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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-4603
Thrivent Series Fund, Inc.
(Exact name of registrant as specified in charter)
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Address of principal executive offices) (Zip code)
Michael W. Kremenak, Secretary and Chief Legal Officer
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612) 844-4198
Date of fiscal year end: December 31
Date of reporting period: December 31, 2015
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It has been a productive year for your Thrivent Series Fund, Inc., Portfolios.
Before reviewing some of the accomplishments, I’d like to thank all of you who voted in our Director elections. Our shareholder meeting was held August 14 at our offices in Minneapolis, and a few of you attended in person. It was a delight to speak face-to-face and hear your thoughts about your Portfolios and Thrivent Financial.
I know it can be an imposition to receive a proxy statement in the mail asking you to vote your shares. I also understand that most of you would prefer not to be called at home by someone asking you to vote. We appreciate it when you take the time to participate in the governance of your Thrivent Series Fund Portfolios. When you vote promptly, you reduce the need for us to do additional soliciting of voters to achieve a legally required quorum, which helps hold down costs.
Beyond all that, your participation in these votes is critical to the management of the Portfolios. Unlike many other companies, mutual funds aren’t required to elect directors or trustees annually. (Some mutual funds, like Thrivent Series Fund, Inc., are corporations and have directors. Some are trusts and have trustees. There’s no practical difference from a shareholder’s perspective.) But mutual funds are legally required to have a majority of their directors elected by shareholders. Although your board can appoint some new directors as needed—to replace a director who is retiring, for example—every so often it must call a shareholder meeting to elect directors, simply to comply with the law.
Because mailing proxy materials and holding shareholder meetings creates costs for your Portfolios, and because we’d rather not impose on you more frequently than necessary, we always try to combine director elections with other items that require a shareholder vote. At our shareholder meeting in August, shareholders approved changes to the investment advisory fee structure for our flagship Asset Allocation Portfolios. We’ve heard from you, our shareholders, that you prefer simple, transparent fees, and that’s what these changes are intended to accomplish. They also are expected to result in lower net annual operating expenses for the Asset Allocation Portfolios, which would benefit all of their shareholders.
In my last president’s letter, I wrote about the 10-year anniversary of the Asset Allocation Portfolios, which were launched on April 30, 2005. We continue to be proud of these Portfolios, which we believe offer a simple, all-in-one investment solution for many investors, one that is aligned with each investor’s tolerance for risk.
The performance of the Asset Allocation Portfolios has been competitive. Lipper, a Thomson Reuters company, is a well-known firm that tracks and compares mutual fund performance. Each of our four Asset Allocation Portfolios ranked above its Lipper peer group average for the one- and three-year periods ended December 31, 2015. Overall, 85% of our Portfolios ranked above their respective Lipper peer group averages for the one-year period, and 72% ranked above their respective Lipper peer group averages for the three-year period.
There will be periods, of course, in which our Portfolios, including the Asset Allocation Portfolios, underperform relative to their peers. You can be certain, however, that we will always take a long-term view of performance and seek to provide consistently competitive returns over time. I look forward to updating you on our progress.
Many thanks to each of you for your confidence in Thrivent. Best wishes to you and yours during this season of Lent.
Sincerely,
David S. Royal
President
Thrivent Series Fund, Inc.
Performance as of December 31, 2015 (Annualized Total Returns) | 1-Year | 3-Year | 5-Year | 10-Year | Expense Ratio | |||||||||||||||||||
NET | GROSS | |||||||||||||||||||||||
Thrivent Aggressive Allocation Portfolio | -4.74 | % | 6.44 | % | 6.04 | % | 4.52 | % | 0.82 | %* | 1.17 | % | ||||||||||||
Thrivent Moderately Aggressive Allocation Portfolio | -4.46 | % | 5.46 | % | 5.63 | % | 4.58 | % | 0.72 | %* | 1.01 | % | ||||||||||||
Thrivent Moderate Allocation Portfolio | -3.58 | % | 4.58 | % | 5.10 | % | 4.58 | % | 0.64 | %* | 0.87 | % | ||||||||||||
Thrivent Moderately Conservative Allocation Portfolio | -2.53 | % | 3.49 | % | 4.11 | % | 4.26 | % | 0.61 | %* | 0.80 | % |
Lipper Rankings as of December 31, 2015 | 1-Year | 3-Year | 5-Year | 10-Year | ||||
Thrivent Aggressive Allocation Portfolio Lipper (Mixed- Asset Target Alloc. Agg. Gro. Funds) | 11 (6 of 57) | 14 (7 of 50) | 46 (20 of 43) | 17 (4 of 23) | ||||
Thrivent Moderately Aggressive Allocation Portfolio Lipper (Mixed-Asset Target Alloc. Growth Funds) | 44 (98 of 223) | 40 (77 of 196) | 55 (94 of 170) | 71 (61 of 86) | ||||
Thrivent Moderate Allocation Portfolio Lipper (Mixed-Asset Target Alloc. Moderate Funds) | 38 (87 of 229) | 38 (73 of 192) | 47 (73 of 156) | 61 (53 of 87) | ||||
Thrivent Moderately Conservative Allocation Portfolio Lipper (Mixed-Asset Target Alloc. Consv. Funds) | 42 (55 of 130) | 24 (28 of 120) | 41 (43 of 105) | 50 (25 of 49) |
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* | The Adviser has contractually agreed, for as long as the current fee structure is in place, to waive certain investment advisory fees associated with the Portfolio. Refer to the expense table in the Portfolio’s prospectus. |
All rankings are based on total return and do not reflect sales charges. The lower the Lipper percentile ranking, the better the fund performance against its peers. Source for ranking is Lipper Inc. After analyzing each fund’s holdings and prospectus objectives, Lipper assigns the fund to a category or peer group called a Lipper classification. Once total return data has been calculated, Lipper ranks the relative performance of all funds in a particular classification against their respective peer group constituents, and then calculates percentile rankings based on those numerical rankings.
Performance data cited represents past performance and should not be viewed as an indication of future results. Investment return and principal value of the investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. Current performance may be lower or higher than the performance data quoted. Call 800-847-4836 or visit Thrivent.com for performance results current to the most recent month-end.
Risks: The Asset Allocation Portfolios invest in other Thrivent Series Fund Portfolios and in directly held equity and debt instruments. Each Portfolio is subject to its own fees and expenses and the expenses of the other funds in which it invests, and is subject to all of the risks of the other funds in which it invests. The value of each Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. Each Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high-yield securities are subject to increased credit risk as well as liquidity risk. The use of derivatives (such as futures and swaps) involves additional risks and transaction costs, which could leave each Portfolio in a worse position than if it had not used these instruments.
