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 | 811-4279 | |||||||
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Advantus Series Fund, Inc. | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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400 Robert Street North St. Paul, Minnesota |
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(Address of principal executive offices) |
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Eric J. Bentley, Esq. 400 Robert Street North St. Paul, Minnesota 55101-2098 | ||||||||
(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: | (651) 665-3500 |
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Date of fiscal year end: | December 31 |
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Date of reporting period: | December 31, 2011 |
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ITEM 1. REPORT TO STOCKHOLDERS.
Filed herewith.
Discover Value.
Annual Report
Advantus Series Fund, Inc.
Offered in Minnesota Life Insurance Company and
Securian Life Insurance Company Variable Products
December 31, 2011
Equities
Index 400 Mid-Cap Portfolio
Index 500 Portfolio
Real Estate Securities Portfolio
Fixed Income
International Bond Portfolio
Bond Portfolio
Mortgage Securities Portfolio
Money Market
Money Market Portfolio
TABLE OF CONTENTS
Page No. | |||||||
Letter from the President | 1 | ||||||
Portfolio Manager Reviews | |||||||
Bond Portfolio | 2 | ||||||
Money Market Portfolio | 6 | ||||||
Mortgage Securities Portfolio | 8 | ||||||
Index 500 Portfolio | 11 | ||||||
International Bond Portfolio | 13 | ||||||
Index 400 Mid-Cap Portfolio | 17 | ||||||
Real Estate Securities Portfolio | 19 | ||||||
Report of Independent Registered Public Accounting Firm | 22 | ||||||
Investments In Securities | |||||||
Bond Portfolio | 23 | ||||||
Money Market Portfolio | 28 | ||||||
Mortgage Securities Portfolio | 29 | ||||||
Index 500 Portfolio | 32 | ||||||
International Bond Portfolio | 39 | ||||||
Index 400 Mid-Cap Portfolio | 48 | ||||||
Real Estate Securities Portfolio | 54 | ||||||
Financial Statements | |||||||
Statements of Assets and Liabilities | 56 | ||||||
Statements of Operations | 58 | ||||||
Statements of Changes in Net Assets | 60 | ||||||
Financial Highlights | 63 | ||||||
Notes to Financial Statements | 70 | ||||||
Fund Expense Examples | 85 | ||||||
Proxy Voting and Quarterly Holdings Information | 86 | ||||||
Directors and Executive Officers | 87 | ||||||
Letter from the President
The economy tiptoed carefully through 2011, avoiding a recession and finishing on a modestly upbeat note.
The year ended with positive economic news in several areas. The economy created approximately 200,000 new jobs in December, above the 100,000 per month it had been adding. Consumer confidence improved, auto sales increased and retail sales rose. A drop in gas prices later in the year deserved some credit for helping boost consumer spending and simultaneously muffling inflation.
But it was not all good news in 2011. Throughout the year, European debt issues continued to wash up on our shores. The varying interests of European countries prevented decisive action to address the sovereign debt crisis. This economic headache will likely continue through next year and beyond.
The Federal Reserve watched these developments closely, concerned that Europe's debt problems could potentially affect our financial institutions and create a banking crisis here. A European recession could also lower demand for U.S. products and hurt our economy.
The U.S. housing market continued to be a source of economic pain. Foreclosures and delinquencies remained high, and home prices continued to fall. Mortgage rates reached historic lows, but tighter loan requirements and a less efficient lending process limited the number of borrowers who benefitted.
The Standard & Poor's 500 Index was essentially flat in a year that saw plenty of ups and downs. Stocks rose or fell by more than one percent on 95 of 252 trading days in 2011. The last six months of 2011 in particular were among the most volatile in the market's history.
In the fixed income markets, investors nervous about Europe and the U.S. economy continued to park money in Treasuries. Growing demand drove yields on the 10-year Treasury down from 3.5 percent at the year's beginning to 1.9 percent at its end, a level unprecedented since the Federal Reserve started keeping official records in 1953.
In commercial real estate, apartments ranked as the strongest sector, enjoying double-digit growth and the pricing power to implement healthy rent increases. Much of the demand for apartments comes from 25 to 30 year olds who are foregoing housing purchases.
Fundamentals in other commercial real estate sectors remain reasonably strong. High quality properties in favorable geographic areas continue to perform well, while shopping centers and office space properties wait for job and spending growth to increase demand.
The best way to describe the economy going into 2012 is "needy." To significantly improve, it needs housing to turn around. It needs the European situation to stabilize. It needs job growth to remain above 200,000 per month. Those developments, unfortunately, may not happen soon. We also are entering a presidential election year, making it less likely that Washington will take significant action on economic issues. Economically, at least, we don't expect 2012 to get off to a roaring start.
Sincerely,
David Kuplic
President, Advantus Series Fund, Inc.
1
Performance Update
Chris Sebald, CFA, David Land, CFA and Tom Houghton Portfolio Managers
The Bond Portfolio seeks as high a level of long-term total return as is consistent with prudent investment risk. Preservation of capital is a secondary objective. The Bond Portfolio invests in long-term, fixed income, high quality debt instruments. The risks incurred by investing in debt instruments include, but are not limited to, reinvestment of prepaid debt obligations at lower rates of return, and the inability to reinvest at higher interest rates when debt obligations are prepaid more slowly than expected. In addition, the net asset value of the Bond Portfolio may fluctuate in response to changes in interest rates and is not guaranteed.
Bond Portfolio
How did the Portfolio perform during 2011?
The Portfolio's performance for the year ended December 31, 2011, for each class of shares offered was as follows:
Class 1 | 8.30 percent* | ||||||
Class 2 | 8.03 percent* |
The Portfolio's benchmark, the Barclays Capital U.S. Aggregate Bond Index**, returned 7.84 percent for the same period.
What influenced the Portfolio's return during the period?
The economy was stable in the first half of the year, and yields on corporate and other non-government bonds fell in comparison to Treasuries, creating gains in those segments of the portfolio. Yields on Treasuries fell significantly in the second half of the year as the economy faltered and the Federal Reserve committed to keeping short term interest rates low at least through 2013.
What other market conditions or events influenced the Portfolio's return during the period?
While the U.S. economy was slowing in the second half, government bonds issued by Greece, Italy and Spain, among others, fell dramatically. Investors lost confidence that bonds from those countries would remain secure. Their debt ratings fell. European bank bonds fell, as the banks are the primary owners of sovereign debt. This in turn pushed spreads of banks and other non-government bonds as U.S. Treasury yields fell.
What strategies and techniques did you employ that specifically affected Portfolio performance?
Based on our views of economic growth, inflation and interest rates, we adjusted the portfolio's sector exposure. In the second quarter, most investors were betting on a lasting recovery through the end of the year. We remained skeptical that growth would continue and reduced portfolio holdings in corporate and other non-government bonds in the second quarter, as the business cycle began the turn toward lower growth. We continued to reduce such holdings as the business cycle turned lower, with GDP disappointing expectations and unemployment claims rising. We lengthened bond portfolio maturities to protect against falling interest rates if the recovery stumbled. When it did, interest rates fell to as low as 1.72 percent on the 10-year Treasury.
We increased exposure to agency mortgage-backed securities (MBS) during this time to provide for higher yields versus Treasuries. In the fourth quarter, we again increased the portfolio's exposure to corporate bonds to obtain higher yields.
We continued to actively trade individual securities to take advantage of undervalued situations in the non-government bond markets. We reversed those trades when relative values had reverted.
What industries or sectors did you emphasize during the period and what is your outlook going forward?
We emphasized corporate bonds and commercial mortgage-backed securities (CMBS). We held a higher weight than our benchmark in these classes earlier in the year, and then reduced that weight before the economic slowdown. Commercial real estate, particularly CMBS, continued to perform very well and we maintained an overweight position versus the benchmark for the year. We lowered our holdings in large banks
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exposed to continuing mortgage problems from the financial crisis and indirectly to the European government bond crisis.
As we start the new year we hold some optimism for the U.S. economy and its prospects for breaking free from the European sovereign crisis and the European recession that is likely coming. Opinions are quite varied and strong among strategists. Some see an eventual return to normal growth. Others expect market conditions to worsen substantially as a result of the European debt crisis.
We believe the current conditions have to be viewed from the vantage point of the deleveraging process that the U.S. and other Western economies began about four years ago. Since GDP growth and debt growth are typically synchronous, we believe growth will likely remain very low while economies reduce debt.
On the positive side, the U.S. economy never generated strong growth in the first two-and-a-half years of recovery, showing only 3 percent GDP in 2010 and less than 2 percent in 2011, thus the prospect for a severe recession in the near term seems limited. Instead, it is likely that growth will oscillate between levels optimists will find frustratingly low, while narrowly skirting the recession that pessimists expect.
With the 2012 U.S. government budget being more about austerity than economic stimulus, the recession risk may become more acute. The Fed's short-term interest rate policy has convinced the long term bond market that rates are not likely to rise soon. If the economy weakens as the government withdraws stimulus, we think the Fed will continue its policy and may augment it with a third round of quantitative easing. The Fed's strategies to repress interest rates and keep real yields near zero or negative will help buy time only if inflation remains moderately low. In such an environment we see neither great returns nor great losses for fixed income. If we become more comfortable that either the U.S. business cycle will escape some of the risk of Europe or that Europe's policymakers will step in to provide a more credible rescue plan, we expect to add to our non-government bond holdings. The environment where interest rates remain low and inflation is positive, but moderate, can be very good for interest-sensitive bonds such as CMBS, REIT debt and utilities.
The potential for the Fed to expand its quantitative easing program would likely benefit agency MBS—the preferred segment for further bond purchases. Security level credit metrics in all of the segments have certainly improved over the past couple of years. The fundamentals are not holding us back. Despite the recent fall in home prices, we think that housing will reach bottom in the next year or two. Housing valuations and affordability have respectively been restored and even overshot. Further declines in residential housing should be modest and have little impact on non-agency mortgage securities. However strong our fundamental view may be, trading conditions will certainly affect risk exposures. The federal regulations coming into place under the Dodd-Frank Act help to keep liquidity low and trading opportunities cycle dependent.
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Ten Largest Bond Holdings
Security description | Market value | % of bond portfolio | |||||||||
U.S. Treasury Bond 5.375%, 02/15/31 | $ | 7,290,471 | 2.1 | % | |||||||
U.S. Treasury Note 2.000%, 11/15/21 | 6,488,170 | 1.9 | % | ||||||||
U.S. Treasury Note 0.250%, 12/15/14 | 5,716,183 | 1.6 | % | ||||||||
Federal National Mortgage Association 3.500%, 11/01/41 | 5,223,689 | 1.5 | % | ||||||||
U.S. Treasury Bond 3.750%, 08/15/41 | 5,210,096 | 1.5 | % | ||||||||
U.S. Treasury Note 0.250%, 11/30/13 | 5,050,591 | 1.4 | % | ||||||||
U.S. Treasury Note 0.875%, 11/30/16 | 4,980,128 | 1.4 | % | ||||||||
Federal National Mortgage Association 4.500%, 07/01/41 | 4,135,199 | 1.2 | % | ||||||||
Altria Group, Inc. 10.200%, 02/06/39 | 4,045,912 | 1.2 | % | ||||||||
Time Warner Cable, Inc. 5.400%, 07/02/12 | 4,039,064 | 1.2 | % | ||||||||
$ | 52,179,503 | 15.0 | % |
Sector Diversification (shown as a percentage of net assets)
Asset Quality (shown as a percentage of net assets)
(Unaudited)
4
Comparison of Change in Investment Value*
A Hypothetical $10,000 Investment in Bond Portfolio,
Barclays Capital U.S. Aggregate Bond Index and Consumer Price Index
On the chart above you can see how the Bond Portfolio's Class 2 shares total return compared to the Barclays Capital U.S. Aggregate Bond Index and the Consumer Price Index. The three lines represent the total return of a hypothetical $10,000 investment made on December 31, 2001 through December 31, 2011, assuming reinvestment of distributions, if any.
*The results shown are past performance and are not an indication of future performance. Current performance may be lower or higher. The investment returns and principal value of an investment will fluctuate so that shares upon redemption may be worth more or less than their original cost. Performance figures of the Portfolio do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. When such charges are deducted, actual investment performance in a variable policy or contract will be lower.
**The Barclays Capital U.S. Aggregate Bond Index is an unmanaged benchmark composite representing average market-weighted performance of U.S. Treasury and agency securities, investment-grade corporate bonds and mortgage-backed securities with maturities greater than one year.
5
Performance Update
Tom Houghton Portfolio Manager
The Money Market Portfolio seeks maximum current income to the extent consistent with liquidity and the preservation of capital. It invests in short-term money market instruments and other debt securities that mature within 397 days.
Investment in the Money Market Portfolio is neither insured nor guaranteed by the U.S. Government, and there can be no assurance that the Portfolio will be able to maintain a stable net asset value of $1.00 per share. It is possible to lose money by investing in the Portfolio.
Money Market Portfolio
How did the Portfolio perform during 2011?
For the year ended December 31, 2011 the Portfolio had a net return of 0.00 percent*. This return reflects the waiver, reimbursement or payment of certain of the Portfolio's expenses by its investment advisor and principal underwriter.+ The Portfolio's benchmark, the Three-Month Treasury Bill Index, returned 0.11 percent for the same period.
What influenced the Portfolio's return during the period?
The return on the Portfolio for the year was 0.14 percent before expenses. While higher than the return of the three-month Treasury bill, the return was not large enough to compensate for the expenses of managing the Portfolio.
What other market conditions or events influenced the Portfolio's performance during the period?
The short end of the Treasury yield curve barely budged during the year. Money market rates have been yielding near zero percent for over three years. Yields on Treasuries across the curve fell significantly in the second half of the year as the economy faltered and the Federal Reserve committed to keeping short term interest rates low at least through 2013.
The Fed's explicit commitment to keep rates low resulted in further compression of money market rates throughout the year. The three-month Treasury bill started the year at a 0.12 percent rate and finished it at 0.01 percent. This acted as an anchor on most other money market rates. Yields on 90-day commercial paper collapsed further, generally ranging from 0.05 percent to 0.15 percent. Agency discount notes generally yielded less than 0.05 percent. Issues that traded off the London-Interbank Offered Rate (LIBOR) were the lone bright spot for yield, as concerns about European fiscal situation pushed them up from about 0.30 percent to 0.58 percent. Yields on many floating rate corporate securities and short-dated asset-backed securities (ABS) generally move with the LIBOR, so rates generally rose for those asset classes. Yields on short-dated ABS actually moved up from about 0.30 percent to 0.35 percent to about 0.50 percent to end the year.
What strategies and techniques did you employ that specifically affected the Portfolio's performance?
The Portfolio's performance continues to be driven by its strategy of investing in high-quality U.S. corporate commercial paper (rated at least A-1 by Standard & Poor's and at least P-1 by Moody's). This strategy remains a sound alternative for investors seeking a high degree of safety and liquidity. Commercial paper, however, currently offers little yield above government agency discount notes and Treasury bills of similar maturities. We continue to provide some additional yield for the Portfolio by investing in more short-dated ABS. Yields on short-dated ABS are generally 30 to 35 basis points higher than high-quality commercial paper.
We've also found value in high-quality, floating rate corporate securities. Yields on these securities are also generally 30 to 35 basis points higher than similar-quality commercial paper. We continue to carefully manage the Portfolio's risk exposure. We have not been enticed by the extra yield available by investing in European bank debt. We believe many European banks have too much exposure to the debt of fiscally troubled sovereigns in that region.
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What industries or sectors did you emphasize during the period, and what is your outlook for the next 12 months?
We invested primarily in high quality U.S. corporate commercial paper (rated A-1 or higher by Standard & Poor's and P-1 or higher by Moody's) and high quality, short-dated ABS. We also invested in short-term discount notes issued primarily by the government sponsored agencies Fannie Mae and Freddie Mac. Also, the portfolio benefitted from its holdings in longer-dated securities of several high-quality firms.
Given the Fed's explicit commitment to keeping rates low until at least 2013, we see little impetus for money market rates to move up over the next year. We will continue to look for securities tied to LIBOR, but that strategy will only incrementally add to the overall portfolio yield. Most offerings in the short-term market are still fixed-rate and will continue to remain compressed. Given our interest rate outlook, it is likely that yields in the Portfolio will continue to remain near zero.
*The results shown are past performance and are not an indication of future performance. Current performance may be lower or higher. The investment returns and principal value of an investment will fluctuate so that shares upon redemption may be worth more or less than their original cost. Investment in the Money Market Portfolio is neither insured nor guaranteed by the U.S. Government or any other agency, and there can be no assurance that the Portfolio will be able to maintain a stable net asset value of $1.00 per share. Shares upon redemption may be worth more or less than their original cost. Performance figures of the Portfolio do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. When such charges are deducted, actual investment performance in a variable policy or contract will be lower.
+ Effective October 29, 2009, the Board of Directors of the Fund approved an Amended and Restated Net Investment Income Maintenance Agreement among the Fund (on behalf of the Money Market Portfolio), Advantus Capital Management, Inc. ("Advantus Capital") and Securian Financial Services, Inc. ("Securian Financial"). Under such Agreement, Advantus Capital agrees to waive, reimburse or pay Money Market Portfolio expenses so that the Portfolio's daily net investment income does not fall below zero. Securian Financial may also waive its Rule 12b-1 fees. Advantus Capital and Securian Financial each has the option under the Agreement to recover the full amount waived, reimbursed or paid (the "Expense Waiver") on any day on which the Portfolio's net investment income exceeds zero. On any day, however, the Expense Waiver does not constitute an obligation of the Portfolio unless Advantus Capital or Securian Financial has expressly exercised its right to recover a specified portion of the Expense Waiver on that day, in which case such specified portion is then due and payable by the Portfolio. In addition, the right of Advantus Capital and/or Securian Financial to recover the Expense Waiver is subject to the following limitations: (1) if a repayment of the Expense Waiver by the Portfolio would cause the Portfolio's net investment income to fall below zero, such repayment is deferred until a date when repayment would not cause the Portfolio's net investment income to fall below zero; (2) the right to recover any portion of the Expense Waiver expires three years after the effective date of that portion of the Expense Waiver; and (3) any repayment of the Expense Waiver by the Portfolio cannot cause the Portfolio's expense ratio to exceed 1.25%. As of December 31, 2011, Advantus Capital and Securian Financial have collectively waived $1,466,650 pursuant to the Agreement. If Advantus Capital and Securian Financial exercise their rights to be paid such waived amounts, the Portfolio's future yield will be negatively affected for an indefinite period.
7
Performance Update
Chris Sebald, CFA and David Land, CFA Portfolio Managers
The Mortgage Securities Portfolio seeks a high level of current income consistent with prudent investment risk. The Mortgage Securities Portfolio will invest primarily in mortgage-related securities. The risks incurred by investing in mortgage-related securities include, but are not limited to, reinvestment of prepaid loans at low rates of return, and the inability to reinvest at higher interest rates when mortgages are prepaid more slowly than expected. In addition, the net asset value of the Mortgage Securities Portfolio may fluctuate in response to changes in interest rates and is not guaranteed.
Mortgage Securities Portfolio
How did the Portfolio perform during 2011?
The Portfolio's performance for the year ended December 31, 2011, for each class of shares offered was as follows:
Class 1 | 7.00 percent* | ||||||
Class 2 | 6.73 percent* |
The Portfolio's benchmark, the Barclays Capital U.S. Mortgage Backed Securities Index**, returned 6.23 percent for the same period.
What influenced the Portfolio's return during the period?
The economy was stable in the first half of the year. Yields on Treasuries fell significantly in the second half of the year as the economy faltered and the Federal Reserve committed to keeping short term interest rates low at least through 2013.
What other market conditions or events influenced the Portfolio's return during the period?
Our exposures to commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) were beneficial to the Portfolio. CMBS were buoyed by investors seeking out higher yields and ABS were supported by limited supply. In agency pass-throughs, we focused on mortgage pools that were likely, in our estimation, to prepay slower than generic pools. The majority of the mortgage market is trading at a premium dollar price and mortgage rates are historically low. Therefore, we are focused on finding ways to insulate the Portfolio from mortgage prepayments.
The recurring theme in the mortgage market is government. There are two main thrusts of government policy. First, the government is expanding its program to refinance underwater borrowers through a program called HARP2. Second, numerous ideas are being discussed on ameliorating the foreclosure crisis. The one idea that appears to be gaining some traction is converting foreclosed properties into rentals. The devil is in the details and any successful program appears to be a way off. A successful program would likely help home prices. We anticipate these policy debates to continue in 2012.
What strategies and techniques did you employ that specifically affected Portfolio performance?
We continue to focus on agency mortgages, given the uncertainty surrounding the housing market. Our agency mortgage strategy is largely unchanged. We focus on pools in which borrowers are less likely to refinance their mortgage. These pools offer investors greater income stability than other agency mortgages. We continue to look for attractive CMBS and ABS and selectively add these securities to the portfolio.
What industries or sectors did you emphasize during the period and what is your outlook going forward?
Agency pass-throughs comprise the majority of the Portfolio with smaller exposures to CMBS, ABS and non-agency mortgages. We anticipate the composition of the Portfolio will be similar at the end of 2012.
Last year we mentioned the foreclosure crisis and Government-sponsored enterprise (GSE) reform would be the dominant issues in 2011 and the same is true in 2012. What is new? We believe the housing market is nearing a price bottom. This will be a welcome change when it occurs. The issues surrounding foreclosure processing are playing out slowly. The only real progress to report is that the attorneys general and the large banks
8
are nearing a settlement regarding robo-signing. [Note: Early in 2012, a settlement appeared to be reached between five large mortgage servicers and 49 state attorneys general. The settlement provided funds for principal reductions on some mortgages, refinancing underwater borrowers, and financial compensation for homeowners who were improperly foreclosed upon. The settlement will have no direct effect on agency pass-throughs, since Fannie Mae and Freddie Mac weren't parties to the settlement. The impact on non-agency mortgages remains to be seen, and the details aren't finalized]. The fate of Fannie Mae and Freddie Mac still hangs in the balance. It is doubtful that they will emerge from conservatorship. Yet, they remain a crucial part of housing finance and are well entrenched in the market. It is our estimation that the government will continue to support the enterprises, and their mortgage guarantee business will remain in place. Any other outcome is likely to disrupt the markets. The final resolution of the GSEs appears years away.
There is reason for hope in regards to home prices, despite numerous pending foreclosure sales. On the supply front, very few new homes have been built in the last several years. Foreclosed properties are not substitutes for new homes; therefore consumers may demand new or newer homes versus foreclosed homes. Second, if the government is successful in converting foreclosures into rentals, a major source of supply will be reduced. On the demand side, during the recession, household formation fell. Now that the economy is improving and unemployment is falling, we expect household formation will pickup creating demand for housing. Finally, the combination of historically low rates and rising rents make homeownership look attractive.
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*The results shown are past performance and are not an indication of future performance. Current performance may be lower or higher. The investment returns and principal value of an investment will fluctuate so that shares upon redemption may be worth more or less than their original cost. Performance figures of the Portfolio do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. When such charges are deducted, actual investment performance in a variable policy or contract will be lower.
**The Barclays Capital U.S. Mortgage Backed Securities Index is an unmanaged benchmark composite which includes all fixed-rate securities backed by mortgage pools of the Government National Mortgage Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC) and Federal National Mortgage Association (FNMA).
Sector Diversification (shown as a percentage of net assets)
Asset Quality (shown as a percentage of net assets)
(Unaudited)
Comparison of Change in Investment Value*
A Hypothetical $10,000 Investment in Mortgage Securities Portfolio,
Barclays Capital U.S. Mortgage Backed Securities Index and Consumer Price Index
On the chart above you can see how the Mortgage Securities Portfolio's total return compared to the Barclays Capital U.S. Mortgage Backed Securities Index and the Consumer Price Index. The three lines represent the total return of a hypothetical $10,000 investment made on December 31, 2001 through December 31, 2011, assuming reinvestment of distributions, if any.
10
Performance Update
James Seifert Portfolio Manager
The Index 500 Portfolio+ seeks investment results that correspond generally to the price and yield performance of the common stocks included in the Standard and Poor's Corporation 500 Composite Stock Index (S&P 500)+. It is designed to provide an economical and convenient means of maintaining a broad position in the equity market as part of an overall investment strategy. The risks incurred by investing in the Index 500 Portfolio include, but are not limited to, the risk that the Portfolio may not be able to replicate the performance of the S&P 500, and the risk of declines in the equity markets generally.
Index 500 Portfolio
How did the Portfolio perform during 2011?
The Portfolio's performance for the year ended December 31, 2011, for each class of shares offered was as follows:
Class 1 | 1.85 percent* | ||||||
Class 2 | 1.59 percent* |
The Portfolio's benchmark, the Standard & Poor's 500 Index**, returned 2.11 percent for the same period.
What influenced the Portfolio's return during the period?
The Advantus Series Fund Index 500 Portfolio is passively managed. The Portfolio is fully invested and holds all 500 names at published float-adjusted index weights. The Portfolio seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the S&P 500 Index.
Sector performance was mixed with four of nine sectors ending the year with negative returns. The utility sector ended the year with the strongest return of 14.83 percent. Consumer non-durable names followed with a 13.70 percent return. In terms of size, decile one, (decile segments consist of 50 names) consisting of the mega-cap names and representing a 49 percent weight in the index, ended the period with the strongest return of 3.94 percent. Decile 10, stocks with market caps 3.9 billion and below, ended the period with the weakest return of -2.95 percent.
What other market conditions or events influenced the Portfolio's performance during the period?
The market spent much of the year in whipsaw mode, elated or dashed by day-to-day changes in domestic economic statistics or developments in the European debt crisis. Stocks rose and fell by more than one percent in 95 of 252 trading days. The past six months in particular have been among the most volatile in the market's history.
Stocks of stable businesses with strong balance sheets and names providing higher dividend yields fared the year relatively strong.
What will affect the Portfolio going forward?
The best way to describe our economy is "needy." To significantly improve, it needs housing to turn around. It needs the European situation to stabilize. It needs job growth to remain above 200,000 per month. Those developments, unfortunately, may not happen soon. We are also entering a presidential election year, making it less likely that Washington will take significant action on economic issues.
Growth in the first quarter is likely to remain slow. Economically, at least, we don't expect 2012 to get off to a roaring start.
+"Standard & Poor's®", "S&P®", "S&P 500®", "Standard & Poor's 500", and "500" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by the Advantus Series Fund, Inc.-Index 500 Portfolio. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's makes no representation regarding the advisability of investing in the Portfolio.
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*The results shown are past performance and are not an indication of future performance. Current performance may be lower or higher. The investment returns and principal value of an investment will fluctuate so that shares upon redemption may be worth more or less than their original cost. Performance figures of the Portfolio do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. When such charges are deducted, actual investment performance in a variable policy or contract will be lower.
**The S&P 500 Index is a broad, unmanaged index of 500 common stocks which are representative of the U.S. stock market overall.
Ten Largest Stock Holdings
Security description | Shares | Market value | % of stock portfolio | ||||||||||||
Exxon Mobil Corp. | 173,163 | $ | 14,677,296 | 3.6 | % | ||||||||||
Apple, Inc. | 33,624 | 13,617,720 | 3.3 | % | |||||||||||
International Business Machines Corp. | 42,580 | 7,829,610 | 1.9 | % | |||||||||||
Chevron Corp. | 71,946 | 7,655,054 | 1.9 | % | |||||||||||
Microsoft Corp. | 270,438 | 7,020,571 | 1.7 | % | |||||||||||
General Electric Co. | 381,403 | 6,830,927 | 1.7 | % | |||||||||||
The Procter & Gamble Co. | 99,396 | 6,630,707 | 1.6 | % | |||||||||||
AT&T, Inc. | 214,087 | 6,473,991 | 1.6 | % | |||||||||||
Johnson & Johnson | 98,657 | 6,469,926 | 1.6 | % | |||||||||||
Pfizer, Inc. | 277,705 | 6,009,536 | 1.5 | % | |||||||||||
$ | 83,215,338 | 20.4 | % |
Sector Diversification (shown as a percentage of net assets)
Comparison of Change in Investment Value*
A Hypothetical $10,000 Investment in Index 500 Portfolio,
S&P 500® Index and Consumer Price Index
On the chart above you can see how the Index 500 Portfolio's total return compared to the S&P 500 Index (as adjusted for dividend reinvestment) and the Consumer Price Index. The three lines represent the total return of a hypothetical $10,000 investment made on December 31, 2001 through December 31, 2011, assuming reinvestment of distributions, if any.
12
Performance Update
Michael Hastenstab, Ph.D. Portfolio Manager Franklin Advisers, Inc.
The International Bond Portfolio seeks to maximize current income consistent with protection of principal. The Portfolio pursues its objective by investing primarily in debt securities issued by issuers located anywhere in the world. While Advantus Capital Management, Inc. acts as the investment adviser for the Portfolio, Franklin Advisers, Inc. provided investment advice to the International Bond Portfolio under a sub-advisory agreement. Investment risks associated with international investing in addition to other risks include currency fluctuations, political and economic instability, and differences in accounting standards when investing in foreign markets.
International Bond Portfolio
How did the Portfolio perform during 2011?
The Portfolio's performance for the year ended December 31, 2011, for each class of shares offered was as follows:
Class 1 | -0.01 percent* | ||||||
Class 2 | -0.26 percent* |
The portfolio's benchmark, the the Citigroup World Government Bond Index** returned 6.35 percent, for the same period.
What influenced the Portfolio's return during the period?
The Portfolio underperformed its benchmark mainly due to its currency positions. U.S. Treasuries rallied during the year and the Japanese yen appreciated against the U.S. dollar. Consequently, the Portfolio's large underweighted exposure to the yen detracted significantly from relative performance. Overweighted exposures to Asian ex-Japan and Latin American currencies also detracted from relative performance. Conversely, the Portfolio's underweighted exposure to the euro benefited relative results, but this was partially offset by overweighted exposure to peripheral European currencies.
Sovereign credit exposures and interest rate strategies were largely neutral. Due to the Portfolio's overall defensive duration posture, its underweighted duration exposure to the U.S. negatively impacted relative performance. Select duration exposures to Asia ex-Japan and Latin America, however, added to relative results.
What other market conditions or events influenced the Portfolio's return during the period?
Whether it was the natural disasters in Japan, the spring uprisings across the Arab world, the sovereign debt crisis in Europe, or the growing debt burden and seeming political dysfunction that led to a credit downgrade in the U.S., 2011 was a year defined by challenges that tested the mettle and conviction of investors around the globe.
High volatility and low investor confidence created an environment in which fundamentals often took a backseat to external events. The devastating earthquake and tsunami in Japan and subsequent nuclear crisis disrupted the global supply chain and distorted global growth dynamics for much of the year. Regime change in Egypt and Libya kept tensions high in the Middle East. The sovereign debt crisis in Europe proved to be highly challenging. Eurozone leaders struggled to find the right mix of policies to contain the crisis and maintain confidence in the shared currency.
After risk premiums reached extreme levels in September, the fourth quarter began in strong fashion in October. However, investors' hopes for a swift resolution to the eurozone crisis proved overly optimistic, renewing concerns in November that the region's crisis would devolve into a truly global and systemic risk event. Those fears, in turn, proved to be overly pessimistic as December saw eurozone leaders agree on the framework that would pave the way toward a more unified fiscal union. The European Central Bank lowered interest rates and affirmed its role as lender of last resort for banks by the unprecedented extension of three-year liquidity to the European banking system. As the tumultuous year came to a close, there was evidence that real progress was being made toward a long-term, multi-pronged approach to containing and eventually resolving the crisis. Monetary and fiscal policies in developed and emerging market economies diverged, as growth continued to be quite uneven. We think fears of a hard landing in China and of another recession in the U.S. were overblown during the period.
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In emerging markets, growth moderated from very high levels to more sustainable rates due mainly to tighter policies enacted over the prior quarters. We believe emerging markets have room for renewed policy stimulus if needed. We continue to expect that China will avoid a hard landing, given that its government can access large international reserves to manage potential stress in the financial system. In the largest developed economies, the recoveries remain fragile but have been buffered by favorable financial conditions. The U.S. economy has proven fairly resilient.
What strategies and techniques did you employ that affected the Portfolio's performance?
We have been positioned for an environment in which emerging and select developed markets outperform the largest advanced economies. We believe this thesis remains in place despite the massive bout of panic that was triggered during September and November 2011 due to concerns regarding economic and political developments in the U.S. and the eurozone.
While the prospect of higher interest rates is a challenge for many fixed income investors, we have attempted to cushion our strategy from rising yields. Our average duration is less than half that of the benchmark. We have no exposure to U.S. Treasuries or Japanese government bonds, and minimal exposure to eurozone government bonds. We also are seeking to potentially capitalize on rising yields in the U.S. by positioning long the dollar against the Japanese yen, a strategy that we believe should eventually benefit from an increase in interest rate differentials between the U.S. and Japan.
What sectors did you emphasize during the period, and what is your outlook going forward?
Going forward, we believe the multi-speed recovery is likely to continue, although investors need to remain selective as asset and currency trends are unlikely to be uniform. The continued global recovery we are expecting should lead to rising bond yields in most economies.
Actively managed global fixed income investing in a rising interest rate environment can, in our view, offer the opportunity to pursue relatively high yields while taking little duration or credit risk. We expect that the currencies of strongly growing countries that are likely to tighten policy will appreciate in the medium term against the currencies of the G-3 (i.e., the United States, the eurozone and Japan). Monetary policy in G-3 countries is likely to remain loose over an extended period.
We believe the multi-speed global recovery can also create attractive fixed income opportunities beyond currencies. Strong relative fundamentals also support select sovereign credits and even some duration exposures in economies where the extent of likely monetary tightening has already been priced in. Long-term government bond yields in those countries are likely to benefit from improved policymaking and lower risk premiums over the medium term, in our opinion.
We believe the recent flight to perceived safe-haven assets has opened attractive opportunities in currencies and fixed income markets in select economies. In our analysis, the recent widening in emerging-market sovereign bond spreads has increased the value in the sector. The slower growth environment has created financing needs in some countries with solid credit fundamentals that have not issued in several years.
We encourage investors to focus on the underlying fundamentals of their risk exposures and to be more selective going forward. Still, we believe a healthy level of risk appetite is warranted given the global economic recovery already underway.
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Ten Largest Bond Holdings
Security description | Market value | % of bond portfolio | |||||||||
Korea Treasury Bond (KRW)—3.000%, 12/10/13 | $ | 7,541,727 | 8.1 | % | |||||||
Korea Treasury Bond (KRW)—5.250%, 09/10/12 | 3,673,665 | 3.9 | % | ||||||||
Russia Foreign Bond (USD)—7.500%, 03/31/30 | 3,451,932 | 3.7 | % | ||||||||
Mexican Bonos (MXN)—8.000%, 12/19/13 | 2,987,236 | 3.2 | % | ||||||||
Western Australia Treasury Corp. (AUD)—5.500%, 07/17/12 | 2,783,858 | 3.0 | % | ||||||||
Sweden Government Bond (SEK)—5.500%, 10/08/12 | 2,580,245 | 2.8 | % | ||||||||
Australia Government Bond (AUD)—5.750%, 04/15/12 | 2,575,867 | 2.8 | % | ||||||||
Indonesia Treasury Bond (IDR)—9.500%, 07/15/23 | 2,556,483 | 2.7 | % | ||||||||
Brazil Notas do Tesouro Nacional Serie B (BRL)—6.000%, 05/15/15 | 2,466,702 | 2.6 | % | ||||||||
Indonesia Treasury Bond (IDR)—10.250%, 07/15/27 | 2,443,793 | 2.6 | % | ||||||||
$ | 33,061,508 | 35.4 | % |
Country Diversification (shown as a percentage of net assets)
Currency Diversification (shown as a percentage of net assets)
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*The results shown are past performance and are not an indication of future performance. Current performance may be lower or higher. The investment returns and principal value of an investment will fluctuate so that shares upon redemption may be worth more or less than their original cost. Performance figures of the Portfolio do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. When such charges are deducted, actual investment performance in a variable policy or contract will be lower.
**The Citigroup World Government Bond Index is a market capitalization weighted index consisting of the government bond markets from twenty-three countries. Country eligibility is determined based upon market capitalization and investability criteria. The index includes all fixed-rate bonds with a remaining maturity of one year or longer and with amounts outstanding of at least the equivalent of U.S. $25 million. Government securities typically exclude floating or variable rate bonds, U.S./Canadian savings bonds and private placements. Each bond must have a minimum rating of BBB-/Baa3 by S&P or Moody's.
Comparison of Change in Investment Value*
A Hypothetical $10,000 Investment in International Bond Portfolio,
CitiGroup World Government Bond Index and Consumer Price Index
On the chart above you can see how the International Bond Portfolio's total return compared to the CitiGroup World Government Bond Index, and the Consumer Price Index. The three lines represent the total return of a hypothetical $10,000 investment made on December 31, 2001 through December 31, 2011, assuming reinvestment of distributions, if any.
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Performance Update
James Seifert Portfolio Manager
The Index 400 Mid-Cap Portfolio seeks to provide investment results generally corresponding to the aggregate price and dividend performance of publicly traded common stocks that comprise the Standard & Poor's 400 MidCap Index (S&P 400)+. It is designed to provide an economical and convenient means of maintaining a diversified Portfolio in this equity security area as part of an over-all investment strategy. The risks incurred by investing in the Index 400 Mid-Cap Portfolio include, but are not limited to, the risk that the Portfolio may not be able to replicate the performance of the S&P 400, and the risk of declines in the market for mid-cap stocks or in the equity markets generally.
Index 400 Mid-Cap Portfolio
How did the Portfolio perform during 2011?
The Portfolio's performance for the year ended December 31, 2011, for each class of shares offered was as follows:
Class 1 | -2.02 percent* | ||||||
Class 2 | -2.26 percent* |
The Portfolio's benchmark, the Standard and Poor's MidCap 400 Index** returned-1.73 percent for the same period.
What influenced the Portfolio's return during the period?
The Advantus Series Fund Index 400 Portfolio is passively managed. The Portfolio is fully invested and holds all 400 names at published free float-adjusted index weights. The Portfolio seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the S&P 400 Index.
Sector performance was mixed with five of nine sectors ending the year with negative returns. The utility sector ended the year with the strongest return of 16.02 percent. Transportation names followed with a 14.22 percent return. Technology names led the sectors that detracted from performance with a return of -14.45 percent; its contribution to the index was -1.63 percent. In terms of size, decile three (decile segments consist of 40 names), stocks with market caps between 3.4 and 3.9 billion, ended the year with the strongest return—8.69 percent. Deciles six through 10, the 200 smallest market cap names within the index, ended the year with negative returns.
What other market conditions or events influenced the Portfolio's performance during the period?
The market spent much of the year in whipsaw mode, elated or dashed by day-to-day changes in domestic economic statistics or developments in the European debt crisis. Stocks rose and fell by more than one percent in 95 of 252 trading days. The past six months in particular have been among the most volatile in the market's history.
Stocks of stable businesses with strong balance sheets and names providing higher dividend yields fared the year relatively strong.
What will affect the Portfolio going forward?
The best way to describe our economy is "needy." To significantly improve, it needs housing to turn around. It needs the European situation to stabilize. It needs job growth to remain above 200,000 per month. Those developments, unfortunately, may not happen soon. We are also entering a presidential election year, making it less likely that Washington will take significant action on economic issues.
Growth in the first quarter is likely to remain slow. Economically, at least, we don't expect 2012 to get off to a roaring start.
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*The results shown are past performance and are not an indication of future performance. Current performance may be lower or higher. The investment returns and principal value of an investment will fluctuate so that shares upon redemption may be worth more or less than their original cost. Performance figures of the Portfolio do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. When such charges are deducted, actual investment performance in a variable policy or contract will be lower.
**S&P 400 MidCap Index consists of 400 domestic stocks chosen for market size (median market capitalization of about $610 million), liquidity and industry group representation. It is a market-weighted index (stock price times shares outstanding), with each stock affecting the index in proportion to its market value.
+ "Standard & Poor's®", "S&P®", "Standard & Poor's MidCap 400" and "S&P MidCap 400" are trademarks of the McGraw-Hill Companies, Inc. and have been licensed for use by the Advantus Series Fund, Inc.-Index 400 Mid-Cap Portfolio. The Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's makes no representation regarding the advisability of investing in the Portfolio.
Ten Largest Stock Holdings
Security description | Shares | Market value | % of stock portfolio | ||||||||||||
Kansas City Southern | 16,700 | $ | 1,135,767 | 0.7 | % | ||||||||||
Hansen Natural Corp. | 11,511 | 1,060,623 | 0.7 | % | |||||||||||
Vertex Pharmaceuticals, Inc. | 31,709 | 1,053,056 | 0.7 | % | |||||||||||
AMETEK, Inc. | 24,341 | 1,024,756 | 0.6 | % | |||||||||||
The Macerich Co. | 20,059 | 1,014,985 | 0.6 | % | |||||||||||
Church & Dwight Co., Inc. | 21,748 | 995,189 | 0.6 | % | |||||||||||
Green Mountain Coffee Roasters, Inc. | 19,747 | 885,653 | 0.6 | % | |||||||||||
Henry Schein, Inc. | 13,701 | 882,755 | 0.6 | % | |||||||||||
Federal Realty Investment Trust | 9,653 | 876,010 | 0.5 | % | |||||||||||
SL Green Realty Corp. | 13,098 | 872,851 | 0.5 | % | |||||||||||
$ | 9,801,645 | 6.1 | % |
Sector Diversification (shown as a percentage of net assets)
Comparison of Change in Investment Value*
A Hypothetical $10,000 Investment in Index 400 Mid-Cap Portfolio,
S&P MidCap 400® Index and Consumer Price Index
On the chart above you can see how the Index 400 Mid-Cap Portfolio's Class 2 shares total return compared to the S&P 400 MidCap Index and the Consumer Price Index. The three lines represent the total return of a hypothetical $10,000 investment made on December 31, 2001 through December 31, 2011, assuming reinvestment of distributions, if any.
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Performance Update
Joe Betlej, CFA Portfolio Manager
The Real Estate Securities Portfolio seeks above-average income and long-term growth of capital. The Portfolio intends to pursue its objective by investing primarily in equity securities of companies in the real estate industry. Investment risks associated with investing in the Real Estate Securities Portfolio, in addition to other risks, include rental income fluctuations, depreciation, property tax value changes, and differences in real estate market value.
Real Estate Securities Portfolio
How did the Portfolio perform during 2011?
The Portfolio's performance for the year ended December 31, 2011, for each class of shares offered was as follows:
Class 1 | 5.68 percent* | ||||||
Class 2 | 5.42 percent* |
The Portfolio's benchmark, the Dow Jones Wilshire Associates Real Estate Securities Index**, returned 8.56 percent for the same period.
What influenced the Portfolio's return during the period?
While the year began on a confident note, that confidence was tempered by a soft economy in the second and third quarter. Macro events further weakened investor confidence. The Japanese earthquake, European sovereign debt concerns, commodity price volatility, a U.S. Government credit downgrade, budget conflicts, and impact of a future presidential election bounced the markets throughout the year.
At the same time, the U.S. economy continued to show modest growth. Corporate earnings grew and companies guardedly began to hire permanent employees. Leading indicators of employment (temporary hiring statistics, average hourly wages and average hours worked) continued to slowly move in a positive direction, and created demand for commercial real estate.
After a bit of a pause mid-year, the employment situation began to translate into better commercial real estate fundamentals. Occupancy rates rebounded solidly for most property types. Rental rate growth became prevalent in sectors such as apartments, self-storage and hotels, in which occupancy reached stabilized levels. Office markets are still difficult. Most office markets remained below stabilized occupancy rates, allowing tenants to hold the balance of power. Still, commercial real estate owners are seeing prospects improve as the new supply of recently developed properties is very minimal. Any increase in demand should improve occupancies, leading to rental rate growth.
Capital availability continued to increase for commercial real estate, and the cost of capital gave publicly traded REITs an advantage against their private peers. With the improved outlook for commercial real estate, sources of capital grew more confident about property cash flows. Banks and life insurance companies continued to be significant lenders to commercial real estate. The commercial mortgage-backed securities (CMBS) market began the year with robust lending, but took a pause after a mid-year securitization failed.
REITs distinguished themselves by having access to the senior unsecured bond market, thanks to the quality of their balance sheets, management and reporting. In 2011, U.S. REITs raised approximately $14.5 billion of senior unsecured debt. In addition, roughly $20 billion of equity was issued by publicly-traded U.S. REITs to shore up their balance sheets and fund acquisitions. The strong availability of capital helped support both real estate asset values, as well as the valuation of real estate stocks.
Dividend increases were also quite prevalent in 2011 as 57 REITs raised their dividends. Median dividend growth was 7.9 percent, signaling stronger, more durable earnings growth. The fact that many REITs are paying out only the minimum required to qualify as a REIT means further dividend increases will be necessary as earnings build.
Self-storage and regional mall property types were the best performing sectors. Self-storage facilities are benefiting from increased occupancy, providing opportunities for substantial rental growth. Regional malls saw remarkably high sales growth (particularly at high productivity centers). That is leading to strong tenant demand and rental increases.
As a result of their diversified portfolios and lower cost of capital, large cap REITs significantly outperformed their small cap brethren (the Portfolio was underweight to large capitalization REITs, negatively impacting performance). Hotel companies were the
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worst performers as multiples receded when expectations for global GDP growth were reduced throughout the year. The Portfolio benefited from its underweight (versus the benchmark) to diversified and office REITs, and its overweight in specialty REITs. The overweight to hotels and the underweight to self-storage detracted from performance.
What strategies and techniques did you employ that specifically affected Portfolio performance?
The real estate securities sector was fairly volatile in 2011. Portfolio turnover was modestly elevated during the year as we remained disciplined in our buy/sell strategy. In addition, a barbell approach was implemented in the Portfolio, buying varied exposures to quality and beta. When valuations were appropriate, companies with short lease terms (apartments, hotels and self-storage) were added to gain exposure to these rebounding sectors. Geographically, the Portfolio saw increased exposure to technology and oil based markets—sectors that created jobs. On the other hand, holdings in areas dominated by government employment and spending were reduced as political gridlock slowed leasing down in these markets. The Portfolio was also positioned with the expectation that the gap of high multiple and the lower multiple names would contract. Unfortunately, that margin did not narrow considerably.
What is your outlook going forward?
Our industry contacts and management team comments suggest that REIT fundamentals have been slowly improving. While many companies in the U.S. have sufficient cash on their balance sheets, they have been slow to make long-term hiring and expansion decisions, waiting for clarity on taxes, regulation, the elections, and capital availability. The profit cycle, however, is pushing many of these companies to hire again, increasing real estate demand. The technology sector and the exploration and development of oil and gas production have been producing the most jobs, leading to increased demand for commercial real estate properties in those markets. Recent revisions to employment statistics suggest that job formation in the U.S. was not as weak as previously thought, and is growing modestly.
REITs with strong balance sheets, low cost of capital and growing dividends have the wind at their back. A low-growth economy can still be a productive environment for well-positioned REITs. That environment constrains new supply and favors companies with low cost of capital. New supply remains virtually non-existent in most property types, allowing any incremental new demand to absorb market vacancies.
Risks to the story, however, come mainly from macro events: a global credit crunch leading to weaker global GDP growth and capital availability; instability in the Middle East and its impact on oil pricing; and failure to address governmental budget issues and debt loads. Uncertainty over whether economic growth can be sustained is likely to keep markets volatile in the near term. If an economic slowdown leads to a drop in corporate earnings, commercial real estate fundamentals could be affected.
Sales of lender-owned foreclosed properties may soon come into the market, which would reward the patience of the REITs with dry powder and low cost of capital. A spike in interest rates, however, could also derail the REIT recovery because of strong REIT dependence on financing. A higher cost of capital would impact valuations and the ability to buy assets.
We still expect earnings growth to continue for certain sectors of the real estate market, thanks to the long-term nature of commercial real estate leases and a very limited new supply of competitive property coming to market. We expect earnings multiples to be flat for the coming year as the early cyclicals in the group (apartments) are likely to see their growth moderate, while late cyclical groups (office) should see their occupancies pick up, boosting near-term growth. In general, price movement should track earnings and dividend growth.
