 |
American Tower Corp. REIT | 550,000 | 79,294 |
Crown Castle International Corp. REIT | 705,000 | 76,013 |
Public Storage REIT | 300,000 | 68,058 |
322,756 | ||
Telecommunication services 0.33% | ||
AT&T Inc. | 2,000,000 | 64,220 |
Verizon Communications Inc. | 400,000 | 20,124 |
84,344 | ||
Miscellaneous 0.35% | ||
Other common stocks in initial period of acquisition | 89,771 | |
Total common stocks (cost: $11,561,535,000) | 16,130,597 |
Rights & warrants 0.00% Energy 0.00% | Shares | Value (000) |
Ascent Resources Marcellus Holdings, Inc., Class A, warrants, expire 20231,2,3 | 311,755 | $156 |
Ascent Resources Marcellus Holdings, Inc., Class B, warrants, expire 20231,2,3 | 242,476 | 97 |
Ascent Resources Marcellus Holdings, Inc., Class C, warrants, expire 20231,2,3 | 227,540 | 75 |
Industrials 0.00% | ||
Associated Materials, LLC, warrants, expire 20231,2,3 | 71,030 | —7 |
Total rights & warrants (cost: $47,000) | 328 | |
Convertible stocks 0.02% Industrials 0.02% | ||
Associated Materials, LLC, 14.00% convertible preferred 20202,3 | 5,000 | 6,074 |
Total convertible stocks (cost: $4,800,000) | 6,074 | |
Bonds, notes & other debt instruments 25.86% U.S. Treasury bonds & notes 11.21% U.S. Treasury 8.86% | Principal amount (000) | |
U.S. Treasury 0.875% 2019 | $30,000 | 29,452 |
U.S. Treasury 1.125% 2019 | 35,000 | 34,746 |
U.S. Treasury 1.25% 2019 | 7,500 | 7,443 |
U.S. Treasury 1.25% 2019 | 5,000 | 4,957 |
U.S. Treasury 1.375% 2019 | 4,500 | 4,430 |
U.S. Treasury 1.50% 2019 | 400,000 | 398,400 |
U.S. Treasury 1.50% 2019 | 39,825 | 39,292 |
U.S. Treasury 1.75% 2019 | 21,800 | 21,619 |
U.S. Treasury 1.875% 2019 | 15,500 | 15,363 |
U.S. Treasury 1.25% 20208 | 298,117 | 292,429 |
U.S. Treasury 1.25% 2020 | 78,000 | 76,406 |
U.S. Treasury 1.375% 2020 | 61,500 | 60,308 |
U.S. Treasury 1.375% 2020 | 55,000 | 54,022 |
U.S. Treasury 1.50% 2020 | 500 | 490 |
U.S. Treasury 1.625% 2020 | 125,000 | 122,661 |
U.S. Treasury 1.625% 2020 | 10,000 | 9,852 |
U.S. Treasury 1.125% 2021 | 42,000 | 40,069 |
U.S. Treasury 1.375% 2021 | 49,410 | 47,900 |
U.S. Treasury 1.375% 2021 | 23,500 | 22,678 |
U.S. Treasury 1.375% 2021 | 13,500 | 13,046 |
U.S. Treasury 1.75% 2021 | 9,500 | 9,218 |
U.S. Treasury 2.25% 2021 | 9,730 | 9,620 |
U.S. Treasury 1.875% 2022 | 100,000 | 97,196 |
U.S. Treasury 1.875% 2022 | 8,000 | 7,732 |
U.S. Treasury 1.875% 2022 | 5,000 | 4,840 |
U.S. Treasury 2.00% 2022 | 25,000 | 24,260 |
U.S. Treasury 2.125% 2022 | 47,000 | 45,805 |
U.S. Treasury 1.375% 2023 | 8,000 | 7,461 |
U.S. Treasury 1.375% 2023 | 5,000 | 4,669 |
U.S. Treasury 1.625% 2023 | 5,000 | 4,746 |
U.S. Treasury 2.25% 2023 | 5,000 | 4,866 |
U.S. Treasury 2.375% 2023 | 5,000 | 4,924 |
U.S. Treasury 2.50% 2023 | 29,000 | 28,702 |
U.S. Treasury 2.625% 2023 | 3,628 | 3,609 |
Bonds, notes & other debt instruments U.S. Treasury bonds & notes (continued) U.S. Treasury (continued) | Principal amount (000) | Value (000) |
U.S. Treasury 2.75% 2023 | $31,326 | $31,345 |
U.S. Treasury 2.00% 2024 | 12,000 | 11,490 |
U.S. Treasury 2.00% 2024 | 7,500 | 7,170 |
U.S. Treasury 2.125% 2024 | 52,500 | 50,697 |
U.S. Treasury 2.125% 2024 | 15,500 | 14,914 |
U.S. Treasury 2.125% 2024 | 10,250 | 9,850 |
U.S. Treasury 2.125% 2024 | 10,000 | 9,650 |
U.S. Treasury 2.25% 2024 | 8,000 | 7,741 |
U.S. Treasury 2.25% 2024 | 5,000 | 4,863 |
U.S. Treasury 2.375% 2024 | 70,000 | 68,315 |
U.S. Treasury 2.50% 2024 | 700 | 689 |
U.S. Treasury 2.00% 2025 | 44,800 | 42,422 |
U.S. Treasury 2.50% 2025 | 10,000 | 9,813 |
U.S. Treasury 2.625% 2025 | 4,966 | 4,907 |
U.S. Treasury 2.75% 2025 | 29,820 | 29,683 |
U.S. Treasury 2.875% 2025 | 14,751 | 14,802 |
U.S. Treasury 1.50% 2026 | 500 | 451 |
U.S. Treasury 1.625% 2026 | 7,000 | 6,419 |
U.S. Treasury 1.625% 2026 | 1,500 | 1,371 |
U.S. Treasury 2.00% 2026 | 8,000 | 7,492 |
U.S. Treasury 2.25% 2027 | 126,075 | 120,230 |
U.S. Treasury 2.375% 2027 | 880 | 847 |
U.S. Treasury 2.875% 2028 | 11,636 | 11,651 |
U.S. Treasury 4.75% 2041 | 15,000 | 19,407 |
U.S. Treasury 2.50% 2046 | 5,000 | 4,537 |
U.S. Treasury 2.875% 20468 | 147,158 | 143,795 |
U.S. Treasury 3.00% 2047 | 70,000 | 70,104 |
U.S. Treasury 3.00% 2047 | 28,460 | 28,484 |
U.S. Treasury 3.00% 2048 | 10,740 | 10,752 |
2,297,102 | ||
U.S. Treasury inflation-protected securities 2.35% | ||
U.S. Treasury Inflation-Protected Security 0.125% 20219 | 39,531 | 38,934 |
U.S. Treasury Inflation-Protected Security 0.125% 20249 | 686 | 667 |
U.S. Treasury Inflation-Protected Security 0.625% 20249 | 219,227 | 219,008 |
U.S. Treasury Inflation-Protected Security 0.25% 20259 | 1,687 | 1,641 |
U.S. Treasury Inflation-Protected Security 0.375% 20259 | 16,215 | 15,934 |
U.S. Treasury Inflation-Protected Security 2.375% 20259 | 199 | 221 |
U.S. Treasury Inflation-Protected Security 0.125% 20269 | 20,902 | 20,030 |
U.S. Treasury Inflation-Protected Security 0.625% 20269 | 23,485 | 23,364 |
U.S. Treasury Inflation-Protected Security 0.375% 20279 | 18,408 | 17,889 |
U.S. Treasury Inflation-Protected Security 0.375% 20279 | 5,121 | 4,982 |
U.S. Treasury Inflation-Protected Security 0.50% 20289 | 88,190 | 73,286 |
U.S. Treasury Inflation-Protected Security 0.75% 20429 | 19,057 | 18,608 |
U.S. Treasury Inflation-Protected Security 1.375% 20448,9 | 137,881 | 153,890 |
U.S. Treasury Inflation-Protected Security 1.00% 20469 | 5,286 | 5,443 |
U.S. Treasury Inflation-Protected Security 0.875% 20479 | 15,567 | 15,556 |
609,453 | ||
Total U.S. Treasury bonds & notes | 2,906,555 |
Bonds, notes & other debt instruments Corporate bonds & notes 8.96% Energy 1.60% | Principal amount (000) | Value (000) |
American Energy (Permian Basin) (3-month USD-LIBOR + 6.50%) 8.854% 20196,10 | $825 | $712 |
American Energy (Permian Basin) 7.125% 20206 | 7,345 | 4,664 |
American Energy (Permian Basin) 7.375% 20216 | 5,725 | 3,521 |
Anadarko Petroleum Corp. 4.85% 2021 | 3,455 | 3,557 |
Anadarko Petroleum Corp. 5.55% 2026 | 2,250 | 2,414 |
Ascent Resources Marcellus Holdings, Inc., Term Loan B, (3-month USD-LIBOR + 6.50%) 8.501% 202310,11,12 | 1,224 | 1,228 |
Blackstone CQP Holdco LP 6.00% 20214,6 | 5,700 | 5,714 |
Blackstone CQP Holdco LP 6.50% 20214,6 | 21,325 | 21,432 |
Canadian Natural Resources Ltd. 2.95% 2023 | 4,975 | 4,803 |
Canadian Natural Resources Ltd. 3.85% 2027 | 1,000 | 977 |
Canadian Natural Resources Ltd. 4.95% 2047 | 1,000 | 1,035 |
Cenovus Energy Inc. 3.80% 2023 | 3,970 | 3,874 |
Cenovus Energy Inc. 4.25% 2027 | 6,625 | 6,390 |
Cenovus Energy Inc. 5.25% 2037 | 2,000 | 1,971 |
Cenovus Energy Inc. 5.40% 2047 | 2,000 | 1,964 |
Chesapeake Energy Corp. (3-month USD-LIBOR + 3.25%) 5.598% 201910 | 3,200 | 3,200 |
Chesapeake Energy Corp. 4.875% 2022 | 6,250 | 6,031 |
Chesapeake Energy Corp. 8.00% 2025 | 4,475 | 4,569 |
Chesapeake Energy Corp. 8.00% 2027 | 4,965 | 5,064 |
Chesapeake Energy Corp., Term Loan, (3-month USD-LIBOR + 7.50%) 9.594% 202110,11,12 | 1,150 | 1,205 |
Chevron Corp. 2.566% 2023 | 2,000 | 1,936 |
Chevron Corp. 3.326% 2025 | 1,165 | 1,151 |
Concho Resources Inc. 4.30% 2028 | 5,570 | 5,574 |
Concho Resources Inc. 4.85% 2048 | 826 | 840 |
CONSOL Energy Inc. 5.875% 2022 | 19,450 | 19,600 |
Convey Park Energy LLC 7.50% 20256 | 2,000 | 2,050 |
DCP Midstream Operating LP 4.95% 2022 | 4,775 | 4,841 |
Diamond Offshore Drilling, Inc. 7.875% 2025 | 2,550 | 2,652 |
Diamond Offshore Drilling, Inc. 4.875% 2043 | 4,685 | 3,397 |
Enbridge Energy Partners, LP 5.20% 2020 | 120 | 123 |
Enbridge Energy Partners, LP 5.875% 2025 | 3,825 | 4,168 |
Enbridge Energy Partners, LP, Series B, 7.50% 2038 | 2,000 | 2,475 |
Enbridge Inc. 4.00% 2023 | 2,500 | 2,510 |
Enbridge Inc. 3.70% 2027 | 3,897 | 3,698 |
Energy Transfer Partners, LP 4.15% 2020 | 3,500 | 3,544 |
Energy Transfer Partners, LP 7.50% 2020 | 1,175 | 1,256 |
Energy Transfer Partners, LP 5.875% 2024 | 2,775 | 2,851 |
Energy Transfer Partners, LP 4.75% 2026 | 4,000 | 3,968 |
Energy Transfer Partners, LP 4.00% 2027 | 1,126 | 1,054 |
Energy Transfer Partners, LP 4.20% 2027 | 185 | 175 |
Energy Transfer Partners, LP 5.50% 2027 | 6,420 | 6,436 |
Energy Transfer Partners, LP 4.95% 2028 | 282 | 282 |
Energy Transfer Partners, LP 5.30% 2047 | 1,941 | 1,781 |
Energy Transfer Partners, LP 5.40% 2047 | 3,400 | 3,128 |
Energy Transfer Partners, LP 6.00% 2048 | 3,056 | 3,057 |
EnLink Midstream Partners, LP 4.15% 2025 | 5,580 | 5,163 |
EnLink Midstream Partners, LP 5.05% 2045 | 3,135 | 2,557 |
EnLink Midstream Partners, LP 5.45% 2047 | 1,964 | 1,656 |
Ensco PLC 7.75% 2026 | 3,650 | 3,462 |
Ensco PLC 5.75% 2044 | 7,820 | 5,552 |
Enterprise Products Operating LLC 4.90% 2046 | 1,000 | 1,005 |
EOG Resources, Inc. 4.15% 2026 | 2,980 | 3,052 |
EQT Corp. 3.00% 2022 | 975 | 940 |
EQT Corp. 3.90% 2027 | 1,810 | 1,692 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Energy (continued) | Principal amount (000) | Value (000) |
Extraction Oil & Gas, Inc. 5.625% 20266 | $2,900 | $2,781 |
Exxon Mobil Corp. 2.222% 2021 | 5,070 | 4,978 |
Exxon Mobil Corp. 2.726% 2023 | 3,000 | 2,945 |
Exxon Mobil Corp. 3.043% 2026 | 2,250 | 2,193 |
Genesis Energy, LP 6.75% 2022 | 3,750 | 3,806 |
Genesis Energy, LP 6.50% 2025 | 2,725 | 2,630 |
Jonah Energy LLC 7.25% 20256 | 2,950 | 2,397 |
Jupiter Resources Inc. 8.50% 20226 | 835 | 344 |
Kinder Morgan Energy Partners, LP 3.50% 2021 | 40 | 40 |
Kinder Morgan Energy Partners, LP 5.40% 2044 | 1,380 | 1,343 |
Kinder Morgan Energy Partners, LP 5.50% 2044 | 3,578 | 3,563 |
Kinder Morgan, Inc. 3.05% 2019 | 2,520 | 2,513 |
Kinder Morgan, Inc. 4.30% 2028 | 7,375 | 7,159 |
Kinder Morgan, Inc. 5.55% 2045 | 1,000 | 1,013 |
Kinder Morgan, Inc. 5.05% 2046 | 1,500 | 1,418 |
Kinder Morgan, Inc. 5.20% 2048 | 4,240 | 4,111 |
Marathon Oil Corp. 4.40% 2027 | 4,615 | 4,638 |
MPLX LP 4.125% 2027 | 2,680 | 2,560 |
MPLX LP 4.00% 2028 | 1,705 | 1,625 |
MPLX LP 4.50% 2038 | 3,000 | 2,778 |
NGL Energy Partners LP 6.875% 2021 | 7,990 | 8,120 |
NGL Energy Partners LP 6.125% 2025 | 7,435 | 7,063 |
Noble Corp. PLC 7.95% 202513 | 3,175 | 2,969 |
Noble Corp. PLC 8.95% 204513 | 3,525 | 3,234 |
Noble Energy, Inc. 4.95% 2047 | 2,000 | 2,008 |
Peabody Energy Corp. 6.00% 20226 | 1,000 | 1,016 |
Peabody Energy Corp. 6.375% 20256 | 600 | 619 |
Petróleos Mexicanos 5.35% 20286 | 1,820 | 1,727 |
Petróleos Mexicanos 6.75% 2047 | 5,240 | 4,994 |
Petróleos Mexicanos 6.35% 20486 | 1,230 | 1,119 |
Phillips 66 3.90% 2028 | 1,645 | 1,608 |
Phillips 66 Partners LP 3.55% 2026 | 335 | 314 |
Phillips 66 Partners LP 3.75% 2028 | 1,055 | 988 |
Phillips 66 Partners LP 4.68% 2045 | 800 | 752 |
Phillips 66 Partners LP 4.90% 2046 | 5,975 | 5,744 |
Pioneer Natural Resources Co. 3.45% 2021 | 3,345 | 3,354 |
QGOG Constellation SA 9.50% 2024 (5.26% PIK)6,12,14 | 853 | 361 |
Sabine Pass Liquefaction, LLC 5.875% 2026 | 1,235 | 1,326 |
Sabine Pass Liquefaction, LLC 4.20% 2028 | 8,775 | 8,452 |
Schlumberger BV 3.625% 20226 | 2,800 | 2,802 |
Schlumberger BV 4.00% 20256 | 4,056 | 4,048 |
Shell International Finance BV 2.25% 2020 | 1,965 | 1,934 |
Shell International Finance BV 1.875% 2021 | 2,000 | 1,940 |
SM Energy Co. 6.50% 2021 | 1,325 | 1,356 |
Southwestern Energy Co. 4.10% 2022 | 10,660 | 10,234 |
Statoil ASA 2.75% 2021 | 1,925 | 1,899 |
Statoil ASA 3.25% 2024 | 2,850 | 2,808 |
Statoil ASA 4.25% 2041 | 2,000 | 1,987 |
Sunoco LP 4.875% 20236 | 990 | 953 |
Targa Resources Partners LP 4.125% 2019 | 6,255 | 6,271 |
Targa Resources Partners LP 6.75% 2024 | 2,065 | 2,173 |
Teekay Corp. 8.50% 2020 | 17,280 | 17,885 |
Teekay Offshore Partners LP 8.50% 20236 | 3,400 | 3,442 |
TransCanada Corp. 6.50% 2018 | 475 | 477 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Energy (continued) | Principal amount (000) | Value (000) |
TransCanada PipeLines Ltd. 4.25% 2028 | $2,190 | $2,200 |
TransCanada PipeLines Ltd. 4.75% 2038 | 8,000 | 8,017 |
TransCanada PipeLines Ltd. 4.875% 2048 | 3,000 | 3,040 |
Transocean Inc. 9.00% 20236 | 3,454 | 3,730 |
Ultra Petroleum Corp. 6.875% 20226 | 4,860 | 3,706 |
Ultra Petroleum Corp. 7.125% 20256 | 1,775 | 1,256 |
Vine Oil & Gas LP 8.75% 20236 | 2,500 | 2,319 |
Weatherford International PLC 4.50% 20225 | 5,370 | 4,956 |
Weatherford International PLC 8.25% 20235 | 5,800 | 5,769 |
Weatherford International PLC 9.875% 20245 | 1,000 | 1,015 |
Weatherford International PLC 9.875% 20255,6 | 2,550 | 2,575 |
Weatherford International PLC 6.50% 20365 | 7,595 | 5,981 |
Weatherford International PLC 6.75% 20405 | 7,825 | 6,240 |
Western Gas Partners LP 4.65% 2026 | 925 | 910 |
Williams Partners LP 3.60% 2022 | 1,500 | 1,494 |
Williams Partners LP 4.30% 2024 | 160 | 161 |
416,132 | ||
Financials 1.52% | ||
ACE INA Holdings Inc. 2.30% 2020 | 1,345 | 1,315 |
ACE INA Holdings Inc. 2.875% 2022 | 3,880 | 3,813 |
ACE INA Holdings Inc. 3.35% 2026 | 880 | 854 |
ACE INA Holdings Inc. 4.35% 2045 | 800 | 820 |
American Express Co. 2.20% 2020 | 6,000 | 5,863 |
American International Group, Inc. 4.20% 2028 | 7,000 | 6,850 |
American International Group, Inc. 4.75% 2048 | 2,250 | 2,175 |
Bank of America Corp. 2.625% 2020 | 4,037 | 3,988 |
Bank of America Corp. 3.55% 2024 (3-month USD-LIBOR + 0.78% on 3/5/2023)13 | 7,250 | 7,178 |
Bank of America Corp. 3.248% 2027 | 1,500 | 1,399 |
Bank of America Corp. 3.419% 2028 (3-month USD-LIBOR + 1.04% on 12/20/2027)13 | 8,949 | 8,434 |
Bank of America Corp. 3.593% 2028 (3-month USD-LIBOR + 1.37% on 7/21/2027)13 | 3,000 | 2,866 |
Bank of America Corp. 3.824% 2028 (3-month USD-LIBOR + 1.575% on 1/20/2027)13 | 1,250 | 1,220 |
Bank of America Corp. 3.97% 2029 (3-month USD-LIBOR + 1.07% on 3/5/2028)13 | 1,997 | 1,967 |
Bank of America Corp. 4.244% 2038 (3-month USD-LIBOR + 1.814% on 4/24/2037)13 | 1,000 | 972 |
BB&T Corp. 2.45% 2020 | 6,000 | 5,943 |
BB&T Corp. 2.625% 2022 | 2,500 | 2,438 |
BB&T Corp. 2.75% 2022 | 3,050 | 2,980 |
BB&T Corp. 3.70% 2025 | 6,500 | 6,471 |
Berkshire Hathaway Finance Corp. 1.30% 2019 | 1,070 | 1,054 |
Berkshire Hathaway Inc. 2.20% 2021 | 1,000 | 984 |
Berkshire Hathaway Inc. 2.75% 2023 | 2,615 | 2,561 |
Berkshire Hathaway Inc. 3.125% 2026 | 1,000 | 964 |
BNP Paribas 3.375% 20256 | 3,225 | 3,050 |
CIT Group Inc. 3.875% 201912 | 7,243 | 7,271 |
Citigroup Inc. 2.35% 2021 | 8,650 | 8,361 |
Citigroup Inc. 2.90% 2021 | 4,000 | 3,921 |
Citigroup Inc. 3.20% 2026 | 2,211 | 2,059 |
CME Group Inc. 3.75% 2028 | 6,000 | 6,044 |
CME Group Inc. 4.15% 2048 | 1,500 | 1,520 |
Commonwealth Bank of Australia 2.25% 20206 | 1,000 | 986 |
Compass Diversified Holdings 8.00% 20266 | 2,690 | 2,636 |
Crédit Agricole SA 4.375% 20256 | 1,700 | 1,647 |
Credit Suisse Group AG 3.00% 2021 | 250 | 247 |
Credit Suisse Group AG 3.80% 2023 | 1,625 | 1,606 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Financials (continued) | Principal amount (000) | Value (000) |
Credit Suisse Group AG 3.869% 2029 (3-month USD-LIBOR + 1.41% on 1/12/2028)6,13 | $800 | $753 |
Danske Bank AS 2.70% 20226 | 2,000 | 1,941 |
DNB ASA 2.375% 20216 | 3,000 | 2,907 |
Ford Motor Credit Co. 1.897% 2019 | 2,500 | 2,466 |
General Motors Financial Co. 3.45% 2022 | 3,625 | 3,565 |
General Motors Financial Co. 4.30% 2025 | 1,250 | 1,228 |
Goldman Sachs Group, Inc. 1.95% 2019 | 655 | 649 |
Goldman Sachs Group, Inc. 2.55% 2019 | 4,000 | 3,977 |
Goldman Sachs Group, Inc. 2.875% 2021 | 231 | 228 |
Goldman Sachs Group, Inc. 5.25% 2021 | 200 | 210 |
Goldman Sachs Group, Inc. 3.00% 2022 | 4,750 | 4,646 |
Goldman Sachs Group, Inc. 2.905% 2023 (3-month USD-LIBOR + 0.99% on 7/24/2022)13 | 7,000 | 6,747 |
Goldman Sachs Group, Inc. 3.50% 2025 | 280 | 271 |
Goldman Sachs Group, Inc. 3.691% 2028 (3-month USD-LIBOR + 1.51% on 6/5/2027)13 | 2,000 | 1,897 |
Goldman Sachs Group, Inc. 4.223% 2029 (3-month USD-LIBOR + 1.301% on 5/1/2028)13 | 3,000 | 2,960 |
Groupe BPCE SA 2.75% 20236 | 2,250 | 2,151 |
Groupe BPCE SA 5.70% 20236 | 4,460 | 4,669 |
Groupe BPCE SA 5.15% 20246 | 3,000 | 3,044 |
HSBC Holdings PLC 3.262% 2023 (3-month USD-LIBOR + 1.055% on 3/13/2022)13 | 3,000 | 2,940 |
HSBC Holdings PLC 3.326% 202410 | 1,500 | 1,497 |
HSBC Holdings PLC 3.95% 2024 (3-month USD-LIBOR + 0.987% on 5/18/2023)13 | 1,250 | 1,247 |
HSBC Holdings PLC 4.25% 2024 | 3,000 | 2,987 |
HSBC Holdings PLC 4.30% 2026 | 200 | 201 |
HSBC Holdings PLC 4.583% 2029 (3-month USD-LIBOR + 1.535% on 6/19/2028)13 | 5,250 | 5,307 |
HUB International Ltd. 7.00% 20266 | 740 | 733 |
Icahn Enterprises Finance Corp. 6.25% 2022 | 5,000 | 5,113 |
Intercontinentalexchange, Inc. 2.50% 2018 | 4,000 | 4,000 |
Intesa Sanpaolo SpA 3.375% 20236 | 1,500 | 1,380 |
Intesa Sanpaolo SpA 5.017% 20246 | 3,980 | 3,616 |
Intesa Sanpaolo SpA 3.875% 20286 | 1,500 | 1,288 |
JPMorgan Chase & Co. 2.55% 2020 | 2,750 | 2,710 |
JPMorgan Chase & Co. 2.55% 2021 | 497 | 487 |
JPMorgan Chase & Co. 3.25% 2022 | 180 | 178 |
JPMorgan Chase & Co. 2.70% 2023 | 125 | 120 |
JPMorgan Chase & Co. 3.559% 2024 (3-month USD-LIBOR + 0.73% on 4/23/2023)13 | 6,075 | 6,020 |
JPMorgan Chase & Co. 3.54% 2028 (3-month USD-LIBOR + 1.38% on 5/1/2027)13 | 3,000 | 2,874 |
JPMorgan Chase & Co. 3.509% 2029 (3-month USD-LIBOR + 0.945% on 1/23/2028)13 | 4,000 | 3,798 |
JPMorgan Chase & Co., Series Z, junior subordinated 5.30% (undated) (3-month USD-LIBOR + 3.80% on 5/1/2020)13 | 3,200 | 3,267 |
Lloyds Banking Group PLC 3.00% 2022 | 4,000 | 3,898 |
Lloyds Banking Group PLC 2.907% 2023 (3-month USD-LIBOR + 0.81% on 11/7/2022)13 | 1,525 | 1,454 |
Lloyds Banking Group PLC 4.45% 2025 | 1,600 | 1,611 |
Lloyds Banking Group PLC 4.582% 2025 | 1,500 | 1,472 |
Lloyds Banking Group PLC 4.375% 2028 | 2,150 | 2,127 |
Metropolitan Life Global Funding I 1.55% 20196 | 3,500 | 3,446 |
Metropolitan Life Global Funding I 2.50% 20206 | 8,000 | 7,877 |
Metropolitan Life Global Funding I 1.95% 20216 | 2,500 | 2,395 |
Morgan Stanley 2.50% 2021 | 3,000 | 2,931 |
Morgan Stanley 3.737% 2024 (3-month USD-LIBOR + 0.847% on 4/24/2023)13 | 4,500 | 4,476 |
Morgan Stanley 3.875% 2026 | 2,650 | 2,610 |
Morgan Stanley 3.625% 2027 | 2,775 | 2,673 |
Morgan Stanley 3.772% 2029 (3-month USD-LIBOR + 1.14% on 1/24/2028)13 | 3,000 | 2,894 |
National Australia Bank Ltd. 1.375% 2019 | 975 | 961 |
National Australia Bank Ltd. 1.875% 2021 | 975 | 932 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Financials (continued) | Principal amount (000) | Value (000) |
Navient Corp. 4.875% 2019 | $7,800 | $7,849 |
Navient Corp. 6.50% 2022 | 3,675 | 3,767 |
Navient Corp. 5.50% 2023 | 6,390 | 6,302 |
Navient Corp. 6.125% 2024 | 3,225 | 3,201 |
New York Life Global Funding 1.50% 20196 | 1,525 | 1,497 |
New York Life Global Funding 1.70% 20216 | 1,500 | 1,428 |
New York Life Global Funding 2.35% 20266 | 1,190 | 1,083 |
Nordea Bank AB 2.50% 20206 | 4,450 | 4,378 |
PNC Bank 1.45% 2019 | 3,340 | 3,294 |
PNC Bank 2.30% 2020 | 250 | 246 |
PNC Bank 2.55% 2021 | 8,000 | 7,804 |
PNC Financial Services Group, Inc. 2.854% 202213 | 1,445 | 1,407 |
PNC Financial Services Group, Inc. 3.90% 2024 | 2,000 | 2,005 |
Prudential Financial, Inc. 3.50% 2024 | 4,000 | 3,969 |
Rabobank Nederland 1.375% 2019 | 4,140 | 4,071 |
Rabobank Nederland 2.75% 2022 | 2,825 | 2,756 |
Rabobank Nederland 4.375% 2025 | 5,500 | 5,399 |
Skandinaviska Enskilda Banken AB 2.375% 20196 | 2,400 | 2,393 |
Skandinaviska Enskilda Banken AB 1.875% 2021 | 3,350 | 3,194 |
Skandinaviska Enskilda Banken AB 2.625% 2021 | 250 | 246 |
Skandinaviska Enskilda Banken AB 2.80% 2022 | 1,400 | 1,365 |
Starwood Property Trust, Inc. 5.00% 2021 | 2,700 | 2,727 |
Svenska Handelsbanken AB 1.95% 2020 | 1,714 | 1,668 |
Travelers Companies, Inc. 4.00% 2047 | 1,735 | 1,672 |
UBS Group AG 4.125% 20256 | 2,750 | 2,732 |
UniCredit SPA 3.75% 20226 | 8,350 | 7,974 |
UniCredit SPA 4.625% 20276 | 1,250 | 1,164 |
UniCredit SPA 5.861% 20326,13 | 4,800 | 4,286 |
US Bancorp 2.625% 2022 | 1,805 | 1,768 |
US Bancorp 3.70% 2024 | 7,000 | 7,065 |
US Bancorp 2.375% 2026 | 5,250 | 4,780 |
US Bancorp 3.15% 2027 | 9,250 | 8,849 |
Wells Fargo & Co. 2.50% 2021 | 7,500 | 7,339 |
Wells Fargo & Co. 3.069% 2023 | 3,750 | 3,648 |
Wells Fargo & Co. 3.00% 2026 | 4,500 | 4,187 |
Wells Fargo & Co. 3.584% 2028 (3-month USD-LIBOR + 1.31% on 5/15/2027)13 | 2,184 | 2,094 |
Westpac Banking Corp. 2.15% 2020 | 12,000 | 11,809 |
Westpac Banking Corp. 2.75% 2023 | 3,500 | 3,339 |
393,041 | ||
Health care 1.29% | ||
Abbott Laboratories 2.90% 2021 | 1,130 | 1,113 |
Abbott Laboratories 3.40% 2023 | 270 | 267 |
Abbott Laboratories 3.75% 2026 | 3,695 | 3,637 |
Abbott Laboratories 4.75% 2036 | 460 | 486 |
Abbott Laboratories 4.90% 2046 | 500 | 537 |
AbbVie Inc. 3.20% 2022 | 3,825 | 3,765 |
AbbVie Inc. 3.60% 2025 | 110 | 107 |
AbbVie Inc. 4.30% 2036 | 650 | 624 |
AbbVie Inc. 4.45% 2046 | 6,850 | 6,571 |
Allergan PLC 3.00% 2020 | 1,050 | 1,045 |
Allergan PLC 3.45% 2022 | 7,645 | 7,527 |
Allergan PLC 3.80% 2025 | 1,253 | 1,218 |
Allergan PLC 4.55% 2035 | 1,250 | 1,189 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Health care (continued) | Principal amount (000) | Value (000) |
Allergan PLC 4.75% 2045 | $6,000 | $5,793 |
AstraZeneca PLC 3.375% 2025 | 7,890 | 7,595 |
Bayer AG 2.375% 20196 | 2,750 | 2,727 |
Bayer US Finance II LLC 3.875% 20236 | 3,907 | 3,910 |
Bayer US Finance II LLC 4.25% 20256 | 8,729 | 8,793 |
Bayer US Finance II LLC 4.375% 20286 | 905 | 908 |
Bayer US Finance II LLC 4.625% 20386 | 1,525 | 1,517 |
Becton, Dickinson and Co. 2.133% 2019 | 2,250 | 2,237 |
Becton, Dickinson and Co. 2.404% 2020 | 2,250 | 2,211 |
Becton, Dickinson and Co. 2.894% 2022 | 1,170 | 1,132 |
Becton, Dickinson and Co. 3.363% 2024 | 860 | 827 |
Boston Scientific Corp. 3.85% 2025 | 5,500 | 5,450 |
Centene Corp. 4.75% 2022 | 10,495 | 10,613 |
Centene Corp. 4.75% 2025 | 2,825 | 2,818 |
Centene Corp. 5.375% 20266 | 2,500 | 2,539 |
Concordia Healthcare Corp. 9.50% 20226,15 | 4,210 | 263 |
Concordia Healthcare Corp. 7.00% 20236,15 | 7,380 | 461 |
Concordia Healthcare Corp., Term Loan B, (3-month USD-LIBOR + 4.25%) 6.344% 202110,11,12 | 2,105 | 1,876 |
CVS Health Corp. 3.35% 2021 | 740 | 740 |
CVS Health Corp. 3.70% 2023 | 1,005 | 996 |
CVS Health Corp. 4.10% 2025 | 1,119 | 1,114 |
CVS Health Corp. 4.30% 2028 | 4,930 | 4,871 |
CVS Health Corp. 4.78% 2038 | 3,048 | 3,022 |
DaVita HealthCare Partners Inc. 5.00% 2025 | 3,875 | 3,657 |
EMD Finance LLC 2.40% 20206 | 210 | 207 |
EMD Finance LLC 2.95% 20226 | 1,010 | 988 |
EMD Finance LLC 3.25% 20256 | 1,020 | 976 |
Endo International PLC 5.75% 20226 | 5,865 | 5,278 |
Endo International PLC 6.00% 20256,13 | 3,945 | 3,097 |
Envision Healthcare Corp. 5.125% 20226 | 1,405 | 1,424 |
GlaxoSmithKline PLC 3.625% 2025 | 7,085 | 7,078 |
HCA Inc. 5.875% 2023 | 2,125 | 2,210 |
HCA Inc. 5.25% 2026 | 875 | 871 |
Healthsouth Corp. 5.75% 2024 | 6,850 | 6,880 |
Healthsouth Corp. 5.75% 2025 | 3,285 | 3,334 |
Jaguar Holding Co. 6.375% 20236 | 1,600 | 1,596 |
Johnson & Johnson 2.25% 2022 | 3,750 | 3,668 |
Johnson & Johnson 2.45% 2026 | 1,285 | 1,206 |
Johnson & Johnson 3.625% 2037 | 1,000 | 978 |
Johnson & Johnson 3.75% 2047 | 750 | 735 |
Kinetic Concepts, Inc. 12.50% 20216 | 2,430 | 2,697 |
Mallinckrodt PLC 4.875% 20206 | 8,685 | 8,576 |
Medtronic, Inc. 3.50% 2025 | 3,000 | 2,970 |
Medtronic, Inc. 4.375% 2035 | 4,537 | 4,698 |
Medtronic, Inc. 4.625% 2045 | 3,260 | 3,461 |
Molina Healthcare, Inc. 5.375% 2022 | 10,360 | 10,477 |
Molina Healthcare, Inc. 4.875% 20256 | 5,242 | 5,111 |
Owens & Minor, Inc. 3.875% 2021 | 4,985 | 4,761 |
Owens & Minor, Inc., Term Loan B, (3-month USD-LIBOR + 4.50%) 6.869% 202510,11,12 | 1,910 | 1,879 |
Quintiles Transnational Corp. 4.875% 20236 | 2,475 | 2,512 |
Roche Holdings, Inc. 2.875% 20216 | 8,625 | 8,545 |
Roche Holdings, Inc. 1.75% 20226 | 2,340 | 2,225 |
Roche Holdings, Inc. 3.35% 20246 | 1,200 | 1,193 |
Roche Holdings, Inc. 3.00% 20256 | 6,000 | 5,796 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Health care (continued) | Principal amount (000) | Value (000) |
Rotech Healthcare Inc., Term Loan B, (3-month USD-LIBOR + 3.75%) 6.087% 20232,3,10,11,12 | $3,702 | $3,702 |
Rotech Healthcare Inc., Term Loan, (3-month USD-LIBOR + 11.00%) 13.325% 20232,3,10,11,12,14 | 7,325 | 6,687 |
Shire PLC 1.90% 2019 | 2,130 | 2,098 |
Shire PLC 2.40% 2021 | 5,688 | 5,449 |
Shire PLC 2.875% 2023 | 4,765 | 4,486 |
Shire PLC 3.20% 2026 | 1,500 | 1,377 |
Team Health Holdings, Inc. 6.375% 20256 | 4,660 | 4,031 |
Tenet Healthcare Corp. 4.75% 2020 | 3,290 | 3,315 |
Tenet Healthcare Corp. 6.00% 2020 | 10,905 | 11,246 |
Tenet Healthcare Corp. 4.375% 2021 | 3,650 | 3,609 |
Tenet Healthcare Corp. 4.50% 2021 | 4,075 | 4,055 |
Tenet Healthcare Corp. 4.625% 20246 | 3,153 | 2,998 |
Teva Pharmaceutical Finance Company BV 2.20% 2021 | 7,965 | 7,393 |
Teva Pharmaceutical Finance Company BV 2.80% 2023 | 19,286 | 16,671 |
Teva Pharmaceutical Finance Company BV 6.00% 2024 | 1,780 | 1,780 |
Teva Pharmaceutical Finance Company BV 3.15% 2026 | 12,983 | 10,449 |
Teva Pharmaceutical Finance Company BV 6.75% 2028 | 865 | 883 |
Teva Pharmaceutical Finance Company BV 4.10% 2046 | 3,550 | 2,545 |
Thermo Fisher Scientific Inc. 4.15% 2024 | 2,000 | 2,032 |
Valeant Pharmaceuticals International, Inc. 6.125% 20256 | 22,200 | 20,535 |
Valeant Pharmaceuticals International, Inc. 9.00% 20256 | 800 | 833 |
Valeant Pharmaceuticals International, Inc. 9.25% 20266 | 4,060 | 4,227 |
Zimmer Holdings, Inc. 3.15% 2022 | 6,070 | 5,963 |
335,947 | ||
Consumer discretionary 0.83% | ||
Amazon.com, Inc. 2.40% 2023 | 3,000 | 2,892 |
Amazon.com, Inc. 2.80% 2024 | 5,875 | 5,609 |
American Axle & Manufacturing Holdings, Inc. 6.50% 2027 | 3,275 | 3,238 |
American Honda Finance Corp. 2.65% 2021 | 3,750 | 3,721 |
American Honda Finance Corp. 3.50% 2028 | 3,750 | 3,677 |
Bayerische Motoren Werke AG 2.25% 20236 | 600 | 559 |
Bayerische Motoren Werke AG 3.45% 20236 | 8,685 | 8,597 |
Cablevision Systems Corp. 6.75% 2021 | 8,525 | 8,951 |
CCO Holdings LLC and CCO Holdings Capital Corp. 4.464% 2022 | 3,000 | 3,036 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.125% 20236 | 1,700 | 1,683 |
CCO Holdings LLC and CCO Holdings Capital Corp. 4.908% 2025 | 1,000 | 1,011 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.75% 20266 | 5,850 | 5,762 |
CCO Holdings LLC and CCO Holdings Capital Corp. 4.20% 2028 | 4,920 | 4,613 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.00% 20286 | 4,250 | 3,910 |
CCO Holdings LLC and CCO Holdings Capital Corp. 6.484% 2045 | 585 | 618 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.375% 2047 | 2,615 | 2,381 |
Clear Channel Worldwide Holdings, Inc. 7.625% 2020 | 16,260 | 16,224 |
Comcast Corp. 2.35% 2027 | 4,000 | 3,508 |
Comcast Corp. 3.30% 2027 | 1,000 | 942 |
Comcast Corp. 3.20% 2036 | 750 | 625 |
Comcast Corp. 3.90% 2038 | 1,500 | 1,368 |
Comcast Corp. 4.00% 2048 | 1,500 | 1,324 |
Cumulus Media New Holdings Inc., Term Loan, (3-month USD-LIBOR + 4.50%) 6.50% 202210,11,12 | 1,504 | 1,498 |
DaimlerChrysler North America Holding Corp. 2.25% 20196 | 6,000 | 5,937 |
DaimlerChrysler North America Holding Corp. 2.25% 20206 | 2,765 | 2,720 |
DaimlerChrysler North America Holding Corp. 2.00% 20216 | 200 | 191 |
DaimlerChrysler North America Holding Corp. 3.35% 20236 | 1,200 | 1,180 |
DaimlerChrysler North America Holding Corp. 3.75% 20286 | 397 | 385 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Consumer discretionary (continued) | Principal amount (000) | Value (000) |
Ford Motor Co. 5.291% 2046 | $750 | $698 |
Ford Motor Credit Co. 2.597% 2019 | 3,000 | 2,978 |
Ford Motor Credit Co. 2.343% 2020 | 7,635 | 7,439 |
Ford Motor Credit Co. 3.157% 2020 | 1,000 | 994 |
Ford Motor Credit Co. 3.20% 2021 | 2,250 | 2,226 |
Ford Motor Credit Co. 4.134% 2025 | 5,000 | 4,882 |
General Motors Co. 6.75% 2046 | 250 | 278 |
General Motors Financial Co. 2.35% 2019 | 3,500 | 3,471 |
General Motors Financial Co. 3.70% 2020 | 6,355 | 6,390 |
General Motors Financial Co. 3.45% 2022 | 2,000 | 1,973 |
General Motors Financial Co. 3.50% 2024 | 6,600 | 6,291 |
General Motors Financial Co. 4.35% 2027 | 1,000 | 969 |
Hanesbrands Inc. 4.625% 20246 | 660 | 647 |
Hanesbrands Inc. 4.875% 20266 | 2,700 | 2,619 |
Home Depot, Inc. 1.80% 2020 | 3,415 | 3,354 |
Home Depot, Inc. 4.25% 2046 | 3,500 | 3,527 |
Liberty Global PLC 5.50% 20286 | 2,725 | 2,459 |
Limited Brands, Inc. 5.25% 2028 | 1,160 | 1,032 |
Limited Brands, Inc. 6.875% 2035 | 885 | 792 |
Lowe’s Companies, Inc. 2.50% 2026 | 2,720 | 2,491 |
McDonald’s Corp. 2.75% 2020 | 1,750 | 1,739 |
McDonald’s Corp. 2.625% 2022 | 1,105 | 1,084 |
McDonald’s Corp. 3.35% 2023 | 820 | 818 |
McDonald’s Corp. 3.50% 2027 | 830 | 811 |
McDonald’s Corp. 4.875% 2045 | 1,600 | 1,686 |
Meredith Corp. 6.875% 20266 | 1,675 | 1,656 |
Meritage Homes Corp. 5.125% 2027 | 2,675 | 2,494 |
MGM Resorts International 7.75% 2022 | 1,700 | 1,857 |
NBC Universal Enterprise, Inc. 1.974% 20196 | 100 | 99 |
Neiman Marcus Group LTD Inc., Term Loan B, (3-month USD-LIBOR + 3.25%) 5.564% 202010,11,12 | 1,120 | 995 |
Newell Rubbermaid Inc. 2.60% 2019 | 188 | 187 |
Newell Rubbermaid Inc. 3.15% 2021 | 2,050 | 2,032 |
Petsmart Inc., Term Loan B-2, (3-month USD-LIBOR + 3.00%) 5.341% 202210,11,12 | 6,025 | 5,005 |
Petsmart, Inc. 5.875% 20256 | 17,985 | 13,893 |
Petsmart, Inc. 8.875% 20256 | 10,415 | 6,900 |
Sally Holdings LLC and Sally Capital Inc. 5.625% 2025 | 4,090 | 3,794 |
Sirius XM Radio Inc. 3.875% 20226 | 3,450 | 3,347 |
Starbucks Corp. 3.10% 2023 | 2,688 | 2,637 |
Time Warner Inc. 3.80% 2027 | 605 | 573 |
Toyota Motor Credit Corp. 3.05% 2028 | 2,430 | 2,314 |
Wynn Las Vegas, LLC and Wynn Capital Corp. 4.25% 20236 | 4,018 | 3,832 |
Wynn Las Vegas, LLC and Wynn Capital Corp. 5.50% 20256 | 4,425 | 4,359 |
Wynn Las Vegas, LLC and Wynn Capital Corp. 5.25% 20276 | 1,400 | 1,311 |
215,093 | ||
Utilities 0.77% | ||
AEP Transmission Company LLC 3.75% 2047 | 2,390 | 2,224 |
AES Corp. 5.50% 2025 | 6,073 | 6,149 |
AES Corp. 6.00% 2026 | 2,990 | 3,110 |
Ameren Corp. 3.70% 2047 | 3,040 | 2,847 |
American Electric Power Co., Inc. 2.95% 2022 | 4,020 | 3,916 |
American Electric Power Co., Inc. 3.20% 2027 | 1,275 | 1,194 |
Berkshire Hathaway Energy Co. 2.40% 2020 | 1,245 | 1,235 |
Calpine Corp. 5.25% 20266 | 5,970 | 5,649 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Utilities (continued) | Principal amount (000) | Value (000) |
Centerpoint Energy, Inc. 2.50% 2022 | $900 | $864 |
Comision Federal de Electricidad 4.75% 20276 | 1,270 | 1,240 |
Commonwealth Edison Company 4.35% 2045 | 2,085 | 2,135 |
Commonwealth Edison Company 3.65% 2046 | 2,000 | 1,847 |
Commonwealth Edison Company 4.00% 2048 | 2,600 | 2,548 |
Consolidated Edison Co. of New York 4.50% 2058 | 6,100 | 6,074 |
Consumers Energy Co. 3.375% 2023 | 475 | 474 |
Consumers Energy Co. 3.125% 2024 | 3,785 | 3,675 |
Consumers Energy Co. 3.25% 2046 | 940 | 824 |
Consumers Energy Co. 4.05% 2048 | 6,285 | 6,284 |
Dominion Resources, Inc. 1.875% 20186 | 2,500 | 2,491 |
Dominion Resources, Inc. 1.60% 2019 | 890 | 877 |
Dominion Resources, Inc. 2.962% 201913 | 300 | 299 |
Dominion Resources, Inc. 2.579% 202013 | 950 | 936 |
Dominion Resources, Inc. 2.00% 2021 | 790 | 754 |
Dominion Resources, Inc. 2.75% 2022 | 800 | 776 |
Dominion Resources, Inc. 2.85% 2026 | 1,500 | 1,361 |
Duke Energy Corp. 3.75% 2024 | 150 | 150 |
Duke Energy Corp. 2.65% 2026 | 4,325 | 3,901 |
Duke Energy Florida, LLC 3.20% 2027 | 2,420 | 2,330 |
Duke Energy Ohio, Inc. 3.70% 2046 | 1,950 | 1,799 |
Duke Energy Progress Inc. 4.15% 2044 | 3,020 | 2,985 |
Duke Energy Progress Inc. 3.70% 2046 | 4,350 | 4,010 |
EDP Finance BV 4.125% 20206 | 3,402 | 3,436 |
EDP Finance BV 3.625% 20246 | 12,250 | 11,757 |
Electricité de France SA 2.35% 20206 | 650 | 638 |
Electricité de France SA 6.95% 20396 | 4,000 | 5,079 |
Emera US Finance LP 2.15% 2019 | 300 | 297 |
Emera US Finance LP 2.70% 2021 | 770 | 750 |
Emera US Finance LP 3.55% 2026 | 645 | 608 |
Enel Finance International SA 3.50% 20286 | 5,800 | 5,220 |
Enersis Américas SA 4.00% 2026 | 495 | 473 |
Entergy Corp. 2.95% 2026 | 1,160 | 1,061 |
Exelon Corp. 3.497% 202213 | 2,150 | 2,129 |
Exelon Corp. 3.40% 2026 | 200 | 190 |
FirstEnergy Corp. 3.90% 2027 | 3,660 | 3,556 |
FirstEnergy Corp. 4.85% 2047 | 3,375 | 3,461 |
FirstEnergy Corp., Series B, 4.25% 2023 | 1,540 | 1,566 |
Great Plains Energy Inc. 4.20% 2047 | 2,100 | 2,071 |
MidAmerican Energy Holdings Co. 2.40% 2019 | 1,500 | 1,496 |
MidAmerican Energy Holdings Co. 3.10% 2027 | 2,000 | 1,926 |
National Rural Utilities Cooperative Finance Corp. 3.05% 2027 | 6,000 | 5,692 |
NiSource Finance Corp. 2.65% 2022 | 675 | 653 |
Northern States Power Co. 4.125% 2044 | 6,000 | 6,049 |
NRG Energy, Inc. 6.25% 2022 | 4,675 | 4,822 |
Pacific Gas and Electric Co. 3.25% 2023 | 1,220 | 1,166 |
Pacific Gas and Electric Co. 3.85% 2023 | 6,929 | 6,838 |
Pacific Gas and Electric Co. 3.40% 2024 | 1,310 | 1,226 |
Pacific Gas and Electric Co. 3.30% 2027 | 3,855 | 3,467 |
Pacific Gas and Electric Co. 3.30% 2027 | 1,545 | 1,398 |
Pacific Gas and Electric Co. 3.95% 2047 | 1,250 | 1,073 |
PacifiCorp., First Mortgage Bonds, 5.65% 2018 | 1,250 | 1,251 |
PacifiCorp., First Mortgage Bonds, 3.60% 2024 | 6,695 | 6,754 |
Public Service Co. of Colorado 2.25% 2022 | 2,000 | 1,915 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Utilities (continued) | Principal amount (000) | Value (000) |
Public Service Enterprise Group Inc. 2.65% 2022 | $1,900 | $1,830 |
Public Service Enterprise Group Inc. 2.25% 2026 | 385 | 348 |
Puget Energy, Inc. 6.50% 2020 | 1,245 | 1,334 |
Puget Energy, Inc. 6.00% 2021 | 1,823 | 1,951 |
Puget Energy, Inc. 5.625% 2022 | 1,965 | 2,085 |
Puget Energy, Inc. 3.65% 2025 | 3,135 | 3,055 |
Sierra Pacific Power Co., General and Refunding Mortgage Notes, Series T, 3.375% 2023 | 3,500 | 3,486 |
South Carolina Electric & Gas Co. 4.10% 2046 | 2,595 | 2,367 |
Talen Energy Corp. 9.50% 20226 | 2,795 | 2,758 |
Talen Energy Corp. 10.50% 20266 | 675 | 604 |
Tampa Electric Co. 4.35% 2044 | 3,805 | 3,856 |
Virginia Electric and Power Co. 2.95% 2026 | 1,700 | 1,594 |
Virginia Electric and Power Co. 3.50% 2027 | 4,300 | 4,227 |
Xcel Energy Inc. 4.00% 2028 | 6,265 | 6,274 |
198,745 | ||
Telecommunication services 0.62% | ||
AT&T Inc. 4.10% 20286 | 4,464 | 4,272 |
AT&T Inc. 4.30% 2042 | 654 | 557 |
AT&T Inc. 4.35% 2045 | 596 | 507 |
British Telecommunications PLC 9.625% 203013 | 4,225 | 6,049 |
CenturyLink, Inc. 6.75% 2023 | 8,475 | 8,539 |
CenturyLink, Inc., Series T, 5.80% 2022 | 1,325 | 1,318 |
Deutsche Telekom International Finance BV 1.95% 20216 | 1,000 | 954 |
Deutsche Telekom International Finance BV 2.82% 20226 | 2,535 | 2,464 |
Deutsche Telekom International Finance BV 3.60% 20276 | 3,750 | 3,541 |
Deutsche Telekom International Finance BV 9.25% 2032 | 3,570 | 5,118 |
France Télécom 4.125% 2021 | 5,000 | 5,113 |
Frontier Communications Corp. 10.50% 2022 | 3,140 | 2,865 |
Frontier Communications Corp. 11.00% 2025 | 18,125 | 14,585 |
Inmarsat PLC 4.875% 20226 | 7,775 | 7,678 |
Inmarsat PLC 6.50% 20246 | 2,550 | 2,563 |
Intelsat Jackson Holding Co. 7.25% 2020 | 3,320 | 3,320 |
Intelsat Jackson Holding Co. 7.50% 2021 | 18,335 | 18,289 |
Intelsat Jackson Holding Co. 6.625% 202411,12 | 1,400 | 1,448 |
Intelsat Jackson Holding Co. 8.00% 20246 | 3,075 | 3,237 |
Ligado Networks, Term Loan, (3-month USD-LIBOR + 8.75%) 10.78% 2020 (100% PIK)10,11,12,14 | 14,022 | 11,650 |
Orange SA 5.50% 2044 | 3,000 | 3,331 |
Trilogy International Partners, LLC 8.875% 20226 | 7,250 | 7,359 |
Verizon Communications Inc. 4.50% 2033 | 2,668 | 2,592 |
Verizon Communications Inc. 4.40% 2034 | 1,959 | 1,831 |
Verizon Communications Inc. 4.125% 2046 | 2,228 | 1,909 |
Vodafone Group PLC 3.75% 2024 | 6,750 | 6,698 |
Vodafone Group PLC 4.125% 2025 | 11,500 | 11,457 |
Vodafone Group PLC 4.375% 2028 | 2,250 | 2,225 |
Vodafone Group PLC 5.00% 2038 | 2,500 | 2,476 |
Vodafone Group PLC 5.25% 2048 | 3,200 | 3,205 |
Wind Tre SpA 5.00% 20266 | 6,500 | 5,185 |
Ziggo Bond Finance BV 5.50% 20276 | 9,325 | 8,734 |
161,069 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Materials 0.59% | Principal amount (000) | Value (000) |
Ball Corp. 4.375% 2020 | $2,450 | $2,478 |
CF Industries, Inc. 4.95% 2043 | 4,130 | 3,492 |
Chemours Co. 6.625% 2023 | 4,990 | 5,239 |
Chevron Phillips Chemical Company LLC 3.30% 20236 | 1,170 | 1,162 |
Chevron Phillips Chemical Company LLC 3.70% 20286 | 3,000 | 2,966 |
Cleveland-Cliffs Inc. 4.875% 20246 | 3,025 | 2,927 |
Cleveland-Cliffs Inc. 5.75% 2025 | 18,995 | 18,069 |
Consolidated Energy Finance SA 6.50% 20266 | 1,560 | 1,546 |
CVR Partners, LP 9.25% 20236 | 2,100 | 2,171 |
Eastman Chemical Co. 2.70% 2020 | 7,000 | 6,960 |
First Quantum Minerals Ltd. 7.00% 20216 | 5,602 | 5,669 |
First Quantum Minerals Ltd. 7.25% 20226 | 8,175 | 8,298 |
First Quantum Minerals Ltd. 7.50% 20256 | 10,700 | 10,600 |
First Quantum Minerals Ltd. 6.875% 20266 | 4,025 | 3,864 |
Freeport-McMoRan Inc. 3.55% 2022 | 12,035 | 11,463 |
Georgia-Pacific Corp. 2.539% 20196 | 7,000 | 6,956 |
H.I.G. Capital, LLC 6.75% 20246 | 2,366 | 2,322 |
Holcim Ltd. 5.15% 20236 | 7,395 | 7,764 |
Huntsman International LLC 4.875% 2020 | 4,935 | 5,028 |
International Paper Co. 7.30% 2039 | 2,005 | 2,571 |
LSB Industries, Inc. 9.625% 20236 | 1,300 | 1,315 |
Mosaic Co. 3.25% 2022 | 2,250 | 2,187 |
Mosaic Co. 4.05% 2027 | 2,125 | 2,034 |
Nova Chemicals Corp. 5.25% 20276 | 4,275 | 3,994 |
Novelis Corp. 5.875% 20266 | 2,600 | 2,496 |
Platform Specialty Products Corp. 5.875% 20256 | 1,675 | 1,639 |
Rayonier Advanced Materials Inc. 5.50% 20246 | 3,304 | 3,122 |
Reynolds Group Inc. 5.75% 202012 | 3,629 | 3,647 |
Ryerson Inc. 11.00% 20226 | 6,190 | 6,824 |
Sherwin-Williams Co. 2.25% 2020 | 2,250 | 2,214 |
Sherwin-Williams Co. 2.75% 2022 | 1,185 | 1,148 |
Sherwin-Williams Co. 3.125% 2024 | 550 | 526 |
Sherwin-Williams Co. 3.45% 2027 | 1,395 | 1,319 |
Vale SA 6.25% 2026 | 3,340 | 3,626 |
Warrior Met Coal, Inc. 8.00% 20246 | 1,975 | 2,044 |
Westlake Chemical Corp. 4.375% 2047 | 2,915 | 2,695 |
152,375 | ||
Consumer staples 0.58% | ||
Altria Group, Inc. 4.50% 2043 | 3,000 | 2,882 |
Anheuser-Busch InBev NV 2.65% 2021 | 1,000 | 987 |
Anheuser-Busch InBev NV 3.30% 2023 | 5,940 | 5,895 |
Anheuser-Busch InBev NV 3.50% 2024 | 890 | 887 |
Anheuser-Busch InBev NV 3.65% 2026 | 4,985 | 4,887 |