Investing in a variable Portfolio involves risks, including the possible loss of principal. The prospectus contains more complete information on the investment objectives, risks, fees and expenses of the Portfolios, which investors should read and consider carefully before investing. Prospectuses are available from a Thrivent Financial representative or at Thrivent.com.
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Financial markets delivered mixed results in 2015, pressured by slowing economic growth in China and plunging oil prices. The investment outlook is generally positive, although many of the issues that weighed on markets in 2015 could temper returns again in 2016.
Economic Review
The U.S. economy continued its slow but persistent recovery in 2015, expanding at a 2.2% average annual pace through the first three quarters of the year. Gains from strong consumer spending and a vibrant housing market were offset in part by sluggish business spending and exports. The job market improved. Employers created more than 2.6 million nonfarm jobs, and the unemployment rate fell to 5.0% from 5.7%.
Inflation and interest rates remained low, although the Federal Reserve, after holding short-term interest rates near 0% for seven years to help the economy, raised them by a quarter of a percentage point in December.
China grew 7% year-over-year in the first two quarters of the year, then 6.9% in the third. That far exceeded growth rates in the developed world—the euro area grew 0.3% in the third quarter, while Japan contracted 0.8%—but it was still the slowest rate of growth for China since the 2008 financial crisis. Investors worried this slowdown could derail other economies; they also blamed it for reducing demand for oil and other commodities that China had been consuming at a prodigious rate when it was growing faster. Crude oil prices fell to about $37 a barrel by year-end from above $100 in 2014.
Market Review
Judging strictly by market averages, U.S. stocks had an unremarkable year. The S&P 500 Index fell 14.97 points, or 0.7%, its first price decline since 2011, but still posted a positive total return of 1.38% after factoring in reinvested dividends. However, these numbers don’t reflect how volatile the stock market became as the year wore on, highlighted by an 11% plunge in the S&P 500 in August after China devalued its currency. Energy stocks were among the Index’s worst performers, down nearly 24% in price, while consumer discretionary stocks rose 8.4%.
Japan’s Nikkei Stock Average rose 10.63% on a price basis, as Japan’s central bank bought financial assets to prop up the economy. In Europe, the Euro Stoxx 50 Index of blue chip stocks posted a total return of -4.47%, although that loss, reflecting returns to dollar-based investors, was largely due to declines in the value of the euro against the dollar. In euro terms, the Index actually earned 6.42%. The MSCI Emerging Markets Index lost -14.92%.
Like stocks, bonds delivered mixed results, with lower-risk and intermediate-term assets generally performing best. The Barclays U.S. Aggregate Bond Index, dominated by U.S. Treasury bonds and other government-backed securities, earned 0.55%, and the Barclays Municipal Bond Index earned 3.3%. The Barclays U.S. Corporate High Yield Bond Index, home to many below-investment-grade energy bonds, lost 4.47%.
Our Outlook
The U.S. economy looks poised to continue growing in the 2% range in 2016. We anticipate growth of about 1% for Japan, 2% for the euro area, 3% for the U.K., and 6% for China.
The Fed likely will continue to nudge short-term interest rates higher, albeit at a modest pace with minimal disruptions to financial markets. Inflation could edge slightly higher if, as expected, oil prices begin to stabilize.
Overall, we anticipate modestly positive returns from financial assets, absent any material worsening in China’s economy or further weakness in oil prices. European stocks have an opportunity to outperform U.S. shares. Both were expensive heading into 2016, but corporate profit margins had more room to grow in Europe. Emerging-market stocks are cheaper than stocks in developed economies, but look riskier pending improvements in commodities prices.
Select sectors of the bond market appear promising—despite the prospect of higher short-term interest rates—including investment-grade corporate bonds and municipal bonds. High-yield bonds will likely remain depressed until the oil market shows signs of stabilizing.
If you are concerned about the investment outlook, we encourage you to contact your Thrivent Financial representative. He or she can help keep your portfolio aligned with your goals and tolerance for risk. Meanwhile, thank you for the trust you have placed in our entire team of professionals at Thrivent Financial.
Sincerely,
Russell W. Swansen
Chief Investment Officer
Thrivent Series Fund, Inc.
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THRIVENT AGGRESSIVE ALLOCATION PORTFOLIO
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
Thrivent Aggressive Allocation Portfolio seeks long-term capital growth.
The Portfolio invests in other Thrivent Portfolios and in directly-held equity and debt instruments. The Portfolio is subject to its own operating expenses and risks, as well as the operating expenses and risks of the other portfolios in which it invests. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The use of derivatives (such as futures and swaps) involves additional risks and transaction costs, which could leave the Portfolio in a worse position than if it had not used these instruments.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Aggressive Allocation Portfolio earned a return of -0.45%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Aggressive Growth category, of -1.56%. The Portfolio’s market benchmarks, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index and the MSCI All Country World Index ex-USA—USD Net Returns, earned returns of 1.38%, 0.55% and -5.66%, respectively.
What factors affected the Portfolio’s performance?
Many factors contributed to the Portfolio’s favorable relative performance in the reporting period. First, the equity subcomponents of the Portfolio generally performed quite well versus their respective benchmarks. Specifically, both the large-cap value and large-cap growth allocations saw performance results that were better than both their public benchmarks and their respective Lipper peer categories. Likewise, the Portfolio’s large-cap global portfolio performed well versus its benchmark and peer universe, as did its mid-cap segment and its small-cap allocations to value, core and growth. In all cases, the driver of returns was strong stock selection within each portfolio’s universe relative to its peers and index. In addition, the Portfolio had an overweighting to large-cap domestic stocks relative to our long-term strategic allocations and an underweighting to mid- and small-cap stocks. Large-cap stocks as a segment posted higher returns than mid and small caps, adding to results versus the benchmark allocations. The Portfolio’s international allocation performed well versus the public benchmark, but modestly below its peer universe. Within the international segment, we had a targeted allocation to the Euro Stoxx 50 Index, but with a hedge against the declining euro, which aided equity returns.
The fixed-income portfolio also performed well versus its benchmark. The Portfolio experienced positive contributions from our allocations to securitized bank loans, often referred to as leveraged loans, and agency mortgage-backed securities. We also saw very strong results from our security selection in corporate bonds, both investment grade and high yield. The fixed-income portfolio had a modest underweighting in high-yield corporate bonds, which was also a positive contributor for the period, while an underweighted position in Treasury securities was a modest negative. On the other hand, an overweighting in investment-grade corporates detracted from results because yields on corporate bonds rose relative to Treasuries during the period, often referred to as spread widening. However, that negative impact was more than offset by the strong security selection referred to earlier.
Finally, the Portfolio was modestly underweighted in its long-term equity allocation, which detracted versus our benchmark portfolio. The Portfolio’s equity exposure for the period averaged around 92% of assets, with the balance of 8% of assets allocated to fixed income.