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Ten Largest Stock Holdings
Security description | Shares | Market value | % of stock portfolio | ||||||||||||
Simon Property Group, Inc. | 73,079 | $ | 9,422,806 | 9.8 | % | ||||||||||
Equity Residential | 96,600 | 5,509,098 | 5.7 | % | |||||||||||
Boston Properties, Inc. | 45,083 | 4,490,267 | 4.7 | % | |||||||||||
ProLogis, Inc. | 128,881 | 3,684,708 | 3.8 | % | |||||||||||
Ventas, Inc. | 64,396 | 3,550,151 | 3.7 | % | |||||||||||
Health Care REIT, Inc. | 63,700 | 3,473,561 | 3.6 | % | |||||||||||
HCP, Inc. | 82,400 | 3,413,832 | 3.5 | % | |||||||||||
Public Storage | 24,400 | 3,280,824 | 3.4 | % | |||||||||||
AvalonBay Communities, Inc. | 23,900 | 3,121,340 | 3.2 | % | |||||||||||
The Macerich Co. | 54,369 | 2,751,072 | 2.9 | % | |||||||||||
$ | 42,697,659 | 44.3 | % |
Sector Diversification (shown as a percentage of net assets)
Comparison of Change in Investment Value*
A Hypothetical $10,000 Investment in Real Estate Securities Portfolio,
Dow Jones Wilshire Associates Real Estate Securities Index and Consumer Price Index
On the chart above you can see how the Real Estate Securities Portfolio's Class 2 shares total return compared to the Dow Jones Wilshire Associates Real Estate Securities Index and the Consumer Price Index. The three lines represent the total return of a hypothetical $10,000 investment made on December 31, 2001 through December 31, 2011, assuming reinvestment of distributions, if any.
*The results shown are past performance and are not an indication of future performance. Current performance may be lower or higher. The investment returns and principal value of an investment will fluctuate so that shares upon redemption may be worth more or less than their original cost. Performance figures of the Portfolio do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. When such charges are deducted, actual investment performance in a variable policy or contract will be lower.
**The Dow Jones Wilshire Associates Real Estate Securities Index is a market capitalization-weighted index of equity securities whose primary business is equity ownership of commercial real estate (REITS).
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Report of Independent Registered Public Accounting Firm
The Board of Directors and Shareholders
Advantus Series Fund, Inc.
We have audited the accompanying statements of assets and liabilities, including the schedules of investments in securities, of the Bond, Money Market, Mortgage Securities, Index 500, International Bond, Index 400 Mid-Cap, and Real Estate Securities Portfolios (the Portfolios) of Advantus Series Fund, Inc. as of December 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Bond, Money Market, Mortgage Securities, Index 500, International Bond, Index 400 Mid-Cap, and Real Estate Securities Portfolios of Advantus Series Fund, Inc. as of December 31, 2011, and the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Minneapolis Minnesota
February 24, 2012
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Advantus Series Fund, Inc.
Investments in Securities
December 31, 2011
(Percentages of each investment category relate to total net assets)
Principal | Value(a) | ||||||||||
Bond Portfolio | |||||||||||
Long-Term Debt Securities (97.3%) | |||||||||||
Government Obligations (50.5%) | |||||||||||
Other Government Obligations (1.7%) | |||||||||||
Provincial or Local Government Obligations (1.7%) | |||||||||||
County of Sarasota FL, 7.016%, 10/01/40 | $ | 515,000 | $ | 569,909 | |||||||
Douglas County Public Utility District No. 1, 5.450%, 09/01/40 | 1,185,000 | 1,280,523 | |||||||||
New Jersey Transportation Trust Fund Authority, 5.754%, 12/15/28 | 1,050,000 | 1,142,935 | |||||||||
Port Authority of New York & New Jersey, 4.926%, 10/01/51 | 3,055,000 | 3,151,141 | |||||||||
6,144,508 | |||||||||||
U.S. Government Agencies and Obligations (48.8%) | |||||||||||
Federal Home Loan Mortgage Corporation (FHLMC) (13.7%) | |||||||||||
3.500%, 10/01/25 | 878,875 | 925,928 | |||||||||
3.500%, 12/01/40 | 954,670 | 981,043 | |||||||||
3.500%, 02/01/41 | 957,448 | 983,898 | |||||||||
4.000%, 09/01/40 | 1,340,102 | 1,415,307 | |||||||||
4.000%, 10/01/40 | 1,360,444 | 1,428,926 | |||||||||
4.000%, 11/01/40 | 4,046,692 | 4,286,020 | |||||||||
4.000%, 02/01/41 | 961,335 | 1,014,683 | |||||||||
4.000%, 08/01/41 | 1,966,368 | 2,072,417 | |||||||||
4.500%, 01/01/41 | 1,926,690 | 2,042,767 | |||||||||
4.500%, 02/01/41 (b) | 1,455,151 | 1,561,539 | |||||||||
4.500%, 03/01/41 | 1,947,118 | 2,075,379 | |||||||||
4.500%, 04/01/41 | 1,943,591 | 2,081,336 | |||||||||
5.000%, 04/01/35 (b) | 645,449 | 694,486 | |||||||||
5.000%, 08/01/35 (b) | 356,730 | 383,831 | |||||||||
5.000%, 11/01/35 (b) | 1,039,684 | 1,118,671 | |||||||||
5.000%, 11/01/39 (b) | 1,285,290 | 1,407,036 | |||||||||
5.000%, 03/01/40 | 6,074,852 | 6,647,911 | |||||||||
5.000%, 04/01/40 | 1,316,480 | 1,423,902 | |||||||||
5.000%, 08/01/40 | 867,147 | 932,620 | |||||||||
5.500%, 12/01/17 (b) | 221,241 | 242,487 | |||||||||
5.500%, 06/01/20 (b) | 419,555 | 458,271 | |||||||||
5.500%, 10/01/20 (b) | 631,022 | 685,112 | |||||||||
5.500%, 11/01/23 | 488,290 | 533,550 | |||||||||
5.500%, 05/01/34 (b) | 2,424,194 | 2,690,563 | |||||||||
5.500%, 10/01/34 (b) | 1,118,563 | 1,233,430 | |||||||||
5.500%, 07/01/35 (b) | 1,744,033 | 1,903,987 | |||||||||
5.500%, 10/01/35 (b) | 1,616,718 | 1,782,741 | |||||||||
5.500%, 12/01/38 (b) | 1,979,133 | 2,165,674 | |||||||||
6.000%, 11/01/33 (b) | 1,333,481 | 1,485,419 | |||||||||
6.500%, 09/01/32 (b) | 185,340 | 211,438 | |||||||||
6.500%, 06/01/36 (b) | 1,256,262 | 1,421,125 | |||||||||
7.000%, 12/01/37 (b) | 891,403 | 1,016,426 | |||||||||
49,307,923 | |||||||||||
Federal National Mortgage Association (FNMA) (22.7%) | |||||||||||
3.500%, 11/01/25 | 903,841 | 955,064 |
Principal | Value(a) | ||||||||||
3.500%, 01/01/26 | $ | 916,931 | $ | 968,896 | |||||||
3.500%, 11/01/40 | 952,878 | 982,627 | |||||||||
3.500%, 01/01/41 | 963,036 | 991,898 | |||||||||
3.500%, 02/01/41 | 513,488 | 530,000 | |||||||||
3.500%, 04/01/41 | 836,728 | 861,805 | |||||||||
3.500%, 11/01/41 | 5,068,616 | 5,223,689 | |||||||||
4.000%, 12/01/40 | 937,405 | 996,895 | |||||||||
4.000%, 04/01/41 | 2,903,851 | 3,071,803 | |||||||||
4.000%, 08/01/41 | 1,893,607 | 1,991,590 | |||||||||
4.000%, 09/01/41 | 1,973,919 | 2,086,852 | |||||||||
4.500%, 01/01/27 (c) | 2,995,000 | 3,192,483 | |||||||||
4.500%, 03/01/39 | 792,962 | 844,489 | |||||||||
4.500%, 06/01/39 | 955,031 | 1,025,146 | |||||||||
4.500%, 04/01/40 | 2,160,944 | 2,343,230 | |||||||||
4.500%, 04/01/41 | 4,821,080 | 5,198,055 | |||||||||
4.500%, 07/01/41 | 5,846,795 | 6,252,461 | |||||||||
4.500%, 01/01/42 (c) | 1,645,000 | 1,750,383 | |||||||||
5.000%, 05/01/18 | 92,351 | 100,700 | |||||||||
5.000%, 06/01/18 | 189,384 | 205,677 | |||||||||
5.000%, 07/01/18 | 411,052 | 448,213 | |||||||||
5.000%, 07/01/23 | 577,266 | 632,577 | |||||||||
5.000%, 11/01/33 | 315,940 | 341,671 | |||||||||
5.000%, 05/01/34 | 137,154 | 148,324 | |||||||||
5.000%, 12/01/34 | 1,634,032 | 1,767,110 | |||||||||
5.000%, 04/01/35 | 419,497 | 453,661 | |||||||||
5.000%, 08/01/35 (b) | 907,661 | 981,299 | |||||||||
5.000%, 04/01/38 | 750,212 | 829,363 | |||||||||
5.000%, 12/01/39 | 846,426 | 935,727 | |||||||||
5.000%, 04/01/41 | 989,138 | 1,088,550 | |||||||||
5.500%, 01/01/17 (b) | 253,083 | 274,935 | |||||||||
5.500%, 09/01/17 | 64,753 | 71,174 | |||||||||
5.500%, 02/01/18 | 237,931 | 259,707 | |||||||||
5.500%, 03/01/18 | 466,947 | 507,556 | |||||||||
5.500%, 04/01/33 (b) | 1,516,544 | 1,678,205 | |||||||||
5.500%, 10/01/33 | 502,985 | 549,843 | |||||||||
5.500%, 12/01/33 (b) | 435,724 | 482,171 | |||||||||
5.500%, 01/01/34 | 791,122 | 864,824 | |||||||||
5.500%, 02/01/34 | 507,071 | 561,123 | |||||||||
5.500%, 03/01/34 (b) | 1,294,480 | 1,434,618 | |||||||||
5.500%, 04/01/34 (b) | 2,667,991 | 2,945,436 | |||||||||
5.500%, 09/01/34 | 171,844 | 190,162 | |||||||||
5.500%, 02/01/35 (b) | 822,403 | 904,929 | |||||||||
5.500%, 04/01/35 (b) | 1,300,578 | 1,428,243 | |||||||||
5.500%, 06/01/35 | 552,277 | 603,037 | |||||||||
5.500%, 08/01/35 (b) | 886,481 | 969,065 | |||||||||
5.500%, 10/01/35 (b) | 1,044,147 | 1,162,956 | |||||||||
5.500%, 11/01/35 | 701,578 | 766,060 | |||||||||
5.500%, 12/01/35 | 484,364 | 531,321 | |||||||||
5.500%, 07/01/36 | 999,904 | 1,092,431 | |||||||||
5.500%, 12/01/39 | 638,995 | 701,718 | |||||||||
6.000%, 09/01/17 (b) | 354,578 | 386,366 | |||||||||
6.000%, 08/01/23 | 430,136 | 468,698 | |||||||||
6.000%, 10/01/32 (b) | 1,023,564 | 1,146,427 | |||||||||
6.000%, 11/01/32 (b) | 765,227 | 857,081 | |||||||||
6.000%, 03/01/33 (b) | 935,369 | 1,047,647 | |||||||||
6.000%, 04/01/33 | 121,279 | 135,193 | |||||||||
6.000%, 12/01/33 | 544,133 | 606,558 | |||||||||
6.000%, 01/01/36 | 479,292 | 533,229 | |||||||||
6.000%, 08/01/37 | 469,896 | 520,426 | |||||||||
6.000%, 09/01/37 | 677,159 | 756,326 | |||||||||
6.000%, 10/01/38 | 716,294 | �� | 802,274 | ||||||||
6.000%, 12/01/38 | 775,145 | 859,954 |
See accompanying notes to financial statements.
23
Advantus Series Fund, Inc.
Investments in Securities – continued
Principal | Value(a) | ||||||||||
6.000%, 06/01/40 | $ | 579,755 | $ | 639,019 | |||||||
6.500%, 12/01/31 | 239,314 | 273,076 | |||||||||
6.500%, 02/01/32 (b) | 80,130 | 91,468 | |||||||||
6.500%, 04/01/32 | 401,856 | 459,018 | |||||||||
6.500%, 05/01/32 | 156,593 | 179,011 | |||||||||
6.500%, 07/01/32 | 336,256 | 382,994 | |||||||||
6.500%, 08/01/32 | 480,815 | 548,647 | |||||||||
6.500%, 09/01/32 | 309,133 | 351,972 | |||||||||
6.500%, 10/01/32 | 416,760 | 474,687 | |||||||||
6.500%, 11/01/36 | 604,131 | 678,536 | |||||||||
6.500%, 08/01/37 | 168,011 | 188,844 | |||||||||
6.500%, 11/01/37 | 711,383 | 797,663 | |||||||||
6.500%, 11/01/39 | 829,250 | 923,088 | |||||||||
7.000%, 07/01/31 (b) | 284,779 | 332,037 | |||||||||
7.000%, 09/01/31 (b) | 398,576 | 465,025 | |||||||||
7.000%, 11/01/31 (b) | 467,875 | 548,944 | |||||||||
7.000%, 02/01/32 | 96,679 | 112,628 | |||||||||
7.000%, 03/01/32 | 63,021 | 73,354 | |||||||||
7.000%, 07/01/32 | 230,559 | 267,969 | |||||||||
7.500%, 04/01/31 | 270,620 | 323,676 | |||||||||
7.500%, 05/01/31 | 64,434 | 77,057 | |||||||||
81,488,644 | |||||||||||
Government National Mortgage Association (GNMA) (1.5%) | |||||||||||
0.413%, 06/17/45 (b) (d) (e) | 13,859,884 | 308,299 | |||||||||
4.920%, 05/16/34 | 973,993 | 1,027,523 | |||||||||
5.000%, 12/15/39 | 69,643 | 77,893 | |||||||||
5.000%, 01/15/40 | 1,650,276 | 1,837,531 | |||||||||
5.500%, 07/15/38 (b) | 1,038,626 | 1,171,213 | |||||||||
5.500%, 10/15/38 | 846,955 | 961,691 | |||||||||
8.500%, 10/15/22 | 19,622 | 20,212 | |||||||||
5,404,362 | |||||||||||
U.S. Treasury (10.9%) | |||||||||||
U.S. Treasury Bond | |||||||||||
3.750%, 08/15/41 | 4,430,000 | 5,210,096 | |||||||||
5.375%, 02/15/31 (f) | 5,115,000 | 7,290,471 | |||||||||
U.S. Treasury Note | |||||||||||
0.250%, 11/30/13 | 5,050,000 | 5,050,591 | |||||||||
0.250%, 12/15/14 | 5,735,000 | 5,716,183 | |||||||||
0.875%, 11/30/16 | 4,965,000 | 4,980,128 | |||||||||
1.375%, 11/30/18 | 3,145,000 | 3,155,813 | |||||||||
1.875%, 07/15/13 (g) | 1,294,524 | 1,353,688 | |||||||||
2.000%, 11/15/21 | 6,415,000 | 6,488,170 | |||||||||
39,245,140 | |||||||||||
Total government obligations (cost: $172,158,230) | 181,590,577 | ||||||||||
Asset-Backed Securities (5.8%) | |||||||||||
AmeriCredit Automobile Receivables Trust | |||||||||||
0.840%, 06/09/14 | 744,363 | 744,264 | |||||||||
2.850%, 08/08/16 | 1,000,000 | 993,075 | |||||||||
Chrysler Financial Auto Securitization Trust, 1.650%, 11/08/13 | 1,180,000 | 1,176,585 | |||||||||
Conseco Financial Corp. | |||||||||||
6.400%, 10/15/18 | 193,122 | 197,467 | |||||||||
7.300%, 11/15/28 | 588,030 | 601,847 | |||||||||
7.400%, 06/15/27 | 416,673 | 439,986 |
Principal | Value(a) | ||||||||||
Countryplace Manufactured Housing Contract Trust, 5.200%, 12/15/35 (d) (h) (i) (m) | $ | 1,755,000 | $ | 1,654,362 | |||||||
Countrywide Asset-Backed Certificates | |||||||||||
5.934%, 05/25/37 (d) | 1,996,298 | 1,181,120 | |||||||||
5.962%, 03/25/34 (d) | 768,193 | 416,740 | |||||||||
Ford Credit Auto Owner Trust, 2.790%, 08/15/13 | 168,156 | 168,989 | |||||||||
GMAC Mortgage Corp. Loan Trust | |||||||||||
5.952%, 08/25/37 (b) (d) | 3,095,000 | 2,002,880 | |||||||||
6.088%, 10/25/36 (b) (j) | 1,239,422 | 820,787 | |||||||||
Nordstrom Private Label Credit Card Master Note Trust, 2.280%, 11/15/19 (m) | 1,400,000 | 1,406,512 | |||||||||
Origen Manufactured Housing | |||||||||||
5.700%, 01/15/35 (d) | 1,445,928 | 1,511,604 | |||||||||
5.730%, 11/15/35 (d) | 558,925 | 588,393 | |||||||||
5.860%, 06/15/36 (d) | 625,973 | 655,277 | |||||||||
World Financial Network Credit Card Master Trust | |||||||||||
0.408%, 02/15/17 (d) (m) | 3,080,000 | 3,051,129 | |||||||||
3.960%, 04/15/19 | 3,000,000 | 3,201,242 | |||||||||
Total asset-backed securities (cost: $23,462,641) | 20,812,259 | ||||||||||
Other Mortgage-Backed Securities (7.4%) | |||||||||||
Collateralized Mortgage Obligations/Mortgage Revenue Bonds (1.3%) | |||||||||||
Banc of America Alternative Loan Trust | |||||||||||
5.583%, 11/25/35 (d) | 1,465,942 | 48,356 | |||||||||
5.583%, 11/25/35 (d) | 15,973 | — | |||||||||
5.671%, 01/25/36 (d) | 678,012 | 11,765 | |||||||||
BHN I Mortgage Fund, 0.010%, 07/01/12 (h) (i) (k) (l) (m) | 57,000 | — | |||||||||
BlackRock Capital Finance L.P., 7.750%, 09/25/26 (h) (m) | 84,904 | 23,906 | |||||||||
Credit-Based Asset Servicing and Securitization LLC, 6.240%, 10/25/36 (j) (m) | 469,763 | 495,704 | |||||||||
Global Mortgage Securitization Ltd. | |||||||||||
5.250%, 04/25/32 (b) (k) | 737,215 | 599,463 | |||||||||
5.250%, 11/25/32 (b) (i) (k) (m) | 1,310,466 | 1,061,369 | |||||||||
JPMorgan Mortgage Trust | |||||||||||
2.648%, 11/25/33 (d) | 1,020,296 | 779,106 | |||||||||
3.911%, 04/25/37 (d) | 399,580 | 281,373 | |||||||||
Mellon Residential Funding Corp., 6.750%, 06/25/28 | 50,658 | 53,764 | |||||||||
Residential Accredit Loans, Inc., 5.750%, 05/25/33 | 1,553,568 | 1,411,805 | |||||||||
4,766,611 | |||||||||||
Commercial Mortgage-Backed Securities (6.1%) | |||||||||||
Asset Securitization Corp. | |||||||||||
7.439%, 02/14/43 (d) | 2,445,000 | 2,464,956 | |||||||||
8.621%, 08/13/29 (d) (e) | 177,402 | 12,671 | |||||||||
Commercial Mortgage Asset Trust, 6.975%, 01/17/32 (d) | 953,433 | 986,240 |
See accompanying notes to financial statements.
24
Advantus Series Fund, Inc.
Investments in Securities – continued
Principal | Value(a) | ||||||||||
GE Capital Commercial Mortgage Corp., 6.314%, 08/11/36 (b) (d) (m) | $ | 1,115,000 | $ | 1,118,400 | |||||||
Hometown Commercial Mortgage | |||||||||||
5.506%, 11/11/38 (i) (m) | 1,832,456 | 981,126 | |||||||||
6.057%, 06/11/39 (i) (m) | 1,593,840 | 932,522 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. | |||||||||||
1.986%, 12/05/27 (d) (i) (m) | 11,115,954 | 1,401,266 | |||||||||
5.143%, 11/13/44 (m) | 1,845,000 | 1,863,136 | |||||||||
5.633%, 12/05/27 (m) | 2,165,000 | 2,461,512 | |||||||||
Merrill Lynch Mortgage Investors, Inc., 6.250%, 12/10/29 (d) | 979,935 | 1,015,179 | |||||||||
Multi Security Asset Trust, 5.880%, 11/28/35 (d) (i) (m) | 1,540,000 | 926,950 | |||||||||
Prudential Commercial Mortgage Trust, 4.775%, 02/11/36 (m) | 1,080,000 | 1,041,863 | |||||||||
Timberstar Trust, 6.208%, 10/15/36 (m) | 2,515,000 | 2,495,934 | |||||||||
Vornado DP LLC, 4.004%, 09/13/28 (m) | 1,475,000 | 1,579,262 | |||||||||
WF-RBS Commercial Mortgage Trust | |||||||||||
3.667%, 11/15/44 | 905,000 | 940,544 | |||||||||
3.791%, 02/15/44 (m) | 1,485,000 | 1,558,974 | |||||||||
21,780,535 | |||||||||||
Total other mortgage-backed securities (cost: $31,506,201) | 26,547,146 | ||||||||||
Corporate Obligations (33.6%) | |||||||||||
Basic Materials (0.5%) | |||||||||||
Chemicals (0.5%) | |||||||||||
Ecolab, Inc., 3.000%, 12/08/16 | 1,730,000 | 1,789,529 | |||||||||
Capital Goods (1.6%) | |||||||||||
Containers-Metal/Glass (0.3%) | |||||||||||
Ball Corp., 7.125%, 09/01/16 | 1,100,000 | 1,196,250 | |||||||||
Manufacturing (1.3%) | |||||||||||
Cargill, Inc., 4.307%, 05/14/21 (m) | 1,335,000 | 1,451,096 | |||||||||
Tyco International Finance SA, 8.500%, 01/15/19 (k) | 2,220,000 | 2,859,535 | |||||||||
Valmont Industries, Inc., 6.625%, 04/20/20 | 300,000 | 347,231 | |||||||||
4,657,862 | |||||||||||
Communications (1.7%) | |||||||||||
Cable/Satellite TV (1.7%) | |||||||||||
DISH DBS Corp., 7.750%, 05/31/15 | 1,820,000 | 2,002,000 | |||||||||
Time Warner Cable, Inc., 5.400%, 07/02/12 | 3,950,000 | 4,039,064 | |||||||||
6,041,064 | |||||||||||
Consumer Cyclical (0.7%) | |||||||||||
Auto/Truck Parts & Equipment — Original (0.1%) | |||||||||||
Delphi Corp., 6.125%, 05/15/21 (m) | 290,000 | 298,700 |
Principal | Value(a) | ||||||||||
Retail — Drug Store (0.6%) | |||||||||||
CVS Caremark Corp., 5.750%, 05/15/41 | $ | 1,900,000 | $ | 2,262,389 | |||||||
Consumer Staples (1.1%) | |||||||||||
Tobacco (1.1%) | |||||||||||
Altria Group, Inc., 10.200%, 02/06/39 | 2,600,000 | 4,045,912 | |||||||||
Consumer, Non-cyclical (2.3%) | |||||||||||
Beverages (0.6%) | |||||||||||
Pernod-Ricard SA, 5.750%, 04/07/21 (m) (k) | 1,750,000 | 1,974,352 | |||||||||
Biotechnology (0.8%) | |||||||||||
Gilead Sciences, Inc. | |||||||||||
3.050%, 12/01/16 | 900,000 | 921,136 | |||||||||
5.650%, 12/01/41 | 1,755,000 | 1,943,071 | |||||||||
2,864,207 | |||||||||||
Food (0.9%) | |||||||||||
Tesco PLC, 2.000%, 12/05/14 (m) (k) | 1,250,000 | 1,263,056 | |||||||||
The JM Smucker Co., 3.500%, 10/15/21 | 2,050,000 | 2,097,249 | |||||||||
3,360,305 | |||||||||||
Energy (5.3%) | |||||||||||
Oil & Gas Exploration & Production (0.8%) | |||||||||||
EQT Corp., 8.125%, 06/01/19 | 905,000 | 1,061,537 | |||||||||
WPX Energy, Inc., 5.250%, 01/15/17 (m) | 1,790,000 | 1,798,950 | |||||||||
2,860,487 | |||||||||||
Oil Company — Integrated (0.3%) | |||||||||||
BP Capital Markets PLC, 3.561%, 11/01/21 (k) | 1,000,000 | 1,041,084 | |||||||||
Oil Refining & Marketing (0.4%) | |||||||||||
Schlumberger Norge, 1.950%, 09/14/16 (m) (k) | 1,230,000 | 1,244,473 | |||||||||
Pipelines (3.8%) | |||||||||||
El Paso Natural Gas Co., 7.500%, 11/15/26 | 1,905,000 | 2,343,150 | |||||||||
El Paso Pipeline Partners Operating Co. LLC, 5.000%, 10/01/21 | 400,000 | 411,686 | |||||||||
Energy Transfer Partners L.P., 9.000%, 04/15/19 | 2,300,000 | 2,735,776 | |||||||||
Kinder Morgan Finance Co. LLC, 6.000%, 01/15/18 (m) | 650,000 | 661,375 | |||||||||
NuStar Logistics L.P., 7.650%, 04/15/18 | 2,000,000 | 2,374,474 | |||||||||
Sunoco Logistics Partners Operations L.P., 6.850%, 02/15/40 | 2,150,000 | 2,472,915 | |||||||||
Western Gas Partners LP, 5.375%, 06/01/21 | 1,835,000 | 1,945,412 | |||||||||
Williams Partners L.P. / Williams Partners Finance Corp., 7.250%, 02/01/17 | 700,000 | 830,437 | |||||||||
13,775,225 |
See accompanying notes to financial statements.
25
Advantus Series Fund, Inc.
Investments in Securities – continued
Principal | Value(a) | ||||||||||
Financial (9.4%) | |||||||||||
Banks (2.4%) | |||||||||||
Discover Bank/Greenwood, 8.700%, 11/18/19 | $ | 1,355,000 | $ | 1,544,951 | |||||||
JPMorgan Chase & Co., 4.350%, 08/15/21 | 2,100,000 | 2,120,805 | |||||||||
Morgan Stanley, 6.250%, 08/28/17 | 1,435,000 | 1,404,355 | |||||||||
The Goldman Sachs Group, Inc., 6.250%, 09/01/17 | 920,000 | 961,802 | |||||||||
US Bank NA, 3.778%, 04/29/20 (d) | 2,495,000 | 2,569,254 | |||||||||
8,601,167 | |||||||||||
Finance — Credit Card (0.6%) | |||||||||||
Capital One Bank USA NA, 8.800%, 07/15/19 | 1,985,000 | 2,270,820 | |||||||||
Finance — Diversified (2.0%) | |||||||||||
Discover Financial Services, 6.450%, 06/12/17 | 805,000 | 840,955 | |||||||||
Ford Motor Credit Co. LLC, 5.875%, 08/02/21 | 1,450,000 | 1,511,202 | |||||||||
HSBC Finance Corp., 0.686%, 04/24/12 (d) | 3,750,000 | 3,706,106 | |||||||||
International Lease Finance Corp., 6.500%, 09/01/14 (m) | 1,270,000 | 1,298,575 | |||||||||
7,356,838 | |||||||||||
Insurance (2.0%) | |||||||||||
Metropolitan Life Global Funding I, 2.500%, 09/29/15 (m) | 1,480,000 | 1,488,503 | |||||||||
OneBeacon US Holdings, Inc., 5.875%, 05/15/13 (i) | 487,000 | 500,499 | |||||||||
StanCorp Financial Group, Inc., 6.875%, 10/01/12 (i) | 2,050,000 | 2,116,207 | |||||||||
Symetra Financial Corp. | |||||||||||
6.125%, 04/01/16 (i) (m) | 1,710,000 | 1,728,018 | |||||||||
8.300%, 10/15/37 (m) (d) | 1,050,000 | 968,625 | |||||||||
XL Capital Finance Europe PLC, 6.500%, 01/15/12 (k) | 470,000 | 470,571 | |||||||||
7,272,423 | |||||||||||
Real Estate Investment Trust — Apartments (0.2%) | |||||||||||
ERP Operating L.P., 4.625%, 12/15/21 | 805,000 | 820,902 | |||||||||
Real Estate Investment Trust — Health Care (1.2%) | |||||||||||
HCP, Inc., 6.700%, 01/30/18 | 1,060,000 | 1,178,321 | |||||||||
Healthcare Realty Trust, Inc., 5.125%, 04/01/14 | 1,585,000 | 1,625,784 | |||||||||
Nationwide Health Properties, Inc., 6.250%, 02/01/13 | 1,290,000 | 1,332,169 | |||||||||
4,136,274 | |||||||||||
Real Estate Investment Trust — Retail (0.5%) | |||||||||||
WEA Finance LLC/ WT Finance Aust Pty Ltd., 7.500%, 06/02/14 (m) | 1,580,000 | 1,732,062 |
Principal | Value(a) | ||||||||||
Real Estate Operation/Development (0.5%) | |||||||||||
Colonial Realty L.P., 5.500%, 10/01/15 | $ | 1,745,000 | $ | 1,781,570 | |||||||
Health Care (4.1%) | |||||||||||
Drugs (0.8%) | |||||||||||
Medco Health Solutions, Inc., 7.125%, 03/15/18 | 2,350,000 | 2,739,141 | |||||||||
Health Care Providers & Services (0.1%) | |||||||||||
Coventry Health Care, Inc., 6.125%, 01/15/15 | 200,000 | 218,959 | |||||||||
Medical Labs & Testing Services (0.5%) | |||||||||||
Quest Diagnostics, Inc., 5.750%, 01/30/40 | 1,780,000 | 1,919,762 | |||||||||
Medical Products/Supplies (2.2%) | |||||||||||
Aristotle Holding, Inc., 3.500%, 11/15/16 (m) | 400,000 | 407,382 | |||||||||
Bio-Rad Laboratories, Inc., 4.875%, 12/15/20 | 2,700,000 | 2,801,434 | |||||||||
Boston Scientific Corp., 6.000%, 01/15/20 | 1,865,000 | 2,081,972 | |||||||||
Cigna Corp., 5.375%, 02/15/42 | 2,700,000 | 2,684,480 | |||||||||
7,975,268 | |||||||||||
Medical — Biomedical/Genetics (0.5%) | |||||||||||
Amgen, Inc., 5.150%, 11/15/41 | 1,805,000 | 1,871,215 | |||||||||
Technology (1.9%) | |||||||||||
Computer Software & Services (1.4%) | |||||||||||
Hewlett-Packard Co., 3.300%, 12/09/16 | 3,220,000 | 3,287,955 | |||||||||
Intuit, Inc., 5.750%, 03/15/17 | 1,505,000 | 1,688,252 | |||||||||
4,976,207 | |||||||||||
Software (0.5%) | |||||||||||
Dun & Bradstreet Corp., 2.875%, 11/15/15 | 940,000 | 965,547 | |||||||||
Oracle Corp., 5.375%, 07/15/40 (m) | 675,000 | 822,337 | |||||||||
1,787,884 | |||||||||||
Transportation (2.5%) | |||||||||||
Airlines (1.6%) | |||||||||||
America West Airlines 2000-1 Pass Through Trust, 8.057%, 01/02/22 | 577,424 | 565,876 | |||||||||
Continental Airlines 2006-1 Class G Pass Through Trust, 0.879%, 06/02/15 (d) | 1,788,219 | 1,680,926 | |||||||||
United Air Lines, Inc., 10.400%, 05/01/18 | 1,620,177 | 1,792,240 | |||||||||
US Airways 2010-1 Class A Pass Through Trust, 6.250%, 10/22/24 | 1,756,417 | 1,615,903 | |||||||||
5,654,945 |
See accompanying notes to financial statements.
26
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares/ Principal | Value(a) | ||||||||||
Transport — Rail (0.9%) | |||||||||||
BNSF Funding Trust I, 6.613%, 12/15/55 (d) | $ | 2,860,000 | $ | 2,945,800 | |||||||
CSX Corp., 4.750%, 05/30/42 | 365,000 | 376,624 | |||||||||
3,322,424 | |||||||||||
Utilities (2.5%) | |||||||||||
Electric Companies (1.2%) | |||||||||||
CMS Energy Corp., 8.750%, 06/15/19 | 1,725,000 | 2,043,684 | |||||||||
Southwestern Electric Power Co., 5.550%, 01/15/17 | 2,230,000 | 2,494,995 | |||||||||
4,538,679 | |||||||||||
Electric — Integrated (1.3%) | |||||||||||
CMS Energy Corp., 2.750%, 05/15/14 | 580,000 | 572,829 | |||||||||
NextEra Energy Capital Holdings, Inc., 4.500%, 06/01/21 | 1,930,000 | 2,055,944 | |||||||||
The Cleveland Electric Illuminating Co., 5.950%, 12/15/36 | 1,855,000 | 1,976,929 | |||||||||
4,605,702 | |||||||||||
Total corporate obligations (cost: $116,897,690) | 120,994,081 | ||||||||||
Total long-term debt securities (cost: $344,024,762) | 349,944,063 | ||||||||||
Short-Term Securities (3.4%) | |||||||||||
Investment Companies (3.4%) | |||||||||||
Dreyfus Treasury Cash Management Fund, current rate 0.010% | 4,136,892 | 4,136,892 | |||||||||
JPMorgan U.S. Government Money Market Fund, current rate 0.010% | 7,500,000 | 7,500,000 | |||||||||
SEI Investments Treasury Mutual Funds, current rate 0.010% | 746,592 | 746,592 | |||||||||
Total short-term securities (cost: $12,383,484) | 12,383,484 | ||||||||||
Total investments in securities (cost: $356,408,246) (n) | 362,327,547 | ||||||||||
Liabilities in excess of cash and other assets (-0.7%) | (2,616,992 | ) | |||||||||
Total net assets (100.0%) | $ | 359,710,555 |
Investments in Securities Legend
(a) Securities are valued by procedures described in Note 2 of the Notes to Financial Statements.
(b) All or a portion of security pledged as collateral for when-issued purchase commitment outstanding as of December 31, 2011.
(c) At December 31, 2011 the total cost of investments issued on a when-issued or forward commitment basis was $4,934,752.
(d) Variable rate security.
(e) Interest-only security that entitles holders to receive only interest on the underlying mortgages. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The yield to maturity of an interest-only security is sensitive to the rate of principal payments on the underlying mortgage assets. The rate disclosed represents the market yield based upon the current cost basis and estimated timing and amount of future cash flows.
(f) Fully or partially pledged as initial margin deposits on open futures contracts.
Holdings of Open Futures Contracts
On December 31, 2011, securities with an aggregate market value of $570,125 have been segregated to cover margin requirements for the following open futures contracts:
Type (Expiration) | Number of Contracts | Position Type | Unrealized Appreciation/ (Depreciation) | ||||||||||||
2 Year U.S. Treasury Note (March 2012) | 25 | Long | $ | 3,075 | |||||||||||
5 Year U.S. Treasury Note (March 2012) | 245 | Long | 135,406 | ||||||||||||
10 Year U.S. Treasury Note (March 2012) | 188 | Short | (222,159 | ) | |||||||||||
458 | $ | (83,678 | ) |
(g) U.S. Treasury inflation-protected securities (TIPS) are securities in which the principal amount is adjusted for inflation and the semi-annual interest payments equal a fixed percentage of the inflation-adjusted principal amount.
(h) These securities are being fair-valued according to procedures approved by the Board of Directors.
(i) Illiquid security. (See Note 5.)
(j) Represents a security that remains at a specified coupon until a predetermined date, at which time the next stated rate becomes the effective rate.
(k) The Portfolio held 2.9% of net assets in foreign securities at December 31, 2011.
(l) Security is in default with respect to interest payments. Income is not being accrued on this security and any payments received are treated as a reduction of principal.
(m) Security sold within terms of a private placement memorandum exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors".
(n) At December 31, 2011 the cost of securities for federal income tax purposes was $356,951,851. The aggregate unrealized appreciation and depreciation of investments in securities based on this cost were:
Gross unrealized appreciation | $ | 15,307,577 | |||||
Gross unrealized depreciation | (9,931,881 | ) | |||||
Net unrealized appreciation | $ | 5,375,696 |
See accompanying notes to financial statements.
27
Advantus Series Fund, Inc.
Investments in Securities – continued
Principal | Value(a) | ||||||||||
Money Market Portfolio | |||||||||||
Commercial Paper (27.5%) | |||||||||||
Consumer Staples (9.2%) | |||||||||||
Beverages (1.8%) | |||||||||||
Coca-Cola Co. | |||||||||||
0.142%, 01/19/12 (b) | $ | 1,000,000 | $ | 999,930 | |||||||
0.142%, 02/02/12 (b) | 1,000,000 | 999,875 | |||||||||
1,999,805 | |||||||||||
Food (2.8%) | |||||||||||
Nestle Capital Corp. | |||||||||||
0.030%, 01/18/12 (b) | 1,000,000 | 999,986 | |||||||||
0.051%, 03/13/12 (b) | 2,000,000 | 1,999,800 | |||||||||
2,999,786 | |||||||||||
Food & Staples Retailing (1.4%) | |||||||||||
Wal-Mart Stores, Inc., 0.041%, 01/31/12 (b) | 1,500,000 | 1,499,950 | |||||||||
Personal Care (3.2%) | |||||||||||
Johnson & Johnson, 0.071%, 01/05/12 (b) | 1,500,000 | 1,499,988 | |||||||||
Proctor & Gamble Co., 0.132%, 05/07/12 (b) | 2,000,000 | 1,999,083 | |||||||||
3,499,071 | |||||||||||
Financial (5.3%) | |||||||||||
Auto Finance (3.5%) | |||||||||||
American Honda Finance | |||||||||||
0.203%, 01/04/12 | 2,750,000 | 2,749,954 | |||||||||
0.254%, 02/03/12 | 1,000,000 | 999,771 | |||||||||
3,749,725 | |||||||||||
Insurance (1.8%) | |||||||||||
MetLife Funding, Inc., 0.071%, 01/10/12 | 2,000,000 | 1,999,965 | |||||||||
Government (2.8%) | |||||||||||
Sovereign (2.8%) | |||||||||||
Province of Ontario, 0.122%, 04/30/12 | 3,000,000 | 2,998,800 | |||||||||
Health Care (6.0%) | |||||||||||
Health Care Equipment & Supplies (2.8%) | |||||||||||
Medtronic, Inc. | |||||||||||
0.081%, 01/20/12 (b) | 1,000,000 | 999,958 | |||||||||
0.081%, 01/24/12 (b) | 2,000,000 | 1,999,897 | |||||||||
2,999,855 | |||||||||||
Medical Labs & Testing Services (3.2%) | |||||||||||
Roche Holdings, Inc. | |||||||||||
0.051%, 01/27/12 (b) | 1,500,000 | 1,499,946 | |||||||||
0.061%, 01/25/12 (b) | 2,000,000 | 1,999,920 | |||||||||
3,499,866 | |||||||||||
Industrials (2.8%) | |||||||||||
Electrical Equipment (2.8%) | |||||||||||
Emerson Electric Co. | |||||||||||
0.071%, 01/23/12 (b) | 1,000,000 | 999,957 | |||||||||
0.071%, 01/24/12 (b) | 1,000,000 | 999,955 | |||||||||
0.071%, 01/26/12 (b) | 1,000,000 | 999,952 | |||||||||
2,999,864 |
Principal | Value(a) | ||||||||||
Technology (1.4%) | |||||||||||
Computer Hardware (1.4%) | |||||||||||
International Business Machines Corp., 0.051%, 01/30/12 (b) | $ | 1,500,000 | $ | 1,499,940 | |||||||
Total commercial paper (cost: $29,746,627) | 29,746,627 | ||||||||||
Corporate Bonds & Notes (17.8%) | |||||||||||
Financial (13.3%) | |||||||||||
Banks (10.1%) | |||||||||||
JPMorgan Chase & Co., 0.699%, 06/25/12 (c) | 3,000,000 | 3,002,027 | |||||||||
Morgan Stanley, 0.638%, 01/09/12 (c) | 1,240,000 | 1,240,022 | |||||||||
US Bank NA, 0.640%, 10/26/12 (c) | 3,940,000 | 3,947,154 | |||||||||
Wachovia Corp., 0.546%, 04/23/12 (c) | 2,720,000 | 2,720,328 | |||||||||
10,909,531 | |||||||||||
Diversified Financial Services (3.2%) | |||||||||||
General Electric Capital Corp., 0.740%, 03/12/12 (c) | 3,110,000 | 3,111,773 | |||||||||
New York Life Global Funding, 0.538%, 08/22/12 (c) (d) | 350,000 | 350,158 | |||||||||
3,461,931 | |||||||||||
Government (2.2%) | |||||||||||
Sovereign (2.2%) | |||||||||||
Lloyds TSB Bank PLC Guaranteed, 1.581%, 04/02/12 (c) (d) | 2,400,000 | 2,406,013 | |||||||||
Health Care (1.8%) | |||||||||||
Insurance (1.8%) | |||||||||||
MetLife Institutional Funding II, 0.955%, 12/07/12 (c) (d) | 2,000,000 | 2,000,000 | |||||||||
Technology (0.5%) | |||||||||||
Computer Hardware (0.5%) | |||||||||||
International Business Machines Corp., 0.576%, 06/15/12 (c) | 500,000 | 500,152 | |||||||||
Total corporate bonds & notes (cost: $19,277,627) | 19,277,627 | ||||||||||
U.S. Government Obligations (41.4%) | |||||||||||
Discount Notes (20.8%) | |||||||||||
Federal Home Loan Mortgage Corporation | |||||||||||
0.020%, 03/14/12 | 2,000,000 | 1,999,919 | |||||||||
0.025%, 02/13/12 | 2,000,000 | 1,999,940 | |||||||||
0.025%, 03/26/12 | 2,000,000 | 1,999,882 | |||||||||
0.041%, 01/13/12 | 1,000,000 | 999,987 | |||||||||
Federal National Mortgage Association | |||||||||||
0.015%, 01/03/12 | 2,000,000 | 1,999,998 | |||||||||
0.020%, 01/23/12 | 2,000,000 | 1,999,975 | |||||||||
0.025%, 02/06/12 | 2,000,000 | 1,999,950 | |||||||||
0.030%, 01/06/12 | 1,000,000 | 999,996 | |||||||||
0.044%, 01/11/12 | 1,500,000 | 1,499,982 | |||||||||
0.051%, 04/04/12 | 2,000,000 | 1,999,739 | |||||||||
0.270%, 11/23/12 (c) | 5,000,000 | 5,004,557 | |||||||||
22,503,925 |
See accompanying notes to financial statements.
28
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares/ Principal | Value(a) | ||||||||||
Federal Deposit Insurance Corporation (4.9%) | |||||||||||
Bank of America Corp., 0.950%, 06/22/12 (c) | $ | 5,220,000 | $ | 5,237,846 | |||||||
U.S. Treasury (15.7%) | |||||||||||
U.S. Treasury Bill | |||||||||||
0.005%, 03/08/12 | 1,500,000 | 1,499,988 | |||||||||
0.005%, 04/05/12 | 2,000,000 | 1,999,976 | |||||||||
0.005%, 05/10/12 | 2,500,000 | 2,499,959 | |||||||||
0.006%, 03/29/12 | 1,500,000 | 1,499,978 | |||||||||
0.008%, 02/23/12 | 3,000,000 | 2,999,967 | |||||||||
0.010%, 01/12/12 | 1,500,000 | 1,499,995 | |||||||||
0.013%, 02/09/12 | 2,000,000 | 1,999,972 | |||||||||
0.013%, 04/19/12 | 1,000,000 | 999,962 | |||||||||
0.027%, 02/09/12 | 2,000,000 | 1,999,943 | |||||||||
16,999,740 | |||||||||||
Total U.S. government obligations (cost: $44,741,511) | 44,741,511 | ||||||||||
Other Short-Term Investments (5.1%) | |||||||||||
Asset Backed Securities (5.1%) | |||||||||||
CNH Equipment Trust, 0.548%, 01/04/13 | 545,000 | 545,000 | |||||||||
Ford Credit Auto Lease Trust, 0.480%, 11/15/12 (d) | 289,556 | 289,556 | |||||||||
Ford Credit Auto Owner Trust, 0.219%, 08/15/12 (d) | 34,636 | 34,636 | |||||||||
Harley-Davidson Motorcycle Trust, 0.289%, 09/04/12 | 319,691 | 319,691 | |||||||||
Honda Auto Receivables Owner Trust, 0.251%, 06/18/12 | 35,621 | 35,621 | |||||||||
Mercedes-Benz Auto Receivables Trust, 0.217%, 07/16/12 | 1,031,382 | 1,031,229 | |||||||||
Nissan Auto Lease Trust, 0.350%, 10/15/12 | 651,199 | 651,199 | |||||||||
Santander Drive Auto Receivables Trust | |||||||||||
0.286%, 06/15/12 | 194,742 | 194,742 | |||||||||
0.312%, 05/15/12 | 126,548 | 126,548 | |||||||||
0.372%, 09/17/12 | 1,126,188 | 1,126,188 | |||||||||
Volkswagen Auto Lease Trust, 0.461%, 11/20/12 | 738,744 | 738,744 | |||||||||
World Omni Auto Receivables Trust, 0.411%, 11/15/12 | 405,980 | 405,980 | |||||||||
Total other short-term investments (cost: $5,499,134) | 5,499,134 | ||||||||||
Investment Companies (8.4%) | |||||||||||
Federated Government Obligations Fund, current rate 0.010% | 2,550,000 | 2,550,000 | |||||||||
JPMorgan U.S. Government Money Market Fund, current rate 0.010% | 2,500,000 | 2,500,000 | |||||||||
STIT-Government & Agency Portfolio, current rate 0.020% | 2,000,000 | 2,000,000 | |||||||||
Wells Fargo Advantage Treasury Plus Money Market Fund, current rate 0.010% | 1,986,005 | 1,986,005 | |||||||||
Total investment companies (cost: $9,036,005) | 9,036,005 |
Value(a) | |||||||
Total investments in securities (cost: $108,300,904) (e) | $ | 108,300,904 | |||||
Liabilities in excess of cash and other assets (-0.2%) | (185,905 | ) | |||||
Total net assets (100.0%) | $ | 108,114,999 |
Investments in Securities Legend
(a) Securities are valued by procedures described in Note 2 of the Notes to Financial Statements.
(b) Commercial paper sold within terms of a private placement memorandum, exempt from registration under Section 4(2) of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors". This security has been determined to be liquid under guidelines established by the Board of Directors. In the aggregate such securities represent 19.4% of the Portfolio's net assets as of December 31, 2011.
(c) Variable rate security.
(d) Security sold within terms of a private placement memorandum exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors".
(e) Also represents the cost of securities for federal income tax purposes at December 31, 2011.
Mortgage Securities Portfolio | |||||||||||
Long-Term Debt Securities (97.3%) | |||||||||||
Government Obligations (86.9%) | |||||||||||
U.S. Government Agencies and Obligations (86.9%) | |||||||||||
Federal Home Loan Mortgage Corporation (FHLMC) (18.7%) | |||||||||||
3.500%, 10/01/25 | $ | 439,437 | $ | 462,964 | |||||||
3.500%, 12/01/40 | 954,670 | 981,043 | |||||||||
3.500%, 02/01/41 | 478,724 | 491,949 | |||||||||
4.000%, 09/01/40 | 893,401 | 943,538 | |||||||||
4.000%, 03/01/41 | 956,071 | 1,012,712 | |||||||||
4.000%, 01/01/42 (b) | 3,415,000 | 3,581,481 | |||||||||
4.500%, 07/15/33 | 228,168 | 239,580 | |||||||||
4.500%, 09/01/40 | 886,580 | 939,994 | |||||||||
4.500%, 01/01/41 | 963,345 | 1,021,383 | |||||||||
4.500%, 03/01/41 | 973,559 | 1,037,689 | |||||||||
4.500%, 01/01/42 (b) | 1,000,000 | 1,059,531 | |||||||||
5.000%, 04/15/17 (c) | 162,625 | 163,158 | |||||||||
5.000%, 03/01/23 | 274,177 | 299,034 | |||||||||
5.000%, 05/01/29 | 191,380 | 205,860 | |||||||||
5.000%, 05/15/31 | 45,337 | 45,577 | |||||||||
5.000%, 08/01/35 (c) | 392,591 | 422,418 | |||||||||
5.000%, 11/01/35 (c) | 432,718 | 465,592 | |||||||||
5.000%, 11/01/39 (c) | 1,577,042 | 1,726,424 | |||||||||
5.000%, 03/01/40 | 869,389 | 956,087 | |||||||||
5.500%, 06/01/20 (c) | 279,703 | 305,514 | |||||||||
5.500%, 10/01/20 (c) | 430,188 | 467,063 | |||||||||
5.500%, 11/01/23 | 488,290 | 533,550 | |||||||||
5.500%, 05/01/34 (c) | 568,891 | 631,400 | |||||||||
6.000%, 09/01/22 (c) | 331,933 | 363,299 | |||||||||
6.000%, 11/01/33 (c) | 690,300 | 768,954 | |||||||||
6.250%, 12/15/23 | 301,058 | 339,132 | |||||||||
6.500%, 11/01/32 | 166,476 | 189,502 | |||||||||
19,654,428 |
See accompanying notes to financial statements.