Anheuser-Busch InBev NV 4.00% 2028 | 5,815 | 5,811 |
Anheuser-Busch InBev NV 4.90% 2046 | 550 | 568 |
Anheuser-Busch InBev NV 4.60% 2048 | 2,000 | 1,969 |
Avon Products, Inc. 7.875% 20226 | 2,915 | 2,904 |
B&G Foods, Inc. 4.625% 2021 | 440 | 435 |
B&G Foods, Inc. 5.25% 2025 | 1,660 | 1,569 |
BJ’s Wholesale Club, Term Loan, (3-month USD-LIBOR + 7.50%) 9.53% 202510,11,12 | 1,894 | 1,917 |
British American Tobacco International Finance PLC 3.95% 20256 | 5,500 | 5,381 |
British American Tobacco PLC 3.222% 20246 | 5,000 | 4,741 |
British American Tobacco PLC 4.39% 20376 | 5,500 | 5,173 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Consumer staples (continued) | Principal amount (000) | Value (000) |
British American Tobacco PLC 4.54% 20476 | $3,250 | $3,044 |
Constellation Brands, Inc. 2.00% 2019 | 2,250 | 2,217 |
Constellation Brands, Inc. 2.25% 2020 | 2,250 | 2,198 |
Constellation Brands, Inc. 2.65% 2022 | 4,835 | 4,640 |
Constellation Brands, Inc. 2.70% 2022 | 395 | 382 |
Constellation Brands, Inc. 3.20% 2023 | 1,650 | 1,607 |
Constellation Brands, Inc. 3.60% 2028 | 1,250 | 1,183 |
Constellation Brands, Inc. 4.50% 2047 | 445 | 425 |
Costco Wholesale Corp. 2.15% 2021 | 2,250 | 2,201 |
Costco Wholesale Corp. 2.30% 2022 | 2,250 | 2,186 |
Costco Wholesale Corp. 2.75% 2024 | 12,250 | 11,868 |
Costco Wholesale Corp. 3.00% 2027 | 2,250 | 2,150 |
General Mills, Inc. (3-month USD-LIBOR + 0.54%) 2.893% 202110 | 1,795 | 1,798 |
General Mills, Inc. 3.20% 2021 | 425 | 423 |
General Mills, Inc. 3.70% 2023 | 395 | 391 |
General Mills, Inc. 4.20% 2028 | 540 | 530 |
Imperial Tobacco Finance PLC 3.50% 20236 | 4,000 | 3,913 |
Maple Escrow 3.551% 20216 | 4,315 | 4,321 |
Maple Escrow 4.057% 20236 | 1,295 | 1,301 |
Maple Escrow 4.597% 20286 | 1,691 | 1,700 |
Maple Escrow 4.985% 20386 | 5,351 | 5,398 |
Maple Escrow 5.085% 20486 | 1,779 | 1,799 |
Molson Coors Brewing Co. 1.45% 2019 | 425 | 418 |
Molson Coors Brewing Co. 1.90% 2019 | 2,015 | 2,001 |
Molson Coors Brewing Co. 2.25% 2020 | 1,725 | 1,698 |
Molson Coors Brewing Co. 2.10% 2021 | 165 | 158 |
Molson Coors Brewing Co. 3.00% 2026 | 460 | 418 |
Molson Coors Brewing Co. 4.20% 2046 | 2,250 | 2,026 |
Philip Morris International Inc. 2.00% 2020 | 2,000 | 1,968 |
Philip Morris International Inc. 1.875% 2021 | 2,000 | 1,937 |
Philip Morris International Inc. 2.375% 2022 | 1,960 | 1,876 |
Philip Morris International Inc. 2.625% 2022 | 2,395 | 2,335 |
Philip Morris International Inc. 3.25% 2024 | 5,000 | 4,858 |
Philip Morris International Inc. 4.25% 2044 | 2,050 | 1,945 |
Procter & Gamble Co. 1.70% 2021 | 825 | 794 |
Reckitt Benckiser Group PLC 2.375% 20226 | 2,275 | 2,176 |
Reynolds American Inc. 3.25% 2020 | 1,035 | 1,033 |
Reynolds American Inc. 4.00% 2022 | 1,035 | 1,042 |
Reynolds American Inc. 4.45% 2025 | 5,705 | 5,742 |
Reynolds American Inc. 5.70% 2035 | 755 | 812 |
Reynolds American Inc. 5.85% 2045 | 2,030 | 2,226 |
Wal-Mart Stores, Inc. 3.40% 2023 | 6,580 | 6,631 |
Wal-Mart Stores, Inc. 3.55% 2025 | 3,052 | 3,074 |
Wal-Mart Stores, Inc. 3.70% 2028 | 2,047 | 2,063 |
Wal-Mart Stores, Inc. 4.05% 2048 | 2,289 | 2,297 |
151,209 | ||
Industrials 0.52% | ||
3M Co. 2.25% 2026 | 1,000 | 907 |
ADT Corp. 3.50% 2022 | 3,325 | 3,129 |
Allison Transmission Holdings, Inc. 5.00% 20246 | 3,205 | 3,161 |
Associated Materials, LLC 9.00% 20246 | 8,905 | 9,373 |
Avis Budget Group, Inc. 5.50% 2023 | 3,755 | 3,675 |
Bohai Financial Investment Holding Co., Ltd. 5.50% 20246 | 2,250 | 2,227 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Industrials (continued) | Principal amount (000) | Value (000) |
Canadian National Railway Co. 3.20% 2046 | $2,635 | $2,268 |
Canadian National Railway Co. 3.65% 2048 | 5,015 | 4,684 |
Corporate Risk Holdings LLC 9.50% 20196 | 3,878 | 4,057 |
Corporate Risk Holdings LLC 13.50% 2020 (100% PIK)2,3,6,14 | 1,016 | 1,088 |
CSX Corp. 3.80% 2028 | 6,985 | 6,816 |
CSX Corp. 4.30% 2048 | 2,250 | 2,151 |
Euramax International, Inc. 12.00% 20206 | 4,350 | 4,589 |
General Dynamics Corp. 3.375% 2023 | 1,995 | 2,000 |
General Dynamics Corp. 3.50% 2025 | 5,500 | 5,497 |
General Electric Co. 2.70% 2022 | 6,535 | 6,326 |
General Electric Co. 4.125% 2042 | 2,500 | 2,325 |
Hardwoods Acquisition Inc. 7.50% 20216 | 2,328 | 2,171 |
Hertz Global Holdings Inc. 7.625% 20226 | 6,650 | 6,401 |
Kratos Defense & Security Solutions, Inc. 6.50% 20256 | 845 | 878 |
Lockheed Martin Corp. 2.50% 2020 | 6,015 | 5,937 |
Lockheed Martin Corp. 3.10% 2023 | 545 | 538 |
Lockheed Martin Corp. 3.55% 2026 | 3,490 | 3,439 |
LSC Communications, Inc. 8.75% 20236 | 3,475 | 3,419 |
Northrop Grumman Corp., 2.93% 2025 | 3,645 | 3,465 |
Northrop Grumman Corp. 3.25% 2028 | 4,495 | 4,238 |
Pisces Parent, LLC 8.00% 20266 | 1,895 | 1,832 |
R.R. Donnelley & Sons Co. 7.875% 2021 | 4,625 | 4,717 |
R.R. Donnelley & Sons Co. 6.50% 2023 | 3,310 | 3,277 |
Rockwell Collins, Inc. 1.95% 2019 | 1,125 | 1,114 |
Rockwell Collins, Inc. 2.80% 2022 | 3,025 | 2,949 |
Roper Technologies, Inc. 2.80% 2021 | 2,065 | 2,018 |
Roper Technologies, Inc. 3.80% 2026 | 835 | 811 |
Siemens AG 2.70% 20226 | 3,360 | 3,275 |
Staples Inc. 8.50% 20256 | 1,915 | 1,791 |
Union Pacific Corp. 3.75% 2025 | 5,030 | 5,047 |
Union Pacific Corp. 3.95% 2028 | 3,750 | 3,774 |
United Technologies Corp. 3.125% 2027 | 7,000 | 6,513 |
Virgin Australia Holdings Ltd. 8.50% 20196 | 2,500 | 2,534 |
134,411 | ||
Information technology 0.36% | ||
Almonde Inc., Term Loan, (3-month USD-LIBOR + 7.25%) 9.557% 202510,11,12 | 3,600 | 3,479 |
Alphabet Inc. 1.998% 2026 | 3,000 | 2,683 |
Apple Inc. 2.50% 2022 | 2,355 | 2,310 |
Apple Inc. 2.75% 2025 | 6,000 | 5,747 |
Apple Inc. 2.90% 2027 | 9,000 | 8,471 |
Apple Inc. 3.35% 2027 | 90 | 88 |
Apple Inc. 3.00% 2024 | 1,250 | 1,225 |
Applied Systems, Inc., Term Loan, (3-month USD-LIBOR + 7.00%) 9.334% 202510,11,12 | 600 | 621 |
Broadcom Ltd. 2.375% 2020 | 1,500 | 1,481 |
Broadcom Ltd. 3.00% 2022 | 1,500 | 1,460 |
Broadcom Ltd. 3.875% 2027 | 4,215 | 3,992 |
EchoStar Corp. 6.625% 2026 | 850 | 788 |
First Data Corp. 5.375% 20236 | 2,850 | 2,883 |
First Data Corp. 5.00% 20246 | 2,400 | 2,391 |
Genesys Telecommunications Laboratories, Inc. 10.00% 20246 | 575 | 643 |
Gogo Inc. 12.50% 20226 | 18,205 | 19,479 |
Infor Software 7.125% 20216,14 | 2,925 | 2,943 |
Kronos Inc., Term Loan B, (3-month USD-LIBOR + 8.25%) 10.608% 202410,11,12 | 3,000 | 3,109 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Information technology (continued) | Principal amount (000) | Value (000) |
McAfee, LLC, Term Loan, (3-month USD-LIBOR + 4.50%) 6.594% 202410,11,12 | $2,995 | $3,015 |
Microsoft Corp. 4.20% 2035 | 6,000 | 6,317 |
Microsoft Corp. 4.10% 2037 | 1,000 | 1,043 |
Oracle Corp. 2.65% 2026 | 2,000 | 1,846 |
Unisys Corp. 10.75% 20226 | 3,125 | 3,516 |
Veritas Holdings Limited 7.50% 20236 | 1,275 | 1,199 |
Visa Inc. 2.80% 2022 | 2,000 | 1,963 |
Visa Inc. 3.15% 2025 | 10,000 | 9,682 |
92,374 | ||
Real estate 0.28% | ||
Alexandria Real Estate Equities, Inc. 3.95% 2028 | 1,220 | 1,174 |
American Campus Communities, Inc. 3.35% 2020 | 1,765 | 1,761 |
American Campus Communities, Inc. 3.75% 2023 | 3,055 | 3,041 |
American Campus Communities, Inc. 4.125% 2024 | 6,075 | 6,050 |
American Campus Communities, Inc. 3.625% 2027 | 5,745 | 5,390 |
American Tower Corp. 3.55% 2027 | 1,425 | 1,327 |
American Tower Corp. 3.60% 2028 | 2,000 | 1,856 |
Brandywine Operating Partnership, LP 3.95% 2023 | 1,070 | 1,066 |
Corporate Office Properties LP 3.60% 2023 | 765 | 741 |
Corporate Office Properties LP 5.25% 2024 | 3,595 | 3,723 |
EPR Properties 4.75% 2026 | 6,070 | 5,945 |
EPR Properties 4.50% 2027 | 3,240 | 3,099 |
Equinix, Inc. 5.375% 2027 | 1,400 | 1,400 |
Essex Portfolio LP 3.875% 2024 | 1,000 | 994 |
Essex Portfolio LP 3.50% 2025 | 5,865 | 5,669 |
Hospitality Properties Trust 4.50% 2023 | 2,295 | 2,307 |
Hospitality Properties Trust 4.50% 2025 | 325 | 318 |
Hospitality Properties Trust 4.95% 2027 | 1,000 | 988 |
Hospitality Properties Trust 3.95% 2028 | 3,825 | 3,500 |
Host Hotels & Resorts LP 4.50% 2026 | 705 | 705 |
Iron Mountain Inc. 4.875% 20276 | 1,780 | 1,649 |
Public Storage 2.37% 2022 | 1,115 | 1,071 |
Scentre Group 3.25% 20256 | 2,000 | 1,886 |
Scentre Group 3.50% 20256 | 4,075 | 3,932 |
Scentre Group 3.75% 20276 | 2,930 | 2,818 |
UDR, Inc. 2.95% 2026 | 1,510 | 1,386 |
WEA Finance LLC 2.70% 20196 | 200 | 199 |
WEA Finance LLC 3.25% 20206 | 4,105 | 4,098 |
Westfield Corp. Ltd. 3.15% 20226 | 5,615 | 5,508 |
73,601 | ||
Total corporate bonds & notes | 2,323,997 | |
Mortgage-backed obligations 4.92% | ||
Arroyo Mortgage Trust, Series 2018-1, Class A1, 3.763% 20486,10,12 | 3,404 | 3,446 |
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class AAB, 2.984% 204812 | 1,185 | 1,171 |
Commercial Mortgage Trust, Series 2015-PC1, Class A5, 3.902% 205012 | 4,735 | 4,792 |
Connecticut Avenue Securities, Series 2014-C02, Class 1M1, (1-month USD-LIBOR + 0.95%) 3.041% 202410,12 | 25 | 25 |
CS First Boston Mortgage Securities Corp., Series 2004-5, Class IVA1, 6.00% 203412 | 380 | 388 |
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.6167% 204812 | 1,400 | 1,408 |
Fannie Mae 6.00% 202112 | 19 | 20 |
Fannie Mae 6.00% 202612 | 298 | 326 |
Bonds, notes & other debt instruments Mortgage-backed obligations (continued) | Principal amount (000) | Value (000) |
Fannie Mae 5.50% 203312 | $534 | $580 |
Fannie Mae 5.50% 203312 | 360 | 392 |
Fannie Mae 3.00% 203612 | 21,604 | 21,289 |
Fannie Mae 5.50% 203612 | 843 | 913 |
Fannie Mae 6.00% 203612 | 1,999 | 2,201 |
Fannie Mae 6.00% 203612 | 575 | 632 |
Fannie Mae 6.00% 203612 | 94 | 104 |
Fannie Mae 5.50% 203712 | 289 | 314 |
Fannie Mae 5.50% 203712 | 158 | 171 |
Fannie Mae 6.00% 203712 | 1,849 | 2,037 |
Fannie Mae 6.00% 203712 | 1,600 | 1,767 |
Fannie Mae 6.00% 203712 | 186 | 204 |
Fannie Mae 6.00% 203712 | 26 | 29 |
Fannie Mae 6.00% 203812 | 2,720 | 2,993 |
Fannie Mae 6.00% 203812 | 1,874 | 2,064 |
Fannie Mae 6.00% 203812 | 913 | 1,006 |
Fannie Mae 6.00% 203812 | 829 | 911 |
Fannie Mae 6.00% 203812 | 469 | 517 |
Fannie Mae 6.00% 203812 | 452 | 499 |
Fannie Mae 6.00% 203812 | 53 | 59 |
Fannie Mae 6.00% 203812 | 49 | 54 |
Fannie Mae 6.00% 203812 | 36 | 40 |
Fannie Mae 6.00% 203912 | 1 | 1 |
Fannie Mae 6.00% 204012 | 499 | 550 |
Fannie Mae 6.00% 204012 | 160 | 176 |
Fannie Mae 4.00% 204112 | 3,603 | 3,707 |
Fannie Mae 4.00% 204112 | 2,809 | 2,890 |
Fannie Mae 6.00% 204112 | 945 | 1,040 |
Fannie Mae 6.00% 204112 | 653 | 720 |
Fannie Mae 3.50% 204212 | 9,943 | 9,979 |
Fannie Mae 4.00% 204312 | 3,842 | 3,971 |
Fannie Mae 4.00% 204312 | 2,380 | 2,460 |
Fannie Mae 4.00% 204312 | 2,039 | 2,099 |
Fannie Mae 3.50% 204512 | 16,102 | 16,144 |
Fannie Mae 3.50% 204512 | 3,975 | 3,979 |
Fannie Mae 3.00% 204612 | 36,078 | 35,004 |
Fannie Mae 3.50% 204612 | 7,510 | 7,510 |
Fannie Mae 3.50% 204612 | 2,915 | 2,910 |
Fannie Mae 4.00% 204612 | 3,117 | 3,190 |
Fannie Mae 4.00% 204612 | 997 | 1,021 |
Fannie Mae 3.50% 204712 | 62,311 | 62,149 |
Fannie Mae 3.50% 204712 | 6,614 | 6,595 |
Fannie Mae 3.50% 204712 | 5,681 | 5,670 |
Fannie Mae 4.00% 204712 | 24,264 | 24,872 |
Fannie Mae 4.00% 204712 | 14,926 | 15,258 |
Fannie Mae 7.00% 204712 | 45 | 49 |
Fannie Mae 7.00% 204712 | 3 | 4 |
Fannie Mae 3.50% 204812,16 | 28,700 | 28,559 |
Fannie Mae 4.00% 204812,16 | 139,504 | 142,022 |
Fannie Mae 4.00% 204812,16 | 59,258 | 60,413 |
Fannie Mae 4.00% 204812,16 | 39,188 | 39,860 |
Fannie Mae 4.50% 204812,16 | 40,178 | 41,701 |
Fannie Mae 4.50% 204812,16 | 36,986 | 38,446 |
Fannie Mae 4.50% 204812,16 | 5,625 | 5,858 |
Fannie Mae, Series 2001-T10, Class A1, 7.00% 204112 | 191 | 217 |
Bonds, notes & other debt instruments Mortgage-backed obligations (continued) | Principal amount (000) | Value (000) |
Fannie Mae, Series 2002-W3, Class A5, 7.50% 204112 | $47 | $53 |
Fannie Mae, Series 2012-M14, Class A2, Multi Family, 2.301% 202210,12 | 2,145 | 2,080 |
Fannie Mae, Series 2012-M9, Class A2, Multi Family, 2.482% 202212 | 4,669 | 4,580 |
Fannie Mae, Series 2012-M5, Class A2, Multi Family, 2.715% 202212 | 3,981 | 3,929 |
Fannie Mae, Series 2014-M1, Class A2, Multi Family, 3.297% 202310,12 | 8,920 | 8,991 |
Fannie Mae, Series 2013-M14, Class A2, Multi Family, 3.329% 202310,12 | 7,530 | 7,606 |
Fannie Mae, Series 2014-M2, Class A2, Multi Family, 3.513% 202310,12 | 6,450 | 6,588 |
Fannie Mae, Series 2014-M9, Class A2, Multi Family, 3.103% 202410,12 | 6,215 | 6,192 |
Fannie Mae, Series 2014-M3, Class A2, Multi Family, 3.501% 202410,12 | 7,000 | 7,117 |
Fannie Mae, Series 2017-M3, Class A2, Multi Family, 2.568% 202610,12 | 9,665 | 9,043 |
Fannie Mae, Series 2017-M7, Class A2, Multi Family, 2.961% 202710,12 | 2,891 | 2,793 |
Fannie Mae, Series 2006-43, Class JO, principal only, 0% 203612 | 108 | 91 |
Freddie Mac 3.00% 203712 | 32,094 | 31,593 |
Freddie Mac 5.00% 203812 | 1,194 | 1,276 |
Freddie Mac 6.50% 203812 | 140 | 155 |
Freddie Mac 4.50% 203912 | 217 | 228 |
Freddie Mac 5.00% 204012 | 2,123 | 2,269 |
Freddie Mac 4.00% 204212 | 4,740 | 4,874 |
Freddie Mac 4.00% 204312 | 6,289 | 6,467 |
Freddie Mac 4.00% 204312 | 2,517 | 2,600 |
Freddie Mac 4.00% 204312 | 2,289 | 2,355 |
Freddie Mac 4.00% 204512 | 15,018 | 15,442 |
Freddie Mac 4.00% 204512 | 14,839 | 15,259 |
Freddie Mac 4.50% 204612 | 2,192 | 2,284 |
Freddie Mac 4.50% 204612 | 1,170 | 1,219 |
Freddie Mac 3.50% 204712 | 46,734 | 46,519 |
Freddie Mac 3.50% 204712 | 24,351 | 24,239 |
Freddie Mac 3.50% 204712 | 12,629 | 12,571 |
Freddie Mac 3.50% 204712 | 4,696 | 4,681 |
Freddie Mac 3.50% 204812,16 | 36,780 | 36,578 |
Freddie Mac 4.00% 204812,16 | 13,260 | 13,492 |
Freddie Mac 4.00% 204812,16 | 6,740 | 6,868 |
Freddie Mac 4.00% 204812 | 6,346 | 6,473 |
Freddie Mac 4.50% 204812,16 | 1,586 | 1,648 |
Freddie Mac 4.50% 204812,16 | 414 | 430 |
Freddie Mac Pool #760014 2.978% 204510,12 | 1,363 | 1,363 |
Freddie Mac, Series T-041, Class 3A, 5.569% 203210,12 | 306 | 321 |
Freddie Mac, Series KS01, Class A1, Multi Family, 1.693% 202212 | 1,404 | 1,380 |
Freddie Mac, Series K019, Class A2, Multi Family, 2.272% 202212 | 4,000 | 3,902 |
Freddie Mac, Series K021, Class A2, Multi Family, 2.396% 202212 | 3,680 | 3,597 |
Freddie Mac, Series K723, Class A2, Multi Family, 2.454% 202312 | 3,025 | 2,936 |
Freddie Mac, Series K034, Class A1, Multi Family, 2.669% 202312 | 1,662 | 1,654 |
Freddie Mac, Series K725, Class A2, Multi Family, 3.002% 202412 | 5,555 | 5,524 |
Freddie Mac, Series K044, Class A2, Multi Family, 2.811% 202512 | 4,265 | 4,178 |
Freddie Mac, Series K047, Class A2, Multi Family, 3.329% 202512 | 4,000 | 4,033 |
Freddie Mac, Series K057, Class A2, Multi Family, 2.57% 202612 | 4,855 | 4,616 |
Freddie Mac, Series K055, Class A2, Multi Family, 2.673% 202612 | 10,050 | 9,651 |
Freddie Mac, Series K066, Class A2, Multi Family, 3.117% 202712 | 4,755 | 4,655 |
Freddie Mac, Series K067, Class A2, Multi Family, 3.194% 202712 | 17,070 | 16,817 |
Freddie Mac, Series K069, Class A2, Multi Family, 3.187% 202710,12 | 2,280 | 2,237 |
Freddie Mac, Series K070, Class A2, Multi Family, 3.303% 202710,12 | 6,465 | 6,402 |
Freddie Mac, Series K063, Class A2, Multi Family, 3.43% 202712 | 4,375 | 4,397 |
Freddie Mac, Series K072, Class A2, Multi Family, 3.444% 202712 | 1,980 | 1,984 |
Freddie Mac, Series K073, Class A2, Multi Family, 3.35% 202812 | 3,571 | 3,548 |
Freddie Mac, Series K075, Class A2, Multi Family, 3.65% 202810,12 | 5,900 | 6,005 |
Bonds, notes & other debt instruments Mortgage-backed obligations (continued) | Principal amount (000) | Value (000) |
Freddie Mac, Series K076, Class A2, Multi Family, 3.90% 202812 | $16,930 | $17,541 |
Freddie Mac, Series K077, Class A2, Multi Family, 3.90% 2028 | 3,840 | 3,966 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 2.25% 205612 | 11,693 | 11,353 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HA, 2.25% 205612 | 2,674 | 2,639 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HA, 2.50% 205610,12 | 6,111 | 5,967 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 205612 | 10,962 | 10,700 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT, 2.50% 205710,12 | 2,010 | 1,959 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 205712 | 3,908 | 3,838 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT, 3.50% 205712 | 1,554 | 1,528 |
Government National Mortgage Assn. 3.50% 204812,16 | 47,750 | 47,922 |
Government National Mortgage Assn. 4.00% 204812,16 | 54,864 | 56,222 |
Government National Mortgage Assn. 4.00% 204812,16 | 42,386 | 43,372 |
Government National Mortgage Assn. 4.00% 204812 | 16,212 | 16,679 |
Government National Mortgage Assn. 4.00% 204812 | 2,074 | 2,134 |
Government National Mortgage Assn. 4.50% 204812,16 | 9,986 | 10,381 |
Government National Mortgage Assn. 4.50% 204812,16 | 6,014 | 6,242 |
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM, 6.114% 204010,12 | 325 | 325 |
MASTR Alternative Loan Trust, Series 2004-2, Class 2A1, 6.00% 203412 | 855 | 911 |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB, 3.557% 204712 | 1,000 | 1,010 |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class ASB, 3.04% 204812 | 1,180 | 1,167 |
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A, 3.35% 20296,12 | 2,650 | 2,661 |
Nationstar HECM Loan Trust, Series 2017-1A, Class A, 1.968% 20272,6,12 | 227 | 226 |
Nationstar HECM Loan Trust, Series 2017-1A, Class M1, 2.9419% 20272,6,12 | 420 | 417 |
Nationstar HECM Loan Trust, Series 2018-1A, Class A, 2.760% 20286,12 | 720 | 721 |
Royal Bank of Canada 1.875% 202012 | 7,000 | 6,891 |
Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.00% 20486,12 | 4,962 | 5,019 |
Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75% 20566,10,12 | 4,766 | 4,685 |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, 6.209% 205110,12 | 1,497 | 1,537 |
1,275,172 | ||
Asset-backed obligations 0.47% | ||
AmeriCredit Automobile Receivables Trust, Series 2016-4, Class A2A, 1.34% 202012 | 47 | 47 |
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class A3, 1.46% 202112 | 1,210 | 1,203 |
AmeriCredit Automobile Receivables Trust, Series 2016-3, Class B, 1.80% 202112 | 500 | 493 |
AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.73% 202112 | 3,455 | 3,456 |
Angel Oak Capital Advisors, LLC, Series 2013-9A, Class A1R, CLO, (3-month USD-LIBOR + 1.01%) 3.369% 20256,10,12 | 3,017 | 3,020 |
BlueMountain CLO Ltd., Series 2013-4A, Class AR, (3-month USD-LIBOR + 1.01%) 3.358% 20256,10,12 | 2,614 | 2,618 |
Chrysler Capital Auto Receivables Trust, Series 2015-AA, Class B, 2.07% 20216,12 | 500 | 500 |
CIFC Funding Ltd., Series 2014-3A, Class AR, (3-month USD-LIBOR + 0.95%) 3.312% 20266,10,12 | 2,380 | 2,382 |
Citibank Credit Card Issuance Trust, Series 2014-A6, Class A6, 2.15% 202112 | 275 | 273 |
CPS Auto Receivables Trust, Series 2017-B, Class A, 1.75% 20206,12 | 787 | 785 |
Drive Auto Receivables Trust, Series 2017-AA, Class C, 2.98% 20226,12 | 850 | 850 |
Drivetime Auto Owner Trust, Series 2016-3A, Class C, 3.15% 20226,12 | 1,991 | 1,994 |
Drivetime Auto Owner Trust, Series 2017-4A, Class C, 2.86% 20236,12 | 2,000 | 1,988 |
Drivetime Auto Owner Trust, Series 2017-3A, Class C, 3.01% 20236,12 | 3,850 | 3,837 |
Enterprise Fleet Financing LLC, Series 2016-2, Class A2, 1.74% 20226,12 | 381 | 380 |
Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 2.13% 20226,12 | 475 | 472 |
Enterprise Fleet Financing LLC, Series 2017-1, Class A3, 2.60% 20226,12 | 655 | 650 |
Ford Credit Auto Owner Trust, Series 2016-2, Class A, 2.03% 20276,12 | 2,900 | 2,810 |
Ford Credit Auto Owner Trust, Series 2017-1, Class A, 2.62% 20286,12 | 3,330 | 3,263 |
Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19% 20316,12 | 14,965 | 14,745 |
Ford Credit Floorplan Master Owner Trust, Series 2016-3, Class A1, 1.55% 202112 | 3,500 | 3,456 |
Global SC Finance II SRL, Series 2013-1A, Class A, 2.98% 20286,12 | 121 | 119 |
Global SC Finance II SRL, Series 2014-1A, Class A1, 3.19% 20296,12 | 271 | 266 |
Bonds, notes & other debt instruments Asset-backed obligations (continued) | Principal amount (000) | Value (000) |
Global SC Finance II SRL, Series 2017-1A, Class A, 3.85% 20376,12 | $1,782 | $1,768 |
Hertz Vehicle Financing LLC, Rental Car Asset-Backed Notes, Series 2013-1A, Class A2, 1.83% 20196,12 | 667 | 666 |
Santander Drive Auto Receivables Trust, Series 2017-1, Class A2, 1.49% 202012 | 17 | 17 |
Santander Drive Auto Receivables Trust, Series 2017-1, Class A3, 1.77% 202012 | 1,255 | 1,253 |
Santander Drive Auto Receivables Trust, Series 2016-1, Class B, 2.47% 202012 | 47 | 47 |
Santander Drive Auto Receivables Trust, Series 2017-1, Class B, 2.10% 202112 | 740 | 736 |
Santander Drive Auto Receivables Trust, Series 2015-3, Class C, 2.74% 202112 | 3,604 | 3,604 |
Santander Drive Auto Receivables Trust, Series 2015-4, Class C, 2.97% 202112 | 273 | 273 |
Santander Drive Auto Receivables Trust, Series 2017-1, Class C, 2.58% 202212 | 740 | 735 |
Symphony CLO Ltd, Series 2013-12A, Class AR, CLO, (3-month USD-LIBOR + 1.03%) 3.378% 20256,10,12 | 8,633 | 8,642 |
TAL Advantage V LLC, Series 2013-2A, Class A, 3.55% 20386,12 | 1,419 | 1,409 |
TAL Advantage V LLC, Series 2014-1A, Class A, 3.51% 20396,12 | 1,303 | 1,294 |
Triton Container Finance LLC, Series 2017-1A, Class A, 3.52% 20426,12 | 2,204 | 2,172 |
Triton Container Finance LLC, Series 2017-2A, Class A, 3.62% 20426,12 | 1,892 | 1,861 |
Verizon Owner Trust, Series 2016-2A, Class A, 1.68% 20216,12 | 5,925 | 5,865 |
Verizon Owner Trust, Series 2017-2A, Class A, 1.92% 20216,12 | 7,900 | 7,791 |
Verizon Owner Trust, Series 2017-1A, Class A, 2.06% 20216,12 | 8,215 | 8,124 |
Westlake Automobile Receivables Trust, Series 2017-1A, Class A2, 1.78% 20206,12 | 292 | 292 |
Wheels SPV 2 LLC, Series 2016-1A, Class A2, 1.59% 20256,12 | 349 | 347 |
World Financial Network Credit Card Master Note Trust, Series 2016-B, Class A, 1.44% 202212 | 4,000 | 3,994 |
World Financial Network Credit Card Master Note Trust, Series 2012-A, Class A, 3.14% 202312 | 14,170 | 14,210 |
World Financial Network Credit Card Master Note Trust, Series 2018-A, Class A, 3.07% 202412 | 7,000 | 6,973 |
121,680 | ||
Bonds & notes of governments & government agencies outside the U.S. 0.20% | ||
CPPIB Capital Inc. 1.25% 20196 | 3,900 | 3,835 |
CPPIB Capital Inc. 2.375% 20216 | 6,000 | 5,913 |
CPPIB Capital Inc. 2.25% 20226 | 4,286 | 4,180 |
CPPIB Capital Inc. 2.75% 20276 | 6,600 | 6,358 |
KfW 2.125% 2022 | 375 | 365 |
Manitoba (Province of) 3.05% 2024 | 2,600 | 2,573 |
Ontario (Province of) 2.55% 2021 | 6,300 | 6,238 |
Qatar (State of) 3.875% 20236 | 1,490 | 1,492 |
Qatar (State of) 4.50% 20286 | 1,060 | 1,072 |
Qatar (State of) 5.103% 20486 | 1,800 | 1,799 |
Quebec (Province of) 2.375% 2022 | 6,232 | 6,098 |
Quebec (Province of) 2.75% 2027 | 9,000 | 8,664 |
Saudi Arabia (Kingdom of) 3.625% 20286 | 2,060 | 1,963 |
Saudi Arabia (Kingdom of) 4.50% 20306 | 1,200 | 1,201 |
Saudi Arabia (Kingdom of) 4.625% 20476 | 1,330 | 1,243 |
Saudi Arabia (Kingdom of) 5.00% 20496 | 630 | 614 |
53,608 | ||
Federal agency bonds & notes 0.06% | ||
Fannie Mae 2.00% 2022 | 3,000 | 2,926 |
Fannie Mae 1.875% 2026 | 13,000 | 11,880 |
14,806 | ||
Municipals 0.04% Illinois 0.03% | ||
G.O. Bonds, Pension Funding Series 2003, 5.10% 203312 | 5,000 | 4,740 |
Sales Tax Securitization Corp., Sales Tax Rev. Ref. Bonds, Series 2017-B, 3.587% 2043 | 2,000 | 1,906 |
6,646 |
Bonds, notes & other debt instruments Municipals (continued) California 0.01% | Principal amount (000) | Value (000) |
High-Speed Passenger Train G.O. Ref. Bonds, Series 2017-B, 2.193% 2047 (put 2020) | $2,500 | $2,472 |
Minnesota 0.00% | ||
Housing Fin. Agcy., Homeownership Fin. Bonds (GNMA and FNMA Pass-Through Program), Series 2013-A, 2.35% 204312 | 29 | 27 |
Housing Fin. Agcy., Residential Housing Fin. Bonds, Series 2013-A, AMT, 3.00% 2031 | 10 | 10 |
Housing Fin. Agcy., Residential Housing Fin. Bonds, Series 2014-A, 4.00% 2038 | 210 | 219 |
256 | ||
Connecticut 0.00% | ||
Housing Fin. Auth., Housing Mortgage Fin. Program Bonds, Series 2014-A-1, 4.00% 2044 | 55 | 57 |
Housing Fin. Auth., Housing Mortgage Fin. Program Bonds, Series 2014-C-1, 4.00% 2044 | 80 | 83 |
140 | ||
Maryland 0.00% | ||
Community Dev. Administration, Dept. of Housing and Community Dev., Residential Rev. Ref. Bonds, Series 2014-E, 2.857% 2040 | 70 | 69 |
South Carolina 0.00% | ||
Housing Fin. Auth., Mortgage Rev. Ref. Bonds, Series 2014, AMT, 4.00% 2041 | 55 | 57 |
Nebraska 0.00% | ||
Investment Fin. Auth., Single Family Housing Rev. Bonds, Series 2013-A, 3.00% 2043 | 15 | 15 |
Investment Fin. Auth., Single Family Housing Rev. Bonds, Series 2013-C, 4.50% 2043 | 10 | 10 |
25 | ||
Tennessee 0.00% | ||
Housing Dev. Agcy., Residential Fin. Program Bonds, Series 2013-2-A, AMT, 4.00% 2043 | 20 | 21 |
South Dakota 0.00% | ||
Housing Dev. Auth., Homeownership Mortgage Bonds, Series 2014-F, 4.00% 2034 | 15 | 15 |
Massachusetts 0.00% | ||
Housing Fin. Agcy., Single Family Housing Rev. Bonds, Series 167, 4.00% 2043 | 10 | 10 |
9,711 | ||
Total bonds, notes & other debt instruments (cost: $6,798,575,000) | 6,705,529 | |
Short-term securities 13.98% | ||
3M Co. 1.90% due 7/9/20186 | 36,600 | 36,581 |
Apple Inc. 1.94%–2.09% due 8/3/2018–9/4/20186 | 98,500 | 98,253 |
CAFCO, LLC 2.27% due 9/17/20186 | 30,000 | 29,852 |
CHARTA, LLC 2.31% due 7/6/20186 | 25,000 | 24,990 |
Chevron Corp. 2.02%–2.04% due 7/13/2018–8/20/20186 | 100,000 | 99,816 |
Ciesco LLC 2.27% due 10/3/20186 | 50,000 | 49,690 |
Coca-Cola Co. 2.05% due 8/3/20186 | 50,000 | 49,903 |
Eli Lilly and Co. 1.93% due 7/9/20186 | 36,500 | 36,481 |
Emerson Electric Co. 1.88% due 7/19/20186 | 24,500 | 24,473 |
Short-term securities | Principal amount (000) | Value (000) |
ExxonMobil Corp. 1.97%–1.99% due 8/8/2018–8/22/2018 | $190,200 | $189,723 |
Fannie Mae 1.84%–1.85% due 7/30/2018–8/6/2018 | 150,000 | 149,759 |
Federal Home Loan Bank 1.72%–1.93% due 7/3/2018–9/25/2018 | 1,200,300 | 1,197,989 |
Freddie Mac 1.76%–1.88% due 7/18/2018–8/21/2018 | 210,500 | 210,106 |
Honeywell International Inc. 1.95% due 7/24/20186 | 50,000 | 49,932 |
IBM Credit LLC 2.02% due 7/25/20186 | 50,000 | 49,929 |
John Deere Bank SA 2.00%–2.10% due 8/1/2018–8/14/20186 | 67,800 | 67,639 |
John Deere Capital Corp. 2.00% due 7/24/20186 | 50,000 | 49,932 |
Merck & Co. Inc. 1.92% due 7/17/20186 | 25,000 | 24,976 |
New York Life Capital Corp. 1.92% due 7/2/20186 | 28,277 | 28,273 |
PepsiCo Inc. 1.88%–1.98% due 7/5/2018–8/8/20186 | 85,000 | 84,839 |
Pfizer Inc. 2.02%–2.10% due 8/20/2018–9/14/20186 | 95,000 | 94,602 |
U.S. Treasury Bills 1.59%–1.99% due 7/5/2018–11/1/2018 | 827,900 | 826,282 |
United Parcel Service Inc. 1.98% due 8/14/20186 | 50,000 | 49,879 |
Wal-Mart Stores, Inc. 1.86%–1.90% due 7/2/2018–7/10/20186 | 64,700 | 64,672 |
Walt Disney Co. 2.06% due 7/17/20186 | 35,600 | 35,565 |
Total short-term securities (cost: $3,624,076,000) | 3,624,136 | |
Total investment securities 102.08% (cost: $21,989,033,000) | 26,466,664 | |
Other assets less liabilities (2.08)% | (539,492) | |
Net assets 100.00% | $25,927,172 |
Contracts | Type | Number of contracts | Expiration | Notional amount17 (000) | Value at 6/30/201818 (000) | Unrealized depreciation at 6/30/2018 (000) |
2 Year U.S. Treasury Note Futures | Long | 1,225 | October 2018 | $245,000 | $259,490 | $(106) |
30 Year Ultra U.S. Treasury Bond Futures | Short | 110 | September 2018 | (11,000) | (17,552) | (162) |
$(268) |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) |
1.8915% | U.S. EFFR | 9/26/2018 | $3,500,000 | $(242) | $— | $(242) |
1.6365% | 3-month USD-LIBOR | 10/16/2019 | 124,000 | (1,636) | — | (1,636) |
U.S. EFFR | 2.165% | 4/3/2020 | 100,000 | 332 | — | 332 |
U.S. EFFR | 2.174% | 4/4/2020 | 127,900 | 411 | — | 411 |
U.S. EFFR | 2.19% | 4/6/2020 | 84,700 | 249 | — | 249 |
3-month USD-LIBOR | 2.945% | 10/16/2044 | 28,000 | (14) | — | (14) |
2.929% | 3-month USD-LIBOR | 3/27/2048 | 25,000 | (6) | — | (6) |
U.S. EFFR | 2.4775% | 3/27/2048 | 25,000 | (79) | — | (79) |
$— | $(985) |
1 | Security did not produce income during the last 12 months. |
2 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $39,910,000, which represented .15% of the net assets of the fund. |
3 | Value determined using significant unobservable inputs. |
4 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on these holdings appear below. |
5 | Represents an affiliated company as defined under the Investment Company Act of 1940. |
6 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $1,806,485,000, which represented 6.97% of the net assets of the fund. |
7 | Amount less than one thousand. |
8 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $5,226,000, which represented .02% of the net assets of the fund. |
9 | Index-linked bond whose principal amount moves with a government price index. |
10 | Coupon rate may change periodically. |
11 | Loan participations and assignments; may be subject to legal or contractual restrictions on resale. The total value of all such loans was $49,314,000, which represented .19% of the net assets of the fund. |
12 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
13 | Step bond; coupon rate may change at a later date. |
14 | Payment in kind; the issuer has the option of paying additional securities in lieu of cash. Most recent payment was 100% cash unless otherwise noted. |
15 | Scheduled interest and/or principal payment was not received. |
16 | Purchased on a TBA basis. |
17 | Notional amount is calculated based on the number of contracts and notional contract size. |
18 | Value is calculated based on the notional amount and current market price. |
Private placement securities | Acquisition date(s) | Cost (000) | Value (000) | Percent of net assets |
Blackstone CQP Holdco LP, 6.50% 2021 | 3/6/2017 | $21,325 | $21,432 | .09% |
Blackstone CQP Holdco LP, 6.00% 2021 | 8/9/2017 | 5,700 | 5,714 | .02 |
Corporate Risk Holdings I, Inc. | 8/31/2015-4/21/2017 | 1,888 | 5,171 | .02 |
Corporate Risk Holdings Corp. | 8/31/2015-4/21/2017 | — | — | .00 |
Rotech Healthcare Inc. | 9/26/2013 | 6,949 | 368 | .00 |
Total private placement securities | $ 35,862 | $ 32,685 | .13% |
Key to abbreviations and symbol | |
ADR = American Depositary Receipts | |
Agcy. = Agency | |
AMT = Alternative Minimum Tax | |
Auth. = Authority | |
CAD = Canadian dollars | |
Dept. = Department | |
Dev. = Development | |
EFFR = Effective Federal Funds Rate | |
Fin. = Finance | |
G.O. = General Obligation | |
LIBOR = London Interbank Offered Rate | |
Ref. = Refunding | |
Rev. = Revenue | |
TBA = To-be-announced | |
USD/$ = U.S. dollars |
Common stocks 61.82% Information technology 12.76% | Shares | Value (000) |
Nintendo Co., Ltd. | 19,800 | $6,474 |
ASML Holding NV | 31,500 | 6,242 |
PagSeguro Digital Ltd., Class A1 | 220,528 | 6,120 |
Microsoft Corp. | 53,500 | 5,276 |
Taiwan Semiconductor Manufacturing Co., Ltd. | 697,000 | 4,949 |
Temenos AG | 25,000 | 3,787 |
Broadcom Inc. | 13,650 | 3,312 |
TravelSky Technology Ltd., Class H1 | 860,000 | 2,505 |
Keyence Corp. | 4,400 | 2,486 |
Amphenol Corp., Class A | 24,000 | 2,091 |
Visa Inc., Class A | 14,600 | 1,934 |
Intel Corp. | 35,000 | 1,740 |
Alphabet Inc., Class C1 | 1,505 | 1,679 |
Hamamatsu Photonics KK | 19,000 | 817 |
49,412 | ||
Financials 7.82% | ||
HSBC Holdings PLC (GBP denominated) | 539,633 | 5,061 |
JPMorgan Chase & Co. | 44,670 | 4,655 |
Wells Fargo & Co. | 47,900 | 2,656 |
HDFC Bank Ltd. (ADR) | 21,605 | 2,269 |
Credicorp Ltd. | 10,050 | 2,262 |
AIA Group Ltd. | 250,000 | 2,186 |
B3 SA - Brasil, Bolsa, Balcao | 376,000 | 1,984 |
Sberbank of Russia PJSC (ADR) | 123,000 | 1,776 |
BlackRock, Inc. | 3,394 | 1,694 |
Bank Central Asia Tbk PT | 1,080,000 | 1,618 |
BNP Paribas SA | 18,200 | 1,131 |
Goldman Sachs Group, Inc. | 4,000 | 882 |
ABN AMRO Group NV, depository receipts | 31,000 | 804 |
Société Générale | 17,000 | 717 |
Grupo Financiero Galicia SA, Class B (ADR) | 18,500 | 610 |
30,305 | ||
Health care 6.34% | ||
Humana Inc. | 20,830 | 6,200 |
Merck & Co., Inc. | 62,870 | 3,816 |
Fisher & Paykel Healthcare Corp. Ltd. | 204,000 | 2,057 |
Mettler-Toledo International Inc.1 | 3,500 | 2,025 |
AstraZeneca PLC | 23,600 | 1,636 |
Carl Zeiss Meditec AG, non-registered shares | 19,500 | 1,331 |
Medtronic PLC | 15,000 | 1,284 |
Teva Pharmaceutical Industries Ltd. (ADR) | 50,000 | 1,216 |
UnitedHealth Group Inc. | 4,555 | 1,118 |
Express Scripts Holding Co.1 | 13,600 | 1,050 |
Gilead Sciences, Inc. | 14,000 | 992 |
Common stocks Health care (continued) | Shares | Value (000) |
bioMérieux SA | 10,425 | $939 |
Novartis AG | 11,800 | 897 |
24,561 | ||
Industrials 6.29% | ||
Boeing Co. | 15,750 | 5,284 |
ASSA ABLOY AB, Class B | 118,000 | 2,515 |
Flughafen Zürich AG | 12,235 | 2,501 |
Ryanair Holdings PLC (ADR)1 | 20,600 | 2,353 |
Edenred SA | 65,000 | 2,054 |
MTU Aero Engines AG | 9,000 | 1,730 |
Caterpillar Inc. | 12,000 | 1,628 |
BAE Systems PLC | 170,000 | 1,451 |
Cummins Inc. | 8,000 | 1,064 |
Northrop Grumman Corp. | 3,450 | 1,061 |
International Consolidated Airlines Group, SA (CDI) | 120,000 | 1,052 |
Lockheed Martin Corp. | 3,080 | 910 |
General Electric Co. | 57,000 | 776 |
24,379 | ||
Energy 5.73% | ||
Royal Dutch Shell PLC, Class B | 125,700 | 4,502 |
ConocoPhillips | 56,006 | 3,899 |
TOTAL SA | 45,200 | 2,756 |
LUKOIL Oil Co. PJSC (ADR) | 39,800 | 2,722 |
Enbridge Inc. (CAD denominated) | 50,869 | 1,818 |
Enbridge Inc. (CAD denominated)2 | 16,157 | 578 |
Occidental Petroleum Corp. | 21,500 | 1,799 |
Reliance Industries Ltd. | 106,000 | 1,505 |
Schlumberger Ltd. | 20,400 | 1,367 |
Chevron Corp. | 10,000 | 1,264 |
22,210 | ||
Consumer discretionary 5.73% | ||
Amazon.com, Inc.1 | 3,150 | 5,354 |
Ocado Group PLC1 | 259,500 | 3,519 |
Wynn Resorts, Ltd. | 13,000 | 2,175 |
LVMH Moët Hennessy-Louis Vuitton SE | 6,100 | 2,032 |
Home Depot, Inc. | 9,000 | 1,756 |
Axel Springer SE | 23,300 | 1,686 |
General Motors Co. | 41,000 | 1,615 |
Nokian Renkaat Oyj | 33,634 | 1,329 |
Peugeot SA | 52,500 | 1,199 |
Accor SA | 20,800 | 1,021 |
ProSiebenSat.1 Media SE | 20,000 | 508 |
22,194 | ||
Consumer staples 4.89% | ||
Philip Morris International Inc. | 50,800 | 4,102 |
British American Tobacco PLC | 76,900 | 3,887 |
Nestlé SA | 43,800 | 3,401 |
Coca-Cola European Partners plc | 48,000 | 1,951 |
Pernod Ricard SA | 8,800 | 1,438 |
Coca-Cola Co. | 29,000 | 1,272 |
Walgreens Boots Alliance, Inc. | 20,000 | 1,200 |
Common stocks Consumer staples (continued) | Shares | Value (000) |
Procter & Gamble Co. | 11,000 | $859 |
Coca-Cola FEMSA, SAB de CV, Series L | 150,000 | 849 |
18,959 | ||
Materials 3.44% | ||
DowDuPont Inc. | 37,848 | 2,495 |
Linde AG, non-registered shares | 8,900 | 2,125 |
Randgold Resources Ltd. | 25,000 | 1,920 |
WestRock Co. | 24,570 | 1,401 |
LyondellBasell Industries NV | 12,000 | 1,318 |
Koninklijke DSM NV | 12,000 | 1,207 |
Rio Tinto PLC | 18,000 | 998 |
Boral Ltd. | 185,000 | 894 |
Croda International PLC | 13,100 | 830 |
The Chemours Co. | 3,200 | 142 |
13,330 | ||
Real estate 2.38% | ||
Gaming and Leisure Properties, Inc. REIT | 59,720 | 2,138 |
Link Real Estate Investment Trust REIT | 211,697 | 1,933 |
Equinix, Inc. REIT | 4,240 | 1,823 |
Daito Trust Construction Co., Ltd. | 11,000 | 1,789 |
GLP J-REIT REIT | 1,432 | 1,521 |
9,204 | ||
Utilities 1.78% | ||
ENN Energy Holdings Ltd. | 232,000 | 2,281 |
Ørsted AS | 33,800 | 2,045 |
Enel Américas SA (ADR) | 197,000 | 1,736 |
Power Assets Holdings Ltd. | 120,500 | 842 |
6,904 | ||
Miscellaneous 4.66% | ||
Other common stocks in initial period of acquisition | 18,045 | |
Total common stocks (cost: $189,305,000) | 239,503 | |
Bonds, notes & other debt instruments 33.32% Bonds & notes of governments & government agencies outside the U.S. 15.27% | Principal amount (000) | |
Abu Dhabi (Emirate of) 2.50% 20222 | $200 | 192 |
Abu Dhabi (Emirate of) 3.125% 20272 | 200 | 187 |
Australia (Commonwealth of), Series 128, 5.75% 2022 | A$1,120 | 943 |
Australia (Commonwealth of), Series 133, 5.50% 2023 | 425 | 361 |
Bank of Thailand 1.49% 2019 | THB2,220 | 67 |
Bank of Thailand 1.50% 2019 | 11,780 | 355 |
Bank of Thailand 1.59% 2019 | 2,000 | 60 |
Belgium (Kingdom of), Series 77, 1.00% 2026 | €675 | 826 |
Belgium (Kingdom of), Series 85, 0.80% 2028 | 360 | 425 |
Brazil (Federative Republic of) 0% 2021 | BRL4,900 | 959 |
Brazil (Federative Republic of) 10.00% 2025 | 2,318 | 563 |
Canada 1.00% 2022 | C$300 | 219 |
Canada 2.25% 2025 | 2,200 | 1,686 |
Chile (Republic of) 5.50% 2020 | CLP50,000 | 80 |
Colombia (Republic of) 4.375% 2021 | $200 | 204 |
Bonds, notes & other debt instruments Bonds & notes of governments & government agencies outside the U.S. (continued) | Principal amount (000) | Value (000) |
European Financial Stability Facility 0.40% 2025 | €425 | $498 |
European Financial Stability Facility 0.95% 2028 | 300 | 358 |
European Investment Bank 2.25% 2022 | $225 | 220 |
French Republic O.A.T. 3.25% 2045 | €100 | 164 |
French Republic O.A.T. 2.00% 2048 | 150 | 195 |
Germany (Federal Republic of) 2.25% 2021 | 60 | 76 |
Germany (Federal Republic of) 1.75% 2024 | 300 | 389 |
Germany (Federal Republic of) 0.50% 2026 | 200 | 241 |
Germany (Federal Republic of) 0.50% 2028 | 760 | 904 |
Germany (Federal Republic of) 2.50% 2046 | 525 | 842 |
Germany (Federal Republic of) 1.25% 2048 | 550 | 680 |
India (Republic of) 7.80% 2021 | INR39,200 | 573 |
India (Republic of) 7.68% 2023 | 36,900 | 531 |
India (Republic of) 8.83% 2023 | 10,400 | 158 |
India (Republic of) 7.35% 2024 | 10,000 | 141 |
India (Republic of) 6.97% 2026 | 74,000 | 1,014 |
Indonesia (Republic of) 3.75% 2022 | $410 | 407 |
Indonesia (Republic of) 3.85% 20272 | 400 | 380 |
Ireland (Republic of) 3.40% 2024 | €50 | 69 |
Ireland (Republic of) 1.00% 2026 | 500 | 606 |
Ireland (Republic of) 0.90% 2028 | 900 | 1,060 |
Ireland (Republic of) 2.40% 2030 | 30 | 41 |
Israel (State of) 3.15% 2023 | $400 | 396 |
Israel (State of) 2.00% 2027 | ILS2,100 | 575 |
Israel (State of) 5.50% 2042 | 1,000 | 391 |
Italy (Republic of) 1.45% 2022 | €300 | 349 |
Italy (Republic of) 0.95% 2023 | 150 | 169 |