What is your outlook?
We believe many financial assets are fully priced, reflecting the aggressive steps taken by central banks in the past (the U.S. Federal Reserve) and currently (the European Central Bank and the Bank of Japan) to artificially lower interest rates. The hope was that these efforts would further stimulate the respective economic recoveries and diminish the risk of deflation and, in fact, stimulate inflation rates to a level of 2%. However, it is difficult to accurately measure the degree to which these actions are distorting prices in sovereign debt markets in the U.S. and Europe. In the case of Japan, both the equity and debt markets are being impacted because the country’s program of quantitative easing involves buying debt and equity securities. The central banks’ distortions of the so-called risk-free rate, which is the interest rate of the safest investment (i.e., short-term, government-backed debt), will likely cascade into other financial assets. At some point, those programs will stop, either because they have achieved their respective objectives or, more likely, because they prove to be incrementally ineffective. As those markets normalize, we do not know how other markets will react. As such, there is an element of unusual risk that we must factor into our analysis.
We believe opportunities exist for growth to stabilize, and under certain circumstances, even accelerate. The fall in energy prices should be positive for the global economy in the intermediate and long term, we feel, because there are many more beneficiaries of low oil prices than economies that are hurt. The Portfolio is positioned with a modest underweighting to risk versus its long-term targets, reflecting the above-mentioned concerns.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-0.45% | 7.66% | 5.65% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The MSCI All Country World Index ex-USA—USD Net Returns is an unmanaged market capitalization-weighted index that is to represent the performance of developed and emerging stock markets throughout the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees or expenses. |
** | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
*** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
**** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
Thrivent Moderately Aggressive Allocation Portfolio seeks long-term capital growth.
The Portfolio invests in other Thrivent Portfolios and in directly-held equity and debt instruments. The Portfolio is subject to its own operating expenses and risks, as well as the operating expenses and risks of the other portfolios in which it invests. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The use of derivatives (such as futures and swaps) involves additional risks and transaction costs, which could leave the Portfolio in a worse position than if it had not used these instruments.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Moderately Aggressive Allocation Portfolio earned a return of -0.75%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Growth category, of -0.97%. The Portfolio’s market benchmarks, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index and the MSCI All Country World Index ex-USA—USD Net Returns, earned returns of 1.38%, 0.55% and -5.66%, respectively.
What factors affected the Portfolio’s performance?
Many factors contributed to the Portfolio’s favorable relative performance in the reporting period. First, the equity subcomponents of the Portfolio generally performed quite well versus their respective benchmarks. Specifically, both the large-cap value and large-cap growth allocations saw performance results that were better than both their public benchmarks and their respective Lipper peer categories. Likewise, the Portfolio’s large-cap global portfolio performed well versus its benchmark and peer universe, as did its mid-cap segment and its small-cap allocations to value, core and growth. In all cases, the driver of returns was strong stock selection within each portfolio’s universe relative to its peers and index. In addition, the Portfolio had an overweighting to large-cap domestic stocks relative to our long-term strategic allocations and an underweighting to mid- and small-cap stocks. Large-cap stocks as a segment posted higher returns than mid and small caps, adding to results versus the benchmark allocations. The Portfolio’s international allocation performed well versus the public benchmark, but modestly below its peer universe. Within the international segment, we had a targeted allocation to the Euro Stoxx 50 Index, but with a hedge against the declining euro, which aided equity returns.
The fixed-income portfolio also performed well versus its benchmark. The Portfolio experienced positive contributions from our allocations to securitized bank loans, often referred to as leveraged loans, and agency mortgage-backed securities. We also saw very strong results from our security selection in corporate bonds, both investment grade and high yield. The fixed-income portfolio had a modest underweighting in high-yield corporate bonds, which was also a positive contributor for the period, while an underweighted position in Treasury securities was a modest negative. On the other hand, an overweighting in investment-grade corporates detracted from results because yields on corporate bonds rose relative to Treasuries during the period, often referred to as spread widening. However, that negative impact was more than offset by the strong security selection referred to earlier.
Finally, the Portfolio was modestly underweighted in its long-term equity allocation, which detracted versus our benchmark portfolio. The Portfolio’s equity exposure for the period averaged around 75% of assets, with the balance of 25% of assets allocated to fixed income.
What is your outlook?
We believe many financial assets are fully priced, reflecting the aggressive steps taken by central banks in the past (the U.S. Federal Reserve) and currently (the European Central Bank and the Bank of Japan) to artificially lower interest rates. The hope was that these efforts would further stimulate the respective economic recoveries and diminish the risk of deflation and, in fact, stimulate inflation rates to a level of 2%. However, it is difficult to accurately measure the degree to which these actions are distorting prices in sovereign debt markets in the U.S. and Europe. In the case of Japan, both the equity and debt markets are being impacted because the country’s program of quantitative easing involves buying debt and equity securities. The central banks’ distortions of the so-called risk-free rate, which is the interest rate of the safest investment (i.e., short-term, government-backed debt), will likely cascade into other financial assets. At some point, those programs will stop, either because they have achieved their respective objectives or, more likely, because they prove to be incrementally ineffective. As those markets normalize, we do not know how other markets will react. As such, there is an element of unusual risk that we must factor into our analysis.
We believe opportunities exist for growth to stabilize, and under certain circumstances, even accelerate. The fall in energy prices should be positive for the global economy in the intermediate and long term, we feel, because there are many more beneficiaries of low oil prices than economies that are hurt. The Portfolio is positioned with a modest underweighting to risk versus its long-term targets, reflecting the above-mentioned concerns.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-0.75% | 6.96% | 5.47% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The MSCI All Country World Index ex-USA—USD Net Returns is an unmanaged market capitalization-weighted index that is to represent the performance of developed and emerging stock markets throughout the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees or expenses. |
** | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
*** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
**** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT MODERATE ALLOCATION PORTFOLIO
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
Thrivent Moderate Allocation Portfolio seeks long-term capital growth while providing reasonable stability of principal.
The Portfolio invests in other Thrivent Portfolios and in directly-held equity and debt instruments. The Portfolio is subject to its own operating expenses and risks, as well as the operating expenses and risks of the other portfolios in which it invests. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The use of derivatives (such as futures and swaps) involves additional risks and transaction costs, which could leave the Portfolio in a worse position than if it had not used these instruments.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Moderate Allocation Portfolio earned a return of -0.56%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Moderate category, of -0.92%. The Portfolio’s market benchmarks, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index and the MSCI All Country World Index ex-USA—USD Net Returns, earned returns of 1.38%, 0.55% and -5.66%, respectively.
What factors affected the Portfolio’s performance?