29
Advantus Series Fund, Inc.
Investments in Securities – continued
Principal | Value(a) | ||||||||||
Federal National Mortgage Association (FNMA) (52.8%) | |||||||||||
3.140%, 08/01/15 | $ | 1,500,000 | $ | 1,575,366 | |||||||
3.500%, 11/01/25 | 199,734 | 211,054 | |||||||||
3.500%, 01/01/26 | 458,466 | 484,448 | |||||||||
3.500%, 01/01/27 (b) | 175,000 | 182,984 | |||||||||
3.500%, 06/25/33 | 27,673 | 27,894 | |||||||||
3.500%, 11/01/40 | 476,439 | 491,314 | |||||||||
3.500%, 01/01/41 | 870,951 | 896,689 | |||||||||
3.500%, 11/01/41 | 795,077 | 819,402 | |||||||||
4.000%, 01/01/27 (b) | 1,875,000 | 1,977,246 | |||||||||
4.000%, 04/01/41 | 289,423 | 306,162 | |||||||||
4.000%, 01/01/42 (b) | 1,185,000 | 1,244,806 | |||||||||
4.500%, 04/01/21 | 46,226 | 49,439 | |||||||||
4.500%, 11/01/23 | 240,922 | 261,735 | |||||||||
4.500%, 07/25/24 | 605,000 | 664,924 | |||||||||
4.500%, 04/01/25 | 638,609 | 680,999 | |||||||||
4.500%, 03/01/39 | 792,962 | 844,489 | |||||||||
4.500%, 04/01/40 | 930,572 | 1,009,070 | |||||||||
4.500%, 01/01/42 (b) | 3,820,000 | 4,064,719 | |||||||||
5.000%, 05/01/18 (c) | 434,051 | 473,291 | |||||||||
5.000%, 10/01/20 (c) | 242,952 | 262,638 | |||||||||
5.000%, 06/25/23 | 500,000 | 555,265 | |||||||||
5.000%, 11/01/33 (c) | 1,094,702 | 1,183,856 | |||||||||
5.000%, 03/01/34 (c) | 2,735,038 | 2,957,784 | |||||||||
5.000%, 05/01/34 | 287,913 | 311,361 | |||||||||
5.000%, 12/01/34 | 257,756 | 278,748 | |||||||||
5.000%, 04/01/35 | 419,497 | 453,661 | |||||||||
5.000%, 07/01/35 | 2,217,681 | 2,398,294 | |||||||||
5.000%, 06/01/39 | 801,336 | 885,880 | |||||||||
5.000%, 12/01/39 | 732,159 | 809,404 | |||||||||
5.000%, 06/01/40 | 350,299 | 382,331 | |||||||||
5.000%, 04/01/41 | 494,569 | 544,275 | |||||||||
5.500%, 01/01/17 | 210,903 | 229,112 | |||||||||
5.500%, 02/01/18 | 257,223 | 280,765 | |||||||||
5.500%, 03/01/18 (c) | 589,520 | 640,789 | |||||||||
5.500%, 08/01/23 | 334,797 | 367,661 | |||||||||
5.500%, 02/01/24 (c) | 403,696 | 443,323 | |||||||||
5.500%, 04/01/33 (c) | 1,083,246 | 1,198,718 | |||||||||
5.500%, 05/01/33 | 130,166 | 142,293 | |||||||||
5.500%, 10/01/33 (c) | 1,005,969 | 1,099,686 | |||||||||
5.500%, 01/01/34 | 267,750 | 292,694 | |||||||||
5.500%, 02/01/34 | 166,162 | 181,642 | |||||||||
5.500%, 03/01/34 (c) | 1,917,401 | 2,135,573 | |||||||||
5.500%, 04/01/34 (c) | 2,041,732 | 2,261,226 | |||||||||
5.500%, 05/01/34 | 92,634 | 101,206 | |||||||||
5.500%, 09/01/34 (c) | 572,814 | 633,874 | |||||||||
5.500%, 10/01/34 | 404,279 | 442,447 | |||||||||
5.500%, 01/01/35 | 607,843 | 668,838 | |||||||||
5.500%, 02/01/35 | 819,174 | 903,926 | |||||||||
5.500%, 06/01/35 | 92,299 | 100,782 | |||||||||
5.500%, 08/01/35 | 374,859 | 409,781 | |||||||||
5.500%, 10/01/35 | 161,232 | 179,578 | |||||||||
5.500%, 09/01/36 (c) | 1,042,083 | 1,138,512 | |||||||||
5.500%, 05/01/38 | 86,070 | 93,793 | |||||||||
5.500%, 01/01/42 (b) | 500,000 | 544,453 | |||||||||
6.000%, 09/01/32 | 77,256 | 86,530 | |||||||||
6.000%, 10/01/32 (c) | 933,054 | 1,045,054 | |||||||||
6.000%, 11/01/32 (c) | 772,039 | 864,711 | |||||||||
6.000%, 03/01/33 (c) | 873,880 | 978,776 | |||||||||
6.000%, 04/01/33 | 305,932 | 341,030 | |||||||||
6.000%, 12/01/33 | 220,833 | 246,167 | |||||||||
6.000%, 08/01/34 | 282,063 | 314,260 | |||||||||
6.000%, 09/01/34 | 167,513 | 186,155 |
Principal | Value(a) | ||||||||||
6.000%, 11/01/34 | $ | 90,024 | $ | 100,042 | |||||||
6.000%, 12/01/34 (c) | 845,459 | 939,547 | |||||||||
6.000%, 11/01/36 | 164,193 | 182,157 | |||||||||
6.000%, 01/01/37 | 1,184,308 | 1,311,663 | |||||||||
6.000%, 08/01/37 | 469,896 | 520,426 | |||||||||
6.000%, 09/01/37 | 458,736 | 512,366 | |||||||||
6.000%, 12/01/37 | 274,746 | 304,291 | |||||||||
6.000%, 12/01/38 | 471,480 | 523,065 | |||||||||
6.500%, 11/01/23 | 211,587 | 231,801 | |||||||||
6.500%, 02/01/32 | 673,938 | 769,501 | |||||||||
6.500%, 04/01/32 | 246,704 | 281,796 | |||||||||
6.500%, 05/01/32 | 111,852 | 127,865 | |||||||||
6.500%, 07/01/32 | 880,542 | 1,003,427 | |||||||||
6.500%, 09/01/32 | 15,999 | 18,169 | |||||||||
6.500%, 09/01/34 | 60,159 | 67,944 | |||||||||
6.500%, 11/01/34 | 38,943 | 43,982 | |||||||||
6.500%, 03/01/35 | 423,026 | 480,413 | |||||||||
6.500%, 02/01/36 | 202,483 | 228,265 | |||||||||
6.500%, 06/01/36 | 331,483 | 374,000 | |||||||||
6.500%, 08/01/37 | 108,507 | 121,961 | |||||||||
6.500%, 09/01/37 (c) | 613,275 | 687,847 | |||||||||
7.000%, 09/01/31 | 332,302 | 390,092 | |||||||||
7.000%, 11/01/31 | 45,870 | 53,818 | |||||||||
7.000%, 02/01/32 | 229,640 | 267,751 | |||||||||
7.000%, 07/01/32 (c) | 37,177 | 43,235 | |||||||||
7.000%, 10/01/37 (c) | 45,017 | 51,417 | |||||||||
7.500%, 04/01/31 | 90,762 | 108,557 | |||||||||
55,588,281 | |||||||||||
Government National Mortgage Association (GNMA) (15.3%) | |||||||||||
0.012%, 03/16/42 (d) (e) | 6,690,586 | 154 | |||||||||
0.413%, 06/17/45 (d) (e) | 9,686,921 | 215,476 | |||||||||
0.496%, 03/16/34 (d) (e) | 4,961,206 | 79,156 | |||||||||
0.643%, 07/16/40 (d) (e) | 2,642,482 | 54,747 | |||||||||
3.500%, 11/15/40 | 560,451 | 586,266 | |||||||||
4.000%, 07/20/31 | 782,317 | 877,579 | |||||||||
4.000%, 12/20/40 | 1,903,332 | 2,047,807 | |||||||||
4.000%, 02/15/41 | 973,505 | 1,049,225 | |||||||||
4.000%, 10/15/41 | 996,991 | 1,073,448 | |||||||||
4.000%, 01/01/42 (b) | 1,155,000 | 1,238,918 | |||||||||
4.500%, 06/15/40 | 808,946 | 889,007 | |||||||||
4.500%, 01/01/42 (b) | 1,000,000 | 1,089,531 | |||||||||
4.920%, 05/16/34 | 486,997 | 513,761 | |||||||||
5.000%, 05/15/33 (c) | 447,263 | 498,293 | |||||||||
5.000%, 12/15/39 | 191,518 | 214,207 | |||||||||
5.000%, 01/15/40 | 2,475,414 | 2,756,296 | |||||||||
5.000%, 07/15/40 | 1,594,872 | 1,768,364 | |||||||||
5.500%, 07/15/38 (c) | 543,469 | 612,847 | |||||||||
5.500%, 10/15/38 | 446,133 | 506,570 | |||||||||
16,071,652 | |||||||||||
Vendee Mortgage Trust (0.1%) | |||||||||||
Vendee Mortgage Trust, 7.793%, 02/15/25 | 85,896 | 97,974 | |||||||||
Total government obligations (cost: $87,558,319) | 91,412,335 | ||||||||||
Asset-Backed Securities (4.7%) | |||||||||||
ABFS Mortgage Loan Trust, 7.490%, 12/25/31 | 272,561 | 193,958 | |||||||||
Ally Auto Receivables Trust, 2.900%, 05/15/17 (f) | 140,000 | 143,024 |
See accompanying notes to financial statements.
30
Advantus Series Fund, Inc.
Investments in Securities – continued
Principal | Value(a) | ||||||||||
Conseco Financial Corp. | |||||||||||
7.300%, 11/15/28 | $ | 282,901 | $ | 289,549 | |||||||
7.650%, 10/15/27 (d) | 182,129 | 186,249 | |||||||||
8.300%, 11/15/19 | 155,823 | 159,576 | |||||||||
Countryplace Manufactured Housing Contract Trust, 4.800%, 12/15/35 (c) (d) (f) (g) (h) | 865,624 | 867,653 | |||||||||
Credit-Based Asset Servicing and Securitization LLC, 5.970%, 10/25/36 (c) (d) (f) | 805,308 | 829,340 | |||||||||
Ford Credit Auto Owner Trust, 3.220%, 03/15/16 | 270,000 | 278,361 | |||||||||
Nordstrom Private Label Credit Card Master Note Trust, 2.280%, 11/15/19 (f) | 210,000 | 210,977 | |||||||||
Origen Manufactured Housing | |||||||||||
4.750%, 08/15/21 | 405,422 | 406,916 | |||||||||
5.910%, 01/15/37 | 550,000 | 574,233 | |||||||||
Santander Drive Auto Receivables Trust, 3.020%, 10/17/16 (f) | 495,000 | 489,997 | |||||||||
Structured Asset Securities Corp., 6.290%, 11/25/32 (d) | 101,480 | 86,388 | |||||||||
Vanderbilt Mortgage Finance | |||||||||||
6.555%, 03/07/23 (d) | 99,388 | 99,314 | |||||||||
7.320%, 09/07/25 (d) | 162,687 | 164,834 | |||||||||
Total asset-backed securities (cost: $5,025,442) | 4,980,369 | ||||||||||
Other Mortgage-Backed Securities (5.7%) | |||||||||||
Collateralized Mortgage Obligations/Mortgage Revenue Bonds (2.4%) | |||||||||||
Bear Stearns Mortgage Securities, Inc., 8.000%, 11/25/29 (g) | 331,458 | 305,718 | |||||||||
BHN I Mortgage Fund | |||||||||||
0.010%, 07/01/12 (f) (g) (h) (j) (k) | 50,980 | — | |||||||||
1.000%, 03/25/12 (d) (f) (g) (h) (j) (k) | 10,000 | — | |||||||||
7.540%, 05/31/17 (f) (g) (h) (j) (k) | 425 | — | |||||||||
BlackRock Capital Finance LP, 7.750%, 09/25/26 (f) (g) | 809,852 | 228,024 | |||||||||
Global Mortgage Securitization Ltd. | |||||||||||
5.250%, 04/25/32 (k) | 473,138 | 384,730 | |||||||||
5.250%, 11/25/32 (c) (f) (h) (k) | 1,087,934 | 882,613 | |||||||||
5.399%, 04/25/32 (d) (k) | 346,600 | 239,541 | |||||||||
JPMorgan Mortgage Trust | |||||||||||
2.648%, 11/25/33 (d) | 253,940 | 232,709 | |||||||||
3.279%, 07/25/35 (d) | 331,656 | 4,023 | |||||||||
Prudential Home Mortgage Securities | |||||||||||
7.865%, 09/28/24 (d) (f) | 4,040 | 2,869 | |||||||||
7.900%, 04/28/22 (f) | 86,768 | 74,661 | |||||||||
Residential Accredit Loans, Inc., 6.250%, 03/25/14 (f) | 34,798 | 31,460 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, 5.400%, 11/25/35 (d) | 1,065,000 | 170,983 | |||||||||
Structured Asset Mortgage Investments, Inc., 4.252%, 05/02/30 (d) | 22,501 | 13,211 | |||||||||
2,570,542 |
Shares/ Principal | Value(a) | ||||||||||
Commercial Mortgage-Backed Securities (3.3%) | |||||||||||
Asset Securitization Corp. | |||||||||||
2.433%, 08/13/29 (e) (f) (h) | $ | 437,194 | $ | 31,226 | |||||||
8.621%, 08/13/29 (d) (e) | 632,672 | 45,187 | |||||||||
GMAC Commercial Mortgage Sec., 5.940%, 07/01/13 (g) (h) (i) | 9,937 | 10,423 | |||||||||
Hometown Commercial Mortgage, 5.506%, 11/11/38 (f) (h) | 970,689 | 519,723 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Corp., 3.364%, 11/13/44 (f) | 600,000 | 606,048 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. | |||||||||||
1.986%, 12/05/27 (d) (e) (f) (h) | 3,692,277 | 465,445 | |||||||||
4.625%, 03/15/46 | 118,212 | 119,669 | |||||||||
LB-UBS Commercial Mortgage Trust, 5.320%, 06/15/36 (d) | 500,000 | 500,534 | |||||||||
Multi Security Asset Trust, 5.880%, 11/28/35 (d) (f) (h) | 990,000 | 587,400 | |||||||||
Prudential Commercial Mortgage Trust, 4.775%, 02/11/36 (f) | 485,000 | 467,874 | |||||||||
WF-RBS Commercial Mortgage Trust, 3.667%, 11/15/44 | 125,000 | 129,909 | |||||||||
3,483,438 | |||||||||||
Total other mortgage-backed securities (cost: $9,860,514) | 6,053,980 | ||||||||||
Total long-term debt securities (cost: $102,444,275) | 102,446,684 | ||||||||||
Short-Term Securities (16.6%) | |||||||||||
Investment Companies (16.6%) | |||||||||||
Dreyfus Treasury Cash Management Fund, current rate 0.010% | 7,641,602 | 7,641,602 | |||||||||
JPMorgan U.S. Government Money Market Fund, current rate 0.010% | 9,800,000 | 9,800,000 | |||||||||
Total short-term securities (cost: $17,441,602) | 17,441,602 | ||||||||||
Total investments in securities (cost: $119,885,877) (l) | 119,888,286 | ||||||||||
Liabilities in excess of cash and other assets (-13.9%) | (14,639,190 | ) | |||||||||
Total net assets (100.0%) | $ | 105,249,096 |
Investments in Securities Legend
(a) Securities are valued by procedures described in Note 2 of the Notes to Financial Statements.
(b) At December 31, 2011 the total cost of investments issued on a when-issued or forward commitment basis was $14,910,039.
(c) All or a portion of security pledged as collateral for when-issued purchase commitment outstanding as of December 31, 2011.
See accompanying notes to financial statements.
31
Advantus Series Fund, Inc.
Investments in Securities – continued
(d) Variable rate security.
(e) Interest-only security that entitles holders to receive only interest on the underlying mortgages. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The yield to maturity of an interest-only security is sensitive to the rate of principal payments on the underlying mortgage assets. The rate disclosed represents the market yield based upon the current cost basis and estimated timing and amount of future cash flows.
(f) Security sold within terms of a private placement memorandum exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors".
(g) These securities are being fair-valued according to procedures approved by the Board of Directors.
(h) Illiquid security. (See Note 5.)
(i) Private placement security.
(j) Security is in default with respect to interest payments. Income is not being accrued on this security and any payments received are treated as a reduction of principal.
(k) The Portfolio held 1.4% of net assets in foreign securities at December 31, 2011.
(l) At December 31, 2011 the cost of securities for federal income tax purposes was $120,571,141. The aggregate unrealized appreciation and depreciation of investments in securities based on this cost were:
Gross unrealized appreciation | $ | 4,017,118 | |||||
Gross unrealized depreciation | (4,699,973 | ) | |||||
Net unrealized depreciation | $ | (682,855 | ) |
Shares | Value(a) | ||||||||||
Index 500 Portfolio | |||||||||||
Common Stocks (98.1%) | |||||||||||
Consumer Discretionary (10.6%) | |||||||||||
Auto Components (0.3%) | |||||||||||
BorgWarner, Inc. (b) | 3,964 | $ | 252,665 | ||||||||
Johnson Controls, Inc. | 24,552 | 767,495 | |||||||||
The Goodyear Tire & Rubber Co. (b) | 8,809 | 124,824 | |||||||||
1,144,984 | |||||||||||
Automobiles (0.4%) | |||||||||||
Ford Motor Co. (b) | 137,285 | 1,477,186 | |||||||||
Harley-Davidson, Inc. | 8,394 | 326,275 | |||||||||
1,803,461 | |||||||||||
Distributors (0.1%) | |||||||||||
Genuine Parts Co. | 5,641 | 345,229 | |||||||||
Diversified Consumer Services (0.1%) | |||||||||||
Apollo Group, Inc. — Class A (b) | 4,198 | 226,146 | |||||||||
DeVry, Inc. | 2,126 | 81,766 | |||||||||
H&R Block, Inc. | 10,581 | 172,788 | |||||||||
480,700 | |||||||||||
Hotels, Restaurants & Leisure (2.0%) | |||||||||||
Carnival Corp. | 16,348 | 533,599 | |||||||||
Chipotle Mexican Grill, Inc. (b) | 1,150 | 388,401 |
Shares | Value(a) | ||||||||||
Darden Restaurants, Inc. | 4,762 | $ | 217,052 | ||||||||
International Game Technology | 10,726 | 184,487 | |||||||||
Marriott International, Inc. — Class A | 9,639 | 281,170 | |||||||||
McDonald's Corp. | 36,966 | 3,708,799 | |||||||||
Starbucks Corp. | 26,929 | 1,239,003 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 6,947 | 333,248 | |||||||||
Wyndham Worldwide Corp. | 5,441 | 205,833 | |||||||||
Wynn Resorts Ltd. | 2,901 | 320,531 | |||||||||
Yum! Brands, Inc. | 16,636 | 981,690 | |||||||||
8,393,813 | |||||||||||
Household Durables (0.3%) | |||||||||||
DR Horton, Inc. | 9,985 | 125,911 | |||||||||
Harman International Industries, Inc. | 2,461 | 93,616 | |||||||||
Leggett & Platt, Inc. | 5,014 | 115,523 | |||||||||
Lennar Corp. — Class A | 5,746 | 112,909 | |||||||||
Newell Rubbermaid, Inc. | 10,426 | 168,380 | |||||||||
Pulte Homes, Inc. (b) | 12,093 | 76,307 | |||||||||
Stanley Black & Decker, Inc. | 6,107 | 412,833 | |||||||||
Whirlpool Corp. | 2,782 | 132,006 | |||||||||
1,237,485 | |||||||||||
Internet & Catalog Retail (0.8%) | |||||||||||
Amazon.com, Inc. (b) | 13,171 | 2,279,900 | |||||||||
Expedia, Inc. | 3,425 | 99,379 | |||||||||
NetFlix, Inc. (b) | 2,006 | 138,996 | |||||||||
priceline.com, Inc. (b) | 1,812 | 847,490 | |||||||||
TripAdvisor, Inc. (b) | 3,425 | 86,332 | |||||||||
3,452,097 | |||||||||||
Leisure Equipment & Products (0.1%) | |||||||||||
Hasbro, Inc. | 4,193 | 133,715 | |||||||||
Mattel, Inc. | 12,234 | 339,616 | |||||||||
473,331 | |||||||||||
Media (3.1%) | |||||||||||
Cablevision Systems Corp. | 7,975 | 113,404 | |||||||||
CBS Corp. — Class B | 23,641 | 641,617 | |||||||||
Comcast Corp. — Class A (c) | 98,439 | 2,333,989 | |||||||||
Discovery Communications, Inc. (b) | 9,547 | 391,141 | |||||||||
Gannett Co., Inc. | 8,573 | 114,621 | |||||||||
Interpublic Group of Cos., Inc. | 16,660 | 162,102 | |||||||||
News Corp. — Class A | 79,224 | 1,413,356 | |||||||||
Omnicom Group, Inc. | 9,966 | 444,284 | |||||||||
Scripps Networks Interactive, Inc. — Class A | 3,478 | 147,537 | |||||||||
The DIRECTV Group, Inc. — Class A (b) | 25,490 | 1,089,952 | |||||||||
The McGraw-Hill Cos., Inc. | 10,599 | 476,637 | |||||||||
The Walt Disney Co. | 64,902 | 2,433,825 | |||||||||
The Washington Post Co. — Class B | 220 | 82,898 | |||||||||
Time Warner Cable, Inc. — Class A | 11,528 | 732,835 | |||||||||
Time Warner, Inc. | 36,158 | 1,306,750 | |||||||||
Viacom, Inc. — Class B | 19,949 | 905,884 | |||||||||
12,790,832 |
See accompanying notes to financial statements.
32
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Multiline Retail (0.8%) | |||||||||||
Big Lots, Inc. (b) | 2,377 | $ | 89,756 | ||||||||
Dollar Tree, Inc. (b) | 4,300 | 357,373 | |||||||||
Family Dollar Stores, Inc. | 4,241 | 244,536 | |||||||||
JC Penney Co., Inc. | 5,083 | 178,667 | |||||||||
Kohl's Corp. | 9,156 | 451,849 | |||||||||
Macy's, Inc. | 15,166 | 488,042 | |||||||||
Nordstrom, Inc. | 5,837 | 290,157 | |||||||||
Sears Holdings Corp. (b) | 1,396 | 44,365 | |||||||||
Target Corp. | 24,263 | 1,242,751 | |||||||||
3,387,496 | |||||||||||
Specialty Retail (2.0%) | |||||||||||
Abercrombie & Fitch Co. — Class A | 3,134 | 153,065 | |||||||||
AutoNation, Inc. (b) | 1,697 | 62,568 | |||||||||
AutoZone, Inc. (b) | 1,056 | 343,168 | |||||||||
Bed Bath & Beyond, Inc. (b) | 8,673 | 502,774 | |||||||||
Best Buy Co., Inc. | 10,601 | 247,745 | |||||||||
CarMax, Inc. (b) | 8,141 | 248,138 | |||||||||
GameStop Corp. — Class A (b) | 4,944 | 119,299 | |||||||||
Home Depot, Inc. | 55,692 | 2,341,292 | |||||||||
Lowe's Cos., Inc. | 45,250 | 1,148,445 | |||||||||
Ltd. Brands, Inc. | 8,880 | 358,308 | |||||||||
O'Reilly Automotive, Inc. (b) | 4,651 | 371,847 | |||||||||
Orchard Supply Hardware Stores Corp. Class A (b) (d) | 63 | 230 | |||||||||
Ross Stores, Inc. | 8,336 | 396,210 | |||||||||
Staples, Inc. | 25,267 | 350,959 | |||||||||
The Gap, Inc. | 12,482 | 231,541 | |||||||||
Tiffany & Co. | 4,592 | 304,266 | |||||||||
TJX Cos., Inc. | 13,625 | 879,494 | |||||||||
Urban Outfitters, Inc. (b) | 3,938 | 108,531 | |||||||||
8,167,880 | |||||||||||
Textiles, Apparel & Luxury Goods (0.6%) | |||||||||||
Coach, Inc. | 10,582 | 645,925 | |||||||||
NIKE, Inc. — Class B | 13,401 | 1,291,454 | |||||||||
Ralph Lauren Corp. | 2,347 | 324,074 | |||||||||
VF Corp. | 3,198 | 406,114 | |||||||||
2,667,567 | |||||||||||
Consumer Staples (11.3%) | |||||||||||
Beverages (2.6%) | |||||||||||
Beam, Inc. | 5,600 | 286,888 | |||||||||
Brown-Forman Corp. — Class B | 3,704 | 298,209 | |||||||||
Coca-Cola Enterprises, Inc. | 11,272 | 290,592 | |||||||||
Constellation Brands, Inc. — Class A (b) | 6,238 | 128,940 | |||||||||
Dr Pepper Snapple Group, Inc. | 7,745 | 305,773 | |||||||||
Molson Coors Brewing Co. — Class B | 5,691 | 247,786 | |||||||||
PepsiCo, Inc. | 56,481 | 3,747,514 | |||||||||
The Coca-Cola Co. | 82,052 | 5,741,178 | |||||||||
11,046,880 | |||||||||||
Food & Staples Retailing (2.4%) | |||||||||||
Costco Wholesale Corp. | 15,656 | 1,304,458 | |||||||||
CVS Caremark Corp. | 47,023 | 1,917,598 | |||||||||
Safeway, Inc. | 12,279 | 258,350 | |||||||||
SUPERVALU, Inc. | 7,642 | 62,053 | |||||||||
Sysco Corp. | 21,311 | 625,052 |
Shares | Value(a) | ||||||||||
The Kroger Co. | 21,572 | $ | 522,474 | ||||||||
Wal-Mart Stores, Inc. | 63,099 | 3,770,796 | |||||||||
Walgreen Co. | 32,127 | 1,062,118 | |||||||||
Whole Foods Market, Inc. | 5,819 | 404,886 | |||||||||
9,927,785 | |||||||||||
Food Products (1.9%) | |||||||||||
Archer-Daniels-Midland Co. | 24,132 | 690,175 | |||||||||
Campbell Soup Co. | 6,419 | 213,368 | |||||||||
ConAgra Foods, Inc. | 14,936 | 394,310 | |||||||||
Dean Foods Co. (b) | 6,585 | 73,752 | |||||||||
General Mills, Inc. | 23,246 | 939,371 | |||||||||
HJ Heinz Co. | 11,544 | 623,838 | |||||||||
Hormel Foods Corp. | 4,960 | 145,278 | |||||||||
Kellogg Co. | 8,937 | 451,944 | |||||||||
Kraft Foods, Inc. — Class A | 63,827 | 2,384,577 | |||||||||
McCormick & Co., Inc. | 4,735 | 238,739 | |||||||||
Mead Johnson Nutrition Co. | 7,354 | 505,440 | |||||||||
Sara Lee Corp. | 21,251 | 402,069 | |||||||||
The Hershey Co. | 5,496 | 339,543 | |||||||||
The JM Smucker Co. | 4,129 | 322,764 | |||||||||
Tyson Foods, Inc. — Class A | 10,553 | 217,814 | |||||||||
7,942,982 | |||||||||||
Household Products (2.3%) | |||||||||||
Clorox Co. | 4,766 | 317,225 | |||||||||
Colgate-Palmolive Co. | 17,485 | 1,615,439 | |||||||||
Kimberly-Clark Corp. | 14,210 | 1,045,288 | |||||||||
The Procter & Gamble Co. | 99,396 | 6,630,707 | |||||||||
9,608,659 | |||||||||||
Personal Care (0.2%) | |||||||||||
Avon Products, Inc. | 15,498 | 270,750 | |||||||||
The Estee Lauder Cos., Inc. — Class A | 4,035 | 453,211 | |||||||||
723,961 | |||||||||||
Tobacco (1.9%) | |||||||||||
Altria Group, Inc. | 74,291 | 2,202,728 | |||||||||
Lorillard, Inc. | 4,878 | 556,092 | |||||||||
Philip Morris International, Inc. | 62,752 | 4,924,777 | |||||||||
Reynolds American, Inc. | 12,237 | 506,857 | |||||||||
8,190,454 | |||||||||||
Energy (12.0%) | |||||||||||
Energy Equipment & Services (1.9%) | |||||||||||
Baker Hughes, Inc. | 15,761 | 766,615 | |||||||||
Cameron International Corp. (b) | 8,841 | 434,889 | |||||||||
Diamond Offshore Drilling, Inc. | 2,496 | 137,929 | |||||||||
FMC Technologies, Inc. (b) | 8,570 | 447,611 | |||||||||
Halliburton Co. | 33,191 | 1,145,421 | |||||||||
Helmerich & Payne, Inc. | 3,828 | 223,402 | |||||||||
Nabors Industries, Ltd. (b) (e) | 10,386 | 180,093 | |||||||||
National Oilwell Varco, Inc. | 15,339 | 1,042,898 | |||||||||
Noble Corp. (b) (e) | 9,102 | 275,063 | |||||||||
Rowan Cos., Inc. (b) | 4,488 | 136,121 | |||||||||
Schlumberger, Ltd. | 48,487 | 3,312,147 | |||||||||
8,102,189 | |||||||||||
Oil, Gas & Consumable Fuels (10.1%) | |||||||||||
Alpha Natural Resources, Inc. (b) | 7,940 | 162,214 | |||||||||
Anadarko Petroleum Corp. | 17,955 | 1,370,505 |
See accompanying notes to financial statements.
33
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Apache Corp. | 13,875 | $ | 1,256,798 | ||||||||
Cabot Oil & Gas Corp. — Class A | 3,805 | 288,800 | |||||||||
Chesapeake Energy Corp. | 23,799 | 530,480 | |||||||||
Chevron Corp. | 71,946 | 7,655,054 | |||||||||
ConocoPhillips | 47,967 | 3,495,355 | |||||||||
Consol Energy, Inc. | 8,170 | 299,839 | |||||||||
Denbury Resources, Inc. (b) | 14,351 | 216,700 | |||||||||
Devon Energy Corp. | 14,592 | 904,704 | |||||||||
El Paso Corp. | 27,835 | 739,576 | |||||||||
EOG Resources, Inc. | 9,696 | 955,153 | |||||||||
EQT Corp. | 5,353 | 293,291 | |||||||||
Exxon Mobil Corp. | 173,163 | 14,677,296 | |||||||||
Hess Corp. | 10,766 | 611,509 | |||||||||
Marathon Oil Corp. | 25,423 | 744,131 | |||||||||
Marathon Petroleum Corp. | 12,793 | 425,879 | |||||||||
Murphy Oil Corp. | 6,958 | 387,839 | |||||||||
Newfield Exploration Co. (b) | 4,726 | 178,312 | |||||||||
Noble Energy, Inc. | 6,340 | 598,433 | |||||||||
Occidental Petroleum Corp. | 29,327 | 2,747,940 | |||||||||
Peabody Energy Corp. | 9,780 | 323,816 | |||||||||
Pioneer Natural Resources Co. | 4,421 | 395,591 | |||||||||
QEP Resources, Inc. | 6,350 | 186,055 | |||||||||
Range Resources Corp. | 5,651 | 350,023 | |||||||||
Southwestern Energy Co. (b) | 12,495 | 399,090 | |||||||||
Spectra Energy Corp. | 23,484 | 722,133 | |||||||||
Sunoco, Inc. | 3,817 | 156,573 | |||||||||
Tesoro Corp. (b) | 5,041 | 117,758 | |||||||||
The Williams Cos., Inc. | 21,258 | 701,939 | |||||||||
Valero Energy Corp. | 20,221 | 425,652 | |||||||||
42,318,438 | |||||||||||
Financial (13.2%) | |||||||||||
Capital Markets (1.8%) | |||||||||||
Ameriprise Financial, Inc. | 8,174 | 405,757 | |||||||||
BlackRock, Inc. | 3,660 | 652,358 | |||||||||
E*Trade Financial Corp. (b) | 9,074 | 72,229 | |||||||||
Federated Investors, Inc. — Class B | 3,283 | 49,738 | |||||||||
Franklin Resources, Inc. | 5,263 | 505,564 | |||||||||
Invesco, Ltd. | 16,252 | 326,503 | |||||||||
Legg Mason, Inc. | 4,414 | 106,157 | |||||||||
Morgan Stanley | 53,615 | 811,195 | |||||||||
Northern Trust Corp. | 8,724 | 345,994 | |||||||||
State Street Corp. | 17,772 | 716,389 | |||||||||
T Rowe Price Group, Inc. | 9,127 | 519,783 | |||||||||
The Bank of New York Mellon Corp. | 43,808 | 872,217 | |||||||||
The Charles Schwab Corp. | 38,990 | 439,027 | |||||||||
The Goldman Sachs Group, Inc. | 17,786 | 1,608,388 | |||||||||
7,431,299 | |||||||||||
Commercial Banks (2.6%) | |||||||||||
BB&T Corp. | 25,180 | 633,781 | |||||||||
Comerica, Inc. | 7,130 | 183,954 | |||||||||
Fifth Third Bancorp | 33,228 | 422,660 | |||||||||
First Horizon National Corp. | 9,509 | 76,072 | |||||||||
Huntington Bancshares, Inc. | 31,211 | 171,348 | |||||||||
KeyCorp | 34,424 | 264,720 | |||||||||
M&T Bank Corp. | 4,567 | 348,645 | |||||||||
PNC Financial Services Group, Inc. | 18,986 | 1,094,923 | |||||||||
Regions Financial Corp. | 45,479 | 195,560 | |||||||||
SunTrust Banks, Inc. | 19,371 | 342,867 | |||||||||
US Bancorp | 68,944 | 1,864,935 |
Shares | Value(a) | ||||||||||
Wells Fargo & Co. | 190,515 | $ | 5,250,593 | ||||||||
Zions Bancorporation | 6,654 | 108,327 | |||||||||
10,958,385 | |||||||||||
Consumer Finance (0.8%) | |||||||||||
American Express Co. | 36,506 | 1,721,988 | |||||||||
Capital One Financial Corp. | 16,554 | 700,069 | |||||||||
Discover Financial Services | 19,790 | 474,960 | |||||||||
SLM Corp. | 18,379 | 246,278 | |||||||||
3,143,295 | |||||||||||
Diversified Financial Services (2.6%) | |||||||||||
Bank of America Corp. | 366,176 | 2,035,939 | |||||||||
Citigroup, Inc. | 105,624 | 2,778,967 | |||||||||
CME Group, Inc. | 2,399 | 584,564 | |||||||||
IntercontinentalExchange, Inc. (b) | 2,625 | 316,444 | |||||||||
JPMorgan Chase & Co. | 137,273 | 4,564,329 | |||||||||
Leucadia National Corp. | 7,128 | 162,091 | |||||||||
Moody's Corp. | 7,057 | 237,680 | |||||||||
NYSE Euronext | 9,453 | 246,723 | |||||||||
The NASDAQ OMX Group, Inc. (b) | 4,524 | 110,883 | |||||||||
11,037,620 | |||||||||||
Diversified REIT's (0.1%) | |||||||||||
Vornado Realty Trust | 6,689 | 514,117 | |||||||||
Insurance (3.5%) | |||||||||||
ACE, Ltd. (e) | 12,213 | 856,376 | |||||||||
Aflac, Inc. | 16,843 | 728,628 | |||||||||
American International Group, Inc. (b) | 15,719 | 364,681 | |||||||||
AON Corp. | 11,679 | 546,577 | |||||||||
Assurant, Inc. | 3,321 | 136,360 | |||||||||
Berkshire Hathaway, Inc. — Class B (b) | 63,513 | 4,846,042 | |||||||||
Chubb Corp. | 10,046 | 695,384 | |||||||||
Cincinnati Financial Corp. | 5,848 | 178,130 | |||||||||
Genworth Financial, Inc. — Class A (b) | 17,697 | 115,915 | |||||||||
Hartford Financial Services Group, Inc. | 16,049 | 260,796 | |||||||||
Lincoln National Corp. | 10,898 | 211,639 | |||||||||
Loews Corp. | 11,031 | 415,317 | |||||||||
Marsh & McLennan Cos., Inc. | 19,435 | 614,535 | |||||||||
MetLife, Inc. | 38,208 | 1,191,326 | |||||||||
Principal Financial Group, Inc. | 11,024 | 271,191 | |||||||||
Prudential Financial, Inc. | 17,052 | 854,646 | |||||||||
The Allstate Corp. | 18,256 | 500,397 | |||||||||
The Progressive Corp. | 22,279 | 434,663 | |||||||||
The Travelers Cos., Inc. | 14,912 | 882,343 | |||||||||
Torchmark Corp. | 3,662 | 158,894 | |||||||||
Unum Group | 10,562 | 222,541 | |||||||||
XL Group PLC (e) | 11,579 | 228,917 | |||||||||
14,715,298 | |||||||||||
Office REIT's (0.1%) | |||||||||||
Boston Properties, Inc. | 5,326 | 530,470 | |||||||||
Real Estate Management & Development (0.0%) | |||||||||||
CBRE Group, Inc. (b) | 11,690 | 177,922 |
See accompanying notes to financial statements.
34
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Residential REIT's (0.4%) | |||||||||||
Apartment Investment & Management Co. — Class A | 4,341 | $ | 99,452 | ||||||||
AvalonBay Communities, Inc. | 3,411 | 445,477 | |||||||||
Equity Residential | 10,752 | 613,186 | |||||||||
ProLogis, Inc. | 16,502 | 471,792 | |||||||||
1,629,907 | |||||||||||
Retail REIT's (0.4%) | |||||||||||
Kimco Realty Corp. | 14,649 | 237,900 | |||||||||
Simon Property Group, Inc. | 10,603 | 1,367,151 | |||||||||
1,605,051 | |||||||||||
Specialized REIT's (0.8%) | |||||||||||
HCP, Inc. | 14,716 | 609,684 | |||||||||
Health Care REIT, Inc. | 6,856 | 373,857 | |||||||||
Host Hotels & Resorts, Inc. | 25,510 | 376,783 | |||||||||
Plum Creek Timber Co., Inc. | 5,809 | 212,377 | |||||||||
Public Storage | 5,106 | 686,553 | |||||||||
Ventas, Inc. | 10,375 | 571,974 | |||||||||
Weyerhaeuser Co. | 19,379 | 361,800 | |||||||||
3,193,028 | |||||||||||
Thrifts & Mortgage Finance (0.1%) | |||||||||||
Hudson City Bancorp, Inc. | 19,020 | 118,875 | |||||||||
People's United Financial, Inc. | 13,028 | 167,410 | |||||||||
286,285 | |||||||||||
Health Care (11.6%) | |||||||||||
Biotechnology (1.2%) | |||||||||||
Amgen, Inc. | 28,625 | 1,838,011 | |||||||||
Biogen Idec, Inc. (b) | 8,818 | 970,421 | |||||||||
Celgene Corp. (b) | 16,038 | 1,084,169 | |||||||||
Gilead Sciences, Inc. (b) | 27,136 | 1,110,676 | |||||||||
5,003,277 | |||||||||||
Health Care Equipment & Supplies (1.7%) | |||||||||||
Baxter International, Inc. | 20,371 | 1,007,957 | |||||||||
Becton Dickinson and Co. | 7,763 | 580,051 | |||||||||
Boston Scientific Corp. (b) | 53,522 | 285,807 | |||||||||
CareFusion Corp. (b) | 8,053 | 204,627 | |||||||||
Covidien PLC (e) | 17,428 | 784,434 | |||||||||
CR Bard, Inc. | 3,075 | 262,913 | |||||||||
DENTSPLY International, Inc. | 5,037 | 176,245 | |||||||||
Edwards Lifesciences Corp. (b) | 4,085 | 288,810 | |||||||||
Intuitive Surgical, Inc. (b) | 1,445 | 669,049 | |||||||||
Medtronic, Inc. | 38,126 | 1,458,320 | |||||||||
St Jude Medical, Inc. | 11,524 | 395,273 | |||||||||
Stryker Corp. | 11,751 | 584,142 | |||||||||
Varian Medical Systems, Inc. (b) | 4,066 | 272,951 | |||||||||
Zimmer Holdings, Inc. (b) | 6,505 | 347,497 | |||||||||
7,318,076 | |||||||||||
Health Care Providers & Services (2.0%) | |||||||||||
Aetna, Inc. | 13,088 | 552,183 | |||||||||
AmerisourceBergen Corp. | 9,333 | 347,094 | |||||||||
Cardinal Health, Inc. | 12,498 | 507,544 | |||||||||
CIGNA Corp. | 10,253 | 430,626 | |||||||||
Coventry Health Care, Inc. (b) | 5,209 | 158,197 | |||||||||
DaVita, Inc. (b) | 3,357 | 254,494 | |||||||||
Express Scripts, Inc. (b) | 17,576 | 785,471 |
Shares | Value(a) | ||||||||||
Humana, Inc. | 5,907 | $ | 517,512 | ||||||||
Laboratory Corp. of America Holdings (b) | 3,580 | 307,773 | |||||||||
McKesson Corp. | 8,833 | 688,179 | |||||||||
Medco Health Solutions, Inc. (b) | 13,983 | 781,650 | |||||||||
Patterson Cos., Inc. | 3,164 | 93,401 | |||||||||
Quest Diagnostics, Inc. | 5,676 | 329,549 | |||||||||
Tenet Healthcare Corp. (b) | 15,684 | 80,459 | |||||||||
UnitedHealth Group, Inc. | 38,512 | 1,951,788 | |||||||||
WellPoint, Inc. | 12,567 | 832,564 | |||||||||
8,618,484 | |||||||||||
Health Care Technology (0.1%) | |||||||||||
Cerner Corp. (b) | 5,300 | 324,625 | |||||||||
Life Sciences Tools & Services (0.4%) | |||||||||||
Agilent Technologies, Inc. (b) | 12,492 | 436,345 | |||||||||
Life Technologies Corp. (b) | 6,423 | 249,919 | |||||||||
PerkinElmer, Inc. | 4,014 | 80,280 | |||||||||
Thermo Fisher Scientific, Inc. (b) | 13,666 | 614,560 | |||||||||
Waters Corp. (b) | 3,237 | 239,700 | |||||||||
1,620,804 | |||||||||||
Pharmaceuticals (6.2%) | |||||||||||
Abbott Laboratories | 56,278 | 3,164,512 | |||||||||
Allergan, Inc. | 11,020 | 966,895 | |||||||||
Bristol-Myers Squibb Co. | 61,218 | 2,157,323 | |||||||||
Eli Lilly & Co. | 36,807 | 1,529,699 | |||||||||
Forest Laboratories, Inc. (b) | 9,651 | 292,039 | |||||||||
Hospira, Inc. (b) | 5,879 | 178,545 | |||||||||
Johnson & Johnson | 98,657 | 6,469,926 | |||||||||
Merck & Co., Inc. | 110,111 | 4,151,185 | |||||||||
Mylan, Inc. (b) | 15,359 | 329,604 | |||||||||
Perrigo Co. | 3,367 | 327,609 | |||||||||
Pfizer, Inc. | 277,705 | 6,009,536 | |||||||||
Watson Pharmaceuticals, Inc. (b) | 4,615 | 278,469 | |||||||||
25,855,342 | |||||||||||
Industrials (10.4%) | |||||||||||
Aerospace & Defense (2.5%) | |||||||||||
General Dynamics Corp. | 12,865 | 854,365 | |||||||||
Goodrich Corp. | 4,554 | 563,330 | |||||||||
Honeywell International, Inc. | 27,944 | 1,518,757 | |||||||||
L-3 Communications Holdings, Inc. | 3,629 | 241,982 | |||||||||
Lockheed Martin Corp. | 9,586 | 775,507 | |||||||||
Northrop Grumman Corp. | 9,392 | 549,244 | |||||||||
Precision Castparts Corp. | 5,251 | 865,312 | |||||||||
Raytheon Co. | 12,503 | 604,895 | |||||||||
Rockwell Collins, Inc. | 5,422 | 300,216 | |||||||||
The Boeing Co. | 26,841 | 1,968,787 | |||||||||
United Technologies Corp. | 32,734 | 2,392,528 | |||||||||
10,634,923 | |||||||||||
Air Freight & Logistics (1.0%) | |||||||||||
CH Robinson Worldwide, Inc. | 5,947 | 414,981 | |||||||||
Expeditors International of Washington, Inc. | 7,650 | 313,344 | |||||||||
FedEx Corp. | 11,519 | 961,952 | |||||||||
United Parcel Service, Inc. — Class B | 34,862 | 2,551,550 | |||||||||
4,241,827 |
See accompanying notes to financial statements.
35
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Airlines (0.1%) | |||||||||||
Southwest Airlines Co. | 28,125 | $ | 240,750 | ||||||||
Building Products (0.0%) | |||||||||||
Masco Corp. | 12,867 | 134,846 | |||||||||
Commercial Services & Supplies (0.4%) | |||||||||||
Avery Dennison Corp. | 3,755 | 107,693 | |||||||||
Cintas Corp. | 3,944 | 137,291 | |||||||||
Iron Mountain, Inc. | 6,643 | 204,604 | |||||||||
Pitney Bowes, Inc. | 7,212 | 133,711 | |||||||||
Republic Services, Inc. | 11,373 | 313,326 | |||||||||
RR Donnelley & Sons Co. | 6,744 | 97,316 | |||||||||
Stericycle, Inc. (b) | 3,051 | 237,734 | |||||||||
Waste Management, Inc. | 16,630 | 543,967 | |||||||||
1,775,642 | |||||||||||
Construction & Engineering (0.2%) | |||||||||||
Fluor Corp. | 6,129 | 307,983 | |||||||||
Jacobs Engineering Group, Inc. (b) | 4,559 | 185,004 | |||||||||
Quanta Services, Inc. (b) | 7,591 | 163,510 | |||||||||
656,497 | |||||||||||
Electrical Equipment (0.5%) | |||||||||||
Cooper Industries PLC (e) | 5,712 | 309,305 | |||||||||
Emerson Electric Co. | 26,580 | 1,238,362 | |||||||||
Rockwell Automation, Inc. | 5,090 | 373,454 | |||||||||
Roper Industries, Inc. | 3,499 | 303,958 | |||||||||
2,225,079 | |||||||||||
Industrial Conglomerates (2.4%) | |||||||||||
3M Co. | 25,319 | 2,069,322 | |||||||||
General Electric Co. | 381,403 | 6,830,927 | |||||||||
Textron, Inc. | 9,977 | 184,475 | |||||||||
Tyco International Ltd. | 16,690 | 779,590 | |||||||||
9,864,314 | |||||||||||
Machinery (2.1%) | |||||||||||
Caterpillar, Inc. | 23,418 | 2,121,671 | |||||||||
Cummins, Inc. | 6,961 | 612,707 | |||||||||
Danaher Corp. | 20,537 | 966,061 | |||||||||
Deere & Co. | 14,912 | 1,153,443 | |||||||||
Dover Corp. | 6,709 | 389,457 | |||||||||
Eaton Corp. | 12,073 | 525,538 | |||||||||
Flowserve Corp. | 2,069 | 205,493 | |||||||||
Illinois Tool Works, Inc. | 17,456 | 815,370 | |||||||||
Ingersoll-Rand PLC (e) | 11,238 | 342,422 | |||||||||
Joy Global, Inc. | 3,820 | 286,385 | |||||||||
PACCAR, Inc. | 12,941 | 484,899 | |||||||||
Pall Corp. | 4,176 | 238,658 | |||||||||
Parker Hannifin Corp. | 5,458 | 416,173 | |||||||||
Snap-On, Inc. | 2,138 | 108,226 | |||||||||
Xylem, Inc. | 6,618 | 170,016 | |||||||||
8,836,519 | |||||||||||
Professional Services (0.1%) | |||||||||||
Dun & Bradstreet Corp. | 1,739 | 130,129 | |||||||||
Equifax, Inc. | 4,381 | 169,720 | |||||||||
Robert Half International, Inc. | 5,154 | 146,683 | |||||||||
446,532 | |||||||||||
Road & Rail (0.9%) | |||||||||||
CSX Corp. | 37,931 | 798,827 | |||||||||
Norfolk Southern Corp. | 12,142 | 884,666 |
Shares | Value(a) | ||||||||||
Ryder System, Inc. | 1,849 | $ | 98,256 | ||||||||
Union Pacific Corp. | 17,452 | 1,848,865 | |||||||||
3,630,614 | |||||||||||
Trading Companies & Distributors (0.2%) | |||||||||||
Fastenal Co. | 10,660 | 464,883 | |||||||||
WW Grainger, Inc. | 2,255 | 422,113 | |||||||||
886,996 | |||||||||||
Information Technology (18.7%) | |||||||||||
Communications Equipment (2.1%) | |||||||||||
Cisco Systems, Inc. | 194,212 | 3,511,353 | |||||||||
F5 Networks, Inc. (b) | 2,842 | 301,593 | |||||||||
Harris Corp. | 4,183 | 150,755 | |||||||||
JDS Uniphase Corp. (b) | 8,263 | 86,266 | |||||||||
Juniper Networks, Inc. (b) | 19,002 | 387,831 | |||||||||
Motorola Mobility Holdings, Inc. (b) | 9,486 | 368,057 | |||||||||
Motorola Solutions, Inc. | 10,301 | 476,833 | |||||||||
QUALCOMM, Inc. | 60,726 | 3,321,712 | |||||||||
8,604,400 | |||||||||||
Computers & Peripherals (4.6%) | |||||||||||
Apple, Inc. (b) (c) | 33,624 | 13,617,720 | |||||||||
Dell, Inc. (b) | 55,166 | 807,079 | |||||||||
EMC Corp. (b) | 73,697 | 1,587,433 | |||||||||
Hewlett-Packard Co. | 71,782 | 1,849,104 | |||||||||
Lexmark International, Inc. — Class A | 2,512 | 83,072 | |||||||||
NetApp, Inc. (b) | 12,955 | 469,878 | |||||||||
SanDisk Corp. (b) | 8,698 | 428,029 | |||||||||
Western Digital Corp. (b) | 8,380 | 259,361 | |||||||||
19,101,676 | |||||||||||
Electronic Equipment, Instruments & Components (0.4%) | |||||||||||
Amphenol Corp. — Class A | 5,987 | 271,750 | |||||||||
Corning, Inc. | 56,776 | 736,952 | |||||||||
FLIR Systems, Inc. | 5,605 | 140,517 | |||||||||
Jabil Circuit, Inc. | 6,609 | 129,933 | |||||||||
Molex, Inc. | 4,891 | 116,699 | |||||||||
TE Connectivity, Ltd. | 15,334 | 472,441 | |||||||||
1,868,292 | |||||||||||
Internet Software & Services (2.0%) | |||||||||||
Akamai Technologies, Inc. (b) | 6,482 | 209,239 | |||||||||
eBay, Inc. (b) | 41,479 | 1,258,058 | |||||||||
Google, Inc. — Class A (b) | 9,173 | 5,924,841 | |||||||||
VeriSign, Inc. | 5,746 | 205,247 | |||||||||
Yahoo!, Inc. (b) | 44,808 | 722,753 | |||||||||
8,320,138 | |||||||||||
IT Services (3.8%) | |||||||||||
Accenture PLC Class A (e) | 23,154 | 1,232,488 | |||||||||
Automatic Data Processing, Inc. | 17,655 | 953,547 | |||||||||
Cognizant Technology Solutions Corp. — Class A (b) | 10,903 | 701,172 | |||||||||
Computer Sciences Corp. | 5,559 | 131,748 | |||||||||
Fidelity National Information Services, Inc. | 8,763 | 233,008 | |||||||||
Fiserv, Inc. (b) | 5,134 | 301,571 | |||||||||
International Business Machines Corp. | 42,580 | 7,829,610 |
See accompanying notes to financial statements.