Italy (Republic of) 4.75% 2023 | 100 | 133 |
Italy (Republic of) 4.50% 2024 | 200 | 264 |
Italy (Republic of) 2.05% 2027 | 600 | 669 |
Japan, Series 115, 0.20% 2018 | ¥5,000 | 45 |
Japan, Series 134, 0.10% 2022 | 95,000 | 866 |
Japan, Series 17, 0.10% 20233 | 10,410 | 98 |
Japan, Series 19, 0.10% 20243 | 30,180 | 286 |
Japan, Series 18, 0.10% 20243 | 20,680 | 195 |
Japan, Series 337, 0.30% 2024 | 205,000 | 1,897 |
Japan, Series 340, 0.40% 2025 | 20,000 | 187 |
Japan, Series 344, 0.10% 2026 | 70,000 | 639 |
Japan, Series 21, 0.10% 20263 | 40,296 | 384 |
Japan, Series 346, 0.10% 2027 | 435,600 | 3,972 |
Japan, Series 22, 0.10% 20273 | 25,258 | 241 |
Japan, Series 145, 1.70% 2033 | 150,000 | 1,639 |
Japan, Series 21, 2.30% 2035 | 20,000 | 239 |
Japan, Series 161, 0.60% 2037 | 190,000 | 1,760 |
Japan, Series 36, 2.00% 2042 | 10,000 | 118 |
Japan, Series 42, 1.70% 2044 | 75,000 | 847 |
Japan, Series 53, 0.60% 2046 | 10,000 | 88 |
Japan, Series 57, 0.80% 2047 | 25,000 | 231 |
KfW 2.125% 2022 | $250 | 243 |
Kuwait (State of) 2.75% 20222 | 200 | 195 |
Lithuania (Republic of) 7.375% 2020 | 100 | 107 |
Malaysia (Federation of), Series 0511, 3.58% 2018 | MYR293 | 73 |
Malaysia (Federation of), Series 0515, 3.759% 2019 | 550 | 137 |
Malaysia (Federation of), Series 0315, 3.659% 2020 | 58 | 14 |
Malaysia (Federation of), Series 0314, 4.048% 2021 | 350 | 88 |
Bonds, notes & other debt instruments Bonds & notes of governments & government agencies outside the U.S. (continued) | Principal amount (000) | Value (000) |
Malaysia (Federation of), Series 0215, 3.795% 2022 | MYR400 | $99 |
Malaysia (Federation of), Series 0116, 3.80% 2023 | 5,000 | 1,227 |
Malaysia (Federation of), Series 0115, 3.955% 2025 | 2,500 | 607 |
Malaysia (Federation of), Series 0316, 3.90% 2026 | 2,033 | 488 |
Malaysia (Federation of), Series 0212, 3.892% 2027 | 167 | 40 |
Malaysia (Federation of), Series 0310, 4.498% 2030 | 1,600 | 392 |
Morocco (Kingdom of) 4.25% 2022 | $200 | 200 |
National Highways Authority of India 7.17% 2021 | INR30,000 | 421 |
Netherlands (Kingdom of the) 5.50% 2028 | €100 | 173 |
Norway (Kingdom of) 3.75% 2021 | NKr2,200 | 291 |
Peru (Republic of) 6.15% 2032 | PEN3,275 | 1,025 |
Peru (Republic of) 5.625% 2050 | $20 | 23 |
Poland (Republic of), Series 1020, 5.25% 2020 | PLN2,850 | 822 |
Poland (Republic of), Series 1021, 5.75% 2021 | 2,670 | 798 |
Poland (Republic of), Series 0922, 5.75% 2022 | 870 | 265 |
Poland (Republic of), Series 1023, 4.00% 2023 | 2,800 | 801 |
Poland (Republic of), Series 0725, 3.25% 2025 | 4,950 | 1,345 |
Portuguese Republic 5.125% 2024 | $250 | 260 |
Portuguese Republic 2.875% 2025 | €600 | 780 |
Portuguese Republic 2.875% 2026 | 245 | 317 |
Portuguese Republic 2.125% 2028 | 60 | 72 |
Qatar (State of) 4.50% 20282 | $900 | 910 |
Quebec (Province of) 2.375% 2022 | 114 | 112 |
Romania 3.375% 2038 | €80 | 89 |
Romania 5.125% 20482 | $150 | 145 |
Saudi Arabia (Kingdom of) 2.894% 20222 | 200 | 195 |
Saudi Arabia (Kingdom of) 3.625% 20282 | 200 | 191 |
Saudi Arabia (Kingdom of) 4.50% 20302 | 240 | 240 |
South Africa (Republic of), Series R-2023, 7.75% 2023 | ZAR1,950 | 140 |
South Africa (Republic of), Series R-214, 6.50% 2041 | 8,050 | 419 |
South Korea (Republic of), Series 2106, 4.25% 2021 | KRW262,000 | 249 |
South Korea (Republic of), Series 2203, 1.875% 2022 | 260,000 | 230 |
South Korea (Republic of), Series 2209, 2.00% 2022 | 945,000 | 838 |
South Korea (Republic of), Series 2303, 2.375% 2023 | 220,000 | 198 |
South Korea (Republic of), Series 2712, 2.375% 2027 | 1,205,000 | 1,066 |
Spain (Kingdom of) 1.40% 2028 | €270 | 318 |
Spain (Kingdom of) 2.90% 2046 | 130 | 166 |
Spain (Kingdom of) 2.70% 2048 | 600 | 729 |
Sweden (Kingdom of) 1.125% 20192 | $200 | 196 |
Thailand (Kingdom of) 1.875% 2022 | THB14,100 | 424 |
Thailand (Kingdom of) 3.85% 2025 | 7,300 | 241 |
Thailand (Kingdom of) 2.125% 2026 | 28,300 | 825 |
United Kingdom 3.75% 2020 | £75 | 106 |
United Kingdom 1.75% 2022 | 280 | 382 |
United Kingdom 2.75% 2024 | 400 | 580 |
United Kingdom 4.25% 2027 | 50 | 83 |
United Kingdom 4.25% 2040 | 50 | 97 |
United Kingdom 3.25% 2044 | 250 | 430 |
United Kingdom 3.50% 2045 | 150 | 271 |
United Kingdom 1.50% 2047 | 320 | 399 |
United Mexican States 4.15% 2027 | $200 | 197 |
United Mexican States 3.75% 2028 | 200 | 189 |
United Mexican States 4.00% 20403 | MXN1,485 | 78 |
United Mexican States 4.60% 2046 | $200 | 184 |
United Mexican States, Series M, 8.00% 2020 | MXN2,000 | 101 |
Bonds, notes & other debt instruments Bonds & notes of governments & government agencies outside the U.S. (continued) | Principal amount (000) | Value (000) |
United Mexican States, Series M, 6.50% 2021 | MXN9,000 | $439 |
United Mexican States, Series M, 6.50% 2022 | 8,500 | 411 |
United Mexican States, Series M20, 10.00% 2024 | 9,300 | 526 |
United Mexican States, Series M, 5.75% 2026 | 30,000 | 1,350 |
United Mexican States, Series M30, 10.00% 2036 | 2,500 | 155 |
United Mexican States, Series M, 7.75% 2042 | 1,620 | 82 |
Uruguay (Oriental Republic of) 9.875% 2022 | UYU3,334 | 106 |
Uruguay (Oriental Republic of) 8.50% 2028 | 9,188 | 253 |
Uruguay (Oriental Republic of) 8.50% 2028 | 6,000 | 165 |
59,160 | ||
U.S. Treasury bonds & notes 10.47% U.S. Treasury 8.20% | ||
U.S. Treasury 1.375% 2018 | $150 | 150 |
U.S. Treasury 1.50% 2018 | 100 | 100 |
U.S. Treasury 1.00% 2019 | 1,000 | 980 |
U.S. Treasury 1.25% 2019 | 50 | 50 |
U.S. Treasury 1.625% 2019 | 1,075 | 1,067 |
U.S. Treasury 1.625% 2019 | 300 | 298 |
U.S. Treasury 1.75% 2019 | 600 | 595 |
U.S. Treasury 3.125% 2019 | 225 | 227 |
U.S. Treasury 1.375% 2020 | 900 | 881 |
U.S. Treasury 1.50% 2020 | 350 | 342 |
U.S. Treasury 1.75% 2020 | 1,600 | 1,567 |
U.S. Treasury 2.125% 2020 | 200 | 198 |
U.S. Treasury 2.50% 2020 | 420 | 420 |
U.S. Treasury 1.125% 2021 | 1,025 | 979 |
U.S. Treasury 1.375% 2021 | 550 | 531 |
U.S. Treasury 2.00% 2021 | 108 | 106 |
U.S. Treasury 1.625% 2022 | 2,850 | 2,729 |
U.S. Treasury 1.875% 2022 | 700 | 681 |
U.S. Treasury 1.875% 2022 | 600 | 581 |
U.S. Treasury 2.00% 2022 | 500 | 485 |
U.S. Treasury 2.00% 2022 | 455 | 442 |
U.S. Treasury 2.00% 2022 | 75 | 73 |
U.S. Treasury 1.375% 2023 | 300 | 281 |
U.S. Treasury 1.75% 2023 | 100 | 95 |
U.S. Treasury 2.375% 2023 | 2,000 | 1,970 |
U.S. Treasury 2.625% 2023 | 800 | 797 |
U.S. Treasury 2.75% 2023 | 650 | 650 |
U.S. Treasury 2.75% 2023 | 420 | 420 |
U.S. Treasury 2.00% 2024 | 750 | 718 |
U.S. Treasury 2.125% 2024 | 2,025 | 1,948 |
U.S. Treasury 2.125% 2024 | 500 | 480 |
U.S. Treasury 2.25% 2024 | 200 | 193 |
U.S. Treasury 2.125% 2025 | 200 | 191 |
U.S. Treasury 2.75% 2025 | 800 | 796 |
U.S. Treasury 1.625% 2026 | 535 | 491 |
U.S. Treasury 1.625% 2026 | 440 | 402 |
U.S. Treasury 2.25% 2027 | 2,800 | 2,663 |
U.S. Treasury 2.25% 2027 | 700 | 668 |
U.S. Treasury 2.25% 2027 | 500 | 475 |
U.S. Treasury 2.375% 2027 | 1,500 | 1,443 |
U.S. Treasury 2.875% 2028 | 2,170 | 2,173 |
U.S. Treasury 3.00% 2044 | 355 | 356 |
Bonds, notes & other debt instruments U.S. Treasury bonds & notes (continued) U.S. Treasury (continued) | Principal amount (000) | Value (000) |
U.S. Treasury 2.50% 2045 | $315 | $287 |
U.S. Treasury 3.00% 2045 | 100 | 100 |
U.S. Treasury 2.875% 2046 | 500 | 489 |
U.S. Treasury 3.125% 2048 | 200 | 205 |
31,773 | ||
U.S. Treasury inflation-protected securities 2.27% | ||
U.S. Treasury Inflation-Protected Security 0.125% 20223 | 217 | 213 |
U.S. Treasury Inflation-Protected Security 0.125% 20243 | 791 | 769 |
U.S. Treasury Inflation-Protected Security 0.625% 20243 | 1,798 | 1,797 |
U.S. Treasury Inflation-Protected Security 0.25% 20253 | 857 | 833 |
U.S. Treasury Inflation-Protected Security 0.375% 20253 | 238 | 234 |
U.S. Treasury Inflation-Protected Security 2.375% 20253 | 67 | 74 |
U.S. Treasury Inflation-Protected Security 0.625% 20263 | 843 | 839 |
U.S. Treasury Inflation-Protected Security 0.375% 20273 | 1,711 | 1,663 |
U.S. Treasury Inflation-Protected Security 0.375% 20273 | 220 | 214 |
U.S. Treasury Inflation-Protected Security 0.50% 20283 | 1,913 | 1,590 |
U.S. Treasury Inflation-Protected Security 1.375% 20443 | 511 | 570 |
8,796 | ||
Total U.S. Treasury bonds & notes | 40,569 | |
Corporate bonds & notes 5.87% Financials 1.55% | ||
ACE INA Holdings Inc. 2.875% 2022 | 20 | 20 |
ACE INA Holdings Inc. 3.35% 2026 | 20 | 19 |
ACE INA Holdings Inc. 4.35% 2045 | 20 | 21 |
Allianz SE 4.75% (undated) (3-month EUR-EURIBOR + 3.60% on 10/24/2023)4 | €100 | 130 |
Aviva PLC, junior subordinated 6.875% 20584 | £75 | 120 |
AXA SA, junior subordinated 5.453% (undated)4 | 100 | 139 |
Banco Bilbao Vizcaya Argentaria SA 3.50% 2024 (5 year EURO Mid Swap + 2.55% on 4/11/2019)4 | €100 | 119 |
Banco del Estado de Chile 2.668% 20212 | $500 | 488 |
Banco Nacional de Comercio Exterior SNC 3.80% 2026 (UST Yield Curve Rate T Note Constant Maturity 5 year + 3.00% on 8/11/2021)2,4 | 200 | 193 |
Bank of America Corp. 3.55% 2024 (3-month USD-LIBOR + 0.78% on 3/5/2023)4 | 100 | 99 |
Bank of America Corp. 3.419% 2028 (3-month USD-LIBOR + 1.04% on 12/20/2027)4 | 394 | 371 |
Barclays Bank PLC 10.00% 2021 | £100 | 158 |
Berkshire Hathaway Inc. 3.00% 2022 | $75 | 75 |
CaixaBank, SA 5.00% 2023 (5 year EURO Mid Swap + 3.95% on 11/14/2018)4 | €100 | 119 |
Goldman Sachs Group, Inc. 5.75% 2022 | $70 | 75 |
Goldman Sachs Group, Inc. 2.905% 2023 (3-month USD-LIBOR + 0.99% on 7/24/2022)4 | 130 | 125 |
Goldman Sachs Group, Inc. 3.20% 2023 | 150 | 146 |
Goldman Sachs Group, Inc. 3.50% 2025 | 210 | 203 |
Goldman Sachs Group, Inc. 3.75% 2026 | 25 | 24 |
Goldman Sachs Group, Inc. 4.75% 2045 | 70 | 69 |
Groupe BPCE SA 5.70% 20232 | 200 | 209 |
HSBC Holdings PLC 3.033% 2023 (3-month USD-LIBOR + 0.923% on 11/12/2022)4 | 200 | 193 |
HSBC Holdings PLC 3.375% 2024 (5 year EURO Mid Swap + 1.95% on 1/10/2019)4 | €100 | 119 |
HSBC Holdings PLC 3.90% 2026 | $200 | 196 |
Intesa Sanpaolo SpA 6.625% 2023 | €125 | 171 |
JPMorgan Chase & Co. 2.55% 2021 | $76 | 75 |
JPMorgan Chase & Co. 3.25% 2022 | 28 | 28 |
JPMorgan Chase & Co. 2.70% 2023 | 150 | 144 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Financials (continued) | Principal amount (000) | Value (000) |
JPMorgan Chase & Co., Series S, junior subordinated, perpetual, 6.75% (undated) (3-month USD-LIBOR + 3.78% on 2/1/2024)4 | $135 | $147 |
JPMorgan Chase Bank NA (3-month USD-LIBOR + 0.34%) 2.702% 20215 | 300 | 300 |
Lloyds Banking Group PLC 6.50% 2020 | €210 | 271 |
Morgan Stanley 3.125% 2026 | $110 | 102 |
Morgan Stanley 3.875% 2026 | 75 | 74 |
NN Group NV, 4.50% (undated) (3-month EUR-LIBOR + 4.00% on 1/15/2026)4 | €100 | 121 |
PNC Financial Services Group, Inc. 2.854% 20224 | $100 | 97 |
Rabobank Nederland 3.875% 2023 | €100 | 133 |
Skandinaviska Enskilda Banken AB 2.80% 2022 | $250 | 244 |
UniCredit SPA 4.625% 20272 | 200 | 186 |
US Bancorp 2.85% 2023 | 300 | 294 |
VEB Finance Ltd. 6.902% 20202 | 100 | 104 |
Wells Fargo & Co. 3.584% 2028 (3-month USD-LIBOR + 1.31% on 5/15/2027)4 | 100 | 96 |
6,017 | ||
Utilities 0.94% | ||
Abu Dhabi National Energy Co. PJSC (TAQA) 3.625% 20232 | 200 | 196 |
American Electric Power Co., Inc. 2.15% 2020 | 215 | 210 |
CMS Energy Corp. 3.60% 2025 | 150 | 147 |
Duke Energy Carolinas, Inc. 3.05% 2023 | 280 | 277 |
Duke Energy Carolinas, Inc. 3.70% 2047 | 50 | 47 |
Duke Energy Corp. 3.75% 2024 | 110 | 110 |
Duke Energy Corp. 2.65% 2026 | 225 | 203 |
Enel Finance International SA 2.75% 20232 | 200 | 186 |
Enel Finance International SA 3.625% 20272 | 200 | 183 |
Enel Finance International SA 3.50% 20282 | 400 | 360 |
Enersis Américas SA 4.00% 2026 | 110 | 105 |
Exelon Corp. 3.497% 20224 | 25 | 25 |
Exelon Corp. 3.40% 2026 | 150 | 143 |
FirstEnergy Corp. 3.90% 2027 | 250 | 243 |
FirstEnergy Corp. 3.50% 20282 | 65 | 62 |
FirstEnergy Corp. 4.85% 2047 | 60 | 61 |
Niagara Mohawk Power Corp. 3.508% 20242 | 85 | 85 |
NiSource Finance Corp. 2.65% 2022 | 50 | 48 |
Pacific Gas and Electric Co. 3.85% 2023 | 70 | 69 |
Pacific Gas and Electric Co. 2.95% 2026 | 25 | 22 |
Pacific Gas and Electric Co. 3.30% 2027 | 275 | 247 |
Pacific Gas and Electric Co. 6.35% 2038 | 21 | 23 |
Pacific Gas and Electric Co. 4.25% 2046 | 49 | 44 |
Sierra Pacific Power Co., General and Refunding Mortgage Notes, Series T, 3.375% 2023 | 100 | 100 |
State Grid Overseas Investment Ltd. 3.50% 20272 | 450 | 430 |
3,626 | ||
Health care 0.77% | ||
Abbott Laboratories 3.75% 2026 | 90 | 89 |
AbbVie Inc. 2.50% 2020 | 180 | 178 |
AbbVie Inc. 2.90% 2022 | 60 | 58 |
AbbVie Inc. 3.60% 2025 | 50 | 48 |
AbbVie Inc. 3.20% 2026 | 173 | 162 |
AbbVie Inc. 4.50% 2035 | 15 | 15 |
Aetna Inc. 2.75% 2022 | 50 | 48 |
Aetna Inc. 2.80% 2023 | 10 | 10 |
Allergan PLC 3.00% 2020 | 30 | 30 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Health care (continued) | Principal amount (000) | Value (000) |
Allergan PLC 3.80% 2025 | $275 | $267 |
Allergan PLC 4.55% 2035 | 20 | 19 |
Allergan PLC 4.75% 2045 | 3 | 3 |
Amgen Inc. 1.85% 2021 | 20 | 19 |
AstraZeneca PLC 2.375% 2022 | 110 | 106 |
Baxalta Inc. 4.00% 2025 | 80 | 78 |
Becton, Dickinson and Co. 2.894% 2022 | 55 | 53 |
Becton, Dickinson and Co. 3.734% 2024 | 35 | 34 |
Becton, Dickinson and Co. 3.70% 2027 | 65 | 62 |
CVS Health Corp. 3.70% 2023 | 165 | 163 |
CVS Health Corp. 4.30% 2028 | 175 | 173 |
CVS Health Corp. 4.78% 2038 | 95 | 94 |
CVS Health Corp. 5.05% 2048 | 280 | 284 |
EMD Finance LLC 2.40% 20202 | 200 | 197 |
EMD Finance LLC 3.25% 20252 | 150 | 144 |
Humana Inc. 3.15% 2022 | 100 | 97 |
Medtronic, Inc. 3.50% 2025 | 100 | 99 |
Roche Holdings, Inc. 3.35% 20242 | 200 | 199 |
Shire PLC 2.40% 2021 | 153 | 147 |
Shire PLC 2.875% 2023 | 69 | 65 |
Shire PLC 3.20% 2026 | 25 | 23 |
2,964 | ||
Consumer discretionary 0.61% | ||
Amazon.com, Inc. 2.80% 2024 | 170 | 162 |
Amazon.com, Inc. 3.15% 2027 | 95 | 91 |
CCO Holdings LLC and CCO Holdings Capital Corp. 4.20% 2028 | 45 | 42 |
DaimlerChrysler North America Holding Corp. 2.00% 20212 | 200 | 191 |
Hyundai Capital America 2.55% 20202 | 135 | 133 |
Hyundai Capital America 3.25% 20222 | 65 | 63 |
Hyundai Capital Services Inc. 3.75% 20232 | 250 | 246 |
McDonald’s Corp. 3.50% 2020 | 50 | 50 |
McDonald’s Corp. 3.80% 2028 | 110 | 110 |
Myriad International Holdings 6.00% 2020 | 250 | 262 |
Myriad International Holdings 5.50% 2025 | 250 | 258 |
NBCUniversal Media, LLC 4.375% 2021 | 50 | 51 |
Nissan Motor Co., Ltd. 2.15% 20202 | 120 | 117 |
Nissan Motor Co., Ltd. 2.60% 20222 | 115 | 111 |
President & Fellows of Harvard College 3.619% 2037 | 150 | 150 |
Thomson Reuters Corp. 4.30% 2023 | 75 | 77 |
Time Warner Inc. 4.75% 2021 | 150 | 155 |
Toyota Motor Credit Corp. 2.25% 2023 | 85 | 80 |
2,349 | ||
Consumer staples 0.52% | ||
Altria Group, Inc. 2.625% 2020 | 100 | 99 |
Altria Group, Inc. 4.75% 2021 | 150 | 156 |
Altria Group, Inc. 4.25% 2042 | 150 | 140 |
Anheuser-Busch InBev NV 3.30% 2023 | 35 | 35 |
Anheuser-Busch InBev NV 3.50% 2024 | 340 | 339 |
Anheuser-Busch InBev NV 4.00% 2028 | 100 | 100 |
British American Tobacco PLC 3.557% 20272 | 105 | 98 |
British American Tobacco PLC 4.39% 20372 | 80 | 75 |
Kraft Heinz Co. 3.50% 2022 | 100 | 99 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Consumer staples (continued) | Principal amount (000) | Value (000) |
Kroger Co. 3.50% 2026 | $140 | $133 |
Maple Escrow 4.597% 20282 | 175 | 176 |
Maple Escrow 5.085% 20482 | 100 | 101 |
Pernod Ricard SA 4.45% 20222 | 150 | 154 |
Philip Morris International Inc. 2.00% 2020 | 55 | 54 |
Philip Morris International Inc. 2.90% 2021 | 100 | 98 |
Philip Morris International Inc. 2.625% 2022 | 15 | 15 |
Philip Morris International Inc. 4.25% 2044 | 25 | 24 |
Reynolds American Inc. 4.00% 2022 | 15 | 15 |
Reynolds American Inc. 4.45% 2025 | 105 | 106 |
2,017 | ||
Energy 0.52% | ||
Cenovus Energy Inc. 4.25% 2027 | 65 | 63 |
El Paso Pipeline Partners Operating Co., LLC 4.70% 2042 | 75 | 67 |
Enbridge Inc. 4.25% 2026 | 70 | 69 |
Enbridge Inc. 3.70% 2027 | 132 | 125 |
Energy Transfer Partners, LP 4.00% 2027 | 67 | 63 |
Energy Transfer Partners, LP 4.20% 2027 | 15 | 14 |
Energy Transfer Partners, LP 6.00% 2048 | 20 | 20 |
Halliburton Co. 3.80% 2025 | 35 | 35 |
Kinder Morgan Energy Partners, LP 3.50% 2021 | 30 | 30 |
Kinder Morgan Energy Partners, LP 5.50% 2044 | 200 | 199 |
Kinder Morgan, Inc. 4.30% 2028 | 150 | 146 |
Petróleos Mexicanos 6.50% 2027 | 130 | 133 |
Petróleos Mexicanos 6.35% 20482 | 357 | 325 |
Phillips 66 Partners LP 4.68% 2045 | 5 | 5 |
Schlumberger BV 4.00% 20252 | 80 | 80 |
Statoil ASA 3.15% 2022 | 160 | 160 |
Statoil ASA 3.70% 2024 | 50 | 50 |
Total Capital International 2.875% 2022 | 150 | 149 |
Williams Partners LP 4.50% 2023 | 100 | 102 |
Williams Partners LP 4.30% 2024 | 100 | 100 |
Williams Partners LP 4.00% 2025 | 75 | 73 |
2,008 | ||
Information technology 0.29% | ||
Apple Inc. 2.50% 2022 | 75 | 74 |
Apple Inc. 3.35% 2027 | 65 | 63 |
Broadcom Ltd. 3.875% 2027 | 190 | 180 |
Microsoft Corp. 2.40% 2026 | 297 | 275 |
Microsoft Corp. 3.30% 2027 | 355 | 351 |
Oracle Corp. 2.65% 2026 | 216 | 199 |
1,142 | ||
Telecommunication services 0.26% | ||
AT&T Inc. 4.10% 20282 | 55 | 53 |
Deutsche Telekom International Finance BV 1.95% 20212 | 150 | 143 |
Deutsche Telekom International Finance BV 9.25% 2032 | 45 | 65 |
France Télécom 9.00% 20314 | 65 | 89 |
France Télécom 5.375% 2050 | £50 | 90 |
Orange SA 2.75% 2019 | $140 | 140 |
Verizon Communications Inc. 4.329% 20282 | 120 | 119 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Telecommunication services (continued) | Principal amount (000) | Value (000) |
Verizon Communications Inc. 4.50% 2033 | $90 | $88 |
Verizon Communications Inc. 4.272% 2036 | 248 | 229 |
1,016 | ||
Real estate 0.22% | ||
American Campus Communities, Inc. 3.35% 2020 | 15 | 15 |
American Campus Communities, Inc. 3.75% 2023 | 100 | 99 |
American Campus Communities, Inc. 4.125% 2024 | 90 | 90 |
Corporate Office Properties LP 3.60% 2023 | 65 | 63 |
Essex Portfolio LP 3.50% 2025 | 120 | 116 |
Essex Portfolio LP 3.375% 2026 | 40 | 38 |
Scentre Group 3.75% 20272 | 20 | 19 |
WEA Finance LLC 2.70% 20192 | 200 | 199 |
WEA Finance LLC 3.75% 20242 | 200 | 198 |
837 | ||
Industrials 0.15% | ||
General Electric Capital Corp. 3.15% 2022 | 50 | 49 |
Lima Metro Line Finance Ltd. 5.875% 20342,6 | 200 | 205 |
Red de Carreteras de Occidente 9.00% 20286 | MXN2,000 | 97 |
Union Pacific Corp. 2.95% 2023 | $100 | 98 |
Union Pacific Corp. 4.50% 2048 | 20 | 20 |
United Technologies Corp. 3.10% 2022 | 106 | 105 |
574 | ||
Materials 0.04% | ||
Monsanto Co. 4.40% 2044 | 100 | 93 |
Vale SA 6.25% 2026 | 75 | 81 |
174 | ||
Total corporate bonds & notes | 22,724 | |
Mortgage-backed obligations 1.71% | ||
Core Industrial Trust, Series 2015-CALW, Class A, 3.04% 20342,6 | 50 | 50 |
Fannie Mae 3.50% 20486,7 | 450 | 448 |
Fannie Mae 4.00% 20486,7 | 1,219 | 1,242 |
Fannie Mae 4.00% 20486,7 | 518 | 528 |
Fannie Mae 4.00% 20486,7 | 343 | 348 |
Fannie Mae 4.50% 20486,7 | 595 | 617 |
Fannie Mae 4.50% 20486,7 | 547 | 569 |
Fannie Mae 4.50% 20486,7 | 83 | 87 |
Freddie Mac 3.50% 20486,7 | 300 | 298 |
Government National Mortgage Assn. 4.00% 20486,7 | 96 | 98 |
Government National Mortgage Assn. 4.00% 20486,7 | 74 | 76 |
Korea Housing Finance Corp. 2.50% 20202,6 | 250 | 244 |
Korea Housing Finance Corp. 2.00% 20212,6 | 250 | 238 |
Nykredit Realkredit AS, Series 01E, 2.00% 20376 | DKr3,210 | 524 |
Nykredit Realkredit AS, Series 01E, 1.50% 20406 | 6,700 | 1,045 |
Realkredit Danmark AS, Series S22, 1.50% 20406 | 1,500 | 234 |
6,646 | ||
Total bonds, notes & other debt instruments (cost: $132,603,000) | 129,099 |
Short-term securities 5.44% | Principal amount (000) | Value (000) |
Federal Home Loan Bank 1.87% due 7/20/2018 | $3,200 | $3,197 |
Mizuho Bank, Ltd. 1.90% due 7/2/20182 | 6,500 | 6,499 |
Province of Ontario 1.91% due 7/5/2018 | 1,500 | 1,500 |
Sumitomo Mitsui Banking Corp. 2.00% due 7/17/2018–7/23/20182 | 6,200 | 6,192 |
Swedbank AB 1.85% due 7/2/2018 | 3,600 | 3,599 |
Thailand Treasury Bill 1.35% due 12/6/2018 | THB3,000 | 90 |
Total short-term securities (cost: $21,084,000) | 21,077 | |
Total investment securities 100.58% (cost: $342,992,000) | 389,679 | |
Other assets less liabilities (0.58)% | (2,258) | |
Net assets 100.00% | $387,421 |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
USD558 | BRL2,100 | JPMorgan Chase | 7/5/2018 | $16 |
USD317 | MXN5,900 | JPMorgan Chase | 7/9/2018 | 20 |
USD229 | ZAR2,900 | UBS AG | 7/9/2018 | 18 |
NOK3,054 | USD373 | Goldman Sachs | 7/9/2018 | 2 |
JPY57,092 | USD523 | Goldman Sachs | 7/9/2018 | (7) |
USD331 | PLN1,200 | JPMorgan Chase | 7/10/2018 | 11 |
USD471 | GBP350 | Citibank | 7/10/2018 | 9 |
USD774 | CHF760 | JPMorgan Chase | 7/10/2018 | 6 |
USD135 | MXN2,700 | Bank of America, N.A. | 7/10/2018 | (1) |
EUR349 | USD410 | Bank of America, N.A. | 7/10/2018 | (2) |
JPY22,275 | USD204 | Citibank | 7/10/2018 | (3) |
CHF759 | USD773 | JPMorgan Chase | 7/10/2018 | (6) |
EUR482 | USD569 | Citibank | 7/10/2018 | (6) |
PLN1,200 | USD333 | JPMorgan Chase | 7/10/2018 | (13) |
USD501 | THB15,900 | Bank of America, N.A. | 7/12/2018 | 21 |
USD548 | INR36,900 | JPMorgan Chase | 7/12/2018 | 10 |
NOK2,700 | USD335 | Bank of America, N.A. | 7/12/2018 | (4) |
GBP561 | USD752 | Citibank | 7/12/2018 | (11) |
USD391 | BRL1,400 | Citibank | 7/13/2018 | 31 |
USD749 | ILS2,675 | Bank of America, N.A. | 7/16/2018 | 17 |
EUR305 | USD360 | Bank of America, N.A. | 7/16/2018 | (4) |
ILS2,675 | USD739 | Goldman Sachs | 7/16/2018 | (7) |
JPY100,000 | USD908 | JPMorgan Chase | 7/17/2018 | (4) |
USD1,013 | KRW1,094,100 | Bank of America, N.A. | 7/19/2018 | 31 |
EUR859 | USD1,000 | Goldman Sachs | 7/19/2018 | 5 |
USD575 | MXN12,000 | Bank of America, N.A. | 7/19/2018 | (28) |
USD749 | MYR3,000 | JPMorgan Chase | 7/20/2018 | 7 |
USD327 | INR22,118 | Goldman Sachs | 7/20/2018 | 5 |
USD192 | PLN700 | JPMorgan Chase | 7/20/2018 | 5 |
EUR573 | GBP505 | Citibank | 7/20/2018 | 2 |
JPY57,672 | EUR450 | JPMorgan Chase | 7/20/2018 | (5) |
GBP502 | EUR573 | JPMorgan Chase | 7/20/2018 | (6) |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
PLN700 | USD194 | JPMorgan Chase | 7/20/2018 | $(7) |
USD483 | PLN1,800 | Bank of America, N.A. | 7/23/2018 | 2 |
USD113 | CAD150 | Bank of America, N.A. | 7/23/2018 | (1) |
JPY22,250 | USD202 | Citibank | 7/23/2018 | (1) |
EUR645 | USD750 | JPMorgan Chase | 7/25/2018 | 4 |
USD166 | ILS600 | JPMorgan Chase | 7/25/2018 | 2 |
EUR502 | USD590 | Bank of America, N.A. | 7/25/2018 | (2) |
USD677 | CAD900 | JPMorgan Chase | 7/25/2018 | (8) |
JPY111,459 | USD1,017 | Goldman Sachs | 7/25/2018 | (8) |
EUR735 | PLN3,200 | Goldman Sachs | 7/27/2018 | 5 |
EUR598 | USD696 | Goldman Sachs | 7/31/2018 | 5 |
USD503 | THB16,600 | JPMorgan Chase | 7/31/2018 | 2 |
USD717 | AUD970 | Morgan Stanley | 7/31/2018 | (1) |
JPY50,074 | USD455 | Bank of New York Mellon | 7/31/2018 | (1) |
USD771 | EUR660 | JPMorgan Chase | 7/31/2018 | (2) |
USD377 | CAD500 | Bank of America, N.A. | 7/31/2018 | (4) |
JPY174,520 | USD1,584 | Bank of New York Mellon | 7/31/2018 | (4) |
USD501 | CAD665 | Bank of America, N.A. | 7/31/2018 | (5) |
USD373 | INR24,900 | Citibank | 9/24/2018 | 14 |
USD371 | BRL1,250 | Citibank | 11/29/2018 | 54 |
USD222 | BRL750 | Citibank | 11/29/2018 | 31 |
$184 |
1 | Security did not produce income during the last 12 months. |
2 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $22,660,000, which represented 5.85% of the net assets of the fund. |
3 | Index-linked bond whose principal amount moves with a government price index. |
4 | Step bond; coupon rate may change at a later date. |
5 | Coupon rate may change periodically. |
6 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
7 | Purchased on a TBA basis. |
Key to abbreviations and symbols | |
ADR = American Depositary Receipts | INR = Indian rupees |
AUD/A$ = Australian dollars | JPY/¥ = Japanese yen |
BRL = Brazilian reais | KRW = South Korean won |
CAD/C$ = Canadian dollars | LIBOR = London Interbank Offered Rate |
CDI = CREST Depository Interest | MXN = Mexican pesos |
CHF = Swiss francs | MYR = Malaysian ringgits |
CLP = Chilean pesos | NOK/NKr = Norwegian kroner |
DKr = Danish kroner | PEN = Peruvian nuevos soles |
EUR/€ = Euros | PLN = Polish zloty |
EURIBOR = Euro Interbank Offered Rate | TBA = To-be-announced |
GBP/£ = British pounds | THB = Thai baht |
ILS = Israeli shekels | USD/$ = U.S. dollars |
ZAR = South African rand |
Bonds, notes & other debt instruments 96.18% Corporate bonds & notes 35.64% Financials 10.04% | Principal amount (000) | Value (000) |
ABN AMRO Bank NV 2.65% 20211 | $3,000 | $2,952 |
ACE INA Holdings Inc. 2.30% 2020 | 2,105 | 2,058 |
ACE INA Holdings Inc. 2.875% 2022 | 3,725 | 3,661 |
ACE INA Holdings Inc. 3.35% 2026 | 2,625 | 2,548 |
ACE INA Holdings Inc. 4.35% 2045 | 2,320 | 2,378 |
Allstate Corp. 4.20% 2046 | 205 | 203 |
Ally Financial Inc. 4.25% 2021 | 34,100 | 34,185 |
Ally Financial Inc. 5.125% 2024 | 2,800 | 2,856 |
Ally Financial Inc. 8.00% 2031 | 14,495 | 17,249 |
Ally Financial Inc. 8.00% 2031 | 10,220 | 12,213 |
American Express Co. 2.20% 2020 | 15,000 | 14,657 |
American Express Co. 3.00% 2024 | 916 | 875 |
American International Group, Inc. 4.20% 2028 | 12,835 | 12,559 |
American International Group, Inc. 4.75% 2048 | 13,525 | 13,077 |
Assicurazioni Generali SPA 7.75% 2042 (3-month EUR-EURIBOR + 7.113% on 12/12/2022)2 | €3,100 | 4,237 |
Assicurazioni Generali SPA 10.125% 2042 (3-month EUR-EURIBOR + 9.181% on 7/10/2022)2 | 3,800 | 5,551 |
AXA Equitable Holdings, Inc. 3.90% 20231 | $2,715 | 2,696 |
AXA Equitable Holdings, Inc. 4.35% 20281 | 250 | 239 |
AXA SA 5.00% 20481 | 8,740 | 8,076 |
Bank of America Corp. 2.816% 2023 (3-month USD-LIBOR + 0.93% on 7/21/2022)2 | 45,485 | 43,993 |
Bank of America Corp. 3.124% 2023 (3-month USD-LIBOR + 1.16% on 1/20/2022)2 | 42,500 | 41,793 |
Bank of America Corp. 3.55% 2024 (3-month USD-LIBOR + 0.78% on 3/5/2023)2 | 876 | 867 |
Bank of America Corp. 3.419% 2028 (3-month USD-LIBOR + 1.04% on 12/20/2027)2 | 11,506 | 10,844 |
Bank of America Corp. 3.97% 2029 (3-month USD-LIBOR + 1.07% on 3/5/2028)2 | 18,891 | 18,608 |
Barclays Bank PLC 4.972% 2029 (3-month USD-LIBOR + 1.902% on 5/16/2028)2 | 2,800 | 2,778 |
BB&T Corp. 2.45% 2020 | 5,200 | 5,150 |
BB&T Corp. 3.70% 2025 | 1,325 | 1,319 |
BNP Paribas 3.50% 20231 | 18,775 | 18,314 |
BNP Paribas 3.375% 20251 | 1,500 | 1,419 |
Capital One Financial Corp. 1.85% 2019 | 1,500 | 1,479 |
Capital One Financial Corp. 2.40% 2020 | 11,650 | 11,369 |
Capital One Financial Corp. 2.50% 2020 | 45,100 | 44,479 |
Capital One Financial Corp. 3.45% 2021 | 5,000 | 4,991 |
Capital One Financial Corp. 4.25% 2025 | 9,000 | 8,980 |
Citigroup Inc. 2.90% 2021 | 8,500 | 8,333 |
Citigroup Inc. 2.75% 2022 | 24,000 | 23,245 |
Citigroup Inc. 2.876% 2023 (3-month USD-LIBOR + 0.95% on 7/24/2022)2 | 29,518 | 28,482 |
Citigroup Inc. 4.044% 2024 (3-month USD-LIBOR + 1.023% on 6/1/2023)2 | 3,765 | 3,789 |
Citigroup Inc. 4.075% 2029 (3-month USD-LIBOR + 1.192% on 4/23/2028)2 | 1,267 | 1,245 |
CME Group Inc. 4.15% 2048 | 1,300 | 1,317 |
Cooperatieve Rabobank U.A. 2.75% 2023 | 500 | 482 |
Crédit Agricole SA 3.75% 20231 | 3,640 | 3,569 |
Credit Suisse Group AG 3.574% 20231 | 14,000 | 13,723 |
Credit Suisse Group AG 3.80% 2023 | 13,925 | 13,760 |
Credit Suisse Group AG 4.207% 2024 (3-month USD-LIBOR + 1.24% on 6/12/2023)1,2 | 1,800 | 1,803 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Financials (continued) | Principal amount (000) | Value (000) |
Danske Bank AS 2.80% 20211 | $750 | $737 |
Danske Bank AS 3.875% 20231 | 2,000 | 1,986 |
Deutsche Bank AG 2.50% 2019 | 2,900 | 2,880 |
Deutsche Bank AG 2.85% 2019 | 8,700 | 8,625 |
Deutsche Bank AG 3.15% 2021 | 27,675 | 26,789 |
Deutsche Bank AG 3.95% 2023 | 10,000 | 9,609 |
Discover Financial Services 10.25% 2019 | 2,700 | 2,869 |
Discover Financial Services 3.35% 2023 | 18,350 | 17,895 |
Discover Financial Services 4.10% 2027 | 12,500 | 12,007 |
DNB ASA 2.375% 20211 | 250 | 242 |
Ford Motor Credit Co. 2.375% 2019 | 18,650 | 18,581 |
Ford Motor Credit Co. 3.81% 2024 | 6,050 | 5,878 |
General Motors Financial Co. 4.20% 2021 | 1,500 | 1,522 |
Goldman Sachs Group, Inc. 5.75% 2022 | 5,000 | 5,351 |
Goldman Sachs Group, Inc. 2.905% 2023 (3-month USD-LIBOR + 0.99% on 7/24/2022)2 | 48,156 | 46,413 |
Goldman Sachs Group, Inc. 3.75% 2025 | 638 | 623 |
Goldman Sachs Group, Inc. 3.814% 2029 (3-month USD-LIBOR + 1.158% on 4/23/2028)2 | 10,000 | 9,511 |
Goldman Sachs Group, Inc. 4.223% 2029 (3-month USD-LIBOR + 1.301% on 5/1/2028)2 | 5,642 | 5,567 |
Goldman Sachs Group, Inc. 5.30% (undated) (3-month USD-LIBOR + 3.834% on 11/10/2026)2 | 1,850 | 1,813 |
Groupe BPCE SA 2.75% 2021 | 9,500 | 9,233 |
Groupe BPCE SA 5.70% 20231 | 31,666 | 33,153 |
Groupe BPCE SA 5.15% 20241 | 5,211 | 5,288 |
HSBC Holdings PLC 3.033% 2023 (3-month USD-LIBOR + 0.923% on 11/12/2022)2 | 450 | 434 |
HSBC Holdings PLC 3.326% 20243 | 750 | 748 |
HSBC Holdings PLC 3.95% 2024 (3-month USD-LIBOR + 0.987% on 5/18/2023)2 | 625 | 624 |
HSBC Holdings PLC 4.583% 2029 (3-month USD-LIBOR + 1.535% on 6/19/2028)2 | 13,500 | 13,646 |
Intercontinentalexchange, Inc. 2.50% 2018 | 1,295 | 1,295 |
Intesa Sanpaolo SpA 3.875% 2019 | 1,485 | 1,485 |
Intesa Sanpaolo SpA 3.375% 20231 | 9,100 | 8,371 |
Intesa Sanpaolo SpA 5.017% 20241 | 79,790 | 72,486 |
Intesa Sanpaolo SpA 5.71% 20261 | 19,140 | 17,522 |
Intesa Sanpaolo SpA 3.875% 20271 | 4,870 | 4,208 |
Intesa Sanpaolo SpA 4.375% 20481 | 425 | 332 |
Jefferies Financial Group Inc. 5.50% 2023 | 520 | 538 |
JPMorgan Chase & Co. 2.70% 2023 | 17,325 | 16,638 |
JPMorgan Chase & Co. 2.776% 2023 (3-month USD-LIBOR + 0.935% on 4/25/2022)2 | 12,000 | 11,646 |
JPMorgan Chase & Co. 3.559% 2024 (3-month USD-LIBOR + 0.73% on 4/23/2023)2 | 11,500 | 11,396 |
JPMorgan Chase & Co. 3.30% 2026 | 1,000 | 957 |
JPMorgan Chase & Co. 3.509% 2029 (3-month USD-LIBOR + 0.945% on 1/23/2028)2 | 10,745 | 10,202 |
JPMorgan Chase & Co. 4.005% 2029 (3-month USD-LIBOR + 1.12% on 4/23/2028)2 | 5,076 | 5,016 |
Lloyds Banking Group PLC 2.907% 2023 (3-month USD-LIBOR + 0.81% on 11/7/2022)2 | 11,950 | 11,390 |
Lloyds Banking Group PLC 4.45% 2025 | 800 | 805 |
Lloyds Banking Group PLC 4.375% 2028 | 9,350 | 9,251 |
MetLife Capital Trust IV 7.875% 2067 (3-month USD-LIBOR + 3.96% on 12/1/2037)1,2 | 1,505 | 1,874 |
Metlife, Inc. 3.60% 2025 | 3,590 | 3,542 |
Metropolitan Life Global Funding I 1.75% 20181 | 1,455 | 1,450 |
Metropolitan Life Global Funding I 2.30% 20191 | 675 | 673 |
Metropolitan Life Global Funding I 2.00% 20201 | 7,785 | 7,625 |
Mitsubishi UFJ Financial Group, Inc. 3.455% 2023 | 580 | 575 |
Morgan Stanley 2.50% 2021 | 44,400 | 43,379 |
Morgan Stanley 2.625% 2021 | 7,200 | 6,993 |
Morgan Stanley 3.125% 2023 | 35,350 | 34,514 |
Morgan Stanley 3.737% 2024 (3-month USD-LIBOR + 0.847% on 4/24/2023)2 | 500 | 497 |
Morgan Stanley 3.125% 2026 | 7,270 | 6,767 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Financials (continued) | Principal amount (000) | Value (000) |
Morgan Stanley 3.875% 2026 | $8,772 | $8,640 |
Morgan Stanley 3.772% 2029 (3-month USD-LIBOR + 1.14% on 1/24/2028)2 | 922 | 890 |
New York Life Global Funding 2.10% 20191 | 1,000 | 997 |
New York Life Global Funding 1.95% 20201 | 145 | 142 |
New York Life Global Funding 1.70% 20211 | 1,250 | 1,190 |
New York Life Global Funding 2.30% 20221 | 500 | 481 |
Nordea Bank AB 2.50% 20201 | 7,425 | 7,304 |
PNC Bank 2.55% 2021 | 1,000 | 976 |
PNC Financial Services Group, Inc. 2.854% 20222 | 6,050 | 5,890 |
PNC Funding Corp. 3.30% 2022 | 9,000 | 8,949 |
Prudential Financial, Inc. 3.878% 2028 | 500 | 495 |
Prudential Financial, Inc. 4.418% 2048 | 250 | 247 |
Standard Chartered PLC 3.885% 2024 (3-month USD-LIBOR + 1.08% on 3/15/2023)1,2 | 1,500 | 1,474 |
Sumitomo Mitsui Banking Corp. 2.784% 2022 | 1,600 | 1,549 |
Sumitomo Mitsui Banking Corp. 3.102% 2023 | 580 | 567 |
Svenska Handelsbanken AB 1.875% 2021 | 250 | 239 |
Synchrony Bank 3.65% 2021 | 6,775 | 6,783 |
Travelers Companies, Inc. 3.75% 2046 | 200 | 184 |
Travelers Companies, Inc. 4.00% 2047 | 405 | 390 |
Travelers Companies, Inc. 4.05% 2048 | 155 | 151 |
UniCredit SPA 4.625% 20271 | 425 | 396 |
UniCredit SPA 5.861% 20321,2 | 1,000 | 893 |
Unum Group 3.00% 2021 | 520 | 512 |
US Bancorp 2.00% 2020 | 1,000 | 986 |
US Bancorp 3.15% 2027 | 1,300 | 1,244 |
Wells Fargo & Co. 2.10% 2021 | 17,500 | 16,824 |
Wells Fargo & Co. 2.625% 2022 | 1,000 | 964 |
Wells Fargo & Co. 3.55% 2025 | 1,300 | 1,261 |
Wells Fargo & Co. 3.00% 2026 | 3,320 | 3,068 |
Wells Fargo & Co. 3.00% 2026 | 820 | 763 |
1,066,301 | ||
Health care 6.27% | ||
Abbott Laboratories 2.90% 2021 | 26,905 | 26,508 |
Abbott Laboratories 3.40% 2023 | 1,817 | 1,794 |
Abbott Laboratories 3.75% 2026 | 5,163 | 5,082 |
Abbott Laboratories 4.75% 2036 | 4,765 | 5,039 |
AbbVie Inc. 2.50% 2020 | 17,215 | 17,009 |
AbbVie Inc. 2.90% 2022 | 6,565 | 6,375 |
AbbVie Inc. 3.20% 2022 | 11,970 | 11,781 |
AbbVie Inc. 2.85% 2023 | 4,800 | 4,627 |
AbbVie Inc. 3.20% 2026 | 500 | 467 |
AbbVie Inc. 4.45% 2046 | 1,985 | 1,904 |
Allergan Funding SCS 4.85% 2044 | 2,425 | 2,345 |
Allergan PLC 3.00% 2020 | 8,275 | 8,237 |
Allergan PLC 3.45% 2022 | 11,060 | 10,889 |
Allergan PLC 3.80% 2025 | 12,497 | 12,149 |
Allergan PLC 4.55% 2035 | 4,284 | 4,074 |
Allergan PLC 4.75% 2045 | 9,985 | 9,640 |
Allergan, Inc. 5.00% 20211 | 2,194 | 2,272 |
Anthem, Inc. 3.65% 2027 | 1,500 | 1,423 |
Anthem, Inc. 4.101% 2028 | 9,000 | 8,837 |
AstraZeneca PLC 2.375% 2022 | 370 | 356 |
Baxalta Inc. 4.00% 2025 | 985 | 966 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Health care (continued) | Principal amount (000) | Value (000) |
Baxalta Inc. 5.25% 2045 | $550 | $568 |
Bayer US Finance II LLC 3.875% 20231 | 10,630 | 10,639 |
Bayer US Finance II LLC 4.25% 20251 | 2,518 | 2,537 |
Bayer US Finance II LLC 4.375% 20281 | 12,700 | 12,745 |
Bayer US Finance II LLC 4.875% 20481 | 11,730 | 11,888 |
Becton, Dickinson and Co. 2.675% 2019 | 2,287 | 2,271 |
Becton, Dickinson and Co. 2.894% 2022 | 1,040 | 1,007 |
Becton, Dickinson and Co. 3.734% 2024 | 903 | 883 |
Becton, Dickinson and Co. 3.70% 2027 | 1,240 | 1,175 |
Becton, Dickinson and Co. 4.669% 2047 | 3,695 | 3,582 |
Boston Scientific Corp. 2.85% 2020 | 470 | 467 |
Boston Scientific Corp. 6.00% 2020 | 3,675 | 3,830 |
Boston Scientific Corp. 3.375% 2022 | 700 | 691 |
Boston Scientific Corp. 3.85% 2025 | 500 | 496 |
Cardinal Health, Inc. 4.368% 2047 | 375 | 331 |
Centene Corp. 5.625% 2021 | 1,780 | 1,822 |
Centene Corp. 4.75% 2022 | 200 | 202 |
Centene Corp. 6.125% 2024 | 375 | 396 |
Centene Corp. 4.75% 2025 | 325 | 324 |
Centene Corp. 5.375% 20261 | 17,280 | 17,550 |
CVS Health Corp. 1.90% 2018 | 4,550 | 4,549 |
CVS Health Corp. 2.125% 2021 | 11,310 | 10,879 |
CVS Health Corp. 3.70% 2023 | 3,153 | 3,124 |
CVS Health Corp. 4.10% 2025 | 6,249 | 6,224 |
CVS Health Corp. 4.30% 2028 | 49,308 | 48,714 |
CVS Health Corp. 4.78% 2038 | 3,281 | 3,253 |
CVS Health Corp. 5.05% 2048 | 12,845 | 13,023 |
EMD Finance LLC 2.40% 20201 | 15,295 | 15,088 |
EMD Finance LLC 2.95% 20221 | 2,200 | 2,152 |
GlaxoSmithKline PLC 3.375% 2023 | 17,500 | 17,513 |
GlaxoSmithKline PLC 3.875% 2028 | 1,027 | 1,036 |
HCA Inc. 6.50% 2020 | 1,550 | 1,618 |
Laboratory Corporation of America Holdings 3.60% 2027 | 500 | 476 |
Laboratory Corporation of America Holdings 4.70% 2045 | 4,360 | 4,278 |
Medtronic, Inc. 4.625% 2045 | 5,015 | 5,324 |
Mylan Laboratories Inc. 2.50% 2019 | 1,925 | 1,917 |
Pfizer Inc. 7.20% 2039 | 100 | 139 |
Roche Holdings, Inc. 2.375% 20271 | 500 | 456 |
Shire PLC 1.90% 2019 | 25,600 | 25,216 |
Shire PLC 2.40% 2021 | 30,279 | 29,008 |
Shire PLC 2.875% 2023 | 13,948 | 13,131 |
Shire PLC 3.20% 2026 | 20,770 | 19,060 |
Tenet Healthcare Corp. 6.00% 2020 | 1,340 | 1,382 |
Teva Pharmaceutical Finance Company BV 2.20% 2021 | 21,014 | 19,504 |
Teva Pharmaceutical Finance Company BV 2.80% 2023 | 84,169 | 72,759 |
Teva Pharmaceutical Finance Company BV 6.00% 2024 | 1,697 | 1,697 |
Teva Pharmaceutical Finance Company BV 3.15% 2026 | 51,528 | 41,472 |
Teva Pharmaceutical Finance Company BV 6.75% 2028 | 7,325 | 7,476 |
Teva Pharmaceutical Finance Company BV 4.10% 2046 | 57,966 | 41,550 |
UnitedHealth Group Inc. 1.90% 2018 | 6,820 | 6,819 |
UnitedHealth Group Inc. 3.35% 2022 | 4,585 | 4,593 |
UnitedHealth Group Inc. 3.75% 2025 | 5,610 | 5,614 |
UnitedHealth Group Inc. 3.375% 2027 | 500 | 485 |
Valeant Pharmaceuticals International, Inc. 5.50% 20251 | 4,350 | 4,303 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Health care (continued) | Principal amount (000) | Value (000) |
WellPoint, Inc. 2.30% 2018 | $7,440 | $7,439 |
WellPoint, Inc. 2.25% 2019 | 1,250 | 1,240 |
Zimmer Holdings, Inc. 3.15% 2022 | 9,145 | 8,983 |
666,672 | ||
Energy 5.16% | ||
Anadarko Petroleum Corp. 4.85% 2021 | 4,705 | 4,845 |
Anadarko Petroleum Corp. 5.55% 2026 | 10,320 | 11,074 |
Anadarko Petroleum Corp. 6.60% 2046 | 7,691 | 9,269 |
Andeavor Logistics LP 4.25% 2027 | 550 | 530 |
Ascent Resources Marcellus Holdings, Inc., Term Loan B, (3-month USD-LIBOR + 6.50%) 8.501% 20233,4,5 | 92 | 92 |
Baker Hughes, a GE Co. 3.337% 2027 | 1,000 | 931 |
Baker Hughes, a GE Co. 4.08% 2047 | 335 | 300 |
Boardwalk Pipeline Partners, LP 3.375% 2023 | 2,000 | 1,927 |
Canadian Natural Resources Ltd. 2.95% 2023 | 190 | 183 |
Canadian Natural Resources Ltd. 3.80% 2024 | 180 | 179 |
Canadian Natural Resources Ltd. 3.85% 2027 | 5,695 | 5,564 |
Canadian Natural Resources Ltd. 4.95% 2047 | 125 | 129 |
Cenovus Energy Inc. 3.80% 2023 | 1,120 | 1,093 |
Cenovus Energy Inc. 4.25% 2027 | 18,130 | 17,488 |
Cenovus Energy Inc. 5.25% 2037 | 193 | 190 |
Cenovus Energy Inc. 5.40% 2047 | 17,404 | 17,087 |
Cheniere Energy, Inc. 7.00% 2024 | 14,175 | 15,504 |
Chevron Corp. 2.355% 2022 | 5,000 | 4,782 |
Chevron Corp. 2.498% 2022 | 605 | 594 |
Columbia Pipeline Partners LP 5.80% 2045 | 1,910 | 2,158 |
Concho Resources Inc. 4.30% 2028 | 8,860 | 8,866 |
Concho Resources Inc. 4.85% 2048 | 6,839 | 6,953 |
ConocoPhillips 4.95% 2026 | 4,774 | 5,152 |
DCP Midstream Operating LP 4.95% 2022 | 500 | 507 |
Devon Energy Corp. 5.00% 2045 | 3,000 | 3,061 |