Many factors contributed to the Portfolio’s favorable relative performance in the reporting period. First, the equity subcomponents of the Portfolio generally performed quite well versus their respective benchmarks. Specifically, both the large-cap value and large-cap growth allocations saw performance results that were better than both their public benchmarks and their respective Lipper peer categories. Likewise, the Portfolio’s large-cap global portfolio performed well versus its benchmark and peer universe, as did its mid-cap segment and its small-cap allocations to value, core and growth. In all cases, the driver of returns was strong stock selection within each portfolio’s universe relative to its peers and index. In addition, the Portfolio had an overweighting to large-cap domestic stocks relative to our long-term strategic allocations and an underweighting to mid- and small-cap stocks. Large-cap stocks as a segment posted higher returns than mid and small caps, adding to results versus the benchmark allocations. The Portfolio’s international allocation performed well versus the public benchmark, but modestly below its peer universe. Within the international segment, we had a targeted allocation to the Euro Stoxx 50 Index, but with a hedge against the declining euro, which aided equity returns.
The fixed-income portfolio also performed well versus its benchmark. The Portfolio experienced positive contributions from our allocations to securitized bank loans, often referred to as leveraged loans, and agency mortgage-backed securities. We also saw very strong results from our security selection in corporate bonds, both investment grade and high yield. The fixed-income portfolio had a modest underweighting in high-yield corporate bonds, which was also a positive contributor for the period, while an underweighted position in Treasury securities was a modest negative. On the other hand, an overweighting in investment-grade corporates detracted from results because yields on corporate bonds rose relative to Treasuries during the period, often referred to as spread widening. However, that negative impact was more than offset by the strong security selection referred to earlier.
Finally, the Portfolio was modestly underweighted in its long-term equity allocation, which detracted versus our benchmark portfolio. The Portfolio’s equity exposure for the period averaged around 55% of assets, with the balance of 45% of assets allocated to fixed income.
What is your outlook?
We believe many financial assets are fully priced, reflecting the aggressive steps taken by central banks in the past (the U.S. Federal Reserve) and currently (the European Central Bank and the Bank of Japan) to artificially lower interest rates. The hope was that these efforts would further stimulate the respective economic recoveries and diminish the risk of deflation and, in fact, stimulate inflation rates to a level of 2%. However, it is difficult to accurately measure the degree to which these actions are distorting prices in sovereign debt markets in the U.S. and Europe. In the case of Japan, both the equity and debt markets are being impacted because the country’s program of quantitative easing involves buying debt and equity securities. The central banks’ distortions of the so-called risk-free rate, which is the interest rate of the safest investment (i.e., short-term, government-backed debt), will likely cascade into other financial assets. At some point, those programs will stop, either because they have achieved their respective objectives or, more likely, because they prove to be incrementally ineffective. As those markets normalize, we do not know how other markets will react. As such, there is an element of unusual risk that we must factor into our analysis.
We believe opportunities exist for growth to stabilize, and under certain circumstances, even accelerate. The fall in energy prices should be positive for the global economy in the intermediate and long term, we feel, because there are many more beneficiaries of low oil prices than economies that are hurt. The Portfolio is positioned with a modest underweighting to risk versus its long-term targets, reflecting the above-mentioned concerns.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-0.56% | 6.03% | 5.22% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The MSCI All Country World Index ex-USA—USD Net Returns is an unmanaged market capitalization-weighted index that is to represent the performance of developed and emerging stock markets throughout the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees or expenses. |
** | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
*** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
**** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Russell W. Swansen, David C. Francis, CFA and Mark L. Simenstad, CFA, Portfolio Co-Managers
Thrivent Moderately Conservative Allocation Portfolio seeks long-term capital growth while providing reasonable stability of principal. The Portfolio invests in other Thrivent Portfolios and in directly-held equity and debt instruments. The Portfolio is subject to its own operating expenses and risks, as well as the operating expenses and risks of the other portfolios in which it invests. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The use of derivatives (such as futures and swaps) involves additional risks and transaction costs, which could leave the Portfolio in a worse position than if it had not used these instruments.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Moderately Conservative Allocation Portfolio earned a return of -0.46%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Conservative category, of -0.65%. The Portfolio’s market benchmarks, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index and the MSCI All Country World Index ex-USA—USD Net Returns, earned returns of 1.38%, 0.55% and -5.66%, respectively.
What factors affected the Portfolio’s performance?
Many factors contributed to the Portfolio’s favorable relative performance in the reporting period. First, the equity subcomponents of the Portfolio generally performed quite well versus their respective benchmarks. Specifically, both the large-cap value and large-cap growth allocations saw performance results that were better than both their public benchmarks and their respective Lipper peer categories. Likewise, the Portfolio’s large-cap global portfolio performed well versus its benchmark and peer universe, as did its mid-cap segment and its small-cap allocations to value, core and growth. In all cases, the driver of returns was strong stock selection within each portfolio’s universe relative to its peers and index. In addition, the Portfolio had an overweighting to large-cap domestic stocks relative to our long-term strategic allocations and an underweighting to mid- and small-cap stocks. Large-cap stocks as a segment posted higher returns than mid and small caps, adding to results versus the benchmark allocations. The Portfolio’s international allocation performed well versus the public benchmark, but modestly below its peer universe. Within the international segment, we had a targeted allocation to the Euro Stoxx 50 Index, but with a hedge against the declining euro, which aided equity returns.
The fixed-income portfolio also performed well versus its benchmark. The Portfolio experienced positive contributions from our allocations to securitized bank loans, often referred to as leveraged loans, and agency mortgage-backed securities. We also saw very strong results from our security selection in corporate bonds, both investment grade and high yield. The fixed-income portfolio had a modest underweighting in high-yield corporate bonds, which was also a positive contributor for the period, while an underweighted position in Treasury securities was a modest negative. On the other hand, an overweighting in investment-grade corporates detracted from results because yields on corporate bonds rose relative to Treasuries during the period, often referred to as spread widening. However, that negative impact was more than offset by the strong security selection referred to earlier.
Finally, the Portfolio was modestly underweighted in its long-term equity allocation, which detracted versus our benchmark portfolio. The Portfolio’s equity exposure for the period averaged around 35% of assets, with the balance of 65% of assets allocated to fixed income.
What is your outlook?
We believe many financial assets are fully priced, reflecting the aggressive steps taken by central banks in the past (the U.S. Federal Reserve) and currently (the European Central Bank and the Bank of Japan) to artificially lower interest rates. The hope was that these efforts would further stimulate the respective economic recoveries and diminish the risk of deflation and, in fact, stimulate inflation rates to a level of 2%. However, it is difficult to accurately measure the degree to which these actions are distorting prices in sovereign debt markets in the U.S. and Europe. In the case of Japan, both the equity and debt markets are being impacted because the country’s program of quantitative easing involves buying debt and equity securities. The central banks’ distortions of the so-called risk-free rate, which is the interest rate of the safest investment (i.e., short-term, government-backed debt), will likely cascade into other financial assets. At some point, those programs will stop, either because they have achieved their respective objectives or, more likely, because they prove to be incrementally ineffective. As those markets normalize, we do not know how other markets will react. As such, there is an element of unusual risk that we must factor into our analysis.