36
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Mastercard, Inc. — Class A | 3,871 | $ | 1,443,186 | ||||||||
Paychex, Inc. | 11,552 | 347,831 | |||||||||
SAIC, Inc. (b) | 9,917 | 121,880 | |||||||||
Teradata Corp. (b) | 6,060 | 293,971 | |||||||||
The Western Union Co. | 22,367 | 408,421 | |||||||||
Total System Services, Inc. | 5,805 | 113,546 | |||||||||
Visa, Inc. — Class A | 18,374 | 1,865,512 | |||||||||
15,977,491 | |||||||||||
Office Electronics (0.1%) | |||||||||||
Xerox Corp. | 50,109 | 398,868 | |||||||||
Semiconductors & Semiconductor Equipment (2.3%) | |||||||||||
Advanced Micro Devices, Inc. (b) | 21,149 | 114,205 | |||||||||
Altera Corp. | 11,591 | 430,026 | |||||||||
Analog Devices, Inc. | 10,734 | 384,063 | |||||||||
Applied Materials, Inc. | 47,168 | 505,169 | |||||||||
Broadcom Corp. — Class A (b) | 17,525 | 514,534 | |||||||||
First Solar, Inc. (b) | 2,032 | 68,600 | |||||||||
Intel Corp. | 183,957 | 4,460,957 | |||||||||
KLA-Tencor Corp. | 6,027 | 290,803 | |||||||||
Linear Technology Corp. | 8,210 | 246,546 | |||||||||
LSI Corp. (b) | 20,357 | 121,124 | |||||||||
Microchip Technology, Inc. | 6,901 | 252,784 | |||||||||
Micron Technology, Inc. (b) | 35,677 | 224,408 | |||||||||
Novellus Systems, Inc. (b) | 2,405 | 99,302 | |||||||||
NVIDIA Corp. (b) | 22,060 | 305,752 | |||||||||
Teradyne, Inc. (b) | 6,567 | 89,508 | |||||||||
Texas Instruments, Inc. | 41,280 | 1,201,661 | |||||||||
Xilinx, Inc. | 9,445 | 302,807 | |||||||||
9,612,249 | |||||||||||
Software (3.4%) | |||||||||||
Adobe Systems, Inc. (b) | 17,734 | 501,340 | |||||||||
Autodesk, Inc. (b) | 8,193 | 248,494 | |||||||||
BMC Software, Inc. (b) | 6,148 | 201,531 | |||||||||
CA, Inc. | 13,368 | 270,234 | |||||||||
Citrix Systems, Inc. (b) | 6,738 | 409,131 | |||||||||
Compuware Corp. (b) | 7,864 | 65,429 | |||||||||
Electronic Arts, Inc. (b) | 11,931 | 245,779 | |||||||||
Intuit, Inc. | 10,739 | 564,764 | |||||||||
Microsoft Corp. | 270,438 | 7,020,571 | |||||||||
Oracle Corp. | 142,151 | 3,646,173 | |||||||||
Red Hat, Inc. (b) | 6,943 | 286,676 | |||||||||
Salesforce.com, Inc. (b) | 4,915 | 498,676 | |||||||||
Symantec Corp. (b) | 26,631 | 416,775 | |||||||||
14,375,573 | |||||||||||
Materials (3.4%) | |||||||||||
Chemicals (2.2%) | |||||||||||
Air Products & Chemicals, Inc. | 7,604 | 647,785 | |||||||||
Airgas, Inc. | 2,449 | 191,218 | |||||||||
CF Industries Holdings, Inc. | 2,363 | 342,588 | |||||||||
Eastman Chemical Co. | 4,970 | 194,128 | |||||||||
Ecolab, Inc. | 10,866 | 628,163 | |||||||||
EI du Pont de Nemours & Co. | 33,378 | 1,528,045 | |||||||||
FMC Corp. | 2,510 | 215,960 | |||||||||
International Flavors & Fragrances, Inc. | 2,877 | 150,812 | |||||||||
Monsanto Co. | 19,394 | 1,358,938 | |||||||||
PPG Industries, Inc. | 5,579 | 465,791 |
Shares | Value(a) | ||||||||||
Praxair, Inc. | 10,830 | $ | 1,157,727 | ||||||||
Sigma-Aldrich Corp. | 4,397 | 274,637 | |||||||||
The Dow Chemical Co. | 42,695 | 1,227,908 | |||||||||
The Mosaic Co. | 10,785 | 543,887 | |||||||||
The Sherwin-Williams Co. | 3,111 | 277,719 | |||||||||
9,205,306 | |||||||||||
Construction Materials (0.0%) | |||||||||||
Vulcan Materials Co. | 4,667 | 183,646 | |||||||||
Containers & Packaging (0.1%) | |||||||||||
Ball Corp. | 5,831 | 208,225 | |||||||||
Bemis Co., Inc. | 3,643 | 109,582 | |||||||||
Owens-Illinois, Inc. (b) | 5,884 | 114,032 | |||||||||
Sealed Air Corp. | 5,744 | 98,854 | |||||||||
530,693 | |||||||||||
Metals & Mining (0.9%) | |||||||||||
Alcoa, Inc. | 38,449 | 332,584 | |||||||||
Allegheny Technologies, Inc. | 3,848 | 183,934 | |||||||||
Cliffs Natural Resources, Inc. | 5,167 | 322,163 | |||||||||
Freeport-McMoRan Copper & Gold, Inc. | 34,245 | 1,259,874 | |||||||||
Newmont Mining Corp. | 17,916 | 1,075,139 | |||||||||
Nucor Corp. | 11,433 | 452,404 | |||||||||
Titanium Metals Corp. | 2,931 | 43,906 | |||||||||
United States Steel Corp. | 5,146 | 136,163 | |||||||||
3,806,167 | |||||||||||
Paper & Forest Products (0.2%) | |||||||||||
International Paper Co. | 15,752 | 466,259 | |||||||||
MeadWestvaco Corp. | 6,085 | 182,246 | |||||||||
648,505 | |||||||||||
Telecommunication Services (3.1%) | |||||||||||
Diversified Telecommunication Services (2.8%) | |||||||||||
AT&T, Inc. | 214,087 | 6,473,991 | |||||||||
CenturyLink, Inc. | 22,255 | 827,886 | |||||||||
Frontier Communications Corp. | 35,950 | 185,143 | |||||||||
Verizon Communications, Inc. | 102,278 | 4,103,393 | |||||||||
Windstream Corp. | 20,955 | 246,012 | |||||||||
11,836,425 | |||||||||||
Wireless Telecommunication Services (0.3%) | |||||||||||
American Tower Corp. — Class A | 14,199 | 852,082 | |||||||||
MetroPCS Communications, Inc. (b) | 10,533 | 91,426 | |||||||||
Sprint Nextel Corp. (b) | 108,229 | 253,256 | |||||||||
1,196,764 | |||||||||||
Utilities (3.8%) | |||||||||||
Electric Utilities (2.1%) | |||||||||||
American Electric Power Co., Inc. | 17,381 | 718,009 | |||||||||
Duke Energy Corp. | 48,147 | 1,059,234 | |||||||||
Edison International | 11,789 | 488,065 | |||||||||
Entergy Corp. | 6,394 | 467,082 | |||||||||
Exelon Corp. | 23,934 | 1,038,018 | |||||||||
FirstEnergy Corp. | 15,061 | 667,202 |
See accompanying notes to financial statements.
37
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
NextEra Energy, Inc. | 15,298 | $ | 931,342 | ||||||||
Northeast Utilities | 6,351 | 229,081 | |||||||||
Pepco Holdings, Inc. | 8,138 | 165,201 | |||||||||
Pinnacle West Capital Corp. | 3,923 | 189,010 | |||||||||
PPL Corp. | 20,802 | 611,995 | |||||||||
Progress Energy, Inc. | 10,648 | 596,501 | |||||||||
Southern Co. | 31,105 | 1,439,850 | |||||||||
8,600,590 | |||||||||||
Gas Utilities (0.1%) | |||||||||||
AGL Resources, Inc. | 4,177 | 176,520 | |||||||||
Oneok, Inc. | 3,755 | 325,521 | |||||||||
502,041 | |||||||||||
Independent Power Producers & Energy Traders (0.2%) | |||||||||||
Constellation Energy Group, Inc. | 7,224 | 286,576 | |||||||||
NRG Energy, Inc. (b) | 8,307 | 150,523 | |||||||||
The AES Corp. (b) | 23,292 | 275,777 | |||||||||
712,876 | |||||||||||
Multi-Utilities (1.4%) | |||||||||||
Ameren Corp. | 8,700 | 288,231 | |||||||||
CenterPoint Energy, Inc. | 15,324 | 307,859 | |||||||||
CMS Energy Corp. | 9,008 | 198,897 | |||||||||
Consolidated Edison, Inc. | 10,577 | 656,091 | |||||||||
Dominion Resources, Inc. | 20,544 | 1,090,475 | |||||||||
DTE Energy Co. | 6,080 | 331,056 | |||||||||
Integrys Energy Group, Inc. | 2,806 | 152,029 | |||||||||
NiSource, Inc. | 10,102 | 240,529 | |||||||||
PG&E Corp. | 14,663 | 604,409 | |||||||||
Public Service Enterprise Group, Inc. | 18,248 | 602,366 | |||||||||
SCANA Corp. | 4,156 | 187,269 | |||||||||
Sempra Energy | 8,638 | 475,090 | |||||||||
TECO Energy, Inc. | 7,743 | 148,201 | |||||||||
Wisconsin Energy Corp. | 8,329 | 291,182 | |||||||||
Xcel Energy, Inc. | 17,468 | 482,816 | |||||||||
6,056,500 | |||||||||||
Total common stocks (cost: $194,875,681) | 411,282,247 | ||||||||||
Preferred Stocks (0.0%) | |||||||||||
Consumer Discretionary (0.0%) | |||||||||||
Specialty Retail (0.0%) | |||||||||||
Orchard Supply Hardware Stores Corp. Series A (b) (d) | 63 | 230 | |||||||||
Total preferred stocks (cost: $391) | 230 |
Shares | Value(a) | ||||||||||
Short-Term Securities (1.8%) | |||||||||||
Investment Companies (1.8%) | |||||||||||
JPMorgan U.S. Government Money Market Fund, current rate 0.010% | 1,400,000 | $ | 1,400,000 | ||||||||
Wells Fargo Advantage Treasury Plus Money Market Fund, current rate 0.010% | 6,337,380 | 6,337,380 | |||||||||
Total short-term securities (cost: $7,737,380) | 7,737,380 | ||||||||||
Total investments in securities (cost: $202,613,452) (f) | 419,019,857 | ||||||||||
Cash and other assets in excess of liabilities (0.1%) | 381,267 | ||||||||||
Total net assets (100.0%) | $ | 419,401,124 |
Investments in Securities Legend
(a) Securities are valued by procedures described in Note 2 of the Notes to Financial Statements.
(b) Non-income producing security.
(c) Fully or partially pledged as initial margin deposits on open futures contracts.
Holdings of Open Futures Contracts
On December 31, 2011, securities with an aggregate market value of $13,987,525 have been segregated to cover margin requirements for the following open futures contracts:
Type | Expiration | Number of Contracts | Position Type | Unrealized Appreciation | |||||||||||||||
S&P 500® E-Mini Future | March 2012 | 118 | Long | $ | 321,120 | ||||||||||||||
118 | $ | 321,120 |
(d) These securities are being fair-valued according to procedures approved by the Board of Directors.
(e) The Portfolio held 1.0% of net assets in foreign securities at December 31, 2011.
(f) At December 31, 2011 the cost of securities for federal income tax purposes was $206,548,134. The aggregate unrealized appreciation and depreciation of investments in securities based on this cost were:
Gross unrealized appreciation | $ | 232,144,543 | |||||
Gross unrealized depreciation | (19,672,820 | ) | |||||
Net unrealized appreciation | $ | 212,471,723 |
See accompanying notes to financial statements.
38
Advantus Series Fund, Inc.
Investments in Securities – continued
Principal(b) | Value(a) | ||||||||||
International Bond Portfolio | |||||||||||
Long-Term Debt Securities (84.0%) | |||||||||||
Argentina (0.7%) | |||||||||||
Government (0.7%) | |||||||||||
Argentina Bonos (USD) 0.439% , 08/03/12 (c) | 6,030,000 | $ | 733,055 | ||||||||
Australia (10.1%) | |||||||||||
Government (10.1%) | |||||||||||
Australia Government Bond (AUD) 5.750% , 04/15/12 | 2,500,000 | 2,575,867 | |||||||||
New South Wales Treasury Corp. (AUD) | |||||||||||
5.500%, 08/01/13 | 290,000 | 304,768 | |||||||||
5.500%, 03/01/17 | 1,440,000 | 1,566,683 | |||||||||
6.000%, 05/01/12 | 925,000 | 953,896 | |||||||||
Queensland Treasury Corp. (AUD) | |||||||||||
6.000%, 08/14/13 | 1,325,000 | 1,404,753 | |||||||||
6.000%, 08/21/13 | 595,000 | 627,318 | |||||||||
6.000%, 09/14/17 | 585,000 | 649,047 | |||||||||
Western Australia Treasury Corp. (AUD) | |||||||||||
5.500%, 07/17/12 | 2,695,000 | 2,783,858 | |||||||||
8.000%, 06/15/13 | 350,000 | 379,743 | |||||||||
11,245,933 | |||||||||||
Brazil (6.2%) | |||||||||||
Government (6.2%) | |||||||||||
Brazil Notas do Tesouro Nacional Serie B (BRL) | |||||||||||
6.000%, 05/15/15 | 2,125,000 | 2,466,702 | |||||||||
6.000%, 05/15/45 | 2,000,000 | 2,423,764 | |||||||||
Brazil Notas do Tesouro Nacional Serie F (BRL) | |||||||||||
10.000%, 01/01/12 | 495,000 | 265,380 | |||||||||
10.000%, 01/01/17 | 3,300,000 | 1,700,413 | |||||||||
6,856,259 | |||||||||||
Great Britain (1.8%) | |||||||||||
Government (1.8%) | |||||||||||
United Kingdom Gilt (GBP) 5.250% , 06/07/12 | 1,254,000 | 1,990,041 | |||||||||
Hungary (3.1%) | |||||||||||
Government (3.1%) | |||||||||||
Hungary Government Bond (HUF) | |||||||||||
5.500%, 02/12/14 | 29,800,000 | 114,389 | |||||||||
5.500%, 02/12/16 | 21,500,000 | 77,170 | |||||||||
6.500%, 06/24/19 | 19,100,000 | 64,593 | |||||||||
6.750%, 02/12/13 | 15,200,000 | 61,460 | |||||||||
6.750%, 08/22/14 | 85,600,000 | 333,336 | |||||||||
6.750%, 02/24/17 | 19,200,000 | 70,588 | |||||||||
6.750%, 11/24/17 | 70,000,000 | 249,777 | |||||||||
7.000%, 06/24/22 | 12,300,000 | 41,779 | |||||||||
7.500%, 10/24/13 | 12,300,000 | 49,677 | |||||||||
7.500%, 11/12/20 | 1,400,000 | 4,973 | |||||||||
8.000%, 02/12/15 | 13,800,000 | 54,799 | |||||||||
Hungary Government International Bond (EUR) | |||||||||||
3.500%, 07/18/16 | 30,000 | 31,456 |
Principal(b) | Value(a) | ||||||||||
3.875%, 02/24/20 | 150,000 | $ | 138,343 | ||||||||
4.375%, 07/04/17 | 175,000 | 182,150 | |||||||||
5.750%, 06/11/18 | 530,000 | 576,492 | |||||||||
6.250%, 01/29/20 | 735,000 | 661,500 | |||||||||
6.375%, 03/29/21 | 810,000 | 724,950 | |||||||||
3,437,432 | |||||||||||
Indonesia (7.6%) | |||||||||||
Government (7.6%) | |||||||||||
Indonesia Treasury Bond (IDR) | |||||||||||
9.500%, 07/15/23 | 18,680,000,000 | 2,556,483 | |||||||||
10.000%, 09/15/24 | 1,959,000,000 | 279,095 | |||||||||
10.250%, 07/15/22 | 2,155,000,000 | 308,053 | |||||||||
10.250%, 07/15/27 | 17,010,000,000 | 2,443,793 | |||||||||
11.000%, 11/15/20 | 6,128,000,000 | 901,229 | |||||||||
12.800%, 06/15/21 | 8,576,000,000 | 1,393,670 | |||||||||
12.900%, 06/15/22 | 3,361,000,000 | 554,702 | |||||||||
8,437,025 | |||||||||||
Ireland (1.4%) | |||||||||||
Government (1.4%) | |||||||||||
Ireland Government Bond (EUR) | |||||||||||
4.000%, 01/15/14 | 199,000 | 239,270 | |||||||||
4.400%, 06/18/19 | 121,000 | 123,801 | |||||||||
4.500%, 10/18/18 | 98,000 | 100,564 | |||||||||
4.500%, 04/18/20 | 149,000 | 148,088 | |||||||||
4.600%, 04/18/16 | 118,000 | 136,120 | |||||||||
5.000%, 10/18/20 | 257,000 | 270,146 | |||||||||
5.400%, 03/13/25 | 298,000 | 304,554 | |||||||||
5.900%, 10/18/19 | 243,000 | 269,710 | |||||||||
1,592,253 | |||||||||||
Israel (1.1%) | |||||||||||
Government (1.1%) | |||||||||||
Israel Government Bond — Fixed (ILS) 3.500% , 09/30/13 | 2,776,000 | 735,403 | |||||||||
Israel Government Bond — Shahar (ILS) 5.000%, 03/31/13 | 1,836,000 | 493,597 | |||||||||
1,229,000 | |||||||||||
Lithuania (2.0%) | |||||||||||
Government (2.0%) | |||||||||||
Lithuania Government International Bond (USD) 6.125% , 03/09/21 (f) | 100,000 | 99,500 | |||||||||
Republic of Lithuania (USD) | |||||||||||
6.750%, 01/15/15 (f) | 1,130,000 | 1,178,025 | |||||||||
7.375%, 02/11/20 (f) | 900,000 | 972,000 | |||||||||
2,249,525 | |||||||||||
Malaysia (1.6%) | |||||||||||
Government (1.6%) | |||||||||||
Malaysia Government Bond (MYR) | |||||||||||
2.509%, 08/27/12 | 3,135,000 | 986,284 | |||||||||
2.711%, 02/14/12 | 90,000 | 28,382 | |||||||||
3.718%, 06/15/12 | 2,347,000 | 742,887 | |||||||||
1,757,553 |
See accompanying notes to financial statements.
39
Advantus Series Fund, Inc.
Investments in Securities – continued
Principal(b) | Value(a) | ||||||||||
Mexico (6.2%) | |||||||||||
Government (6.2%) | |||||||||||
Mexican Bonos (MXN) | |||||||||||
7.750%, 12/14/17 | 5,000,000 | $ | 392,612 | ||||||||
8.000%, 12/19/13 | 39,430,000 | 2,987,236 | |||||||||
8.000%, 12/17/15 | 26,500,000 | 2,073,287 | |||||||||
9.000%, 12/20/12 | 2,400,000 | 178,911 | |||||||||
9.000%, 06/20/13 | 17,600,000 | 1,335,145 | |||||||||
6,967,191 | |||||||||||
Philippines (0.2%) | |||||||||||
Government (0.2%) | |||||||||||
Philippine Government Bond (PHP) | |||||||||||
5.250%, 09/24/12 | 40,000 | 935 | |||||||||
5.250%, 01/07/13 | 440,000 | 10,370 | |||||||||
5.750%, 02/21/12 | 4,080,000 | 93,529 | |||||||||
8.750%, 03/03/13 | 3,150,000 | 77,412 | |||||||||
182,246 | |||||||||||
Poland (8.6%) | |||||||||||
Government (8.6%) | |||||||||||
Poland Government Bond (PLN) | |||||||||||
4.413%, 01/25/12 (e) | 560,000 | 162,670 | |||||||||
4.542%, 07/25/12 (e) | 580,000 | 164,797 | |||||||||
4.575%, 07/25/13 (e) | 3,082,000 | 834,863 | |||||||||
4.622%, 10/25/12 (e) | 1,630,000 | 457,800 | |||||||||
4.750%, 04/25/12 | 6,783,000 | 1,976,955 | |||||||||
4.815%, 01/25/13 (e) | 3,700,000 | 1,027,530 | |||||||||
5.000%, 10/24/13 | 1,080,000 | 315,630 | |||||||||
5.250%, 04/25/13 | 555,000 | 162,753 | |||||||||
5.750%, 04/25/14 | 1,740,000 | 515,861 | |||||||||
5.750%, 09/23/22 | 5,900,000 | 1,699,410 | |||||||||
6.250%, 10/24/15 | 1,440,000 | 435,278 | |||||||||
Poland Government International Bond (USD) 6.375% , 07/15/19 | 1,700,000 | 1,882,750 | |||||||||
9,636,297 | |||||||||||
Qatar (0.7%) | |||||||||||
Government (0.7%) | |||||||||||
Qatar Government International Bond (USD) 6.550% , 04/09/19 (f) | 670,000 | 790,600 | |||||||||
Russia (3.1%) | |||||||||||
Government (3.1%) | |||||||||||
Russian Foreign Bond (USD) 7.500% , 03/31/30 (f) (g) | 2,972,600 | 3,451,932 | |||||||||
South Africa (2.2%) | |||||||||||
Government (2.2%) | |||||||||||
South Africa Government International Bond (USD) | |||||||||||
5.500%, 03/09/20 | 560,000 | 627,200 | |||||||||
6.875%, 05/27/19 | 1,475,000 | 1,777,375 | |||||||||
2,404,575 | |||||||||||
South Korea (15.6%) | |||||||||||
Government (15.6%) | |||||||||||
Korea Treasury Bond (KRW) | |||||||||||
3.000%, 12/10/13 | 8,741,920,000 | 7,541,727 | |||||||||
3.750%, 06/10/13 | 2,111,060,000 | 1,841,599 |
Principal(b) | Value(a) | ||||||||||
4.000%, 06/10/12 | 2,640,800,000 | $ | 2,298,514 | ||||||||
4.250%, 12/10/12 | 125,000,000 | 109,346 | |||||||||
5.250%, 09/10/12 | 4,180,000,000 | 3,673,665 | |||||||||
5.250%, 03/10/13 | 272,670,000 | 241,719 | |||||||||
Republic of Korea (USD) 7.125% , 04/16/19 | 1,360,000 | 1,696,951 | |||||||||
17,403,521 | |||||||||||
Sri Lanka (1.7%) | |||||||||||
Government (1.7%) | |||||||||||
Sri Lanka Government Bonds (LKR) | |||||||||||
6.500%, 07/15/15 (d) | 4,310,000 | 34,015 | |||||||||
7.000%, 03/01/14 (d) | 140,000 | 1,162 | |||||||||
11.000%, 08/01/15 (d) | 82,800,000 | 749,344 | |||||||||
11.000%, 09/01/15 (d) | 120,750,000 | 1,089,718 | |||||||||
1,874,239 | |||||||||||
Supra-National (0.4%) | |||||||||||
Government (0.4%) | |||||||||||
Corp. Andina de Fomento (USD) 8.125%, 06/04/19 | 340,000 | 417,623 | |||||||||
Sweden (4.2%) | |||||||||||
Government (4.2%) | |||||||||||
Kommuninvest I Sverige (SEK) 1.750%, 10/08/12 | 700,000 | 102,032 | |||||||||
Sweden Government Bond (SEK) | |||||||||||
1.500%, 08/30/13 | 13,790,000 | 2,013,389 | |||||||||
5.500%, 10/08/12 | 17,115,000 | 2,580,245 | |||||||||
4,695,666 | |||||||||||
Ukraine (0.9%) | |||||||||||
Government (0.9%) | |||||||||||
Financing of Infrastructural Projects State Enterprise (USD) 7.400% , 04/20/18 (f) | 200,000 | 155,500 | |||||||||
Ukraine Government International Bond (EUR) | |||||||||||
4.950%, 10/13/15 (f) | 100,000 | 106,448 | |||||||||
6.250%, 06/17/16 (f) | 200,000 | 175,500 | |||||||||
7.650%, 06/11/13 (f) | 100,000 | 96,000 | |||||||||
7.750%, 09/23/20 (f) | 100,000 | 86,500 | |||||||||
7.950%, 02/23/21 (f) | 410,000 | 359,775 | |||||||||
979,723 | |||||||||||
United Arab Emirates (0.8%) | |||||||||||
Government (0.8%) | |||||||||||
Emirate of Abu Dhabi (USD) 6.750% , 04/08/19 (f) | 760,000 | 931,000 | |||||||||
United States (2.3%) | |||||||||||
Government (2.3%) | |||||||||||
Alabama State University (USD) 5.000% , 09/01/29 | 15,000 | 16,352 | |||||||||
City of Philadelphia (USD) 5.000% , 08/01/24 | 50,000 | 53,574 | |||||||||
County of Bexar (USD) 5.250% , 08/15/47 | 50,000 | 54,629 | |||||||||
Illinois Municipal Electric Agency (USD) 5.000%, 02/01/35 | 75,000 | 77,506 |
See accompanying notes to financial statements.
40
Advantus Series Fund, Inc.
Investments in Securities – continued
Principal(b) | Value(a) | ||||||||||
State of California (USD) | |||||||||||
5.000%, 04/01/38 | 50,000 | $ | 51,016 | ||||||||
5.125%, 04/01/33 | 160,000 | 166,968 | |||||||||
6.000%, 04/01/38 | 1,500,000 | 1,692,870 | |||||||||
7.625%, 03/01/40 | 275,000 | 338,346 | |||||||||
Tarrant County Cultural Education Facilities Finance Corp. (USD) 6.250%, 07/01/28 | 120,000 | 137,184 | |||||||||
2,588,445 | |||||||||||
Venezuela (0.7%) | |||||||||||
Government (0.7%) | |||||||||||
Venezuela Government International Bond (USD) 10.750% , 09/19/13 | 780,000 | 787,800 | |||||||||
Vietnam (0.8%) | |||||||||||
Government (0.8%) | |||||||||||
Socialist Republic of Vietnam (USD) 6.750% , 01/29/20 (f) | 880,000 | 886,600 | |||||||||
Total long-term debt securities (cost: $90,270,280) | 93,525,534 | ||||||||||
Short-Term Securities (11.4%) | |||||||||||
Egypt (0.3%) | |||||||||||
Egypt Treasury Bills (EGP) | |||||||||||
10.405%, 01/17/12 (e) | 925,000 | 152,384 | |||||||||
10.605%, 01/17/12 (e) | 1,450,000 | 238,871 | |||||||||
391,255 | |||||||||||
Great Britain (1.3%) | |||||||||||
United Kingdom Gilt (GBP) 5.000% , 03/07/12 | 962,000 | 1,507,286 | |||||||||
Hungary (0.1%) | |||||||||||
Hungary Treasury Bills (HUF) 5.769% , 08/22/12 (e) | 24,900,000 | 96,961 | |||||||||
Israel (1.1%) | |||||||||||
Israel Government Bond — Makam (ILS) 4.000%, 03/30/12 | 1,200,000 | 324,279 | |||||||||
Israel Treasury Bill — Makam (ILS) | |||||||||||
3.139%, 04/04/12 (e) | 1,420,000 | 368,949 | |||||||||
3.228%, 05/02/12 (e) | 1,270,000 | 329,278 | |||||||||
3.284%, 02/01/12 (e) | 180,000 | 46,966 | |||||||||
3.297%, 02/29/12 (e) | 100,000 | 26,040 | |||||||||
3.398%, 05/02/12 (e) | 350,000 | 90,746 | |||||||||
1,186,258 |
Shares/ Principal(b) | Value(a) | ||||||||||
Malaysia (1.7%) | |||||||||||
Bank Negara Malaysia Monetary Notes (MYR) | |||||||||||
2.700%, 01/31/12 (e) | 510,000 | $ | 160,536 | ||||||||
2.750%, 02/09/12 (e) | 2,630,000 | 827,309 | |||||||||
2.750%, 02/21/12 (e) | 530,000 | 166,554 | |||||||||
2.780%, 03/29/12 (e) | 360,000 | 112,775 | |||||||||
2.800%, 06/14/12 (d) (e) | 140,000 | 43,579 | |||||||||
2.800%, 03/01/12 (e) | 265,000 | 83,208 | |||||||||
2.801%, 03/29/12 (e) | 175,000 | 54,821 | |||||||||
2.801%, 04/26/12 (d) (e) | 115,000 | 35,936 | |||||||||
2.870%, 04/12/12 (d) (e) | 990,000 | 309,714 | |||||||||
Malaysia Treasury Bill (MYR) | |||||||||||
2.750%, 02/24/12 (e) | 160,000 | 50,268 | |||||||||
2.800%, 03/23/12 (e) | 50,000 | 15,671 | |||||||||
1,860,371 | |||||||||||
Norway (2.8%) | |||||||||||
Norway Treasury Bill (NOK) 2.544%, 03/12/12 (e) | 18,380,000 | 3,071,284 | |||||||||
Philippines (0.0%) | |||||||||||
Philippine Treasury Bills (PHP) | |||||||||||
1.213%, 08/22/12 (d) (e) | 650,000 | 14,649 | |||||||||
2.499%, 02/22/12 (e) | 320,000 | 7,280 | |||||||||
2.619%, 02/08/12 (e) | 940,000 | 21,399 | |||||||||
43,328 | |||||||||||
Sri Lanka (0.0%) | |||||||||||
Sri Lanka Treasury Bills (LKR) | |||||||||||
7.270%, 07/06/12 (d) (e) | 140,000 | 1,177 | |||||||||
7.320%, 09/28/12 (d) (e) | 300,000 | 2,469 | |||||||||
3,646 | |||||||||||
United States (0.1%) | |||||||||||
Federal Home Loan Bank (USD) 0.001% , 01/03/12 (e) | 145,000 | 145,000 | |||||||||
Investment Company (4.0%) | |||||||||||
United States (4.0%) | |||||||||||
Dreyfus Treasury Cash Management Fund, current rate 0.010% | 4,413,806 | 4,413,806 | |||||||||
Total short-term securities (cost: $13,393,391) | 12,719,195 | ||||||||||
Total investments in securities (cost: $103,663,671) (h) | 106,244,729 | ||||||||||
Cash and other assets in excess of liabilities (4.6%) | 5,136,645 | ||||||||||
Total net assets (100.0%) | $ | 111,381,374 |
See accompanying notes to financial statements.
41
Advantus Series Fund, Inc.
Investments in Securities – continued
Forward Foreign Currency Contracts
On December 31, 2011, International Bond Portfolio had entered into forward foreign currency contracts that obligate the portfolio to deliver currencies at specified future dates. Unrealized appreciation and depreciation on these contracts is included in the accompanying financial statements. The terms of the open contracts were as follows:
Exchange Date | Currency to be delivered – SELL | Currency to be received – BUY | Unrealized Gain (Loss) | Counterparty | |||||||||||||||||||||||
01/04/12 | 44,347,000 | JPY | 572,293 | USD | $ | (4,091 | ) | DBK | |||||||||||||||||||
01/05/12 | 3,466,248 | EUR | 31,461,400 | SEK | 89,391 | DBK | |||||||||||||||||||||
01/09/12 | 2,105,272 | USD | 7,507,400 | ILS | (142,121 | ) | DBK | ||||||||||||||||||||
01/10/12 | 329,362 | USD | 1,023,987 | MYR | (6,464 | ) | HSB | ||||||||||||||||||||
01/10/12 | 9,950,000 | JPY | 120,333 | USD | (8,999 | ) | UBS | ||||||||||||||||||||
01/10/12 | 9,980,000 | JPY | 120,753 | USD | (8,969 | ) | CIT | ||||||||||||||||||||
01/10/12 | 19,970,000 | JPY | 241,475 | USD | (18,099 | ) | BCB | ||||||||||||||||||||
01/11/12 | 482,000 | EUR | 624,619 | USD | (1,112 | ) | DBK | ||||||||||||||||||||
01/11/12 | 2,481,000 | EUR | 3,211,468 | USD | (9,358 | ) | UBS | ||||||||||||||||||||
01/12/12 | 10,020,000 | JPY | 121,189 | USD | (9,058 | ) | DBK | ||||||||||||||||||||
01/12/12 | 10,030,000 | JPY | 121,554 | USD | (8,823 | ) | HSB | ||||||||||||||||||||
01/13/12 | 491,425 | USD | 21,635,000 | PHP | 1,752 | JPS | |||||||||||||||||||||
01/13/12 | 201,005 | USD | 102,000,000 | CLP | (4,879 | ) | MSC | ||||||||||||||||||||
01/13/12 | 141,863 | EUR | 183,464 | USD | (704 | ) | JPS | ||||||||||||||||||||
01/13/12 | 20,250,000 | JPY | 245,264 | USD | (17,962 | ) | UBS | ||||||||||||||||||||
01/13/12 | 204,914 | EUR | 264,855 | USD | (1,166 | ) | CIT | ||||||||||||||||||||
01/13/12 | 252,202 | EUR | 326,097 | USD | (1,314 | ) | BCB | ||||||||||||||||||||
01/13/12 | 25,460,000 | JPY | 308,232 | USD | (22,718 | ) | BCB | ||||||||||||||||||||
01/13/12 | 25,660,000 | JPY | 310,891 | USD | (22,660 | ) | HSB | ||||||||||||||||||||
01/13/12 | 472,878 | EUR | 611,526 | USD | (2,369 | ) | UBS | ||||||||||||||||||||
01/17/12 | 78,894 | USD | 3,470,000 | PHP | 195 | HSB | |||||||||||||||||||||
01/18/12 | 151,083 | USD | 6,730,000 | PHP | 2,303 | HSB | |||||||||||||||||||||
01/18/12 | 86,141 | USD | 3,838,000 | PHP | 1,333 | DBK | |||||||||||||||||||||
01/18/12 | 459,600 | EUR | 609,340 | USD | 12,667 | DBK | |||||||||||||||||||||
01/19/12 | 213,071 | USD | 9,585,000 | PHP | 5,377 | JPS | |||||||||||||||||||||
01/19/12 | 54,087 | USD | 2,402,000 | PHP | 656 | DBK | |||||||||||||||||||||
01/19/12 | 204,914 | EUR | 273,089 | USD | 7,059 | BCB | |||||||||||||||||||||
01/24/12 | 76,072 | USD | 48,012 | GBP | (1,469 | ) | BCB | ||||||||||||||||||||
01/24/12 | 75,785 | USD | 47,877 | GBP | (1,393 | ) | DBK | ||||||||||||||||||||
01/24/12 | 50,523 | USD | 31,971 | GBP | (845 | ) | CIT | ||||||||||||||||||||
01/25/12 | 362,540 | EUR | 488,592 | USD | 17,909 | UBS | |||||||||||||||||||||
01/26/12 | 196,669 | USD | 8,856,000 | PHP | 5,116 | HSB | |||||||||||||||||||||
01/26/12 | 39,944 | USD | 25,104 | GBP | (938 | ) | DBK | ||||||||||||||||||||
01/26/12 | 15,050,000 | JPY | 183,094 | USD | (12,580 | ) | DBK | ||||||||||||||||||||
01/26/12 | 35,153,538 | JPY | 428,346 | USD | (28,707 | ) | DBK | ||||||||||||||||||||
01/26/12 | 52,800,000 | JPY | 642,297 | USD | (44,189 | ) | UBS | ||||||||||||||||||||
01/26/12 | 60,350,000 | JPY | 733,649 | USD | (50,999 | ) | BCB | ||||||||||||||||||||
01/27/12 | 338,618 | USD | 171,290,000 | CLP | (9,876 | ) | DBK | ||||||||||||||||||||
01/27/12 | 50,039 | USD | 31,815 | GBP | (606 | ) | BCB | ||||||||||||||||||||
01/27/12 | 29,848 | USD | 18,960 | GBP | (388 | ) | MSC | ||||||||||||||||||||
01/27/12 | 10,052 | USD | 6,318 | GBP | (235 | ) | JPS | ||||||||||||||||||||
01/27/12 | 310,400 | EUR | 419,701 | USD | 16,708 | CIT | |||||||||||||||||||||
01/27/12 | 64,982,551 | JPY | 792,857 | USD | (52,036 | ) | HSB | ||||||||||||||||||||
01/30/12 | 785,692 | USD | 394,260,000 | CLP | (29,324 | ) | DBK | ||||||||||||||||||||
01/30/12 | 102,811 | USD | 51,930,000 | CLP | (3,186 | ) | JPM | ||||||||||||||||||||
01/30/12 | 19,752 | USD | 12,550 | GBP | (252 | ) | JPM | ||||||||||||||||||||
01/31/12 | 5,424,799 | USD | 6,142,500,000 | KRW | (93,714 | ) | JPS | ||||||||||||||||||||
01/31/12 | 473,738 | USD | 237,840,000 | CLP | (17,514 | ) | DBK | ||||||||||||||||||||
01/31/12 | 148,872 | USD | 6,418,000 | PHP | (2,662 | ) | DBK | ||||||||||||||||||||
01/31/12 | 9,692 | USD | 6,122 | GBP | (180 | ) | MSC | ||||||||||||||||||||
01/31/12 | 300,000 | EUR | 408,000 | USD | 18,501 | DBK | |||||||||||||||||||||
01/31/12 | 6,142,500,000 | KRW | 5,670,174 | USD | 339,090 | JPS | |||||||||||||||||||||
02/01/12 | 37,204 | USD | 23,602 | GBP | (533 | ) | MSC | ||||||||||||||||||||
02/01/12 | 32,425 | USD | 20,499 | GBP | (575 | ) | CIT | ||||||||||||||||||||
02/01/12 | 4,011 | USD | 2,544 | GBP | (58 | ) | BCB | ||||||||||||||||||||
02/01/12 | 302,000 | EUR | 411,230 | USD | 19,133 | UBS | |||||||||||||||||||||
02/03/12 | 195,765 | USD | 8,700,000 | PHP | 2,410 | DBK | |||||||||||||||||||||
02/03/12 | 69,693 | USD | 3,100,000 | PHP | 922 | HSB | |||||||||||||||||||||
02/03/12 | 56,229 | USD | 2,500,000 | PHP | 718 | HSB | |||||||||||||||||||||
02/06/12 | 56,497 | USD | 2,500,000 | PHP | 444 | HSB | |||||||||||||||||||||
02/06/12 | 51,977 | USD | 2,300,000 | PHP | 408 | HSB | |||||||||||||||||||||
02/07/12 | 256,061 | USD | 327,000 | SGD | (3,885 | ) | DBK | ||||||||||||||||||||
02/07/12 | 256,093 | USD | 327,000 | SGD | (3,917 | ) | HSB |
42
Advantus Series Fund, Inc.
Investments in Securities – continued
Exchange Date | Currency to be delivered – SELL | Currency to be received – BUY | Unrealized Gain (Loss) | Counterparty | |||||||||||||||||||||||
02/07/12 | 76,577 | USD | 3,400,000 | PHP | $ | 861 | JPS | ||||||||||||||||||||
02/08/12 | 504,530 | EUR | 3,998,300 | NOK | 14,170 | UBS | |||||||||||||||||||||
02/08/12 | 569,780 | USD | 585,982 | AUD | 28,582 | MSC | |||||||||||||||||||||
02/08/12 | 568,099 | USD | 585,820 | AUD | 30,098 | UBS | |||||||||||||||||||||
02/08/12 | 460,818 | USD | 586,000 | SGD | (8,906 | ) | DBK | ||||||||||||||||||||
02/08/12 | 51,069 | USD | 65,000 | SGD | (942 | ) | DBK | ||||||||||||||||||||
02/08/12 | 341,000 | EUR | 461,867 | USD | 19,115 | UBS | |||||||||||||||||||||
02/08/12 | 454,000 | EUR | 613,313 | USD | 23,843 | CIT | |||||||||||||||||||||
02/09/12 | 1,004,087 | EUR | 7,984,000 | NOK | 32,624 | DBK | |||||||||||||||||||||
02/09/12 | 702,604 | EUR | 5,588,300 | NOK | 23,087 | UBS | |||||||||||||||||||||
02/09/12 | 14,749,800 | JPY | 186,000 | AUD | (1,909 | ) | BCB | ||||||||||||||||||||
02/09/12 | 14,759,100 | JPY | 186,000 | AUD | (2,030 | ) | CIT | ||||||||||||||||||||
02/09/12 | 14,764,308 | JPY | 186,000 | AUD | (2,098 | ) | DBK | ||||||||||||||||||||
02/09/12 | 82,485 | EUR | 328,000 | PLN | (11,887 | ) | DBK | ||||||||||||||||||||
02/09/12 | 70,879 | USD | 90,290 | SGD | (1,249 | ) | BCB | ||||||||||||||||||||
02/09/12 | 52,000 | EUR | 70,036 | USD | 2,519 | DBK | |||||||||||||||||||||
02/09/12 | 158,000 | EUR | 212,478 | USD | 7,331 | HSB | |||||||||||||||||||||
02/09/12 | 211,000 | EUR | 284,428 | USD | 10,465 | BCB | |||||||||||||||||||||
02/10/12 | 105,242 | USD | 51,800,000 | CLP | (6,001 | ) | DBK | ||||||||||||||||||||
02/10/12 | 82,435 | EUR | 328,000 | PLN | (11,834 | ) | BCB | ||||||||||||||||||||
02/10/12 | 14,652,000 | JPY | 179,311 | USD | (11,238 | ) | MSC | ||||||||||||||||||||
02/10/12 | 178,000 | EUR | 241,368 | USD | 10,250 | BCB | |||||||||||||||||||||
02/10/12 | 22,910,000 | JPY | 279,868 | USD | (18,076 | ) | HSB | ||||||||||||||||||||
02/13/12 | 252,461 | USD | 321,500 | SGD | (4,522 | ) | HSB | ||||||||||||||||||||
02/13/12 | 165,299 | USD | 81,360,000 | CLP | (9,475 | ) | DBK | ||||||||||||||||||||
02/13/12 | 104,911 | USD | 51,700,000 | CLP | (5,893 | ) | BCB | ||||||||||||||||||||
02/13/12 | 160,000 | EUR | 217,243 | USD | 9,491 | UBS | |||||||||||||||||||||
02/14/12 | 625,047 | USD | 1,927,206 | MYR | (18,615 | ) | DBK | ||||||||||||||||||||
02/14/12 | 211,056 | USD | 132,458 | GBP | (5,280 | ) | BCB | ||||||||||||||||||||
02/14/12 | 181,787 | USD | 231,500 | SGD | (3,255 | ) | HSB | ||||||||||||||||||||
02/14/12 | 184,737 | USD | 89,810,000 | CLP | (12,748 | ) | MSC | ||||||||||||||||||||
02/14/12 | 104,201 | USD | 51,100,000 | CLP | (6,342 | ) | DBK | ||||||||||||||||||||
02/14/12 | 81,686 | EUR | 328,000 | PLN | (10,904 | ) | DBK | ||||||||||||||||||||
02/15/12 | 6,828,270 | JPY | 83,120 | USD | (5,691 | ) | DBK | ||||||||||||||||||||
02/15/12 | 8,030,000 | JPY | 97,831 | USD | (6,609 | ) | JPS | ||||||||||||||||||||
02/16/12 | 168,812 | USD | 81,300,000 | CLP | (13,153 | ) | MSC | ||||||||||||||||||||
02/16/12 | 168,862 | USD | 81,290,000 | CLP | (13,221 | ) | MSC | ||||||||||||||||||||
02/16/12 | 206,000 | EUR | 275,546 | USD | 8,058 | JPS | |||||||||||||||||||||
02/16/12 | 206,000 | EUR | 275,663 | USD | 8,175 | UBS | |||||||||||||||||||||
02/17/12 | 301,141 | USD | 385,000 | SGD | (4,227 | ) | DBK | ||||||||||||||||||||
02/17/12 | 300,368 | USD | 384,000 | SGD | (4,226 | ) | HSB | ||||||||||||||||||||
02/17/12 | 200,368 | USD | 256,000 | SGD | (2,940 | ) | BCB | ||||||||||||||||||||
02/17/12 | 156,674 | USD | 485,000 | MYR | (4,080 | ) | HSB | ||||||||||||||||||||
02/17/12 | 210,000 | EUR | 281,782 | USD | 9,098 | DBK | |||||||||||||||||||||
02/21/12 | 170,658 | USD | 82,530,000 | CLP | (12,727 | ) | DBK | ||||||||||||||||||||
02/21/12 | 99,153 | USD | 48,300,000 | CLP | (6,725 | ) | JPM | ||||||||||||||||||||
02/21/12 | 210,000 | EUR | 281,150 | USD | 8,456 | UBS | |||||||||||||||||||||
02/22/12 | 170,213 | USD | 82,000,000 | CLP | (13,313 | ) | JPM | ||||||||||||||||||||
02/22/12 | 19,720,000 | JPY | 237,977 | USD | (18,540 | ) | HSB | ||||||||||||||||||||
02/23/12 | 186,947 | USD | 90,490,000 | CLP | (13,821 | ) | DBK | ||||||||||||||||||||
02/23/12 | 19,700,000 | JPY | 237,621 | USD | (18,641 | ) | JPS | ||||||||||||||||||||
02/24/12 | 392,718 | USD | 502,000 | SGD | (5,565 | ) | DBK | ||||||||||||||||||||
02/27/12 | 362,061 | USD | 175,690,000 | CLP | (26,071 | ) | CIT | ||||||||||||||||||||
02/27/12 | 245,471 | USD | 313,000 | SGD | (4,076 | ) | DBK | ||||||||||||||||||||
02/27/12 | 212,604 | USD | 103,150,000 | CLP | (15,339 | ) | MSC | ||||||||||||||||||||
02/27/12 | 204,931 | USD | 100,320,000 | CLP | (13,079 | ) | DBK | ||||||||||||||||||||
02/27/12 | 74,684 | USD | 36,150,000 | CLP | (5,551 | ) | DBK | ||||||||||||||||||||
02/27/12 | 42,000 | EUR | 57,228 | USD | 2,686 | DBK | |||||||||||||||||||||
02/28/12 | 203,020 | USD | 99,500,000 | CLP | (12,756 | ) | MSC | ||||||||||||||||||||
02/28/12 | 60,762 | USD | 29,500,000 | CLP | (4,352 | ) | JPM | ||||||||||||||||||||
02/29/12 | 245,159 | USD | 313,000 | SGD | (3,763 | ) | DBK | ||||||||||||||||||||
02/29/12 | 186,596 | USD | 91,600,000 | CLP | (11,457 | ) | BCB | ||||||||||||||||||||
02/29/12 | 74,684 | USD | 36,150,000 | CLP | (5,565 | ) | DBK | ||||||||||||||||||||
02/29/12 | 24,320 | EUR | 33,233 | USD | 1,651 | DBK | |||||||||||||||||||||
03/01/12 | 191,173 | USD | 93,885,000 | CLP | (11,684 | ) | DBK | ||||||||||||||||||||
03/01/12 | 93,369 | USD | 45,900,000 | CLP | (5,617 | ) | BCB | ||||||||||||||||||||
03/01/12 | 12,300 | EUR | 16,770 | USD | 797 | DBK | |||||||||||||||||||||
03/01/12 | 20,800,000 | JPY | 255,906 | USD | (14,702 | ) | JPS | ||||||||||||||||||||
03/01/12 | 20,800,000 | JPY | 256,000 | USD | (14,607 | ) | HSB | ||||||||||||||||||||
03/01/12 | 23,200,000 | JPY | 285,384 | USD | (16,447 | ) | UBS |
43
Advantus Series Fund, Inc.