Diamond Offshore Drilling, Inc. 4.875% 2043 | 3,375 | 2,447 |
Enbridge Energy Partners, LP 9.875% 2019 | 10,500 | 10,954 |
Enbridge Energy Partners, LP 4.375% 2020 | 7,700 | 7,840 |
Enbridge Energy Partners, LP 5.20% 2020 | 5,655 | 5,817 |
Enbridge Energy Partners, LP 4.20% 2021 | 6,525 | 6,607 |
Enbridge Energy Partners, LP 5.875% 2025 | 13,960 | 15,210 |
Enbridge Energy Partners, LP 7.375% 2045 | 25,425 | 32,434 |
Enbridge Inc. 4.00% 2023 | 1,600 | 1,606 |
Energy Transfer Partners, LP 4.15% 2020 | 1,000 | 1,013 |
Energy Transfer Partners, LP 4.20% 2023 | 3,360 | 3,358 |
Energy Transfer Partners, LP 4.75% 2026 | 475 | 471 |
Energy Transfer Partners, LP 4.20% 2027 | 112 | 106 |
Energy Transfer Partners, LP 4.95% 2028 | 5,146 | 5,138 |
Energy Transfer Partners, LP 6.125% 2045 | 12,405 | 12,439 |
Energy Transfer Partners, LP 5.30% 2047 | 22,036 | 20,216 |
Energy Transfer Partners, LP 5.40% 2047 | 6,690 | 6,155 |
Energy Transfer Partners, LP 6.00% 2048 | 4,696 | 4,697 |
Energy Transfer Partners, LP 6.625% 2049 (3-month USD-LIBOR + 4.155% on 2/15/2028)2 | 500 | 457 |
Energy Transfer Partners, LP 6.25% (undated) (3-month USD-LIBOR + 4.028% on 2/15/2023)2 | 8,150 | 7,564 |
EnLink Midstream Partners, LP 2.70% 2019 | 1,850 | 1,832 |
EnLink Midstream Partners, LP 4.40% 2024 | 365 | 351 |
EnLink Midstream Partners, LP 5.05% 2045 | 1,015 | 828 |
EnLink Midstream Partners, LP 5.45% 2047 | 475 | 400 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Energy (continued) | Principal amount (000) | Value (000) |
Ensco PLC, 5.20% 2025 | $340 | $283 |
Ensco PLC 5.75% 2044 | 80 | 57 |
EQT Corp. 2.50% 2020 | 5,910 | 5,777 |
EQT Corp. 3.00% 2022 | 2,200 | 2,121 |
EQT Corp. 3.90% 2027 | 455 | 425 |
Exxon Mobil Corp. 3.043% 2026 | 4,825 | 4,704 |
Exxon Mobil Corp. 4.114% 2046 | 498 | 508 |
Husky Energy Inc. 7.25% 2019 | 3,390 | 3,579 |
Kinder Morgan Energy Partners, LP 6.85% 2020 | 7,650 | 8,058 |
Kinder Morgan Energy Partners, LP 6.50% 2037 | 900 | 974 |
Kinder Morgan Energy Partners, LP 5.40% 2044 | 5,270 | 5,129 |
Kinder Morgan Energy Partners, LP 5.50% 2044 | 925 | 921 |
Kinder Morgan, Inc. 4.30% 2025 | 257 | 256 |
Kinder Morgan, Inc. 4.30% 2028 | 500 | 485 |
Kinder Morgan, Inc. 5.30% 2034 | 760 | 750 |
Kinder Morgan, Inc. 5.55% 2045 | 12,055 | 12,213 |
Kinder Morgan, Inc. 5.05% 2046 | 248 | 235 |
Kinder Morgan, Inc. 5.20% 2048 | 16,405 | 15,907 |
Marathon Oil Corp. 4.40% 2027 | 10,400 | 10,452 |
MPLX LP 4.125% 2027 | 105 | 100 |
MPLX LP 4.00% 2028 | 4,865 | 4,636 |
MPLX LP 5.20% 2047 | 110 | 109 |
MPLX LP 4.70% 2048 | 700 | 652 |
NGL Energy Partners LP 6.875% 2021 | 1,000 | 1,016 |
Noble Corp. PLC 7.95% 20252 | 1,995 | 1,865 |
Noble Corp. PLC 8.95% 20452 | 1,760 | 1,615 |
Odebrecht Drilling Norbe 6.72% 20221,5 | 91 | 82 |
Odebrecht Drilling Norbe 7.35% 2026 (86.39% PIK)1,5,6 | 33 | 17 |
Odebrecht Drilling Norbe 7.72% 2026 (87.05% PIK)1,5,6 | 292 | 78 |
Odebrecht Drilling Norbe 0% 20491,3,5 | 1,195 | 19 |
Petrobras Global Finance Co. 6.125% 2022 | 2,464 | 2,512 |
Petrobras Global Finance Co. 5.299% 20251 | 409 | 378 |
Petrobras Global Finance Co. 8.75% 2026 | 19,450 | 21,094 |
Petrobras Global Finance Co. 7.375% 2027 | 390 | 391 |
Petrobras Global Finance Co. 5.999% 20281 | 303 | 275 |
Petrobras Global Finance Co. 5.75% 2029 | 15,615 | 13,751 |
Petrobras Global Finance Co. 7.25% 2044 | 45 | 42 |
Petrobras Global Finance Co. 6.85% 2115 | 335 | 283 |
Petróleos Mexicanos 7.47% 2026 | MXN295,000 | 12,849 |
Petróleos Mexicanos 6.50% 2027 | $9,880 | 10,120 |
Petróleos Mexicanos 5.35% 20281 | 11,950 | 11,341 |
Petróleos Mexicanos 6.75% 2047 | 460 | 438 |
Petróleos Mexicanos 6.35% 20481 | 16,420 | 14,942 |
Phillips 66 3.90% 2028 | 7,325 | 7,160 |
Phillips 66 Partners LP 3.55% 2026 | 570 | 534 |
Phillips 66 Partners LP 3.75% 2028 | 160 | 150 |
Phillips 66 Partners LP 4.68% 2045 | 125 | 118 |
Phillips 66 Partners LP 4.90% 2046 | 210 | 202 |
Pioneer Natural Resources Co. 3.45% 2021 | 185 | 186 |
Plains All American Pipeline, LP 4.50% 2026 | 1,250 | 1,225 |
QGOG Atlantic/Alaskan Rigs Ltd. 5.25% 20191,5 | 329 | 319 |
Ras Laffan Liquefied Natural Gas II 5.298% 20205 | 300 | 307 |
Sabine Pass Liquefaction, LLC 5.625% 20212 | 1,100 | 1,151 |
Sabine Pass Liquefaction, LLC 6.25% 2022 | 2,800 | 3,014 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Energy (continued) | Principal amount (000) | Value (000) |
Sabine Pass Liquefaction, LLC 5.625% 20232 | $1,000 | $1,062 |
Sabine Pass Liquefaction, LLC 5.75% 2024 | 9,000 | 9,621 |
Sabine Pass Liquefaction, LLC 5.625% 2025 | 11,500 | 12,245 |
Sabine Pass Liquefaction, LLC 5.875% 2026 | 18,200 | 19,543 |
Schlumberger BV 3.00% 20201 | 600 | 597 |
Schlumberger BV 3.625% 20221 | 222 | 222 |
Schlumberger BV 4.00% 20251 | 9,586 | 9,566 |
Southwestern Energy Co. 4.10% 2022 | 3,625 | 3,480 |
Southwestern Energy Co. 6.45% 2025 (6.20% on 7/23/2018)2 | 6,305 | 6,195 |
Spectra Energy Partners, LP 2.95% 2018 | 1,615 | 1,615 |
Targa Resources Partners LP 5.125% 2025 | 175 | 173 |
Targa Resources Partners LP 5.375% 2027 | 175 | 170 |
TC PipeLines, LP 4.375% 2025 | 470 | 465 |
Total Capital Canada Ltd. 2.75% 2023 | 2,140 | 2,072 |
TransCanada PipeLines Ltd. 4.25% 2028 | 13,135 | 13,197 |
Transocean Inc. 5.80% 20222 | 2,195 | 2,183 |
Transocean Inc. 9.00% 20231 | 5,000 | 5,400 |
Ultra Petroleum Corp. 6.875% 20221 | 625 | 477 |
Western Gas Partners LP 2.60% 2018 | 280 | 280 |
Western Gas Partners LP 3.95% 2025 | 665 | 628 |
Western Gas Partners LP 4.65% 2026 | 1,430 | 1,407 |
Western Gas Partners LP 5.30% 2048 | 675 | 622 |
Williams Partners LP 5.25% 2020 | 3,000 | 3,094 |
Williams Partners LP 4.50% 2023 | 500 | 508 |
Williams Partners LP 4.30% 2024 | 595 | 598 |
Williams Partners LP 4.00% 2025 | 500 | 489 |
Williams Partners LP 4.90% 2045 | 250 | 240 |
Williams Partners LP 5.10% 2045 | 245 | 243 |
548,595 | ||
Consumer discretionary 3.61% | ||
Amazon.com, Inc. 3.15% 2027 | 12,500 | 12,024 |
Amazon.com, Inc. 4.05% 2047 | 455 | 447 |
Bayerische Motoren Werke AG 1.45% 20191 | 13,610 | 13,374 |
CCO Holdings LLC and CCO Holdings Capital Corp. 3.579% 2020 | 6,805 | 6,807 |
CCO Holdings LLC and CCO Holdings Capital Corp. 4.464% 2022 | 760 | 769 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.125% 20271 | 5,000 | 4,681 |
CCO Holdings LLC and CCO Holdings Capital Corp. 3.75% 2028 | 750 | 680 |
CCO Holdings LLC and CCO Holdings Capital Corp. 4.20% 2028 | 1,830 | 1,716 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.375% 2047 | 7,315 | 6,661 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.75% 2048 | 12,770 | 12,397 |
Comcast Corp. 3.00% 2024 | 1,000 | 957 |
Comcast Corp. 3.30% 2027 | 240 | 226 |
Comcast Corp. 3.15% 2028 | 8,170 | 7,560 |
Comcast Corp. 4.00% 2047 | 670 | 596 |
Comcast Corp. 4.00% 2048 | 12,344 | 10,893 |
Cumulus Media New Holdings Inc., Term Loan, (3-month USD-LIBOR + 4.50%) 6.50% 20223,4,5 | 1,219 | 1,213 |
DaimlerChrysler North America Holding Corp. (3-month USD-LIBOR + 0.86%) 3.218% 20181,3 | 7,500 | 7,506 |
DaimlerChrysler North America Holding Corp. 1.50% 20191 | 1,000 | 986 |
DaimlerChrysler North America Holding Corp. 3.00% 20211 | 500 | 494 |
DaimlerChrysler North America Holding Corp. 2.85% 20221 | 500 | 488 |
DaimlerChrysler North America Holding Corp. 3.35% 20231 | 2,000 | 1,966 |
DaimlerChrysler North America Holding Corp. 3.25% 20241 | 755 | 732 |
DaimlerChrysler North America Holding Corp. 3.30% 20251 | 5,500 | 5,316 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Consumer discretionary (continued) | Principal amount (000) | Value (000) |
Discovery Communications, Inc. 2.20% 2019 | $7,855 | $7,771 |
Discovery Communications, Inc. 2.95% 2023 | 4,185 | 4,005 |
Ford Motor Co. 5.291% 2046 | 1,810 | 1,685 |
Ford Motor Credit Co. 2.262% 2019 | 9,700 | 9,654 |
Ford Motor Credit Co. 2.681% 2020 | 17,750 | 17,589 |
Ford Motor Credit Co. 3.157% 2020 | 11,410 | 11,345 |
Ford Motor Credit Co. 3.336% 2021 | 300 | 298 |
Ford Motor Credit Co. 3.47% 2021 | 17,500 | 17,403 |
Ford Motor Credit Co. 3.219% 2022 | 7,315 | 7,158 |
Ford Motor Credit Co. 4.134% 2025 | 10,000 | 9,764 |
General Motors Co. 4.35% 2025 | 11,555 | 11,401 |
General Motors Co. 5.40% 2048 | 7,500 | 7,140 |
General Motors Financial Co. 2.40% 2019 | 17,990 | 17,910 |
General Motors Financial Co. 3.70% 2020 | 15,895 | 15,983 |
General Motors Financial Co. 3.15% 2022 | 12,500 | 12,160 |
General Motors Financial Co. 3.70% 2023 | 11,500 | 11,307 |
General Motors Financial Co. 3.50% 2024 | 10,575 | 10,080 |
General Motors Financial Co. 3.95% 2024 | 5,769 | 5,651 |
Home Depot, Inc. 4.40% 2021 | 7,500 | 7,772 |
Home Depot, Inc. 3.90% 2047 | 530 | 509 |
Hyundai Capital America 2.00% 20191 | 365 | 360 |
Hyundai Capital America 2.55% 20201 | 4,700 | 4,621 |
Hyundai Capital America 2.60% 20201 | 325 | 320 |
Hyundai Capital America 2.75% 20201 | 3,821 | 3,759 |
Hyundai Capital America 3.75% 20211 | 10,000 | 9,995 |
Hyundai Capital America 3.25% 20221 | 2,021 | 1,967 |
Hyundai Capital Services Inc. 1.625% 20191 | 1,600 | 1,569 |
Lowe’s Companies, Inc. 4.05% 2047 | 500 | 474 |
McDonald’s Corp. 3.35% 2023 | 110 | 110 |
McDonald’s Corp. 3.50% 2027 | 7,385 | 7,215 |
McDonald’s Corp. 4.875% 2045 | 7,365 | 7,762 |
McDonald’s Corp. 4.45% 2047 | 4,360 | 4,343 |
MGM Resorts International 7.75% 2022 | 2,000 | 2,185 |
NBC Universal Enterprise, Inc. 5.25% 20491 | 5,170 | 5,235 |
NBCUniversal Media, LLC 5.15% 2020 | 10,000 | 10,336 |
Newell Rubbermaid Inc. 3.85% 2023 | 2,380 | 2,346 |
Newell Rubbermaid Inc. 4.20% 2026 | 3,965 | 3,833 |
News America Inc. 4.00% 2023 | 1,100 | 1,115 |
NIKE, Inc. 3.875% 2045 | 7,145 | 6,895 |
Nissan Motor Co., Ltd. 2.60% 20221 | 1,415 | 1,359 |
S.A.C.I. Falabella 3.75% 20271 | 660 | 612 |
Sally Holdings LLC and Sally Capital Inc. 5.625% 2025 | 300 | 278 |
Starbucks Corp. 3.75% 2047 | 3,885 | 3,388 |
Thomson Reuters Corp. 4.30% 2023 | 240 | 245 |
Time Warner Inc. 3.80% 2027 | 4,535 | 4,296 |
Toyota Motor Credit Corp. 2.125% 2019 | 500 | 497 |
Toyota Motor Credit Corp. 2.70% 2023 | 1,000 | 974 |
Volkswagen Group of America Finance, LLC 2.45% 20191 | 520 | 514 |
Volkswagen Group of America Finance, LLC 2.40% 20201 | 3,055 | 3,006 |
Volkswagen International Finance NV 4.00% 20201 | 4,200 | 4,261 |
Walt Disney Co. 5.50% 2019 | 5,000 | 5,101 |
384,045 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Utilities 3.36% | Principal amount (000) | Value (000) |
Abu Dhabi National Energy Co. PJSC (TAQA) 4.375% 20251 | $11,500 | $11,402 |
Abu Dhabi National Energy Co. PJSC (TAQA) 4.875% 20301 | 5,070 | 5,067 |
Alliant Energy Finance LLC 3.75% 20231 | 750 | 750 |
Alliant Energy Finance LLC 4.25% 20281 | 500 | 501 |
American Electric Power Co., Inc. 2.95% 2022 | 831 | 810 |
American Electric Power Co., Inc. 3.20% 2027 | 1,425 | 1,334 |
Berkshire Hathaway Energy Co. 2.375% 20211 | 350 | 343 |
Berkshire Hathaway Energy Co. 4.50% 2045 | 6,095 | 6,255 |
Centerpoint Energy, Inc. 2.50% 2022 | 240 | 230 |
Cleveland Electric Illuminating Co. 8.875% 2018 | 7,475 | 7,633 |
CMS Energy Corp. 5.05% 2022 | 2,669 | 2,800 |
Consolidated Edison Co. of New York 4.50% 2058 | 2,760 | 2,748 |
Consolidated Edison Company of New York, Inc. 3.875% 2047 | 9,600 | 9,028 |
Consumers Energy Co. 3.25% 2046 | 3,765 | 3,299 |
Consumers Energy Co. 4.05% 2048 | 8,570 | 8,569 |
Dominion Resources, Inc. 1.875% 20181 | 5,450 | 5,430 |
Dominion Resources, Inc. 1.60% 2019 | 1,140 | 1,123 |
Dominion Resources, Inc. 2.962% 20192 | 500 | 499 |
Dominion Resources, Inc. 2.579% 20202 | 20,575 | 20,278 |
DTE Electric Co 4.05% 2048 | 355 | 355 |
Duke Energy Corp. 3.75% 2024 | 4,026 | 4,016 |
Duke Energy Corp. 2.65% 2026 | 5,852 | 5,278 |
Duke Energy Florida, LLC 3.80% 2028 | 1,025 | 1,032 |
Duke Energy Florida, LLC 3.40% 2046 | 6,745 | 5,936 |
Duke Energy Florida, LLC 4.20% 2048 | 500 | 505 |
EDP Finance BV 3.625% 20241 | 23,650 | 22,698 |
Electricité de France SA 2.15% 20191 | 145 | 145 |
Emera Inc. 6.75% 2076 (3-month USD-LIBOR + 5.44% on 6/15/2026)2 | 1,950 | 2,038 |
Emera US Finance LP 2.70% 2021 | 954 | 929 |
Emera US Finance LP 3.55% 2026 | 495 | 467 |
Emera US Finance LP 4.75% 2046 | 2,495 | 2,464 |
Enel Finance International SA 2.75% 20231 | 800 | 745 |
Enel Finance International SA 3.625% 20271 | 3,369 | 3,086 |
Enel Società per Azioni 8.75% 20731,2 | 1,000 | 1,116 |
Entergy Corp. 2.95% 2026 | 415 | 380 |
Eversource Energy 2.75% 2022 | 527 | 514 |
Exelon Corp. 3.40% 2026 | 1,570 | 1,493 |
FirstEnergy Corp. 2.85% 2022 | 4,281 | 4,151 |
FirstEnergy Corp. 3.90% 2027 | 18,314 | 17,793 |
FirstEnergy Corp. 3.50% 20281 | 3,825 | 3,633 |
FirstEnergy Corp. 4.10% 20281 | 1,230 | 1,232 |
FirstEnergy Corp. 7.375% 2031 | 5,150 | 6,687 |
FirstEnergy Corp. 4.85% 2047 | 12,205 | 12,518 |
Great Plains Energy Inc. 4.20% 2047 | 749 | 739 |
Great Plains Energy Inc. 4.20% 2048 | 2,375 | 2,342 |
Iberdrola Finance Ireland 5.00% 20191 | 1,825 | 1,863 |
IPALCO Enterprises, Inc. 3.70% 2024 | 200 | 194 |
MidAmerican Energy Holdings Co. 3.75% 2023 | 5,890 | 5,966 |
Mississippi Power Co. 3.95% 2028 | 2,000 | 1,984 |
Mississippi Power Co. 4.25% 2042 | 13,447 | 12,930 |
National Grid Plc 3.15% 20271 | 275 | 260 |
National Rural Utilities Cooperative Finance Corp. 10.375% 2018 | 13,750 | 14,103 |
Nevada Power Co., General and Refunding Mortgage Notes, Series V, 7.125% 2019 | 5,500 | 5,671 |
Niagara Mohawk Power Corp. 3.508% 20241 | 7,875 | 7,876 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Utilities (continued) | Principal amount (000) | Value (000) |
Niagara Mohawk Power Corp. 4.278% 20341 | $1,000 | $1,035 |
NiSource Finance Corp. 2.65% 2022 | 275 | 266 |
NV Energy, Inc 6.25% 2020 | 2,950 | 3,152 |
Pacific Gas and Electric Co. 2.45% 2022 | 7,875 | 7,309 |
Pacific Gas and Electric Co. 3.25% 2023 | 6,215 | 5,939 |
Pacific Gas and Electric Co. 3.40% 2024 | 850 | 795 |
Pacific Gas and Electric Co. 3.50% 2025 | 225 | 210 |
Pacific Gas and Electric Co. 2.95% 2026 | 1,574 | 1,406 |
Pacific Gas and Electric Co. 3.30% 2027 | 1,600 | 1,439 |
Pacific Gas and Electric Co. 5.80% 2037 | 55 | 58 |
Pacific Gas and Electric Co. 6.35% 2038 | 100 | 108 |
Pacific Gas and Electric Co. 5.40% 2040 | 204 | 208 |
Pacific Gas and Electric Co. 3.75% 2042 | 97 | 80 |
Pacific Gas and Electric Co. 4.75% 2044 | 336 | 320 |
Pacific Gas and Electric Co. 3.95% 2047 | 275 | 236 |
Pennsylvania Electric Co. 3.25% 20281 | 1,355 | 1,265 |
Progress Energy, Inc. 7.05% 2019 | 3,180 | 3,272 |
Progress Energy, Inc. 7.75% 2031 | 1,920 | 2,560 |
Public Service Co. of Colorado 5.80% 2018 | 7,860 | 7,880 |
Public Service Co. of Colorado 4.10% 2048 | 1,250 | 1,259 |
Public Service Enterprise Group Inc. 2.00% 2021 | 3,061 | 2,913 |
Public Service Enterprise Group Inc. 2.65% 2022 | 3,075 | 2,962 |
Puget Energy, Inc. 6.50% 2020 | 5,394 | 5,779 |
Puget Energy, Inc. 6.00% 2021 | 8,286 | 8,867 |
Puget Energy, Inc. 5.625% 2022 | 8,104 | 8,600 |
Puget Energy, Inc. 3.65% 2025 | 3,000 | 2,923 |
SCANA Corp. 6.25% 2020 | 1,300 | 1,339 |
SCANA Corp. 4.75% 2021 | 3,000 | 3,032 |
SCANA Corp. 4.125% 2022 | 2,435 | 2,398 |
South Carolina Electric & Gas Co. 5.30% 2033 | 515 | 549 |
South Carolina Electric & Gas Co. 5.45% 2041 | 1,874 | 2,033 |
South Carolina Electric & Gas Co. 4.35% 2042 | 75 | 71 |
South Carolina Electric & Gas Co. 4.10% 2046 | 225 | 205 |
Tampa Electric Co. 2.60% 2022 | 4,550 | 4,379 |
Teco Finance, Inc. 5.15% 2020 | 2,091 | 2,149 |
Virginia Electric and Power Co. 4.45% 2044 | 8,295 | 8,459 |
Xcel Energy Inc. 4.70% 2020 | 12,750 | 13,028 |
Xcel Energy Inc. 3.30% 2025 | 5,850 | 5,666 |
Xcel Energy Inc. 4.00% 2028 | 1,615 | 1,617 |
357,004 | ||
Consumer staples 3.10% | ||
Altria Group, Inc. 2.85% 2022 | 5,000 | 4,883 |
Altria Group, Inc. 4.50% 2043 | 3,000 | 2,882 |
Altria Group, Inc. 5.375% 2044 | 6,600 | 7,147 |
Altria Group, Inc. 3.875% 2046 | 1,587 | 1,397 |
Anheuser-Busch InBev NV 2.65% 2021 | 5,775 | 5,698 |
Anheuser-Busch InBev NV 3.50% 2024 | 1,070 | 1,066 |
Anheuser-Busch InBev NV 3.65% 2026 | 18,635 | 18,267 |
Anheuser-Busch InBev NV 4.90% 2046 | 1,000 | 1,032 |
Anheuser-Busch InBev NV 4.60% 2048 | 5,175 | 5,095 |
British American Tobacco International Finance PLC 2.75% 20201 | 5,550 | 5,492 |
British American Tobacco International Finance PLC 3.50% 20221 | 4,020 | 3,984 |
British American Tobacco International Finance PLC 3.95% 20251 | 5,550 | 5,430 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Consumer staples (continued) | Principal amount (000) | Value (000) |
British American Tobacco PLC 2.764% 20221 | $465 | $446 |
British American Tobacco PLC 3.222% 20241 | 2,000 | 1,896 |
British American Tobacco PLC 3.557% 20271 | 12,360 | 11,517 |
British American Tobacco PLC 4.39% 20371 | 2,000 | 1,881 |
British American Tobacco PLC 4.54% 20471 | 2,500 | 2,342 |
Church & Dwight Co., Inc. 3.15% 2027 | 750 | 697 |
Constellation Brands, Inc. 2.25% 2020 | 9,000 | 8,791 |
Constellation Brands, Inc. 2.65% 2022 | 2,285 | 2,193 |
Constellation Brands, Inc. 3.20% 2023 | 540 | 526 |
Constellation Brands, Inc. 3.60% 2028 | 1,280 | 1,212 |
Constellation Brands, Inc. 4.10% 2048 | 5,000 | 4,463 |
General Mills, Inc. (3-month USD-LIBOR + 0.54%) 2.893% 20213 | 11,020 | 11,041 |
General Mills, Inc. 3.20% 2021 | 2,270 | 2,260 |
Herbalife Ltd., Term Loan, (3-month USD-LIBOR + 5.50%) 7.594% 20233,4,5 | 8,435 | 8,526 |
Imperial Tobacco Finance PLC 3.50% 20231 | 2,835 | 2,773 |
JBS ESAL LLC 6.25% 2023 | 9,600 | 9,012 |
JBS SA 7.25% 2024 | 15,000 | 14,584 |
Kroger Co. 2.00% 2019 | 4,005 | 3,986 |
Kroger Co. 2.60% 2021 | 9,500 | 9,307 |
Maple Escrow 4.057% 20231 | 15,805 | 15,881 |
Maple Escrow 4.417% 20251 | 6,207 | 6,246 |
Maple Escrow 4.597% 20281 | 17,912 | 18,006 |
Maple Escrow 5.085% 20481 | 12,594 | 12,736 |
Molson Coors Brewing Co. 1.90% 2019 | 5,865 | 5,824 |
Molson Coors Brewing Co. 2.25% 2020 | 5,025 | 4,947 |
Molson Coors Brewing Co. 2.10% 2021 | 2,515 | 2,413 |
Molson Coors Brewing Co. 3.00% 2026 | 5,730 | 5,212 |
Molson Coors Brewing Co. 4.20% 2046 | 4,730 | 4,260 |
Mondelez International, Inc. 1.625% 20191 | 18,600 | 18,284 |
Philip Morris International Inc. 2.50% 2022 | 2,500 | 2,399 |
Philip Morris International Inc. 4.25% 2044 | 10,675 | 10,130 |
Reynolds American Inc. 3.25% 2020 | 4,960 | 4,952 |
Reynolds American Inc. 3.25% 2022 | 2,250 | 2,208 |
Reynolds American Inc. 4.00% 2022 | 4,330 | 4,361 |
Reynolds American Inc. 4.85% 2023 | 6,430 | 6,689 |
Reynolds American Inc. 4.45% 2025 | 15,670 | 15,771 |
Reynolds American Inc. 5.70% 2035 | 1,255 | 1,350 |
Reynolds American Inc. 5.85% 2045 | 9,000 | 9,870 |
Wal-Mart Stores, Inc. 2.35% 2022 | 1,000 | 966 |
Wal-Mart Stores, Inc. 4.05% 2048 | 3,695 | 3,707 |
WM. Wrigley Jr. Co 3.375% 20201 | 13,405 | 13,446 |
329,484 | ||
Information technology 1.19% | ||
Analog Devices, Inc. 2.50% 2021 | 6,535 | 6,336 |
Analog Devices, Inc. 3.125% 2023 | 1,315 | 1,278 |
Analog Devices, Inc. 3.50% 2026 | 6,455 | 6,165 |
Apple Inc. 1.55% 2021 | 12,130 | 11,631 |
Apple Inc. 2.90% 2027 | 13,500 | 12,707 |
Apple Inc. 3.00% 2027 | 750 | 713 |
Apple Inc. 3.20% 2027 | 510 | 493 |
Apple Inc. 3.35% 2027 | 502 | 491 |
Apple Inc. 3.00% 2024 | 170 | 167 |
Broadcom Ltd. 3.00% 2022 | 25,000 | 24,330 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Information technology (continued) | Principal amount (000) | Value (000) |
Broadcom Ltd. 3.625% 2024 | $2,950 | $2,858 |
Broadcom Ltd. 3.875% 2027 | 12,360 | 11,707 |
Broadcom Ltd. 3.50% 2028 | 7,000 | 6,385 |
Infor (US), Inc. 5.75% 20201 | 225 | 228 |
Microsoft Corp. 4.25% 2047 | 10,250 | 10,891 |
NXP BV and NXP Funding LLC 4.125% 20211 | 2,000 | 2,000 |
Oracle Corp. 4.125% 2045 | 2,525 | 2,439 |
Oracle Corp. 4.00% 2046 | 250 | 236 |
salesforce.com, inc. 3.70% 2028 | 1,500 | 1,490 |
Tencent Holdings Ltd. 2.985% 20231 | 10,350 | 10,066 |
Tencent Holdings Ltd. 3.595% 20281 | 7,500 | 7,101 |
VMware, Inc. 2.95% 2022 | 4,500 | 4,321 |
Xerox Corp. 3.50% 2020 | 2,000 | 1,993 |
126,026 | ||
Telecommunication services 1.13% | ||
AT&T Inc. 3.40% 2025 | 24,515 | 23,090 |
AT&T Inc. 4.125% 2026 | 11,800 | 11,553 |
Deutsche Telekom International Finance BV 1.95% 20211 | 16,364 | 15,611 |
Deutsche Telekom International Finance BV 2.485% 20231 | 300 | 280 |
Deutsche Telekom International Finance BV 3.60% 20271 | 795 | 751 |
Deutsche Telekom International Finance BV 4.375% 20281 | 825 | 820 |
France Télécom 9.00% 20312 | 1,580 | 2,172 |
Frontier Communications Corp. 11.00% 2025 | 300 | 241 |
Orange SA 2.75% 2019 | 3,570 | 3,568 |
SoftBank Group Corp. 3.36% 20231,5 | 10,156 | 10,067 |
Verizon Communications Inc. 4.125% 2027 | 4,676 | 4,618 |
Verizon Communications Inc. 4.50% 2033 | 14,325 | 13,916 |
Verizon Communications Inc. 4.40% 2034 | 5,280 | 4,935 |
Verizon Communications Inc. 4.125% 2046 | 313 | 268 |
Verizon Communications Inc. 4.862% 2046 | 1,659 | 1,590 |
Vodafone Group PLC 3.75% 2024 | 1,500 | 1,488 |
Vodafone Group PLC 4.375% 2028 | 23,050 | 22,796 |
Vodafone Group PLC 5.25% 2048 | 2,800 | 2,804 |
120,568 | ||
Industrials 0.90% | ||
3M Co. 2.25% 2023 | 646 | 620 |
Airbus Group SE 2.70% 20231 | 2,220 | 2,146 |
ARAMARK Corp. 5.125% 2024 | 1,200 | 1,203 |
BNSF Funding Trust I 6.613% 2055 (3-month USD-LIBOR + 2.35% on 1/15/2026)2 | 1,680 | 1,852 |
CEVA Group PLC, Apollo Global Securities LLC LOC, (3-month USD-LIBOR + 5.50%) 4.292% 20213,4,5 | 714 | 713 |
CEVA Group PLC, Term Loan B, (3-month USD-LIBOR + 5.50%) 7.859% 20213,4,5 | 1,189 | 1,188 |
CEVA Logistics Canada, ULC, Term Loan, (3-month USD-LIBOR + 5.50%) 7.859% 20213,4,5 | 149 | 148 |
CEVA Logistics Holdings BV, Term Loan, (3-month USD-LIBOR + 5.50%) 7.859% 20213,4,5 | 291 | 291 |
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20205 | 170 | 174 |
Continental Airlines, Inc., Series 1999-2, Class B, 7.566% 20215 | — | — |
Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703% 20225 | 62 | 67 |
Continental Airlines, Inc., Series 2000-2, Class A1, 7.707% 20225 | 692 | 741 |
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 20225 | 360 | 377 |
Corporate Risk Holdings LLC 9.50% 20191 | 1,804 | 1,887 |
Corporate Risk Holdings LLC 13.50% 2020 (100% PIK)1,6,7,8 | 388 | 415 |
CSX Corp. 3.80% 2028 | 2,040 | 1,991 |
CSX Corp. 4.30% 2048 | 1,500 | 1,434 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Industrials (continued) | Principal amount (000) | Value (000) |
Deck Chassis Acquisition Inc. 10.00% 20231 | $3,000 | $3,195 |
Equifax Inc. 3.95% 20231 | 945 | 941 |
General Dynamics Corp. 3.375% 2023 | 425 | 426 |
General Dynamics Corp. 3.75% 2028 | 1,260 | 1,273 |
General Electric Capital Corp. 2.342% 2020 | 4,788 | 4,679 |
General Electric Capital Corp. 3.10% 2023 | 1,850 | 1,809 |
General Electric Capital Corp. 3.373% 2025 | 4,815 | 4,630 |
General Electric Co. 2.70% 2022 | 5,000 | 4,840 |
Harris Corp. 2.70% 2020 | 1,400 | 1,388 |
Harris Corp. 3.832% 2025 | 945 | 928 |
Lockheed Martin Corp. 2.50% 2020 | 3,155 | 3,114 |
Lockheed Martin Corp. 3.10% 2023 | 1,155 | 1,141 |
Lockheed Martin Corp. 3.55% 2026 | 2,545 | 2,508 |
Lockheed Martin Corp. 4.50% 2036 | 2,155 | 2,242 |
Lockheed Martin Corp. 4.70% 2046 | 5,369 | 5,705 |
Northrop Grumman Corp. 3.25% 2028 | 13,770 | 12,982 |
Republic Services, Inc. 5.00% 2020 | 5,000 | 5,152 |
Republic Services, Inc. 3.375% 2027 | 1,215 | 1,153 |
Rockwell Collins, Inc. 2.80% 2022 | 245 | 239 |
Roper Technologies, Inc. 2.80% 2021 | 175 | 171 |
Union Pacific Corp. 3.95% 2028 | 1,475 | 1,484 |
Union Pacific Corp. 4.50% 2048 | 975 | 988 |
United Rentals, Inc. 5.50% 2027 | 5,000 | 4,863 |
United Technologies Corp. 3.125% 2027 | 15,400 | 14,329 |
95,427 | ||
Real estate 0.72% | ||
Alexandria Real Estate Equities, Inc. 2.75% 2020 | 2,075 | 2,059 |
Alexandria Real Estate Equities, Inc. 3.90% 2023 | 3,690 | 3,704 |
Alexandria Real Estate Equities, Inc. 3.95% 2028 | 1,585 | 1,525 |
Alexandria Real Estate Equities, Inc. 4.50% 2029 | 150 | 150 |
American Campus Communities, Inc. 3.35% 2020 | 2,910 | 2,904 |
American Campus Communities, Inc. 3.75% 2023 | 3,000 | 2,986 |
American Campus Communities, Inc. 3.625% 2027 | 305 | 286 |
American Tower Corp. 3.40% 2019 | 7,525 | 7,547 |
Corporate Office Properties LP 5.25% 2024 | 10 | 10 |
Corporate Office Properties LP 5.00% 2025 | 130 | 133 |
DCT Industrial Trust Inc. 4.50% 2023 | 2,340 | 2,426 |
EPR Properties 4.50% 2025 | 385 | 381 |
EPR Properties 4.75% 2026 | 760 | 744 |
Equinix, Inc. 5.375% 2027 | 1,750 | 1,750 |
Essex Portfolio LP 3.25% 2023 | 335 | 326 |
Essex Portfolio LP 3.875% 2024 | 1,000 | 994 |
Hospitality Properties Trust 4.25% 2021 | 4,750 | 4,784 |
Hospitality Properties Trust 5.00% 2022 | 1,370 | 1,409 |
Hospitality Properties Trust 4.50% 2025 | 855 | 838 |
Hospitality Properties Trust 3.95% 2028 | 1,810 | 1,656 |
Howard Hughes Corp. 5.375% 20251 | 5,700 | 5,607 |
Kimco Realty Corp. 6.875% 2019 | 3,500 | 3,654 |
Kimco Realty Corp. 3.40% 2022 | 1,045 | 1,030 |
Omega Healthcare Investors, Inc. 4.375% 2023 | 900 | 894 |
Piedmont Operating Partnership LP 4.45% 2024 | 1,000 | 1,007 |
Public Storage 3.094% 2027 | 165 | 155 |
Scentre Group 2.375% 20191 | 2,465 | 2,434 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Real estate (continued) | Principal amount (000) | Value (000) |
Scentre Group 2.375% 20211 | $175 | $169 |
Scentre Group 3.50% 20251 | 4,765 | 4,598 |
WEA Finance LLC 2.70% 20191 | 5,675 | 5,652 |
WEA Finance LLC 3.25% 20201 | 14,375 | 14,350 |
76,162 | ||
Materials 0.16% | ||
BHP Billiton Finance Ltd. 6.25% 2075 (USD Semi Annual 30/360 (vs. 3M LIBOR) 5Y + 4.971% on 10/19/2020)1,2 | 5,265 | 5,519 |
Holcim Ltd. 5.15% 20231 | 1,760 | 1,848 |
Mosaic Co. 4.05% 2027 | 470 | 450 |
Sherwin-Williams Co. 2.75% 2022 | 250 | 242 |
Sherwin-Williams Co. 3.125% 2024 | 145 | 139 |
Sherwin-Williams Co. 3.45% 2027 | 2,485 | 2,350 |
Sherwin-Williams Co. 4.50% 2047 | 235 | 225 |
Vale SA 4.375% 2022 | 828 | 840 |
Vale SA 6.25% 2026 | 4,538 | 4,926 |
16,539 | ||
Total corporate bonds & notes | 3,786,823 | |
U.S. Treasury bonds & notes 25.14% U.S. Treasury 21.10% | ||
U.S. Treasury 2.50% 2020 | 3,352 | 3,350 |
U.S. Treasury 8.75% 2020 | 40,000 | 45,086 |
U.S. Treasury 2.625% 2021 | 3,223 | 3,223 |
U.S. Treasury 2.625% 2021 | 2,433 | 2,433 |
U.S. Treasury 2.25% 2023 | 115,000 | 111,918 |
U.S. Treasury 2.375% 2023 | 50,000 | 49,240 |
U.S. Treasury 2.625% 2023 | 125,000 | 124,461 |
U.S. Treasury 2.625% 2023 | 17,244 | 17,154 |
U.S. Treasury 2.75% 2023 | 75,000 | 75,066 |
U.S. Treasury 2.75% 2023 | 60,000 | 60,035 |
U.S. Treasury 2.125% 20249 | 260,000 | 251,069 |
U.S. Treasury 2.125% 20249 | 75,000 | 72,167 |
U.S. Treasury 2.125% 2024 | 75,000 | 72,072 |
U.S. Treasury 2.25% 2024 | 80,000 | 77,812 |
U.S. Treasury 2.75% 2025 | 150,000 | 149,406 |
U.S. Treasury 2.75% 2025 | 380 | 378 |
U.S. Treasury 2.875% 20259 | 211,118 | 211,855 |
U.S. Treasury 2.25% 2027 | 125,000 | 118,715 |
U.S. Treasury 2.25% 2027 | 100,000 | 95,095 |
U.S. Treasury 2.25% 2027 | 76,075 | 72,548 |
U.S. Treasury 2.375% 2027 | 100,000 | 96,217 |
U.S. Treasury 6.125% 2027 | 25,000 | 31,687 |
U.S. Treasury 2.875% 2028 | 137,043 | 137,214 |
U.S. Treasury 2.875% 2045 | 413 | 404 |
U.S. Treasury 3.00% 2045 | 30,000 | 30,044 |
U.S. Treasury 2.75% 20479 | 50,000 | 47,612 |
U.S. Treasury 3.00% 20489 | 255,970 | 256,259 |
U.S. Treasury 3.125% 2048 | 28,550 | 29,287 |
2,241,807 |
Bonds, notes & other debt instruments U.S. Treasury bonds & notes (continued) U.S. Treasury inflation-protected securities 4.04% | Principal amount (000) | Value (000) |
U.S. Treasury Inflation-Protected Security 0.375% 202510 | $53,902 | $52,965 |
U.S. Treasury Inflation-Protected Security 0.375% 202710 | 153,615 | 149,471 |
U.S. Treasury Inflation-Protected Security 0.50% 202810 | 149,474 | 124,214 |
U.S. Treasury Inflation-Protected Security 0.875% 204710 | 74,253 | 74,202 |
U.S. Treasury Inflation-Protected Security 1.00% 204810 | 34,489 | 28,664 |
429,516 | ||
Total U.S. Treasury bonds & notes | 2,671,323 | |
Mortgage-backed obligations 23.53% Federal agency mortgage-backed obligations 23.35% | ||
Fannie Mae 5.50% 20235 | 549 | 564 |
Fannie Mae 4.50% 20255 | 354 | 365 |
Fannie Mae 3.50% 20335,11 | 51,893 | 52,455 |
Fannie Mae 3.50% 20335,11 | 32,407 | 32,792 |
Fannie Mae 4.00% 20365 | 586 | 605 |
Fannie Mae 6.00% 20375 | 1,140 | 1,254 |
Fannie Mae 6.00% 20375 | 79 | 84 |
Fannie Mae 5.50% 20385 | 2,565 | 2,774 |
Fannie Mae 5.50% 20385 | 390 | 422 |
Fannie Mae 4.00% 20405 | 1,394 | 1,432 |
Fannie Mae 5.00% 20405 | 512 | 550 |
Fannie Mae 5.00% 20415 | 3,511 | 3,769 |
Fannie Mae 5.00% 20415 | 3,243 | 3,480 |
Fannie Mae 5.00% 20415 | 2,179 | 2,350 |
Fannie Mae 5.00% 20415 | 1,424 | 1,536 |
Fannie Mae 5.00% 20415 | 1,162 | 1,255 |
Fannie Mae 5.00% 20415 | 865 | 934 |
Fannie Mae 4.00% 20435 | 14,180 | 14,568 |
Fannie Mae 4.00% 20435 | 1,711 | 1,755 |
Fannie Mae 3.00% 20465 | 72,156 | 70,008 |
Fannie Mae 3.50% 20465 | 2,479 | 2,479 |
Fannie Mae 4.00% 20465 | 14,609 | 14,972 |
Fannie Mae 4.00% 20465 | 3,783 | 3,872 |
Fannie Mae 3.50% 20475 | 77,731 | 77,509 |
Fannie Mae 3.50% 20475 | 21,180 | 21,119 |
Fannie Mae 3.50% 20475 | 15,951 | 15,907 |
Fannie Mae 3.50% 20475 | 11,001 | 10,973 |
Fannie Mae 4.00% 20475 | 83,559 | 85,338 |
Fannie Mae 4.00% 20475 | 20,189 | 20,637 |
Fannie Mae 4.00% 20475 | 9,432 | 9,633 |
Fannie Mae 3.50% 20485,11 | 204,040 | 203,034 |
Fannie Mae 3.50% 20485 | 3,624 | 3,614 |
Fannie Mae 4.00% 20485,11 | 316,485 | 322,197 |
Fannie Mae 4.00% 20485,11 | 134,434 | 137,055 |
Fannie Mae 4.00% 20485,11 | 88,904 | 90,428 |
Fannie Mae 4.50% 20485,11 | 220,469 | 229,172 |
Fannie Mae 4.50% 20485,11 | 199,176 | 206,726 |
Fannie Mae 4.50% 20485,11 | 7,355 | 7,659 |
Fannie Mae Pool #924866 3.265% 20373,5 | 868 | 896 |
Fannie Mae, Series 2001-4, Class GA, 9.224% 20253,5 | 3 | 3 |
Fannie Mae, Series 2001-T10, Class A1, 7.00% 20415 | 29 | 32 |
Fannie Mae, Series 2001-50, Class BA, 7.00% 20415 | 17 | 19 |
Fannie Mae, Series 2002-W3, Class A5, 7.50% 20415 | 34 | 39 |
Bonds, notes & other debt instruments Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) |
Fannie Mae, Series 2002-W1, Class 2A, 5.839% 20423,5 | $41 | $44 |
Freddie Mac 5.50% 20335 | 142 | 153 |
Freddie Mac 4.00% 20365 | 801 | 826 |
Freddie Mac 5.50% 20385 | 145 | 157 |
Freddie Mac 5.50% 20385 | 113 | 123 |
Freddie Mac 5.50% 20395 | 214 | 231 |
Freddie Mac 4.50% 20405 | 493 | 518 |
Freddie Mac 5.50% 20405 | 786 | 848 |
Freddie Mac 4.50% 20415 | 556 | 585 |
Freddie Mac 5.50% 20415 | 1,144 | 1,236 |
Freddie Mac 3.50% 20455 | 37,386 | 37,513 |
Freddie Mac 3.50% 20475 | 73,151 | 72,823 |
Freddie Mac 3.50% 20475 | 8,615 | 8,576 |
Freddie Mac 4.00% 20475 | 3,879 | 3,962 |
Freddie Mac 3.00% 20485,11 | 41,200 | 39,860 |
Freddie Mac 3.50% 20485,11 | 33,110 | 32,928 |
Freddie Mac 4.00% 20485,11 | 73,022 | 74,303 |
Freddie Mac 4.00% 20485,11 | 37,117 | 37,822 |
Freddie Mac 4.50% 20485,11 | 8,328 | 8,652 |
Freddie Mac 4.50% 20485,11 | 2,172 | 2,260 |
Freddie Mac, Series 3061, Class PN, 5.50% 20355 | 142 | 154 |
Freddie Mac, Series 3318, Class JT, 5.50% 20375 | 355 | 372 |
Freddie Mac, Series K716, Class A2, Multi Family, 3.13% 20215 | 6,875 | 6,898 |
Freddie Mac, Series K020, Class A2, Multi Family, 2.373% 20225 | 4,500 | 4,397 |
Freddie Mac, Series K718, Class A2, Multi Family, 2.791% 20225 | 9,640 | 9,568 |
Freddie Mac, Series 3146, Class PO, principal only, 0% 20365 | 316 | 265 |
Freddie Mac, Series 3156, Class PO, principal only, 0% 20365 | 290 | 246 |
Government National Mortgage Assn. 4.50% 20405 | 1,111 | 1,168 |
Government National Mortgage Assn. 4.00% 20485,11 | 196,439 | 201,300 |
Government National Mortgage Assn. 4.00% 20485,11 | 151,761 | 155,292 |
Government National Mortgage Assn. 4.50% 20485,11 | 92,096 | 95,739 |
Government National Mortgage Assn. 4.50% 20485,11 | 25,354 | 26,313 |
2,481,397 | ||
Collateralized mortgage-backed (privately originated) 0.15% | ||
Nationstar HECM Loan Trust, Series 2017-2A, Class M1, 2.8154% 20271,5,7 | 1,115 | 1,102 |
Nationstar HECM Loan Trust, Series 2017-1A, Class M1, 2.9419% 20271,5,7 | 1,055 | 1,047 |
Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75% 20561,3,5 | 13,709 | 13,475 |
15,624 | ||
Commercial mortgage-backed securities 0.03% | ||
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class AM, 6.337% 20493,5 | 1,486 | 1,485 |
L.A. Arena Funding, LLC, Series 1, Class A, 7.656% 20261,5 | 551 | 564 |
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AM, 6.114% 20403,5 | 811 | 811 |
2,860 | ||
Total mortgage-backed obligations | 2,499,881 | |
Bonds & notes of governments & government agencies outside the U.S. 7.15% | ||
Dominican Republic 5.95% 20271 | 8,100 | 8,029 |
Italy (Republic of) 0.95% 2023 | €45,000 | 50,753 |
Italy (Republic of) 2.00% 2028 | 24,000 | 26,483 |
Japan, Series 19, 0.10% 202410 | ¥5,377,070 | 50,874 |
Japan, Series 20, 0.10% 202510 | 11,340,000 | 107,393 |
Bonds, notes & other debt instruments Bonds & notes of governments & government agencies outside the U.S. (continued) | Principal amount (000) | Value (000) |
Malaysia (Federation of), Series 0315, 3.659% 2020 | MYR49,000 | $12,152 |
Malaysia (Federation of), Series 0416, 3.62% 2021 | 42,750 | 10,579 |
Manitoba (Province of) 3.05% 2024 | $5,050 | 4,997 |
Ontario (Province of) 3.20% 2024 | 9,000 | 8,975 |
Panama (Republic of) 4.50% 20505 | 460 | 443 |
Peru (Republic of) 4.125% 2027 | 9,540 | 9,779 |
Portuguese Republic 5.125% 2024 | 100,550 | 104,384 |
Portuguese Republic 5.65% 2024 | €20,000 | 29,599 |
Portuguese Republic 4.10% 2045 | 375 | 540 |
Qatar (State of) 3.875% 20231 | $5,475 | 5,481 |
Qatar (State of) 4.50% 20281 | 12,440 | 12,578 |
Qatar (State of) 5.103% 20481 | 8,600 | 8,593 |
Saudi Arabia (Kingdom of) 2.875% 20231 | 5,280 | 5,087 |
Saudi Arabia (Kingdom of) 4.00% 20251 | 4,985 | 4,968 |
Saudi Arabia (Kingdom of) 3.628% 20271 | 5,000 | 4,834 |
Saudi Arabia (Kingdom of) 3.625% 20281 | 11,435 | 10,898 |
Saudi Arabia (Kingdom of) 4.50% 20301 | 9,985 | 9,993 |
Saudi Arabia (Kingdom of) 4.625% 20471 | 225 | 210 |
Saudi Arabia (Kingdom of) 5.00% 20491 | 315 | 307 |
Spain (Kingdom of) 2.70% 2048 | €38,250 | 46,486 |
Turkey (Republic of) 5.625% 2021 | $20,800 | 20,722 |
United Mexican States 3.60% 2025 | 12,000 | 11,616 |
United Mexican States 4.15% 2027 | 12,175 | 12,017 |
United Mexican States 4.35% 2047 | 5,000 | 4,480 |
United Mexican States, Series M, 6.50% 2021 | MXN3,132,700 | 152,863 |
United Mexican States, Series M, 5.75% 2026 | 527,500 | 23,743 |
759,856 | ||
Asset-backed obligations 2.61% | ||
AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.87% 20215 | $175 | 175 |
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class C, 2.71% 20225 | 5,970 | 5,905 |
AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C, 2.89% 20225 | 2,485 | 2,484 |
BlueMountain CLO Ltd., Series 2014-2A, Class AR, (3-month USD LIBOR + 0.93%) 3.289% 20261,3,5 | 8,280 | 8,289 |
Capital One Multi-Asset Execution Trust, Series 2015-A5, Class A5, 1.60% 20215 | 11,585 | 11,581 |
CenterPoint Energy Transition Bond Co. III, LLC, Series 2008, Class A2, 5.234% 20235 | 884 | 903 |
Chase Issuance Trust, Series 2013-A7, Class A, (1-month USD-LIBOR + 0.43%) 2.503% 20203,5 | 9,565 | 9,573 |
CPS Auto Receivables Trust, Series 2016-A, Class B, 3.34% 20201,5 | 4,834 | 4,843 |
CPS Auto Receivables Trust, Series 2017-B, Class C, 2.92% 20221,5 | 5,700 | 5,664 |
Drive Auto Receivables Trust, Series 2017-BA, Class C, 2.61% 20211,5 | 19,400 | 19,408 |
Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.76% 20211,5 | 577 | 578 |
Drive Auto Receivables Trust, Series 2015-CA, Class C, 3.01% 20211,5 | 556 | 556 |
Drive Auto Receivables Trust, Series 2016-CA, Class C, 3.02% 20211,5 | 2,500 | 2,502 |
Drive Auto Receivables Trust, Series 2015-DA, Class C, 3.38% 20211,5 | 1,410 | 1,413 |
Drive Auto Receivables Trust, Series 2016-AA, Class C, 3.91% 20211,5 | 6,176 | 6,203 |
Drive Auto Receivables Trust, Series 2017-1, Class C, 2.84% 20225 | 12,000 | 11,985 |
Drive Auto Receivables Trust, Series 2017-AA, Class C, 2.98% 20221,5 | 9,760 | 9,763 |
Drive Auto Receivables Trust, Series 2017-2, Class C, 2.75% 20235 | 3,500 | 3,493 |
Drivetime Auto Owner Trust, Series 2017-1A, Class B, 2.26% 20211,5 | 3,377 | 3,375 |
Drivetime Auto Owner Trust, Series 2017-1A, Class C, 2.70% 20221,5 | 6,625 | 6,603 |
Drivetime Auto Owner Trust, Series 2016-3A, Class C, 3.15% 20221,5 | 2,203 | 2,206 |
Drivetime Auto Owner Trust, Series 2017-4A, Class C, 2.86% 20231,5 | 4,440 | 4,415 |
Drivetime Auto Owner Trust, Series 2017-3A, Class C, 3.01% 20231,5 | 6,000 | 5,979 |
Enterprise Fleet Financing LLC, Series 2017-1, Class A2, 2.13% 20221,5 | 9,100 | 9,048 |
Exeter Automobile Receivables Trust, Series 2015-1A, Class C, 4.10% 20201,5 | 6,912 | 6,955 |
Exeter Automobile Receivables Trust, Series 2015-2A, Class C, 3.90% 20211,5 | 3,000 | 3,024 |
Bonds, notes & other debt instruments Asset-backed obligations (continued) | Principal amount (000) | Value (000) |
Exeter Automobile Receivables Trust, Series 2015-3A, Class C, 4.83% 20211,5 | $1,000 | $1,016 |
Exeter Automobile Receivables Trust, Series 2014-1A, Class D, 5.53% 20211,5 | 2,847 | 2,865 |
Exeter Automobile Receivables Trust, Series 2017-3A, Class B, 2.81% 20221,5 | 8,100 | 8,012 |
Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.19% 20311,5 | 32,610 | 32,131 |
Ford Credit Floorplan Master Owner Trust, Series 2016-3, Class B, 1.75% 20215 | 1,620 | 1,601 |
GM Financial Consumer Automobile Receivables Trust, Series 2018-1, Class B, 2.57% 20235 | 520 | 511 |
GM Financial Consumer Automobile Receivables Trust, Series 2018-1, Class C, 2.77% 20235 | 360 | 353 |
GMF Floorplan Owner Revolving Trust, Series 2017-1, Class A1, 2.22% 20221,5 | 7,365 | 7,286 |
Hertz Vehicle Financing LLC, Rental Car Asset-Backed Notes, Series 2013-1A, Class A2, 1.83% 20191,5 | 3,667 | 3,663 |
Home Equity Mortgage Trust, Series 2006-6, Class 2A1, (1-month USD-LIBOR + 0.10%) 2.291% 20373,5 | 1,358 | 103 |
Santander Drive Auto Receivables Trust, Series 2016-1, Class B, 2.47% 20205 | 1,874 | 1,874 |
Santander Drive Auto Receivables Trust, Series 2016-3, Class C, 2.46% 20225 | 1,200 | 1,193 |