We believe opportunities exist for growth to stabilize, and under certain circumstances, even accelerate. The fall in energy prices should be positive for the global economy in the intermediate and long term, we feel, because there are many more beneficiaries of low oil prices than economies that are hurt. The Portfolio is positioned with a modest underweighting to risk versus its long-term targets, reflecting the above-mentioned concerns.
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Table of Contents
Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-0.46% | 4.65% | 4.64% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The MSCI All Country World Index ex-USA—USD Net Returns is an unmanaged market capitalization-weighted index that is to represent the performance of developed and emerging stock markets throughout the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees or expenses. |
** | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
*** | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. |
**** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT GROWTHAND INCOME PLUS PORTFOLIO
Stephen D. Lowe, CFA, Mark L. Simenstad, CFA, Darren M. Bagwell, CFA, Noah J. Monsen, CFA, and Reginald L. Pfeifer, CFA, Portfolio Co-Managers
Thrivent Growth and Income Plus Portfolio seeks long-term capital growth and income.
The Portfolio invests in debt securities and equity securities. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Leveraged loans, REITs, preferred securities, sovereign debt, and mortgage-related and other asset-backed securities are subject to additional risks. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards; these risks are magnified for investments in emerging markets. An ETF is subject to additional fees and expenses, tracking error, and the risks of the underlying investments that it holds. The use of derivatives (such as futures and swaps) involves additional risks and transaction costs, which could leave the Portfolio in a worse position than if it had not used these instruments.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Growth and Income Plus Portfolio earned a return of -0.81%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Growth category, of -0.97%. The Portfolio’s market benchmarks, the MSCI World Index-USD Net Returns, the Barclays U.S. High Yield Loan Index and the Barclays U.S. Mortgage-Backed Securities Index, earned returns of -0.87%, -0.82% and 1.51%, respectively.
What factors affected the Portfolio’s performance?
The investing climate became increasingly risk-averse as the year wore on amid concerns about slowing economic growth in China, a steep slide in oil prices, and the prospect of higher short-term interest rates in the U.S. The Portfolio, which allocates about 70% of its assets to equities and 30% to fixed-income securities, generated modestly positive returns before expenses from both groups.
The equity portion of the Portfolio was invested in three sectors: international equities, domestic equities and real estate investment trusts (REITs). In all three, the Portfolio outperformed industry benchmarks. International holdings benefited from a focus on low-volatility stocks issued by companies with consistent earnings, solid free cash flow, and low debt. Domestic stock holdings benefited from strong security selection, with technology and health care stocks posting the largest absolute and relative returns. REITs also benefited from strong security selection, with data centers, multi-family apartments and self-storage REITs among the sector’s best performers.
Fixed-income markets were driven primarily by two factors in 2015: expectations that the Fed would raise short-term interest rates, which it did by a quarter of a percentage point in December; and the slump in oil prices. The Fed’s move pressured returns at the short end of the yield curve, while the slide in oil prices, which was linked to concerns about China’s economic stamina, pressured returns for below-investment-grade credits, particularly among energy issues in the high-yield sector.
By contrast, the Portfolio’s high-yield holdings generated modestly positive returns (before Portfolio expenses), largely by virtue of being concentrated in the sector’s higher-rated bonds. Elsewhere, the Portfolio’s securitized assets outperformed their benchmark due both to favorable security selection and a material allocation to nonagency mortgage-backed securities, which substantially outperformed the agency mortgage-backed securities that dominate the sector’s benchmark.
The Portfolio underperformed its benchmarks for investment-grade corporate bonds, leveraged loans and emerging-market bonds. Performance in the loan sector lagged due to an overweighted position in poor-performing energy, mining and metals issues. Returns on investment-grade corporate bonds lagged due to being underweighted in the banking industry, which did relatively well, and overweighted in BBB-rated securities, which did not. In emerging markets, the Portfolio suffered from having little exposure to Ukraine and Russia, both of which performed well after hostilities between those two countries eased.
What is your outlook?
Stocks in most developed economies were expensive as 2015 drew to a close. European shares could outperform U.S. shares in 2016 as corporate profit margins have more room to grow in Europe. Emerging market stocks are cheaper than stocks in developed markets, but still riskier pending improvements in commodities prices. REITs look reasonably attractive, not only because they are generating strong funds from operations but also because they will become their own investment sector in 2016 under the Global Industry Classification Standard, which could broaden their appeal to institutional investors.
While no single sector of the fixed-income markets stands out as dramatically undervalued, the Portfolio’s broad diversification provides a range of opportunities for profit in some sectors to offset losses in others. Half of the Portfolio’s fixed-income assets are invested in leveraged bank loans, high-yield bonds and emerging market bonds, all of which will be sensitive to commodities price trends.
Overall, we expect modestly positive returns from financial assets in 2016, with risk greater to the downside than the upside—especially if China’s slowing growth weighs on other economies, or if commodities prices fail to improve.
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Table of Contents
Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | From Inception | ||
-0.81% | 6.29% | 3.43% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
^ | Effective April 30, 2015, the Portfolio’s benchmark index changed from the Russell Developed® Index to the MSCI World Index—USD Net Returns. The Adviser made this benchmark change because it believes that this Index is a more appropriate benchmark for the Portfolio. Thus the Russell Developed® Index will not be shown in shareholder reports of the Portfolio for fiscal periods ended December 31, 2016 and beyond. |
* | The Barclays U.S. High Yield Loan Index measures U.S. Dollar denominated syndicated term loans. It is not possible to invest directly in the Index. The performance of the Indices does not reflect deductions for fees, expenses or taxes. |
** | The Barclays U.S. Mortgage-Backed Securities Index (MBS) is formed by grouping the universe of over 600,000 individual fixed-rate U.S. It is not possible to invest directly in the Index. The performance of the Indices does not reflect deductions for fees, expenses or taxes. |
*** | The Russell Developed® Index measures the performance of the investable securities in developed countries globally. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
**** | The MSCI World Index—USD Net Returns is an index that represents large and mid-cap stock performance across developed market countries throughout the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
***** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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Table of Contents
THRIVENT BALANCED INCOME PLUS PORTFOLIO
Darren M. Bagwell, CFA, Stephen D. Lowe, CFA, Mark L. Simenstad, CFA, Noah J. Monsen, CFA, and Reginald L. Pfeifer, CFA, Portfolio Co-Managers
Thrivent Balanced Income Plus Portfolio seeks long-term total return through a balance between income and the potential for long-term capital growth.