Investments in Securities – continued
Exchange Date | Currency to be delivered – SELL | Currency to be received – BUY | Unrealized Gain (Loss) | Counterparty | |||||||||||||||||||||||
03/02/12 | 191,173 | USD | 93,885,000 | CLP | $ | (11,703 | ) | DBK | |||||||||||||||||||
03/05/12 | 208,068 | USD | 102,120,000 | CLP | (12,919 | ) | DBK | ||||||||||||||||||||
03/05/12 | 13,000 | EUR | 17,767 | USD | 884 | DBK | |||||||||||||||||||||
03/07/12 | 206,238 | USD | 101,500,000 | CLP | (12,314 | ) | DBK | ||||||||||||||||||||
03/08/12 | 104,000 | EUR | 143,728 | USD | 8,659 | HSB | |||||||||||||||||||||
03/08/12 | 294,000 | EUR | 406,734 | USD | 24,905 | MSC | |||||||||||||||||||||
03/08/12 | 390,000 | EUR | 539,585 | USD | 33,077 | UBS | |||||||||||||||||||||
03/09/12 | 202,170 | USD | 98,760,000 | CLP | (13,521 | ) | DBK | ||||||||||||||||||||
03/12/12 | 89,671 | USD | 44,100,000 | CLP | (5,459 | ) | MSC | ||||||||||||||||||||
03/15/12 | 206,728 | USD | 101,400,000 | CLP | (13,160 | ) | DBK | ||||||||||||||||||||
03/15/12 | 200,897 | USD | 98,520,000 | CLP | (12,827 | ) | DBK | ||||||||||||||||||||
03/19/12 | 423,935 | USD | 451,000 | AUD | 34,566 | CIT | |||||||||||||||||||||
03/19/12 | 458,988 | USD | 587,000 | SGD | (6,217 | ) | JPS | ||||||||||||||||||||
03/19/12 | 366,783 | USD | 468,000 | SGD | (5,800 | ) | HSB | ||||||||||||||||||||
03/19/12 | 321,165 | USD | 409,700 | SGD | (5,150 | ) | DBK | ||||||||||||||||||||
03/19/12 | 12,600,000 | JPY | 156,787 | USD | (7,204 | ) | MSC | ||||||||||||||||||||
03/19/12 | 17,050,000 | JPY | 212,236 | USD | (9,672 | ) | UBS | ||||||||||||||||||||
03/19/12 | 21,026,000 | JPY | 261,709 | USD | (11,946 | ) | CIT | ||||||||||||||||||||
03/21/12 | 344,099 | USD | 441,100 | SGD | (3,859 | ) | DBK | ||||||||||||||||||||
03/21/12 | 274,903 | USD | 352,000 | SGD | (3,391 | ) | HSB | ||||||||||||||||||||
03/21/12 | 207,081 | USD | 220,891 | AUD | 17,438 | DBK | |||||||||||||||||||||
03/21/12 | 97,742 | USD | 48,700,000 | CLP | (4,835 | ) | JPM | ||||||||||||||||||||
03/22/12 | 13,579 | USD | 14,500 | AUD | 1,158 | DBK | |||||||||||||||||||||
03/23/12 | 13,332,130 | JPY | 165,057 | USD | (8,478 | ) | UBS | ||||||||||||||||||||
03/26/12 | 142,000 | EUR | 198,745 | USD | 14,283 | DBK | |||||||||||||||||||||
03/29/12 | 239,454 | USD | 150,311 | GBP | (6,052 | ) | DBK | ||||||||||||||||||||
03/29/12 | 239,454 | USD | 150,291 | GBP | (6,082 | ) | MSC | ||||||||||||||||||||
03/30/12 | 854,912 | USD | 3,060,244 | ILS | (55,392 | ) | MSC | ||||||||||||||||||||
03/30/12 | 478,908 | USD | 301,496 | GBP | (10,751 | ) | BCB | ||||||||||||||||||||
03/30/12 | 192,987 | USD | 96,320,000 | CLP | (9,409 | ) | DBK | ||||||||||||||||||||
04/02/12 | 287,345 | USD | 180,800 | GBP | (6,611 | ) | CSA | ||||||||||||||||||||
04/02/12 | 204,239 | USD | 102,330,000 | CLP | (9,269 | ) | DBK | ||||||||||||||||||||
04/04/12 | 195,000 | EUR | 273,926 | USD | 20,588 | DBK | |||||||||||||||||||||
04/05/12 | 131,000 | EUR | 183,353 | USD | 13,159 | DBK | |||||||||||||||||||||
04/10/12 | 301,000 | EUR | 422,649 | USD | 31,564 | UBS | |||||||||||||||||||||
04/10/12 | 502,000 | EUR | 707,017 | USD | 54,776 | DBK | |||||||||||||||||||||
04/10/12 | 602,000 | EUR | 845,822 | USD | 63,652 | HSB | |||||||||||||||||||||
04/11/12 | 217,780 | USD | 10,203,000 | INR | (29,029 | ) | DBK | ||||||||||||||||||||
04/12/12 | 244,000 | EUR | 347,840 | USD | 30,805 | UBS | |||||||||||||||||||||
04/13/12 | 468,723 | USD | 21,880,000 | INR | (64,076 | ) | DBK | ||||||||||||||||||||
04/16/12 | 314,017 | USD | 14,696,000 | INR | (42,355 | ) | JPS | ||||||||||||||||||||
04/16/12 | 168,979 | USD | 83,180,000 | CLP | (10,683 | ) | MSC | ||||||||||||||||||||
04/16/12 | 381,000 | EUR | 546,003 | USD | 50,932 | HSB | |||||||||||||||||||||
04/18/12 | 306,415 | USD | 14,426,000 | INR | (39,825 | ) | JPS | ||||||||||||||||||||
04/19/12 | 152,929 | USD | 7,206,000 | INR | (19,784 | ) | JPS | ||||||||||||||||||||
04/19/12 | 131,647 | USD | 402,984 | MYR | (5,081 | ) | JPS | ||||||||||||||||||||
04/19/12 | 107,093 | USD | 5,058,000 | INR | (13,636 | ) | DBK | ||||||||||||||||||||
04/20/12 | 150,566 | USD | 74,530,000 | CLP | (8,777 | ) | MSC | ||||||||||||||||||||
04/20/12 | 12,300,000 | JPY | 149,841 | USD | (10,370 | ) | CIT | ||||||||||||||||||||
04/20/12 | 12,300,000 | JPY | 149,753 | USD | (10,457 | ) | UBS | ||||||||||||||||||||
04/23/12 | 377,685 | USD | 1,155,000 | MYR | (14,953 | ) | JPS | ||||||||||||||||||||
04/23/12 | 341,000 | EUR | 482,123 | USD | 38,981 | DBK | |||||||||||||||||||||
04/26/12 | 217,605 | USD | 10,247,000 | INR | (28,473 | ) | DBK | ||||||||||||||||||||
04/27/12 | 153,828 | USD | 7,253,000 | INR | (19,978 | ) | JPS | ||||||||||||||||||||
04/27/12 | 95,768 | USD | 47,223,000 | CLP | (5,979 | ) | JPM | ||||||||||||||||||||
04/27/12 | 31,007 | USD | 1,462,000 | INR | (4,027 | ) | JPS | ||||||||||||||||||||
04/30/12 | 156,462 | USD | 76,119,000 | CLP | (11,767 | ) | CIT | ||||||||||||||||||||
04/30/12 | 154,140 | USD | 7,260,000 | INR | (20,222 | ) | JPS | ||||||||||||||||||||
05/07/12 | 32,000 | EUR | 47,042 | USD | 5,449 | BCB | |||||||||||||||||||||
05/07/12 | 32,000 | EUR | 47,072 | USD | 5,478 | MSC | |||||||||||||||||||||
05/07/12 | 43,000 | EUR | 63,038 | USD | 7,146 | CSA | |||||||||||||||||||||
05/07/12 | 51,000 | EUR | 74,593 | USD | 8,303 | DBK | |||||||||||||||||||||
05/09/12 | 16,000 | EUR | 22,950 | USD | 2,153 | UBS | |||||||||||||||||||||
05/09/12 | 32,000 | EUR | 46,168 | USD | 4,573 | DBK | |||||||||||||||||||||
05/10/12 | 29,346,000 | JPY | 365,123 | USD | (17,316 | ) | CIT | ||||||||||||||||||||
05/11/12 | 107,099 | USD | 52,000,000 | CLP | (8,340 | ) | MSC | ||||||||||||||||||||
05/11/12 | 19,620,000 | JPY | 244,051 | USD | (11,645 | ) | DBK | ||||||||||||||||||||
05/11/12 | 29,331,000 | JPY | 364,859 | USD | (17,394 | ) | UBS | ||||||||||||||||||||
05/18/12 | 62,000 | EUR | 86,859 | USD | 6,258 | DBK | |||||||||||||||||||||
05/21/12 | 14,000 | EUR | 19,639 | USD | 1,438 | DBK |
44
Advantus Series Fund, Inc.
Investments in Securities – continued
Exchange Date | Currency to be delivered – SELL | Currency to be received – BUY | Unrealized Gain (Loss) | Counterparty | |||||||||||||||||||||||
05/21/12 | 62,000 | EUR | 86,602 | USD | $ | 5,997 | UBS | ||||||||||||||||||||
05/21/12 | 78,000 | EUR | 108,907 | USD | 7,501 | DBK | |||||||||||||||||||||
05/24/12 | 309,114 | EUR | 1,238,000 | PLN | (45,678 | ) | MSC | ||||||||||||||||||||
06/01/12 | 290,947 | USD | 13,884,000 | INR | (36,086 | ) | DBK | ||||||||||||||||||||
06/04/12 | 339,843 | USD | 16,044,000 | INR | (45,466 | ) | HSB | ||||||||||||||||||||
06/06/12 | 22,710 | EUR | 32,500 | USD | 2,968 | DBK | |||||||||||||||||||||
06/07/12 | 215,668 | USD | 10,227,000 | INR | (28,107 | ) | DBK | ||||||||||||||||||||
06/07/12 | 30,600 | EUR | 43,923 | USD | 4,131 | UBS | |||||||||||||||||||||
06/07/12 | 58,800 | EUR | 84,681 | USD | 8,217 | DBK | |||||||||||||||||||||
06/08/12 | 485,847 | EUR | 1,967,000 | PLN | (66,462 | ) | DBK | ||||||||||||||||||||
06/08/12 | 94,899 | EUR | 384,000 | PLN | (13,042 | ) | CIT | ||||||||||||||||||||
06/08/12 | 57,974 | USD | 2,730,000 | INR | (7,914 | ) | HSB | ||||||||||||||||||||
06/11/12 | 58,777 | USD | 2,769,000 | INR | (8,025 | ) | DBK | ||||||||||||||||||||
06/11/12 | 18,000 | EUR | 26,076 | USD | 2,667 | DBK | |||||||||||||||||||||
06/11/12 | 131,500 | EUR | 189,603 | USD | 18,590 | DBK | |||||||||||||||||||||
06/13/12 | 146,285 | USD | 6,890,000 | INR | (20,038 | ) | HSB | ||||||||||||||||||||
06/13/12 | 58,000 | EUR | 83,213 | USD | 7,783 | DBK | |||||||||||||||||||||
06/14/12 | 11,000 | EUR | 15,717 | USD | 1,412 | DBK | |||||||||||||||||||||
06/15/12 | 17,886,000 | JPY | 231,091 | USD | (2,220 | ) | CIT | ||||||||||||||||||||
06/18/12 | 146,791 | USD | 6,930,000 | INR | (19,907 | ) | DBK | ||||||||||||||||||||
06/20/12 | 133,214 | USD | 6,313,000 | INR | (17,662 | ) | DBK | ||||||||||||||||||||
06/22/12 | 120,127 | USD | 5,688,000 | INR | (16,046 | ) | JPS | ||||||||||||||||||||
06/25/12 | 182,661 | USD | 8,607,000 | INR | (25,240 | ) | DBK | ||||||||||||||||||||
06/27/12 | 122,484 | USD | 5,780,000 | INR | (16,800 | ) | HSB | ||||||||||||||||||||
06/29/12 | 696,849 | EUR | 6,480,000 | SEK | 32,761 | UBS | |||||||||||||||||||||
07/11/12 | 122,625 | USD | 5,714,000 | INR | (18,348 | ) | DBK | ||||||||||||||||||||
07/12/12 | 335,210 | USD | 1,023,565 | MYR | (14,146 | ) | DBK | ||||||||||||||||||||
07/12/12 | 198,098 | USD | 9,191,000 | INR | (30,387 | ) | JPS | ||||||||||||||||||||
07/12/12 | 61,970 | USD | 2,887,000 | INR | (9,290 | ) | DBK | ||||||||||||||||||||
07/13/12 | 380,715 | USD | 1,160,000 | MYR | (16,864 | ) | DBK | ||||||||||||||||||||
07/16/12 | 399,419 | EUR | 3,714,920 | SEK | 18,518 | UBS | |||||||||||||||||||||
07/16/12 | 353,510 | EUR | 3,286,787 | SEK | 16,225 | MSC | |||||||||||||||||||||
07/16/12 | 161,000 | EUR | 225,567 | USD | 16,072 | DBK | |||||||||||||||||||||
07/18/12 | 399,420 | EUR | 3,708,930 | SEK | 17,608 | UBS | |||||||||||||||||||||
07/18/12 | 189,484 | EUR | 813,000 | MYR | 8,410 | DBK | |||||||||||||||||||||
07/18/12 | 82,639 | EUR | 769,460 | SEK | 3,946 | MSC | |||||||||||||||||||||
07/18/12 | 76,180 | USD | 232,000 | MYR | (3,419 | ) | DBK | ||||||||||||||||||||
07/18/12 | 253,000 | EUR | 354,881 | USD | 25,661 | DBK | |||||||||||||||||||||
07/19/12 | 26,361 | USD | 1,225,000 | INR | (4,027 | ) | JPS | ||||||||||||||||||||
07/19/12 | 26,361 | USD | 1,225,000 | INR | (4,027 | ) | JPS | ||||||||||||||||||||
07/19/12 | 190,000 | EUR | 266,209 | USD | 18,964 | BCB | |||||||||||||||||||||
07/20/12 | 520,074 | EUR | 4,866,106 | SEK | 28,205 | MSC | |||||||||||||||||||||
07/20/12 | 215,503 | EUR | 918,000 | MYR | 7,459 | DBK | |||||||||||||||||||||
07/20/12 | 119,819 | USD | 366,000 | MYR | (5,037 | ) | DBK | ||||||||||||||||||||
07/20/12 | 139,000 | EUR | 193,884 | USD | 13,002 | DBK | |||||||||||||||||||||
07/23/12 | 126,000 | EUR | 176,747 | USD | 12,772 | DBK | |||||||||||||||||||||
07/25/12 | 275,733 | EUR | 1,180,000 | MYR | 11,168 | DBK | |||||||||||||||||||||
07/25/12 | 146,681 | USD | 445,000 | MYR | (7,140 | ) | DBK | ||||||||||||||||||||
07/27/12 | 4,322,354 | USD | 13,031,032 | MYR | (236,356 | ) | JPS | ||||||||||||||||||||
07/27/12 | 275,007 | EUR | 1,180,000 | MYR | 12,081 | JPS | |||||||||||||||||||||
07/31/12 | 1,214,614 | USD | 1,454,500 | SGD | (90,846 | ) | JPS | ||||||||||||||||||||
08/01/12 | 971,664 | USD | 1,165,870 | SGD | (70,879 | ) | MSC | ||||||||||||||||||||
08/01/12 | 48,730 | EUR | 69,060 | USD | 5,633 | BCB | |||||||||||||||||||||
08/02/12 | 48,862 | EUR | 69,663 | USD | 6,062 | BCB | |||||||||||||||||||||
08/06/12 | 756,862 | USD | 907,084 | SGD | (55,956 | ) | DBK | ||||||||||||||||||||
08/06/12 | 756,858 | USD | 906,640 | SGD | (56,295 | ) | CSI | ||||||||||||||||||||
08/06/12 | 81,000 | EUR | 115,096 | USD | 9,655 | DBK | |||||||||||||||||||||
08/06/12 | 112,500 | EUR | 159,856 | USD | 13,410 | DBK | |||||||||||||||||||||
08/06/12 | 135,680 | EUR | 192,747 | USD | 16,127 | BCB | |||||||||||||||||||||
08/06/12 | 173,000 | EUR | 243,359 | USD | 18,159 | DBK | |||||||||||||||||||||
08/08/12 | 59,760 | EUR | 83,900 | USD | 6,105 | CIT | |||||||||||||||||||||
08/08/12 | 157,500 | EUR | 221,642 | USD | 16,610 | DBK | |||||||||||||||||||||
08/08/12 | 203,000 | EUR | 285,672 | USD | 21,409 | DBK | |||||||||||||||||||||
08/09/12 | 17,124 | EUR | 24,094 | USD | 1,802 | CIT | |||||||||||||||||||||
08/09/12 | 113,000 | EUR | 159,837 | USD | 12,733 | DBK | |||||||||||||||||||||
08/09/12 | 160,000 | EUR | 226,734 | USD | 18,444 | DBK | |||||||||||||||||||||
08/10/12 | 107,000 | EUR | 151,222 | USD | 11,925 | DBK | |||||||||||||||||||||
08/13/12 | 83,288 | USD | 92,000,000 | KRW | (3,714 | ) | DBK | ||||||||||||||||||||
08/13/12 | 80,000 | EUR | 113,389 | USD | 9,236 | DBK | |||||||||||||||||||||
08/13/12 | 123,000 | EUR | 174,124 | USD | 13,989 | DBK |
45
Advantus Series Fund, Inc.
Investments in Securities – continued
Exchange Date | Currency to be delivered – SELL | Currency to be received – BUY | Unrealized Gain (Loss) | Counterparty | |||||||||||||||||||||||
08/16/12 | 846,299 | EUR | 3,590,000 | PLN | $ | (74,617 | ) | DBK | |||||||||||||||||||
08/16/12 | 96,963 | USD | 106,000,000 | KRW | (5,280 | ) | JPS | ||||||||||||||||||||
08/17/12 | 1,129,819 | USD | 1,228,000,000 | KRW | (67,685 | ) | HSB | ||||||||||||||||||||
08/20/12 | 23,010,000 | JPY | 302,763 | USD | 2,074 | HSB | |||||||||||||||||||||
08/20/12 | 23,117,000 | JPY | 302,400 | USD | 313 | JPS | |||||||||||||||||||||
08/20/12 | 28,340,000 | JPY | 370,938 | USD | 597 | DBK | |||||||||||||||||||||
08/20/12 | 46,522,000 | JPY | 609,885 | USD | 1,946 | UBS | |||||||||||||||||||||
08/20/12 | 73,745,000 | JPY | 966,831 | USD | 3,148 | HSB | |||||||||||||||||||||
08/22/12 | 18,200,000 | JPY | 239,052 | USD | 1,206 | MSC | |||||||||||||||||||||
08/22/12 | 23,068,000 | JPY | 303,008 | USD | 1,544 | BCB | |||||||||||||||||||||
08/22/12 | 23,098,000 | JPY | 303,366 | USD | 1,510 | DBK | |||||||||||||||||||||
08/22/12 | 380,000 | EUR | 541,158 | USD | 46,346 | UBS | |||||||||||||||||||||
08/22/12 | 381,000 | EUR | 542,620 | USD | 46,506 | UBS | |||||||||||||||||||||
08/23/12 | 49,717 | EUR | 71,493 | USD | 6,754 | BCB | |||||||||||||||||||||
08/23/12 | 22,797,000 | JPY | 300,607 | USD | 2,677 | DBK | |||||||||||||||||||||
08/23/12 | 45,752,000 | JPY | 601,288 | USD | 3,362 | CSI | |||||||||||||||||||||
08/23/12 | 46,090,000 | JPY | 606,767 | USD | 4,423 | CIT | |||||||||||||||||||||
08/24/12 | 185,558 | USD | 8,758,000 | INR | (26,553 | ) | HSB | ||||||||||||||||||||
08/24/12 | 160,641 | USD | 7,590,000 | INR | (22,842 | ) | DBK | ||||||||||||||||||||
08/24/12 | 82,138 | EUR | 117,835 | USD | 10,876 | BCB | |||||||||||||||||||||
08/24/12 | 45,992,000 | JPY | 602,897 | USD | 1,818 | JPS | |||||||||||||||||||||
08/27/12 | 414,103 | EUR | 3,820,973 | SEK | 13,877 | DBK | |||||||||||||||||||||
08/27/12 | 199,710 | EUR | 1,585,600 | NOK | 3,676 | DBK | |||||||||||||||||||||
08/27/12 | 53,337 | EUR | 76,885 | USD | 7,427 | BCB | |||||||||||||||||||||
08/27/12 | 18,925,000 | JPY | 248,148 | USD | 792 | BCB | |||||||||||||||||||||
08/27/12 | 33,447,000 | JPY | 439,803 | USD | 2,640 | JPS | |||||||||||||||||||||
08/27/12 | 38,472,000 | JPY | 506,264 | USD | 3,423 | DBK | |||||||||||||||||||||
08/27/12 | 45,839,000 | JPY | 601,049 | USD | 1,919 | BCB | |||||||||||||||||||||
08/27/12 | 492,000 | EUR | 707,545 | USD | 66,833 | BCB | |||||||||||||||||||||
08/27/12 | 52,556,000 | JPY | 691,231 | USD | 4,308 | UBS | |||||||||||||||||||||
08/27/12 | 73,808,000 | JPY | 968,291 | USD | 3,598 | HSB | |||||||||||||||||||||
08/27/12 | 743,770 | EUR | 1,070,002 | USD | 101,420 | UBS | |||||||||||||||||||||
08/29/12 | 50,017 | EUR | 71,604 | USD | 6,467 | DBK | |||||||||||||||||||||
08/29/12 | 327,271 | EUR | 470,563 | USD | 44,355 | JPS | |||||||||||||||||||||
08/30/12 | 54,600,000 | JPY | 716,535 | USD | 2,838 | BCB | |||||||||||||||||||||
08/31/12 | 1,781 | EUR | 2,576 | USD | 256 | DBK | |||||||||||||||||||||
08/31/12 | 22,848,000 | JPY | 299,430 | USD | 767 | JPS | |||||||||||||||||||||
09/06/12 | 113,087 | USD | 5,367,000 | INR | (15,796 | ) | DBK | ||||||||||||||||||||
09/06/12 | 27,000 | EUR | 38,308 | USD | 3,140 | DBK | |||||||||||||||||||||
09/10/12 | 51,267 | EUR | 71,984 | USD | 5,203 | BCB | |||||||||||||||||||||
09/10/12 | 59,000 | EUR | 82,530 | USD | 5,676 | DBK | |||||||||||||||||||||
09/12/12 | 50,045 | EUR | 69,963 | USD | 4,771 | BCB | |||||||||||||||||||||
09/13/12 | 27,000 | EUR | 36,944 | USD | 1,772 | DBK | |||||||||||||||||||||
09/14/12 | 142,450 | EUR | 194,847 | USD | 9,276 | BCB | |||||||||||||||||||||
09/17/12 | 132,617 | EUR | 181,778 | USD | 9,007 | UBS | |||||||||||||||||||||
09/19/12 | 33,313 | EUR | 46,178 | USD | 2,777 | BCB | |||||||||||||||||||||
09/24/12 | 213,237 | USD | 9,488,000 | PHP | 1,409 | DBK | |||||||||||||||||||||
09/24/12 | 81,780 | EUR | 111,263 | USD | 4,707 | BCB | |||||||||||||||||||||
09/24/12 | 161,000 | EUR | 220,148 | USD | 10,372 | DBK | |||||||||||||||||||||
09/24/12 | 223,000 | EUR | 304,602 | USD | 14,042 | DBK | |||||||||||||||||||||
09/26/12 | 179,000 | EUR | 242,167 | USD | 8,929 | DBK | |||||||||||||||||||||
09/28/12 | 163,385 | USD | 36,100,000 | HUF | (18,319 | ) | DBK | ||||||||||||||||||||
09/28/12 | 165,441 | USD | 36,000,000 | HUF | (20,777 | ) | DBK | ||||||||||||||||||||
09/28/12 | 59,478 | USD | 2,600,000 | PHP | (659 | ) | HSB | ||||||||||||||||||||
09/28/12 | 9,763,000 | JPY | 128,630 | USD | 911 | JPS | |||||||||||||||||||||
10/03/12 | 47,841 | USD | 2,100,000 | PHP | (334 | ) | HSB | ||||||||||||||||||||
10/04/12 | 261,332 | USD | 11,381,000 | PHP | (3,866 | ) | DBK | ||||||||||||||||||||
10/04/12 | 207,096 | USD | 9,129,000 | PHP | (576 | ) | HSB | ||||||||||||||||||||
10/05/12 | 306,824 | USD | 13,611,000 | PHP | 1,082 | HSB | |||||||||||||||||||||
10/05/12 | 312,445 | USD | 13,607,000 | PHP | (4,630 | ) | DBK | ||||||||||||||||||||
10/09/12 | 256,634 | USD | 11,170,000 | PHP | (3,973 | ) | DBK | ||||||||||||||||||||
10/09/12 | 82,416 | USD | 3,595,000 | PHP | (1,099 | ) | JPS | ||||||||||||||||||||
10/11/12 | 205,905 | USD | 8,955,000 | PHP | (3,356 | ) | HSB | ||||||||||||||||||||
10/11/12 | 205,353 | USD | 8,939,000 | PHP | (3,166 | ) | DBK | ||||||||||||||||||||
10/11/12 | 102,803 | USD | 4,471,000 | PHP | (1,676 | ) | HSB | ||||||||||||||||||||
10/11/12 | 102,247 | USD | 4,460,000 | PHP | (1,368 | ) | JPS | ||||||||||||||||||||
10/12/12 | 322,262 | USD | 1,023,987 | MYR | (1,746 | ) | DBK | ||||||||||||||||||||
10/12/12 | 145,156 | USD | 6,278,000 | PHP | (3,161 | ) | JPS | ||||||||||||||||||||
10/12/12 | 60,985 | USD | 2,662,000 | PHP | (776 | ) | DBK | ||||||||||||||||||||
10/15/12 | 170,497 | USD | 7,449,000 | PHP | (2,029 | ) | JPS |
46
Advantus Series Fund, Inc.
Investments in Securities – continued
Exchange Date | Currency to be delivered – SELL | Currency to be received – BUY | Unrealized Gain (Loss) | Counterparty | |||||||||||||||||||||||
10/15/12 | 139,061 | USD | 441,908 | MYR | $ | (745 | ) | DBK | |||||||||||||||||||
10/15/12 | 101,707 | USD | 4,438,000 | PHP | (1,337 | ) | HSB | ||||||||||||||||||||
10/15/12 | 86,478 | USD | 3,754,000 | PHP | (1,577 | ) | JPS | ||||||||||||||||||||
10/17/12 | 300,000 | EUR | 411,981 | USD | 20,890 | HSB | |||||||||||||||||||||
10/17/12 | 300,000 | EUR | 411,986 | USD | 20,894 | HSB | |||||||||||||||||||||
10/17/12 | 404,000 | EUR | 554,813 | USD | 28,144 | HSB | |||||||||||||||||||||
10/18/12 | 162,975 | EUR | 1,284,000 | NOK | 780 | BCB | |||||||||||||||||||||
10/18/12 | 162,341 | EUR | 1,279,000 | NOK | 777 | BCB | |||||||||||||||||||||
10/19/12 | 205,376 | USD | 8,856,000 | PHP | (5,106 | ) | HSB | ||||||||||||||||||||
10/19/12 | 55,668 | USD | 2,431,000 | PHP | (693 | ) | DBK | ||||||||||||||||||||
10/22/12 | 222,584 | USD | 9,718,000 | PHP | (2,837 | ) | DBK | ||||||||||||||||||||
10/22/12 | 112,365 | USD | 4,880,000 | PHP | (2,017 | ) | JPS | ||||||||||||||||||||
10/24/12 | 28,881 | EUR | 39,685 | USD | 2,028 | BCB | |||||||||||||||||||||
10/25/12 | 220,162 | EUR | 305,453 | USD | 18,383 | BCB | |||||||||||||||||||||
10/26/12 | 30,914 | EUR | 43,038 | USD | 2,728 | CIT | |||||||||||||||||||||
10/29/12 | 328,001 | EUR | 2,563,000 | NOK | (2,188 | ) | BCB | ||||||||||||||||||||
10/29/12 | 110,290 | USD | 4,747,000 | PHP | (2,968 | ) | JPS | ||||||||||||||||||||
10/29/12 | 79,245 | USD | 4,087,000 | INR | (5,555 | ) | HSB | ||||||||||||||||||||
10/29/12 | 77,302 | USD | 3,993,000 | INR | (5,308 | ) | DBK | ||||||||||||||||||||
10/29/12 | 20,370 | USD | 880,000 | PHP | (475 | ) | MSC | ||||||||||||||||||||
10/31/12 | 163,920 | USD | 8,432,000 | INR | (11,915 | ) | DBK | ||||||||||||||||||||
10/31/12 | 118,309 | USD | 6,087,000 | INR | (8,578 | ) | HSB | ||||||||||||||||||||
11/08/12 | 310,544 | EUR | 2,447,400 | NOK | 1,171 | UBS | |||||||||||||||||||||
11/08/12 | 13,826,020 | JPY | 178,490 | USD | (2,595 | ) | CIT | ||||||||||||||||||||
11/13/12 | 13,582,000 | JPY | 176,069 | USD | (1,846 | ) | BCB | ||||||||||||||||||||
11/14/12 | 39,315 | USD | 1,700,000 | PHP | (897 | ) | DBK | ||||||||||||||||||||
11/14/12 | 13,769,800 | JPY | 178,817 | USD | (1,564 | ) | UBS | ||||||||||||||||||||
11/14/12 | 19,766,000 | JPY | 256,368 | USD | (2,561 | ) | BCB | ||||||||||||||||||||
11/16/12 | 45,867,000 | JPY | 600,644 | USD | (236 | ) | DBK | ||||||||||||||||||||
11/19/12 | 11,968,000 | JPY | 156,793 | USD | (8 | ) | HSB | ||||||||||||||||||||
11/19/12 | 18,297,000 | JPY | 239,961 | USD | 240 | UBS | |||||||||||||||||||||
11/19/12 | 22,904,000 | JPY | 299,771 | USD | (309 | ) | JPS | ||||||||||||||||||||
11/19/12 | 56,774,000 | JPY | 745,066 | USD | 1,233 | BCB | |||||||||||||||||||||
11/21/12 | 63,773,000 | JPY | 838,016 | USD | 2,436 | BCB | |||||||||||||||||||||
12/03/12 | 100,000 | EUR | 134,590 | USD | 4,072 | DBK | |||||||||||||||||||||
12/07/12 | 202,851 | EUR | 272,713 | USD | 7,928 | HSB | |||||||||||||||||||||
12/12/12 | 89,000 | EUR | 119,856 | USD | 3,668 | BCB | |||||||||||||||||||||
12/17/12 | 409,828 | USD | 1,323,172 | MYR | 4,010 | JPS | |||||||||||||||||||||
12/20/12 | 616,157 | EUR | 807,073 | USD | 2,529 | UBS | |||||||||||||||||||||
$ | (758,115 | ) |
Investments in Securities Legend
(a) Securities are valued by procedures described in Note 2 of the Notes to Financial Statements.
(b) Principal amounts for foreign debt securities are denominated in the currencies indicated. United States debt securities are denominated in U.S. Dollars.
(c) Variable rate security.
(d) These securities are being fair-valued according to procedures approved by the Board of Directors.
(e) For zero coupon issues (strips) the interest rate represents the yield to maturity at December 31, 2011.
(f) Security sold within terms of a private placement memorandum exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors".
(g) Step rate security.
(h) At December 31, 2011 the cost of securities for federal income tax purposes was $103,663,671. The aggregate unrealized appreciation and depreciation of investments in securities based on this cost were:
Gross unrealized appreciation | $ | 9,449,595 | |||||
Gross unrealized depreciation | (6,868,537 | ) | |||||
Net unrealized appreciation | $ | 2,581,058 |
47
Advantus Series Fund, Inc.
Investments in Securities – continued
Currency Legend
AUD | Australian Dollar | ||||||
BRL | Brazilian Real | ||||||
CLP | Chilean Peso | ||||||
EGP | Egyptian Pound | ||||||
EUR | Euro | ||||||
GBP | British Pound | ||||||
HUF | Hungarian Forint | ||||||
IDR | Indonesian Rupiah | ||||||
ILS | Israeli Shekel | ||||||
INR | Indian Rupee | ||||||
JPY | Japanese Yen | ||||||
KRW | Republic of Korea Won | ||||||
LKR | Sri Lankan Rupee | ||||||
MXN | Mexican Peso | ||||||
MYR | Malaysian Ringgit | ||||||
NOK | Norwegian Krone | ||||||
PHP | Philippine Peso | ||||||
PLN | Polish Zloty | ||||||
SEK | Swedish Krona | ||||||
SGD | Singapore Dollar | ||||||
USD | United States Dollar |
Counterparty Legend
BCB | Barclays Bank PLC | ||||||
CIT | Citibank NA | ||||||
CSA | Credit Suisse AG (London) | ||||||
CSI | Credit Suisse International | ||||||
DBK | Deutsche Bank AG | ||||||
HSB | HSBC Bank PLC | ||||||
JPM | JPMorgan Chase Bank NA | ||||||
JPS | JPMorgan Chase (Singapore) | ||||||
MSC | Morgan Stanley and Co., Inc. | ||||||
UBS | UBS AG |
Shares | Value(a) | ||||||||||
Index 400 Mid-Cap Portfolio | |||||||||||
Common Stocks (96.2%) | |||||||||||
Consumer Discretionary (12.5%) | |||||||||||
Auto Components (0.4%) | |||||||||||
Gentex Corp. | 21,812 | $ | 645,417 | ||||||||
Automobiles (0.1%) | |||||||||||
Thor Industries, Inc. | 6,571 | 180,243 | |||||||||
Distributors (0.4%) | |||||||||||
LKQ Corp. (b) | 22,284 | 670,303 | |||||||||
Diversified Consumer Services (0.8%) | |||||||||||
ITT Educational Services, Inc. (b) | 3,027 | 172,206 | |||||||||
Matthews International Corp. — Class A | 4,275 | 134,363 | |||||||||
Regis Corp. | 8,774 | 145,210 | |||||||||
Service Corp. International/US | 34,663 | 369,161 | |||||||||
Sotheby's | 10,270 | 293,003 |
Shares | Value(a) | ||||||||||
Strayer Education, Inc. | 1,782 | $ | 173,193 | ||||||||
1,287,136 | |||||||||||
Hotels, Restaurants & Leisure (1.5%) | |||||||||||
Bally Technologies, Inc. (b) | 6,523 | 258,050 | |||||||||
Bob Evans Farms, Inc. | 4,433 | 148,683 | |||||||||
Brinker International, Inc. | 12,237 | 327,462 | |||||||||
International Speedway Corp. — Class A | 4,225 | 107,104 | |||||||||
Life Time Fitness, Inc. (b) | 6,437 | 300,930 | |||||||||
Panera Bread Co. — Class A (b) | 4,576 | 647,275 | |||||||||
Scientific Games Corp. — Class A (b) | 8,825 | 85,602 | |||||||||
The Cheesecake Factory, Inc. (b) | 8,300 | 243,605 | |||||||||
The Wendy's Co. | 44,960 | 240,986 | |||||||||
WMS Industries, Inc. (b) | 8,472 | 173,845 | |||||||||
2,533,542 | |||||||||||
Household Durables (1.4%) | |||||||||||
American Greetings Corp. — Class A | 6,041 | 75,573 | |||||||||
KB Home | 10,977 | 73,765 | |||||||||
MDC Holdings, Inc. | 5,701 | 100,509 | |||||||||
Mohawk Industries, Inc. (b) | 8,677 | 519,318 | |||||||||
NVR, Inc. (b) | 849 | 582,414 | |||||||||
Toll Brothers, Inc. (b) | 22,361 | 456,612 | |||||||||
Tupperware Brands Corp. | 8,721 | 488,114 | |||||||||
2,296,305 | |||||||||||
Internet & Catalog Retail (0.1%) | |||||||||||
HSN, Inc. | 6,105 | 221,367 | |||||||||
Leisure Equipment & Products (0.4%) | |||||||||||
Polaris Industries, Inc. | 10,495 | 587,510 | |||||||||
Media (1.0%) | |||||||||||
AMC Networks, Inc. — Class A (b) | 8,740 | 328,449 | |||||||||
DreamWorks Animation S KG, Inc. — Class A (b) | 10,796 | 179,160 | |||||||||
John Wiley & Sons, Inc. — Class A | 7,222 | 320,657 | |||||||||
Lamar Advertising Co. — Class A (b) | 8,903 | 244,832 | |||||||||
Meredith Corp. | 5,577 | 182,089 | |||||||||
Scholastic Corp. | 3,761 | 112,717 | |||||||||
The New York Times Co. — Class A (b) | 18,381 | 142,085 | |||||||||
Valassis Communications, Inc. (b) | 6,804 | 130,841 | |||||||||
1,640,830 | |||||||||||
Multiline Retail (0.2%) | |||||||||||
99 Cents Only Stores (b) | 7,191 | 157,843 | |||||||||
Saks, Inc. (b) | 24,307 | 236,993 | |||||||||
394,836 | |||||||||||
Specialty Retail (4.5%) | |||||||||||
Aaron's, Inc. | 11,482 | 306,340 | |||||||||
Advance Auto Parts, Inc. | 11,011 | 766,696 |
See accompanying notes to financial statements.
48
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Aeropostale, Inc. (b) | 12,276 | $ | 187,209 | ||||||||
American Eagle Outfitters, Inc. | 29,456 | 450,382 | |||||||||
ANN, Inc. (b) | 7,961 | 197,274 | |||||||||
Barnes & Noble, Inc. (b) | 6,221 | 90,080 | |||||||||
Chico's FAS, Inc. | 25,493 | 283,992 | |||||||||
Collective Brands, Inc. (b) | 9,209 | 132,333 | |||||||||
Dick's Sporting Goods, Inc. | 14,682 | 541,472 | |||||||||
Foot Locker, Inc. | 23,254 | 554,375 | |||||||||
Guess?, Inc. | 10,155 | 302,822 | |||||||||
Office Depot, Inc. (b) | 42,640 | 91,676 | |||||||||
PetSmart, Inc. | 16,971 | 870,443 | |||||||||
RadioShack Corp. | 15,178 | 147,378 | |||||||||
Rent-A-Center, Inc. | 8,932 | 330,484 | |||||||||
Signet Jewelers, Ltd. | 13,212 | 580,800 | |||||||||
The Dress Barn, Inc. (b) | 10,159 | 301,925 | |||||||||
Tractor Supply Co. | 10,798 | 757,480 | |||||||||
Williams-Sonoma, Inc. | 15,762 | 606,837 | |||||||||
7,499,998 | |||||||||||
Textiles, Apparel & Luxury Goods (1.7%) | |||||||||||
Deckers Outdoor Corp. (b) | 5,870 | 443,596 | |||||||||
Fossil, Inc. (b) | 8,016 | 636,149 | |||||||||
Hanesbrands, Inc. (b) | 14,773 | 322,938 | |||||||||
PVH Corp. | 10,271 | 724,003 | |||||||||
The Warnaco Group, Inc. (b) | 6,154 | 307,946 | |||||||||
Under Armour, Inc. — Class A (b) | 5,582 | 400,732 | |||||||||
2,835,364 | |||||||||||
Consumer Staples (4.1%) | |||||||||||
Beverages (0.6%) | |||||||||||
Hansen Natural Corp. (b) | 11,511 | 1,060,623 | |||||||||
Food & Staples Retailing (0.2%) | |||||||||||
Ruddick Corp. | 7,492 | 319,459 | |||||||||
Food Products (2.1%) | |||||||||||
Corn Products International, Inc. | 11,502 | 604,890 | |||||||||
Flowers Foods, Inc. | 17,157 | 325,640 | |||||||||
Green Mountain Coffee Roasters, Inc. (b) | 19,747 | 885,653 | |||||||||
Lancaster Colony Corp. | 2,981 | 206,702 | |||||||||
Ralcorp Holdings, Inc. (b) (c) | 8,398 | 718,029 | |||||||||
Smithfield Foods, Inc. (b) | 24,832 | 602,921 | |||||||||
Tootsie Roll Industries, Inc. | 3,776 | 89,378 | |||||||||
3,433,213 | |||||||||||
Household Products (1.1%) | |||||||||||
Church & Dwight Co., Inc. | 21,748 | 995,189 | |||||||||
Energizer Holdings, Inc. (b) | 10,169 | 787,894 | |||||||||
1,783,083 | |||||||||||
Tobacco (0.1%) | |||||||||||
Universal Corp. | 3,460 | 159,022 | |||||||||
Energy (6.3%) | |||||||||||
Energy Equipment & Services (2.8%) | |||||||||||
Atwood Oceanics, Inc. (b) | 8,592 | 341,876 | |||||||||
CARBO Ceramics, Inc. | 3,020 | 372,457 | |||||||||
Dresser-Rand Group, Inc. (b) | 11,439 | 570,920 | |||||||||
Dril-Quip, Inc. (b) | 5,193 | 341,803 |
Shares | Value(a) | ||||||||||
Helix Energy Solutions Group, Inc. (b) | 16,035 | $ | 253,353 | ||||||||
Oceaneering International, Inc. | 16,425 | 757,685 | |||||||||
Oil States International, Inc. (b) | 7,822 | 597,366 | |||||||||
Patterson-UTI Energy, Inc. | 23,463 | 468,791 | |||||||||
Superior Energy Services, Inc. (b) | 12,141 | 345,290 | |||||||||
Tidewater, Inc. | 7,890 | 388,977 | |||||||||
Unit Corp. (b) | 6,295 | 292,088 | |||||||||
4,730,606 | |||||||||||
Oil, Gas & Consumable Fuels (3.5%) | |||||||||||
Arch Coal, Inc. | 32,173 | 466,830 | |||||||||
Bill Barrett Corp. (b) | 7,114 | 242,374 | |||||||||
Cimarex Energy Co. | 13,036 | 806,929 | |||||||||
Comstock Resources, Inc. (b) | 7,243 | 110,818 | |||||||||
Forest Oil Corp. (b) | 16,928 | 229,374 | |||||||||
HollyFrontier Corp. | 31,629 | 740,119 | |||||||||
Northern Oil and Gas, Inc. (b) | 9,603 | 230,280 | |||||||||
Patriot Coal Corp. (b) | 13,892 | 117,665 | |||||||||
Plains Exploration & Production Co. (b) | 21,436 | 787,130 | |||||||||
Quicksilver Resources, Inc. (b) | 18,235 | 122,357 | |||||||||
SM Energy Co. | 9,730 | 711,263 | |||||||||
Southern Union Co. | 18,965 | 798,616 | |||||||||
World Fuel Services Corp. | 10,816 | 454,056 | |||||||||
5,817,811 | |||||||||||
Financial (19.8%) | |||||||||||
Capital Markets (1.9%) | |||||||||||
Affiliated Managers Group, Inc. (b) | 8,097 | 776,907 | |||||||||
Apollo Investment Corp. | 29,957 | 192,923 | |||||||||
Eaton Vance Corp. | 17,421 | 411,833 | |||||||||
Greenhill & Co., Inc. | 4,350 | 158,210 | |||||||||
Janus Capital Group, Inc. | 28,368 | 179,002 | |||||||||
Jefferies Group, Inc. | 22,165 | 304,769 | |||||||||
Raymond James Financial, Inc. | 15,518 | 480,437 | |||||||||
SEI Investments Co. | 22,257 | 386,159 | |||||||||
Waddell & Reed Financial, Inc. — Class A | 12,969 | 321,242 | |||||||||
3,211,482 | |||||||||||
Commercial Banks (3.7%) | |||||||||||
Associated Banc-Corp | 26,379 | 294,653 | |||||||||
BancorpSouth, Inc. | 11,043 | 121,694 | |||||||||
Bank of Hawaii Corp. | 7,036 | 313,032 | |||||||||
Cathay General Bancorp | 11,957 | 178,518 | |||||||||
City National Corp. | 7,116 | 314,385 | |||||||||
Commerce Bancshares, Inc. | 12,020 | 458,202 | |||||||||
Cullen/Frost Bankers, Inc. | 9,311 | 492,645 | |||||||||
East West Bancorp, Inc. | 22,661 | 447,555 | |||||||||
FirstMerit Corp. | 16,609 | 251,294 | |||||||||
Fulton Financial Corp. | 30,408 | 298,302 | |||||||||
Hancock Holding Co. | 12,877 | 411,678 | |||||||||
International Bancshares Corp. | 8,080 | 148,147 | |||||||||
Prosperity Bancshares, Inc. | 7,129 | 287,655 | |||||||||
Signature Bank (b) | 7,020 | 421,130 | |||||||||
SVB Financial Group (b) | 6,589 | 314,229 |
See accompanying notes to financial statements.