Santander Drive Auto Receivables Trust, Series 2017-1, Class C, 2.58% 20225 | 13,605 | 13,514 |
Santander Drive Auto Receivables Trust, Series 2017-3, Class C, 2.76% 20225 | 3,955 | 3,922 |
Santander Drive Auto Receivables Trust, Series 2016-1, Class C, 3.09% 20225 | 10,775 | 10,789 |
Social Professional Loan Program LLC, Series 2015-C, Class A2, 2.51% 20331,5 | 2,101 | 2,065 |
Verizon Owner Trust, Series 2016-1A, Class A, 1.42% 20211,5 | 490 | 487 |
Verizon Owner Trust, Series 2017-1A, Class A, 2.06% 20211,5 | 18,255 | 18,053 |
Verizon Owner Trust, Series 2017-1A, Class B, 2.45% 20211,5 | 2,000 | 1,970 |
Verizon Owner Trust, Series 2017-1A, Class C, 2.65% 20211,5 | 2,500 | 2,469 |
Verizon Owner Trust, Series 2017-3A, Class A1A, 2.06% 20221,5 | 5,235 | 5,152 |
Verizon Owner Trust, Series 2017-3A, Class B, 2.38% 20221,5 | 2,950 | 2,899 |
Voya CLO Ltd., Series 2014-3A, Class A1R, (3-month USD-LIBOR + 0.72%) 3.080% 20261,3,5 | 5,560 | 5,543 |
Westlake Automobile Receivables Trust, Series 2017-1A, Class C, 2.70% 20221,5 | 3,000 | 2,988 |
Wheels SPV 2 LLC, Series 2016-1A, Class A2, 1.59% 20251,5 | 165 | 164 |
277,546 | ||
Municipals 2.00% Illinois 1.72% | ||
City of Chicago, Board of Education, Unlimited Tax G.O. Bonds (Dedicated Rev.), Series 2009-E, 6.138% 2039 | 28,100 | 27,089 |
City of Chicago, Board of Education, Unlimited Tax G.O. Bonds (Dedicated Rev.), Series 2010-D, 6.519% 2040 | 5,000 | 4,809 |
City of Chicago, Board of Education, Unlimited Tax G.O. Bonds (Dedicated Rev.), Series 2010-C, 6.319% 2029 | 4,650 | 4,604 |
G.O. Bonds, Pension Funding Series 2003, 4.95% 2023 | 26,190 | 26,663 |
G.O. Bonds, Pension Funding Series 2003, 5.10% 20335 | 93,085 | 88,239 |
G.O. Bonds, Pension Funding Series 2013, 5.877% 2019 | 400 | 407 |
G.O. Bonds, Series 2013-B, 3.65% 2020 | 1,000 | 997 |
G.O. Bonds, Series 2013-B, 4.11% 2022 | 750 | 736 |
G.O. Bonds, Series 2013-B, 4.31% 2023 | 2,125 | 2,063 |
G.O. Bonds, Series 2013-B, 4.91% 2027 | 1,450 | 1,360 |
G.O. Bonds, Taxable Build America Bonds, Series 2010-1, 6.63% 2035 | 4,360 | 4,627 |
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 5.65% 2020 | 250 | 257 |
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 5.85% 2022 | 2,370 | 2,467 |
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 5.95% 2023 | 3,210 | 3,338 |
G.O. Bonds, Taxable Build America Bonds, Series 2010-2, 6.15% 2025 | 3,955 | 4,104 |
G.O. Bonds, Taxable Build America Bonds, Series 2010-3, 5.547% 2019 | 335 | 340 |
G.O. Bonds, Taxable Build America Bonds, Series 2010-3, 5.727% 2020 | 2,400 | 2,476 |
G.O. Bonds, Taxable Build America Bonds, Series 2010-5, 6.20% 20215 | 7,784 | 8,043 |
182,619 | ||
Florida 0.15% | ||
Hurricane Catastrophe Fund Fin. Corp., Rev. Bonds, Series 2013-A, 2.995% 2020 | 15,000 | 15,048 |
JEA, Electric System Rev. Bonds, Series 2017-B, 5.00% 2031 | 500 | 585 |
15,633 |
Bonds, notes & other debt instruments Municipals (continued) California 0.06% | Principal amount (000) | Value (000) |
High-Speed Passenger Train G.O. Rev. Ref. Bonds, Series 2017-A, 2.367% 2022 | $3,875 | $3,777 |
Various Purpose G.O. Bonds, 7.50% 2034 | 2,200 | 3,096 |
6,873 | ||
South Carolina 0.05% | ||
Public Service Auth., Rev. Obligations (Santee Cooper), Series 2014-A, 5.50% 2054 | 875 | 952 |
Public Service Auth., Rev. Obligations (Santee Cooper), Series 2015-A, 5.00% 2050 | 840 | 899 |
Public Service Auth., Rev. Obligations (Santee Cooper), Series 2015-E, 5.25% 2055 | 2,765 | 3,009 |
4,860 | ||
New Jersey 0.02% | ||
Econ. Dev. Auth., School Facs. Construction Rev. Ref. Bonds, Series 2015-YY, 4.447% 2020 | 2,500 | 2,552 |
�� | 212,537 | |
Federal agency bonds & notes 0.11% | ||
Fannie Mae 2.125% 2026 | 12,410 | 11,659 |
Total bonds, notes & other debt instruments (cost: $10,356,835,000) | 10,219,625 | |
Common stocks 0.03% Information technology 0.02% | Shares | |
Corporate Risk Holdings I, Inc.7,8,12,13 | 70,193 | 2,150 |
Corporate Risk Holdings Corp.7,8,12,13 | 355 | — |
2,150 | ||
Consumer discretionary 0.01% | ||
Cumulus Media Inc., Class B7,12 | 13,561 | 227 |
Cumulus Media Inc., Class A7,12 | 11,159 | 187 |
Adelphia Recovery Trust, Series ACC-17,8,12 | 2,409,545 | 1 |
415 | ||
Energy 0.00% | ||
Ascent Resources Marcellus Holdings, Inc.7,12 | 83,079 | 268 |
Total common stocks (cost: $3,654,000) | 2,833 | |
Rights & warrants 0.00% Energy 0.00% | ||
Ascent Resources Marcellus Holdings, Inc., Class A, warrants, expire 20237,8,12 | 112,665 | 56 |
Ascent Resources Marcellus Holdings, Inc., Class B, warrants, expire 20237,8,12 | 87,629 | 35 |
Ascent Resources Marcellus Holdings, Inc., Class C, warrants, expire 20237,8,12 | 17,050 | 6 |
Total rights & warrants (cost: $16,000) | 97 | |
Short-term securities 21.76% | Principal amount (000) | |
3M Co. 1.90% due 7/9/20181 | $44,600 | 44,576 |
Apple Inc. 1.92%–2.08% due 7/18/2018–9/12/20181 | 36,975 | 36,865 |
Chevron Corp. 1.93%–2.02% due 7/13/2018–7/17/20181 | 59,200 | 59,150 |
Coca-Cola Co. 2.20% due 8/23/20181 | 50,000 | 49,845 |
CRC Funding, LLC 2.18% due 8/24/20181 | 50,000 | 49,835 |
ExxonMobil Corp. 2.00%–2.02% due 7/23/2018–8/28/2018 | 84,000 | 83,821 |
Short-term securities | Principal amount (000) | Value (000) |
Federal Home Loan Bank 1.77%–1.95% due 7/9/2018–10/5/2018 | $796,700 | $794,803 |
Freddie Mac 1.91% due 8/20/2018 | 50,000 | 49,876 |
Paccar Financial Corp. 1.96% due 7/23/2018 | 42,000 | 41,945 |
PepsiCo Inc. 1.95%–1.98% due 8/1/2018–8/7/20181 | 70,000 | 69,858 |
Pfizer Inc. 2.02%–2.05% due 7/2/2018–8/20/20181 | 109,000 | 108,874 |
U.S. Treasury Bills 1.56%–2.00% due 7/5/2018–11/15/2018 | 846,300 | 843,339 |
United Parcel Service Inc. 1.87% due 7/11/20181 | 30,000 | 29,981 |
Walt Disney Co. 2.15% due 9/28/20181 | 50,000 | 49,737 |
Total short-term securities (cost: $2,312,454,000) | 2,312,505 | |
Total investment securities 117.97% (cost: $12,672,959,000) | 12,535,060 | |
Other assets less liabilities (17.97)% | (1,909,862) | |
Net assets 100.00% | $10,625,198 |
Contracts | Type | Number of contracts | Expiration | Notional amount14 (000) | Value at 6/30/201815 (000) | Unrealized appreciation (depreciation) at 6/30/2018 (000) |
2 Year U.S. Treasury Note Futures | Long | 13,334 | October 2018 | $2,666,800 | $2,824,516 | $23 |
5 Year Euro-Bobl Futures | Short | 2,269 | September 2018 | (226,900) | (350,216) | (1,831) |
5 Year U.S. Treasury Note Futures | Long | 12,291 | October 2018 | 1,229,100 | 1,396,469 | 4,536 |
10 Year Euro-Bund Futures | Short | 763 | September 2018 | (76,300) | (144,837) | (1,625) |
10 Year U.S. Treasury Note Futures | Long | 503 | September 2018 | 50,300 | 60,454 | 251 |
10 Year Ultra U.S. Treasury Note Futures | Short | 112 | September 2018 | (11,200) | (14,362) | (126) |
30 Year Euro-Buxl Futures | Long | 214 | September 2018 | 21,400 | 44,409 | 619 |
30 Year Ultra U.S. Treasury Bond Futures | Long | 772 | September 2018 | 77,200 | 123,182 | 340 |
$2,187 |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
USD31,395 | JPY3,430,000 | Goldman Sachs | 7/9/2018 | $394 |
USD66,828 | JPY7,300,000 | JPMorgan Chase | 7/10/2018 | 844 |
USD76,688 | EUR65,550 | JPMorgan Chase | 7/10/2018 | 77 |
USD12,310 | MXN252,000 | Citibank | 7/10/2018 | (357) |
USD10,283 | EUR8,725 | JPMorgan Chase | 7/12/2018 | 84 |
USD26,432 | EUR22,400 | JPMorgan Chase | 7/16/2018 | 241 |
USD13,179 | JPY1,445,000 | Goldman Sachs | 7/25/2018 | 105 |
USD59,923 | MXN1,220,000 | Bank of New York Mellon | 7/25/2018 | (1,249) |
USD44,704 | JPY4,925,000 | Bank of New York Mellon | 7/31/2018 | 123 |
USD448 | EUR385 | Goldman Sachs | 7/31/2018 | (3) |
USD119,413 | MXN2,400,000 | Citibank | 7/31/2018 | (808) |
$(549) |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) |
1.39% | 3-month Canada BA | 7/13/2018 | C$1,460,000 | $(123) | $— | $(123) |
1.77% | 3-month Canada BA | 9/26/2018 | 975,000 | 58 | — | 58 |
1.669% | 3-month USD-LIBOR | 10/28/2019 | $112,000 | (1,478) | — | (1,478) |
U.S. EFFR | 2.165% | 4/3/2020 | 594,600 | 1,977 | — | 1,977 |
2.55% | 3-month USD-LIBOR | 4/3/2020 | 594,600 | (2,162) | — | (2,162) |
U.S. EFFR | 2.174% | 4/4/2020 | 760,300 | 2,443 | — | 2,443 |
2.5725% | 3-month USD-LIBOR | 4/4/2020 | 760,298 | (2,500) | — | (2,500) |
U.S. EFFR | 2.19% | 4/6/2020 | 503,300 | 1,480 | — | 1,480 |
2.599% | 3-month USD-LIBOR | 4/6/2020 | 503,300 | (1,426) | — | (1,426) |
3-month USD-LIBOR | 2.761% | 4/27/2020 | 500,000 | 92 | — | 92 |
3-month USD-LIBOR | 2.75% | 4/30/2020 | 352,900 | 137 | — | 137 |
3-month USD-LIBOR | 2.746% | 5/1/2020 | 504,100 | 237 | — | 237 |
3-month USD-LIBOR | 2.7515% | 5/3/2020 | 501,000 | 202 | — | 202 |
1.6915% | 3-month USD-LIBOR | 6/3/2020 | 1,600 | (33) | — | (33) |
1.7345% | 3-month USD-LIBOR | 12/31/2020 | 120,000 | (3,187) | — | (3,187) |
3-month USD-LIBOR | 1.975% | 4/27/2022 | 15,000 | 490 | — | 490 |
3-month USD-LIBOR | 2.1305% | 7/17/2022 | 100,000 | 2,848 | — | 2,848 |
1.9375% | 3-month USD-LIBOR | 12/18/2022 | 150,000 | (5,934) | — | (5,934) |
3-month USD-LIBOR | 2.701% | 6/9/2024 | 60,000 | 610 | — | 610 |
6-month EURIBOR | 0.9852% | 10/17/2024 | €25,000 | (996) | — | (996) |
3-month USD-LIBOR | 2.438% | 11/19/2024 | $750 | 20 | — | 20 |
3-month USD-LIBOR | 2.4585% | 11/24/2024 | 23,000 | 584 | — | 584 |
3-month USD-LIBOR | 2.0475% | 3/23/2025 | 450 | 23 | — | 23 |
3-month USD-LIBOR | 2.3175% | 5/8/2025 | 1,500 | 54 | — | 54 |
3-month USD-LIBOR | 2.339% | 5/13/2025 | 375 | 13 | — | 13 |
3-month USD-LIBOR | 2.351% | 5/15/2025 | 590 | 20 | — | 20 |
3-month USD-LIBOR | 2.287% | 5/20/2025 | 500 | 19 | — | 19 |
3-month USD-LIBOR | 2.227% | 5/28/2025 | 260 | 11 | — | 11 |
3-month USD-LIBOR | 2.2125% | 5/29/2025 | 465 | 20 | — | 20 |
3-month USD-LIBOR | 2.451% | 6/5/2025 | 650 | 18 | — | 18 |
3-month USD-LIBOR | 2.46% | 6/10/2025 | 2,536 | 70 | — | 70 |
3-month USD-LIBOR | 2.455% | 6/24/2025 | 235 | 7 | — | 7 |
3-month USD-LIBOR | 2.397% | 7/13/2025 | 900 | 29 | — | 29 |
3-month USD-LIBOR | 2.535% | 7/15/2025 | 800 | 18 | — | 18 |
3-month USD-LIBOR | 2.4615% | 7/22/2025 | 1,300 | 36 | — | 36 |
3-month USD-LIBOR | 2.312% | 7/29/2025 | 1,000 | 37 | — | 37 |
3-month USD-LIBOR | 2.331% | 7/30/2025 | 435 | 16 | — | 16 |
3-month USD-LIBOR | 2.228% | 9/4/2025 | 12,000 | 523 | — | 523 |
6-month JPY-LIBOR | 0.282% | 2/2/2026 | ¥5,500,000 | (328) | — | (328) |
6-month JPY-LIBOR | 0.0875% | 3/10/2026 | 11,100,000 | 859 | — | 859 |
3-month USD-LIBOR | 1.595% | 5/12/2026 | $8,500 | 788 | — | 788 |
3-month USD-LIBOR | 1.592% | 5/12/2026 | 4,000 | 371 | — | 371 |
3.0865% | 3-month USD-LIBOR | 8/18/2034 | 2,250 | 37 | — | 37 |
2.913% | 3-month USD-LIBOR | 11/24/2034 | 10,000 | (65) | — | (65) |
2.844% | 3-month USD-LIBOR | 6/11/2035 | 3,250 | (52) | — | (52) |
2.9535% | 3-month USD-LIBOR | 6/30/2035 | 2,500 | (2) | — | (2) |
2.773% | 3-month USD-LIBOR | 7/13/2035 | 500 | (13) | — | (13) |
2.589% | 3-month USD-LIBOR | 9/4/2035 | 3,100 | (160) | — | (160) |
2.377% | 3-month USD-LIBOR | 4/29/2045 | 1,910 | (208) | — | (208) |
6-month JPY-LIBOR | 0.58295% | 3/23/2046 | ¥2,000,000 | 1,093 | — | 1,093 |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) |
0.64355% | 6-month JPY-LIBOR | 4/27/2046 | ¥2,000,000 | $(813) | $— | $(813) |
3-month USD-LIBOR | 2.1155% | 5/13/2046 | $2,400 | 393 | — | 393 |
3-month USD-LIBOR | 2.78875% | 1/23/2048 | 91,500 | 2,707 | — | 2,707 |
3-month USD-LIBOR | 2.816% | 1/23/2048 | 19,600 | 469 | — | 469 |
$— | $(671) |
1 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $1,486,045,000, which represented 13.99% of the net assets of the fund. |
2 | Step bond; coupon rate may change at a later date. |
3 | Coupon rate may change periodically. |
4 | Loan participations and assignments; may be subject to legal or contractual restrictions on resale. The total value of all such loans was $12,171,000, which represented .11% of the net assets of the fund. |
5 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
6 | Payment in kind; the issuer has the option of paying additional securities in lieu of cash. Most recent payment was 100% cash unless otherwise noted. |
7 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $5,494,000, which represented .05% of the net assets of the fund. |
8 | Value determined using significant unobservable inputs. |
9 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $55,344,000, which represented .52% of the net assets of the fund. |
10 | Index-linked bond whose principal amount moves with a government price index. |
11 | Purchased on a TBA basis. |
12 | Security did not produce income during the last 12 months. |
13 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on these holdings appear below. |
14 | Notional amount is calculated based on the number of contracts and notional contract size. |
15 | Value is calculated based on the notional amount and current market price. |
Private placement securities | Acquisition date | Cost (000) | Value (000) | Percent of net assets |
Corporate Risk Holdings I, Inc. | 8/31/2015 | $780 | $2,150 | .02% |
Corporate Risk Holdings Corp. | 8/31/2015 | — | — | .00 |
Total private placement securities | $ 780 | $ 2,150 | .02% |
Key to abbreviations and symbols |
BA = Banker’s acceptances |
C$ = Canadian dollars |
EFFR = Federal Funds Effective Rate |
EUR/€ = Euros |
EURIBOR = Euro Interbank Offered Rate |
G.O. = General Obligation |
JPY/¥ = Japanese yen |
LIBOR = London Interbank Offered Rate |
LOC = Letter of Credit |
MXN = Mexican pesos |
Rev. = Revenue |
TBA = To-be-announced |
USD/$ = U.S. dollars |
Bonds, notes & other debt instruments 91.91% Euros 12.82% | Principal amount (000) | Value (000) |
Allianz SE 4.75% (undated) (3-month EUR-EURIBOR + 3.60% on 10/24/2023)1 | €4,200 | $5,466 |
Assicurazioni Generali SPA 7.75% 2042 (3-month EUR-EURIBOR + 7.113% on 12/12/2022)1 | 1,500 | 2,050 |
Aviva PLC, subordinated 6.125% 2043 (5 year EURO Mid Swap + 5.13% on 7/5/2023)1 | 1,500 | 2,074 |
Banco Bilbao Vizcaya Argentaria SA 3.50% 2024 (5 year EURO Mid Swap + 2.55% on 4/11/2019)1 | 3,300 | 3,935 |
Barclays Bank PLC 6.00% 2021 | 1,000 | 1,307 |
Barclays Bank PLC 6.625% 2022 | 1,070 | 1,475 |
Belgium (Kingdom of), Series 82, 0.50% 2024 | 12,920 | 15,432 |
Belgium (Kingdom of), Series 77, 1.00% 2026 | 6,480 | 7,932 |
CaixaBank, SA 5.00% 2023 (5 year EURO Mid Swap + 3.95% on 11/14/2018)1 | 2,300 | 2,732 |
CaixaBank, SA 3.50% 2027 (5 year EURO Mid Swap + 3.35% on 2/15/2022)1 | 1,300 | 1,596 |
Canada 3.50% 2020 | 2,500 | 3,101 |
Cote d’Ivoire (Republic of) 5.25% 20302 | 900 | 1,010 |
Deutsche Telekom International Finance BV 7.50% 2033 | 200 | 395 |
Egypt (Arab Republic of) 5.625% 2030 | 745 | 784 |
European Financial Stability Facility 0.40% 2025 | 6,000 | 7,034 |
French Republic O.A.T. 2.25% 2024 | 11,680 | 15,457 |
French Republic O.A.T. 3.25% 2045 | 1,200 | 1,968 |
French Republic O.A.T. 2.00% 2048 | 1,490 | 1,932 |
Germany (Federal Republic of) 1.75% 2024 | 5,270 | 6,833 |
Germany (Federal Republic of) 0.50% 2028 | 5,680 | 6,754 |
Germany (Federal Republic of) 6.25% 2030 | 1,800 | 3,494 |
Germany (Federal Republic of) 4.75% 2040 | 200 | 419 |
Germany (Federal Republic of) 2.50% 2046 | 7,370 | 11,824 |
Germany (Federal Republic of) 1.25% 2048 | 17,050 | 21,083 |
Greece (Hellenic Republic of) 3.50% 2023 | 1,605 | 1,910 |
Greece (Hellenic Republic of) 3.75% 2028 | 684 | 788 |
Greece (Hellenic Republic of) 3.90% 2033 | 1,715 | 1,874 |
Greece (Hellenic Republic of) 4.00% 2037 | 1,770 | 1,893 |
Greece (Hellenic Republic of) 4.20% 2042 | 1,759 | 1,882 |
Groupe BPCE SA 4.625% 2023 | 1,200 | 1,617 |
Groupe BPCE SA 2.75% 2026 (5 year EURO Mid Swap + 1.83% on 7/8/2021)1 | 3,300 | 4,020 |
HSBC Holdings PLC 3.375% 2024 (5 year EURO Mid Swap + 1.95% on 1/10/2019)1 | 1,700 | 2,018 |
Hungary 3.875% 2020 | 1,000 | 1,244 |
Intesa Sanpaolo SpA 6.625% 2023 | 1,885 | 2,575 |
Ireland (Republic of) 0.90% 2028 | 7,000 | 8,245 |
Italy (Republic of) 0.95% 2023 | 14,000 | 15,789 |
Italy (Republic of) 4.75% 2023 | 2,900 | 3,864 |
Italy (Republic of) 4.50% 2024 | 2,500 | 3,297 |
Italy (Republic of) 2.05% 2027 | 6,200 | 6,910 |
Lloyds Banking Group PLC 6.50% 2020 | 1,090 | 1,406 |
NN Group NV, 4.625% 2044 (3-month EUR-LIBOR + 3.95% on 4/8/2024)1 | 1,320 | 1,660 |
NN Group NV, 4.50% (undated) (3-month EUR-LIBOR + 4.00% on 1/15/2026)1 | 2,720 | 3,287 |
Portuguese Republic 2.875% 2025 | 12,350 | 16,061 |
Portuguese Republic 2.875% 2026 | 2,095 | 2,711 |
Portuguese Republic 4.125% 2027 | 11,510 | 16,191 |
Rabobank Nederland 2.50% 2026 (5 year EURO Mid Swap + 1.40% on 5/26/2021)1 | 3,300 | 4,017 |
Bonds, notes & other debt instruments Euros (continued) | Principal amount (000) | Value (000) |
Romania 2.75% 2025 | €1,285 | $1,612 |
Romania 3.875% 2035 | 2,810 | 3,359 |
Romania 3.375% 2038 | 4,170 | 4,618 |
Spain (Kingdom of) 1.45% 2027 | 19,430 | 23,094 |
Spain (Kingdom of) 1.50% 2027 | 10,350 | 12,401 |
Spain (Kingdom of) 2.90% 2046 | 1,870 | 2,385 |
Spain (Kingdom of) 2.70% 2048 | 6,025 | 7,322 |
Svenska Handelsbanken AB 2.656% 2024 (5 year EURO Mid Swap + 1.43% on 1/15/2019)1 | 2,170 | 2,568 |
286,705 | ||
Japanese yen 10.49% | ||
Japan, Series 128, 0.10% 2021 | ¥625,000 | 5,683 |
Japan, Series 134, 0.10% 2022 | 1,350,000 | 12,310 |
Japan, Series 18, 0.10% 20243 | 3,153,700 | 29,667 |
Japan, Series 19, 0.10% 20243 | 2,691,050 | 25,461 |
Japan, Series 337, 0.30% 2024 | 880,000 | 8,143 |
Japan, Series 336, 0.50% 2024 | 800,000 | 7,496 |
Japan, Series 20, 0.10% 20253 | 675,360 | 6,396 |
Japan, Series 340, 0.40% 2025 | 435,000 | 4,060 |
Japan, Series 21, 0.10% 20263 | 982,205 | 9,355 |
Japan, Series 344, 0.10% 2026 | 605,000 | 5,522 |
Japan, Series 346, 0.10% 2027 | 3,125,000 | 28,494 |
Japan, Series 116, 2.20% 2030 | 1,735,000 | 19,472 |
Japan, Series 145, 1.70% 2033 | 2,210,000 | 24,147 |
Japan, Series 21, 2.30% 2035 | 720,000 | 8,600 |
Japan, Series 42, 1.70% 2044 | 450,000 | 5,081 |
Japan, Series 57, 0.80% 2047 | 3,756,250 | 34,764 |
234,651 | ||
Polish zloty 3.68% | ||
Poland (Republic of), Series 0420, 1.50% 2020 | PLN26,750 | 7,138 |
Poland (Republic of), Series 1020, 5.25% 2020 | 29,600 | 8,540 |
Poland (Republic of), Series 1021, 5.75% 2021 | 126,530 | 37,839 |
Poland (Republic of), Series 0922, 5.75% 2022 | 34,600 | 10,521 |
Poland (Republic of), Series 1023, 4.00% 2023 | 31,140 | 8,913 |
Poland (Republic of), Series 0725, 3.25% 2025 | 34,750 | 9,444 |
82,395 | ||
Mexican pesos 3.16% | ||
United Mexican States 4.00% 20403 | MXN20,788 | 1,090 |
United Mexican States, Series M, 8.00% 2020 | 92,500 | 4,686 |
United Mexican States, Series M, 6.50% 2021 | 373,300 | 18,216 |
United Mexican States, Series M, 6.50% 2022 | 119,100 | 5,758 |
United Mexican States, Series M20, 10.00% 2024 | 142,000 | 8,036 |
United Mexican States, Series M, 5.75% 2026 | 654,500 | 29,459 |
United Mexican States, Series M30, 10.00% 2036 | 35,000 | 2,174 |
United Mexican States, Series M, 7.75% 2042 | 22,735 | 1,155 |
70,574 | ||
Indian rupees 2.90% | ||
India (Republic of) 7.80% 2021 | INR727,600 | 10,636 |
India (Republic of) 7.68% 2023 | 224,400 | 3,227 |
India (Republic of) 8.83% 2023 | 1,284,200 | 19,456 |
India (Republic of) 7.35% 2024 | 30,000 | 423 |
India (Republic of) 8.40% 2024 | 450,000 | 6,662 |
Bonds, notes & other debt instruments Indian rupees (continued) | Principal amount (000) | Value (000) |
India (Republic of) 6.97% 2026 | INR431,000 | $5,906 |
India (Republic of) 6.79% 2027 | 500,000 | 6,742 |
India (Republic of) 7.59% 2029 | 375,800 | 5,272 |
India (Republic of) 7.61% 2030 | 167,270 | 2,346 |
India (Republic of) 7.88% 2030 | 25,000 | 358 |
National Highways Authority of India 7.17% 2021 | 220,000 | 3,087 |
National Highways Authority of India 7.27% 2022 | 50,000 | 717 |
64,832 | ||
British pounds 2.17% | ||
Aviva PLC, junior subordinated 6.875% 20581 | £470 | 752 |
AXA SA, junior subordinated 5.453% (undated)1 | 300 | 418 |
France Télécom 5.375% 2050 | 300 | 543 |
Lloyds Banking Group PLC 7.625 % 2025 | 655 | 1,114 |
United Kingdom 2.25% 2023 | 1,550 | 2,173 |
United Kingdom 2.75% 2024 | 3,200 | 4,642 |
United Kingdom 1.25% 2027 | 11,725 | 15,372 |
United Kingdom 4.25% 2027 | 2,800 | 4,667 |
United Kingdom 3.25% 2044 | 6,500 | 11,192 |
United Kingdom 3.50% 2045 | 2,590 | 4,675 |
United Kingdom 1.50% 2047 | 2,380 | 2,970 |
48,518 | ||
Danish kroner 1.94% | ||
Nykredit Realkredit AS, Series 01E, 1.50% 20402 | DKr178,600 | 27,868 |
Nykredit Realkredit AS, Series 01E, 2.50% 20472 | 14,724 | 2,410 |
Realkredit Danmark AS, Series 22S, 2.00% 20372 | 24,851 | 4,059 |
Realkredit Danmark AS, Series S22, 1.50% 20402 | 58,600 | 9,146 |
43,483 | ||
Malaysian ringgits 1.59% | ||
Malaysia (Federation of), Series 0511, 3.58% 2018 | MYR6,155 | 1,524 |
Malaysia (Federation of), Series 0515, 3.759% 2019 | 14,650 | 3,636 |
Malaysia (Federation of), Series 0315, 3.659% 2020 | 1,260 | 313 |
Malaysia (Federation of), Series 0314, 4.048% 2021 | 7,600 | 1,900 |
Malaysia (Federation of), Series 0215, 3.795% 2022 | 6,000 | 1,484 |
Malaysia (Federation of), Series 0116, 3.80% 2023 | 21,100 | 5,176 |
Malaysia (Federation of), Series 0115, 3.955% 2025 | 28,150 | 6,840 |
Malaysia (Federation of), Series 0316, 3.90% 2026 | 17,250 | 4,138 |
Malaysia (Federation of), Series 0212, 3.892% 2027 | 850 | 203 |
Malaysia (Federation of), Series 0310, 4.498% 2030 | 42,250 | 10,355 |
35,569 | ||
South Korean won 1.41% | ||
South Korea (Republic of), Series 2203, 1.875% 2022 | KRW3,540,000 | 3,135 |
South Korea (Republic of), Series 2209, 2.00% 2022 | 13,974,200 | 12,391 |
South Korea (Republic of), Series 2303, 2.375% 2023 | 3,500,000 | 3,145 |
South Korea (Republic of), Series 2712, 2.375% 2027 | 14,470,000 | 12,802 |
31,473 | ||
Thai baht 1.25% | ||
Bank of Thailand 1.49% 2019 | THB31,690 | 956 |
Bank of Thailand 1.50% 2019 | 168,310 | 5,078 |
Bank of Thailand 1.34% 2020 | 35,000 | 1,050 |
Thailand (Kingdom of) 1.875% 2022 | 258,200 | 7,765 |
Bonds, notes & other debt instruments Thai baht (continued) | Principal amount (000) | Value (000) |
Thailand (Kingdom of) 3.85% 2025 | THB65,000 | $2,147 |
Thailand (Kingdom of) 2.125% 2026 | 379,250 | 11,052 |
28,048 | ||
Israeli shekels 0.86% | ||
Israel (State of) 2.00% 2027 | ILS28,300 | 7,746 |
Israel (State of) 5.50% 2042 | 29,300 | 11,443 |
19,189 | ||
Brazilian reais 0.72% | ||
Brazil (Federative Republic of) 0% 2021 | BRL27,600 | 5,404 |
Brazil (Federative Republic of) 0% 2022 | 20,900 | 3,852 |
Brazil (Federative Republic of) 10.00% 2025 | 28,190 | 6,850 |
16,106 | ||
Australian dollars 0.71% | ||
Australia (Commonwealth of), Series 128, 5.75% 2022 | A$12,150 | 10,232 |
Australia (Commonwealth of), Series 133, 5.50% 2023 | 6,625 | 5,620 |
15,852 | ||
Canadian dollars 0.66% | ||
Canada 1.00% 2022 | C$4,050 | 2,954 |
Canada 2.25% 2025 | 15,450 | 11,838 |
14,792 | ||
Romanian leu 0.51% | ||
Romania 2.30% 2020 | RON12,875 | 3,078 |
Romania 3.25% 2021 | 15,110 | 3,678 |
Romania 5.95% 2021 | 15,290 | 3,982 |
Romania 3.40% 2022 | 3,250 | 779 |
11,517 | ||
South African rand 0.49% | ||
South Africa (Republic of), Series R-186, 10.50% 2026 | ZAR41,900 | 3,349 |
South Africa (Republic of), Series R-214, 6.50% 2041 | 145,850 | 7,587 |
10,936 | ||
Peruvian nuevos soles 0.38% | ||
Peru (Republic of) 6.15% 2032 | PEN27,300 | 8,548 |
Norwegian kroner 0.35% | ||
Norway (Kingdom of) 3.75% 2021 | NKr58,500 | 7,726 |
Uruguayan pesos 0.28% | ||
Uruguay (Oriental Republic of) 9.875% 2022 | UYU35,081 | 1,110 |
Uruguay (Oriental Republic of) 8.50% 2028 | 128,291 | 3,536 |
Uruguay (Oriental Republic of) 8.50% 2028 | 55,000 | 1,516 |
6,162 | ||
Colombian pesos 0.25% | ||
Colombia (Republic of), Series B, 6.25% 2025 | COP16,460,000 | 5,558 |
Bonds, notes & other debt instruments Czech korunas 0.17% | Principal amount (000) | Value (000) |
Czech Republic 0.45% 2023 | CZK91,820 | $3,897 |
Turkish lira 0.16% | ||
Turkey (Republic of) 11.00% 2022 | TRY19,700 | 3,600 |
Argentine pesos 0.12% | ||
Argentine Republic 2.50% 20213 | ARS79,040 | 2,347 |
Buenos Aires (City of) (Badlar Private Banks ARS Index + 3.75%) 29.00% 20284 | 13,568 | 386 |
2,733 | ||
Egyptian pounds 0.11% | ||
Egypt (Arab Republic of) 18.40% 2024 | EGP41,000 | 2,424 |
U.S. dollars 44.73% | ||
Abbott Laboratories 2.35% 2019 | $96 | 95 |
Abbott Laboratories 2.90% 2021 | 420 | 414 |
Abbott Laboratories 3.40% 2023 | 195 | 193 |
Abbott Laboratories 3.75% 2026 | 1,400 | 1,378 |
AbbVie Inc. 2.50% 2020 | 3,155 | 3,117 |
AbbVie Inc. 2.90% 2022 | 1,170 | 1,136 |
AbbVie Inc. 3.20% 2022 | 200 | 197 |
AbbVie Inc. 3.60% 2025 | 1,055 | 1,023 |
AbbVie Inc. 3.20% 2026 | 3,157 | 2,949 |
AbbVie Inc. 4.50% 2035 | 410 | 403 |
ACE INA Holdings Inc. 2.30% 2020 | 180 | 176 |
ACE INA Holdings Inc. 2.875% 2022 | 365 | 359 |
ACE INA Holdings Inc. 3.35% 2026 | 365 | 354 |
ACE INA Holdings Inc. 4.35% 2045 | 425 | 436 |
ADT Corp. 3.50% 2022 | 400 | 376 |
AES Corp. 5.50% 2025 | 633 | 641 |
AES Corp. 6.00% 2026 | 425 | 442 |
Aetna Inc. 2.80% 2023 | 340 | 324 |
Alexandria Real Estate Equities, Inc. 2.75% 2020 | 180 | 179 |
Allergan PLC 3.00% 2020 | 2,820 | 2,807 |
Allergan PLC 3.80% 2025 | 4,455 | 4,331 |
Allergan PLC 4.55% 2035 | 720 | 685 |
Allergan PLC 4.75% 2045 | 130 | 126 |
Allison Transmission Holdings, Inc. 5.00% 20245 | 430 | 424 |
Almonde Inc., Term Loan, (3-month USD-LIBOR + 7.25%) 9.557% 20252,4,6 | 1,150 | 1,111 |
Altria Group, Inc. 4.50% 2043 | 350 | 336 |
Amazon.com, Inc. 2.80% 2024 | 2,920 | 2,788 |
Amazon.com, Inc. 3.15% 2027 | 1,960 | 1,885 |
American Axle & Manufacturing Holdings, Inc. 6.50% 2027 | 450 | 445 |
American Campus Communities, Inc. 3.75% 2023 | 1,810 | 1,802 |
American Campus Communities, Inc. 4.125% 2024 | 1,195 | 1,190 |
American Energy (Permian Basin) (3-month USD-LIBOR + 6.50%) 8.854% 20194,5 | 150 | 129 |
American Energy (Permian Basin) 7.125% 20205 | 1,295 | 822 |
American Energy (Permian Basin) 7.375% 20215 | 340 | 209 |
Amgen Inc. 1.85% 2021 | 420 | 402 |
Anheuser-Busch InBev NV 3.75% 2022 | 775 | 786 |
Anheuser-Busch InBev NV 3.30% 2023 | 635 | 630 |
Anheuser-Busch InBev NV 3.50% 2024 | 1,545 | 1,539 |
Bonds, notes & other debt instruments U.S. dollars (continued) | Principal amount (000) | Value (000) |
Anheuser-Busch InBev NV 4.00% 2028 | $1,050 | $1,049 |
Apple Inc. 2.50% 2022 | 1,200 | 1,177 |
Apple Inc. 3.35% 2027 | 1,075 | 1,051 |
Applied Systems, Inc., Term Loan, (3-month USD-LIBOR + 7.00%) 9.334% 20252,4,6 | 80 | 83 |
Argentine Republic 6.875% 2021 | 3,575 | 3,535 |
Argentine Republic 7.50% 2026 | 2,200 | 2,038 |
Argentine Republic 6.875% 2048 | 1,695 | 1,285 |
Ascent Resources Marcellus Holdings, Inc., Term Loan B, (3-month USD-LIBOR + 6.50%) 8.501% 20232,4,6 | 210 | 211 |
Associated Materials, LLC 9.00% 20245 | 1,065 | 1,121 |
AT&T Inc. 4.250% 2027 | 3,775 | 3,702 |
Autoridad del Canal de Panama 4.95% 20352,5 | 1,000 | 1,046 |
Avis Budget Group, Inc. 5.50% 2023 | 450 | 440 |
Avon Products, Inc. 7.875% 20225 | 345 | 344 |
B&G Foods, Inc. 4.625% 2021 | 50 | 49 |
B&G Foods, Inc. 5.25% 2025 | 225 | 213 |
Ball Corp. 4.375% 2020 | 300 | 303 |
Banco Nacional de Comercio Exterior SNC 3.80% 2026 (UST Yield Curve Rate T Note Constant Maturity 5 year + 3.00% on 8/11/2021)1,5 | 880 | 849 |
Bank of America Corp. 2.625% 2020 | 1,550 | 1,531 |
Bank of America Corp. 3.55% 2024 (3-month USD-LIBOR + 0.78% on 3/5/2023)1 | 1,400 | 1,386 |
Bayer AG 3.375% 20245 | 840 | 810 |
Becton, Dickinson and Co. 2.675% 2019 | 353 | 350 |
Becton, Dickinson and Co. 3.70% 2027 | 1,430 | 1,355 |
BJ’s Wholesale Club, Term Loan, (3-month USD-LIBOR + 7.50%) 9.53% 20252,4,6 | 224 | 227 |
Blackstone CQP Holdco LP 6.00% 20215,7 | 225 | 226 |
Blackstone CQP Holdco LP 6.50% 20215,7 | 3,120 | 3,136 |
Bohai Financial Investment Holding Co., Ltd. 5.50% 20245 | 375 | 371 |
Brandywine Operating Partnership, LP 3.95% 2023 | 190 | 189 |
British American Tobacco International Finance PLC 2.75% 20205 | 530 | 524 |
British American Tobacco International Finance PLC 3.50% 20225 | 385 | 382 |
British American Tobacco PLC 3.557% 20275 | 1,545 | 1,440 |
British American Tobacco PLC 4.39% 20375 | 1,190 | 1,119 |
Cablevision Systems Corp. 6.75% 2021 | 1,125 | 1,181 |
Calpine Corp. 5.25% 20265 | 855 | 809 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.125% 20235 | 200 | 198 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.75% 20265 | 800 | 788 |
CCO Holdings LLC and CCO Holdings Capital Corp. 4.20% 2028 | 675 | 633 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.00% 20285 | 575 | 529 |
Centene Corp. 4.75% 2022 | 1,465 | 1,481 |
Centene Corp. 4.75% 2025 | 150 | 150 |
Centene Corp. 5.375% 20265 | 300 | 305 |
CenterPoint Energy Transition Bond Co. III, LLC, Series 2008, Class A2, 5.234% 20232 | 236 | 241 |
CenturyLink, Inc. 6.75% 2023 | 1,100 | 1,108 |
CenturyLink, Inc., Series T, 5.80% 2022 | 150 | 149 |
CF Industries, Inc. 4.95% 2043 | 545 | 461 |
Chemours Co. 6.625% 2023 | 680 | 714 |
Chesapeake Energy Corp. 4.875% 2022 | 1,400 | 1,351 |
Chesapeake Energy Corp. 8.00% 2025 | 450 | 459 |
Chesapeake Energy Corp. 8.00% 2027 | 590 | 602 |
Chile (Republic of) 3.86% 2047 | 750 | 712 |
CIT Group Inc. 3.875% 20192 | 988 | 991 |
Citigroup Inc. 2.50% 2018 | 200 | 200 |
Citigroup Inc. 2.55% 2019 | 2,800 | 2,796 |
Citigroup Inc. 2.35% 2021 | 1,500 | 1,450 |
Clear Channel Worldwide Holdings, Inc. 7.625% 2020 | 1,965 | 1,961 |
Bonds, notes & other debt instruments U.S. dollars (continued) | Principal amount (000) | Value (000) |
Cleveland-Cliffs Inc. 4.875% 20245 | $400 | $387 |
Cleveland-Cliffs Inc. 5.75% 2025 | 2,200 | 2,093 |
CMS Energy Corp. 5.05% 2022 | 392 | 411 |
CMS Energy Corp. 3.875% 2024 | 100 | 100 |
Columbia Pipeline Partners LP 3.30% 2020 | 85 | 85 |
Commercial Mortgage Trust, Series 2014-UBS2, Class A1, 1.298% 20472 | 263 | 262 |
Compass Diversified Holdings 8.00% 20265 | 315 | 309 |
Concordia Healthcare Corp. 9.50% 20225,8 | 580 | 36 |
Concordia Healthcare Corp. 7.00% 20235,8 | 1,090 | 68 |
Concordia Healthcare Corp., Term Loan B, (3-month USD-LIBOR + 4.25%) 6.344% 20212,4,6 | 282 | 252 |
CONSOL Energy Inc. 5.875% 2022 | 2,275 | 2,292 |
Consolidated Energy Finance SA 6.50% 20265 | 185 | 183 |
Consumers Energy Co. 3.375% 2023 | 345 | 345 |
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20202 | 8 | 8 |
Continental Airlines, Inc., Series 2000-2, Class A1, 7.707% 20222 | 13 | 14 |
Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048% 20222 | 45 | 47 |
Convey Park Energy LLC 7.50% 20255 | 275 | 282 |
Core Industrial Trust, Series 2015-CALW, Class A, 3.04% 20342,5 | 1,460 | 1,450 |
Corporate Risk Holdings LLC 9.50% 20195 | 1,353 | 1,416 |
Corporate Risk Holdings LLC 13.50% 2020 (100% PIK)5,9,10,11 | 166 | 178 |
Crédit Agricole SA 4.375% 20255 | 1,100 | 1,066 |
CVR Partners, LP 9.25% 20235 | 275 | 284 |
CVS Health Corp. 1.90% 2018 | 430 | 430 |
CVS Health Corp. 2.80% 2020 | 430 | 427 |
CVS Health Corp. 3.125% 2020 | 1,000 | 999 |
CVS Health Corp. 3.35% 2021 | 520 | 520 |
CVS Health Corp. 3.50% 2022 | 430 | 427 |
CVS Health Corp. 3.70% 2023 | 2,935 | 2,908 |
CVS Health Corp. 4.10% 2025 | 670 | 667 |
CVS Health Corp. 4.30% 2028 | 4,275 | 4,224 |
CVS Health Corp. 4.78% 2038 | 675 | 669 |
CVS Health Corp. 5.05% 2048 | 4,295 | 4,355 |
DaimlerChrysler North America Holding Corp. 2.25% 20205 | 2,000 | 1,968 |
DaimlerChrysler North America Holding Corp. 2.00% 20215 | 2,100 | 2,010 |
DaimlerChrysler North America Holding Corp. 2.875% 20215 | 2,275 | 2,239 |
DaimlerChrysler North America Holding Corp. 3.00% 20215 | 6,425 | 6,353 |
DaVita HealthCare Partners Inc. 5.00% 2025 | 480 | 453 |
DCP Midstream Operating LP 4.95% 2022 | 640 | 649 |
Deutsche Telekom International Finance BV 1.95% 20215 | 575 | 549 |
Deutsche Telekom International Finance BV 2.82% 20225 | 1,675 | 1,628 |
Deutsche Telekom International Finance BV 3.60% 20275 | 890 | 840 |
Deutsche Telekom International Finance BV 9.25% 2032 | 1,930 | 2,767 |
Devon Energy Corp. 3.25% 2022 | 170 | 167 |
Diamond Offshore Drilling, Inc. 7.875% 2025 | 350 | 364 |
Diamond Offshore Drilling, Inc. 4.875% 2043 | 675 | 489 |
Dominican Republic 7.50% 20212,5 | 2,000 | 2,101 |
Dominican Republic 5.50% 20255 | 1,375 | 1,369 |
Dominican Republic 8.625% 20272,5 | 225 | 256 |
Duke Energy Corp. 3.75% 2024 | 550 | 549 |
Duke Energy Corp. 2.65% 2026 | 2,695 | 2,431 |
EchoStar Corp. 6.625% 2026 | 100 | 93 |
Egypt (Arab Republic of) 7.50% 20275 | 2,200 | 2,168 |
Electricité de France SA 6.95% 20395 | 625 | 794 |
EMD Finance LLC 2.40% 20205 | 1,485 | 1,465 |
EMD Finance LLC 2.95% 20225 | 225 | 220 |
Bonds, notes & other debt instruments U.S. dollars (continued) | Principal amount (000) | Value (000) |
EMD Finance LLC 3.25% 20255 | $2,450 | $2,345 |
Enbridge Energy Partners, LP 9.875% 2019 | 750 | 782 |
Enbridge Energy Partners, LP 4.375% 2020 | 480 | 489 |
Enbridge Energy Partners, LP 5.20% 2020 | 1,535 | 1,579 |
Enbridge Inc. 4.00% 2023 | 600 | 602 |
Enbridge Inc. 4.25% 2026 | 655 | 650 |
Enbridge Inc. 3.70% 2027 | 754 | 716 |
Endo International PLC 5.75% 20225 | 780 | 702 |
Endo International PLC 6.00% 20251,5 | 300 | 236 |
Enel Finance International SA 2.75% 20235 | 5,000 | 4,657 |
Enel Finance International SA 3.625% 20275 | 2,375 | 2,176 |
Enel Finance International SA 3.50% 20285 | 1,800 | 1,620 |
Energy Transfer Partners, LP 5.875% 2024 | 600 | 617 |
Energy Transfer Partners, LP 4.00% 2027 | 1,054 | 986 |
Energy Transfer Partners, LP 4.20% 2027 | 260 | 245 |
Energy Transfer Partners, LP 5.50% 2027 | 575 | 576 |
Energy Transfer Partners, LP 6.00% 2048 | 230 | 230 |
Enersis Américas SA 4.00% 2026 | 1,960 | 1,872 |
Ensco PLC 7.75% 2026 | 525 | 498 |
Ensco PLC 5.75% 2044 | 1,030 | 731 |
Envision Healthcare Corp. 5.125% 20225 | 190 | 193 |
Equinix, Inc. 5.375% 2027 | 200 | 200 |
Essex Portfolio LP 3.50% 2025 | 2,835 | 2,740 |
Essex Portfolio LP 3.375% 2026 | 885 | 841 |
Euramax International, Inc. 12.00% 20205 | 575 | 607 |
European Investment Bank 2.25% 2022 | 3,567 | 3,485 |
Exelon Corp. 3.497% 20221 | 525 | 520 |
Exelon Corp. 3.40% 2026 | 1,465 | 1,393 |
Extraction Oil & Gas, Inc. 5.625% 20265 | 400 | 384 |
Exxon Mobil Corp. 2.222% 2021 | 570 | 560 |
Fannie Mae 3.50% 20422 | 760 | 763 |
Fannie Mae 3.50% 20422 | 365 | 366 |
Fannie Mae 3.50% 20422 | 255 | 256 |
Fannie Mae 3.50% 20482,12 | 6,250 | 6,219 |
Fannie Mae 4.00% 20482,12 | 9,498 | 9,669 |
Fannie Mae 4.00% 20482,12 | 4,034 | 4,113 |
Fannie Mae 4.00% 20482,12 | 2,668 | 2,714 |
Fannie Mae 4.50% 20482,12 | 6,333 | 6,573 |
Fannie Mae 4.50% 20482,12 | 5,830 | 6,060 |
Fannie Mae 4.50% 20482,12 | 887 | 923 |
Fannie Mae, Series 2012-M17, Class A2, Multi Family, 2.184% 20222 | 2,000 | 1,935 |
First Data Corp. 5.375% 20235 | 175 | 177 |
First Data Corp. 5.00% 20245 | 125 | 125 |
First Quantum Minerals Ltd. 7.00% 20215 | 1,431 | 1,448 |
First Quantum Minerals Ltd. 7.50% 20255 | 1,375 | 1,362 |
First Quantum Minerals Ltd. 6.875% 20265 | 525 | 504 |
FirstEnergy Corp. 3.90% 2027 | 3,915 | 3,804 |
FirstEnergy Corp. 3.50% 20285 | 645 | 613 |
FirstEnergy Corp. 4.85% 2047 | 380 | 390 |
Ford Motor Credit Co. 2.375% 2019 | 2,550 | 2,541 |
Ford Motor Credit Co. 2.597% 2019 | 2,020 | 2,005 |
France Télécom 9.00% 20311 | 1,824 | 2,507 |
Freddie Mac, Series 3213, Class OG, principal only, 0% 20362 | 12 | 11 |
Freddie Mac, Series 3292, Class BO, principal only, 0% 20372 | 47 | 40 |
Freeport-McMoRan Inc. 3.55% 2022 | 1,450 | 1,381 |
Bonds, notes & other debt instruments U.S. dollars (continued) | Principal amount (000) | Value (000) |
Frontier Communications Corp. 10.50% 2022 | $375 | $342 |
Frontier Communications Corp. 11.00% 2025 | 2,175 | 1,750 |
General Mills, Inc. 3.20% 2021 | 455 | 453 |
Genesis Energy, LP 6.75% 2022 | 425 | 431 |
Genesis Energy, LP 6.50% 2025 | 350 | 338 |
Genesys Telecommunications Laboratories, Inc. 10.00% 20245 | 75 | 84 |
Gogo Inc. 12.50% 20225 | 2,185 | 2,338 |
Goldman Sachs Group, Inc. 2.00% 2019 | 850 | 844 |
Goldman Sachs Group, Inc. 2.875% 2021 | 2,152 | 2,125 |
Goldman Sachs Group, Inc. 2.905% 2023 (3-month USD-LIBOR + 0.99% on 7/24/2022)1 | 2,200 | 2,120 |
Goldman Sachs Group, Inc. 3.50% 2025 | 5,970 | 5,768 |
Goldman Sachs Group, Inc. 3.75% 2026 | 580 | 563 |
Goldman Sachs Group, Inc. 4.75% 2045 | 1,805 | 1,789 |
Government National Mortgage Assn. 4.00% 20482,12 | 7,241 | 7,409 |
Groupe BPCE SA 5.70% 20235 | 1,800 | 1,885 |
Guatemala (Republic of) 4.375% 2027 | 800 | 744 |
H.I.G. Capital, LLC 6.75% 20245 | 318 | 312 |
Halliburton Co. 3.80% 2025 | 870 | 865 |
Hanesbrands Inc. 4.625% 20245 | 85 | 83 |
Hanesbrands Inc. 4.875% 20265 | 350 | 340 |
Hardwoods Acquisition Inc. 7.50% 20215 | 228 | 213 |
Harris Corp. 2.70% 2020 | 155 | 154 |
HCA Inc. 5.875% 2023 | 250 | 260 |
HCA Inc. 5.25% 2026 | 125 | 124 |
Healthsouth Corp. 5.75% 2025 | 720 | 731 |
Hertz Global Holdings Inc. 7.625% 20225 | 845 | 813 |
Holcim Ltd. 5.15% 20235 | 1,290 | 1,354 |
HSBC Holdings PLC 4.00% 2022 | 305 | 310 |
HSBC Holdings PLC 3.033% 2023 (3-month USD-LIBOR + 0.923% on 11/12/2022)1 | 1,180 | 1,139 |
HSBC Holdings PLC 3.90% 2026 | 4,200 | 4,110 |
HUB International Ltd. 7.00% 20265 | 85 | 84 |
Humana Inc. 3.85% 2024 | 1,000 | 999 |
Hungary 5.375% 2024 | 2,700 | 2,873 |
Huntsman International LLC 4.875% 2020 | 425 | 433 |
Husky Energy Inc. 7.25% 2019 | 250 | 264 |
Hyundai Capital America 2.55% 20205 | 2,580 | 2,536 |
Hyundai Capital America 3.25% 20225 | 658 | 641 |
Hyundai Capital Services Inc. 2.625% 20205 | 500 | 489 |
Hyundai Capital Services Inc. 3.75% 20235 | 2,450 | 2,414 |
Icahn Enterprises Finance Corp. 6.25% 2022 | 600 | 614 |
Imperial Tobacco Finance PLC 3.50% 20235 | 2,000 | 1,957 |
Indonesia (Republic of) 3.75% 2022 | 2,960 | 2,935 |
Indonesia (Republic of) 4.75% 2026 | 3,500 | 3,555 |
Infor Software 7.125% 20215,11 | 300 | 302 |
Inmarsat PLC 4.875% 20225 | 1,075 | 1,062 |
Intelsat Jackson Holding Co. 7.25% 2020 | 405 | 405 |
Intelsat Jackson Holding Co. 7.50% 2021 | 2,050 | 2,045 |
Intelsat Jackson Holding Co. 6.625% 20242,6 | 175 | 181 |
Intelsat Jackson Holding Co. 8.00% 20245 | 350 | 368 |
International Paper Co. 7.30% 2039 | 600 | 769 |
Intesa Sanpaolo SpA 5.017% 20245 | 2,510 | 2,280 |