The Portfolio invests in debt securities and equity securities. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Leveraged loans, REITs, preferred securities, sovereign debt, and mortgage-related and other asset-backed securities are subject to additional risks. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards; these risks are magnified for investments in emerging markets. An ETF is subject to additional fees and expenses, tracking error, and the risks of the underlying investments that it holds. The use of derivatives (such as futures and swaps) involves additional risks and transaction costs, which could leave the Portfolio in a worse position than if it had not used these instruments.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Balanced Income Plus Portfolio earned a return of -0.14%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Moderate category, of -0.92%. The Portfolio’s market benchmarks, the MSCI World Index-USD Net Returns, the Barclays U.S. High Yield Loan Index and the Barclays U.S. Mortgage-Backed Securities Index, earned returns of -0.87%, -0.82% and 1.51%, respectively.
What factors affected the Portfolio’s performance?
The investing climate became increasingly risk-averse as the year wore on, with investors worried about slowing economic growth in China, a steep slide in oil prices, and the prospect of higher short-term interest rates in the U.S. The Portfolio was able to generate modestly positive returns before expenses from both its equity and fixed-income holdings.
The equity portion of the Portfolio was invested in three sectors: international equities, domestic equities and real estate investment trusts (REITs). In all three, the Portfolio outperformed industry benchmarks. International holdings benefited from a focus on low-volatility stocks issued by companies with consistent earnings, solid free cash flow, and low debt. Domestic stock holdings benefited from strong security selection, with technology and health care stocks posting the largest absolute and relative returns. REITs also benefited from strong security selection, with data centers, multi-family apartments and self-storage REITs among the sector’s best performers.
Fixed-income markets were driven primarily by two factors in 2015: expectations that the Fed would raise short-term interest rates, which it did by a quarter of a percentage point in December; and the slump in oil prices. The Fed’s move pressured returns at the short end of the yield curve, while the slide in oil prices, which was linked to concerns about China’s economic stamina, pressured returns for below-investment-grade credits, particularly among energy issues in the high-yield sector.
By contrast, the Portfolio’s high-yield holdings generated modestly positive returns (before Portfolio expenses), largely by virtue of being concentrated in the sector’s higher-rated bonds. Elsewhere, the Portfolio’s securitized assets outperformed their benchmark due both to favorable security selection and a material allocation to nonagency mortgage-backed securities, which substantially outperformed the agency mortgage-backed securities that dominate the sector’s benchmark.
The Portfolio underperformed its benchmarks for investment-grade corporate bonds, leveraged loans and emerging-market bonds. Performance in the loan sector lagged due to an overweighted position in poor-performing energy, mining and metals issues. Returns on investment-grade corporate bonds lagged due to being underweighted in the banking industry, which did relatively well, and overweighted in BBB-rated securities, which did not. In emerging markets, the Portfolio suffered from having little exposure to Ukraine and Russia, both of which performed well after hostilities between those two countries eased.
What is your outlook?
Stocks in most developed economies were expensive as 2015 drew to a close. European shares could outperform U.S. shares in 2016 as corporate profit margins have more room to grow in Europe. Emerging market stocks are cheaper than stocks in developed markets, but still riskier pending improvements in commodities prices. REITs look reasonably attractive, not only because they are generating strong funds from operations but also because they will become their own investment sector in 2016 under the Global Industry Classification Standard, which could broaden their appeal to a wider range of institutional investors.
While no single sector of the fixed-income markets stands out as dramatically undervalued, the Portfolio’s broad diversification provides a range of opportunities for profit in some sectors to offset losses in others. Half of the Portfolio’s fixed-income assets are invested in leveraged bank loans, high-yield bonds and emerging market bonds, all of which will be sensitive to commodities price trends.
Overall, we expect modestly positive returns from financial assets in 2016, with risk greater to the downside than the upside—especially if China’s slowing growth weighs on other economies, or if commodities prices fail to improve.
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Table of Contents
Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-0.14% | 7.91% | 5.78% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
^ | Effective April 30, 2015, the S&P Composite 1500 Index was discontinued as a benchmark for the Portfolio. Thus, the S&P Composite 1500 Index will not be shown in shareholder reports of the Portfolio for fiscal periods ended December 31, 2016 and beyond. |
* | The MSCI World Index—USD Net Returns is an index that represents large and mid-cap stock performance across developed market countries through-out the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Barclays U.S. Mortgage-Backed Securities Index (MBS) is formed by grouping the universe of over 600,000 individual fixed-rate U.S. government agency MBS pools into approximately 3,500 generic types of securities. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
*** | The Barclays U.S. High Yield Loan Index measures U.S. Dollar denominated syndicated term loans. It is not possible to invest directly in the Index. The performance of the Indices does not reflect deductions for fees, expenses or taxes. |
**** | The S&P Composite 1500 Index measures the performance of a group of 1500 publicly traded stocks. “S&P Composite 1500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
***** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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Table of Contents
THRIVENT DIVERSIFIED INCOME PLUS PORTFOLIO
Mark L. Simenstad, CFA, Stephen D. Lowe, CFA, Darren M. Bagwell, CFA, Noah J. Monsen, CFA, and Reginald L. Pfeifer, CFA, Portfolio Co-Managers
Thrivent Diversified Income Plus Portfolio seeks to maximize income while maintaining prospects for capital appreciation.
The Portfolio invests in debt securities and equity securities. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Leveraged loans, REITs, preferred securities, sovereign debt, and mortgage-related and other asset-backed securities are subject to additional risks. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards; these risks are magnified for investments in emerging markets. An ETF is subject to additional fees and expenses, tracking error, and the risks of the underlying investments that it holds. The use of derivatives (such as futures and swaps) involves additional risks and transaction costs, which could leave the Portfolio in a worse position than if it had not used these instruments.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Diversified Income Plus Portfolio earned a return of 0.08%, compared with the median return of its peer group, the Lipper Mixed-Asset Target Allocation Conservative category, of -0.65%. The Portfolio’s market benchmarks, the MSCI World Index-USD Net Returns, the Barclays U.S. High Yield Loan Index and the Barclays U.S. Mortgage-Backed Securities Index, earned returns of -0.87%, -0.82% and 1.51%, respectively.
What factors affected the Portfolio’s performance?
The investing climate became increasingly risk-averse over the year as investors focused on slowing economic growth in China and plunging oil prices. Investors also were weighing the prospect of higher short-term interest rates, which became a reality in December when the Federal Reserve raised short-term rates a quarter of a percentage point. That pressured bond returns at the short end of the yield curve. Meanwhile, the slide in oil prices, which was linked to concerns about China’s economic stamina, pressured returns for below-investment-grade credits, particularly among energy issues in the high-yield sector.