49
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Synovus Financial Corp. | 119,389 | $ | 168,338 | ||||||||
TCF Financial Corp. | 23,970 | 247,370 | |||||||||
Trustmark Corp. | 9,748 | 236,779 | |||||||||
Valley National Bancorp | 25,877 | 320,099 | |||||||||
Webster Financial Corp. | 11,174 | 227,838 | |||||||||
Westamerica Bancorporation | 4,334 | 190,263 | |||||||||
6,143,806 | |||||||||||
Diversified Financial Services (0.4%) | |||||||||||
MSCI, Inc. (b) | 18,330 | 603,607 | |||||||||
Diversified REIT's (0.3%) | |||||||||||
Liberty Property Trust | 17,642 | 544,785 | |||||||||
Insurance (4.1%) | |||||||||||
American Financial Group, Inc. | 11,708 | 431,908 | |||||||||
Arthur J Gallagher & Co. | 17,214 | 575,636 | |||||||||
Aspen Insurance Holdings, Ltd. | 10,733 | 284,425 | |||||||||
Brown & Brown, Inc. | 17,656 | 399,555 | |||||||||
Everest Re Group, Ltd. (d) | 8,184 | 688,193 | |||||||||
Fidelity National Financial, Inc. — Class A | 33,275 | 530,071 | |||||||||
First American Financial Corp. | 16,031 | 203,113 | |||||||||
HCC Insurance Holdings, Inc. | 17,283 | 475,283 | |||||||||
Kemper Corp. | 7,629 | 222,843 | |||||||||
Mercury General Corp. | 5,502 | 251,001 | |||||||||
Old Republic International Corp. | 38,848 | 360,121 | |||||||||
Protective Life Corp. | 12,547 | 283,060 | |||||||||
Reinsurance Group of America, Inc. | 11,142 | 582,169 | |||||||||
StanCorp Financial Group, Inc. | 6,652 | 244,461 | |||||||||
The Hanover Insurance Group, Inc. | 6,726 | 235,074 | |||||||||
Transatlantic Holdings, Inc. | 8,733 | 477,957 | |||||||||
WR Berkley Corp. | 16,850 | 579,471 | |||||||||
6,824,341 | |||||||||||
Office REIT's (1.8%) | |||||||||||
Alexandria Real Estate Equities, Inc. | 9,419 | 649,628 | |||||||||
Corporate Office Properties Trust SBI | 10,944 | 232,669 | |||||||||
Duke Realty Corp. | 38,452 | 463,347 | |||||||||
Highwoods Properties, Inc. | 11,034 | 327,379 | |||||||||
Mack-Cali Realty Corp. | 13,248 | 353,589 | |||||||||
SL Green Realty Corp. | 13,098 | 872,851 | |||||||||
2,899,463 | |||||||||||
Real Estate Investment Trust-Apartments (0.3%) | |||||||||||
Taubman Centers, Inc. | 8,805 | 546,791 | |||||||||
Real Estate Management & Development (0.2%) | |||||||||||
Jones Lang LaSalle, Inc. | 6,609 | 404,867 | |||||||||
Residential REIT's (2.2%) | |||||||||||
American Campus Communities, Inc. | 10,772 | 451,993 | |||||||||
BRE Properties, Inc. | 11,449 | 577,945 |
Shares | Value(a) | ||||||||||
Camden Property Trust | 10,849 | $ | 675,242 | ||||||||
Essex Property Trust, Inc. | 5,188 | 728,966 | |||||||||
Home Properties, Inc. | 7,338 | 422,449 | |||||||||
UDR, Inc. | 33,302 | 835,880 | |||||||||
3,692,475 | |||||||||||
Retail REIT's (2.5%) | |||||||||||
Equity One, Inc. | 9,064 | 153,907 | |||||||||
Federal Realty Investment Trust | 9,653 | 876,010 | |||||||||
National Retail Properties, Inc. | 15,720 | 414,694 | |||||||||
Realty Income Corp. | 20,251 | 707,975 | |||||||||
Regency Centers Corp. | 13,670 | 514,265 | |||||||||
The Macerich Co. | 20,059 | 1,014,985 | |||||||||
Weingarten Realty Investors | 18,371 | 400,855 | |||||||||
4,082,691 | |||||||||||
Specialized REIT's (1.4%) | |||||||||||
Hospitality Properties Trust | 18,779 | 431,542 | |||||||||
Omega Healthcare Investors, Inc. | 15,684 | 303,485 | |||||||||
Potlatch Corp. | 6,109 | 190,051 | |||||||||
Rayonier, Inc. | 18,378 | 820,210 | |||||||||
Senior Housing Properties Trust | 24,727 | 554,874 | |||||||||
2,300,162 | |||||||||||
Thrifts & Mortgage Finance (1.0%) | |||||||||||
Astoria Financial Corp. | 12,733 | 108,103 | |||||||||
First Niagara Financial Group, Inc. | 52,882 | 456,372 | |||||||||
New York Community Bancorp, Inc. | 66,500 | 822,605 | |||||||||
Washington Federal, Inc. | 16,361 | 228,890 | |||||||||
1,615,970 | |||||||||||
Health Care (9.7%) | |||||||||||
Biotechnology (1.2%) | |||||||||||
Regeneron Pharmaceuticals, Inc. (b) | 11,541 | 639,718 | |||||||||
United Therapeutics Corp. (b) | 7,893 | 372,944 | |||||||||
Vertex Pharmaceuticals, Inc. (b) (c) | 31,709 | 1,053,056 | |||||||||
2,065,718 | |||||||||||
Health Care Equipment & Supplies (2.6%) | |||||||||||
Gen-Probe, Inc. (b) | 7,072 | 418,097 | |||||||||
Hill-Rom Holdings, Inc. | 9,322 | 314,058 | |||||||||
Hologic, Inc. (b) | 40,002 | 700,435 | |||||||||
IDEXX Laboratories, Inc. (b) | 8,489 | 653,313 | |||||||||
Masimo Corp. (b) | 9,122 | 170,445 | |||||||||
ResMed, Inc. (b) | 22,363 | 568,020 | |||||||||
STERIS Corp. | 8,727 | 260,239 | |||||||||
Teleflex, Inc. | 6,190 | 379,385 | |||||||||
The Cooper Cos., Inc. | 7,275 | 513,033 | |||||||||
Thoratec Corp. (b) | 9,111 | 305,765 | |||||||||
4,282,790 | |||||||||||
Health Care Providers & Services (3.8%) | |||||||||||
AMERIGROUP Corp. (b) | 7,273 | 429,689 | |||||||||
Catalyst Health Solutions, Inc. (b) | 7,605 | 395,460 |
See accompanying notes to financial statements.
50
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Community Health Systems, Inc. (b) | 13,771 | $ | 240,304 | ||||||||
Health Management Associates, Inc. — Class A (b) | 38,632 | 284,718 | |||||||||
Health Net, Inc. (b) | 12,613 | 383,688 | |||||||||
Henry Schein, Inc. (b) | 13,701 | 882,755 | |||||||||
HMS Holdings Corp. (b) | 12,931 | 413,533 | |||||||||
LifePoint Hospitals, Inc. (b) | 7,321 | 271,975 | |||||||||
Lincare Holdings, Inc. | 13,462 | 346,108 | |||||||||
Mednax, Inc. (b) | 7,440 | 535,754 | |||||||||
Omnicare, Inc. | 17,294 | 595,778 | |||||||||
Owens & Minor, Inc. | 9,643 | 267,979 | |||||||||
Universal Health Services, Inc. — Class B | 14,601 | 567,395 | |||||||||
VCA Antech, Inc. (b) | 13,181 | 260,325 | |||||||||
WellCare Health Plans, Inc. (b) | 6,516 | 342,090 | |||||||||
6,217,551 | |||||||||||
Health Care Technology (0.3%) | |||||||||||
Allscripts Healthcare Solutions, Inc. (b) | 28,821 | 545,870 | |||||||||
Life Sciences Tools & Services (1.2%) | |||||||||||
Bio-Rad Laboratories, Inc. — Class A (b) | 3,005 | 288,600 | |||||||||
Charles River Laboratories International, Inc. (b) | 7,516 | 205,412 | |||||||||
Covance, Inc. (b) | 9,237 | 422,316 | |||||||||
Mettler-Toledo International, Inc. (b) (d) | 4,846 | 715,803 | |||||||||
Techne Corp. | 5,576 | 380,618 | |||||||||
2,012,749 | |||||||||||
Pharmaceuticals (0.6%) | |||||||||||
Endo Pharmaceuticals Holdings, Inc. (b) | 17,763 | 613,356 | |||||||||
Medicis Pharmaceutical Corp. — Class A | 9,592 | 318,934 | |||||||||
932,290 | |||||||||||
Industrials (16.0%) | |||||||||||
Aerospace & Defense (1.2%) | |||||||||||
Alliant Techsystems, Inc. | 5,020 | 286,943 | |||||||||
BE Aerospace, Inc. (b) | 15,681 | 607,011 | |||||||||
Esterline Technologies Corp. (b) | 4,680 | 261,940 | |||||||||
Exelis, Inc. | 28,062 | 253,961 | |||||||||
Huntington Ingalls Industries, Inc. (b) | 7,420 | 232,098 | |||||||||
Triumph Group, Inc. | 6,565 | 383,724 | |||||||||
2,025,677 | |||||||||||
Airlines (0.3%) | |||||||||||
Alaska Air Group, Inc. (b) | 5,369 | 403,158 | |||||||||
JetBlue Airways Corp. (b) | 31,065 | 161,538 | |||||||||
564,696 | |||||||||||
Building Products (0.4%) | |||||||||||
Fortune Brands Home & Security, Inc. (b) | 23,656 | 402,862 | |||||||||
Lennox International, Inc. | 7,833 | 264,364 | |||||||||
667,226 |
Shares | Value(a) | ||||||||||
Commercial Services & Supplies (1.7%) | |||||||||||
Clean Harbors, Inc. (b) | 7,180 | $ | 457,581 | ||||||||
Copart, Inc. (b) | 8,110 | 388,388 | |||||||||
Corrections Corp. of America (b) | 15,128 | 308,157 | |||||||||
Deluxe Corp. | 7,725 | 175,821 | |||||||||
Herman Miller, Inc. | 8,852 | 163,319 | |||||||||
HNI Corp. | 6,815 | 177,872 | |||||||||
Mine Safety Appliances Co. | 4,609 | 152,650 | |||||||||
Rollins, Inc. | 9,786 | 217,445 | |||||||||
The Brink's Co. | 7,119 | 191,359 | |||||||||
Waste Connections, Inc. | 17,007 | 563,612 | |||||||||
2,796,204 | |||||||||||
Construction & Engineering (1.1%) | |||||||||||
Aecom Technology Corp. (b) | 17,537 | 360,736 | |||||||||
Granite Construction, Inc. | 5,290 | 125,479 | |||||||||
KBR, Inc. | 22,631 | 630,726 | |||||||||
The Shaw Group, Inc. (b) | 9,905 | 266,445 | |||||||||
URS Corp. (b) (c) | 12,104 | 425,092 | |||||||||
1,808,478 | |||||||||||
Electrical Equipment (2.0%) | |||||||||||
Acuity Brands, Inc. | 6,328 | 335,384 | |||||||||
AMETEK, Inc. | 24,341 | 1,024,756 | |||||||||
General Cable Corp. (b) | 7,934 | 198,429 | |||||||||
Hubbell, Inc. — Class B | 8,952 | 598,531 | |||||||||
Regal-Beloit Corp. | 6,252 | 318,665 | |||||||||
Thomas & Betts Corp. (b) | 7,913 | 432,050 | |||||||||
Woodward Governor Co. | 9,113 | 372,995 | |||||||||
3,280,810 | |||||||||||
Industrial Conglomerates (0.3%) | |||||||||||
Carlisle Cos., Inc. | 9,228 | 408,800 | |||||||||
Machinery (5.2%) | |||||||||||
AGCO Corp. (b) | 14,775 | 634,882 | |||||||||
CLARCOR, Inc. | 7,637 | 381,774 | |||||||||
Crane Co. | 7,427 | 346,915 | |||||||||
Donaldson Co., Inc. | 11,375 | 774,410 | |||||||||
Gardner Denver, Inc. | 7,682 | 591,975 | |||||||||
Graco, Inc. | 9,043 | 369,768 | |||||||||
Harsco Corp. | 12,271 | 252,537 | |||||||||
IDEX Corp. | 12,685 | 470,740 | |||||||||
ITT Corp. | 14,101 | 272,572 | |||||||||
Kennametal, Inc. | 12,034 | 439,482 | |||||||||
Lincoln Electric Holdings, Inc. | 12,740 | 498,389 | |||||||||
Nordson Corp. | 9,065 | 373,297 | |||||||||
Oshkosh Corp. (b) | 13,899 | 297,161 | |||||||||
Pentair, Inc. | 14,985 | 498,851 | |||||||||
SPX Corp. | 7,756 | 467,454 | |||||||||
Terex Corp. (b) | 16,678 | 225,320 | |||||||||
Timken Co. | 12,767 | 494,210 | |||||||||
Trinity Industries, Inc. | 12,183 | 366,221 | |||||||||
Valmont Industries, Inc. | 3,455 | 313,679 | |||||||||
Wabtec Corp. | 7,293 | 510,145 | |||||||||
8,579,782 | |||||||||||
Marine (0.5%) | |||||||||||
Alexander & Baldwin, Inc. | 6,339 | 258,758 | |||||||||
Kirby Corp. (b) | 8,464 | 557,270 | |||||||||
816,028 |
See accompanying notes to financial statements.
51
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Professional Services (0.9%) | |||||||||||
FTI Consulting, Inc. (b) | 6,203 | $ | 263,131 | ||||||||
Korn/Ferry International (b) | 7,255 | 123,771 | |||||||||
Manpower, Inc. | 12,404 | 443,443 | |||||||||
The Corporate Executive Board Co. | 5,042 | 192,100 | |||||||||
Tower Watson & Co. — Class A | 7,857 | 470,870 | |||||||||
1,493,315 | |||||||||||
Road & Rail (1.5%) | |||||||||||
Con-way, Inc. | 8,451 | 246,431 | |||||||||
JB Hunt Transport Services, Inc. | 13,665 | 615,882 | |||||||||
Kansas City Southern (b) | 16,700 | 1,135,767 | |||||||||
Landstar System, Inc. | 7,118 | 341,095 | |||||||||
Werner Enterprises, Inc. | 6,754 | 162,771 | |||||||||
2,501,946 | |||||||||||
Trading Companies & Distributors (0.8%) | |||||||||||
GATX Corp. | 7,084 | 309,288 | |||||||||
MSC Industrial Direct Co. — Class A | 6,973 | 498,918 | |||||||||
United Rentals, Inc. (b) | 9,524 | 281,434 | |||||||||
Watsco, Inc. | 4,340 | 284,964 | |||||||||
1,374,604 | |||||||||||
Transportation (0.1%) | |||||||||||
UTi Worldwide, Inc. | 15,628 | 207,696 | |||||||||
Information Technology (14.8%) | |||||||||||
Communications Equipment (1.2%) | |||||||||||
ADTRAN, Inc. | 9,622 | 290,200 | |||||||||
Ciena Corp. (b) | 14,729 | 178,221 | |||||||||
Plantronics, Inc. | 6,614 | 235,723 | |||||||||
Polycom, Inc. (b) | 26,931 | 438,975 | |||||||||
Riverbed Technology, Inc. (b) | 23,568 | 553,848 | |||||||||
Tellabs, Inc. | 55,550 | 224,422 | |||||||||
1,921,389 | |||||||||||
Computers & Peripherals (0.5%) | |||||||||||
Diebold, Inc. | 9,488 | 285,304 | |||||||||
NCR Corp. (b) | 23,930 | 393,888 | |||||||||
QLogic Corp. (b) | 15,297 | 229,455 | |||||||||
908,647 | |||||||||||
Electronic Equipment, Instruments & Components (2.2%) | |||||||||||
Arrow Electronics, Inc. (b) | 16,987 | 635,484 | |||||||||
Avnet, Inc. (b) (c) | 22,557 | 701,297 | |||||||||
Ingram Micro, Inc. — Class A (b) | 23,322 | 424,227 | |||||||||
Itron, Inc. (b) | 6,093 | 217,947 | |||||||||
National Instruments Corp. | 14,094 | 365,739 | |||||||||
Tech Data Corp. (b) | 6,274 | 309,998 | |||||||||
Trimble Navigation, Ltd. (b) (c) | 18,747 | 813,620 | |||||||||
Vishay Intertechnology, Inc. (b) | 23,896 | 214,825 | |||||||||
3,683,137 | |||||||||||
Internet Software & Services (1.2%) | |||||||||||
AOL, Inc. (b) | 14,799 | 223,465 | |||||||||
Equinix, Inc. (b) | 7,208 | 730,891 |
Shares | Value(a) | ||||||||||
Monster Worldwide, Inc. (b) | 19,586 | $ | 155,317 | ||||||||
Rackspace Hosting, Inc. (b) | 15,743 | 677,106 | |||||||||
ValueClick, Inc. (b) | 12,555 | 204,521 | |||||||||
1,991,300 | |||||||||||
IT Services (2.5%) | |||||||||||
Acxiom Corp. (b) | 11,900 | 145,299 | |||||||||
Alliance Data Systems Corp. (b) | 7,592 | 788,353 | |||||||||
Broadridge Financial Solutions, Inc. | 18,869 | 425,496 | |||||||||
Convergys Corp. (b) | 18,268 | 233,282 | |||||||||
CoreLogic, Inc. (b) | 16,191 | 209,350 | |||||||||
DST Systems, Inc. | 5,112 | 232,698 | |||||||||
Gartner, Inc. — Class A (b) | 14,415 | 501,210 | |||||||||
Global Payments, Inc. | 11,870 | 562,401 | |||||||||
Jack Henry & Associates, Inc. | 13,163 | 442,408 | |||||||||
Lender Processing Services, Inc. | 12,828 | 193,318 | |||||||||
Mantech International Corp. — Class A | 3,525 | 110,121 | |||||||||
NeuStar, Inc. — Class A (b) | 9,894 | 338,078 | |||||||||
4,182,014 | |||||||||||
Office Electronics (0.2%) | |||||||||||
Zebra Technologies Corp. — Class A (b) | 7,900 | 282,662 | |||||||||
Semiconductors & Semiconductor Equipment (2.5%) | |||||||||||
Atmel Corp. (b) | 70,331 | 569,681 | |||||||||
Cree, Inc. (b) | 17,542 | 386,626 | |||||||||
Cypress Semiconductor Corp. (b) | 23,545 | 397,675 | |||||||||
Fairchild Semiconductor International, Inc. (b) | 19,220 | 231,409 | |||||||||
Integrated Device Technology, Inc. (b) | 21,596 | 117,914 | |||||||||
International Rectifier Corp. (b) | 10,416 | 202,279 | |||||||||
Intersil Corp. — Class A | 19,220 | 200,657 | |||||||||
Lam Research Corp. (b) | 18,175 | 672,838 | |||||||||
MEMC Electronic Materials, Inc. (b) | 35,038 | 138,050 | |||||||||
RF Micro Devices, Inc. (b) | 42,260 | 228,204 | |||||||||
Semtech Corp. (b) | 10,077 | 250,111 | |||||||||
Silicon Laboratories, Inc. (b) | 6,362 | 276,238 | |||||||||
Skyworks Solutions, Inc. (b) | 28,565 | 463,324 | |||||||||
4,135,006 | |||||||||||
Software (4.5%) | |||||||||||
ACI Worldwide, Inc. (b) | 5,093 | 145,864 | |||||||||
Advent Software, Inc. (b) | 4,776 | 116,343 | |||||||||
ANSYS, Inc. (b) | 14,045 | 804,498 | |||||||||
Cadence Design Systems, Inc. (b) | 41,404 | 430,602 | |||||||||
Compuware Corp. (b) | 33,200 | 276,224 | |||||||||
Concur Technologies, Inc. (b) | 7,072 | 359,187 | |||||||||
Factset Research Systems, Inc. | 6,844 | 597,344 | |||||||||
Fair Isaac Corp. | 5,336 | 191,242 | |||||||||
Informatica Corp. (b) | 16,168 | 597,084 | |||||||||
Mentor Graphics Corp. (b) | 14,187 | 192,376 |
See accompanying notes to financial statements.
52
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
MICROS Systems, Inc. (b) | 12,183 | $ | 567,484 | ||||||||
Parametric Technology Corp. (b) | 17,764 | 324,371 | |||||||||
Quest Software, Inc. (b) | 8,589 | 159,755 | |||||||||
Rovi Corp. (b) | 16,723 | 411,051 | |||||||||
Solera Holdings, Inc. | 10,780 | 480,141 | |||||||||
Synopsys, Inc. (b) | 21,787 | 592,606 | |||||||||
TIBCO Software, Inc. (b) | 24,511 | 586,058 | |||||||||
VeriFone Systems, Inc. (b) | 16,003 | 568,427 | |||||||||
7,400,657 | |||||||||||
Materials (6.5%) | |||||||||||
Chemicals (2.8%) | |||||||||||
Albemarle Corp. | 13,495 | 695,127 | |||||||||
Ashland, Inc. | 11,875 | 678,775 | |||||||||
Cabot Corp. | 9,668 | 310,729 | |||||||||
Cytec Industries, Inc. | 7,539 | 336,616 | |||||||||
Intrepid Potash, Inc. (b) | 8,003 | 181,108 | |||||||||
Minerals Technologies, Inc. | 2,683 | 151,670 | |||||||||
NewMarket Corp. | 1,633 | 323,514 | |||||||||
Olin Corp. | 12,187 | 239,475 | |||||||||
RPM International, Inc. | 19,922 | 489,085 | |||||||||
Sensient Technologies Corp. | 7,614 | 288,571 | |||||||||
The Scotts Miracle-Gro Co. — Class A | 6,557 | 306,146 | |||||||||
Valspar Corp. | 14,209 | 553,725 | |||||||||
4,554,541 | |||||||||||
Construction Materials (0.3%) | |||||||||||
Martin Marietta Materials, Inc. | 6,973 | 525,834 | |||||||||
Containers & Packaging (1.8%) | |||||||||||
Aptargroup, Inc. | 10,072 | 525,456 | |||||||||
Greif, Inc. — Class A | 4,694 | 213,812 | |||||||||
Packaging Corp. of America | 14,792 | 373,350 | |||||||||
Rock-Tenn Co. — Class A | 10,734 | 619,352 | |||||||||
Silgan Holdings, Inc. | 7,534 | 291,114 | |||||||||
Sonoco Products Co. | 15,200 | 500,992 | |||||||||
Temple-Inland, Inc. | 16,668 | 528,542 | |||||||||
3,052,618 | |||||||||||
Metals & Mining (1.2%) | |||||||||||
Carpenter Technology Corp. | 6,736 | 346,769 | |||||||||
Commercial Metals Co. | 17,566 | 242,938 | |||||||||
Compass Minerals International, Inc. | 4,956 | 341,221 | |||||||||
Reliance Steel & Aluminum Co. | 11,398 | 554,969 | |||||||||
Steel Dynamics, Inc. | 33,249 | 437,224 | |||||||||
Worthington Industries, Inc. | 8,141 | 133,349 | |||||||||
2,056,470 | |||||||||||
Paper & Forest Products (0.4%) | |||||||||||
Domtar Corp. | 5,546 | 443,458 | |||||||||
Louisiana-Pacific Corp. (b) | 20,718 | 167,195 | |||||||||
610,653 | |||||||||||
Telecommunication Services (0.5%) | |||||||||||
Diversified Telecommunication Services (0.3%) | |||||||||||
tw telecom, Inc. (b) | 22,707 | 440,062 | |||||||||
Wireless Telecommunication Services (0.2%) | |||||||||||
Telephone & Data Systems, Inc. | 13,989 | 362,175 |
Shares | Value(a) | ||||||||||
Utilities (6.0%) | |||||||||||
Electric Utilities (1.7%) | |||||||||||
Cleco Corp. | 9,223 | $ | 351,396 | ||||||||
Great Plains Energy, Inc. | 20,629 | 449,300 | |||||||||
Hawaiian Electric Industries, Inc. | 14,591 | 386,370 | |||||||||
IDACORP, Inc. | 7,566 | 320,874 | |||||||||
NV Energy, Inc. | 35,880 | 586,638 | |||||||||
PNM Resources, Inc. | 12,110 | 220,765 | |||||||||
Westar Energy, Inc. | 17,815 | 512,716 | |||||||||
2,828,059 | |||||||||||
Gas Utilities (1.9%) | |||||||||||
Atmos Energy Corp. | 13,738 | 458,163 | |||||||||
Energen Corp. | 10,961 | 548,050 | |||||||||
National Fuel Gas Co. | 12,595 | 700,030 | |||||||||
Questar Corp. | 26,999 | 536,200 | |||||||||
UGI Corp. | 17,553 | 516,058 | |||||||||
WGL Holdings, Inc. | 7,819 | 345,756 | |||||||||
3,104,257 | |||||||||||
Multi-Utilities (2.1%) | |||||||||||
Alliant Energy Corp. | 16,873 | 744,268 | |||||||||
Black Hills Corp. | 6,000 | 201,480 | |||||||||
MDU Resources Group, Inc. | 28,703 | 615,966 | |||||||||
NSTAR | 15,749 | 739,573 | |||||||||
OGE Energy Corp. | 14,908 | 845,433 | |||||||||
Vectren Corp. | 12,444 | 376,182 | |||||||||
3,522,902 | |||||||||||
Water Utilities (0.3%) | |||||||||||
Aqua America, Inc. | 21,067 | 464,527 | |||||||||
Total common stocks (cost: $138,035,943) | 159,576,248 | ||||||||||
Short-Term Securities (3.8%) | |||||||||||
Investment Companies (3.8%) | |||||||||||
JPMorgan U.S. Government Money Market Fund, current rate 0.010% | 500,000 | 500,000 | |||||||||
SEI Investments Treasury Mutual Funds, current rate 0.010% | 650,000 | 650,000 | |||||||||
Wells Fargo Advantage Treasury Plus Money Market Fund, current rate 0.010% | 5,234,187 | 5,234,187 | |||||||||
Total short-term securities (cost: $6,384,187) | 6,384,187 | ||||||||||
Total investments in securities (cost: $144,420,130) (e) | 165,960,435 | ||||||||||
Liabilities in excess of cash and other assets (0.0%) | (60,852 | ) | |||||||||
Total net assets (100.0%) | $ | 165,899,583 |
Investments in Securities Legend
(a) Securities are valued by procedures described in Note 2 of the Notes to Financial Statements.
(b) Non-income producing security.
(c) Fully or partially pledged as initial margin deposits on open futures contracts.
See accompanying notes to financial statements.
53
Advantus Series Fund, Inc.
Investments in Securities – continued
Holdings of Open Futures Contracts
On December 31, 2011, securities with an aggregate market value of $2,652,520 have been segregated to cover margin requirements for the following open futures contracts:
Type | Expiration | Number of Contracts | Position Type | Unrealized Appreciation | |||||||||||||||
S&P Mid 400® E-Mini Future | March 2012 | 69 | Long | $ | 10,318 | ||||||||||||||
69 | $ | 10,318 |
(d) The Portfolio held 0.8% of net assets in foreign securities at December 31, 2011.
(e) At December 31, 2011 the cost of securities for federal income tax purposes was $145,230,192. The aggregate unrealized appreciation and depreciation of investments in securities based on this cost were:
Gross unrealized appreciation | $ | 34,374,542 | |||||
Gross unrealized depreciation | (13,644,299 | ) | |||||
Net unrealized appreciation | $ | 20,730,243 |
Shares | Value(a) | ||||||||||
Real Estate Securities Portfolio | |||||||||||
Common Stocks (95.3%) | |||||||||||
Consumer Discretionary (1.5%) | |||||||||||
Hotels, Restaurants & Leisure (1.3%) | |||||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 27,300 | $ | 1,309,581 | ||||||||
Household Durables (0.2%) | |||||||||||
Lennar Corp. — Class A | 10,000 | 196,500 | |||||||||
Financial (92.2%) | |||||||||||
Diversified Real Estate Activities (0.3%) | |||||||||||
The St Joe Co. (c) | 17,941 | 263,015 | |||||||||
Diversified REIT's (4.1%) | |||||||||||
PS Business Parks, Inc. | 18,600 | 1,030,998 | |||||||||
Retail Opportunity Investments Corp. | 89,200 | 1,056,128 | |||||||||
Vornado Realty Trust | 25,886 | 1,989,598 | |||||||||
4,076,724 | |||||||||||
Industrial REIT's (4.3%) | |||||||||||
EastGroup Properties, Inc. | 12,600 | 547,848 | |||||||||
ProLogis, Inc. | 128,881 | 3,684,708 | |||||||||
4,232,556 | |||||||||||
Mortgage REIT's (0.4%) | |||||||||||
Colony Financial, Inc. | 24,700 | 388,037 | |||||||||
Office REIT's (16.3%) | |||||||||||
Alexandria Real Estate Equities, Inc. | 30,400 | 2,096,688 | |||||||||
BioMed Realty Trust, Inc. | 80,100 | 1,448,208 | |||||||||
Boston Properties, Inc. | 45,083 | 4,490,267 | |||||||||
Brandywine Realty Trust | 36,500 | 346,750 | |||||||||
Digital Realty Trust, Inc. | 31,900 | 2,126,773 | |||||||||
Douglas Emmett, Inc. | 28,408 | 518,162 |
Shares | Value(a) | ||||||||||
Duke Realty Corp. | 53,300 | $ | 642,265 | ||||||||
Kilroy Realty Corp. | 61,100 | 2,326,077 | |||||||||
SL Green Realty Corp. | 31,800 | 2,119,152 | |||||||||
16,114,342 | |||||||||||
Real Estate Operating Companies (2.7%) | |||||||||||
Brookfield Properties Corp. (b) | 145,816 | 2,280,562 | |||||||||
Forest City Enterprises, Inc. — Class A (c) | 35,900 | 424,338 | |||||||||
2,704,900 | |||||||||||
Real Estate Services (0.4%) | |||||||||||
CBRE Group, Inc. (c) | 26,100 | 397,242 | |||||||||
Residential REIT's (21.2%) | |||||||||||
American Campus Communities, Inc. | 10,565 | 443,308 | |||||||||
Associated Estates Realty Corp. | 73,400 | 1,170,730 | |||||||||
AvalonBay Communities, Inc. | 23,900 | 3,121,340 | |||||||||
Boardwalk Real Estate Investment Trust (b) | 14,400 | 713,318 | |||||||||
BRE Properties, Inc. | 17,900 | 903,592 | |||||||||
Camden Property Trust | 42,100 | 2,620,304 | |||||||||
Equity Lifestyle Properties, Inc. | 5,200 | 346,788 | |||||||||
Equity Residential (d) | 96,600 | 5,509,098 | |||||||||
Essex Property Trust, Inc. | 10,616 | 1,491,654 | |||||||||
Home Properties, Inc. | 20,800 | 1,197,456 | |||||||||
Mid-America Apartment Communities, Inc. | 25,900 | 1,620,045 | |||||||||
Post Properties, Inc. | 15,200 | 664,544 | |||||||||
UDR, Inc. | 45,800 | 1,149,580 | |||||||||
20,951,757 | |||||||||||
Retail REIT's (20.5%) | |||||||||||
Acadia Realty Trust | 74,536 | 1,501,155 | |||||||||
Agree Realty Corp. | 38,684 | 943,116 | |||||||||
CBL & Associates Properties, Inc. | 43,600 | 684,520 | |||||||||
Cedar Shopping Centers, Inc. | 53,994 | 232,714 | |||||||||
DDR Corp. | 133,400 | 1,623,478 | |||||||||
Kimco Realty Corp. | 17,700 | 287,448 | |||||||||
Primaris Retail Real Estate Investment Trust (b) | 29,862 | 604,425 | |||||||||
Regency Centers Corp. | 24,200 | 910,404 | |||||||||
Simon Property Group, Inc. | 73,079 | 9,422,806 | |||||||||
The Macerich Co. | 54,369 | 2,751,072 | |||||||||
Weingarten Realty Investors | 61,100 | 1,333,202 | |||||||||
20,294,340 | |||||||||||
Specialized REIT's (22.0%) | |||||||||||
CubeSmart | 147,200 | 1,566,208 | |||||||||
HCP, Inc. | 82,400 | 3,413,832 | |||||||||
Health Care REIT, Inc. | 63,700 | 3,473,561 | |||||||||
Hersha Hospitality Trust | 187,079 | 912,946 | |||||||||
Host Hotels & Resorts, Inc. (d) | 174,746 | 2,580,998 | |||||||||
LaSalle Hotel Properties | 33,000 | 798,930 | |||||||||
LTC Properties, Inc. | 17,100 | 527,706 | |||||||||
Public Storage | 24,400 | 3,280,824 | |||||||||
Sovran Self Storage, Inc. | 22,700 | 968,609 |
See accompanying notes to financial statements.
54
Advantus Series Fund, Inc.
Investments in Securities – continued
Shares | Value(a) | ||||||||||
Sunstone Hotel Investors, Inc. (c) | 83,300 | $ | 678,895 | ||||||||
Ventas, Inc. | 64,396 | 3,550,151 | |||||||||
21,752,660 | |||||||||||
Telecommunication Services (1.6%) | |||||||||||
Wireless Telecommunication Services (1.6%) | |||||||||||
American Tower Corp. — Class A | 12,300 | 738,123 | |||||||||
Crown Castle International Corp. (c) | 19,200 | 860,160 | |||||||||
1,598,283 | |||||||||||
Total common stocks (cost: $67,223,550) | 94,279,937 | ||||||||||
Preferred Stocks (1.8%) | |||||||||||
Financial (1.8%) | |||||||||||
Diversified REIT's (0.5%) | |||||||||||
CapLease, Inc. (Series A) | 20,500 | 492,615 | |||||||||
Office REIT's (0.8%) | |||||||||||
Digital Realty Trust, Inc. Series E | 30,500 | 780,495 | |||||||||
Specialized REIT's (0.5%) | |||||||||||
Pebblebrook Hotel Trust Series B | 23,500 | 536,035 | |||||||||
Total preferred stocks (cost: $1,817,305) | 1,809,145 | ||||||||||
Exchange Traded Funds (0.2%) | |||||||||||
ProShares UltraShort Real Estate (ETF) | 3,800 | 139,688 | |||||||||
Total exchange traded funds (cost: $156,309) | 139,688 |
Shares | Value(a) | ||||||||||
Short-Term Securities (2.7%) | |||||||||||
Investment Company (2.7%) | |||||||||||
Wells Fargo Advantage Treasury Plus Money Market Fund, current rate 0.010% | 2,678,329 | $ | 2,678,329 | ||||||||
Total short-term securities (cost: $2,678,329) | 2,678,329 | ||||||||||
Total investments in securities (cost: $71,875,493) (e) | 98,907,099 | ||||||||||
Liabilities in excess of cash and other assets (0.0%) | (5,369 | ) | |||||||||
Total net assets (100.0%) | $ | 98,901,730 |
Investments in Securities Legend
(a) Securities are valued by procedures described in Note 2 of the Notes to Financial Statements.
(b) The Portfolio held 3.6% of net assets in foreign securities at December 31, 2011.
(c) Non-income producing security.
(d) Fully or partially pledged as collateral for the following call options written (see Notes 2 and 7.)
Call Options Written | Contracts | Expiration Date | Exercise Price | Value(a) | |||||||||||||||
Host Hotels & Resorts, Inc. | 274 | January 2012 | $ | 15.00 | $ | (10,138 | ) | ||||||||||||
Equity Residential | 173 | April 2012 | 60.00 | (32,178 | ) | ||||||||||||||
Total Call Options Written | $ | (42,316 | ) |
(e) At December 31, 2011 the cost of securities for federal income tax purposes was $73,700,218. The aggregate unrealized appreciation and depreciation of investments in securities based on this cost were:
Gross unrealized appreciation | $ | 25,766,240 | |||||
Gross unrealized depreciation | (559,359 | ) | |||||
Net unrealized appreciation | $ | 25,206,881 |
See accompanying notes to financial statements.
55
Advantus Series Fund, Inc.
Statements of Assets and Liabilities
December 31, 2011
Bond Portfolio | Money Market Portfolio | Mortgage Securities Portfolio | Index 500 Portfolio | ||||||||||||||||
Assets | |||||||||||||||||||
Investments in securities, at market value – see accompanying schedule for detailed listing* | $ | 362,327,547 | $ | 108,300,904 | $ | 119,888,286 | $ | 419,019,857 | |||||||||||
Cash in bank on demand deposit | – | – | – | 12,991 | |||||||||||||||
Foreign currency in bank on deposit (identified cost $4,476,239 for International Bond Portfolio) | – | – | – | – | |||||||||||||||
Receivable for Fund shares sold | 2,162 | – | 1 | 148 | |||||||||||||||
Receivable for investment securities sold (including paydowns) | 34,423 | – | 575,471 | – | |||||||||||||||
Dividends and accrued interest receivable | 2,623,558 | 24,295 | 391,783 | 624,927 | |||||||||||||||
Receivable for refundable foreign income taxes withheld | – | – | – | – | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts held, at value | – | – | – | – | |||||||||||||||
Prepaid expenses | 8,399 | 2,622 | 2,452 | 10,045 | |||||||||||||||
Total assets | 364,996,089 | 108,327,821 | 120,857,993 | 419,667,968 | |||||||||||||||
Liabilities | |||||||||||||||||||
Bank overdraft | – | – | 751 | – | |||||||||||||||
Payable for Fund shares repurchased | 79,174 | 179,545 | 28,734 | 41,707 | |||||||||||||||
Payable for investment securities purchased | – | – | – | – | |||||||||||||||
Payable for investment securities purchased on a forward – commitment basis (note 2) | 4,943,379 | – | 15,477,026 | – | |||||||||||||||
Payable to Adviser | 202,015 | 1,210 | 62,976 | 144,269 | |||||||||||||||
Accrued expenses | 52,154 | 32,067 | 39,410 | 52,548 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts held, at value | – | – | – | – | |||||||||||||||
Call options written at value (premiums of $51,223 for Real Estate Portfolio) | – | – | – | – | |||||||||||||||
Variation margin payable | 8,812 | – | – | 28,320 | |||||||||||||||
Total liabilities | 5,285,534 | 212,822 | 15,608,897 | 266,844 | |||||||||||||||
Net assets applicable to outstanding capital stock | $ | 359,710,555 | $ | 108,114,999 | $ | 105,249,096 | $ | 419,401,124 | |||||||||||
Represented by: | |||||||||||||||||||
Capital stock – authorized 10 trillion shares of $.01 par value** | $ | 1,927,708 | $ | 1,081,584 | $ | 624,654 | $ | 946,315 | |||||||||||
Additional paid-in-capital | 379,301,965 | 107,074,704 | 132,037,407 | 205,983,086 | |||||||||||||||
Undistributed net investment income (loss) | – | – | – | – | |||||||||||||||
Accumulated net realized gains (losses) from investments and foreign currency transactions (note 2) | (27,354,741 | ) | (41,289 | ) | (27,415,374 | ) | (4,255,802 | ) | |||||||||||
Unrealized appreciation (depreciation) on investments, written options, and translation of assets and liabilities in foreign currencies | 5,835,623 | – | 2,409 | 216,727,525 | |||||||||||||||
Total – representing net assets applicable to outstanding capital stock | $ | 359,710,555 | $ | 108,114,999 | $ | 105,249,096 | $ | 419,401,124 | |||||||||||
Net assets by class: | |||||||||||||||||||
Class 1 | $ | 421,404 | $ | N/A | $ | 196,315 | $ | 420,719 | |||||||||||
Class 2 | 359,289,151 | 108,114,999 | 105,052,781 | 418,980,405 | |||||||||||||||
Net asset value per share of outstanding capital stock by class: | |||||||||||||||||||
Class 1 | 1.880 | N/A | 1.698 | 4.465 | |||||||||||||||
Class 2 | 1.866 | 1.000 | 1.685 | 4.432 | |||||||||||||||
* Identified cost | $ | 356,408,246 | $ | 108,300,904 | $ | 119,885,877 | $ | 202,613,452 | |||||||||||
** Shares outstanding by class: | |||||||||||||||||||
Class 1 | 224,161 | N/A | 115,646 | 94,223 | |||||||||||||||
Class 2 | 192,546,615 | 108,158,353 | 62,349,771 | 94,537,301 |
See accompanying notes to financial statements.
56
International Bond Portfolio | Index 400 Mid-Cap Portfolio | Real Estate Securities Portfolio | |||||||||||||
Assets | |||||||||||||||
Investments in securities, at market value – see accompanying schedule for detailed listing* | $ | 106,244,729 | $ | 165,960,435 | $ | 98,907,099 | |||||||||
Cash in bank on demand deposit | – | – | 17,864 | ||||||||||||
Foreign currency in bank on deposit (identified cost $4,476,239 for International Bond Portfolio) | 4,469,566 | – | – | ||||||||||||
Receivable for Fund shares sold | 13,827 | 83,234 | 3,905 | ||||||||||||
Receivable for investment securities sold (including paydowns) | 5,267 | 85,027 | 640,174 | ||||||||||||
Dividends and accrued interest receivable | 1,415,539 | 165,456 | 337,697 | ||||||||||||
Receivable for refundable foreign income taxes withheld | 154,499 | – | – | ||||||||||||
Unrealized appreciation on forward foreign currency contracts held, at value | 2,361,772 | – | – | ||||||||||||
Prepaid expenses | 2,753 | 3,995 | 2,374 | ||||||||||||
Total assets | 114,667,952 | 166,298,147 | 99,909,113 | ||||||||||||
Liabilities | |||||||||||||||
Bank overdraft | – | – | – | ||||||||||||
Payable for Fund shares repurchased | 12,429 | – | 9,046 | ||||||||||||
Payable for investment securities purchased | – | 276,390 | 835,802 | ||||||||||||
Payable for investment securities purchased on a forward – commitment basis (note 2) | – | – | – | ||||||||||||
Payable to Adviser | 85,028 | 59,342 | 80,995 | ||||||||||||
Accrued expenses | 69,234 | 39,500 | 39,224 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts held, at value | 3,119,887 | – | – | ||||||||||||
Call options written at value (premiums of $51,223 for Real Estate Portfolio) | – | – | 42,316 | ||||||||||||
Variation margin payable | – | 23,332 | – | ||||||||||||
Total liabilities | 3,286,578 | 398,564 | 1,007,383 | ||||||||||||
Net assets applicable to outstanding capital stock | $ | 111,381,374 | $ | 165,899,583 | $ | 98,901,730 | |||||||||
Represented by: | |||||||||||||||
Capital stock – authorized 10 trillion shares of $.01 par value** | $ | 530,482 | $ | 786,762 | $ | 379,945 | |||||||||
Additional paid-in-capital | 110,262,921 | 144,382,578 | 79,439,067 | ||||||||||||
Undistributed net investment income (loss) | (1,158,129 | ) | – | – | |||||||||||
Accumulated net realized gains (losses) from investments and foreign currency transactions (note 2) | – | (820,380 | ) | (7,957,811 | ) | ||||||||||
Unrealized appreciation (depreciation) on investments, written options, and translation of assets and liabilities in foreign currencies | 1,746,100 | 21,550,623 | 27,040,529 | ||||||||||||
Total – representing net assets applicable to outstanding capital stock | $ | 111,381,374 | $ | 165,899,583 | $ | 98,901,730 | |||||||||
Net assets by class: | |||||||||||||||
Class 1 | $ | 394,768 | $ | 248,559 | $ | 457,859 | |||||||||
Class 2 | 110,986,606 | 165,651,024 | 98,443,871 | ||||||||||||
Net asset value per share of outstanding capital stock by class: | |||||||||||||||
Class 1 | 2.115 | 2.124 | 2.623 | ||||||||||||
Class 2 | 2.100 | 2.109 | 2.603 | ||||||||||||
* Identified cost | $ | 103,663,671 | $ | 144,420,130 | $ | 71,875,493 | |||||||||
** Shares outstanding by class: | |||||||||||||||
Class 1 | 186,614 | 117,004 | 174,579 | ||||||||||||
Class 2 | 52,861,610 | 78,559,207 | 37,819,942 |
57
Advantus Series Fund, Inc.
Statements of Operations
Year ended December 31, 2011
Bond Portfolio | Money Market Portfolio | Mortgage Securities Portfolio | Index 500 Portfolio | ||||||||||||||||
Investment Income | |||||||||||||||||||
Interest (net of foreign withholding taxes of $225,136 for International Bond Portfolio) | $ | 11,024,254 | $ | 150,684 | $ | 2,430,861 | $ | 195 | |||||||||||
Dividends (net of foreign withholding taxes of $17,942 for Real Estate Securities Portfolio) | 2,868 | – | 1,628 | 8,972,435 | |||||||||||||||
Total investment income | 11,027,122 | 150,684 | 2,432,489 | 8,972,630 | |||||||||||||||
Expenses (note 4): | |||||||||||||||||||
Investment advisory fee | 1,466,462 | 319,698 | 439,247 | 655,773 | |||||||||||||||
Rule 12b-1 fees – class 2 | 915,564 | 266,415 | 274,074 | 1,092,107 | |||||||||||||||
Shareholder servicing fee | 166,609 | 57,153 | 64,804 | 108,866 | |||||||||||||||
Audit and accounting services | 47,078 | 42,283 | 50,746 | 41,768 | |||||||||||||||
Administrative services fee | 51,023 | 33,000 | 57,623 | 28,682 | |||||||||||||||
Legal fees | 31,029 | 21,307 | 30,785 | 30,019 | |||||||||||||||
Custodian fees | 9,319 | 5,737 | 3,287 | 14,815 | |||||||||||||||
Printing and shareholder reports | 12,749 | 12,749 | 12,749 | 12,749 | |||||||||||||||
Director's fees | 13,375 | 13,375 | 13,375 | 13,375 | |||||||||||||||
Proxy fees | 13,972 | 4,201 | 4,157 | 14,928 | |||||||||||||||
S&P Licensing fee | – | – | – | 40,437 | |||||||||||||||
Insurance | 8,031 | 5,009 | 2,626 | 8,360 | |||||||||||||||
Other | 16,805 | 8,443 | 5,832 | 19,796 | |||||||||||||||
Total expenses before waiver | 2,752,016 | 789,370 | 959,305 | 2,081,675 | |||||||||||||||
Less waiver1 | – | (638,686 | ) | – | – | ||||||||||||||
Total expenses net of waiver | 2,752,016 | 150,684 | 959,305 | 2,081,675 | |||||||||||||||
Investment income – net | 8,275,106 | – | 1,473,184 | 6,890,955 | |||||||||||||||
Realized and unrealized gains (losses) on investments and foreign currencies: | |||||||||||||||||||
Investments (note 3) | 8,758,000 | (6,355 | ) | (1,050,309 | ) | 13,253,897 | |||||||||||||
Foreign currency transactions | – | – | – | – | |||||||||||||||
Net increase from litigation payments | – | – | – | 42,307 | |||||||||||||||
Futures transactions | (1,123,637 | ) | – | – | 510,263 | ||||||||||||||
Net change in unrealized appreciation or depreciation on: | |||||||||||||||||||
Investments | 12,207,673 | – | 6,756,796 | (13,275,421 | ) | ||||||||||||||
Written options | – | – | – | – | |||||||||||||||
Translation of assets and liabilities in foreign currency | – | – | – | – | |||||||||||||||
Futures transactions | 278,377 | – | – | 172,381 | |||||||||||||||
Net gains (losses) on investments | 20,120,413 | (6,355 | ) | 5,706,487 | 703,427 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 28,395,519 | $ | (6,355 | ) | $ | 7,179,671 | $ | 7,594,382 |
1 Waiver includes advisory fees of $319,698, Rule 12b-1 distribution fees of $266,415, and other fees of $52,573.
See accompanying notes to financial statements.
58
International Bond Portfolio | Index 400 Mid-Cap Portfolio | Real Estate Securities Portfolio | |||||||||||||
Investment Income | |||||||||||||||
Interest (net of foreign withholding taxes of $225,136 for International Bond Portfolio) | $ | 5,826,283 | $ | 2,513 | $ | 30 | |||||||||
Dividends (net of foreign withholding taxes of $17,942 for Real Estate Securities Portfolio) | 101 | 2,190,039 | 2,084,722 | ||||||||||||
Total investment income | 5,826,384 | 2,192,552 | 2,084,752 | ||||||||||||
Expenses (note 4): | |||||||||||||||
Investment advisory fee | 692,917 | 266,196 | 708,102 | ||||||||||||
Rule 12b-1 fees – class 2 | 287,853 | 443,110 | 251,915 | ||||||||||||
Shareholder servicing fee | 75,517 | 65,928 | 62,950 | ||||||||||||
Audit and accounting services | 56,525 | 40,052 | 35,786 | ||||||||||||
Administrative services fee | 54,002 | 37,836 | 37,836 | ||||||||||||
Legal fees | 40,329 | 30,019 | 30,019 | ||||||||||||
Custodian fees | 138,191 | 12,402 | 13,475 | ||||||||||||
Printing and shareholder reports | 12,749 | 12,749 | 12,749 | ||||||||||||
Director's fees | 13,375 | 13,375 | 13,375 | ||||||||||||
Proxy fees | 4,512 | 5,874 | 3,532 | ||||||||||||
S&P Licensing fee | – | 17,416 | – | ||||||||||||
Insurance | 2,484 | 3,663 | 2,334 | ||||||||||||
Other | 5,353 | 7,617 | 4,844 | ||||||||||||
Total expenses before waiver | 1,383,807 | 956,237 | 1,176,917 | ||||||||||||
Less waiver1 | – | – | – | ||||||||||||
Total expenses net of waiver | 1,383,807 | 956,237 | 1,176,917 | ||||||||||||
Investment income – net | 4,442,577 | 1,236,315 | 907,835 | ||||||||||||
Realized and unrealized gains (losses) on investments and foreign currencies: | |||||||||||||||
Investments (note 3) | 3,273,445 | 7,738,261 | 5,136,607 | ||||||||||||
Foreign currency transactions | 1,275,339 | – | (682 | ) | |||||||||||
Net increase from litigation payments | – | 5,185 | 45,956 | ||||||||||||
Futures transactions | – | 9,237 | – | ||||||||||||
Net change in unrealized appreciation or depreciation on: | |||||||||||||||
Investments | (6,525,599 | ) | (12,137,733 | ) | (628,350 | ) | |||||||||
Written options | – | – | 8,907 | ||||||||||||
Translation of assets and liabilities in foreign currency | (2,729,440 | ) | – | 16 | |||||||||||
Futures transactions | – | (54,103 | ) | – | |||||||||||
Net gains (losses) on investments | (4,706,255 | ) | (4,439,153 | ) | 4,562,454 | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (263,678 | ) | $ | (3,202,838 | ) | $ | 5,470,289 |
59
Advantus Series Fund, Inc.