Iraq (Republic of) 6.752% 20235 | 545 | 525 |
Iron Mountain Inc. 4.875% 20275 | 235 | 218 |
Jaguar Holding Co. 6.375% 20235 | 225 | 224 |
Jonah Energy LLC 7.25% 20255 | 350 | 284 |
Bonds, notes & other debt instruments U.S. dollars (continued) | Principal amount (000) | Value (000) |
Jordan (Hashemite Kingdom of) 5.75% 20275 | $1,035 | $964 |
JPMorgan Chase & Co. 2.55% 2021 | 6,039 | 5,920 |
JPMorgan Chase & Co. 2.604% 2021 (3-month USD-LIBOR + 0.28% on 2/1/2020)1 | 1,700 | 1,686 |
JPMorgan Chase & Co. 3.25% 2022 | 1,000 | 991 |
Jupiter Resources Inc. 8.50% 20225 | 85 | 35 |
KfW 2.125% 2022 | 3,955 | 3,852 |
Kimco Realty Corp. 6.875% 2019 | 1,250 | 1,305 |
Kinder Morgan Energy Partners, LP 3.50% 2021 | 175 | 175 |
Kinder Morgan Energy Partners, LP 3.45% 2023 | 2,250 | 2,174 |
Kinder Morgan Energy Partners, LP 3.50% 2023 | 1,600 | 1,558 |
Kinder Morgan Energy Partners, LP 4.15% 2024 | 1,700 | 1,694 |
Kinder Morgan Energy Partners, LP 5.50% 2044 | 4,225 | 4,208 |
Kinder Morgan, Inc. 4.30% 2028 | 2,185 | 2,121 |
Kinetic Concepts, Inc. 12.50% 20215 | 325 | 361 |
Korea Housing Finance Corp. 2.50% 20202,5 | 2,250 | 2,200 |
Korea Housing Finance Corp. 2.00% 20212,5 | 2,525 | 2,402 |
Kraft Heinz Co. 4.375% 2046 | 825 | 716 |
Kratos Defense & Security Solutions, Inc. 6.50% 20255 | 110 | 114 |
Kronos Inc., Term Loan B, (3-month USD-LIBOR + 8.25%) 10.608% 20242,4,6 | 425 | 440 |
Kuwait (State of) 2.75% 20225 | 3,550 | 3,463 |
Liberty Global PLC 5.50% 20285 | 375 | 338 |
Ligado Networks, Term Loan, (3-month USD-LIBOR + 8.75%) 10.78% 2020 (100% PIK)2,4,6,11 | 1,754 | 1,457 |
Lima Metro Line Finance Ltd. 5.875% 20342,5 | 2,000 | 2,045 |
Limited Brands, Inc. 5.25% 2028 | 160 | 142 |
Limited Brands, Inc. 6.875% 2035 | 125 | 112 |
Lithuania (Republic of) 7.375% 2020 | 2,475 | 2,645 |
Lockheed Martin Corp. 2.50% 2020 | 205 | 202 |
LSB Industries, Inc. 9.625% 20235 | 155 | 157 |
LSC Communications, Inc. 8.75% 20235 | 475 | 467 |
Mallinckrodt PLC 4.875% 20205 | 1,050 | 1,037 |
Maple Escrow 4.597% 20285 | 2,050 | 2,061 |
Maple Escrow 5.085% 20485 | 1,075 | 1,087 |
McAfee, LLC, Term Loan, (3-month USD-LIBOR + 4.50%) 6.594% 20242,4,6 | 398 | 401 |
McDonald’s Corp. 3.35% 2023 | 1,420 | 1,417 |
Medtronic, Inc. 3.50% 2025 | 3,500 | 3,465 |
Meredith Corp. 6.875% 20265 | 225 | 222 |
Meritage Homes Corp. 5.125% 2027 | 375 | 350 |
MGM Resorts International 7.75% 2022 | 200 | 219 |
Microsoft Corp. 2.40% 2026 | 2,688 | 2,488 |
MidAmerican Energy Co. 4.40% 2044 | 240 | 248 |
Molina Healthcare, Inc. 5.375% 2022 | 1,250 | 1,264 |
Molina Healthcare, Inc. 4.875% 20255 | 482 | 470 |
Morgan Stanley 3.125% 2026 | 1,421 | 1,323 |
Morgan Stanley 3.875% 2026 | 1,580 | 1,556 |
Morocco (Kingdom of) 5.50% 2042 | 3,100 | 3,154 |
National Rural Utilities Cooperative Finance Corp. 10.375% 2018 | 550 | 564 |
Navient Corp. 4.875% 2019 | 465 | 468 |
Navient Corp. 6.50% 2022 | 565 | 579 |
Navient Corp. 5.50% 2023 | 1,195 | 1,179 |
Navient Corp. 6.125% 2024 | 175 | 174 |
Neiman Marcus Group LTD Inc., Term Loan B, (3-month USD-LIBOR + 3.25%) 5.564% 20202,4,6 | 149 | 132 |
NGL Energy Partners LP 6.875% 2021 | 980 | 996 |
NGL Energy Partners LP 6.125% 2025 | 985 | 936 |
Niagara Mohawk Power Corp. 3.508% 20245 | 180 | 180 |
Niagara Mohawk Power Corp. 4.278% 20345 | 300 | 311 |
Bonds, notes & other debt instruments U.S. dollars (continued) | Principal amount (000) | Value (000) |
Nigeria (Republic of) 6.50% 20275 | $465 | $434 |
Noble Corp. PLC 7.95% 20251 | 250 | 234 |
Noble Corp. PLC 8.95% 20451 | 650 | 596 |
Nova Chemicals Corp. 5.25% 20275 | 500 | 467 |
Novelis Corp. 5.875% 20265 | 325 | 312 |
NRG Energy, Inc. 6.25% 2022 | 525 | 542 |
Odebrecht Drilling Norbe 7.72% 2026 (87.05% PIK)2,5,11 | 11 | 3 |
Oracle Corp. 2.65% 2026 | 2,327 | 2,148 |
Oracle Corp. 3.25% 2027 | 1,880 | 1,800 |
Owens & Minor, Inc. 3.875% 2021 | 600 | 573 |
Owens & Minor, Inc., Term Loan B, (3-month USD-LIBOR + 4.50%) 6.869% 20252,4,6 | 235 | 231 |
Pacific Gas and Electric Co. 3.25% 2023 | 580 | 554 |
Pacific Gas and Electric Co. 3.85% 2023 | 300 | 296 |
Pacific Gas and Electric Co. 2.95% 2026 | 590 | 527 |
Pacific Gas and Electric Co. 3.30% 2027 | 2,625 | 2,376 |
Pacific Gas and Electric Co. 3.30% 2027 | 1,125 | 1,012 |
Pacific Gas and Electric Co. 6.35% 2038 | 534 | 576 |
Pacific Gas and Electric Co. 3.75% 2042 | 630 | 521 |
Pacific Gas and Electric Co. 4.25% 2046 | 1,244 | 1,110 |
Pacific Gas and Electric Co. 3.95% 2047 | 1,250 | 1,073 |
Pakistan (Islamic Republic of) 5.50% 20215 | 3,535 | 3,295 |
Pakistan (Islamic Republic of) 8.25% 2024 | 2,240 | 2,147 |
Panama (Republic of) 4.50% 20502 | 1,230 | 1,185 |
Paraguay (Republic of) 4.70% 20275 | 350 | 343 |
Paraguay (Republic of) 5.60% 20485 | 2,340 | 2,276 |
Peabody Energy Corp. 6.00% 20225 | 150 | 152 |
Peabody Energy Corp. 6.375% 20255 | 75 | 77 |
Pernod Ricard SA 4.45% 20225 | 730 | 751 |
Peru (Republic of) 5.625% 2050 | 280 | 326 |
Petrobras Global Finance Co. 6.125% 2022 | 657 | 670 |
Petrobras Global Finance Co. 5.299% 20255 | 1,650 | 1,527 |
Petrobras Global Finance Co. 6.85% 2115 | 2,000 | 1,688 |
Petróleos Mexicanos 6.50% 2027 | 2,675 | 2,740 |
Petróleos Mexicanos 6.35% 20485 | 927 | 844 |
Petsmart Inc., Term Loan B-2, (3-month USD-LIBOR + 3.00%) 5.341% 20222,4,6 | 725 | 602 |
Petsmart, Inc. 5.875% 20255 | 2,195 | 1,696 |
Petsmart, Inc. 8.875% 20255 | 1,240 | 821 |
Philip Morris International Inc. 2.00% 2020 | 950 | 935 |
Philip Morris International Inc. 2.625% 2022 | 280 | 273 |
Philip Morris International Inc. 4.25% 2044 | 475 | 451 |
Phillips 66 Partners LP 4.68% 2045 | 110 | 103 |
Pisces Parent, LLC 8.00% 20265 | 250 | 242 |
Platform Specialty Products Corp. 5.875% 20255 | 200 | 196 |
PNC Bank 2.40% 2019 | 1,225 | 1,217 |
PNC Bank 2.30% 2020 | 865 | 852 |
PNC Bank 2.60% 2020 | 275 | 272 |
Poland (Republic of) 4.00% 2024 | 980 | 997 |
Poland (Republic of) 3.25% 2026 | 4,590 | 4,439 |
Progress Energy, Inc. 7.05% 2019 | 910 | 936 |
Progress Energy, Inc. 7.75% 2031 | 550 | 733 |
Prologis, Inc. 4.25% 2023 | 2,075 | 2,140 |
Puget Energy, Inc. 6.50% 2020 | 335 | 359 |
Puget Energy, Inc. 6.00% 2021 | 1,023 | 1,095 |
Puget Energy, Inc. 5.625% 2022 | 480 | 509 |
Qatar (State of) 3.875% 20235 | 475 | 476 |
Bonds, notes & other debt instruments U.S. dollars (continued) | Principal amount (000) | Value (000) |
Qatar (State of) 4.50% 20285 | $3,205 | $3,241 |
Qatar (State of) 5.103% 20485 | 530 | 530 |
QGOG Constellation SA 9.50% 2024 (5.26% PIK)2,5,11 | 2,158 | 912 |
Quebec (Province of) 2.375% 2022 | 1,748 | 1,710 |
Quintiles Transnational Corp. 4.875% 20235 | 250 | 254 |
R.R. Donnelley & Sons Co. 7.875% 2021 | 300 | 306 |
R.R. Donnelley & Sons Co. 6.50% 2023 | 625 | 619 |
Rabobank Nederland 4.625% 2023 | 2,180 | 2,198 |
Rayonier Advanced Materials Inc. 5.50% 20245 | 325 | 307 |
Reynolds American Inc. 3.25% 2020 | 640 | 639 |
Reynolds American Inc. 4.00% 2022 | 455 | 458 |
Reynolds American Inc. 4.45% 2025 | 2,115 | 2,129 |
Roche Holdings, Inc. 2.875% 20215 | 1,250 | 1,238 |
Roche Holdings, Inc. 3.35% 20245 | 3,050 | 3,032 |
Roche Holdings, Inc. 2.375% 20275 | 725 | 662 |
Romania 5.125% 20485 | 6,200 | 5,998 |
Rotech Healthcare Inc., Term Loan B, (3-month USD-LIBOR + 3.75%) 6.087% 20232,4,6,9,10 | 497 | 497 |
Royal Dutch Shell PLC 1.375% 2019 | 2,000 | 1,968 |
Royal Dutch Shell PLC 1.75% 2021 | 1,740 | 1,667 |
Ryerson Inc. 11.00% 20225 | 835 | 921 |
Sally Holdings LLC and Sally Capital Inc. 5.625% 2025 | 550 | 510 |
Santander Holdings USA, Inc. 3.70% 2022 | 4,475 | 4,412 |
Saudi Arabia (Kingdom of) 2.894% 20225 | 1,900 | 1,850 |
Saudi Arabia (Kingdom of) 3.628% 20275 | 1,900 | 1,837 |
Saudi Arabia (Kingdom of) 3.625% 20285 | 3,840 | 3,660 |
Saudi Arabia (Kingdom of) 4.50% 20305 | 3,115 | 3,117 |
Scentre Group 3.50% 20255 | 600 | 579 |
Scentre Group 3.75% 20275 | 300 | 288 |
Schlumberger BV 4.00% 20255 | 1,460 | 1,457 |
Shire PLC 1.90% 2019 | 2,000 | 1,970 |
Shire PLC 2.40% 2021 | 3,930 | 3,765 |
Shire PLC 2.875% 2023 | 818 | 770 |
Shire PLC 3.20% 2026 | 405 | 372 |
Sierra Pacific Power Co., General and Refunding Mortgage Notes, Series T, 3.375% 2023 | 2,450 | 2,440 |
Sirius XM Radio Inc. 3.875% 20225 | 425 | 412 |
Skandinaviska Enskilda Banken AB 2.625% 2021 | 2,250 | 2,210 |
Skandinaviska Enskilda Banken AB 2.80% 2022 | 5,100 | 4,971 |
SM Energy Co. 6.50% 2021 | 75 | 77 |
Southwestern Energy Co. 4.10% 2022 | 1,315 | 1,262 |
Staples Inc. 8.50% 20255 | 260 | 243 |
Starwood Property Trust, Inc. 5.00% 2021 | 350 | 354 |
State Grid Overseas Investment Ltd. 3.50% 20275 | 5,600 | 5,349 |
Statoil ASA 3.70% 2024 | 1,950 | 1,969 |
Statoil ASA 4.25% 2041 | 1,000 | 994 |
Sunoco LP 4.875% 20235 | 130 | 125 |
Sweden (Kingdom of) 1.125% 20195 | 3,000 | 2,945 |
Talen Energy Corp. 9.50% 20225 | 360 | 355 |
Talen Energy Corp. 10.50% 20265 | 85 | 76 |
Targa Resources Partners LP 6.75% 2024 | 190 | 200 |
Team Health Holdings, Inc. 6.375% 20255 | 620 | 536 |
Teco Finance, Inc. 5.15% 2020 | 75 | 77 |
Teekay Corp. 8.50% 2020 | 2,075 | 2,148 |
Teekay Offshore Partners LP 8.50% 20235 | 400 | 405 |
Tenet Healthcare Corp. 4.75% 2020 | 175 | 176 |
Tenet Healthcare Corp. 6.00% 2020 | 430 | 443 |
Bonds, notes & other debt instruments U.S. dollars (continued) | Principal amount (000) | Value (000) |
Tenet Healthcare Corp. 4.375% 2021 | $250 | $247 |
Tenet Healthcare Corp. 4.50% 2021 | 1,625 | 1,617 |
Tenet Healthcare Corp. 4.625% 20245 | 421 | 400 |
Teva Pharmaceutical Finance Company BV 2.20% 2021 | 270 | 251 |
Teva Pharmaceutical Finance Company BV 2.80% 2023 | 1,280 | 1,106 |
Teva Pharmaceutical Finance Company BV 6.00% 2024 | 230 | 230 |
Teva Pharmaceutical Finance Company BV 3.15% 2026 | 2,420 | 1,948 |
Transocean Inc. 9.00% 20235 | 419 | 453 |
Trilogy International Partners, LLC 8.875% 20225 | 950 | 964 |
Turkey (Republic of) 6.25% 2022 | 1,880 | 1,889 |
U.S. Treasury 2.50% 2020 | 7,900 | 7,896 |
U.S. Treasury 1.125% 202113 | 28,660 | 27,575 |
U.S. Treasury 2.00% 2021 | 16,500 | 16,177 |
U.S. Treasury 2.00% 2022 | 3,500 | 3,397 |
U.S. Treasury 2.125% 2022 | 41,955 | 40,888 |
U.S. Treasury 2.375% 2023 | 27,625 | 27,205 |
U.S. Treasury 2.625% 2023 | 6,900 | 6,870 |
U.S. Treasury 2.75% 2023 | 39,400 | 39,423 |
U.S. Treasury 1.875% 2024 | 9,400 | 8,913 |
U.S. Treasury 2.75% 2025 | 12,000 | 11,945 |
U.S. Treasury 2.00% 2026 | 33,560 | 31,430 |
U.S. Treasury 2.25% 2027 | 27,700 | 26,307 |
U.S. Treasury 2.75% 202813 | 57,600 | 57,050 |
U.S. Treasury 2.875% 2028 | 24,000 | 24,030 |
U.S. Treasury 2.75% 204713 | 18,900 | 17,995 |
U.S. Treasury 3.00% 2048 | 10,600 | 10,612 |
U.S. Treasury 3.125% 2048 | 4,000 | 4,103 |
U.S. Treasury Inflation-Protected Security 0.125% 20243 | 7,174 | 6,976 |
U.S. Treasury Inflation-Protected Security 0.625% 20243 | 27,083 | 27,056 |
U.S. Treasury Inflation-Protected Security 0.25% 20253 | 11,740 | 11,422 |
U.S. Treasury Inflation-Protected Security 0.375% 20253 | 5,810 | 5,709 |
U.S. Treasury Inflation-Protected Security 2.375% 20253 | 1,528 | 1,695 |
U.S. Treasury Inflation-Protected Security 0.625% 20263 | 10,227 | 10,174 |
U.S. Treasury Inflation-Protected Security 0.375% 20273 | 3,785 | 3,679 |
U.S. Treasury Inflation-Protected Security 0.75% 20423 | 693 | 677 |
U.S. Treasury Inflation-Protected Security 0.625% 20433 | 1,308 | 1,238 |
U.S. Treasury Inflation-Protected Security 1.375% 20443 | 5,697 | 6,358 |
U.S. Treasury Inflation-Protected Security 0.75% 20453 | 713 | 691 |
U.S. Treasury Inflation-Protected Security 1.00% 20463 | 6,925 | 7,131 |
Ultra Petroleum Corp. 6.875% 20225 | 630 | 480 |
Ultra Petroleum Corp. 7.125% 20255 | 250 | 177 |
UniCredit SPA 3.75% 20225 | 1,750 | 1,671 |
UniCredit SPA 4.625% 20275 | 2,150 | 2,002 |
Union Pacific Corp. 4.50% 2048 | 260 | 263 |
Unisys Corp. 10.75% 20225 | 425 | 478 |
United Mexican States 3.75% 2028 | 2,000 | 1,893 |
UnitedHealth Group Inc. 2.70% 2020 | 520 | 517 |
Vale SA 6.25% 2026 | 1,310 | 1,422 |
Valeant Pharmaceuticals International, Inc. 6.125% 20255 | 2,450 | 2,266 |
Valeant Pharmaceuticals International, Inc. 9.00% 20255 | 110 | 115 |
Valeant Pharmaceuticals International, Inc. 9.25% 20265 | 545 | 567 |
Veritas Holdings Limited 7.50% 20235 | 200 | 188 |
Verizon Communications Inc. 4.50% 2033 | 1,920 | 1,865 |
Verizon Communications Inc. 4.125% 2046 | 1,814 | 1,554 |
Vine Oil & Gas LP 8.75% 20235 | 325 | 301 |
Bonds, notes & other debt instruments U.S. dollars (continued) | Principal amount (000) | Value (000) |
Virgin Australia Holdings Ltd. 8.50% 20195 | $100 | $101 |
Volkswagen Group of America Finance, LLC 2.45% 20195 | 545 | 539 |
Warrior Met Coal, Inc. 8.00% 20245 | 250 | 259 |
WEA Finance LLC 2.70% 20195 | 1,185 | 1,180 |
WEA Finance LLC 3.25% 20205 | 3,030 | 3,025 |
WEA Finance LLC 3.75% 20245 | 535 | 529 |
Weatherford International PLC 4.50% 2022 | 250 | 231 |
Weatherford International PLC 8.25% 2023 | 850 | 845 |
Weatherford International PLC 9.875% 2024 | 125 | 127 |
Weatherford International PLC 9.875% 20255 | 325 | 328 |
Weatherford International PLC 6.50% 2036 | 650 | 512 |
Weatherford International PLC 6.75% 2040 | 1,280 | 1,021 |
WellPoint, Inc. 2.30% 2018 | 585 | 585 |
Wells Fargo & Co. 3.584% 2028 (3-month USD-LIBOR + 1.31% on 5/15/2027)1 | 900 | 863 |
Western Gas Partners LP 4.00% 2022 | 1,500 | 1,483 |
Western Gas Partners LP 3.95% 2025 | 2,900 | 2,738 |
Westfield Corp. Ltd. 3.15% 20225 | 245 | 240 |
Williams Partners LP 4.125% 2020 | 375 | 380 |
Williams Partners LP 5.25% 2020 | 225 | 232 |
Williams Partners LP 4.50% 2023 | 760 | 772 |
Williams Partners LP 4.30% 2024 | 1,380 | 1,386 |
Wind Tre SpA 5.00% 20265 | 725 | 578 |
WM. Wrigley Jr. Co 3.375% 20205 | 515 | 517 |
Wynn Las Vegas, LLC and Wynn Capital Corp. 4.25% 20235 | 543 | 518 |
Wynn Las Vegas, LLC and Wynn Capital Corp. 5.50% 20255 | 375 | 369 |
Wynn Las Vegas, LLC and Wynn Capital Corp. 5.25% 20275 | 275 | 257 |
Ziggo Bond Finance BV 5.50% 20275 | 1,475 | 1,381 |
Zimmer Holdings, Inc. 3.15% 2022 | 790 | 776 |
1,000,418 | ||
Total bonds, notes & other debt instruments (cost: $2,095,810,000) | 2,055,706 | |
Convertible stocks 0.05% U.S. dollars 0.05% | Shares | |
Associated Materials, LLC, 14.00% convertible preferred 20209,10 | 850 | 1,033 |
Total convertible stocks (cost: $816,000) | 1,033 | |
Common stocks 0.07% Swiss francs 0.01% | ||
CEVA Logistics AG5,9,14 | 9,337 | 200 |
U.S. dollars 0.06% | ||
Corporate Risk Holdings I, Inc.7,9,10,14 | 25,840 | 791 |
Corporate Risk Holdings Corp.7,9,10,14 | 131 | — |
Ascent Resources Marcellus Holdings, Inc.9,14 | 158,988 | 513 |
Ply Gem Parent, LLC, Class B9,10,14 | 1 | — |
1,304 | ||
Total common stocks (cost: $2,505,000) | 1,504 |
Rights & warrants 0.00% U.S. dollars 0.00% | Shares | Value (000) |
Ascent Resources Marcellus Holdings, Inc., Class A, warrants, expire 20239,10,14 | 53,128 | $27 |
Ascent Resources Marcellus Holdings, Inc., Class B, warrants, expire 20239,10,14 | 41,322 | 16 |
Ascent Resources Marcellus Holdings, Inc., Class C, warrants, expire 20239,10,14 | 39,060 | 13 |
Associated Materials, LLC, warrants, expire 20239,10,14 | 12,075 | — |
Total rights & warrants (cost: $8,000) | 56 | |
Short-term securities 9.89% | Principal amount (000) | |
Caisse d’Amortissement de la Dette Sociale 1.99% due 7/9/2018 | $ 16,100 | 16,092 |
Egyptian Treasury Bills 15.42%–16.35% due 7/10/2018–12/18/2018 | EGP209,900 | 11,129 |
Japanese Treasury Discount Bills (0.14)% due 5/20/2019 | ¥11,900,000 | 107,607 |
Nigerian Treasury Bills 11.65%–16.91% due 7/5/2018–12/6/2018 | NGN5,525,905 | 14,861 |
Swedbank AB 1.85% due 7/2/2018 | $30,900 | 30,895 |
United Overseas Bank Ltd. 2.00% due 7/10/20185 | 40,600 | 40,576 |
Total short-term securities (cost: $221,612,000) | 221,160 | |
Total investment securities 101.92% (cost: $2,320,751,000) | 2,279,459 | |
Other assets less liabilities (1.92)% | (42,856) | |
Net assets 100.00% | $2,236,603 |
Contracts | Type | Number of contracts | Expiration | Notional amount15 (000) | Value at 6/30/201816 (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) |
5 Year Euro-Bobl Futures | Short | 142 | September 2018 | $(14,200) | $(21,918) | $(115) |
5 Year U.S. Treasury Note Futures | Long | 1,068 | October 2018 | 106,800 | 121,343 | 627 |
10 Year Ultra U.S. Treasury Note Futures | Long | 93 | September 2018 | 9,300 | 11,926 | 93 |
10 Year U.S. Treasury Note Futures | Long | 76 | September 2018 | 7,600 | 9,134 | 86 |
30 Year Ultra U.S. Treasury Bond Futures | Short | 141 | September 2018 | (14,100) | (22,498) | (204) |
$487 |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
USD5,763 | MXN107,300 | JPMorgan Chase | 7/9/2018 | $369 |
USD3,099 | ZAR39,200 | UBS AG | 7/9/2018 | 245 |
USD20,347 | JPY2,253,235 | JPMorgan Chase | 7/9/2018 | (18) |
JPY1,655,674 | USD15,154 | Goldman Sachs | 7/9/2018 | (190) |
JPY2,444,831 | USD22,377 | Goldman Sachs | 7/9/2018 | (281) |
USD18,116 | MYR72,000 | JPMorgan Chase | 7/10/2018 | 297 |
USD7,430 | PLN26,900 | JPMorgan Chase | 7/10/2018 | 248 |
USD16,626 | EUR14,075 | Citibank | 7/10/2018 | 176 |
USD5,651 | GBP4,200 | Citibank | 7/10/2018 | 105 |
USD10,112 | CHF9,930 | JPMorgan Chase | 7/10/2018 | 76 |
JPY445,496 | USD4,079 | Citibank | 7/10/2018 | (52) |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
CHF9,929 | USD10,112 | JPMorgan Chase | 7/10/2018 | $(76) |
JPY1,483,519 | USD13,545 | Citibank | 7/10/2018 | (136) |
MYR60,765 | USD15,198 | JPMorgan Chase | 7/10/2018 | (159) |
EUR14,075 | USD16,685 | Bank of America, N.A. | 7/10/2018 | (236) |
PLN26,900 | USD7,463 | JPMorgan Chase | 7/10/2018 | (280) |
USD7,727 | GBP5,900 | Morgan Stanley | 7/11/2018 | (63) |
USD15,400 | GBP11,737 | JPMorgan Chase | 7/11/2018 | (99) |
GBP23,523 | USD31,700 | Bank of America, N.A. | 7/11/2018 | (638) |
USD7,709 | THB244,600 | Bank of America, N.A. | 7/12/2018 | 323 |
USD13,972 | INR941,650 | JPMorgan Chase | 7/12/2018 | 250 |
USD1,723 | INR116,000 | JPMorgan Chase | 7/12/2018 | 32 |
NOK37,200 | USD4,621 | Bank of America, N.A. | 7/12/2018 | (51) |
GBP6,389 | USD8,564 | Citibank | 7/12/2018 | (127) |
USD4,890 | BRL17,500 | Citibank | 7/13/2018 | 382 |
USD9,306 | ILS33,250 | Bank of America, N.A. | 7/16/2018 | 206 |
EUR4,605 | USD5,442 | Bank of America, N.A. | 7/16/2018 | (58) |
EUR17,250 | USD20,667 | UBS AG | 7/16/2018 | (496) |
JPY1,010,000 | USD9,169 | JPMorgan Chase | 7/17/2018 | (35) |
JPY392,473 | USD3,563 | Citibank | 7/18/2018 | (14) |
NOK31,115 | DKK24,600 | Citibank | 7/18/2018 | (38) |
USD15,595 | KRW16,837,700 | Bank of America, N.A. | 7/19/2018 | 480 |
USD5,759 | COP16,479,481 | JPMorgan Chase | 7/19/2018 | 142 |
USD13,575 | INR923,000 | Citibank | 7/19/2018 | 135 |
USD8,450 | COP24,598,000 | Bank of America, N.A. | 7/19/2018 | 66 |
EUR5,423 | USD6,310 | Goldman Sachs | 7/19/2018 | 33 |
USD7,565 | MXN158,000 | Bank of America, N.A. | 7/19/2018 | (365) |
USD7,616 | MYR30,500 | JPMorgan Chase | 7/20/2018 | 69 |
EUR10,653 | GBP9,396 | Citibank | 7/20/2018 | 46 |
USD2,407 | INR163,000 | Goldman Sachs | 7/20/2018 | 34 |
JPY615,168 | EUR4,800 | JPMorgan Chase | 7/20/2018 | (50) |
GBP9,342 | EUR10,652 | JPMorgan Chase | 7/20/2018 | (119) |
USD30,622 | PLN114,400 | Bank of America, N.A. | 7/23/2018 | 70 |
USD7,540 | PLN28,100 | Bank of America, N.A. | 7/23/2018 | 36 |
JPY1,310,000 | USD11,918 | Citibank | 7/23/2018 | (67) |
USD9,131 | INR627,000 | Bank of America, N.A. | 7/24/2018 | 7 |
USD8,828 | ILS31,900 | Bank of America, N.A. | 7/25/2018 | 92 |
EUR10,459 | USD12,171 | JPMorgan Chase | 7/25/2018 | 68 |
USD23,290 | JPY2,576,365 | JPMorgan Chase | 7/25/2018 | (21) |
JPY727,337 | USD6,624 | Bank of America, N.A. | 7/25/2018 | (43) |
JPY2,576,365 | USD23,464 | Bank of America, N.A. | 7/25/2018 | (153) |
USD13,460 | CAD17,900 | JPMorgan Chase | 7/25/2018 | (163) |
EUR9,784 | PLN42,600 | Goldman Sachs | 7/27/2018 | 72 |
JPY878,869 | USD8,048 | Morgan Stanley | 7/27/2018 | (94) |
EUR24,418 | USD28,398 | Goldman Sachs | 7/31/2018 | 186 |
EUR3,395 | USD3,948 | Goldman Sachs | 7/31/2018 | 26 |
USD6,091 | THB201,000 | JPMorgan Chase | 7/31/2018 | 19 |
USD9,614 | AUD13,010 | Morgan Stanley | 7/31/2018 | (15) |
JPY646,098 | USD5,865 | Bank of New York Mellon | 7/31/2018 | (16) |
USD8,655 | EUR7,410 | JPMorgan Chase | 7/31/2018 | (19) |
JPY2,218,752 | USD20,140 | Bank of New York Mellon | 7/31/2018 | (55) |
JPY3,592,753 | USD32,612 | Bank of New York Mellon | 7/31/2018 | (90) |
USD7,567 | INR504,900 | Citibank | 9/24/2018 | 275 |
Contract amount | Counterparty | Settlement date | Unrealized appreciation (depreciation) at 6/30/2018 (000) | |
Purchases (000) | Sales (000) | |||
USD5,348 | BRL18,000 | Citibank | 11/29/2018 | $771 |
USD2,192 | BRL7,400 | Citibank | 11/29/2018 | 310 |
USD5,778 | BRL19,300 | Citibank | 3/11/2019 | 916 |
BRL19,300 | USD5,077 | JPMorgan Chase | 3/11/2019 | (216) |
USD16,793 | BRL56,500 | JPMorgan Chase | 3/15/2019 | 2,570 |
USD1,143 | EUR900 | JPMorgan Chase | 3/15/2019 | 69 |
BRL27,600 | USD7,227 | JPMorgan Chase | 3/15/2019 | (279) |
USD947 | EUR745 | Goldman Sachs | 4/12/2019 | 56 |
USD110,652 | JPY11,900,000 | Citibank | 5/20/2019 | 376 |
$4,821 |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) |
1.8935% | U.S. EFFR | 9/26/2018 | $335,900 | $(22) | $— | $(22) |
1.6505% | 3-month USD-LIBOR | 3/21/2019 | 85,000 | (526) | — | (526) |
1.4898% | 6-month EURIBOR | 11/24/2047 | €2,150 | 22 | — | 22 |
1.5768% | 6-month EURIBOR | 3/6/2048 | 5,000 | 179 | — | 179 |
1.4658% | 6-month EURIBOR | 4/20/2048 | 3,000 | 10 | — | 10 |
$— | $(337) |
1 | Step bond; coupon rate may change at a later date. |
2 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
3 | Index-linked bond whose principal amount moves with a government price index. |
4 | Coupon rate may change periodically. |
5 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $215,969,000, which represented 9.66% of the net assets of the fund. |
6 | Loan participations and assignments; may be subject to legal or contractual restrictions on resale. The total value of all such loans was $5,825,000, which represented .26% of the net assets of the fund. |
7 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on these holdings appear on the following page. |
8 | Scheduled interest and/or principal payment was not received. |
9 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $3,268,000, which represented .15% of the net assets of the fund. |
10 | Value determined using significant unobservable inputs. |
11 | Payment in kind; the issuer has the option of paying additional securities in lieu of cash. Most recent payment was 100% cash unless otherwise noted. |
12 | Purchased on a TBA basis. |
13 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $2,553,000, which represented .11% of the net assets of the fund. |
14 | Security did not produce income during the last 12 months. |
15 | Notional amount is calculated based on the number of contracts and notional contract size. |
16 | Value is calculated based on the notional amount and current market price. |
Private placement securities | Acquisition date | Cost (000) | Value (000) | Percent of net assets |
Blackstone CQP Holdco LP, 6.50% 2021 | 3/6/2017 | $3,120 | $3,136 | .14% |
Blackstone CQP Holdco LP, 6.00% 2021 | 8/9/2017 | 225 | 226 | .01 |
Corporate Risk Holdings I, Inc. | 8/31/2015 | 287 | 791 | .04 |
Corporate Risk Holdings Corp. | 8/31/2015 | — | — | .00 |
Total private placement securities | $3,632 | $4,153 | .19% |
Key to abbreviations and symbols | |
AUD/A$ = Australian dollars | KRW = South Korean won |
ARS = Argentine pesos | LIBOR = London Interbank Offered Rate |
BRL = Brazilian reais | MXN = Mexican pesos |
CAD/C$ = Canadian dollars | MYR = Malaysian ringgits |
CHF = Swiss francs | NGN = Nigerian naira |
COP = Colombian pesos | NOK/NKr = Norwegian kroner |
CZK = Czech korunas | PEN = Peruvian nuevos soles |
DKK/DKr = Danish kroner | PLN = Polish zloty |
EFFR = Effective Federal Funds Rate | RON = Romanian leu |
EGP = Egyptian pounds | TBA = To-be-announced |
EUR/€ = Euros | THB = Thai baht |
EURIBOR = Euro Interbank Offered Rate | TRY = Turkish lira |
GBP/£ = British pounds | USD/$ = U.S. dollars |
ILS = Israeli shekels | UYU = Uruguayan pesos |
INR = Indian rupees | ZAR = South African rand |
JPY/¥ = Japanese yen |
Bonds, notes & other debt instruments 95.20% Corporate bonds & notes 94.70% Energy 18.98% | Principal amount (000) | Value (000) |
Aker BP ASA 5.875% 20251 | $2,100 | $2,170 |
American Energy (Permian Basin) 7.125% 20201 | 7,445 | 4,728 |
American Energy (Permian Basin) 7.375% 20211 | 6,770 | 4,164 |
American Midstream Partners, LP 8.50% 20211 | 1,350 | 1,330 |
Antero Resources Corp. 5.375% 2024 | 2,745 | 2,779 |
Ascent Resources Marcellus Holdings, Inc., Term Loan B, (3-month USD-LIBOR + 6.50%) 8.501% 20232,3,4 | 1,329 | 1,335 |
Ascent Resources-Utica LLC 10.00% 20221 | 675 | 746 |
Berry Petroleum Corporation 7.00% 20261 | 2,160 | 2,214 |
Blackstone CQP Holdco LP 6.00% 20211,5 | 1,600 | 1,604 |
Blackstone CQP Holdco LP 6.50% 20211,5 | 21,230 | 21,336 |
Blue Racer Midstream LLC / Blue Racer Finance Corp. 6.125% 20221 | 2,000 | 2,030 |
California Resources Corp., Term Loan B1, (3-month USD-LIBOR + 10.375%) 12.466% 20212,3,4 | 1,325 | 1,476 |
California Resources Corp., Term Loan B, (3-month USD-LIBOR + 4.75%) 6.838% 20222,3,4 | 3,200 | 3,266 |
Carrizo Oil & Gas Inc. 6.25% 2023 | 2,500 | 2,544 |
Cheniere Energy Partners, LP 5.25% 20251 | 2,200 | 2,151 |
Chesapeake Energy Corp. (3-month USD-LIBOR + 3.25%) 5.598% 20194 | 2,220 | 2,220 |
Chesapeake Energy Corp. 4.875% 2022 | 4,500 | 4,342 |
Chesapeake Energy Corp. 8.00% 20221 | 2,993 | 3,153 |
Chesapeake Energy Corp. 8.00% 2025 | 6,100 | 6,228 |
Chesapeake Energy Corp. 8.00% 2027 | 2,795 | 2,851 |
CONSOL Energy Inc. 5.875% 2022 | 12,824 | 12,923 |
Convey Park Energy LLC 7.50% 20251 | 1,400 | 1,435 |
DCP Midstream LP 7.375% 2022 (3-month USD-LIBOR + 5.148% on 12/15/2022)6 | 1,500 | 1,439 |
DCP Midstream Operating LP 4.95% 2022 | 3,030 | 3,072 |
Denbury Resources Inc. 9.00% 20211 | 851 | 904 |
Diamond Offshore Drilling, Inc. 7.875% 2025 | 1,650 | 1,716 |
Diamond Offshore Drilling, Inc. 4.875% 2043 | 3,260 | 2,363 |
Diamondback Energy, Inc. 5.375% 20251 | 950 | 951 |
Enbridge Inc., Series A, 6.00% 2077 (3-month USD-LIBOR + 3.89% on 1/15/2027)6 | 1,835 | 1,734 |
Energy Transfer Partners, LP 4.25% 2023 | 1,775 | 1,717 |
Energy Transfer Partners, LP 5.875% 2024 | 2,925 | 3,005 |
Energy Transfer Partners, LP 5.50% 2027 | 3,120 | 3,128 |
Energy Transfer Partners, LP 6.25% (undated) (3-month USD-LIBOR + 4.028% on 2/15/2023)6 | 1,750 | 1,624 |
Ensco PLC 7.75% 2026 | 3,225 | 3,059 |
Ensco PLC 5.75% 2044 | 4,845 | 3,440 |
EP Energy Corp. 8.00% 20241 | 1,300 | 1,320 |
EP Energy Corp. 7.75% 20261 | 1,200 | 1,230 |
Extraction Oil & Gas, Inc. 5.625% 20261 | 4,040 | 3,874 |
Genesis Energy, LP 6.75% 2022 | 2,300 | 2,334 |
Genesis Energy, LP 6.50% 2025 | 1,690 | 1,631 |
Indigo Natural Resources LLC 6.875% 20261 | 885 | 861 |
Jagged Peak Energy LLC 5.875% 20261 | 1,300 | 1,277 |
Jonah Energy LLC 7.25% 20251 | 4,400 | 3,575 |
Jupiter Resources Inc. 8.50% 20221 | 695 | 287 |
Kcad Holdings I Ltd. 7.25% 20211 | 1,220 | 1,186 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Energy (continued) | Principal amount (000) | Value (000) |
Laredo Petroleum, Inc. 5.625% 2022 | $1,656 | $1,642 |
McDermott International, Inc. 10.625% 20241 | 1,900 | 1,985 |
McDermott International, Term Loan B, (3-month USD-LIBOR + 5.00%) 6.908% 20252,3,4 | 1,172 | 1,180 |
Murphy Oil Corp. 6.875% 2024 | 1,400 | 1,474 |
Murphy Oil Corp. 5.75% 2025 | 1,690 | 1,689 |
Nabors Industries Ltd. 5.75% 20251 | 1,300 | 1,232 |
Neptune Energy Group Holdings Ltd. 6.625% 20251 | 1,185 | 1,155 |
NGL Energy Partners LP 6.875% 2021 | 7,010 | 7,124 |
NGL Energy Partners LP 6.125% 2025 | 4,690 | 4,455 |
Noble Corp. PLC 7.95% 20256 | 2,225 | 2,080 |
Noble Corp. PLC 8.95% 20456 | 2,250 | 2,064 |
NuStar Logistics, LP 5.625% 2027 | 2,000 | 1,942 |
Oasis Petroleum Inc. 6.25% 20261 | 910 | 920 |
ONEOK, Inc. 7.50% 2023 | 1,250 | 1,434 |
Parsley Energy, Inc. 6.25% 20241 | 500 | 520 |
Parsley Energy, Inc. 5.25% 20251 | 500 | 494 |
Parsley Energy, Inc. 5.375% 20251 | 650 | 648 |
PDC Energy Inc. 5.75% 20261 | 1,125 | 1,126 |
Peabody Energy Corp. 6.00% 20221 | 1,050 | 1,067 |
Peabody Energy Corp. 6.375% 20251 | 425 | 438 |
Petrobras Global Finance Co. 7.375% 2027 | 1,330 | 1,332 |
QEP Resources, Inc. 5.625% 2026 | 855 | 820 |
QGOG Constellation SA 9.50% 2024 (5.26% PIK)1,3,7 | 6,129 | 2,589 |
Range Resources Corp. 5.00% 2022 | 575 | 572 |
Range Resources Corp. 4.875% 2025 | 1,600 | 1,508 |
Rockpoint Gas Storage Canada Ltd 7.00% 20231 | 2,450 | 2,462 |
Sanchez Energy Corp. 7.25% 20231 | 2,525 | 2,509 |
Seven Generations Energy Ltd. 5.375% 20251 | 425 | 410 |
SM Energy Co. 6.50% 2021 | 750 | 768 |
SM Energy Co. 6.125% 2022 | 750 | 773 |
SM Energy Co. 5.625% 2025 | 905 | 878 |
Southwestern Energy Co. 4.10% 2022 | 7,430 | 7,133 |
Southwestern Energy Co. 7.50% 2026 | 2,325 | 2,418 |
Southwestern Energy Co. 7.75% 2027 | 475 | 494 |
Sunoco LP 4.875% 20231 | 4,225 | 4,067 |
Sunoco LP 5.50% 20261 | 1,895 | 1,800 |
Sunoco LP 5.875% 20281 | 725 | 685 |
Tapstone Energy Inc. 9.75% 20221 | 2,075 | 1,821 |
Targa Resources Corp. 5.875% 20261 | 2,400 | 2,421 |
Targa Resources Partners LP 6.75% 2024 | 1,035 | 1,089 |
Targa Resources Partners LP 5.125% 2025 | 375 | 371 |
Teekay Corp. 8.50% 2020 | 12,018 | 12,439 |
Teekay Offshore Partners LP 8.50% 20231 | 3,550 | 3,594 |
Transocean Guardian Ltd. 5.875% 20241,3 | 2,790 | 2,776 |
Transocean Inc. 8.375% 20216 | 2,805 | 3,015 |
Transocean Inc. 9.00% 20231 | 3,141 | 3,392 |
Transocean Inc. 7.75% 20241,3 | 1,594 | 1,713 |
Transocean Inc. 7.50% 20261 | 350 | 356 |
Ultra Petroleum Corp. 6.875% 20221 | 4,090 | 3,119 |
Ultra Petroleum Corp. 7.125% 20251 | 1,675 | 1,185 |
USA Compression Partners, LP 6.875% 20261 | 1,950 | 2,026 |
Vine Oil & Gas LP 8.75% 20231 | 1,450 | 1,345 |
Vine Oil & Gas LP, Term Loan, (3-month USD-LIBOR + 6.875%) 8.969% 20212,3,4,8 | 1,550 | 1,558 |
Weatherford International PLC 7.75% 2021 | 1,710 | 1,766 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Energy (continued) | Principal amount (000) | Value (000) |
Weatherford International PLC 4.50% 2022 | $2,640 | $2,436 |
Weatherford International PLC 8.25% 2023 | 225 | 224 |
Weatherford International PLC 9.875% 2024 | 905 | 918 |
Weatherford International PLC 9.875% 20251 | 2,725 | 2,752 |
Weatherford International PLC 6.50% 2036 | 5,615 | 4,422 |
Weatherford International PLC 6.75% 2040 | 7,755 | 6,185 |
Whiting Petroleum Corp. 6.625% 20261 | 2,085 | 2,153 |
Williams Companies, Inc. 4.55% 2024 | 500 | 503 |
WPX Energy Inc. 6.00% 2022 | 516 | 539 |
WPX Energy Inc. 5.75% 2026 | 2,045 | 2,053 |
264,810 | ||
Health care 14.05% | ||
Centene Corp. 4.75% 2022 | 6,515 | 6,588 |
Centene Corp. 6.125% 2024 | 2,000 | 2,113 |
Centene Corp. 4.75% 2025 | 3,655 | 3,646 |
Centene Corp. 5.375% 20261 | 5,660 | 5,748 |
Charles River Laboratories International, Inc. 5.50% 20261 | 885 | 889 |
Community Health Systems Inc. 6.25% 2023 | 850 | 782 |
Concordia Healthcare Corp. 9.50% 20221,9 | 1,645 | 103 |
Concordia Healthcare Corp. 7.00% 20231,9 | 6,590 | 412 |
Concordia Healthcare Corp., Term Loan B, (3-month USD-LIBOR + 4.25%) 6.344% 20212,3,4 | 1,518 | 1,353 |
DaVita HealthCare Partners Inc. 5.125% 2024 | 3,265 | 3,173 |
DaVita HealthCare Partners Inc. 5.00% 2025 | 2,365 | 2,232 |
Eagle Holding Co II LLC 7.625% 20221,7 | 450 | 456 |
Endo International PLC 5.75% 20221 | 3,475 | 3,128 |
Endo International PLC 5.375% 20231,6 | 600 | 483 |
Endo International PLC 6.00% 20231 | 4,335 | 3,587 |
Endo International PLC 5.875% 20241 | 1,450 | 1,421 |
Endo International PLC 6.00% 20251,6 | 2,805 | 2,202 |
Envision Healthcare Corp. 5.125% 20221 | 880 | 892 |
HCA Inc. 7.50% 2022 | 360 | 392 |
HCA Inc. 5.875% 2023 | 1,925 | 2,002 |
HCA Inc. 5.375% 2025 | 650 | 642 |
HCA Inc. 5.25% 2026 | 550 | 548 |
HCA Inc. 5.875% 2026 | 1,805 | 1,825 |
HCA Inc. 4.50% 2027 | 2,025 | 1,911 |
HCA Inc. 7.50% 2033 | 315 | 333 |
HCA Inc. 7.75% 2036 | 205 | 217 |
Healthsouth Corp. 5.75% 2024 | 1,275 | 1,281 |
Healthsouth Corp. 5.75% 2025 | 2,480 | 2,517 |
Hologic, Inc. 4.375% 20251 | 2,730 | 2,614 |
IMS Health Holdings, Inc. 5.00% 20261 | 2,350 | 2,297 |
inVentiv Health, Inc. 7.50% 20241 | 1,340 | 1,410 |
Jaguar Holding Co. 6.375% 20231 | 2,625 | 2,619 |
Kinetic Concepts, Inc. 7.875% 20211 | 700 | 711 |
Kinetic Concepts, Inc. 12.50% 20211 | 6,463 | 7,174 |
Mallinckrodt PLC 4.875% 20201 | 5,365 | 5,298 |
Molina Healthcare, Inc. 5.375% 2022 | 10,910 | 11,033 |
Molina Healthcare, Inc. 4.875% 20251 | 4,294 | 4,187 |
Multiplan, Inc. 8.50% 20221,7 | 1,035 | 1,071 |
Multiplan, Inc. 7.125% 20241 | 2,575 | 2,646 |
NVA Holdings Inc. 6.875% 20261 | 3,080 | 3,076 |
Owens & Minor, Inc. 3.875% 2021 | 3,075 | 2,937 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Health care (continued) | Principal amount (000) | Value (000) |
Owens & Minor, Inc., Term Loan B, (3-month USD-LIBOR + 4.50%) 6.869% 20252,3,4 | $1,750 | $1,722 |
PAREXEL International Corp. 6.375% 20251 | 4,110 | 3,946 |
Prestige Brands International Inc. 6.375% 20241 | 2,725 | 2,711 |
Quintiles Transnational Corp. 4.875% 20231 | 2,300 | 2,335 |
Rotech Healthcare Inc., Term Loan B, (3-month USD-LIBOR + 3.75%) 6.087% 20232,3,4,8,10 | 2,310 | 2,311 |
Rotech Healthcare Inc., Term Loan, (3-month USD-LIBOR + 11.00%) 13.325% 20232,3,4,7,8,10 | 6,914 | 6,311 |
Team Health Holdings, Inc. 6.375% 20251 | 2,905 | 2,513 |
Teleflex Inc. 4.625% 2027 | 930 | 882 |
Tenet Healthcare Corp. 4.75% 2020 | 4,050 | 4,080 |
Tenet Healthcare Corp. 6.00% 2020 | 6,565 | 6,770 |
Tenet Healthcare Corp. 4.375% 2021 | 4,255 | 4,207 |
Tenet Healthcare Corp. 4.50% 2021 | 1,405 | 1,398 |
Tenet Healthcare Corp. 8.125% 2022 | 3,250 | 3,404 |
Tenet Healthcare Corp. 6.75% 2023 | 1,650 | 1,648 |
Tenet Healthcare Corp. 4.625% 20241 | 4,042 | 3,844 |
Tenet Healthcare Corp. 5.125% 20251 | 450 | 429 |
Teva Pharmaceutical Finance Company BV 2.20% 2021 | 987 | 916 |
Teva Pharmaceutical Finance Company BV 2.80% 2023 | 1,925 | 1,664 |
Teva Pharmaceutical Finance Company BV 6.00% 2024 | 3,315 | 3,314 |
Teva Pharmaceutical Finance Company BV 6.75% 2028 | 2,900 | 2,960 |
Teva Pharmaceutical Industries Ltd. 4.50% 2025 | €800 | 959 |
Valeant Pharmaceuticals International, Inc. 5.625% 20211 | $1,175 | 1,160 |
Valeant Pharmaceuticals International, Inc. 7.50% 20211 | 2,840 | 2,890 |
Valeant Pharmaceuticals International, Inc. 7.25% 20221 | 1,150 | 1,178 |
Valeant Pharmaceuticals International, Inc. 5.875% 20231 | 7,585 | 7,154 |
Valeant Pharmaceuticals International, Inc. 7.00% 20241 | 1,375 | 1,443 |
Valeant Pharmaceuticals International, Inc. 6.125% 20251 | 12,705 | 11,752 |
Valeant Pharmaceuticals International, Inc. 9.00% 20251 | 2,540 | 2,645 |
Valeant Pharmaceuticals International, Inc. 9.25% 20261 | 6,985 | 7,273 |
Valeant Pharmaceuticals International, Inc. 8.50% 20271 | 1,500 | 1,526 |
Valeant Pharmaceuticals International, Inc., Term Loan B, (3-month USD-LIBOR + 3.00%) 4.982% 20252,3,4 | 1,675 | 1,672 |
Vizient Inc. 10.375% 20241 | 985 | 1,091 |
196,057 | ||
Consumer discretionary 12.90% | ||
American Axle & Manufacturing Holdings, Inc. 6.25% 2025 | 495 | 493 |
American Axle & Manufacturing Holdings, Inc. 6.50% 2027 | 2,775 | 2,744 |
Cablevision Systems Corp. 6.75% 2021 | 5,275 | 5,539 |
Caesars Resort Collection LLC, Term Loan, (3-month USD-LIBOR + 2.75%) 4.844% 20242,3,4 | 995 | 994 |
CCO Holdings LLC and CCO Holdings Capital Corp. 4.00% 20231 | 2,575 | 2,427 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.125% 20231 | 2,225 | 2,202 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.875% 20241 | 1,350 | 1,360 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.375% 20251 | 550 | 533 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.50% 20261 | 2,600 | 2,528 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.75% 20261 | 8,450 | 8,323 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.125% 20271 | 3,125 | 2,926 |
CCO Holdings LLC and CCO Holdings Capital Corp. 5.00% 20281 | 4,725 | 4,347 |
Churchill Downs Inc. 4.75% 20281 | 1,000 | 930 |
Cirsa Gaming Corporation SA 7.875% 20231 | 2,385 | 2,333 |
Clear Channel Worldwide Holdings, Inc. 7.625% 2020 | 12,700 | 12,672 |
ClubCorp Holdings, Inc., Term Loan B, (3-month USD-LIBOR + 2.75%) 5.084% 20242,3,4 | 2,047 | 2,034 |
Constellation Merger Sub Inc. 8.50% 20251 | 1,025 | 980 |
CRC Escrow Issuer LLC 5.25% 20251 | 3,250 | 3,083 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Consumer discretionary (continued) | Principal amount (000) | Value (000) |
Delta 2 (Formula One), Term Loan B, (3-month USD-LIBOR + 2.50%) 4.594% 20242,3,4 | $1,046 | $1,034 |
Fertitta Entertainment, Inc. 6.75% 20241 | 2,100 | 2,106 |
Fertitta Entertainment, Inc. 8.75% 20251 | 2,075 | 2,137 |
Goodyear Tire & Rubber Co. 4.875% 2027 | 750 | 687 |
Hanesbrands Inc. 4.625% 20241 | 1,785 | 1,749 |
Hanesbrands Inc. 4.875% 20261 | 600 | 582 |
iHeartCommunications, Inc. 9.00% 2019 | 1,025 | 782 |
iHeartCommunications, Inc., Term Loan D, (3-month USD-LIBOR + 6.75%) 8.844% 20192,3,4 | 1,725 | 1,322 |
International Game Technology 6.50% 20251 | 1,600 | 1,660 |
IRB Holding Corp. 6.75% 20261 | 4,000 | 3,830 |
Laureate Education, Inc. 8.25% 20251 | 1,060 | 1,136 |
Levi Strauss & Co. 5.00% 2025 | 1,280 | 1,280 |
Liberty Global PLC 6.125% 20251 | 900 | 931 |
Liberty Global PLC 5.50% 20281 | 2,175 | 1,963 |
Limited Brands, Inc. 5.25% 2028 | 1,095 | 975 |
Limited Brands, Inc. 6.875% 2035 | 525 | 470 |
Live Nation Entertainment, Inc. 5.625% 20261 | 425 | 423 |
M.D.C. Holdings, Inc. 6.00% 2043 | 995 | 871 |
MDC Partners Inc. 6.50% 20241 | 750 | 654 |
Meredith Corp. 6.875% 20261 | 7,140 | 7,060 |
Meredith Corp., Term Loan B, (3-month USD-LIBOR + 3.00%) 5.094% 20252,3,4 | 1,696 | 1,699 |
Meritage Homes Corp. 5.125% 2027 | 1,875 | 1,748 |
Merlin Entertainment 5.75% 20261 | 2,000 | 2,035 |
MGM Resorts International 7.75% 2022 | 1,800 | 1,966 |