The Portfolio allocates about 70% of its assets to fixed-income securities and 30% to equities, and in 2015 generated modestly positive returns, before expenses, from both groups.
The fixed-income portion of the Portfolio outpaced its benchmarks for securitized assets and high-yield bonds. The Portfolio’s high-yield bonds generated modestly positive returns (before Portfolio expenses), largely by virtue of being concentrated in higher-rated securities within that sector. The Portfolio’s securitized assets outperformed due both to favorable security selection and a material allocation to nonagency mortgage-backed securities, which substantially outperformed the agency mortgage-backed securities that dominate the sector’s benchmark.
The Portfolio underperformed its benchmarks for investment-grade corporate bonds, leveraged loans and emerging-market bonds. Performance in the loan sector lagged due to an overweighted position in poor-performing energy, mining and metals issues. Returns on investment-grade corporate bonds lagged due to being underweighted in the banking industry, which did relatively well, and overweighted in BBB-rated securities, which did not. In emerging markets, the Portfolio suffered from having little exposure to Ukraine and Russia, both of which performed well after hostilities between those two countries eased.
The equity portion of the Portfolio was invested in three sectors: international equities, domestic equities and real estate investment trusts (REITs). In all three, the Portfolio outperformed industry benchmarks. International holdings benefited from a focus on low-volatility stocks issued by companies with consistent earnings, solid free cash flow, and low debt. Domestic stock holdings benefited from strong security selection, with technology and health care stocks posting the largest absolute and relative returns. REITs also benefited from strong security selection, with data centers, multi-family apartments and self-storage REITs among the sector’s best performers.
What is your outlook?
While no single sector of the fixed-income markets stands out as dramatically undervalued, the Portfolio’s broad diversification provides a range of opportunities to generate profit in some sectors to offset losses in others. For example, floating-rate leveraged loans hold their value better than fixed-rate bonds when interest rates are rising, and returns on securitized assets are driven by different factors than those impacting high-yield bonds. Half of the Portfolio’s fixed-income assets are invested in leveraged bank loans, high-yield bonds and emerging market bonds, all of which will be sensitive to commodities price trends.
Stocks in most developed economies were expensive as 2015 drew to a close. Because corporate profit margins have more room to grow, European shares could outperform U.S. shares in 2016. Stocks in emerging markets are cheaper than developed markets, but still riskier pending improvements in commodities prices. REITs look reasonably attractive, not only because they are generating strong funds from operations but also because they will become their own investment sector in 2016 under the Global Industry Classification Standard, which could broaden their appeal to institutional investors.
Overall, we expect modestly positive returns from financial assets in 2016, with risk greater to the downside than the upside—especially if China’s slowing growth weighs on other economies, or if commodities prices fail to improve.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
0.08% | 6.33% | 6.16% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
2 | Prior to July 3, 2006, the Portfolio, as a high yield fund, invested primarily in “junk bonds”. |
# | Effective April 30, 2015, the Portfolio’s benchmark index changed from the Russell Developed® Index to the MSCI World Index—USD Net Returns. The Adviser made this benchmark change because it believes that this Index is a more appropriate benchmark for the Portfolio. Thus the Russell Developed® Index will not be shown in shareholder reports of the Portfolio for fiscal periods ended December 31, 2016 and beyond. |
* | The Barclays U.S. Mortgage-Backed Securities Index (MBS) is formed by grouping the universe of over 600,000 individual fixed-rate U.S. government agency MBS pools into approximately 3,500 generic types of securities. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Barclays U.S. High Yield Loan Index measures U.S. Dollar denominated syndicated term loans. It is not possible to invest directly in the Index. The performance of the Indices does not reflect deductions for fees, expenses or taxes. |
*** | The Russell Developed® Index measures the performance of the investable securities in developed countries globally. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
**** | The MSCI World Index—USD Net Returns is an index that represents large and mid-cap stock performance across developed market countries through-out the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
***** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT OPPORTUNITY INCOME PLUS PORTFOLIO
Gregory R. Anderson, CFA, Michael G. Landreville, CFA and CPA (inactive) and Conrad E. Smith, CFA, Paul J. Ocenasek, CFA, and Kent L. White, CFA, Portfolio Co-Managers
Thrivent Opportunity Income Plus Portfolio seeks a combination of current income and long-term capital appreciation.
The Portfolio primarily invests in a broad range of debt securities. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Leveraged loans, sovereign debt, and mortgage-related and other asset-backed securities are subject to additional risks. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards; these risks are magnified for investments in emerging markets. An ETF is subject to additional fees and expenses, tracking error, and the risks of the underlying investments that it holds. The use of derivatives (such as futures and swaps) involves additional risks and transaction costs, which could leave the Portfolio in a worse position than if it had not used these instruments.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Opportunity Income Plus Portfolio generated a return of -0.03%, compared with the median return of its peer group, the Lipper General Bond category, of -1.30%. The Portfolio’s market benchmarks, the Barclays U.S. Mortgage-Backed Securities Index, the Barclays U.S. High Yield Loan Index and the Barclays U.S. High Yield Ba/B 2% Issuer Capped Index, earned returns of 1.51%, -0.82% and -2.72%, respectively.
What factors affected the Portfolio’s performance?
Two broad factors drove activity in the bond market in 2015: expectations that the Federal Reserve would raise short-term interest rates as the U.S. economy continued to grow; and a steep slide in oil prices.
The Fed raised short-term interest rates by a quarter of a percentage point in December after holding them near 0% for seven years. Not surprisingly, this pressured returns at the short end of the yield curve. In the Treasury market, for example, two-year Treasuries earned about 0.4% for the year, while five-year Treasuries earned 1.3%.
Crude oil finished the year at about $37 per barrel, down from more than $100 in June 2014. Oil prices fell not only because of ample supplies of the commodity but also because of slacking demand, particularly in China—one of the world’s biggest oil consumers. As the world’s second-largest economy, China grew 6.9% in the third quarter, but that was its slowest pace of growth since the 2008 financial crisis. Prices for many other commodities also were down for the year.
The high-yield sector was the worst-performing sector of the U.S. bond market, in part because bonds issued by energy companies accounted for about 15% of that sector heading into the year, and investors were worried that the steep slide in oil prices would lead to higher levels of defaults on energy bonds. The Barclays U.S. Corporate High Yield Bond Index posted a total return of -4.47%, with bonds carrying the lowest credit ratings—including many energy bonds—faring the worst inside that index. By contrast, the Portfolio earned 0.82% before expenses on its high-yield portfolio, largely by concentrating its holdings in bonds with above-average credit ratings for that sector.