Statements of Changes in Net Assets
Year ended December 31, 2011 and year ended December 31, 2010
Bond Portfolio | Money Market Portfolio | Mortgage Securities Portfolio | |||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | ||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
Investment income – net | $ | 8,275,106 | $ | 13,864,789 | $ | – | $ | – | $ | 1,473,184 | $ | 3,505,907 | |||||||||||||||
Net realized gains (losses) on investments | 7,634,363 | 6,208,763 | (6,355 | ) | 1,352 | (1,050,309 | ) | (6,771,039 | ) | ||||||||||||||||||
Net change in unrealized appreciation or depreciation of investments | 12,486,050 | 12,674,731 | – | – | 6,756,796 | 11,015,867 | |||||||||||||||||||||
Net increase in net assets resulting from operations | 28,395,519 | 32,748,283 | (6,355 | ) | 1,352 | 7,179,671 | 7,750,735 | ||||||||||||||||||||
Distribution to shareholders from: | |||||||||||||||||||||||||||
Investment income – net | |||||||||||||||||||||||||||
Class 2 | – | – | – | (34,564 | ) | – | – | ||||||||||||||||||||
Capital stock transactions: | |||||||||||||||||||||||||||
Proceeds from sales | |||||||||||||||||||||||||||
Class 1 | 150,057 | 134,273 | – | – | 66,867 | 83,581 | |||||||||||||||||||||
Class 2 | 6,480,843 | 15,361,117 | 32,834,091 | 38,684,022 | 1,204,394 | 1,927,957 | |||||||||||||||||||||
Shares issued as a result of reinvested distributions | |||||||||||||||||||||||||||
Class 2 | – | – | – | 34,564 | – | – | |||||||||||||||||||||
Payments for redemption of shares | |||||||||||||||||||||||||||
Class 1 | (91,052 | ) | (18,899 | ) | – | – | (40,341 | ) | (11,182 | ) | |||||||||||||||||
Class 2 | (41,479,259 | ) | (28,914,365 | ) | (31,613,708 | ) | (46,153,573 | ) | (15,662,165 | ) | (14,643,958 | ) | |||||||||||||||
Increase (decrease) in net assets from capital stock transactions | (34,939,411 | ) | (13,437,874 | ) | 1,220,383 | (7,434,987 | ) | (14,431,245 | ) | (12,643,602 | ) | ||||||||||||||||
Total increase (decrease) in net assets | (6,543,892 | ) | 19,310,409 | 1,214,028 | (7,468,199 | ) | (7,251,574 | ) | (4,892,867 | ) | |||||||||||||||||
Net assets at beginning of year | 366,254,447 | 346,944,038 | 106,900,971 | 114,369,170 | 112,500,670 | 117,393,537 | |||||||||||||||||||||
Net assets at end of year* | $ | 359,710,555 | $ | 366,254,447 | $ | 108,114,999 | $ | 106,900,971 | $ | 105,249,096 | $ | 112,500,670 | |||||||||||||||
* including undistributed net investment income of | $ | – | $ | – | $ | – | $ | – | $ | – | $ | – | |||||||||||||||
Capital share transactions: | |||||||||||||||||||||||||||
Proceeds from sales | |||||||||||||||||||||||||||
Class 1 | 82,945 | 79,287 | – | – | 40,902 | 53,863 | |||||||||||||||||||||
Class 2 | 3,678,372 | 9,260,474 | 32,834,091 | 38,684,022 | 740,366 | 1,255,005 | |||||||||||||||||||||
Net change from capital transactions | 3,761,317 | 9,339,761 | 32,834,091 | 38,684,022 | 781,268 | 1,308,868 | |||||||||||||||||||||
Shares issued as a result of reinvested distributions | |||||||||||||||||||||||||||
Class 2 | – | – | – | 34,564 | – | – | |||||||||||||||||||||
Payments for redemption of shares | |||||||||||||||||||||||||||
Class 1 | (49,729 | ) | (11,068 | ) | – | – | (24,500 | ) | (7,251 | ) | |||||||||||||||||
Class 2 | (22,974,724 | ) | (17,055,284 | ) | (31,613,708 | ) | (46,153,570 | ) | (9,552,868 | ) | (9,429,587 | ) | |||||||||||||||
Net change from capital transactions | (23,024,453 | ) | (17,066,352 | ) | (31,613,708 | ) | (46,153,570 | ) | (9,577,368 | ) | (9,436,838 | ) |
See accompanying notes to financial statements.
60
Index 500 Portfolio | International Bond Portfolio | ||||||||||||||||||
2011 | 2010 | 2011 | 2010 | ||||||||||||||||
Operations: | |||||||||||||||||||
Investment income – net | $ | 6,890,955 | $ | 6,748,723 | $ | 4,442,577 | $ | 4,527,914 | |||||||||||
Net realized gains (losses) on investments | 13,806,467 | 12,267,286 | 4,548,784 | 1,330,164 | |||||||||||||||
Net change in unrealized appreciation or depreciation of investments | (13,103,040 | ) | 40,418,635 | (9,255,039 | ) | 7,660,966 | |||||||||||||
Net increase in net assets resulting from operations | 7,594,382 | 59,434,644 | (263,678 | ) | 13,519,044 | ||||||||||||||
Distribution to shareholders from: | |||||||||||||||||||
Investment income – net | |||||||||||||||||||
Class 2 | – | – | – | – | |||||||||||||||
Capital stock transactions: | |||||||||||||||||||
Proceeds from sales | |||||||||||||||||||
Class 1 | 217,582 | 155,662 | 164,442 | 148,914 | |||||||||||||||
Class 2 | 17,108,213 | 9,187,159 | 7,201,535 | 8,771,392 | |||||||||||||||
Shares issued as a result of reinvested distributions | |||||||||||||||||||
Class 2 | – | – | – | – | |||||||||||||||
Payments for redemption of shares | |||||||||||||||||||
Class 1 | (54,138 | ) | (62,422 | ) | (60,123 | ) | (19,128 | ) | |||||||||||
Class 2 | (57,829,338 | ) | (66,092,921 | ) | (7,638,810 | ) | (6,678,601 | ) | |||||||||||
Increase (decrease) in net assets from capital stock transactions | (40,557,681 | ) | (56,812,522 | ) | (332,956 | ) | 2,222,577 | ||||||||||||
Total increase (decrease) in net assets | (32,963,299 | ) | 2,622,122 | (596,634 | ) | 15,741,621 | |||||||||||||
Net assets at beginning of year | 452,364,423 | 449,742,301 | 111,978,008 | 96,236,387 | |||||||||||||||
Net assets at end of year* | $ | 419,401,124 | $ | 452,364,423 | $ | 111,381,374 | $ | 111,978,008 | |||||||||||
* including undistributed net investment income of | $ | – | $ | – | $ | (1,158,129 | ) | $ | (455,886 | ) | |||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from sales | |||||||||||||||||||
Class 1 | 49,081 | 39,414 | 75,960 | 73,207 | |||||||||||||||
Class 2 | 3,776,531 | 2,389,943 | 3,338,538 | 4,390,666 | |||||||||||||||
Net change from capital transactions | 3,825,612 | 2,429,357 | 3,414,498 | 4,463,873 | |||||||||||||||
Shares issued as a result of reinvested distributions | |||||||||||||||||||
Class 2 | – | – | – | – | |||||||||||||||
Payments for redemption of shares | |||||||||||||||||||
Class 1 | (12,241 | ) | (15,960 | ) | (27,886 | ) | (9,392 | ) | |||||||||||
Class 2 | (12,878,294 | ) | (16,799,827 | ) | (3,532,181 | ) | (3,332,731 | ) | |||||||||||
Net change from capital transactions | (12,890,535 | ) | (16,815,787 | ) | (3,560,067 | ) | (3,342,123 | ) |
61
Advantus Series Fund, Inc.
Statements of Changes in Net Assets – continued
Year ended December 31, 2011 and year ended December 31, 2010
Index 400 Mid-Cap Portfolio | Real Estate Securities Portfolio | ||||||||||||||||||
2011 | 2010 | 2011 | 2010 | ||||||||||||||||
Operations: | |||||||||||||||||||
Investment income – net | $ | 1,236,315 | $ | 1,169,432 | $ | 907,835 | $ | 847,981 | |||||||||||
Net realized gains (losses) on investments | 7,752,683 | 7,218,115 | 5,181,881 | 12,703,765 | |||||||||||||||
Net change in unrealized appreciation or depreciation of investments | (12,191,836 | ) | 29,646,845 | (619,427 | ) | 10,404,969 | |||||||||||||
Net increase in net assets resulting from operations | (3,202,838 | ) | 38,034,392 | 5,470,289 | 23,956,715 | ||||||||||||||
Capital stock transactions: | |||||||||||||||||||
Proceeds from sales | |||||||||||||||||||
Class 1 | 96,954 | 70,252 | 173,435 | 143,001 | |||||||||||||||
Class 2 | 4,531,217 | 13,337,022 | 2,302,364 | 2,494,555 | |||||||||||||||
Payments for redemption of shares | |||||||||||||||||||
Class 1 | (22,246 | ) | (11,644 | ) | (43,743 | ) | (18,222 | ) | |||||||||||
Class 2 | (18,207,413 | ) | (15,121,566 | ) | (11,109,452 | ) | (12,620,362 | ) | |||||||||||
Increase (decrease) in net assets from capital stock transactions | (13,601,488 | ) | (1,725,936 | ) | (8,677,396 | ) | (10,001,028 | ) | |||||||||||
Total increase (decrease) in net assets | (16,804,326 | ) | 36,308,456 | (3,207,107 | ) | 13,955,687 | |||||||||||||
Net assets at beginning of year | 182,703,909 | 146,395,453 | 102,108,837 | 88,153,150 | |||||||||||||||
Net assets at end of year* | $ | 165,899,583 | $ | 182,703,909 | $ | 98,901,730 | $ | 102,108,837 | |||||||||||
* including undistributed (excess of distributions over) net investment income of | $ | – | $ | – | $ | – | $ | – | |||||||||||
Capital share transactions: | |||||||||||||||||||
Proceeds from sales | |||||||||||||||||||
Class 1 | 44,565 | 37,385 | 67,710 | 63,004 | |||||||||||||||
Class 2 | 2,108,236 | 7,246,272 | 920,056 | 1,131,251 | |||||||||||||||
Net change from capital transactions | 2,152,801 | 7,283,657 | 987,766 | 1,194,255 | |||||||||||||||
Shares issued as a result of reinvested distributions | – | – | – | – | |||||||||||||||
Payments for redemption of shares | |||||||||||||||||||
Class 1 | (10,075 | ) | (6,172 | ) | (17,140 | ) | (8,157 | ) | |||||||||||
Class 2 | (8,150,244 | ) | (8,042,781 | ) | (4,328,599 | ) | (5,856,017 | ) | |||||||||||
Net change from capital transactions | (8,160,319 | ) | (8,048,953 | ) | (4,345,739 | ) | (5,864,174 | ) |
See accompanying notes to financial statements.
62
Advantus Series Fund, Inc.
Financial Highlights
Bond Portfolio
Class 1 Shares | |||||||||||||||||||
Year ended December 31, | Inception(a) to December 31, | ||||||||||||||||||
2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.736 | $ | 1.583 | $ | 1.370 | $ | 1.580 | |||||||||||
Income from investment operations: | |||||||||||||||||||
Net investment income (b) | .045 | .067 | .077 | .070 | |||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | .099 | .086 | .136 | (.280 | ) | ||||||||||||||
Total from investment operations | .144 | .153 | .213 | (.210 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.880 | $ | 1.736 | $ | 1.583 | $ | 1.370 | |||||||||||
Total return (c) | 8.30 | % | 9.69 | % | 15.85 | % | (13.53 | )% | |||||||||||
Net assets, end of period (in thousands) | $ | 421 | $ | 331 | $ | 194 | $ | 115 | |||||||||||
Ratios to average net assets: | |||||||||||||||||||
Expenses (d) | .50 | % | .50 | % | .51 | % | .50 | %(e) | |||||||||||
Net investment income | 2.48 | % | 3.94 | % | 5.27 | % | 5.35 | %(e) | |||||||||||
Portfolio turnover rate (excluding short-term securities) | 270.5 | % | 247.1 | % | 266.4 | % | 229.6 | % |
Class 2 Shares | |||||||||||||||||||||||
Year ended December 31, | |||||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period | $ | 1.727 | $ | 1.579 | $ | 1.370 | $ | 1.580 | $ | 1.540 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (b) | .041 | .064 | .073 | .080 | .080 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | .098 | .084 | .136 | (.290 | ) | (.040 | ) | ||||||||||||||||
Total from investment operations | .139 | .148 | .209 | (.210 | ) | .040 | |||||||||||||||||
Net asset value, end of period | $ | 1.866 | $ | 1.727 | $ | 1.579 | $ | 1.370 | $ | 1.580 | |||||||||||||
Total return (c) | 8.03 | % | 9.41 | % | 15.57 | % | (13.52 | )% | 2.29 | %(f) | |||||||||||||
Net assets, end of period (in thousands) | $ | 359,289 | $ | 365,923 | $ | 346,750 | $ | 334,782 | $ | 406,106 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Expenses (d) | .75 | % | .75 | % | .76 | % | .75 | % | .73 | % | |||||||||||||
Net investment income | 2.26 | % | 3.79 | % | 5.04 | % | 5.10 | % | 5.18 | % | |||||||||||||
Portfolio turnover rate (excluding short-term securities) | 270.5 | % | 247.1 | % | 266.4 | % | 229.6 | % | 89.6 | % |
(a) The shares of the Portfolio became effectively registered under the Securities Act of 1933 on November 6, 2007, but shares were not available to the public until February 11, 2008.
(b) Based on average shares outstanding during the year.
(c) Total return figures are based on a share outstanding throughout the period and assume reinvestment of distributions at net asset value. Total return figures do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. For periods less than one year, total return presented has not been annualized.
(d) In addition to fees and expenses which the Portfolio bears directly, the Portfolio indirectly bears a pro rata share of the fees and expenses of the acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.
(e) Adjusted to an annual basis.
(f) In 2007, 0.10% of the Portfolio's total return consists of an unrealized gain on a guarantee and purchase agreement with Securian Financial Group related to unrealized losses incurred on certain securities purchased in conjunction with the Portfolio's securities lending program. Excluding this unrealized gain, the total return would have been 2.19%.
63
Advantus Series Fund, Inc.
Financial Highlights – continued
Money Market Portfolio
Year ended December 31, | |||||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (a) | – | – | .003 | .020 | .040 | ||||||||||||||||||
Total from investment operations | – | – | .003 | .020 | .040 | ||||||||||||||||||
Dividends from net investment income | – | – | (b) | (.003 | ) | (.020 | ) | (.040 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | |||||||||||||
Total return (c) | – | % | .03 | % | .27 | % | 1.95 | % | – | % | |||||||||||||
Net assets, end of period (in thousands) | $ | 108,115 | $ | 106,901 | $ | 114,369 | $ | 149,089 | $ | 133,217 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Expenses before waiver (d) | .69 | % | .78 | % | .77 | % | .68 | % | .68 | % | |||||||||||||
Expenses net of waiver (d) | .14 | %(e) | .23 | %(e) | .65 | %(e) | .68 | % | .68 | % | |||||||||||||
Net investment income | – | % | – | % | .32 | % | 1.88 | % | 4.51 | % |
(a) Based on average shares outstanding during the year.
(b) Amount represents less than $0.0005 per share.
(c) Total return figures are based on a share outstanding throughout the period and assume reinvestment of distributions at net asset value. Total return figures do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares.
(d) In addition to fees and expenses which the Portfolio bears directly, the Portfolio indirectly bears a pro rata share of the fees and expenses of the acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.
(e) Ratio is net of fees waived by the adviser and distributor (see Note 4).
64
Advantus Series Fund, Inc.
Financial Highlights – continued
Mortgage Securities Portfolio
Class 1 Shares | |||||||||||||||||||
Year ended December 31, | Inception(a) to December 31, | ||||||||||||||||||
2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.587 | $ | 1.482 | $ | 1.370 | $ | 1.580 | |||||||||||
Income from investment operations: | |||||||||||||||||||
Net investment income (b) | .025 | .048 | .068 | .070 | |||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | .086 | .057 | .044 | (.280 | ) | ||||||||||||||
Total from investment operations | .111 | .105 | .112 | (.210 | ) | ||||||||||||||
Net asset value, end of period | $ | 1.698 | $ | 1.587 | $ | 1.482 | $ | 1.370 | |||||||||||
Total return (c) | 7.00 | % | 7.02 | % | 8.32 | % | (13.32 | )% | |||||||||||
Net assets, end of period (in thousands) | $ | 196 | $ | 157 | $ | 78 | $ | 49 | |||||||||||
Ratios to average net assets: | |||||||||||||||||||
Expenses (d) | .63 | % | .62 | % | .66 | % | .56 | %(e) | |||||||||||
Net investment income | 1.54 | % | 3.08 | % | 4.78 | % | 5.43 | %(e) | |||||||||||
Portfolio turnover rate (excluding short-term securities) | 241.8 | % | 252.0 | % | 209.6 | % | 127.5 | % |
Class 2 Shares | |||||||||||||||||||||||
Year ended December 31, | |||||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period | $ | 1.579 | $ | 1.479 | $ | 1.370 | $ | 1.570 | $ | 1.520 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (b) | .022 | .046 | .066 | .080 | .080 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | .084 | .054 | .043 | (.280 | ) | (.030 | ) | ||||||||||||||||
Total from investment operations | .106 | .100 | .109 | (.200 | ) | .050 | |||||||||||||||||
Net asset value, end of period | $ | 1.685 | $ | 1.579 | $ | 1.479 | $ | 1.370 | $ | 1.570 | |||||||||||||
Total return (c) | 6.73 | % | 6.76 | % | 8.05 | % | (12.97 | )% | 3.19 | % | |||||||||||||
Net assets, end of period (in thousands) | $ | 105,053 | $ | 112,343 | $ | 117,316 | $ | 132,613 | $ | 187,180 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Expenses (d) | .87 | % | .87 | % | .91 | % | .81 | % | .76 | % | |||||||||||||
Net investment income | 1.34 | % | 3.00 | % | 4.65 | % | 5.18 | % | 5.44 | % | |||||||||||||
Portfolio turnover rate (excluding short-term securities) | 241.8 | % | 252.0 | % | 209.6 | % | 127.5 | % | 87.8 | % |
(a) The shares of the Portfolio became effectively registered under the Securities Act of 1933 on November 6, 2007, but shares were not available to the public until February 11, 2008.
(b) Based on average shares outstanding during the year.
(c) Total return figures are based on a share outstanding throughout the period and assume reinvestment of distributions at net asset value. Total return figures do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. For periods less than one year, total return presented has not been annualized.
(d) In addition to fees and expenses which the Portfolio bears directly, the Portfolio indirectly bears a pro rata share of the fees and expenses of the acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.
(e) Adjusted to an annual basis.
65
Advantus Series Fund, Inc.
Financial Highlights – continued
Index 500 Portfolio
Class 1 Shares | |||||||||||||||||||
Year ended December 31, | Inception(a) to December 31, | ||||||||||||||||||
2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Net asset value, beginning of period | $ | 4.384 | $ | 3.818 | $ | 3.030 | $ | 4.400 | |||||||||||
Income from investment operations: | |||||||||||||||||||
Net investment income (b) | .083 | .072 | .065 | .060 | |||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | (.002 | ) | .494 | .723 | (1.430 | ) | |||||||||||||
Total from investment operations | .081 | .566 | .788 | (1.370 | ) | ||||||||||||||
Net asset value, end of period | $ | 4.465 | $ | 4.384 | $ | 3.818 | $ | 3.030 | |||||||||||
Total return (c) | 1.85 | % | 14.82 | % | 26.18 | % | (31.26 | )% | |||||||||||
Net assets, end of period (in thousands) | $ | 421 | $ | 252 | $ | 130 | $ | 24 | |||||||||||
Ratios to average net assets: | |||||||||||||||||||
Expenses (d) | .23 | % | .22 | % | .23 | % | .22 | %(e) | |||||||||||
Net investment income | 1.88 | % | 1.82 | % | 1.93 | % | 2.10 | %(e) | |||||||||||
Portfolio turnover rate (excluding short-term securities) | 4.6 | % | 4.1 | % | 6.7 | % | 4.6 | % |
Class 2 Shares | |||||||||||||||||||||||
Year ended December 31, | |||||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.362 | $ | 3.809 | $ | 3.030 | $ | 4.820 | $ | 4.590 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (b) | .070 | .061 | .058 | .080 | .070 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | – | .492 | .721 | (1.870 | ) | .160 | |||||||||||||||||
Total from investment operations | .070 | .553 | .779 | (1.790 | ) | .230 | |||||||||||||||||
Net asset value, end of period | $ | 4.432 | $ | 4.362 | $ | 3.809 | $ | 3.030 | $ | 4.820 | |||||||||||||
Total return (c) | 1.59 | % | 14.54 | % | 25.87 | % | (37.21 | )% | 5.02 | %(f) | |||||||||||||
Net assets, end of period (in thousands) | $ | 418,980 | $ | 452,113 | $ | 449,613 | $ | 372,627 | $ | 637,194 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Expenses (d) | .48 | % | .47 | % | .48 | % | .47 | % | .48 | % | |||||||||||||
Net investment income | 1.60 | % | 1.55 | % | 1.81 | % | 1.85 | % | 1.52 | % | |||||||||||||
Portfolio turnover rate (excluding short-term securities) | 4.6 | % | 4.1 | % | 6.7 | % | 4.6 | % | 3.5 | % |
(a) The shares of the Portfolio became effectively registered under the Securities Act of 1933 on November 6, 2007, but shares were not available to the public until February 11, 2008.
(b) Based on average shares outstanding during the year.
(c) Total return figures are based on a share outstanding throughout the period and assume reinvestment of distributions at net asset value. Total return figures do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. For periods less than one year, total return presented has not been annualized.
(d) In addition to fees and expenses which the Portfolio bears directly, the Portfolio indirectly bears a pro rata share of the fees and expenses of the acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.
(e) Adjusted to an annual basis.
(f) In 2007, 0.23% of the Portfolio's total return consists of an unrealized gain on a guarantee and purchase agreement with Securian Financial Group related to unrealized losses incurred on certain securities purchased in conjunction with the Portfolio's securities lending program. Excluding this unrealized gain, the total return would have been 4.79%.
66
Advantus Series Fund, Inc.
Financial Highlights – continued
International Bond Portfolio
Class 1 Shares | |||||||||||||||||||
Year ended December 31, | Inception(a) to December 31, | ||||||||||||||||||
2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Net asset value, beginning of period | $ | 2.116 | $ | 1.853 | $ | 1.570 | $ | 1.540 | |||||||||||
Income from investment operations: | |||||||||||||||||||
Net investment income (b) | .089 | .094 | .070 | .050 | |||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | (.090 | ) | .169 | .213 | (.020 | ) | |||||||||||||
Total from investment operations | (.001 | ) | .263 | .283 | .030 | ||||||||||||||
Net asset value, end of period | $ | 2.115 | $ | 2.116 | $ | 1.853 | $ | 1.570 | |||||||||||
Total return (c) | (.01 | )% | 14.19 | % | 17.85 | % | 2.34 | % | |||||||||||
Net assets, end of period (in thousands) | $ | 395 | $ | 293 | $ | 138 | $ | 60 | |||||||||||
Ratios to average net assets: | |||||||||||||||||||
Expenses (d) | 0.95 | % | .95 | % | .99 | % | 1.00 | %(e) | |||||||||||
Net investment income | 4.07 | % | 4.65 | % | 4.08 | % | 3.38 | %(e) | |||||||||||
Portfolio turnover rate (excluding short-term securities) | 18.8 | % | 11.0 | % | 56.5 | % | 103.8 | % |
Class 2 Shares | |||||||||||||||||||||||
Year ended December 31, | |||||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period | $ | 2.105 | $ | 1.848 | $ | 1.570 | $ | 1.510 | $ | 1.380 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (b) | .083 | .086 | .065 | .050 | .030 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | (.088 | ) | .171 | .213 | .010 | .100 | |||||||||||||||||
Total from investment operations | (.005 | ) | .257 | .278 | .060 | .130 | |||||||||||||||||
Net asset value, end of period | $ | 2.100 | $ | 2.105 | $ | 1.848 | $ | 1.570 | $ | 1.510 | |||||||||||||
Total return (c) | (.26 | )% | 13.90 | % | 17.56 | % | 4.23 | % | 9.43 | % | |||||||||||||
Net assets, end of period (in thousands) | $ | 110,987 | $ | 111,685 | $ | 96,098 | $ | 93,006 | $ | 83,407 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Expenses (d) | 1.20 | % | 1.19 | % | 1.23 | % | 1.25 | % | 1.18 | % | |||||||||||||
Net investment income | 3.85 | % | 4.28 | % | 3.82 | % | 3.13 | % | 2.17 | % | |||||||||||||
Portfolio turnover rate (excluding short-term securities) | 18.8 | % | 11.0 | % | 56.5 | % | 103.8 | % | 139.3 | % |
(a) The shares of the Portfolio became effectively registered under the Securities Act of 1933 on November 6, 2007, but shares were not available to the public until February 11, 2008.
(b) Based on average shares outstanding during the year.
(c) Total return figures are based on a share outstanding throughout the period and assume reinvestment of distributions at net asset value. Total return figures do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. For periods less than one year, total return presented has not been annualized.
(d) In addition to fees and expenses which the Portfolio bears directly, the Portfolio indirectly bears a pro rata share of the fees and expenses of the acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.
(e) Adjusted to an annual basis.
67
Advantus Series Fund, Inc.
Financial Highlights – continued
Index 400 Mid-Cap Portfolio
Class 1 Shares | |||||||||||||||||||
Year ended December 31, | Inception(a) to December 31, | ||||||||||||||||||
2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Net asset value, beginning of period | $ | 2.168 | $ | 1.717 | $ | 1.260 | $ | 1.840 | |||||||||||
Income from investment operations: | |||||||||||||||||||
Net investment income (b) | .021 | .019 | .018 | .020 | |||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | (.065 | ) | .432 | .439 | (.600 | ) | |||||||||||||
Total from investment operations | (.044 | ) | .451 | .457 | (.580 | ) | |||||||||||||
Net asset value, end of period | $ | 2.124 | $ | 2.168 | $ | 1.717 | $ | 1.260 | |||||||||||
Total return (c) | (2.02 | )% | 26.24 | % | 36.77 | % | (31.84 | )% | |||||||||||
Net assets, end of period (in thousands) | $ | 249 | $ | 179 | $ | 88 | $ | 24 | |||||||||||
Ratios to average net assets: | |||||||||||||||||||
Expenses (d) | .29 | % | .31 | % | .34 | % | .32 | %(e) | |||||||||||
Net investment income | 1.09 | % | 1.02 | % | 1.22 | % | 1.33 | %(e) | |||||||||||
Portfolio turnover rate (excluding short-term securities) | 16.3 | % | 13.2 | % | 20.2 | % | 24.0 | % |
Class 2 Shares | |||||||||||||||||||||||
Year ended December 31, | |||||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period | $ | 2.157 | $ | 1.713 | $ | 1.260 | $ | 1.980 | $ | 1.840 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (b) | .015 | .014 | .014 | .020 | .020 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | (.063 | ) | .430 | .439 | (.740 | ) | .120 | ||||||||||||||||
Total from investment operations | (.048 | ) | .444 | .453 | (.720 | ) | .140 | ||||||||||||||||
Net asset value, end of period | $ | 2.109 | $ | 2.157 | $ | 1.713 | $ | 1.260 | $ | 1.980 | |||||||||||||
Total return (c) | (2.26 | )% | 25.93 | % | 36.43 | % | (36.54 | )% | 7.44 | %(f) | |||||||||||||
Net assets, end of period (in thousands) | $ | 165,651 | $ | 182,525 | $ | 146,307 | $ | 112,397 | $ | 167,993 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Expenses (d) | .54 | % | .56 | % | .60 | % | .57 | % | .53 | % | |||||||||||||
Net investment income | .82 | % | .74 | % | 1.01 | % | 1.08 | % | 1.21 | % | |||||||||||||
Portfolio turnover rate (excluding short-term securities) | 16.3 | % | 13.2 | % | 20.2 | % | 24.0 | % | 22.8 | % |
(a) The shares of the Portfolio became effectively registered under the Securities Act of 1933 on November 6, 2007, but shares were not available to the public until February 11, 2008.
(b) Based on average shares outstanding during the year.
(c) Total return figures are based on a share outstanding throughout the period and assume reinvestment of distributions at net asset value. Total return figures do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. For periods less than one year, total return presented has not been annualized.
(d) In addition to fees and expenses which the Portfolio bears directly, the Portfolio indirectly bears a pro rata share of the fees and expenses of the acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.
(e) Adjusted to an annual basis.
(f) In 2007, 0.32% of the Portfolio's total return consists of an unrealized gain on a guarantee and purchase agreement with SFG related to unrealized losses incurred on certain securities purchased in conjunction with the Portfolio's securities lending program. Excluding this unrealized gain, the total return would have been 7.12%.
68
Advantus Series Fund, Inc.
Financial Highlights – continued
Real Estate Securities Portfolio
Class 1 Shares | |||||||||||||||||||
Year ended December 31, | Inception(a) to December 31, | ||||||||||||||||||
2011 | 2010 | 2009 | 2008 | ||||||||||||||||
Net asset value, beginning of period | $ | 2.482 | $ | 1.920 | $ | 1.540 | $ | 2.260 | |||||||||||
Income from investment operations: | |||||||||||||||||||
Net investment income (b) | .031 | .030 | .044 | .040 | |||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | .110 | .532 | .336 | (.760 | ) | ||||||||||||||
Total from investment operations | .141 | .562 | .380 | (.720 | ) | ||||||||||||||
Net asset value, end of period | $ | 2.623 | $ | 2.482 | $ | 1.920 | $ | 1.540 | |||||||||||
Total return (c) | 5.68 | % | 29.23 | % | 24.90 | % | (31.97 | )% | |||||||||||
Net assets, end of period (in thousands) | $ | 458 | $ | 308 | $ | 133 | $ | 38 | |||||||||||
Ratios to average net assets: | |||||||||||||||||||
Expenses (d) | .92 | % | .94 | % | .99 | % | .92 | %(e) | |||||||||||
Net investment income | 2.44 | % | 1.38 | % | 2.85 | % | 2.23 | %(e) | |||||||||||
Portfolio turnover rate (excluding short-term securities) | 57.7 | % | 66.9 | % | 67.1 | % | 43.6 | % |
Class 2 Shares | |||||||||||||||||||||||
Year ended December 31, | |||||||||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Net asset value, beginning of period | $ | 2.469 | $ | 1.915 | $ | 1.540 | $ | 2.410 | $ | 2.860 | |||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income (b) | 0.023 | .020 | .039 | .040 | .070 | ||||||||||||||||||
Net gains (losses) on securities (both realized and unrealized) | 0.111 | .534 | .336 | (.910 | ) | (.520 | ) | ||||||||||||||||
Total from investment operations | .134 | .554 | .375 | (.870 | ) | (.450 | ) | ||||||||||||||||
Net asset value, end of period | $ | 2.603 | $ | 2.469 | $ | 1.915 | $ | 1.540 | $ | 2.410 | |||||||||||||
Total return (c) | 5.42 | % | 28.91 | % | 24.59 | % | (36.27 | )% | (15.76 | )%(f) | |||||||||||||
Net assets, end of period (in thousands) | $ | 98,444 | $ | 101,801 | $ | 88,020 | $ | 71,421 | $ | 115,080 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Expenses (d) | 1.16 | % | 1.19 | % | 1.25 | % | 1.17 | % | 1.08 | % | |||||||||||||
Net investment income | 2.12 | % | .90 | % | 2.67 | % | 1.98 | % | 2.65 | % | |||||||||||||
Portfolio turnover rate (excluding short-term securities) | 57.7 | % | 66.9 | % | 67.1 | % | 43.6 | % | 37.3 | % |
(a) The shares of the Portfolio became effectively registered under the Securities Act of 1933 on November 6, 2007, but shares were not available to the public until February 11, 2008.
(b) Based on average shares outstanding during the year.
(c) Total return figures are based on a share outstanding throughout the period and assume reinvestment of distributions at net asset value. Total return figures do not reflect charges pursuant to the terms of the variable life insurance policies and variable annuity contracts funded by separate accounts that invest in the Portfolio's shares. For periods less than one year, total return presented has not been annualized.
(d) In addition to fees and expenses which the Portfolio bears directly, the Portfolio indirectly bears a pro rata share of the fees and expenses of the acquired funds in which it invests. Such indirect expenses are not included in the above reported expense ratios.
(e) Adjusted to an annual basis.
(f) In 2007, 0.31% of the Portfolio's total return consists of an unrealized gain on a guarantee and purchase agreement with SFG related to unrealized losses incurred on certain securities purchased in conjunction with the Portfolio's securities lending program. Excluding this unrealized gain, the total return would have been (16.07)%.
69
Advantus Series Fund, Inc.
Notes to Financial Statements
December 31, 2011
(1) Organization
Advantus Series Fund, Inc. (the Fund) is a Minnesota corporation registered under the Investment Company Act of 1940, as amended (the "1940 Act") as an open-end management investment company with a series of seven portfolios (each a Portfolio and collectively the Fund: Bond, Money Market, Mortgage Securities, Index 500, International Bond, Index 400 Mid-Cap and Real Estate Securities.) Each Portfolio is diversified except for the International Bond Portfolio. The Fund's prospectus provides a detailed description of each Portfolio's investment objective, policies and strategies. The Portfolios issue two classes of shares: Class 1 and Class 2, except for the Money Market Portfolio which only issues one class of shares (Class 1 shares were registered under the Securities Act of 1933 effective November 6, 2007, but the Portfolio did not commence the issue of Class 1 shares until February 11, 2008). Class 2 shares and shares of the Money Market Portfolio are subject to a Rule 12b-1 fee that Class 1 shares are not. Both classes of shares have identical voting, dividend, liquidation and other rights and the same terms and conditions, except that the Class 1 shares do not have a Rule 12b-1 fee. Income, expenses (other than Rule 12b-1 fees) and realized and unrealized gains or losses are allocated to each class of shares based upon their relative net assets.
The Fund accounts for the assets, liabilities and operations of each Portfolio separately. Shares of the Fund will not be offered directly to the public, but sold only to Minnesota Life Insurance Company's ("Minnesota Life") and Securian Life Insurance Company's ("Securian Life") separate accounts in connection with Minnesota Life and Securian Life variable contracts and policies, and to certain other separate accounts of life insurance affiliates of Minnesota Life and Securian Life, and may also be offered to certain qualified plans.
At a Board of Directors meeting held July 28, 2011, a reorganization agreement was approved under which each Portfolio of the Fund will be reorganized as a separate portfolio of Securian Funds Trust, a newly formed Delaware statutory trust. The successor portfolios will have the same investment adviser, investment objectives, principal strategies and risks as the corresponding predecessor Portfolios and portfolio expenses are not expected to increase as a result of the reorganization. At a meeting of shareholders held October 21, 2011, shareholders of each of the Fund's Portfolios approved the reorganization agreement. The proposed reorganization is scheduled to take effect May 1, 2012, although the date may be adjusted.
(2) Summary of Significant Accounting Policies
The significant accounting policies followed consistently by the Fund are as follows:
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, including disclosure of contingent assets and liabilities, as of the balance sheet date and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.
Investments in Securities
Each Portfolio's net asset value is generally calculated as of the close of normal trading on the New York Stock Exchange (typically 3:00 p.m. Central Time). Investments in securities traded on a U.S. or foreign securities exchange are valued at the last sale price on that exchange prior to the time when assets are valued; securities traded in the over-the-counter market and listed securities for which no sale was reported on that date are valued on the basis of the last current bid price, by an independent pricing service or at a price deemed best to reflect fair value quoted by dealers who make markets in these securities. The pricing service may use models that price securities based on current yields and relative security characteristics, such as coupon rate, maturity date, issuer credit quality, and prepayment speeds as applicable. When market quotations are not readily available, securities are valued at fair value as determined in good faith by the Advantus Capital Valuation
70
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(2) Summary of Significant Accounting Policies – (continued)
Committee (Valuation Committee) under the supervision of the Fund's Board of Directors and in accordance with Board-approved valuation policies and procedures.
A Portfolio's investments will also be valued at fair value by the Valuation Committee if Advantus Capital, investment adviser of the Fund, determines that an event impacting the value of an investment occurred after the close of the security's primary exchange or market (for example, a foreign exchange or market) and before the time the Portfolio's share is calculated. If a significant event impacting the value of a security or group of securities occurs, the Valuation Committee is immediately notified and the members meet promptly to determine whether fair value pricing is needed in accordance with the Fund's valuation procedures and, if so, to approve the pricing methodology to be used.
Short-term securities, with the exception of those held in the Money Market Portfolio, are valued at market. Pursuant to Rule 2a-7 of the 1940 Act, all securities in the Money Market Portfolio are valued at amortized cost, which approximates fair value, in order to maintain a constant net asset value of $1.00 per share. However, there is no assurance the Money Market Portfolio will maintain the $1.00 net asset value.
Security transactions are accounted for on the date the securities are purchased or sold. Realized gains and losses are calculated using the highest-cost basis. Paydowns of securities are recorded as receivables as of the due date, which varies by the issuer. Dividend income is recognized on the ex-dividend date or upon dividend notification for certain foreign securities, and interest income, including amortization of bond premium and accretion of bond discount computed on an effective yield basis, is accrued daily.
Foreign Currency Translations and Forward Foreign Currency Contracts
Securities and other assets and liabilities denominated in foreign currencies are translated daily into U.S. dollars at the closing rate of exchange. Foreign currency amounts related to the purchase or sale of securities, income and expenses are translated at the exchange rate on the transaction date. The Fund isolates the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities on the Statements of Operations.
Net realized foreign exchange gains or losses arise from sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between trade and settlement dates on security transactions, the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
The International Bond Portfolio may enter into forward foreign currency exchange contracts for operational purposes and to protect against adverse exchange rate fluctuations. International Bond may also enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. The net U.S. dollar value of foreign currency underlying all contractual commitments held by International Bond and the resulting unrealized appreciation or depreciation are determined using foreign currency exchange rates from an independent pricing service. International Bond is subject to the credit risk that the other party will not complete the obligations of the contract. The fair values of the forward currency exchange contracts are obtained from an independent pricing source.
Futures Transactions
To gain exposure to or protect itself from market changes, the Portfolios (excluding the Money Market Portfolio) may buy and sell financial futures contracts traded on any U.S. or foreign exchange. The Fund may also buy and write put and call options on these future contracts. Risks of entering into futures contracts and related options include the possibility of an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities.
71
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(2) Summary of Significant Accounting Policies – (continued)
Upon entering into a futures contract, a Portfolio is required to deposit either cash or securities in an amount (initial margin) equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by a Portfolio each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. A Portfolio recognizes a realized gain or loss when the contract is closed or expired.
Repurchase Agreements
Each Portfolio may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a Portfolio acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Portfolio requires at all times that the repurchase agreement be collateralized by cash, U.S. Government securities, U.S. Government-sponsored enterprise securities or corporate securities having a value equal to, or in excess of, the value of the repurchase agreement. If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the value of those securities has declined, a Portfolio may incur a loss upon disposition of the securities. Repurchase agreements are carried at fair value obtained from an independent pricing source. At December 31, 2011, no Portfolios were invested in repurchase agreements.
Options Transactions
Each Portfolio (excluding Money Market Portfolio) may write (i.e., sell) covered call and secured put options and purchase and sell put and call options written by others. Options are a type of derivative financial instrument. The Fund may invest in derivative financial instruments, including options, in order to manage risk or gain exposure to various other investments or markets. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. Option contracts are valued daily and unrealized appreciation or depreciation is recorded. The Fund will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of a security for a purchased put or call option is adjusted by the amount of premium received or paid. The Funds designate collateral consisting of cash, U.S. government securities or other liquid assets sufficient to collateralize the market value of written options.
Federal Taxes
Each Portfolio's policy is to comply with the requirements of Sub Chapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to shareholders. Therefore, no income tax provision is required. Each Portfolio within the Fund is treated as a separate entity for federal income tax purposes. Each Portfolio's policy is to make the required minimum distributions prior to December 31, in order to avoid Federal excise tax.
Management has analyzed the Fund's tax positions taken on federal tax returns for all open tax years and has concluded that as of December 31, 2011, no provision for income tax would be required in the Funds financial statements. The Fund's federal and state income and federal excise tax returns for the 2008, 2009, 2010 and 2011 tax years for which the applicable statutes of limitations have not expired remain subject to examination by the Internal Revenue Service and state departments of revenue.
The Regulated Investment Company Modernization Act of 2010 (the "Modernization Act") modernizes several tax provisions related to Regulated Investment Companies ("RICs") and their shareholders. Generally, the Modernization Act is effective for taxable years beginning after December 22, 2010.
72
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(2) Summary of Significant Accounting Policies – (continued)
Under the Modernization Act, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryovers may be more likely to expire unused.
The capital loss carryovers noted below may be available to offset future realized capital gains and thereby reduce future taxable gains distributions. For federal income tax purposes, the following Portfolios had capital loss carryovers at December 31, 2011 which are available through the date specified to offset future capital gains, if any. It is unlikely the Board of Directors will authorize a distribution of any net realized capital gains until the available capital loss carryovers have been offset or expire.
Carryover expiring in: | No expiration date | ||||||||||||||||||||||||||
Portfolio | 2015 | 2016 | 2017 | 2018 | Short term | Long term | |||||||||||||||||||||
Bond | $ | – | $ | 8,580,960 | $ | 18,313,854 | $ | – | $ | – | $ | – | |||||||||||||||
Money Market | – | – | 34,934 | – | 6,355 | – | |||||||||||||||||||||
Mortgage Securities | 41,705 | 7,319,303 | 11,322,909 | 6,867,362 | – | 1,178,831 | |||||||||||||||||||||
Real Estate Securities | – | – | 6,133,086 | – | – | – |
The Bond and Real Estate Securities Portfolios utilized $7,089,458 and $3,400,876, respectively, of prior capital loss carryovers during the year ended December 31, 2011.
Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of temporary book-to-tax differences. The character of distributions made during the year from net investment income or realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains were recorded by the Portfolios.
On the statements of assets and liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were made as follows:
Undistributed net investment income | Accumulated realized gain (loss) | Additional paid-in-capital | |||||||||||||
Bond | $ | (8,275,106 | ) | $ | (1,243,413 | ) | $ | 9,518,519 | |||||||
Money Market | – | – | – | ||||||||||||
Mortgage Securities | (1,473,184 | ) | (813,277 | ) | 2,286,461 | ||||||||||
Index 500 | (6,890,955 | ) | (13,657,238 | ) | 20,548,193 | ||||||||||
International Bond | (5,144,820 | ) | (4,548,784 | ) | 9,693,604 | ||||||||||
Index 400 Mid-Cap | (1,236,315 | ) | (7,677,151 | ) | 8,913,466 | ||||||||||
Real Estate Securities | (907,835 | ) | 682 | 907,153 |
Included in the reclassification adjustments above are $9,518,519, $2,286,461, $20,548,191, $9,693,604, and $8,913,467, and $907,153 in consent dividends for Bond, Mortgage Securities, Index 500, International Bond, Index 400 Mid-Cap and Real Estate Securities Portfolios, respectively. The shareholders of the portfolios consent to treat these amounts as dividend income for tax purposes although they are not paid (either in cash or reinvested distributions) by the Portfolios.
The tax character of distributions paid for the years indicated is as follows:
Year ended December 31, | |||||||||||
2011 | 2010 | ||||||||||
Money Market Distributions paid from: | |||||||||||
Ordinary Income | $ | – | $ | 34,564 |
73
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(2) Summary of Significant Accounting Policies – (continued)
The Fund intends to distribute long-term capital gains to shareholders in the form of consent dividends. The following are the long-term gains incurred in tax years 2011 and 2010 that have been, or will be, distributed in the following calendar year.
Long-term capital gains incurred in 2011 | Long-term capital gains incurred in 2010 | ||||||||||
Index 500 | $ | 13,324,780 | $ | 10,086,252 | |||||||
International Bond | 580,396 | 502,075 | |||||||||
Index 400 Mid-Cap | 7,074,741 | 431,497 |
As of December 31, 2011, the components of distributable earnings on a tax basis for each Portfolio are as follows:
Undistributed Ordinary Income | Accumulated Long-term gain (loss) | Unrealized appreciation (depreciation) | |||||||||||||
Bond | $ | – | $ | (26,894,814 | ) | $ | 5,375,696 | ||||||||
Money Market | – | (41,289 | ) | – | |||||||||||
Mortgage Securities | – | (26,730,110 | ) | (682,855 | ) | ||||||||||
Index 500 | – | – | 212,471,723 | ||||||||||||
International Bond | – | – | 587,971 | ||||||||||||
Index 400 Mid-Cap | – | – | 20,730,243 | ||||||||||||
Real Estate Securities | – | (6,133,086 | ) | 25,215,804 |
Distributions to Shareholders
Distributions to shareholders from net investment income for the Money Market Portfolio are declared daily and reinvested at month-end in additional shares of capital stock. For Portfolios other than the Money Market Portfolio, distributions from net investment income and realized gains, if any, will generally be declared and reinvested in additional shares on an annual basis. The Portfolios (excluding the Money Market Portfolio) uses consent dividends in place of regular distributions.
Securities Purchased on a When-Issued Basis
Delivery and payment for securities which have been purchased by a Portfolio on a forward commitment or when-issued basis can take place a month or more after the transaction date. During this period, such securities are subject to market fluctuations. As of December 31, 2011, the Bond and Mortgage Securities Portfolios had entered into outstanding, when-issued or forward commitments at fair value of $4,942,866 and $14,983,669, respectively. The Portfolios have segregated assets to cover such when-issued and forward commitments.
New Accounting Pronouncements
In May 2011, FASB issued accounting standards update (ASU) No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure in U.S. GAAP and International Financial Reporting Standards ("IFRS")". FASB concluded that the amendments in this ASU will improve the comparability of fair value measurements presented and disclosed in financial statements prepared in accordance with U.S. GAAP and IFRS. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of these changes and their impact on the financial statements has not been determined.
74
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(3) Investment Security Transactions
The cost of purchases and proceeds from sales of investment securities, other than temporary investments in short-term securities, for the year ended December 31, 2011 were as follows:
Non-U.S. Government | U.S. Government* | ||||||||||||||||||
Purchases | Sales | Purchases | Sales | ||||||||||||||||
Bond | $ | 182,547,984 | $ | 202,400,695 | $ | 782,404,533 | $ | 787,998,584 | |||||||||||
Mortgage Securities | 5,220,423 | 10,351,750 | 254,982,971 | 260,352,341 | |||||||||||||||
Index 500 | 19,983,792 | 51,876,933 | – | – | |||||||||||||||
International Bond | 32,428,232 | 17,457,667 | – | – | |||||||||||||||
Index 400 Mid-Cap | 28,286,525 | 34,116,609 | – | – | |||||||||||||||
Real Estate Securities | 57,842,698 | 62,210,288 | – | – |
* Includes U.S. government-sponsored enterprise securities
(4) Expenses and Related Party Transactions
The Portfolios have an investment advisory agreement with Advantus Capital Management, Inc. ("Advantus Capital"), a wholly-owned subsidiary of Securian Financial Group. Under the advisory agreement, Advantus Capital manages the Portfolio's investments and provides research, statistical and advisory services and pays related office rental and executive expenses and salaries.