MGM Resorts International 6.00% 2023 | 1,450 | 1,497 |
Mohegan Tribal Gaming Authority 7.875% 20241 | 975 | 923 |
Neiman Marcus Group LTD Inc. 8.00% 20211 | 675 | 450 |
Neiman Marcus Group LTD Inc. 9.50% 2021 (100% PIK)1,7 | 1,625 | 1,089 |
Neiman Marcus Group LTD Inc., Term Loan B, (3-month USD-LIBOR + 3.25%) 5.564% 20202,3,4 | 4,186 | 3,720 |
NMG Finco PLC 5.75% 20221 | 3,850 | 3,831 |
Petsmart Inc., Term Loan B-2, (3-month USD-LIBOR + 3.00%) 5.341% 20222,3,4 | 5,575 | 4,631 |
Petsmart, Inc. 7.125% 20231 | 2,770 | 1,873 |
Petsmart, Inc. 5.875% 20251 | 15,140 | 11,696 |
Petsmart, Inc. 8.875% 20251 | 6,430 | 4,260 |
Rodan & Fields, LLC, Term Loan B, (3-month USD-LIBOR + 4.00%) 6.327% 20252,3,4,8 | 875 | 877 |
Ruyi US Finance LLC 7.50% 20251 | 1,205 | 1,206 |
Sally Holdings LLC and Sally Capital Inc. 5.625% 2025 | 4,500 | 4,174 |
Schaeffler Verwaltungs 4.75% 20261,7 | 1,350 | 1,274 |
Scientific Games Corp. 6.25% 2020 | 1,240 | 1,246 |
Scientific Games Corp. 10.00% 2022 | 262 | 280 |
Scientific Games Corp. 5.00% 20251 | 2,340 | 2,235 |
Scientific Games Corp., Term Loan B5, (3-month USD-LIBOR + 2.75%) 4.730% 20242,3,4 | 873 | 871 |
Sirius XM Radio Inc 4.625% 20231 | 900 | 883 |
Sirius XM Radio Inc 5.375% 20251 | 525 | 519 |
Sirius XM Radio Inc 5.375% 20261 | 775 | 748 |
Sirius XM Radio Inc. 3.875% 20221 | 3,175 | 3,080 |
Six Flags Entertainment Corp. 4.875% 20241 | 5,425 | 5,285 |
Sotheby’s 4.875% 20251 | 5,870 | 5,650 |
Stars Group Holdings BV, Term Loan, (3-month USD-LIBOR + 3.50%) 5.836% 20252,3,4 | 2,300 | 2,288 |
TI Automotive Ltd. 8.75% 20231 | 554 | 579 |
Warner Music Group 5.625% 20221 | 2,114 | 2,169 |
Warner Music Group 5.00% 20231 | 2,670 | 2,667 |
Warner Music Group 5.50% 20261 | 1,000 | 994 |
Wyndham Worldwide Corp. 5.375% 20261 | 1,325 | 1,322 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Consumer discretionary (continued) | Principal amount (000) | Value (000) |
Wynn Las Vegas, LLC and Wynn Capital Corp. 4.25% 20231 | $2,823 | $2,692 |
Wynn Las Vegas, LLC and Wynn Capital Corp. 5.50% 20251 | 7,275 | 7,166 |
Wynn Las Vegas, LLC and Wynn Capital Corp. 5.25% 20271 | 1,400 | 1,311 |
Wynn Macau, Ltd. 4.875% 20241 | 1,005 | 962 |
179,996 | ||
Materials 11.45% | ||
AK Steel Holding Corp. 7.625% 2021 | 2,000 | 2,049 |
AK Steel Holding Corp. 7.00% 2027 | 450 | 430 |
Alcoa Inc. 6.125% 20281 | 845 | 852 |
ArcelorMittal 6.125% 2025 | 500 | 541 |
ARD Securities Finance SARL 8.75% 20231,7 | 1,290 | 1,319 |
Ardagh Group SA 7.125% 20237 | 450 | 452 |
Ardagh Packaging Finance 6.00% 20251 | 2,080 | 2,031 |
Axalta Coating Systems LLC 4.875% 20241 | 1,450 | 1,443 |
Ball Corp. 4.375% 2020 | 1,775 | 1,795 |
Ball Corp. 5.00% 2022 | 825 | 851 |
Berry Plastics Corp. 5.50% 2022 | 820 | 828 |
BWAY Parent Co. Inc. 5.50% 20241 | 2,190 | 2,141 |
BWAY Parent Co. Inc. 7.25% 20251 | 3,825 | 3,739 |
BWAY Parent Co. Inc., Term Loan, (3-month USD-LIBOR + 3.25%) 5.587% 20242,3,4 | 337 | 338 |
Carlyle Group LP 8.75% 20231,7 | 1,730 | 1,728 |
CF Industries, Inc. 4.95% 2043 | 2,565 | 2,169 |
Chemours Co. 6.625% 2023 | 2,410 | 2,531 |
Cleveland-Cliffs Inc. 4.875% 20241 | 3,825 | 3,701 |
Cleveland-Cliffs Inc. 5.75% 2025 | 15,000 | 14,269 |
Commercial Metals Co. 5.375% 2027 | 1,200 | 1,143 |
Consolidated Energy Finance SA 6.875% 20251 | 750 | 773 |
Consolidated Energy Finance SA 6.50% 20261 | 1,445 | 1,432 |
Constellium NV 5.875% 20261 | 1,450 | 1,403 |
CVR Partners, LP 9.25% 20231 | 1,300 | 1,344 |
First Quantum Minerals Ltd. 7.00% 20211 | 5,070 | 5,130 |
First Quantum Minerals Ltd. 7.25% 20221 | 3,025 | 3,070 |
First Quantum Minerals Ltd. 7.25% 20231 | 1,225 | 1,228 |
First Quantum Minerals Ltd. 6.50% 20241 | 2,725 | 2,636 |
First Quantum Minerals Ltd. 7.50% 20251 | 12,300 | 12,185 |
First Quantum Minerals Ltd. 6.875% 20261 | 4,150 | 3,984 |
Flex Acquisition Company, Inc. 7.875% 20261 | 1,450 | 1,448 |
Freeport-McMoRan Inc. 3.55% 2022 | 7,415 | 7,063 |
Freeport-McMoRan Inc. 3.875% 2023 | 500 | 474 |
Freeport-McMoRan Inc. 6.875% 2023 | 1,000 | 1,059 |
FXI Holdings, Inc. 7.875% 20241 | 1,430 | 1,401 |
H.I.G. Capital, LLC 6.75% 20241 | 5,149 | 5,052 |
Hexion Inc. 6.625% 2020 | 1,925 | 1,807 |
Hexion Inc. 10.375% 20221 | 1,850 | 1,822 |
Huntsman International LLC 4.875% 2020 | 1,595 | 1,625 |
INEOS Group Holdings SA 5.625% 20241 | 1,950 | 1,926 |
LSB Industries, Inc. 9.625% 20231 | 3,040 | 3,074 |
Nova Chemicals Corp. 4.875% 20241 | 1,800 | 1,717 |
Nova Chemicals Corp. 5.25% 20271 | 2,650 | 2,476 |
Novelis Corp. 6.25% 20241 | 760 | 762 |
Novelis Corp. 5.875% 20261 | 2,195 | 2,107 |
OCI NV 6.625% 20231 | 1,560 | 1,590 |
Owens-Illinois, Inc. 5.00% 20221 | 560 | 560 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Materials (continued) | Principal amount (000) | Value (000) |
Owens-Illinois, Inc. 5.875% 20231 | $1,580 | $1,604 |
Owens-Illinois, Inc. 6.375% 20251 | 2,125 | 2,189 |
Plastipak Holdings, Inc. 6.25% 20251 | 1,995 | 1,845 |
Plastipak Holdings, Inc., Term Loan, (3-month USD-LIBOR + 2.50%) 4.49% 20242,3,4 | 328 | 326 |
Platform Specialty Products Corp. 6.50% 20221 | 1,950 | 1,989 |
Platform Specialty Products Corp. 5.875% 20251 | 6,535 | 6,396 |
PQ Group Holdings Inc. 5.75% 20251 | 685 | 680 |
Rayonier Advanced Materials Inc. 5.50% 20241 | 1,710 | 1,616 |
Reynolds Group Inc. 5.75% 20203 | 315 | 317 |
Reynolds Group Inc. 7.00% 20241 | 3,650 | 3,734 |
Ryerson Inc. 11.00% 20221 | 6,336 | 6,985 |
Scotts Miracle-Gro Co. 5.25% 2026 | 750 | 720 |
SPCM SA 4.875% 20251 | 1,675 | 1,604 |
Standard Industries Inc. 6.00% 20251 | 1,750 | 1,763 |
Summit Materials, Inc. 6.125% 2023 | 620 | 632 |
Summit Materials, Inc. 5.125% 20251 | 2,795 | 2,634 |
Trinseo SA 5.375% 20251 | 2,270 | 2,256 |
Tronox Ltd. 5.75% 20251 | 700 | 682 |
United States Steel Corp. 7.375% 2020 | 925 | 985 |
Vale SA 4.375% 2022 | 135 | 137 |
Vale SA 6.25% 2026 | 970 | 1,053 |
Venator Materials Corp. 5.75% 20251 | 1,650 | 1,584 |
Warrior Met Coal, Inc. 8.00% 20241 | 3,850 | 3,985 |
Zekelman Industries Inc. 9.875% 20231 | 520 | 571 |
159,785 | ||
Industrials 9.08% | ||
ACCO Brands Corp. 5.25% 20241 | 1,190 | 1,190 |
ADT Corp. 3.50% 2022 | 2,050 | 1,929 |
AECOM Technology Corp. 5.875% 2024 | 210 | 218 |
Allison Transmission Holdings, Inc. 5.00% 20241 | 6,265 | 6,179 |
APX Group, Inc. 8.75% 2020 | 1,360 | 1,305 |
ARAMARK Corp. 5.125% 2024 | 2,685 | 2,692 |
Ashtead Group PLC 4.125% 20251 | 920 | 862 |
Ashtead Group PLC 4.375% 20271 | 585 | 546 |
Associated Materials, LLC 9.00% 20241 | 7,000 | 7,367 |
Avis Budget Group, Inc. 5.50% 2023 | 2,330 | 2,280 |
Beacon Roofing Supply, Inc. 4.875% 20251 | 1,750 | 1,627 |
Bohai Financial Investment Holding Co., Ltd. 5.25% 20221 | 675 | 671 |
Bohai Financial Investment Holding Co., Ltd. 4.50% 20231 | 925 | 881 |
Bohai Financial Investment Holding Co., Ltd. 5.50% 20241 | 2,375 | 2,351 |
Brand Energy 8.50% 20251 | 6,305 | 6,407 |
Builders FirstSource, Inc. 5.625% 20241 | 5,560 | 5,442 |
BWX Technologies, Inc. 5.375% 20261 | 1,710 | 1,736 |
CD&R Waterworks Merger Sub, LLC 6.125% 20251 | 1,165 | 1,110 |
CD&R Waterworks Merger Sub, LLC, Term Loan B, (3-month USD-LIBOR + 3.00%) 5.211% 20241,2,3,4 | 697 | 699 |
CEVA Group PLC, Term Loan B, (3-month USD-LIBOR + 5.50%) 7.859% 20212,3,4 | 587 | 587 |
Continental Airlines, Inc., Series 1999-1, Class A, 6.545% 20203 | 104 | 106 |
Corporate Risk Holdings LLC 9.50% 20191 | 12,782 | 13,373 |
Corporate Risk Holdings LLC 13.50% 2020 (100% PIK)1,7,8,10 | 1,187 | 1,270 |
DAE Aviation Holdings, Inc. 10.00% 20231 | 7,965 | 8,632 |
Deck Chassis Acquisition Inc. 10.00% 20231 | 3,940 | 4,196 |
Dubai Aerospace Enterprise (DAE) Ltd. 4.50% 20221 | 695 | 676 |
Euramax International, Inc. 12.00% 20201 | 2,850 | 3,007 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Industrials (continued) | Principal amount (000) | Value (000) |
Garda World Security Corp. 8.75% 20251 | $2,410 | $2,470 |
Hardwoods Acquisition Inc. 7.50% 20211 | 1,810 | 1,688 |
Hertz Global Holdings Inc. 7.625% 20221 | 5,419 | 5,216 |
JELD-WEN Holding, Inc. 4.875% 20271 | 1,700 | 1,585 |
KAR Auction Services, Inc. 5.125% 20251 | 2,035 | 1,949 |
Kratos Defense & Security Solutions, Inc. 6.50% 20251 | 670 | 696 |
LSC Communications, Inc. 8.75% 20231 | 3,455 | 3,399 |
Mueller Water Products Inc 5.50% 20261 | 1,450 | 1,464 |
Multi-Color Corp. 4.875% 20251 | 1,810 | 1,690 |
Navistar International Corp. 6.625% 20251 | 970 | 1,002 |
Navistar International Corp., Term Loan, (3-month USD-LIBOR + 4.75%) 5.53% 20242,3,4 | 1,102 | 1,107 |
Nielsen Finance LLC and Nielsen Finance Co. 5.00% 20221 | 650 | 640 |
Pisces Parent, LLC, Term Loan B, (3-month USD-LIBOR + 3.75%) 6.089% 20252,3,4 | 1,955 | 1,956 |
Pisces Parent, LLC 8.00% 20261 | 3,180 | 3,074 |
Prime Security Services Borrower, LLC 9.25% 20231 | 2,426 | 2,596 |
PrimeSource Building Products Inc. 9.00% 20231 | 171 | 179 |
R.R. Donnelley & Sons Co. 7.875% 2021 | 1,700 | 1,734 |
R.R. Donnelley & Sons Co. 6.50% 2023 | 2,400 | 2,376 |
Rexnord Corp. 4.875% 20251 | 2,610 | 2,466 |
Sensata Technologies Holding NV 6.25% 20261 | 1,000 | 1,045 |
Staples Inc. 8.50% 20251 | 1,190 | 1,113 |
TransDigm Inc. 6.875% 20261 | 1,000 | 1,016 |
TransDigm Inc. 6.50% 2024 | 705 | 719 |
United Rentals, Inc. 4.625% 2025 | 5,080 | 4,851 |
United Rentals, Inc. 4.875% 2028 | 1,170 | 1,090 |
Virgin Australia Holdings Ltd. 8.50% 20191 | 1,425 | 1,445 |
Virgin Australia Holdings Ltd. 7.875% 20211 | 800 | 798 |
126,703 | ||
Telecommunication services 8.97% | ||
Altice Finco SA 8.125% 20241 | 905 | 905 |
Altice NV 6.625% 20231 | 835 | 825 |
Altice NV 5.50% 20261 | 1,300 | 1,258 |
Altice NV 7.50% 20261 | 1,250 | 1,212 |
Altice SA 7.625% 20251 | 725 | 670 |
CenturyLink, Inc. 6.75% 2023 | 5,350 | 5,390 |
CenturyLink, Inc. 7.50% 2024 | 1,300 | 1,339 |
CenturyLink, Inc., Series T, 5.80% 2022 | 800 | 796 |
Colorado Buyer Inc., Term Loan, (3-month USD-LIBOR + 7.25%) 9.61% 20252,3,4 | 1,063 | 1,055 |
Frontier Communications Corp. 9.25% 2021 | 1,500 | 1,463 |
Frontier Communications Corp. 10.50% 2022 | 7,440 | 6,789 |
Frontier Communications Corp. 11.00% 2025 | 14,225 | 11,447 |
Frontier Communications Corp. 8.50% 20261 | 4,000 | 3,875 |
Inmarsat PLC 4.875% 20221 | 3,815 | 3,767 |
Inmarsat PLC 6.50% 20241 | 500 | 503 |
Intelsat Jackson Holding Co. 7.25% 2020 | 5,775 | 5,775 |
Intelsat Jackson Holding Co. 7.50% 2021 | 11,910 | 11,880 |
Intelsat Jackson Holding Co. 5.50% 2023 | 4,950 | 4,454 |
Intelsat Jackson Holding Co. 6.625% 20242,3 | 2,200 | 2,276 |
Intelsat Jackson Holding Co. 8.00% 20241 | 2,775 | 2,921 |
Ligado Networks, Term Loan, (3-month USD-LIBOR + 8.75%) 10.78% 2020 (100% PIK)2,3,4,7 | 8,749 | 7,269 |
Neptune Finco Corp. (Altice NV) 6.625% 20251 | 1,250 | 1,283 |
Numericable Group SA 7.375% 20261 | 3,325 | 3,263 |
Sprint Corp. 7.25% 2021 | 4,265 | 4,446 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Telecommunication services (continued) | Principal amount (000) | Value (000) |
Sprint Corp. 11.50% 2021 | $5,880 | $6,968 |
Sprint Corp. 7.875% 2023 | 2,030 | 2,110 |
Sprint Corp. 7.125% 2024 | 950 | 961 |
Sprint Corp. 6.875% 2028 | 4,700 | 4,524 |
Sprint Corp. 8.75% 2032 | 1,025 | 1,099 |
T-Mobile US, Inc. 6.375% 2025 | 2,675 | 2,782 |
T-Mobile US, Inc. 6.50% 2026 | 900 | 929 |
Trilogy International Partners, LLC 8.875% 20221 | 4,700 | 4,770 |
Wind Tre SpA 5.00% 20261 | 4,875 | 3,889 |
Windstream Holdings, Inc. 7.75% 2020 | 350 | 316 |
Zayo Group Holdings, Inc. 6.375% 2025 | 2,925 | 2,991 |
Zayo Group Holdings, Inc. 5.75% 20271 | 1,500 | 1,478 |
Ziggo Bond Finance BV 5.875% 20251 | 950 | 892 |
Ziggo Bond Finance BV 5.50% 20271 | 6,950 | 6,509 |
125,079 | ||
Information technology 7.41% | ||
Alcatel-Lucent USA Inc. 6.45% 2029 | 1,800 | 1,849 |
Almonde Inc., Term Loan, (3-month USD-LIBOR + 7.25%) 9.557% 20252,3,4 | 6,750 | 6,524 |
Applied Systems, Inc., Term Loan, (3-month USD-LIBOR + 7.00%) 9.334% 20252,3,4 | 1,925 | 1,992 |
Camelot Finance SA 7.875% 20241 | 7,530 | 7,568 |
EchoStar Corp. 6.625% 2026 | 525 | 487 |
Fair Isaac Corp. 5.25% 20261 | 1,425 | 1,437 |
First Data Corp. 5.375% 20231 | 2,050 | 2,074 |
First Data Corp. 7.00% 20231 | 3,130 | 3,268 |
First Data Corp. 5.00% 20241 | 1,100 | 1,096 |
First Data Corp. 5.75% 20241 | 2,525 | 2,533 |
Genesys Telecommunications Laboratories, Inc. 10.00% 20241 | 5,095 | 5,699 |
Genesys Telecommunications Laboratories, Inc., Term Loan B3, (3-month USD-LIBOR + 3.50%) 5.834% 20232,3,4 | 574 | 575 |
Gogo Inc. 12.50% 20221 | 12,850 | 13,749 |
Infor (US), Inc. 6.50% 2022 | 3,725 | 3,758 |
Infor Software 7.125% 20211,7 | 7,960 | 8,010 |
Informatica Corp. 7.125% 20231 | 2,250 | 2,284 |
Internet Brands, Inc., Term Loan, (3-month USD-LIBOR + 3.75%) 5.835% 20242,3,4 | 622 | 622 |
Internet Brands, Inc., Term Loan, (3-month USD-LIBOR + 7.50%) 9.585% 20252,3,4 | 2,475 | 2,494 |
j2 Global, Inc. 6.00% 20251 | 1,597 | 1,625 |
Kronos Inc., Term Loan B, (3-month USD-LIBOR + 8.25%) 10.608% 20242,3,4 | 7,870 | 8,155 |
Match Group, Inc. 5.00% 20271 | 205 | 191 |
McAfee, LLC, Term Loan, (3-month USD-LIBOR + 4.50%) 6.594% 20242,3,4 | 1,902 | 1,915 |
McAfee, LLC, Term Loan, (3-month USD-LIBOR + 8.50%) 10.594% 20252,3,4 | 875 | 894 |
Mitchell International, Inc., Term Loan B, (3-month USD-LIBOR + 7.25%) 9.344% 20252,3,4 | 2,850 | 2,860 |
PE Cortes NP Holdings LLC 12.00% 20221,7 | 1,550 | 1,509 |
PE Cortes NP Holdings LLC 9.25% 20241 | 1,725 | 1,699 |
Solera Holdings, Inc. 10.50% 20241 | 2,400 | 2,677 |
Tempo Acquisition LLC 6.75% 20251 | 1,650 | 1,588 |
Unisys Corp. 10.75% 20221 | 6,400 | 7,200 |
VeriSign, Inc. 5.25% 2025 | 1,175 | 1,195 |
Veritas Holdings Limited 7.50% 20231 | 1,655 | 1,556 |
Vertafore Inc., Term Loan, (3-month USD-LIBOR + 7.25%) 9.331% 20262,3,4 | 2,850 | 2,840 |
Western Digital Corp. 4.75% 2026 | 1,500 | 1,462 |
103,385 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Financials 3.92% | Principal amount (000) | Value (000) |
Acrisure LLC 7.00% 20251 | $2,045 | $1,866 |
Ally Financial Inc. 8.00% 2020 | 1,915 | 2,051 |
CIT Group Inc. 3.875% 20193 | 2,918 | 2,929 |
CIT Group Inc. 4.125% 2021 | 1,695 | 1,689 |
CIT Group Inc. 5.25% 2025 | 620 | 626 |
Compass Diversified Holdings 8.00% 20261 | 4,755 | 4,660 |
Firstplus Financial Group, Inc. 8.25% 20251 | 1,450 | 1,432 |
General Motors Acceptance Corp. 7.50% 2020 | 1,470 | 1,576 |
HUB International Ltd. 7.00% 20261 | 5,735 | 5,678 |
Hub International Ltd., Term Loan B, (3-month USD-LIBOR + 3.00%) 5.360% 20252,3,4 | 990 | 985 |
Icahn Enterprises Finance Corp. 6.25% 2022 | 3,100 | 3,170 |
Jefferies Finance, LLC 7.50% 20211 | 785 | 801 |
LPL Financial Holdings Inc. 5.75% 20251 | 1,240 | 1,209 |
Navient Corp. 4.875% 2019 | 2,550 | 2,566 |
Navient Corp. 6.50% 2022 | 4,440 | 4,551 |
Navient Corp. 5.50% 2023 | 4,735 | 4,670 |
Navient Corp. 6.125% 2024 | 500 | 496 |
Navient Corp. 6.75% 2025 | 1,325 | 1,315 |
Solenis International, LP, Term Loan, (3-month USD-LIBOR + 4.00%) 6.325% 20242,3,4 | 1,200 | 1,199 |
Solenis International, LP, Term Loan, (3-month USD-LIBOR + 8.50%) 10.679% 20242,3,4 | 2,320 | 2,292 |
Springleaf Finance Corp. 8.25% 2020 | 1,175 | 1,272 |
Springleaf Finance Corp. 6.875% 2025 | 2,075 | 2,065 |
Stars Group Holdings BV 7.00% 20261 | 3,790 | 3,837 |
Starwood Property Trust, Inc. 5.00% 2021 | 1,710 | 1,727 |
54,662 | ||
Utilities 2.93% | ||
AES Corp. 4.00% 2021 | 1,200 | 1,197 |
AES Corp. 4.875% 2023 | 600 | 602 |
AES Corp. 7.75% 20241 | 700 | 664 |
AES Corp. 5.50% 2025 | 3,382 | 3,424 |
AES Corp. 6.00% 2026 | 4,190 | 4,358 |
AmeriGas Partners, LP 5.50% 2025 | 3,375 | 3,286 |
AmeriGas Partners, LP 5.75% 2027 | 975 | 931 |
Calpine Corp. 6.00% 20221 | 425 | 435 |
Calpine Corp. 5.375% 2023 | 1,650 | 1,576 |
Calpine Corp. 5.875% 20241 | 1,020 | 1,012 |
Calpine Corp. 5.75% 2025 | 1,385 | 1,270 |
Calpine Corp. 5.25% 20261 | 3,495 | 3,307 |
Dynegy Finance Inc. 7.375% 2022 | 1,685 | 1,765 |
Dynegy Finance Inc. 7.625% 2024 | 260 | 279 |
Emera Inc. 6.75% 2076 (3-month USD-LIBOR + 5.44% on 6/15/2026)6 | 4,200 | 4,389 |
Enel Società per Azioni 8.75% 20731,6 | 2,000 | 2,232 |
NRG Energy, Inc. 6.25% 2022 | 3,900 | 4,023 |
NRG Energy, Inc. 7.25% 2026 | 500 | 535 |
NRG Energy, Inc. 6.625% 2027 | 300 | 310 |
Talen Energy Corp. 4.60% 2021 | 1,670 | 1,449 |
Talen Energy Corp. 9.50% 20221 | 2,220 | 2,191 |
Talen Energy Corp. 10.50% 20261 | 1,770 | 1,584 |
40,819 |
Bonds, notes & other debt instruments Corporate bonds & notes (continued) Consumer staples 2.75% | Principal amount (000) | Value (000) |
Avon Products, Inc. 7.875% 20221 | $1,795 | $1,788 |
B&G Foods, Inc. 4.625% 2021 | 990 | 978 |
B&G Foods, Inc. 5.25% 2025 | 7,158 | 6,764 |
BJ’s Wholesale Club, Term Loan, (3-month USD-LIBOR + 7.50%) 9.53% 20252,3,4 | 5,409 | 5,474 |
Chobani LLC 7.50% 20251 | 2,330 | 2,246 |
Cott Beverages Inc. 5.50% 20251 | 1,670 | 1,628 |
Energizer Gamma Acquisition Inc. 6.375% 20261 | 1,530 | 1,559 |
First Quality Enterprises, Inc. 5.00% 20251 | 1,995 | 1,831 |
Herbalife Ltd., Term Loan, (3-month USD-LIBOR + 5.50%) 7.594% 20232,3,4 | 2,719 | 2,748 |
JBS SA 5.875% 20241 | 1,200 | 1,151 |
Pilgrim’s Pride Corp. 5.75% 20251 | 3,270 | 3,147 |
Pinnacle Foods Inc. 5.875% 2024 | 800 | 847 |
Post Holdings, Inc. 8.00% 20251 | 1,550 | 1,726 |
Post Holdings, Inc. 5.00% 20261 | 1,840 | 1,720 |
Post Holdings, Inc. 5.625% 20281 | 2,405 | 2,264 |
Spectrum Brands Inc. 6.125% 2024 | 750 | 761 |
Vector Group Ltd. 6.125% 20251 | 1,750 | 1,695 |
38,327 | ||
Real estate 2.26% | ||
Crescent Resources Holdings LLC 8.875% 20211 | 1,083 | 1,148 |
Equinix, Inc. 5.75% 2025 | 275 | 278 |
Equinix, Inc. 5.875% 2026 | 1,725 | 1,752 |
Equinix, Inc. 5.375% 2027 | 1,900 | 1,900 |
Five Point Holdings LLC 7.875% 20251 | 1,950 | 1,991 |
Howard Hughes Corp. 5.375% 20251 | 5,670 | 5,578 |
Iron Mountain Inc. 5.75% 2024 | 7,650 | 7,554 |
Iron Mountain Inc. 4.875% 20271 | 505 | 468 |
Iron Mountain Inc. 5.25% 20281 | 3,835 | 3,568 |
Medical Properties Trust, Inc. 5.00% 2027 | 2,020 | 1,934 |
Realogy Corp. 4.50% 20191 | 465 | 467 |
Realogy Corp. 4.875% 20231 | 3,425 | 3,237 |
SBA Communications Corp. 4.00% 20221 | 1,010 | 971 |
SBA Communications Corp. 4.875% 2022 | 700 | 696 |
31,542 | ||
Total corporate bonds & notes | 1,321,165 | |
U.S. Treasury bonds & notes 0.36% U.S. Treasury 0.36% | ||
U.S. Treasury 0.875% 201811 | 5,000 | 4,998 |
Total U.S. Treasury bonds & notes | 4,998 | |
Bonds & notes of governments outside the U.S. 0.01% | ||
Buenos Aires (Province of) (Badlar Private Banks ARS Index + 3.75%) 26.563% 20254 | ARS4,236 | 116 |
Municipals 0.13% Illinois 0.13% | ||
City of Chicago, Board of Education, Unlimited Tax G.O. Bonds (Dedicated Rev.), Series 2009-E, 6.138% 2039 | $1,870 | 1,803 |
Total bonds, notes & other debt instruments (cost: $1,345,692,000) | 1,328,082 |
Convertible bonds 0.55% Consumer discretionary 0.10% | Principal amount (000) | Value (000) |
DISH DBS Corp., convertible notes, 3.375% 2026 | $760 | $738 |
Live Nation Entertainment, Inc., convertible notes, 2.50% 20231 | 700 | 726 |
1,464 | ||
Energy 0.10% | ||
Chesapeake Energy Corp., convertible notes, 5.50% 20261 | 600 | 611 |
Teekay Corp., convertible notes, 5.00% 20231 | 750 | 715 |
1,326 | ||
Financials 0.07% | ||
AXA Equitable Holdings, Inc., convertible notes, 7.25% 20211 | 915 | 958 |
Telecommunication services 0.05% | ||
Intelsat SA, convertible notes, 4.50% 20251 | 550 | 676 |
Miscellaneous 0.23% | ||
Other convertible bonds in initial period of acquisition | 3,203 | |
Total convertible bonds (cost: $7,329,000) | 7,627 | |
Convertible stocks 0.56% Industrials 0.42% | Shares | |
Associated Materials, LLC, 14.00% convertible preferred 20208,10 | 4,850 | 5,892 |
Health care 0.06% | ||
Teva Pharmaceutical Industries Ltd., 7.00% convertible preferred 2018 | 1,800 | 818 |
Telecommunication services 0.01% | ||
Frontier Communications Corp., Series A, 11.125% convertible preferred 2018 | 10,000 | 99 |
Miscellaneous 0.07% | ||
Other convertible stocks in initial period of acquisition | 974 | |
Total convertible stocks (cost: $7,154,000) | 7,783 | |
Common stocks 1.09% Information technology 0.48% | ||
Corporate Risk Holdings I, Inc.5,8,10,12 | 218,504 | 6,693 |
Corporate Risk Holdings Corp.5,8,10,12 | 1,104 | — |
6,693 | ||
Energy 0.31% | ||
Ascent Resources Marcellus Holdings, Inc.8,12 | 1,006,339 | 3,245 |
Ascent Resources - Utica, LLC, Class A5,8,10,12 | 6,297,894 | 1,071 |
4,316 |
Common stocks Industrials 0.20% | Shares | Value (000) |
CEVA Logistics AG1,8,12 | 129,342 | $2,775 |
Ply Gem Parent, LLC, Class B8,10,12 | 167 | 17 |
2,792 | ||
Health care 0.03% | ||
Rotech Healthcare Inc.5,8,10,12 | 201,793 | 404 |
Consumer discretionary 0.01% | ||
Cumulus Media Inc., Class B8,12 | 4,291 | 72 |
Cumulus Media Inc., Class A8,12 | 3,531 | 59 |
Adelphia Recovery Trust, Series Arahova8,10,12 | 388,601 | 2 |
Adelphia Recovery Trust, Series ACC-18,10,12 | 449,306 | —13 |
133 | ||
Miscellaneous 0.06% | ||
Other common stocks in initial period of acquisition | 896 | |
Total common stocks (cost: $21,440,000) | 15,234 | |
Rights & warrants 0.03% Energy 0.03% | ||
Ascent Resources Marcellus Holdings, Inc., Class A, warrants, expire 20238,10,12 | 336,564 | 169 |
Ascent Resources Marcellus Holdings, Inc., Class B, warrants, expire 20238,10,12 | 261,772 | 104 |
Ascent Resources Marcellus Holdings, Inc., Class C, warrants, expire 20238,10,12 | 247,225 | 81 |
354 | ||
Consumer discretionary 0.00% | ||
Liberman Broadcasting, Inc., warrants, expire 20225,8,10,12 | 1 | —13 |
Industrials 0.00% | ||
Associated Materials, LLC, warrants, expire 20238,10,12 | 68,899 | —13 |
Total rights & warrants (cost: $51,000) | 354 | |
Short-term securities 3.17% | Principal amount (000) | |
Federal Home Loan Bank 1.84% due 7/20/2018 | $10,000 | 9,991 |
Honeywell International Inc. 1.95% due 7/25/2018 | 6,400 | 6,391 |
Société Générale 1.79% due 7/2/2018 | 27,900 | 27,896 |
Total short-term securities (cost: $44,281,000) | 44,278 | |
Total investment securities 100.60% (cost: $1,425,947,000) | 1,403,358 | |
Other assets less liabilities (0.60)% | (8,340) | |
Net assets 100.00% | $1,395,018 |
Contracts | Type | Number of contracts | Expiration | Notional amount14 (000) | Value at 6/30/201815 (000) | Unrealized depreciation at 6/30/2018 (000) |
10 Year U.S. Treasury Note Futures | Short | 159 | September 2018 | $(15,900) | $(19,110) | $(75) |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized appreciation (depreciation) at 6/30/2018 (000) |
3-month USD-LIBOR | 2.772% | 2/28/2025 | $14,500 | $105 | $— | $105 |
3-month USD-LIBOR | 2.0745% | 11/21/2026 | 18,600 | 1,165 | — | 1,165 |
3-month USD-LIBOR | 2.2825% | 4/13/2027 | 10,700 | 527 | — | 527 |
2.2865% | 3-month USD-LIBOR | 10/2/2027 | 10,100 | (523) | — | (523) |
3-month USD-LIBOR | 2.6475% | 1/25/2028 | 5,000 | 115 | — | 115 |
$— | $1,389 |
Receive | Pay/ Payment frequency | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments (000) | Unrealized appreciation at 6/30/2018 (000) |
CDX.NA.HY.29 | 5.00%/Quarterly | 12/20/2022 | $62,650 | $(3,846) | $(4,557) | $711 |
CDX.NA.HY.30 | 5.00%/Quarterly | 6/20/2023 | 22,110 | (1,270) | (1,660) | 390 |
$(6,217) | $1,101 |
1 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $778,268,000, which represented 55.79% of the net assets of the fund. |
2 | Loan participations and assignments; may be subject to legal or contractual restrictions on resale. The total value of all such loans was $98,836,000, which represented 7.08% of the net assets of the fund. |
3 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
4 | Coupon rate may change periodically. |
5 | Acquired through a private placement transaction exempt from registration under the Securities Act of 1933. May be subject to legal or contractual restrictions on resale. Further details on these holdings appear on the following page. |
6 | Step bond; coupon rate may change at a later date. |
7 | Payment in kind; the issuer has the option of paying additional securities in lieu of cash. Most recent payment was 100% cash unless otherwise noted. |
8 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $32,911,000, which represented 2.36% of the net assets of the fund. |
9 | Scheduled interest and/or principal payment was not received. |
10 | Value determined using significant unobservable inputs. |
11 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $4,276,000, which represented .31% of the net assets of the fund. |
12 | Security did not produce income during the last 12 months. |
13 | Amount less than one thousand. |
14 | Notional amount is calculated based on the number of contracts and notional contract size. |
15 | Value is calculated based on the notional amount and current market price. |
Private placement securities | Acquisition date(s) | Cost (000) | Value (000) | Percent of net assets |
Blackstone CQP Holdco LP, 6.50% 2021 | 3/6/2017—2/5/2018 | $21,235 | $21,336 | 1.53% |
Blackstone CQP Holdco LP, 6.00% 2021 | 8/9/2017 | 1,600 | 1,604 | .11 |
Corporate Risk Holdings I, Inc. | 8/31/2015 | 2,428 | 6,693 | .48 |
Corporate Risk Holdings Corp. | 8/31/2015 | — | — | .00 |
Ascent Resources - Utica, LLC, Class A | 11/15/2016 | 302 | 1,071 | .08 |
Rotech Healthcare Inc. | 9/26/2013 | 4,331 | 404 | .03 |
Liberman Broadcasting, Inc., warrants, expire 2022 | 12/13/2012—11/26/2014 | — | — | .00 |
Total private placement securities | $29,896 | $31,108 | 2.23% |
Key to abbreviations and symbol |
G.O. = General Obligation |
LIBOR = London Interbank Offered Rate |
Rev. = Revenue |
USD/$ = U.S. dollars |
Bonds, notes & other debt instruments 95.27% Mortgage-backed obligations 72.60% Federal agency mortgage-backed obligations 70.16% | Principal amount (000) | Value (000) |
Fannie Mae 4.00% 20361 | $521 | $538 |
Fannie Mae 4.00% 20361 | 433 | 447 |
Fannie Mae 5.00% 20361 | 39 | 39 |
Fannie Mae 4.00% 20471 | 7,529 | 7,694 |
Fannie Mae 4.00% 20471 | 4,797 | 4,897 |
Fannie Mae 4.00% 20481,2 | 10,113 | 10,296 |
Fannie Mae 4.00% 20481,2 | 4,296 | 4,380 |
Fannie Mae 4.00% 20481,2 | 2,841 | 2,890 |
Fannie Mae 4.50% 20481 | 14,986 | 15,643 |
Fannie Mae 4.50% 20481 | 7,966 | 8,348 |
Fannie Mae 4.50% 20481 | 4,973 | 5,210 |
Fannie Mae 4.50% 20481 | 1,970 | 2,064 |
Freddie Mac 5.00% 20341 | 1,301 | 1,387 |
Freddie Mac 4.00% 20361 | 5,574 | 5,746 |
Freddie Mac 4.00% 20361 | 1,064 | 1,097 |
Freddie Mac 4.00% 20481,2 | 12,500 | 12,719 |
Freddie Mac 4.00% 20481,2 | 6,354 | 6,474 |
Freddie Mac 4.50% 20481,2 | 16,418 | 17,058 |
Freddie Mac 4.50% 20481,2 | 4,282 | 4,456 |
Freddie Mac Pool #760014 2.978% 20451,3 | 2,555 | 2,556 |
Freddie Mac, Series KJ02, Class A2, Multi Family, 2.597% 20201 | 1,721 | 1,709 |
Freddie Mac, Series K031, Class A2, Multi Family, 3.30% 20461 | 4,722 | 4,770 |
Freddie Mac, Series K032, Class A2, Multi Family, 3.31% 20231 | 1,250 | 1,263 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 2.25% 20561 | 1,734 | 1,683 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HA, 2.50% 20561,3 | 1,417 | 1,384 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 20561 | 1,625 | 1,586 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT, 2.50% 20571,3 | 12,818 | 12,496 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 20571 | 11,539 | 11,334 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT, 3.50% 20571 | 7,866 | 7,733 |
Government National Mortgage Assn. 3.75% 20341 | 1,301 | 1,327 |
Government National Mortgage Assn. 3.75% 20381 | 796 | 815 |
Government National Mortgage Assn. 3.75% 20391 | 844 | 864 |
Government National Mortgage Assn. 4.00% 20391 | 461 | 459 |
Government National Mortgage Assn. 6.00% 20391 | 260 | 287 |
Government National Mortgage Assn. 4.00% 20401 | 388 | 386 |
Government National Mortgage Assn. 5.50% 20401 | 2,037 | 2,222 |
Government National Mortgage Assn. 4.50% 20411 | 38 | 39 |
Government National Mortgage Assn. 5.00% 20411 | 1,119 | 1,176 |
Government National Mortgage Assn. 5.00% 20411 | 735 | 777 |
Government National Mortgage Assn. 6.50% 20411 | 545 | 586 |
Government National Mortgage Assn. 3.50% 20421 | 468 | 459 |
Government National Mortgage Assn. 3.50% 20421 | 223 | 224 |
Government National Mortgage Assn. 3.50% 20421 | 225 | 219 |
Government National Mortgage Assn. 3.50% 20431 | 2,039 | 2,061 |
Government National Mortgage Assn. 3.50% 20431 | 1,614 | 1,620 |
Bonds, notes & other debt instruments Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) |
Government National Mortgage Assn. 3.50% 20431 | $1,592 | $1,607 |
Government National Mortgage Assn. 3.50% 20431 | 1,076 | 1,081 |
Government National Mortgage Assn. 3.50% 20431 | 962 | 966 |
Government National Mortgage Assn. 3.50% 20431 | 372 | 363 |
Government National Mortgage Assn. 3.50% 20431 | 215 | 216 |
Government National Mortgage Assn. 3.75% 20441 | 773 | 790 |
Government National Mortgage Assn. 4.25% 20441 | 1,743 | 1,821 |
Government National Mortgage Assn. 4.00% 20461 | 1,245 | 1,266 |
Government National Mortgage Assn. 4.00% 20481,2 | 5,190 | 5,319 |
Government National Mortgage Assn. 4.00% 20481,2 | 4,010 | 4,103 |
Government National Mortgage Assn. 4.50% 20481,2 | 33,082 | 34,391 |
Government National Mortgage Assn. 4.50% 20481,2 | 4,868 | 5,052 |
Government National Mortgage Assn. 4.629% 20651 | 809 | 829 |
Government National Mortgage Assn. 4.643% 20651 | 503 | 516 |
Government National Mortgage Assn. 4.683% 20651 | 1,378 | 1,418 |
Government National Mortgage Assn. 4.572% 20661 | 1,572 | 1,635 |
Government National Mortgage Assn. 5.20% 20661 | 119 | 121 |
Vendee Mortgage Trust, Series 2011-2, Class V, 3.75% 20281 | 4,357 | 4,302 |
Vendee Mortgage Trust, Series 2010-1, Class DA, 4.25% 20351 | 558 | 566 |
237,780 | ||
Collateralized mortgage-backed (privately originated) 2.41% | ||
Arroyo Mortgage Trust, Series 2018-1, Class A1, 3.763% 20481,3,4 | 973 | 985 |
Connecticut Avenue Securities, Series 2014-C02, Class 1M1, (1-month USD-LIBOR + 0.95%) 3.041% 20241,3 | 14 | 14 |
Finance of America Structured Securities Trust, Series 2017-HB1, Class A, 2.3207% 20271,3,4,5 | 1,448 | 1,443 |
Nationstar HECM Loan Trust, Series 2017-1A, Class A, 1.968% 20271,4,5 | 189 | 188 |
Nationstar HECM Loan Trust, Series 2017-2A, Class A1, 2.0383% 20271,3,4 | 1,247 | 1,243 |
Nationstar HECM Loan Trust, Series 2018-1A, Class A, 2.760% 20281,4 | 985 | 987 |
Towd Point Mortgage Trust, Series 2017-1, Class A1, 2.75% 20561,3,4 | 1,356 | 1,333 |
Towd Point Mortgage Trust, Series 2017-5, Class A1, 2.691% 20571,3,4 | 243 | 244 |
Towd Point Mortgage Trust, Series 2015-2, Class 2A11, 3.00% 20571,4 | 1,747 | 1,740 |
8,177 | ||
Commercial mortgage-backed securities 0.03% | ||
Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A1A, 6.251% 20491,3 | 84 | 84 |
Total mortgage-backed obligations | 246,041 | |
U.S. Treasury bonds & notes 10.08% U.S. Treasury 6.97% | ||
U.S. Treasury 1.50% 2020 | 444 | 436 |
U.S. Treasury 2.00% 2021 | 300 | 295 |
U.S. Treasury 1.875% 20226 | 7,800 | 7,538 |
U.S. Treasury 2.00% 2022 | 3,300 | 3,203 |
U.S. Treasury 2.125% 2022 | 1,000 | 975 |
U.S. Treasury 2.75% 2023 | 3,500 | 3,503 |
U.S. Treasury 2.75% 2023 | 224 | 224 |
U.S. Treasury 2.50% 2024 | 2,500 | 2,460 |
U.S. Treasury 3.00% 20486 | 5,000 | 5,006 |
23,640 |
Bonds, notes & other debt instruments U.S. Treasury bonds & notes (continued) U.S. Treasury inflation-protected securities 3.11% | Principal amount (000) | Value (000) |
U.S. Treasury Inflation-Protected Security 0.50% 20287 | $4,093 | $3,401 |
U.S. Treasury Inflation-Protected Security 2.125% 20417 | 126 | 159 |
U.S. Treasury Inflation-Protected Security 0.75% 20426,7 | 7,134 | 6,966 |
10,526 | ||
Total U.S. Treasury bonds & notes | 34,166 | |
Asset-backed obligations 6.29% | ||
AmeriCredit Automobile Receivables Trust, Series 2017-1, Class A2A, 1.51% 20201 | 135 | 135 |
AmeriCredit Automobile Receivables Trust, Series 2017-2, Class A2A, 1.65% 20201 | 257 | 256 |
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class C, 2.15% 20201 | 57 | 57 |
AmeriCredit Automobile Receivables Trust, Series 2018-1, Class A2A, 2.71% 20211 | 910 | 910 |
Angel Oak Capital Advisors, LLC, Series 2013-9A, Class A1R, CLO, (3-month USD-LIBOR + 1.01%) 3.369% 20251,3,4 | 206 | 206 |
BlueMountain CLO Ltd., Series 2013-4A, Class AR, (3-month USD-LIBOR + 1.01%) 3.358% 20251,3,4 | 266 | 267 |
BlueMountain CLO Ltd., Series 2014-2A, Class AR, (3-month USD LIBOR + 0.93%) 3.289% 20261,3,4 | 500 | 501 |
Chase Issuance Trust, Series 2016-A5, Class A5, 1.27% 20211 | 115 | 113 |
Citibank Credit Card Issuance Trust, Series 2016-A1, Class A1, 1.75% 20211 | 355 | 350 |
CPS Auto Receivables Trust, Series 2017-A, Class A, 1.68% 20201,4 | 170 | 169 |
CPS Auto Receivables Trust, Series 2017-C, Class A, 1.78% 20201,4 | 48 | 48 |
CPS Auto Receivables Trust, Series 2018-B, Class A, 2.72% 20211,4 | 545 | 544 |
Drive Auto Receivables Trust, Series 2018-2, Class A2, 2.64% 20201 | 1,360 | 1,360 |
Drive Auto Receivables Trust, Series 2017-3, Class C, 2.80% 20221 | 490 | 488 |
Drivetime Auto Owner Trust, Series 2018-2, Class A, 2.84% 20211,4 | 1,500 | 1,499 |
Drivetime Auto Owner Trust, Series 2017-2A, Class A, 1.72% 20201,4 | 64 | 64 |
Emerson Park CLO Ltd, Series 2013-1A, Class A1AR, CLO, (3-month USD-LIBOR + 0.98%) 3.328% 20251,3,4 | 116 | 116 |
Exeter Automobile Receivables Trust, Series 2017-3A, Class A, 2.05% 20211,4 | 578 | 575 |
Exeter Automobile Receivables Trust, Series 2018-2A, Class A, 2.79% 20211,4 | 2,413 | 2,412 |
Ford Credit Auto Owner Trust, Series 2014-1A, 2.26% 20251,4 | 1,390 | 1,384 |
Ford Credit Auto Owner Trust, Series 2014-2A, 2.31% 20261,4 | 530 | 526 |
Hertz Vehicle Financing LLC, Rental Car Asset-Backed Notes, Series 2015-1, Class A, 2.73% 20211,4 | 1,823 | 1,804 |
Santander Drive Auto Receivables Trust, Series 2017-2, Class A2, 1.60% 20201 | 188 | 188 |
SLM Private Credit Student Loan Trust, Series 2010-1, Class A, (1-month USD-LIBOR + 0.40%) 2.491% 20251,3 | 2,851 | 2,813 |
Symphony CLO Ltd, Series 2013-12A, Class AR, CLO, (3-month USD-LIBOR + 1.03%) 3.378% 20251,3,4 | 354 | 355 |
Toyota Auto Receivables Owner Trust, Series 2018-B, Class A2A, 2.64% 20211 | 1,330 | 1,330 |
Voya CLO Ltd., Series 2014-4A, Class A1R, (3-month USD-LIBOR + 0.95%) 3.298% 20261,3,4 | 450 | 450 |
Westlake Automobile Receivables Trust, Series 2017-1A, Class A2, 1.78% 20201,4 | 292 | 292 |
Westlake Automobile Receivables Trust, Series 2017-2A, Class A2A, 1.80% 20201,4 | 369 | 368 |
Westlake Automobile Receivables Trust, Series 2018-2A, Class A2A, 2.84% 20211,4 | 1,475 | 1,475 |
Westlake Automobile Receivables Trust, Series 2017-1A, Class C, 2.70% 20221,4 | 270 | 269 |
21,324 | ||
Federal agency bonds & notes 6.26% | ||
Fannie Mae 1.875% 2022 | 3,000 | 2,908 |
Fannie Mae 2.00% 2022 | 5,800 | 5,657 |
Federal Home Loan Bank 1.375% 2021 | 3,000 | 2,902 |
Federal Home Loan Bank 1.875% 2021 | 10,000 | 9,736 |
21,203 |
Bonds, notes & other debt instruments Corporate bonds & notes 0.04% Financials 0.04% | Principal amount (000) | Value (000) |
Carlyle Investment Management (1-month USD-LIBOR + 2.00%) 3.894% 20193,4,5,8 | $134 | $134 |
Total corporate bonds & notes | 134 | |
Total bonds, notes & other debt instruments (cost: $324,480,000) | 322,868 | |
Short-term securities 36.05% | ||
Chariot Funding, LLC 2.05% due 8/3/20184 | 9,000 | 8,982 |
Chevron Corp. 1.92% due 7/23/20184 | 8,300 | 8,289 |
Coca-Cola Co. 2.04% due 8/13/20184 | 7,900 | 7,880 |
CRC Funding, LLC 2.25% due 9/10/20184 | 2,000 | 1,991 |
ExxonMobil Corp. 1.97% due 8/8/2018 | 10,000 | 9,978 |
Federal Farm Credit Banks 1.82%–2.06% due 7/16/2018–11/27/2018 | 23,000 | 22,882 |
Federal Home Loan Bank 1.90% due 8/22/2018 | 6,000 | 5,985 |
Freddie Mac 1.78% due 7/18/2018 | 5,000 | 4,996 |
Honeywell International Inc. 1.88% due 7/11/20184 | 10,000 | 9,994 |
Intel Corp. 2.00% due 9/6/20184 | 9,000 | 8,965 |
John Deere Bank SA 2.00% due 8/1/20184 | 6,400 | 6,388 |
Paccar Financial Corp. 1.96% due 7/23/2018 | 9,000 | 8,988 |
PepsiCo Inc. 1.84% due 8/7/20184 | 10,000 | 9,978 |
Société Générale 1.79% due 7/2/20184 | 6,900 | 6,899 |
Total short-term securities (cost: $122,206,000) | 122,195 | |
Total investment securities 131.32% (cost: $446,686,000) | 445,063 | |
Other assets less liabilities (31.32)% | (106,155) | |
Net assets 100.00% | $338,908 |
Contracts | Type | Number of contracts | Expiration | Notional amount9 (000) | Value at 6/30/201810 (000) | Unrealized appreciation at 6/30/2018 (000) |
5 Year U.S. Treasury Note Futures | Long | 1,134 | October 2018 | $113,400 | $128,842 | $667 |
10 Year Ultra U.S. Treasury Note Futures | Long | 107 | September 2018 | 10,700 | 13,721 | 111 |
20 Year U.S. Treasury Bond Futures | Long | 48 | September 2018 | 4,800 | 6,960 | 18 |
30 Year Ultra U.S. Treasury Bond Futures | Long | 5 | September 2018 | 500 | 798 | 2 |
$798 |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) |
1.8935% | U.S. EFFR | 9/26/2018 | $71,000 | $(5) | $— | $(5) |
1.865% | U.S. EFFR | 9/26/2018 | 65,100 | (7) | — | (7) |
2.088% | U.S. EFFR | 2/6/2020 | 21,000 | (72) | — | (72) |
2.0115% | U.S. EFFR | 2/8/2020 | 25,000 | (119) | — | (119) |
3-month USD-LIBOR | 1.217% | 9/22/2021 | 11,500 | 587 | — | 587 |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) |
3-month USD-LIBOR | 1.225% | 9/22/2021 | $11,500 | $585 | $— | $585 |
3-month USD-LIBOR | 1.2796% | 10/11/2021 | 14,500 | 725 | — | 725 |
2.0135% | 3-month USD-LIBOR | 10/20/2021 | 30,000 | (815) | — | (815) |
2.012% | 3-month USD-LIBOR | 10/4/2022 | 9,000 | (313) | — | (313) |
2.00% | 3-month USD-LIBOR | 10/5/2022 | 41,500 | (1,464) | — | (1,464) |
2.1045% | 3-month USD-LIBOR | 10/31/2022 | 4,000 | (126) | — | (126) |
3-month USD-LIBOR | 2.2835% | 1/5/2023 | 36,000 | 911 | — | 911 |
3-month USD-LIBOR | 2.24% | 12/5/2026 | 10,500 | 529 | — | 529 |
3-month USD-LIBOR | 2.27% | 12/5/2026 | 8,500 | 409 | — | 409 |
3-month USD-LIBOR | 3.206% | 7/31/2044 | 1,000 | (50) | — | (50) |
3-month USD-LIBOR | 3.238% | 8/8/2044 | 2,000 | (112) | — | (112) |
3-month USD-LIBOR | 3.2265% | 9/25/2044 | 3,000 | (163) | — | (163) |
U.S. EFFR | 2.145% | 11/9/2047 | 2,200 | 145 | — | 145 |
U.S. EFFR | 2.153% | 11/10/2047 | 2,200 | 141 | — | 141 |
U.S. EFFR | 2.155% | 11/10/2047 | 1,280 | 82 | — | 82 |
U.S. EFFR | 2.17% | 11/13/2047 | 2,320 | 141 | — | 141 |
U.S. EFFR | 2.5635% | 2/12/2048 | 4,528 | (97) | — | (97) |
2.98% | 3-month USD-LIBOR | 3/15/2048 | 300 | 3 | — | 3 |
2.9625% | 3-month USD-LIBOR | 3/15/2048 | 300 | 2 | — | 2 |
U.S. EFFR | 2.4615% | 3/15/2048 | 300 | —11 | — | —11 |
U.S. EFFR | 2.485% | 3/15/2048 | 300 | (1) | — | (1) |
U.S. EFFR | 2.425% | 3/16/2048 | 600 | 5 | — | 5 |
2.917% | 3-month USD-LIBOR | 3/16/2048 | 600 | (2) | — | (2) |
$— | $919 |
1 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
2 | Purchased on a TBA basis. |
3 | Coupon rate may change periodically. |
4 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $90,987,000, which represented 26.85% of the net assets of the fund. |
5 | Valued under fair value procedures adopted by authority of the board of trustees. The total value of all such securities was $1,765,000, which represented .52% of the net assets of the fund. |
6 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $5,550,000, which represented 1.64% of the net assets of the fund. |
7 | Index-linked bond whose principal amount moves with a government price index. |
8 | Value determined using significant unobservable inputs. |
9 | Notional amount is calculated based on the number of contracts and notional contract size. |
10 | Value is calculated based on the notional amount and current market price. |
11 | Amount less than one thousand. |
Key to abbreviations and symbol |
CLO = Collateralized Loan Obligations |
EFFR = Effective Federal Funds Rate |
LIBOR = London Interbank Offered Rate |
TBA = To-be-announced |
USD/$ = U.S. dollars |
Short-term securities 99.94% Commercial paper 84.63% | Principal amount (000) | Value (000) |
American Honda Finance Corp. 2.15% due 7/24/2018 | $8,650 | $8,638 |
Caisse d’Amortissement de la Dette Sociale 1.99% due 7/9/2018 | 10,000 | 9,995 |
Chevron Corp. 2.06% due 9/12/20181 | 10,000 | 9,957 |
Emerson Electric Co. 1.92% due 7/10/20181 | 7,990 | 7,985 |
Essilor International 1.98% due 7/16/20181 | 10,000 | 9,991 |
Fairway Finance Corp. 2.00% due 7/16/20181 | 6,500 | 6,494 |
General Dynamics Corp. 2.03% due 7/17/20181 | 10,000 | 9,990 |
Hydro-Québec 2.02% due 8/2/20181 | 10,000 | 9,981 |
John Deere Canada ULC 1.97% due 7/17/20181 | 9,100 | 9,091 |
KfW 2.12% due 9/24/20181 | 10,000 | 9,950 |
Kimberly-Clark Corp. 1.95% due 7/11/20181 | 8,000 | 7,995 |
Mitsubishi UFJ Trust and Banking Corp. 2.05% due 7/6/20181 | 9,300 | 9,297 |
Mizuho Bank, Ltd. 2.04% due 8/13/20181 | 10,000 | 9,974 |
National Australia Bank Ltd. 1.95% due 7/2/20181 | 11,000 | 10,998 |
National Rural Utilities Cooperative Finance Corp. 1.98% due 7/17/2018 | 8,800 | 8,791 |
Nestlé Capital Corp. 2.08% due 9/4/20181 | 10,000 | 9,962 |
Old Line Funding, LLC 2.05% due 8/6/20181 | 4,800 | 4,790 |
Pfizer Inc. 2.02% due 8/21/20181 | 10,000 | 9,970 |
Province of Ontario 1.91% due 7/5/2018 | 9,300 | 9,297 |
Prudential Funding, LLC 1.90% due 7/6/2018 | 10,000 | 9,996 |
Simon Property Group, L.P. 2.08% due 8/20/20181 | 11,150 | 11,117 |
Société Générale 1.79% due 7/2/20181 | 12,000 | 11,998 |
Starbird Funding Corp. 1.96% due 7/6/20181 | 5,000 | 4,998 |
Sumitomo Mitsui Banking Corp. 2.00% due 7/23/20181 | 11,000 | 10,986 |
Swedbank AB 2.23% due 9/27/2018 | 6,800 | 6,763 |
Toyota Industries Commercial Finance, Inc. 2.10% due 8/17/20181 | 8,000 | 7,978 |
United Overseas Bank Ltd. 2.00% due 7/10/20181 | 10,000 | 9,994 |
246,976 | ||
Federal agency discount notes 11.20% | ||
Federal Home Loan Bank 1.85%–1.89% due 7/20/2018–8/6/2018 | 32,000 | 31,957 |
Freddie Mac 1.83% due 8/6/2018 | 715 | 714 |
32,671 | ||
U.S. Treasury 4.11% | ||
U.S. Treasury Bill 1.60% due 7/19/2018 | 12,000 | 11,990 |
Total short-term securities (cost: $291,655,000) | 291,637 | |
Total investment securities 99.94% (cost: $291,655,000) | 291,637 | |
Other assets less liabilities 0.06% | 178 | |
Net assets 100.00% | $291,815 |
1 | Acquired in a transaction exempt from registration under Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $193,496,000, which represented 66.31% of the net assets of the fund. |
Bonds, notes & other debt instruments 99.10% U.S. Treasury bonds & notes 50.17% U.S. Treasury 43.02% | Principal amount (000) | Value (000) |
U.S. Treasury 1.50% 2019 | $10,000 | $9,877 |
U.S. Treasury 2.50% 2020 | 50,000 | 49,973 |
U.S. Treasury 1.125% 2021 | 31,950 | 30,481 |
U.S. Treasury 1.75% 20211 | 33,540 | 32,544 |
U.S. Treasury 2.00% 2021 | 46,300 | 45,268 |
U.S. Treasury 2.00% 2021 | 26,500 | 26,038 |
U.S. Treasury 2.00% 2021 | 5,350 | 5,245 |
U.S. Treasury 2.125% 2021 | 23,450 | 23,068 |
U.S. Treasury 2.25% 2021 | 23,580 | 23,313 |
U.S. Treasury 1.625% 2022 | 100 | 96 |
U.S. Treasury 1.75% 2022 | 174,300 | 168,177 |
U.S. Treasury 1.75% 2022 | 11,700 | 11,311 |
U.S. Treasury 1.875% 2022 | 63,000 | 61,122 |
U.S. Treasury 1.875% 2022 | 25,000 | 24,198 |
U.S. Treasury 1.875% 2022 | 23,000 | 22,229 |
U.S. Treasury 2.00% 2022 | 69,500 | 67,464 |
U.S. Treasury 2.00% 2022 | 43,510 | 42,222 |
U.S. Treasury 1.50% 2023 | 26,020 | 24,625 |
U.S. Treasury 1.625% 2023 | 38,150 | 36,210 |
U.S. Treasury 1.625% 2023 | 10,000 | 9,499 |
U.S. Treasury 2.125% 20231 | 64,095 | 62,028 |
U.S. Treasury 2.50% 2023 | 23,894 | 23,649 |
U.S. Treasury 2.625% 2023 | 63,000 | 62,728 |
U.S. Treasury 2.75% 2023 | 99,300 | 99,387 |
U.S. Treasury 2.75% 2023 | 52,956 | 52,987 |
U.S. Treasury 2.125% 2024 | 55,975 | 53,790 |
U.S. Treasury 2.25% 2024 | 6,500 | 6,322 |
U.S. Treasury 2.50% 2024 | 44,000 | 43,296 |
U.S. Treasury 2.75% 2025 | 38,000 | 37,850 |
U.S. Treasury 2.875% 2025 | 25,000 | 25,084 |
U.S. Treasury 2.00% 2026 | 18,000 | 16,857 |
U.S. Treasury 2.75% 2028 | 27,461 | 27,199 |
U.S. Treasury 6.25% 2030 | 2,980 | 3,986 |
U.S. Treasury 2.75% 20471 | 43,501 | 41,423 |
U.S. Treasury 3.00% 2047 | 16,400 | 16,424 |
U.S. Treasury 3.00% 2048 | 11,000 | 11,012 |
1,296,982 | ||
U.S. Treasury inflation-protected securities 7.15% | ||
U.S. Treasury Inflation-Protected Security 0.125% 20222 | 11,400 | 11,209 |
U.S. Treasury Inflation-Protected Security 0.25% 20252 | 23,417 | 22,782 |
U.S. Treasury Inflation-Protected Security 0.375% 20272 | 13,006 | 12,655 |
U.S. Treasury Inflation-Protected Security 0.50% 20282 | 57,386 | 47,688 |
U.S. Treasury Inflation-Protected Security 2.125% 20412 | 355 | 449 |
U.S. Treasury Inflation-Protected Security 0.75% 20422 | 21,830 | 21,315 |
Bonds, notes & other debt instruments U.S. Treasury bonds & notes (continued) U.S. Treasury inflation-protected securities (continued) | Principal amount (000) | Value (000) |
U.S. Treasury Inflation-Protected Security 1.375% 20441,2 | $46,441 | $51,833 |
U.S. Treasury Inflation-Protected Security 1.00% 20462 | 2,807 | 2,890 |
U.S. Treasury Inflation-Protected Security 0.875% 20472 | 18,576 | 18,563 |
U.S. Treasury Inflation-Protected Security 1.00% 20482 | 31,748 | 26,386 |
215,770 | ||
Total U.S. Treasury bonds & notes | 1,512,752 | |
Mortgage-backed obligations 28.50% Federal agency mortgage-backed obligations 28.50% | ||
Fannie Mae 6.50% 20283 | 174 | 192 |
Fannie Mae 3.00% 20363 | 27,950 | 27,543 |
Fannie Mae 4.00% 20363 | 8,562 | 8,837 |
Fannie Mae 4.00% 20363 | 6,597 | 6,808 |
Fannie Mae 4.00% 20363 | 2,132 | 2,203 |
Fannie Mae 3.00% 20373 | 17,686 | 17,428 |
Fannie Mae 6.50% 20373 | 40 | 43 |
Fannie Mae 7.00% 20373 | 63 | 69 |
Fannie Mae 7.00% 20373 | 10 | 11 |
Fannie Mae 6.00% 20383 | 17 | 17 |
Fannie Mae 4.50% 20413 | 1,150 | 1,211 |
Fannie Mae 5.00% 20413 | 851 | 918 |
Fannie Mae 5.00% 20413 | 556 | 600 |
Fannie Mae 5.00% 20413 | 454 | 490 |
Fannie Mae 5.00% 20413 | 338 | 365 |
Fannie Mae 3.50% 20473 | 15,859 | 15,813 |
Fannie Mae 4.00% 20473 | 32,646 | 33,360 |
Fannie Mae 4.00% 20473 | 5,355 | 5,468 |
Fannie Mae 4.00% 20483,4 | 10,296 | 10,482 |
Fannie Mae 4.00% 20483,4 | 2,892 | 2,942 |
Fannie Mae 4.00% 20483,4 | 6 | 6 |
Fannie Mae 4.50% 20483,4 | 95,470 | 99,239 |
Fannie Mae 4.50% 20483,4 | 67,539 | 70,099 |
Fannie Mae 4.50% 20483 | 43,815 | 45,915 |
Fannie Mae 4.50% 20483 | 18,005 | 18,867 |
Fannie Mae 4.50% 20483,4 | 14,825 | 15,438 |
Fannie Mae 4.50% 20483 | 12,802 | 13,414 |
Fannie Mae, Series 2001-4, Class NA, 9.178% 20253,5 | 1 | 1 |
Fannie Mae, Series 2001-4, Class GA, 9.224% 20253,5 | 1 | 1 |
Fannie Mae, Series 2001-T10, Class A1, 7.00% 20413 | 76 | 87 |
Fannie Mae, Series 2012-M2, Class A2, Multi Family, 2.717% 20223 | 2,302 | 2,280 |
Fannie Mae, Series 2012-M3, Class 1A2, Multi Family, 3.044% 20223 | 2,000 | 1,997 |
Fannie Mae, Series 2014-M1, Class A2, Multi Family, 3.297% 20233,5 | 2,004 | 2,020 |
Fannie Mae, Series 2014-M3, Class A2, Multi Family, 3.501% 20243,5 | 3,825 | 3,889 |
Fannie Mae, Series 2006-56, Class OG, principal only, 0% 20363 | 141 | 118 |
Freddie Mac 5.50% 20243 | 428 | 443 |
Freddie Mac 5.00% 20403 | 1,034 | 1,106 |
Freddie Mac 5.00% 20413 | 1,956 | 2,106 |
Freddie Mac 4.00% 20433 | 438 | 451 |
Freddie Mac 3.50% 20473 | 17,573 | 17,493 |
Freddie Mac 3.50% 20473 | 13,935 | 13,871 |
Freddie Mac 3.00% 20483,4 | 6,200 | 5,998 |
Freddie Mac 4.00% 20483,4 | 9,945 | 10,119 |
Freddie Mac 4.00% 20483,4 | 5,055 | 5,151 |
Bonds, notes & other debt instruments Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) |
Freddie Mac 4.50% 20483,4 | $36,248 | $37,659 |
Freddie Mac 4.50% 20483,4 | 9,453 | 9,838 |
Freddie Mac Pool #1H1354 3.475% 20363,5 | 300 | 316 |
Freddie Mac Pool #760014 2.978% 20453,5 | 2,044 | 2,045 |
Freddie Mac, Series 1567, Class A, (1-month USD-LIBOR + 0.40%) 2.473% 20233,5 | 35 | 35 |
Freddie Mac, Series KGRP, Class A, Multi Family, (1-month USD-LIBOR + 0.38%) 2.381% 20203,5 | 2,355 | 2,360 |
Freddie Mac, Series K013, Class A1, Multi Family, 2.902% 20203 | 420 | 420 |
Freddie Mac, Series K010, Class A1, Multi Family, 3.32% 20203 | 107 | 107 |
Freddie Mac, Series K019, Class A1, Multi Family, 1.459% 20213 | 801 | 792 |
Freddie Mac, Series K031, Class A1, Multi Family, 2.778% 20223 | 903 | 900 |
Freddie Mac, Series KS01, Class A2, Multi Family, 2.522% 20233 | 1,735 | 1,699 |
Freddie Mac, Series K029, Class A2, Multi Family, 3.32% 20233 | 400 | 404 |
Freddie Mac, Series K070, Class A2, Multi Family, 3.303% 20273,5 | 5,765 | 5,709 |
Freddie Mac, Series 3213, Class OG, principal only, 0% 20363 | 247 | 220 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 2.25% 20563 | 12,739 | 12,368 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HA, 2.50% 20563,5 | 11,957 | 11,675 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 20563 | 11,946 | 11,661 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT, 2.50% 20573,5 | 2,441 | 2,380 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 20573 | 44,020 | 43,237 |
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT, 3.50% 20573 | 1,890 | 1,858 |
Government National Mortgage Assn. 3.75% 20343 | 1,265 | 1,290 |
Government National Mortgage Assn. 5.50% 20383 | 325 | 351 |
Government National Mortgage Assn. 5.50% 20383 | 138 | 149 |
Government National Mortgage Assn. 5.50% 20383 | 133 | 143 |
Government National Mortgage Assn. 5.50% 20383 | 86 | 93 |
Government National Mortgage Assn. 6.00% 20383 | 252 | 276 |
Government National Mortgage Assn. 6.50% 20383 | 424 | 473 |
Government National Mortgage Assn. 6.50% 20383 | 125 | 139 |
Government National Mortgage Assn. 5.00% 20393 | 640 | 682 |
Government National Mortgage Assn. 6.00% 20393 | 260 | 287 |
Government National Mortgage Assn. 4.50% 20403 | 496 | 521 |
Government National Mortgage Assn. 5.50% 20403 | 7,479 | 8,161 |
Government National Mortgage Assn. 4.50% 20413 | 1,393 | 1,454 |
Government National Mortgage Assn. 5.00% 20413 | 2,514 | 2,644 |
Government National Mortgage Assn. 3.00% 20423 | 56 | 55 |
Government National Mortgage Assn. 3.50% 20433 | 1,921 | 1,944 |
Government National Mortgage Assn. 4.00% 20463 | 2,281 | 2,320 |
Government National Mortgage Assn. 3.50% 20483,4 | 25,000 | 25,090 |
Government National Mortgage Assn. 4.00% 20483,4 | 33,367 | 34,143 |
Government National Mortgage Assn. 4.00% 20483,4 | 21,833 | 22,373 |
Government National Mortgage Assn. 4.50% 20483,4 | 60,719 | 63,017 |
Government National Mortgage Assn. 4.50% 20483,4 | 31,081 | 32,310 |
Government National Mortgage Assn. 4.591% 20613 | 425 | 429 |
Government National Mortgage Assn. 4.636% 20613 | 762 | 768 |
Government National Mortgage Assn. 4.662% 20613 | 830 | 836 |
Government National Mortgage Assn. 4.656% 20613 | 286 | 288 |
Government National Mortgage Assn. 4.70% 20613 | 1,277 | 1,282 |
Government National Mortgage Assn. 4.70% 20613 | 622 | 625 |
Government National Mortgage Assn. 4.72% 20613 | 74 | 74 |
Government National Mortgage Assn. 4.81% 20613 | 14 | 14 |
Government National Mortgage Assn. 5.15% 20613 | 698 | 715 |
Government National Mortgage Assn. 4.682% 20623 | 1,056 | 1,067 |
Government National Mortgage Assn. 4.733% 20623 | 42 | 43 |
Government National Mortgage Assn. 4.869% 20623 | 91 | 93 |
Bonds, notes & other debt instruments Mortgage-backed obligations (continued) Federal agency mortgage-backed obligations (continued) | Principal amount (000) | Value (000) |
Government National Mortgage Assn. 5.166% 20623 | $81 | $82 |
Government National Mortgage Assn. 4.659% 20633 | 59 | 60 |
Government National Mortgage Assn. 4.968% 20633 | 43 | 44 |
Government National Mortgage Assn. 4.652% 20643,5 | 632 | 641 |
Government National Mortgage Assn. 4.937% 20643 | 149 | 151 |
Government National Mortgage Assn. 5.001% 20643,5 | 204 | 208 |
Government National Mortgage Assn. 5.172% 20643 | 404 | 410 |
Government National Mortgage Assn. 5.175% 20643 | 394 | 401 |
Government National Mortgage Assn. 5.393% 20643 | 4 | 4 |
Government National Mortgage Assn. 6.64% 20643 | 1,139 | 1,180 |
Government National Mortgage Assn. 6.64% 20643 | 115 | 117 |
Government National Mortgage Assn. 4.664% 20653 | 651 | 656 |
Government National Mortgage Assn. Pool #892950 3.307% 20603,5 | 1,315 | 1,348 |
Government National Mortgage Assn. Pool #894475 4.127% 20633,5 | 3,959 | 4,165 |
Government National Mortgage Assn. Pool #AG8149 2.735% 20643,5 | 440 | 446 |
Government National Mortgage Assn. Pool #AG8156 3.196% 20643,5 | 607 | 620 |
Government National Mortgage Assn. Pool #894482 4.131% 20643,5 | 5,412 | 5,697 |
Government National Mortgage Assn., Series 2010-H23, Class PT, 5.408% 20603,5 | 8,883 | 9,003 |
Government National Mortgage Assn., Series 2012-H20, Class PT, 2.925% 20623,5 | 2,872 | 2,898 |
Government National Mortgage Assn., Series 2012-H12, Class FT, (1 Year CMT Weekly Rate + 0.70%) 2.95% 20623,5 | 2,465 | 2,480 |
National Credit Union Administration, Series 2011-R1, Class 1A, (1-month USD-LIBOR + 0.45%) 2.373% 20203,5 | 212 | 212 |
National Credit Union Administration, Series 2011-R3, Class 1A, (1-month USD-LIBOR + 0.40%) 2.413% 20203,5 | 326 | 326 |
National Credit Union Administration, Series 2011-R2, Class 1A, (1-month USD-LIBOR + 0.40%) 2.425% 20203,5 | 97 | 97 |
Vendee Mortgage Trust, Series 2011-2, Class DA, 3.75% 20333 | 6,691 | 6,736 |
Vendee Mortgage Trust, Series 2010-1, Class DA, 4.25% 20353 | 6,298 | 6,388 |
Total mortgage-backed obligations | 859,111 | |
Federal agency bonds & notes 20.43% | ||
Export-Import Bank of the United States-Guaranteed, VCK Lease SA 2.591% 20263 | 962 | 944 |
Export-Import Bank of the United States-Guaranteed, Ethiopian Leasing 2012 LLC 2.646% 20263 | 693 | 681 |
Fannie Mae 1.75% 2019 | 16,000 | 15,841 |
Fannie Mae 1.25% 2021 | 11,400 | 10,917 |
Fannie Mae 7.125% 2030 | 4,000 | 5,508 |
Federal Home Loan Bank 1.75% 2018 | 74,000 | 73,822 |
Federal Home Loan Bank 3.375% 2023 | 16,715 | 17,131 |
Federal Home Loan Bank 5.50% 2036 | 600 | 783 |
Freddie Mac 3.75% 2019 | 12,750 | 12,889 |
Freddie Mac 2.375% 2021 | 100,000 | 99,265 |
Private Export Funding Corp. 1.45% 2019 | 17,500 | 17,323 |
Private Export Funding Corp. 2.25% 2020 | 5,000 | 4,971 |
Private Export Funding Corp. 3.55% 2024 | 6,340 | 6,543 |
Small Business Administration, Series 2001-20K, 5.34% 20213 | 40 | 41 |
Small Business Administration, Series 2001-20J, 5.76% 20213 | 16 | 16 |
Small Business Administration, Series 2001-20F, 6.44% 20213 | 65 | 68 |
Small Business Administration, Series 2003-20B, 4.84% 20233 | 182 | 187 |
Tennessee Valley Authority 2.875% 2027 | 10,000 | 9,764 |
Tennessee Valley Authority 4.65% 2035 | 2,330 | 2,701 |
Tennessee Valley Authority 5.88% 2036 | 1,750 | 2,296 |
Tennessee Valley Authority, Series A, 3.875% 2021 | 32,975 | 33,965 |
Tennessee Valley Authority, Series A, 4.625% 2060 | 250 | 302 |
Bonds, notes & other debt instruments Federal agency bonds & notes (continued) | Principal amount (000) | Value (000) |
TVA Southaven 3.846% 20333 | $1,370 | $1,372 |
U.S. Department of Housing and Urban Development, Series 2015-A-4, 1.33% 2018 | 10,000 | 9,992 |
U.S. Department of Housing and Urban Development, Series 2015-A-6, 1.98% 2020 | 11,510 | 11,355 |
U.S. Department of Housing and Urban Development, Series 2015-A-7, 2.35% 2021 | 5,000 | 4,942 |
U.S. Department of Housing and Urban Development, Series 2015-A-8, 2.45% 2022 | 8,000 | 7,897 |
U.S. Department of Housing and Urban Development, Series 2015-A-9, 2.80% 2023 | 2,000 | 1,999 |
U.S. Department of Housing and Urban Development, Series 2015-A-10, 2.85% 2024 | 3,000 | 2,991 |
U.S. Department of Housing and Urban Development, Series 2015-A-11, 2.95% 2025 | 3,515 | 3,502 |
U.S. Department of Housing and Urban Development, Series 2015-A-12, 3.10% 2026 | 3,500 | 3,499 |
U.S. Department of Housing and Urban Development, Series 2015-A-13, 3.15% 2027 | 15,332 | 15,276 |
U.S. Department of Housing and Urban Development, Series 2015-A-14, 3.25% 2028 | 5,106 | 5,098 |
U.S. Department of Housing and Urban Development, Series 2015-A-15, 3.35% 2029 | 3,500 | 3,522 |
U.S. Department of Housing and Urban Development, Series 2015-A-16, 3.50% 2030 | 3,307 | 3,334 |
U.S. Department of Housing and Urban Development, Series 2015-A-17, 3.55% 2031 | 3,300 | 3,272 |
U.S. Department of Housing and Urban Development, Series 2015-A-18, 3.60% 2032 | 3,177 | 3,122 |
U.S. Department of Housing and Urban Development, Series 2015-A-19, 3.65% 2033 | 2,734 | 2,750 |
U.S. Department of Housing and Urban Development, Series 2015-A-20, 3.70% 2034 | 651 | 657 |
United States Agency for International Development, Jordan (Kingdom of) 1.945% 2019 | 19,750 | 19,652 |
United States Agency for International Development, Jordan (Kingdom of) 2.503% 2020 | 88,000 | 87,617 |
United States Agency for International Development, Jordan (Kingdom of) 2.578% 2022 | 43,000 | 42,757 |
United States Agency for International Development, Jordan (Kingdom of) 3.00% 2025 | 43,250 | 43,711 |
United States Agency for International Development, Morocco (Kingdom of) 7.55% 20263 | 3,477 | 3,997 |
United States Agency for International Development, Iraq (State of), 2.149% 2022 | 6,670 | 6,475 |
United States Agency for International Development, Tunisia (Kingdom of) 1.416% 2021 | 3,000 | 2,878 |
United States Agency for International Development, Ukraine, 1.844% 2019 | 1,445 | 1,435 |
United States Agency for International Development, Ukraine, 1.471% 2021 | 4,410 | 4,228 |
United States Government-Guaranteed Certificates of Participation, Overseas Private Investment Corp., 3.49% 20293 | 838 | 845 |
United States Government-Guaranteed Certificates of Participation, Overseas Private Investment Corp., 3.82% 20323 | 944 | 965 |
United States Government-Guaranteed Certificates of Participation, Overseas Private Investment Corp., 3.938% 20323 | 772 | 801 |
615,899 | ||
Total bonds, notes & other debt instruments (cost: $3,019,008,000) | 2,987,762 | |
Short-term securities 16.56% | ||
3M Co. 1.90% due 7/9/20186 | 18,800 | 18,790 |
Chariot Funding, LLC 2.25% due 8/31/20186 | 25,000 | 24,905 |
CHARTA, LLC 2.27% due 9/28/20186 | 30,000 | 29,827 |
Chevron Corp. 1.98%–2.01% due 8/23/2018–9/10/20186 | 50,000 | 49,809 |
Coca-Cola Co. 2.23% due 10/5/20186 | 50,000 | 49,704 |
Eli Lilly and Co. 1.91% due 7/9/20186 | 30,000 | 29,984 |
ExxonMobil Corp. 1.91% due 8/2/2018 | 20,000 | 19,963 |
Federal Farm Credit Banks 1.94% due 10/4/2018 | 20,000 | 19,898 |
Hershey Co. 1.98% due 7/16/20186 | 10,000 | 9,991 |
Intel Corp. 1.94% due 7/23/20186 | 41,300 | 41,246 |
Kimberly-Clark Corp. 1.95% due 7/9/20186 | 8,500 | 8,495 |
National Rural Utilities Cooperative Finance Corp. 1.98% due 7/19/2018 | 10,000 | 9,989 |
PepsiCo Inc. 1.96% due 8/6/20186 | 60,000 | 59,873 |
Pfizer Inc. 2.03% due 9/10/20186 | 50,000 | 49,787 |
Simon Property Group, LP 1.87% due 7/27/20186 | 20,000 | 19,969 |
Short-term securities | Principal amount (000) | Value (000) |
Société Générale 1.79% due 7/2/20186 | $37,100 | $37,094 |
United Parcel Service Inc. 1.87% due 7/11/20186 | 20,000 | 19,987 |
Total short-term securities (cost: $499,371,000) | 499,311 | |
Total investment securities 115.66% (cost: $3,518,379,000) | 3,487,073 | |
Other assets less liabilities (15.66)% | (472,050) | |
Net assets 100.00% | $3,015,023 |
Contracts | Type | Number of contracts | Expiration | Notional amount7 (000) | Value at 6/30/20188 (000) | Unrealized (depreciation) appreciation at 6/30/2018 (000) |
90 Day Euro Dollar Futures | Long | 1 | December 2018 | $250 | $243 | $—9 |
2 Year U.S. Treasury Note Futures | Long | 1,895 | October 2018 | 379,000 | 401,414 | (233) |
5 Year U.S. Treasury Note Futures | Long | 13,644 | October 2018 | 1,364,400 | 1,550,193 | 7,833 |
10 Year U.S. Treasury Note Futures | Long | 3,146 | September 2018 | 314,600 | 378,110 | 2,093 |
10 Year Ultra U.S. Treasury Note Futures | Long | 312 | September 2018 | 31,200 | 40,009 | 361 |
20 Year U.S. Treasury Bond Futures | Long | 97 | September 2018 | 9,700 | 14,065 | 35 |
30 Year Ultra U.S. Treasury Bond Futures | Short | 159 | September 2018 | (15,900) | (25,370) | 17 |
$10,106 |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized appreciation (depreciation) at 6/30/2018 (000) |
1.9475% | U.S. EFFR | 9/26/2018 | $3,090,000 | $54 | $— | $54 |
1.882% | U.S. EFFR | 9/26/2018 | 142,200 | (12) | — | (12) |
1.8975% | U.S. EFFR | 9/26/2018 | 374,000 | (22) | — | (22) |
1.8935% | U.S. EFFR | 9/26/2018 | 398,000 | (26) | — | (26) |
1.865% | U.S. EFFR | 9/26/2018 | 364,900 | (40) | — | (40) |
U.S. EFFR | 2.385% | 5/1/2019 | 2,143,040 | (120) | — | (120) |
1.37% | U.S. EFFR | 6/14/2019 | 60,500 | (474) | — | (474) |
1.362% | U.S. EFFR | 6/21/2019 | 60,500 | (492) | — | (492) |
1.351% | U.S. EFFR | 6/28/2019 | 60,500 | (511) | — | (511) |
2.32475% | 3-month USD-LIBOR | 2/9/2020 | 490,000 | (3,245) | — | (3,245) |
3-month USD-LIBOR | 2.3774% | 2/13/2020 | 390,000 | 2,270 | — | 2,270 |
1.997% | U.S. EFFR | 2/13/2020 | 60,900 | (308) | — | (308) |
1.989% | U.S. EFFR | 2/13/2020 | 61,000 | (316) | — | (316) |
1.9425% | 3-month USD-LIBOR | 3/17/2020 | 165,000 | (2,231) | — | (2,231) |
U.S. EFFR | 2.19% | 3/29/2020 | 135,300 | 383 | — | 383 |
2.5935% | 3-month USD-LIBOR | 3/29/2020 | 136,200 | (377) | — | (377) |
2.577% | 3-month USD-LIBOR | 3/29/2020 | 135,300 | (413) | — | (413) |
U.S. EFFR | 2.174% | 4/4/2020 | 71,520 | 230 | — | 230 |
2.5725% | 3-month USD-LIBOR | 4/4/2020 | 71,516 | (235) | — | (235) |
U.S. EFFR | 2.19% | 4/6/2020 | 47,300 | 139 | — | 139 |
3-month USD-LIBOR | 2.761% | 4/27/2020 | 100,000 | 18 | — | 18 |
U.S. EFFR | 2.4195% | 6/14/2020 | 121,000 | (36) | — | (36) |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized appreciation (depreciation) at 6/30/2018 (000) |
1.8005% | 3-month USD-LIBOR | 9/28/2020 | $48,000 | $(1,062) | $— | $(1,062) |
3-month USD-LIBOR | 1.217% | 9/22/2021 | 60,000 | 3,065 | — | 3,065 |
3-month USD-LIBOR | 1.225% | 9/22/2021 | 60,000 | 3,051 | — | 3,051 |
3-month USD-LIBOR | 1.2255% | 9/23/2021 | 5,000 | 254 | — | 254 |
3-month USD-LIBOR | 1.9665% | 2/2/2022 | 50,000 | 1,560 | — | 1,560 |
3-month USD-LIBOR | 2.2175% | 3/17/2022 | 52,000 | 1,203 | — | 1,203 |
3-month USD-LIBOR | 1.8675% | 4/19/2022 | 70,000 | 2,545 | — | 2,545 |
3-month USD-LIBOR | 1.75918% | 4/29/2022 | 58,000 | 2,351 | — | 2,351 |
3-month USD-LIBOR | 1.948% | 7/28/2022 | 20,000 | 714 | — | 714 |
2.80% | 3-month USD-LIBOR | 9/2/2022 | 280,000 | (767) | — | (767) |
2.75% | 3-month USD-LIBOR | 9/2/2022 | 280,000 | (1,024) | — | (1,024) |
2.009% | 3-month USD-LIBOR | 10/4/2022 | 50,000 | (1,744) | — | (1,744) |
2.08934% | 3-month USD-LIBOR | 11/17/2022 | 40,700 | (1,324) | — | (1,324) |
2.2025% | 3-month USD-LIBOR | 12/4/2022 | 20,000 | (563) | — | (563) |
3-month USD-LIBOR | 2.2455% | 12/21/2022 | 25,000 | 666 | — | 666 |
2.27403% | 3-month USD-LIBOR | 12/29/2022 | 60,000 | (1,529) | — | (1,529) |
3-month USD-LIBOR | 2.6778% | 2/12/2023 | 51,000 | 452 | — | 452 |
2.7435% | 3-month USD-LIBOR | 2/16/2023 | 41,000 | (246) | — | (246) |
3-month USD-LIBOR | 2.8655% | 4/23/2023 | 55,000 | 37 | — | 37 |
2.5815% | U.S. EFFR | 5/25/2023 | 80,000 | 295 | — | 295 |
3-month USD-LIBOR | 2.0815% | 2/10/2024 | 28,700 | 1,204 | — | 1,204 |
3-month USD-LIBOR | 2.0955% | 2/10/2024 | 14,300 | 590 | — | 590 |
3-month USD-LIBOR | 2.3875% | 3/17/2024 | 160,700 | 4,231 | — | 4,231 |
3-month USD-LIBOR | 2.12813% | 10/3/2024 | 65,000 | 2,848 | — | 2,848 |
3-month USD-LIBOR | 2.4595% | 1/12/2025 | 26,400 | 684 | — | 684 |
3-month USD-LIBOR | 2.588% | 1/26/2025 | 15,600 | 286 | — | 286 |
2.8775% | 3-month USD-LIBOR | 3/23/2025 | 29,800 | (24) | — | (24) |
2.905% | 3-month USD-LIBOR | 6/21/2025 | 38,425 | 29 | — | 29 |
3-month USD-LIBOR | 1.798% | 2/2/2026 | 35,000 | 2,652 | — | 2,652 |
3-month USD-LIBOR | 2.24% | 12/5/2026 | 55,100 | 2,776 | — | 2,776 |
3-month USD-LIBOR | 2.27% | 12/5/2026 | 44,900 | 2,160 | — | 2,160 |
2.579% | 3-month USD-LIBOR | 3/14/2027 | 53,000 | (1,360) | — | (1,360) |
2.333% | 3-month USD-LIBOR | 3/29/2027 | 42,000 | (1,890) | — | (1,890) |
3-month USD-LIBOR | 2.31934% | 11/17/2027 | 21,200 | 1,054 | — | 1,054 |
3-month USD-LIBOR | 2.31613% | 11/17/2027 | 19,800 | 990 | — | 990 |
2.925% | 3-month USD-LIBOR | 2/1/2028 | 12,800 | (20) | — | (20) |
2.91% | 3-month USD-LIBOR | 2/1/2028 | 16,000 | (35) | — | (35) |
2.908% | 3-month USD-LIBOR | 2/1/2028 | 16,000 | (36) | — | (36) |
2.92% | 3-month USD-LIBOR | 2/2/2028 | 12,200 | (22) | — | (22) |
U.S. EFFR | 2.5065% | 3/22/2028 | 8,700 | 12 | — | 12 |
U.S. EFFR | 2.535% | 3/23/2028 | 6,700 | (7) | — | (7) |
U.S. EFFR | 2.471% | 3/27/2028 | 8,100 | 36 | — | 36 |
U.S. EFFR | 2.4575% | 3/29/2028 | 9,638 | 55 | — | 55 |
U.S. EFFR | 2.424% | 3/30/2028 | 8,160 | 70 | — | 70 |
U.S. EFFR | 2.412% | 4/5/2028 | 3,702 | 36 | — | 36 |
3-month USD-LIBOR | 2.97125% | 9/2/2030 | 62,000 | 47 | — | 47 |
3-month USD-LIBOR | 3.005% | 9/2/2030 | 62,000 | (127) | — | (127) |
3-month USD-LIBOR | 2.9625% | 2/1/2038 | 9,800 | 31 | — | 31 |
3-month USD-LIBOR | 2.963% | 2/1/2038 | 9,800 | 31 | — | 31 |
3-month USD-LIBOR | 2.986% | 2/1/2038 | 7,800 | 12 | — | 12 |
3-month USD-LIBOR | 2.967% | 2/2/2038 | 7,600 | 22 | — | 22 |
3-month USD-LIBOR | 3.34% | 6/27/2044 | 10,000 | (752) | — | (752) |
3-month USD-LIBOR | 3.206% | 7/31/2044 | 16,000 | (803) | — | (803) |
Receive | Pay | Expiration date | Notional (000) | Value at 6/30/2018 (000) | Upfront payments/ receipts (000) | Unrealized appreciation (depreciation) at 6/30/2018 (000) |
3-month USD-LIBOR | 3.238% | 8/8/2044 | $16,000 | $(897) | $— | $(897) |
3-month USD-LIBOR | 2.7045% | 1/2/2045 | 12,000 | 548 | — | 548 |
3-month USD-LIBOR | 2.5055% | 1/9/2045 | 11,000 | 923 | — | 923 |
3-month USD-LIBOR | 2.4945% | 1/9/2045 | 2,000 | 172 | — | 172 |
3-month USD-LIBOR | 2.52822% | 11/23/2045 | 13,350 | 1,079 | — | 1,079 |
U.S. EFFR | 2.166% | 10/23/2047 | 10,000 | 615 | — | 615 |
U.S. EFFR | 2.145% | 11/9/2047 | 15,400 | 1,015 | — | 1,015 |
U.S. EFFR | 2.153% | 11/10/2047 | 15,300 | 983 | — | 983 |
U.S. EFFR | 2.155% | 11/10/2047 | 8,640 | 551 | — | 551 |
U.S. EFFR | 2.17% | 11/13/2047 | 15,660 | 951 | — | 951 |
2.964% | 3-month USD-LIBOR | 2/12/2048 | 9,100 | 61 | — | 61 |
U.S. EFFR | 2.5635% | 2/12/2048 | 33,204 | (708) | — | (708) |
3-month USD-LIBOR | 2.96% | 2/15/2048 | 4,600 | (27) | — | (27) |
3-month USD-LIBOR | 2.9825% | 2/20/2048 | 9,000 | (96) | — | (96) |
2.98% | 3-month USD-LIBOR | 3/15/2048 | 2,000 | 21 | — | 21 |
2.9625% | 3-month USD-LIBOR | 3/15/2048 | 2,000 | 13 | — | 13 |
U.S. EFFR | 2.4615% | 3/15/2048 | 2,000 | —9 | — | —9 |
U.S. EFFR | 2.485% | 3/15/2048 | 2,000 | (10) | — | (10) |
U.S. EFFR | 2.425% | 3/16/2048 | 4,100 | 32 | — | 32 |
2.917% | 3-month USD-LIBOR | 3/16/2048 | 4,100 | (12) | — | (12) |
U.S. EFFR | 2.505% | 3/22/2048 | 4,300 | (38) | — | (38) |
U.S. EFFR | 2.51375% | 3/22/2048 | 4,700 | (51) | — | (51) |
3-month USD-LIBOR | 3.006% | 3/23/2048 | 11,074 | (174) | — | (174) |
3-month USD-LIBOR | 2.848% | 4/3/2048 | 14,000 | 241 | — | 241 |
3-month USD-LIBOR | 2.8245% | 4/4/2048 | 11,300 | 250 | — | 250 |
3-month USD-LIBOR | 3.016% | 5/9/2048 | 4,026 | (72) | — | (72) |
3-month USD-LIBOR | 3.003% | 5/9/2048 | 6,000 | (91) | — | (91) |
3.06% | 3-month USD-LIBOR | 5/11/2048 | 3,400 | 92 | — | 92 |
3.04% | 3-month USD-LIBOR | 5/14/2048 | 3,526 | 81 | — | 81 |
3.029% | 3-month USD-LIBOR | 5/14/2048 | 3,100 | 64 | — | 64 |
U.S. EFFR | 2.625% | 5/25/2048 | 18,000 | (616) | — | (616) |
U.S. EFFR | 2.445% | 6/4/2048 | 6,700 | 25 | — | 25 |
U.S. EFFR | 2.471% | 6/29/2048 | 9,008 | (16) | — | (16) |
$— | $21,859 |
1 | All or a portion of this security was pledged as collateral. The total value of pledged collateral was $64,163,000, which represented 2.13% of the net assets of the fund. |
2 | Index-linked bond whose principal amount moves with a government price index. |
3 | Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date. |
4 | Purchased on a TBA basis. |
5 | Coupon rate may change periodically. |
6 | Acquired in a transaction exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $449,461,000, which represented 14.91% of the net assets of the fund. |
7 | Notional amount is calculated based on the number of contracts and notional contract size. |
8 | Value is calculated based on the notional amount and current market price. |
9 | Amount less than one thousand. |
Key to abbreviations and symbol | |
CMT = Constant Maturity Treasury | |
EFFR = Effective Federal Funds Rate | |
LIBOR = London Interbank Offered Rate | |
TBA = To-be-announced | |
USD/$ = U.S. dollars |
Growth funds 80.38% | Shares | Value (000) |
American Funds Insurance Series – Growth Fund, Class 1 | 3,351,155 | $259,279 |
Total growth funds (cost: $233,384,000) | 259,279 | |
Fixed income funds 15.27% | ||
American Funds Insurance Series – Bond Fund, Class 1 | 4,658,402 | 49,239 |
Total fixed income funds (cost: $50,664,000) | 49,239 | |
Short-term securities 4.40% | ||
Government Cash Management Fund | 14,206,955 | 14,207 |
Total short-term securities (cost: $14,207,000) | 14,207 | |
Total investment securities 100.05% (cost: $298,255,000) | 322,725 | |
Other assets less liabilities (0.05)% | (162) | |
Net assets 100.00% | $322,563 |
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) |
5 Year U.S. Treasury Note Futures | Long | 150 | September 2018 | $15,000 | $17,043 | $76 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
Growth funds 80.64% | Shares | Value (000) |
American Funds Insurance Series – International Fund, Class 1 | 6,052,381 | $125,103 |
Total growth funds (cost: $112,444,000) | 125,103 | |
Fixed income funds 14.98% | ||
American Funds Insurance Series – Bond Fund, Class 1 | 2,198,449 | 23,237 |
Total fixed income funds (cost: $23,947,000) | 23,237 | |
Short-term securities 4.45% | ||
Government Cash Management Fund | 689,518 | 6,896 |
Total short-term securities (cost: $6,896,000) | 6,896 | |
Total investment securities 100.07% (cost: $143,287,000) | 155,236 | |
Other assets less liabilities (0.07)% | (109) | |
Net assets 100.00% | $155,127 |
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) |
5 Year U.S. Treasury Note Futures | Long | 74 | September 2018 | $7,400 | $8,408 | $38 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
Income and Growth Fund
Growth-and-income funds 80.26% | Shares | Value (000) |
American Funds Insurance Series – Blue Chip Income and Growth Fund, Class 1 | 20,377,436 | $282,024 |
Total growth-and-income funds (cost: $274,887,000) | 282,024 | |
Fixed income funds 15.01% | ||
American Funds Insurance Series – U.S. Government/AAA-Rated Securities Fund, Class 1 | 4,429,371 | 52,754 |
Total fixed income funds (cost: $54,041,000) | 52,754 | |
Short-term securities 4.78% | ||
Government Cash Management Fund | 16,809,408 | 16,809 |
Total short-term securities (cost: $16,809,000) | 16,809 | |
Total investment securities 100.05% (cost: $345,737,000) | 351,587 | |
Other assets less liabilities (0.05)% | (188) | |
Net assets 100.00% | $351,399 |
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) |
5 Year U.S. Treasury Note Futures | Long | 168 | September 2018 | $16,800 | $19,088 | $85 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
Growth-and-income funds 81.58% | Shares | Value (000) |
American Funds Insurance Series – Growth-Income Fund, Class 1 | 3,723,850 | $185,671 |
Total growth-and-income funds (cost: $172,960,000) | 185,671 | |
Fixed income funds 15.31% | ||
American Funds Insurance Series – Bond Fund, Class 1 | 3,296,207 | 34,841 |
Total fixed income funds (cost: $35,853,000) | 34,841 | |
Short-term securities 3.18% | ||
Government Cash Management Fund | 7,224,073 | 7,224 |
Total short-term securities (cost: $7,224,000) | 7,224 | |
Total investment securities 100.07% (cost: $216,037,000) | 227,736 | |
Other assets less liabilities (0.07)% | (155) | |
Net assets 100.00% | $227,581 |
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) |
5 Year U.S. Treasury Note Futures | Long | 70 | September 2018 | $7,000 | $7,953 | $36 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
Asset allocation funds 96.49% | Shares | Value (000) |
American Funds Insurance Series – Asset Allocation Fund, Class 1 | 188,290,272 | $4,308,081 |
Total asset allocation funds (cost: $4,129,979,000) | 4,308,081 | |
Short-term securities 3.61% | ||
Government Cash Management Fund | 161,351,550 | 161,352 |
Total short-term securities (cost: $161,352,000) | 161,352 | |
Total investment securities 100.10% (cost: $4,291,331,000) | 4,469,433 | |
Other assets less liabilities (0.10)% | (4,589) | |
Net assets 100.00% | $4,464,844 |
Contracts | Type | Number of contracts | Expiration | Notional amount1 (000) | Value at 6/30/20182 (000) | Unrealized appreciation at 6/30/2018 (000) |
5 Year U.S. Treasury Note Futures | Long | 1,599 | September 2018 | $159,900 | $181,674 | $810 |
1 | Notional amount is calculated based on the number of contracts and notional contract size. |
2 | Value is calculated based on the notional amount and current market price. |
INGEFPX-998-0818O-S66047 | American Funds Insurance Series — Managed Risk Asset Allocation Fund — Page 171 of 171 |
ITEM 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.
ITEM 8 – Portfolio Managers of Closed-End Management Investment Companies
Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.
ITEM 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable to this Registrant, insofar as the Registrant is not a closed-end management investment company.
ITEM 10 – Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of trustees since the Registrant last submitted a proxy statement to its shareholders. The procedures are as follows. The Registrant has a nominating and governance committee comprised solely of persons who are not considered ‘‘interested persons’’ of the Registrant within the meaning of the Investment Company Act of 1940, as amended. The committee periodically reviews such issues as the board’s composition, responsibilities, committees, compensation and other relevant issues, and recommends any appropriate changes to the full board of trustees. While the committee normally is able to identify from its own resources an ample number of qualified candidates, it will consider shareholder suggestions of persons to be considered as nominees to fill future vacancies on the board. Such suggestions must be sent in writing to the nominating and governance committee of the Registrant, c/o the Registrant’s Secretary, and must be accompanied by complete biographical and occupational data on the prospective nominee, along with a written consent of the prospective nominee for consideration of his or her name by the nominating and governance committee.
ITEM 11 – Controls and Procedures
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures (as such term is defined in Rule 30a-3 under the Investment Company Act of 1940), that such controls and procedures are adequate and reasonably designed to achieve the purposes described in paragraph (c) of such rule. |
(b) | Effective May 28, 2018, the American Funds Insurance Series investment adviser implemented a new fixed income order management, trading, and compliance system. In connection with introducing this new system, additional automated and manual controls were implemented and some existing controls were modified. None of these changes were in response to any identified deficiency or weakness in the American Funds Insurance Series internal control over financial reporting. |
ITEM 12 – Exhibits
(a)(1) | Not applicable for filing of semi-annual reports to shareholders. |
(a)(2) | The certifications required by Rule 30a-2 of the Investment Company Act of 1940 and Sections 302 and 906 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AMERICAN FUNDS INSURANCE SERIES | |
By /s/ Maria Manotok | |
Maria Manotok, Executive Vice President and Principal Executive Officer | |
Date: August 31, 2018 |
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/ Maria Manotok |
Maria Manotok, Executive Vice President and Principal Executive Officer |
Date: August 31, 2018 |
By /s/ Gregory F. Niland |
Gregory F. Niland, Treasurer and Principal Financial Officer |
Date: August 31, 2018 |