Each Portfolio of the Fund pays Advantus Capital an annual fee, based on average daily net assets, in the following amounts:
Annual Fee on Net Assets | |||||||
Bond | .40% of net assets to $1 billion; and .35% of net assets exceeding $1 billion | ||||||
Money Market | .30% of net assets to $1 billion; and .25% of net assets exceeding $1 billion | ||||||
Mortgage Securities | .40% of net assets to $1 billion; and .35% of net assets exceeding $1 billion | ||||||
Index 500 | .15% of net assets to $1 billion; and .10% of net assets exceeding $1 billion | ||||||
International Bond | .60% of net assets to $1 billion; and .55% of net assets exceeding $1 billion | ||||||
Index 400 Mid-Cap | .15% of net assets to $1 billion; and .10% of net assets exceeding $1 billion | ||||||
Real Estate Securities | .70% of net assets to $1 billion; and .65% of net assets exceeding $1 billion | ||||||
Advantus Capital has a sub-advisory agreement with Franklin Advisers, Inc. (the "Sub-Advisor), a registered investment Advisor for the International Bond Portfolio, under which Advantus Capital paid the Sub-Advisor an annual fee of .37% based on average daily net assets.
The Fund bears certain other operating expenses including independent directors' fees, federal registration fees, printing and shareholder report expenses, legal fees, audit fees, custodian fees, compensation paid to the Fund's Chief Compliance Officer, and other miscellaneous expenses. Each Portfolio will pay all expenses directly related to its individual operations. Operating expenses not attributable to a specific Portfolio will be allocated based upon the proportionate daily net assets of each Portfolio.
Administrative Services Fee
Each Portfolio pays an administrative services fee to Minnesota Life for accounting, legal and other administrative services which Minnesota Life provides. Administrative service fees for accounting are allocated to the Portfolios as determined by the providers based on time and effort. Total monthly fees by portfolio range from $1,505 to $3,025. Legal services for each Portfolio are $1,333 per month.
Accounting Services
The Fund has an agreement with State Street Bank and Trust Company (State Street) in which State Street provides daily fund accounting and investment administration services. In 2011, these fees ranged from .02% to .07% of net assets depending on the size and makeup of the Portfolio. The fees are based upon a calculation of a number of factors including base fees, size of assets, out of pocket expenses and certain other fees.
75
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(4) Expenses and Related Party Transactions – (continued)
Distribution Fees
The Fund has adopted a Rule 12b-1 Distribution Plan which covers all of its Class 2 shares and its Money Market Portfolio ("covered Portfolios"). Each covered Portfolio pays distribution fees at the annual rate of .25% of the average daily net assets of the Covered Portfolio. These fees are paid out of the Covered Portfolio's assets, which reduces a Covered Portfolio's net assets as do other Covered Portfolio expenses. The fees are paid to Securian Financial Services, Inc. (Securian), the Fund's underwriter, to pay for distribution-related expenses and activities in connection with the distribution of the Covered Portfolio's shares. Securian may also use the fees to pay insurance companies, dealers or others for certain non-distribution services as provided for in the Distribution Plan.
Net Investment Income Maintenance Agreement for the Money Market Portfolio
Effective October 29, 2009, an amended and restated net investment income maintenance agreement was approved on behalf of the Money Market Portfolio. Under this agreement, Advantus Capital has agreed to waive, reimburse or pay the Money Market Portfolio's investment advisory and other expenses, and Securian Financial has agreed to waive the Money Market Portfolio's Rule 12b-1 fees, so that the Portfolio's daily net investment income does not fall below zero. Advantus Capital and Securian Financial each has the option under the Agreement to recover the full amount waived, reimbursed or paid (the "Expense Waiver") on any day on which the Portfolio's net investment income exceeds zero. On any day, however, the Expense Waiver does not constitute an obligation of the Portfolio unless Advantus Capital or Securian Financial has expressly exercised its right to recover a specified portion of the Expense Waiver on that day, in which case such specified portion is then due and payable by the Portfolio. For the year ended December 31, 2011, the advisory, 12b-1 distribution and other fee waivers totaled $319,698, $266,415 and $52,573 respectively. These amounts are reflected as fees waived in the accompanying Statement of Operations. As of December 31, 2011, Advantus Capital and Securian Financial have collectively waived a cumulative total of $1,466,650 pursuant to the agreement.
(5) Illiquid Securities
Each Portfolio currently limits investments in illiquid securities to 15% of net assets at the time of purchase, except for Money Market which limits the investment in illiquid securities to 5% of net assets. At December 31, 2011, investments in securities of Bond and Mortgage Securities include issues that are illiquid. The aggregate values of illiquid securities held by Bond and Mortgage Securities were $11,302,319 and $3,364,483, respectively, which represent 3.1% and 3.2% of net assets, respectively. Pursuant to guidelines adopted by the Fund's Board of Directors, certain unregistered securities are determined to be liquid and are not included within the percent limitations specified above.
The following is a list of illiquid securities, including acquisition date and cost, as of December 31, 2011:
Security | Acquisition Date | Acquisition Cost | |||||||||
Bond | |||||||||||
BHN I Mortgage Fund | Various | $ | 69,485 | ||||||||
Countryplace Manufactured Housing Contract Trust | 06/29/2005 | 1,754,857 | |||||||||
Global Mortgage Securitization Ltd. | 11/24/2004 | 1,300,765 | |||||||||
Hometown Commercial Mortgage | Various | 3,440,423 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. | 03/22/2010 | 1,280,774 | |||||||||
Multi Security Asset Trust | 02/24/2005 | 1,523,009 | |||||||||
OneBeacon US Holdings, Inc. | Various | 485,704 | |||||||||
StanCorp Financial Group, Inc. | 09/20/2002 | 2,048,865 | |||||||||
Symetra Financial Corp. | Various | 1,707,607 | |||||||||
$ | 13,611,489 |
76
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(5) Illiquid Securities – (continued)
Security | Acquisition Date | Acquisition Cost | |||||||||
Mortgage Securities | |||||||||||
Asset Securitization Corp. | Various | $ | 527,018 | ||||||||
BHN I Mortgage Fund | Various | 61,037 | |||||||||
Countryplace Manufactured Housing Contract Trust | 06/29/2005 | 865,527 | |||||||||
Global Mortgage Securitization Ltd. | 11/24/2004 | 1,079,961 | |||||||||
GMAC Commercial Mortgage Sec. | Various | 9,859 | |||||||||
Hometown Commercial Mortgage | 11/28/2006 | 979,721 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Corp. | 03/22/2010 | 425,047 | |||||||||
Multi Security Asset Trust | 02/24/2005 | 977,503 | |||||||||
$ | 4,925,673 |
(6) Fair Value Measurement
The Fund has established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumption that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances. Level 1 includes unadjusted quoted prices in active markets for identical investments. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, credit risk and prepayment speed). Level 3 includes unobservable inputs, which may include the adviser's own assumptions in determining the fair value of an investment. Other financial instruments are derivative instruments not reflected in total investments, such as futures, forwards, and written options.
The following is a summary of the levels used as of December 31, 2011, in valuing the Portfolio's assets and liabilities:
Fair Value Measurement at December 31, 2011 using | |||||||||||||||||||
Fund* | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Bond | |||||||||||||||||||
Assets | |||||||||||||||||||
Government Obligations | $ | – | $ | 181,590,577 | $ | – | $ | 181,590,577 | |||||||||||
Asset-Backed | – | 19,157,897 | 1,654,362 | 20,812,259 | |||||||||||||||
Other Mortgage-Backed | – | 26,523,240 | 23,906 | 26,547,146 | |||||||||||||||
Corporate Obligations | – | 120,994,081 | – | 120,994,081 | |||||||||||||||
Investment Companies | 12,383,484 | – | – | 12,383,484 | |||||||||||||||
Total Investments | 12,383,484 | 348,265,795 | 1,678,268 | 362,327,547 | |||||||||||||||
Liabilities | |||||||||||||||||||
Other Financial Instruments** Futures Contracts | (83,678 | ) | – | – | (83,678 | ) |
77
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(6) Fair Value Measurement – (continued)
Fair Value Measurement at December 31, 2011 using | |||||||||||||||||||
Fund* | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Money Market | |||||||||||||||||||
Assets | |||||||||||||||||||
Commercial Paper | $ | – | $ | 29,746,627 | $ | – | $ | 29,746,627 | |||||||||||
Corporate Notes | – | 19,277,627 | – | 19,277,627 | |||||||||||||||
U.S. Government Obligations | – | 44,741,511 | – | 44,741,511 | |||||||||||||||
Other Short-Term Investments | – | 5,499,134 | – | 5,499,134 | |||||||||||||||
Investment Companies | 9,036,005 | – | – | 9,036,005 | |||||||||||||||
Total Investments | 9,036,005 | 99,264,899 | – | 108,300,904 | |||||||||||||||
Mortgage Securities | |||||||||||||||||||
Assets | |||||||||||||||||||
Government Obligations | – | 91,412,335 | – | 91,412,335 | |||||||||||||||
Asset-Backed | – | 4,112,716 | 867,653 | 4,980,369 | |||||||||||||||
Other Mortgage-Backed | – | 5,509,815 | 544,165 | 6,053,980 | |||||||||||||||
Investment Companies | 17,441,602 | – | – | 17,441,602 | |||||||||||||||
Total Investments | 17,441,602 | 101,034,866 | 1,411,818 | 119,888,286 | |||||||||||||||
Index 500 | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | 411,282,017 | – | 230 | 411,282,247 | |||||||||||||||
Preferred Stocks | – | – | 230 | 230 | |||||||||||||||
Investment Companies | 7,737,380 | – | – | 7,737,380 | |||||||||||||||
Total Investments | 419,019,397 | – | 460 | 419,019,857 | |||||||||||||||
Other Financial Instruments** Futures Contracts | 321,120 | – | – | 321,120 | |||||||||||||||
International Bond | |||||||||||||||||||
Assets | |||||||||||||||||||
Long Term Debt Securities | |||||||||||||||||||
Argentina | – | 733,055 | – | 733,055 | |||||||||||||||
Australia | – | 11,245,933 | – | 11,245,933 | |||||||||||||||
Brazil | – | 6,856,259 | – | 6,856,259 | |||||||||||||||
Great Britain | – | 1,990,041 | – | 1,990,041 | |||||||||||||||
Hungary | – | 3,437,432 | – | 3,437,432 | |||||||||||||||
Indonesia | – | 8,437,025 | – | 8,437,025 | |||||||||||||||
Ireland | – | 1,592,253 | – | 1,592,253 | |||||||||||||||
Israel | – | 1,229,000 | – | 1,229,000 | |||||||||||||||
Lithuania | – | 2,249,525 | – | 2,249,525 | |||||||||||||||
Malaysia | – | 1,757,553 | – | 1,757,553 | |||||||||||||||
Mexico | – | 6,967,191 | – | 6,967,191 | |||||||||||||||
Philippines | – | 182,246 | – | 182,246 | |||||||||||||||
Poland | – | 9,636,297 | – | 9,636,297 | |||||||||||||||
Qatar | – | 790,600 | – | 790,600 | |||||||||||||||
Russia | – | 3,451,932 | – | 3,451,932 | |||||||||||||||
South Africa | – | 2,404,575 | – | 2,404,575 | |||||||||||||||
South Korea | – | 17,403,521 | – | 17,403,521 | |||||||||||||||
Sri Lanka | �� | – | 1,874,239 | 1,874,239 | |||||||||||||||
Supra-National | – | 417,623 | – | 417,623 | |||||||||||||||
Sweden | – | 4,695,666 | – | 4,695,666 | |||||||||||||||
Ukraine | – | 979,723 | – | 979,723 | |||||||||||||||
United Arab Emirates | – | 931,000 | – | 931,000 |
78
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(6) Fair Value Measurement – (continued)
Fair Value Measurement at December 31, 2011 using | |||||||||||||||||||
Fund* | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
International Bond – (continued) | |||||||||||||||||||
Assets – (continued) | |||||||||||||||||||
United States | $ | – | $ | 2,588,445 | $ | – | $ | 2,588,445 | |||||||||||
Venezuela | – | 787,800 | – | 787,800 | |||||||||||||||
Vietnam | – | 886,600 | – | 886,600 | |||||||||||||||
Short Term Debt Securities | |||||||||||||||||||
Egypt | – | 391,255 | – | 391,255 | |||||||||||||||
Great Britain | – | 1,507,286 | – | 1,507,286 | |||||||||||||||
Hungary | – | 96,961 | – | 96,961 | |||||||||||||||
Israel | – | 1,186,258 | – | 1,186,258 | |||||||||||||||
Malaysia | – | 1,471,142 | 389,229 | 1,860,371 | |||||||||||||||
Norway | – | 3,071,284 | – | 3,071,284 | |||||||||||||||
Philippines | – | 28,679 | 14,649 | 43,328 | |||||||||||||||
Sri Lanka | – | – | 3,646 | 3,646 | |||||||||||||||
United States | – | 145,000 | – | 145,000 | |||||||||||||||
Investment Companies | 4,413,806 | – | – | 4,413,806 | |||||||||||||||
Total Investments | 4,413,806 | 99,549,160 | 2,281,763 | 106,244,729 | |||||||||||||||
Liabilities | |||||||||||||||||||
Other Financial Instruments** Forward Foreign Currency Contracts | – | (758,115 | ) | – | (758,115 | ) | |||||||||||||
Index 400 Mid-Cap | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | 159,576,248 | – | – | 159,576,248 | |||||||||||||||
Investment Companies | 6,384,187 | – | – | 6,384,187 | |||||||||||||||
Total Investments | 165,960,435 | – | – | 165,960,435 | |||||||||||||||
Other Financial Instruments** Futures Contracts | 10,318 | – | – | 10,318 | |||||||||||||||
Real Estate Securities | |||||||||||||||||||
Assets | |||||||||||||||||||
Common Stocks | 94,279,937 | – | – | 94,279,937 | |||||||||||||||
Preferred Stocks | 1,809,145 | – | – | 1,809,145 | |||||||||||||||
Exchange Traded Funds | 139,688 | – | – | 139,688 | |||||||||||||||
Investment Companies | 2,678,329 | – | – | 2,678,329 | |||||||||||||||
Total Investments | 98,907,099 | – | – | 98,907,099 | |||||||||||||||
Liabilities | |||||||||||||||||||
Other Financial Instruments** Written Options | (42,316 | ) | (42,316 | ) |
* For additional details, see Schedule of Investments.
** Investments in Other Financial Instruments are derivative instruments reflected in the notes to the Schedule of Investments in Securities. All derivatives currently held are reflected at the gross unrealized appreciation (depreciation) on the instruments.
79
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(6) Fair Value Measurement – (continued)
Level 2 Measurements:
Corporate obligations comprised of U.S. corporate and foreign corporate fixed maturity securities – These securities are principally valued using the market and income approaches. Valuation based primarily on quoted prices in markets that are not active, or using matrix pricing or other similar techniques that use standard market observable inputs such as a benchmark yields, spreads off benchmark yields, new issuances, issuer rating, duration, and trades of identical or comparable securities. Investment grade privately placed securities are valued using discounted cash flow methodologies using standard market observable inputs, and inputs derived from, or corroborated by, market observable data including market yield curve, duration, call provisions, observable prices and spreads for similar publicly traded or privately traded issues that incorporate the credit quality and industry sector of the issuer.
Asset-backed and other mortgage-backed securities comprised of RMBS, CMBS and ABS fixed maturity securities – These securities are principally valued using the market approach. Valuation is based primarily on matrix pricing or other similar techniques using standard market inputs including spreads for actively traded securities, spreads off benchmark yields, expected prepayment speeds and volumes, current and forecasted loss severity, rating, weighted average coupon, weighted average maturity, average delinquency rates, geographic region, debt-service coverage ratios and issuance-specific information including: collateral type, payment terms of the underlying assets, payment priority within the tranche, structure of the security, deal performance and vintage of loans, etc.
Government obligations comprised of U.S. Treasury, agency and government guaranteed fixed maturity securities – These securities are principally valued using the market approach. Valuation based primarily on quoted prices in markets that are not active or using matrix pricing or other similar techniques using standard market observable inputs such as the benchmark U.S. Treasury yield curve, the spread of the U.S. Treasury curve for the identical security and comparable securities that are actively traded.
Long-term debt securities comprised of foreign government and state and political subdivision fixed maturity securities – These securities are principally valued using the market approach. Valuation is based primarily on matrix pricing or other similar techniques using standard market observable inputs including benchmark U.S. Treasury or other yields, issuer ratings, broker-dealer quotes, issuer spreads and reported trades of similar securities, including those within the same sub-sector or with a similar maturity or credit rating.
Level 3 Measurements:
In general, investments classified within Level 3 use many of the same valuation techniques and inputs as described above. However, if key inputs are unobservable, or if the investments are less liquid and there is very limited trading activity, the investments are generally classified as Level 3.
Corporate obligations comprised of U.S. corporate and foreign corporate securities – These securities, including financial services industry hybrid securities classified within fixed maturity securities, are principally valued using the market and income approaches. Valuations are based primarily on matrix pricing or other similar techniques that utilize unobservable inputs or cannot be derived principally from, or corroborated by, observable market data, including illiquidity premiums and spread adjustments to reflect industry trends or specific credit-related issues. Generally, below investment grade privately placed or distressed securities included in this level are valued using discounted cash flow methodologies which rely upon significant, unobservable inputs and inputs that cannot be derived principally from, or corroborated by, observable market data.
80
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(6) Fair Value Measurement – (continued)
Asset-backed and other mortgage-backed securities comprised of RMBS, CMBS and ABS securities – These securities are principally valued using the market approach. Valuation is based primarily on matrix pricing or other similar techniques that utilize inputs that are unobservable or cannot be derived principally from, or corroborated by, observable market data. Below investment grade securities and ABS supported by sub-prime mortgage loans included in this level are valued based on inputs including quoted prices for identical or similar securities that are less liquid and based on lower levels of trading activity than securities classified in Level 2.
Long-term debt securities comprised of foreign government and state and political subdivision securities – These securities are principally valued using the market approach. Valuation is based primarily on matrix pricing or other similar techniques, however these securities are less liquid and certain of the inputs are based on very limited trading activity.
For the period ended December 31, 2011, it has been determined that no significant transfers between Levels 1 and 2 occurred.
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. The Fund's policy is to recognize transfers between the levels as of the end of the period. The following table presents the fiscal year-to-date activity of Level 3 securities held at the beginning and the end of the period.
Portfolio | Beginning Balance 12/31/2010 | Purchases | Sales | Accrued discounts (premiums) | Total realized and unrealized gains (losses) | Transfers in to Level 3 | Transfers out of Level 3 | Ending Balance 12/31/2011 | Net Change in Unrealized Appreciation (Depreciation) on Investments Held at 12/31/2011 | ||||||||||||||||||||||||||||||
Bond | |||||||||||||||||||||||||||||||||||||||
Asset-Backed | $ | 1,142,426 | $ | – | $ | 86,260 | $ | 2 | $ | 598,194 | $ | – | $ | – | $ | 1,654,362 | $ | 552,275 | |||||||||||||||||||||
Other Mortgage Backed | 1,421,880 | 69,485 | 1,556,452 | 8,074 | 80,919 | – | – | 23,906 | 10,541 | ||||||||||||||||||||||||||||||
Total | 2,564,306 | 69,485 | 1,642,712 | 8,076 | 679,113 | – | – | 1,678,268 | 562,816 | ||||||||||||||||||||||||||||||
Mortgage Securities | |||||||||||||||||||||||||||||||||||||||
Asset-Backed | 862,287 | – | 205,539 | 1 | 210,904 | – | – | 867,653 | 210,880 | ||||||||||||||||||||||||||||||
Other Mortgage Backed | 1,052,193 | 180,821 | 625,551 | (2,199 | ) | (29,873 | ) | – | 31,226 | 544,165 | 42,063 | ||||||||||||||||||||||||||||
Total | 1,914,480 | 180,821 | 831,090 | (2,198 | ) | 181,031 | – | 31,226 | 1,411,818 | 252,943 | |||||||||||||||||||||||||||||
Index 500 | |||||||||||||||||||||||||||||||||||||||
Common | – | 391 | – | – | (161 | ) | – | – | 230 | (161 | ) | ||||||||||||||||||||||||||||
Preferred | – | 391 | – | – | (161 | ) | – | – | 230 | (161 | ) | ||||||||||||||||||||||||||||
Total | – | 782 | – | – | (322 | ) | – | – | 460 | (322 | ) | ||||||||||||||||||||||||||||
International Bond | |||||||||||||||||||||||||||||||||||||||
Egypt | 361,473 | – | 362,569 | 284 | 812 | – | – | – | – | ||||||||||||||||||||||||||||||
Hungary | – | 123,385 | – | 2,225 | (28,649 | ) | – | 96,961 | – | – | |||||||||||||||||||||||||||||
Israel | 1,297,346 | – | 1,326,900 | 16,907 | 12,647 | – | – | – | – | ||||||||||||||||||||||||||||||
Malaysia | 756,258 | 640,778 | 1,005,619 | 27,096 | (29,284 | ) | – | – | 389,229 | 725 | |||||||||||||||||||||||||||||
Philippines | 47,803 | 22,308 | 48,967 | 1,044 | (259 | ) | – | 7,280 | 14,649 | (530 | ) | ||||||||||||||||||||||||||||
Sri Lanka | 2,008,612 | 40,848 | 41,191 | 7,258 | (137,642 | ) | – | – | 1,877,885 | (137,763 | ) | ||||||||||||||||||||||||||||
Total | 4,471,492 | 827,319 | 2,785,246 | 54,814 | (165,122 | ) | – | $ | 104,241 | 2,281,763 | (137,568 | ) |
81
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(7) Derivative Instruments Reporting
The Fund provides, when applicable, disclosures of the location, by line item, of fair value amounts in the statement of financial position and the location, by line item, of amounts of gains and losses reported in the statement of financial performance. Generally the derivative instruments outstanding as of period end are disclosed in the Notes to Schedule of Investments and the amounts of realized and changes in unrealized gains or losses on derivatives during the year as disclosed in the Statement of Operations, serves as indications of the volume of derivatives activity. The volume of currency transactions increased slightly due to changes in global economic conditions, volatility and other factors.
Equity derivatives were purchased or sold to generally manage the Index Portfolios' liquidity and to attempt to replicate intended stock investments to maintain a fully invested Portfolio.
Interest rate derivatives are used both to manage the average duration of a Portfolio's fixed income portfolio, as well as, to hedge against the effects of interest rate changes on a portfolio's current or intended investments.
The Real Estate Securities portfolio has included in its strategy the writing (selling) of covered call options. Generally, the strategy will write call options near our price target for the stock. The goal of the covered call strategy is to enhance income of the portfolio through the receipt of premium income from the sale of the call, and to decrease volatility of the overall portfolio.
Foreign exchange derivatives were used to attempt to hedge against the effects of exchange rate changes on a Portfolios' current or intended investments in foreign securities, as well as, to take advantage of cross currency markets in order to benefit from valuation differentials and shifts in pricing within the currency markets.
The tables below detail the risk exposure of each of the Portfolios from derivative instruments:
Risk Exposure | |||||||||||||||||||||||||||
Portfolio | Instrument Type | Total Value at December 31, 2011 | Statement of Assets & Liabilities Location | Equity | Interest Rate | Foreign Exchange | |||||||||||||||||||||
Bond | Futures | $ | (83,678 | ) | Variation margin receivable/payable* | $ | – | $ | (83,678 | ) | $ | – | |||||||||||||||
Index 500 | Futures | 321,120 | Variation margin receivable/payable* | 321,120 | – | – | |||||||||||||||||||||
International Bond | Foreign Currency Forwards | (758,115 | ) | Unrealized appreciation/ depreciation on forward foreign currency contracts | – | – | (758,115 | ) | |||||||||||||||||||
Index 400 Mid-Cap | Futures | 10,318 | Variation margin receivable/payable* | 10,318 | – | – | |||||||||||||||||||||
Real Estate Securities | Options | (42,316 | ) | Call options written at value | (42,316 | ) | – | – | |||||||||||||||||||
Total | $ | (552,671 | ) | $ | 289,122 | $ | (83,678 | ) | $ | (758,115 | ) | ||||||||||||||||
Realized Gain (Loss) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
Portfolio | Instrument Type | Total Value at December 31, 2011 | Statement of Operations Location | Equity | Interest Rate | Foreign Exchange | |||||||||||||||||||||
Bond | Futures | $ | (1,123,637 | ) | Net realized gains (losses) from futures transactions | $ | – | $ | (1,123,637 | ) | $ | – | |||||||||||||||
Index 500 | Futures | 510,263 | Net realized gains (losses) from futures transactions | 510,263 | – | – |
82
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(7) Derivative Instruments Reporting – (continued)
Realized Gain (Loss) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
Portfolio | Instrument Type | Total Value at December 31, 2011 | Statement of Operations Location | Equity | Interest Rate | Foreign Exchange | |||||||||||||||||||||
International Bond | Foreign Currency Forwards | $ | 1,275,339 | Net realized gains (losses) from foreign currency transactions | $ | – | $ | – | $ | 1,275,339 | |||||||||||||||||
Index 400 Mid-Cap | Futures | 9,237 | Net realized gains (losses) from futures transactions | 9,237 | – | – | |||||||||||||||||||||
Total | $ | 671,202 | $ | 519,500 | $ | (1,123,637 | ) | $ | 1,275,339 | ||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
Portfolio | Instrument Type | Total Value at December 31, 2011 | Statement of Operations Location | Equity | Interest Rate | Foreign Exchange | |||||||||||||||||||||
Bond | Futures | $ | 278,377 | Net change in unrealized appreciation or depreciation on futures transactions | $ | – | $ | 278,377 | $ | – | |||||||||||||||||
Index 500 | Futures | 172,381 | Net change in unrealized appreciation or depreciation on futures transactions | 172,381 | – | – | |||||||||||||||||||||
International Bond | Foreign Currency Forwards | (2,729,440 | ) | Net change in unrealized appreciation or depreciation on foreign currency transactions | – | – | (2,729,440 | ) | |||||||||||||||||||
Index 400 Mid-Cap | Futures | (54,103 | ) | Net change in unrealized appreciation or depreciation on futures transactions | (54,103 | ) | – | – | |||||||||||||||||||
Real Estate Securities | Options | 8,907 | Net change in unrealized appreciation or depreciation on written options | 8,907 | – | – | |||||||||||||||||||||
Total | $ | (2,323,878 | ) | $ | 127,185 | $ | 278,377 | $ | (2,729,440 | ) |
* Includes cumulative appreciation/depreciation of futures contracts as reported in the notes to the Schedules of Investments in Securities. Only current day's variation margin is reported within the Statement of Assets and Liabilities.
83
Advantus Series Fund, Inc.
Notes to Financial Statements – continued
(7) Derivative Instruments Reporting – (continued)
Options Contracts Written
Contracts and premium amounts associated with options contracts written by the Fund during the year ended December 31, 2011 are as follows:
Options outstanding at 12/31/2010 | Written | Closed | Exercised | Expired | Options outstanding at 12/31/2011 | ||||||||||||||||||||||
Real Estate Portfolio | |||||||||||||||||||||||||||
Premium amount | $ | – | $ | 51,223 | $ | – | $ | – | $ | – | $ | 51,223 | |||||||||||||||
Number of contracts | – | 447 | – | – | – | 447 |
As of December 31, 2011, portfolio securities valued at $1,391,317 were held in escrow by the custodian as cover for call options written by the Fund.
84
Advantus Series Fund, Inc.
Other Information
Fund Expenses Paid by Shareholders
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; (the Fund does not impose transaction costs, but you will incur such costs in connection with the variable life insurance policies and variable annuity contracts that invest in the Fund) and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, July 1, 2011 through December 31, 2011. Expenses paid during the period in the tables below are equal to the Portfolio's annualized expense ratio, multiplied by the average account value over the period, multiplied by number of days in most recent fiscal half-year divided by 365 to reflect the one-half year period.
Actual Expenses
The table below provides information about actual account values and actual expenses for the Portfolios. You may use the information in this table, 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 table for the portfolio you own under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
CLASS 1 | CLASS 2 | ||||||||||||||||||||||||||||||
Beginning Account Value | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | |||||||||||||||||||||||||
Bond Portfolio | $ | 1,000 | $ | 1,045.00 | .51 | % | $ | 2.63 | $ | 1,043.70 | .76 | % | $ | 3.91 | |||||||||||||||||
Money Market Portfolio | 1,000 | 1,000.00 | .12 | % | 0.60 | NA | NA | NA | |||||||||||||||||||||||
Mortgage Securities Portfolio | 1,000 | 1,032.10 | .64 | % | 3.28 | 1,030.80 | .89 | % | 4.56 | ||||||||||||||||||||||
Index 500 Portfolio | 1,000 | 961.90 | .23 | % | 1.14 | 960.60 | .48 | % | 2.37 | ||||||||||||||||||||||
International Bond Portfolio | 1,000 | 941.50 | .96 | % | 4.70 | 940.40 | 1.21 | % | 5.92 | ||||||||||||||||||||||
Index 400 Mid-Cap Portfolio | 1,000 | 903.60 | .31 | % | 1.49 | 902.50 | .56 | % | 2.69 | ||||||||||||||||||||||
Real Estate Securities Portfolio | 1,000 | 963.40 | .93 | % | 4.60 | 962.20 | 1.18 | % | 5.84 |
85
Advantus Series Fund, Inc.
Other Information – continued
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on the Portfolios' actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Portfolios' actual returns. 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 Portfolios and other funds. To do so, compare the 5% hypothetical example of the portfolios you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.
CLASS 1 | CLASS 2 | ||||||||||||||||||||||||||||||
Beginning Account Value | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | Ending Account Value | Annual Expense Ratio | Expenses Paid During Period | |||||||||||||||||||||||||
Bond Portfolio | $ | 1,000 | $ | 1,022.63 | .51 | % | $ | 2.60 | $ | 1,021.37 | .76 | % | $ | 3.87 | |||||||||||||||||
Money Market Portfolio | 1,000 | 1,024.60 | .12 | % | 0.61 | NA | NA | NA | |||||||||||||||||||||||
Mortgage Securities Portfolio | 1,000 | 1,021.98 | .64 | % | 3.26 | 1,020.72 | .89 | % | 4.53 | ||||||||||||||||||||||
Index 500 Portfolio | 1,000 | 1,024.05 | .23 | % | 1.17 | 1,022.79 | .48 | % | 2.45 | ||||||||||||||||||||||
International Bond Portfolio | 1,000 | 1,020.37 | .96 | % | 4.89 | 1,019.11 | 1.21 | % | 6.16 | ||||||||||||||||||||||
Index 400 Mid-Cap Portfolio | 1,000 | 1,023.64 | .31 | % | 1.58 | 1,022.38 | .56 | % | 2.85 | ||||||||||||||||||||||
Real Estate Securities Portfolio | 1,000 | 1,020.52 | .93 | % | 4.74 | 1,019.26 | 1.18 | % | 6.01 |
Please note that the expenses shown in both tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the information provided in the hypothetical example 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.
Proxy Voting Policies and Procedures
A description of the policies and procedures that Advantus uses to vote proxies related to the Fund's portfolio securities is set forth in the Fund's Statement of Additional Information which is available without charge, upon request, by calling, toll-free, 800-995-3850 or on the Securities and Exchange Commission's website at www.sec.gov. The Fund will provide this document within three business days of receipt of a request, by first-class mail or other means designed to ensure equally prompt delivery.
Proxy Voting Record
The Fund's proxy voting record for the 12 month period ended December 31 is available by calling, toll-free, 866-330-7355 or on the Securities and Exchange Commission's website at www.sec.gov no later than August 31 each year. The Fund will also provide this information, within three business days of receipt of a request, by first-class mail or other means designed to ensure equally prompt delivery.
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of investment holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders without charge on the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission's Public Reference Room in Washington, DC. More information of the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
86
Advantus Series Fund, Inc.
Directors and Executive Officers
Under Minnesota law, the Board of Directors of the Fund has overall responsibility for managing the Fund in good faith and in a manner reasonably believed to be in the best interests of the Fund. The directors meet periodically throughout the year to oversee the Fund's activities, review contractual arrangements with companies that provide services to the Fund, and review the performance of the Fund and its Portfolios. None of the current directors are considered "interested persons" (as defined in the Investment Company Act of 1940) of the Fund. These directors, because they are not interested persons of the Fund, are considered independent ("Independent Directors") and are not employees or officers of, and have no financial interest in, the Fund's investment adviser, Advantus Capital Management, Inc. or its affiliated companies, including Minnesota Life Insurance Company. 75% of the Board of Directors is required to be comprised of Independent Directors.
Only executive officers and other officers who perform policy-making functions with the Fund are listed. None of the directors is a director of any public company (a company required to file reports under the Securities Exchange Act of 1934) or of any registered investment companies other than the Advantus Funds. Each director serves for an indefinite term, until his or her resignation, death or removal.
Name, Address(1) and Year of Birth | Position with Fund and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||||||||
Independent Directors | |||||||||||
Julie K. Getchell 1955 | Director since October 21, 2011 | Design Manager, Cargill, Inc. since July 2011; Global Services Manager, Cargill Animal Nutrition from March 2010 to July 2011; Senior Financial Consultant, Cargill, Inc. from April 2009 to March 2010; Chief Financial Officer, La Crosse Global Fund Services from 2006 to April 2009; Senior Managing Director, Black River Global Fund Services, Cargill, Inc. from May 2005 to 2006 | |||||||||
Linda L. Henderson 1949 | Director since January 25, 2007 | Retired; Professional Advisor, Carlson School of Management, University of Minnesota, 2004 to May 2007; Senior Vice President, Director of Fixed Income Research and Strategies, RBC Dain Rauscher Investments, 1985 to 2004; Chartered Financial Analyst | |||||||||
87
Advantus Series Fund, Inc.
Directors and Executive Officers – continued
Name, Address(1) and Year of Birth | Position with Fund and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||||||||
Independent Directors — continued | |||||||||||
William C. Melton 1947 | Director since April 25, 2002 | Founder and President of Melton Research Inc. since 1997; member of the Advisory Board of Macroeconomic Advisors LLC since 1998; member, Minneapolis Star Tribune Board of Economists since 1986; member, State of Minnesota Council of Economic Advisors from 1988 to 1994; various senior positions at American Express Financial Advisors (formerly Investors Diversified Services and, thereafter, IDS/American Express) from 1982 through 1997, including Chief Economist and, thereafter, Chief International Economist | |||||||||
Interested Director | |||||||||||
Gregory S. Strong 1944 | Director since October 21, 2011 | Retired; President, Advantus Series Fund, Inc. from April 2007 to July 2011; retired since December 2008, previously Senior Vice President, Chief Actuary and Treasurer, Minnesota Life Insurance Company; Treasurer, Minnesota Mutual Companies, Inc., Senior Vice President and Treasurer, Securian Financial Group, Inc.; Treasurer, Securian Holding Company | |||||||||
88
Advantus Series Fund, Inc.
Directors and Executive Officers – continued
Name, Address(1) and Year of Birth | Position with Fund and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||||||||
Other Executive Officers(2) | |||||||||||
David M. Kuplic 1957 | President since July 28, 2011 | Senior Vice President, Minnesota Life Insurance Company since June 2007; Executive Vice President and Director, Advantus Capital Management, Inc. since July 2007; Senior Vice President and Director, Advantus Capital Management, Inc., February 2006 to July 2007; President and Director, MCM Funding 1997-1, Inc. (entity holding legal title to mortgages beneficially owned by certain clients of Advantus Capital) since July 2007; Vice President, MCM Funding 1997-1, Inc., June 2004 to July 2007; President and Director, MCM Funding 1998-1, Inc. (entity holding legal title to mortgages beneficially owned by certain clients of Advantus Capital) since July 2007; Vice President, MCM Funding 1998-1, Inc., June 2004 to July 2007; Senior Vice President, Securian Financial Group, Inc. since June 2007; President and Director, MIMLIC Funding, Inc. (entity holding legal title to bonds beneficially owned by certain clients of Advantus Capital) since July 2007; Senior Vice President, Securian Life Insurance Company since June 2007; President and Director, Marketview Properties, LLC (entity holding real estate assets) since January 2010; President and Director, Marketview Properties II, LLC (entity holding real estate assets) since March 2010 | |||||||||
89
Advantus Series Fund, Inc.
Directors and Executive Officers – continued
Name, Address(1) and Year of Birth | Position with Fund and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||||||||
Other Executive Officers(2) — continued | |||||||||||
Gary M. Kleist 1959 | Vice President and Treasurer since July 24, 2003 | Financial Vice President, Chief of Operations and Director, Advantus Capital Management, Inc. since December 1997; Second Vice President, Minnesota Life Insurance Company since February 2000; Vice President and Secretary/Treasurer, MIMLIC Funding, Inc. (entity holding legal title to bonds beneficially owned by certain clients of Advantus Capital) since July 2003; Financial Vice President, MCM Funding 1997-1, Inc. since October 1998 and MCM Funding 1998-1, Inc. (entities holding legal title to mortgages beneficially owned by certain clients of Advantus Capital) since August 1998; Second Vice President, Securian Financial Group, Inc. since February 2000; Second Vice President, Securian Life Insurance Company since June 2007; Financial Vice President, Marketview Properties, LLC since January 2010 and Marketview Properties II, LLC (entities holding certain real estate assets) since March 2010 | |||||||||
Bruce P. Shay 1961 | Vice President since July 28, 2011 | Executive Vice President, Minnesota Life Insurance Company since March 2010; Senior Vice President, Minnesota Life Insurance Company, February 2010 to February 2004; Executive Vice President, Securian Financial Group, Inc. since March 2010; Senior Vice President, Minnesota Life Insurance Company, February 2010 to February 2004; Executive Vice President and Director, Securian Life Insurance Company since June 2010; Senior Vice President, Securian Life Insurance Company, February 2007 to June 2010 | |||||||||
Michael J. Radmer Dorsey & Whitney LLP 50 South Sixth Street Minneapolis, Minnesota 55402 1945 | Secretary since April 16, 1998 | Partner with the law firm of Dorsey & Whitney LLP | |||||||||
90
Advantus Series Fund, Inc.
Directors and Executive Officers – continued
(1) Unless otherwise noted, the address of each director and officer is the address of the Fund: 400 Robert Street North, St. Paul, Minnesota 55101.
(2) Although not a 'corporate' officer of the Trust, Vicki L. Bailey, born in 1955, has served as the Trust's Chief Compliance Officer since July 2004. Ms. Bailey is also Vice President, Investment Law, Chief Compliance Officer and Secretary, Advantus Capital Management, Inc.; Vice President, Minnesota Life Insurance Company; Vice President and Secretary, MCM Funding 1997-1, Inc. and MCM Funding 1998-1, Inc. (entities holding legal title to mortgages beneficially owned by certain clients of Advantus Capital); Vice President, Securian Financial Group, Inc.; Vice President, Securian Life Insurance Company; Director, Personal Finance Company LLC; Vice President and Secretary, Marketview Properties, LLC and Marketview Properties II, LLC (entities holding certain real estate assets).
91
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This offering is available through Securian Financial Services, Inc., a registered broker/dealer. Securian Financial Services, Inc. is the distributor of Minnesota Life and Securian Life variable insurance products.
This report may be used as sales literature in connection with the offer or sale of variable annuity or variable life insurance contracts funded by Advantus Series Fund, Inc. ("Fund") if preceded or accompanied by (a) the current prospectus for the Fund and such contracts and (b) the current applicable variable annuity or variable life performance report.
Securian Financial Services, Inc.
www.securian.com
Securities Dealer, Member FINRA/SIPC.
Registered Investment Advisor
400 Robert Street North, St. Paul, MN 55101-2098
1.888.237.1838
A00758-0212
Minnesota Life Insurance Company
A Securian Company
Securian Life Insurance Company
A New York admitted insurer
400 Robert Street North
St. Paul, MN 55101-2098
PRESORTED STANDARD
U.S. POSTAGE PAID
CAROL STREAM, IL
PERMIT NO. 1480
Call 1-800-362-3141 to receive your financial documents electronically. It's fast and convenient.
©2010 Advantus Series Fund, Inc. All rights reserved.
F38897 Rev 2-2012
ITEM 2. CODE OF ETHICS.
Filed herewith as Exhibit 12(a)(1). During the period covered by this report, there has been no amendment to the code of ethics that relates to any element of the code of ethics definition set forth in paragraph (b) of Item 2 of Form N-CSR, nor has the registrant granted a waiver, including an implicit waiver, from a provision of the code of ethics to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions that relates to one or more of the items set forth in paragraph (b) of Item 2 of form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Directors of the Fund has determined that Julie K. Getchell, a member of the Board’s Audit Committee, possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Ms.
Getchell as the Audit Committee’s financial expert. Ms. Getchell is an “independent” Director pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant to the registrant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were as follows:
2011 |
| 2010 |
| |
173,755 |
| $ | 169,520 |
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(b) Audit-Related Fees
The aggregate fees billed in each of the last two fiscal years for assurance and related services rendered by the principal accountant to the registrant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item 4 were as follows:
2011 |
| 2010 |
| |
0 |
|
| -0- |
|
There were no fees billed in each of the last two fiscal years for assurance and related services rendered by the principal accountant to the registrant’s investment adviser or to any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were required to be pre-approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(c) Tax Fees
The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant to the registrant for tax compliance, tax advice, tax planning and tax return preparation were as follows:
2011 |
| 2010 |
| |
16,020 |
| $ | 15,380 |
|
There were no fees billed in each of the last two fiscal years for professional services rendered by the principal accountant to the investment adviser or to any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant for tax compliance, tax advice and tax planning that were required to be pre-approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) All Other Fees
The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) — (c) of this Item 4 were as follows:
2011 |
| 2010 |
| |
0 |
|
| -0- |
|
There were no fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the investment adviser or to any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, other than the services reported in paragraphs (a) — (c) of this Item 4, that were required to be pre-approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(e)(1) Registrant’s audit committee has adopted the following pre-approval policies and procedures in accordance with paragraph (c)(7) of Rule 2-01 of Regulation S-X:
ADVANTUS SERIES FUND
AUDIT COMMITTEE POLICY regarding pre-approval of services provided by the Independent Auditor
The Audit Committee (the “Committee”) of the Advantus Series Fund, Inc. (the “Fund”) has responsibility for ensuring that all services performed by the independent audit firm for the funds do not impair the firm’s independence. This review is intended to provide reasonable oversight without removing management from its responsibility for day-to-day operations. In this regard, the Committee should:
· Understand the nature of the professional services expected to be provided and their impact on auditor independence and audit quality
· Examine and evaluate the safeguards put into place by the Fund and the auditor to safeguard independence
· Meet quarterly with the partner of the independent audit firm
· Consider approving categories of service that are not deemed to impair independence for a one-year period
It is important that a qualitative rather than a mere quantitative evaluation be performed by the Committee in discharging its responsibilities.
Policy for Audit and Non-Audit Services Provided to the Funds
On an annual basis, the Committee will review and consider whether to pre-approve the financial plan for audit fees as well as categories of audit-related and non-audit services that may be performed by the Fund’s independent audit firm directly for the Fund. At least annually the Committee will receive a report from the independent audit firm of all audit and non-audit services, which were approved during the year.
The engagement of the independent audit firm for any non-audit service requires the written pre-approval of the Fund’s Treasurer and all non-audit services performed by the independent audit firm will be disclosed in the required SEC periodic filings.
In connection with the Committee review and pre-approval responsibilities, the review by the Committee will consist of the following:
Audit Services
The categories of audit services and related fees to be reviewed and considered for pre-approval annually by the Committee or its delegate include the following:
· Annual Fund financial statement audits
· SEC and regulatory filings and consents
Audit-related Services
In addition, the following categories of audit-related services are deemed to be consistent with the role of the independent firm and, as such, will be considered for pre-approval by the Committee or its delegate, on an annual basis.
· Accounting consultations
· Fund merger support services
· Other accounting related matters
· Agreed Upon Procedure Reports
· Attestation Reports
· Other Internal Control Reports
Notwithstanding any annual pre-approval of these categories of services, individual projects with an estimated fee in excess of $20,000 are subject to pre-approval by the Committee on a case-by-case basis. Individual projects with an estimated fee of less than $20,000 are subject to pre-approval by the then-serving Chair of the Committee on a case-by-case basis. The Chair shall thereafter report to the Full Committee on any such matters at the Committee’s next regularly scheduled meeting.
Tax Services
The following categories of tax services are deemed to be consistent with the role of the independent audit firm and, as such, will be considered for pre-approval by the Committee or its delegate, on an annual basis.
· Tax compliance services related to the filing or amendment of the following:
· Federal, state and local income tax compliance; and,
· Sales and use tax compliance
· Timely RIC qualification reviews
· Tax distribution analysis and planning
· Tax authority examination services
· Tax appeals support services
· Accounting methods studies
· Fund merger support services
· Tax consulting services and related projects
Notwithstanding any annual pre-approval of these categories of services, individual projects with an estimated fee in excess of $20,000 are subject to pre-approval by the Committee on a case-by-case basis. Individual projects with an estimated fee of less than $20,000 are subject to pre-approval by the then-serving Chair of the Committee on a case-by-case basis. The Chair shall thereafter report to the Full Committee on any such matters at the Committee’s next regularly scheduled meeting.
Other Non-audit Services
The SEC auditor independence rules adopted in response to the Sarbanes-Oxley Act specifically allow certain non-audit services. Because of the nature of these services, none of these services may be commenced by the independent firm without the prior approval of the Audit Committee. The Committee may delegate this responsibility to one or more of the Committee members, with the decisions presented to the full Committee at the next scheduled meeting.
Proscribed Services
In accordance with SEC rules on independence, the independent audit firm is prohibited from performing services in the following categories of non-audit services:
· Management functions
· Accounting and bookkeeping services
· Internal audit services
· Financial information systems design and implementation
· Valuation services supporting the financial statements
· Actuarial services supporting the financial statements
· Executive recruitment
· Expert services (e.g., litigation support)
· Investment banking
Policy for Pre approval of Non-Audit Services Provided to Other Affiliated Entities
The Committee is also responsible for pre-approving certain non-audit services provided to Advantus Capital Management Inc. (“Advantus”) and any other entity under common control with Advantus that provides ongoing services to the Fund. The only non-audit services provided to these entities which require pre-approval are those services that relate directly to the operations and financial reporting of the Fund.
Although the Committee is not required to pre-approve all services provided to Advantus and affiliated service providers, the Committee will annually receive a report from the independent audit firm on the aggregate fees for all services provided to Advantus and its affiliates.
(e)(2) None of the services provided to the registrant described in paragraphs (b) — (d) of this Item 4 were pre-approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) No disclosures are required by this Item 4(f).
(g) The aggregate non-audit fees billed for each of the last two fiscal years by the registrant’s accountant for services rendered to the registrant and to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant were as follows:
2011 |
| 2010 |
| |
393,700 |
| $ | 281,649 |
|
(h) The registrant’s audit committee has considered that the provision of the non-audit services rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable. Schedule I — Investments in Securities of Unaffiliated Issuers is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
The registrant has a governance committee of its board of directors, the members of which are all directors who are not “interested persons” of the registrant, as defined in Section 2(a)(19) of the Investment Company Act of 1940 (“independent directors”). The governance committee, which operates in accordance with a separate governance committee charter approved by the board of directors, selects and recommends to the board of directors individuals for nomination as independent directors. The names of potential independent director candidates are drawn from a number of sources, including recommendations from management of Advantus Capital Management, Inc., the registrant’s investment adviser. Each candidate is evaluated by the governance committee with respect to the relevant business and industry experience that would enable the candidate to serve effectively as an independent director, as well as his or her compatibility with respect to business philosophy and style. The members of the goverance committee may conduct an in-person interview of each viable candidate using a standardized questionnaire. When all of the viable candidates have been evaluated and interviewed, the governance committee determines which of the viable candidates should be presented to the board of directors for selection to become a member of the board of directors.
Inasmuch as the registrant does not hold annual meetings of shareholders and meetings of shareholders occur only intermittently, the governance committee does not at present consider nominees recommended by shareholders.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit:
Exhibit 99.CODE ETH attached hereto.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Investment Company Act of 1940 (17 CFR 270.30a-2):
Exhibit 99.CERT attached hereto.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Investment Company Act of 1940 sent or given during the period covered by this report by or on behalf of the registrant to 10 or more persons:
Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Securities Exchange Act of 1934, provide the certifications required by Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14 under the Securities Exchange Act of 1934 (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934 (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the registrant specifically incorporates it by reference:
Exhibit 99.906 CERT attached hereto
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Advantus Series Fund, Inc. |
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By (Signature and Title) | /s/ David M. Kuplic |
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| David M. Kuplic, President |
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Date: March 5, 2012 |
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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 (Signature and Title) | /s/ David M. Kuplic |
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| David M. Kuplic, President (Principal Executive Officer) |
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By (Signature and Title) | /s/ Gary M. Kleist |
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| Gary M. Kleist, Treasurer (Principal Financial Officer) |
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Date: March 5, 2012 |
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