Securitized assets, which accounted for 21% of the Portfolio, contributed positively to results, earning about 3.1% before expenses. Within that sector, the Portfolio allocated about 4% of its assets to nonagency mortgage-backed securities, which returned 4.0% for the year, outpacing agency mortgage-backed securities, which earned 1.5% as measured by the Barclays U.S. Mortgage-Backed Securities Index. The Portfolio’s remaining securitized assets were invested in agency mortgage-backed securities that earned about 2.6% for the year.
The Portfolio’s holdings in leveraged loans and emerging-market bonds were the largest detractors from results. The leveraged loan sector accounted for 31% of the Portfolio and generated a return of about 0.6%, which lagged the Portfolio’s leveraged loan index due to a higher allocation to energy, mining and metals issues. Emerging-market results lagged in part because the Portfolio had less exposure than the benchmark to Ukraine and Russia, both of which performed well after hostilities between those two countries eased.
What is your outlook?
The Portfolio’s holdings are concentrated in securities maturing in two to five years. Anticipating the Fed will impose further modest increases in short-term interest rates in 2016, we have taken a slightly overweighted position in five-year bonds. Meanwhile, more than half of the Portfolio’s assets are invested in leveraged bank loans, high-yield bonds and emerging markets bonds, all of which would likely do well if oil and other commodities prices rise, but would suffer if commodities prices remain severely depressed. This leaves us cautious about the Portfolio’s prospects for 2016, although we take comfort in knowing that the Portfolio is broadly diversified. This provides a range of opportunities to earn profits, and for profits in some sectors to offset losses in others. Leveraged loans are floating-rate securities, for example, and maintain their value better than fixed-rate bonds when interest rates are rising. Similarly, securitized assets are driven by different factors than those at work in the high-yield sector. Overall, assuming the U.S. economy continues its slow growth trajectory and commodities markets stabilize, we anticipate another year of flat-to-modestly positive returns.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5- Year | 10-Year | ||
-0.03% | 2.48% | 4.12% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Barclays U.S. Mortgage-Backed Securities Index (MBS) is formed by grouping the universe of over 600,000 individual fixed-rate U.S. government agency MBS pools into approximately 3,500 generic types of securities. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Barclays U.S. High Yield Loan Index measures U.S. Dollar denominated syndicated term loans. It is not possible to invest directly in the Index. The performance of the Indices does not reflect deductions for fees, expenses or taxes. |
*** | The Barclays U.S. High Yield Ba/B 2% Issuer Capped Index covers the USD denominated, non-investment grade, Ba or B rated, fixed-rate, taxable corporate bond market. The Index limits issuer exposures to a maximum 2%, redistributing excess market value index-wide on a pro-rata basis. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
**** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Partner Healthcare Portfolio earned a return of 4.61%, compared with the median return of its peer group, the Lipper Health/Biotechnology category, of 7.93%. The Portfolio’s market benchmark, the Morgan Stanley Capital International (MSCI) World Health Care Index, earned a return of 6.60%.
What factors affected the Portfolio’s performance?
The Portfolio underperformed its benchmark and peer group over the past 12 months. Stock selection and exposure to emerging-market health care companies contributed to the underperformance. Key detractors over the 12-month period included generic drug maker Aspen Pharmacare, biotechnology firm Biogen and medical technology company HeartWare International. Shares of Aspen, a South Africa-based regional generic company, fell based on general weakness in emerging markets, the devaluation of the South African rand due to political uncertainty late in the year, and currency concerns for the company. Biogen, a commercial biotech company focused on treating neurologic diseases, was weak due to the slowing of its key multiple sclerosis drug Tecfidera. HeartWare, a developer of ventricular assist devices, fell after it announced the acquisition of mitral valve repair company Valtech Cardio—which was unwelcome by shareholders—and problems with a trial for its next-generation pump.
Top contributors to performance for the 12-month period included medtech DexCom and biotechs Novo Nordisk and BioMarin Pharmaceutical. DexCom’s shares advanced due to the continued strong rollout of the company’s continuous blood-glucose monitors for use in diabetic patients, which showed more than 50% year-over-year sales growth each quarter. Novo Nordisk benefited from the long-awaited U.S. approval of its long-acting insulin Degludec and the advancement of its pipeline (most notably its oral Semaglutide program). BioMarin was aided by the continued strong rollout of its newly approved drug Vimizim (for the rare condition Morquio A syndrome) and the progress of its pipeline (most notably drugs for Batten’s disease, Pompe’s disease and achondroplasia).
What is your outlook?
As was the case for much of 2015, we believe that during the coming year, monetary policies will dictate what happens in equity markets. While the course of U.S. interest rate hikes seems relatively clear, the duration and scope of quantitative easing in Europe is less certain. The sharp divergence between the main economic regions is a source of tension for financial markets; at the same time, however, a precipitated tapering in Europe could put economic growth at risk. If economic growth in developed markets is sustained, emerging economies manage to improve, and monetary policies evolve as expected, we anticipate that 2016 will be a modestly positive year for equities globally. With respect to health care, we continue to see stronger sales and earnings growth than in the broader markets, while valuation levels, with only a few exceptions, remain reasonable.
We believe that large caps (i.e., primarily selected pharmaceutical stocks, including global and regional generic players and most of the large-cap biotechs) will provide a solid and stable core for health care investors in 2016. We believe performance in other investment sectors will diverge significantly, as company-specific or region-specific events will largely dictate individual stock performance. The mostly flat performance of biotechs and medtechs during the second half of 2015 has removed the valuation concerns we expressed at the beginning of the year. Hence, while emphasizing selectivity, we see opportunities among mid- and small-cap biotech and medtech companies. Upcoming approvals, product launches and data readouts will continue to drive performance in this group of stocks.
The other area of opportunity is emerging-market health care companies. Most of these have lived through a transition year, with demand growing more slowly than usual, mostly because of transient economic or regulatory reasons. Their stock prices have been negatively affected—relative to emerging market equities overall—by the morose investor stance. However, emerging consumers are alive and well, eager to spend on higher-end goods such as health care. In this respect, the recent lackluster performance of the sector in emerging markets provides an attractive entry point. In addition, confidence might return to emerging markets as fears of a Federal Reserve rate hike recede and most emerging economies remain relatively well-positioned (with the notable exceptions of South Africa and Brazil).
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | From Inception | ||
4.61% | 14.62% | 12.31% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The MSCI World Healthcare Index is a capitalization-weighted index of selected health care stocks from around the world. The index includes reinvestment of dividends, gross of foreign withholding taxes. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Partner Emerging Markets Equity Portfolio earned a return of -13.59%, compared with the median return of its peer group, the Lipper Emerging Markets category, of -14.51%. The Portfolio’s market benchmark, the MSCI Emerging Markets Index- USD Net Returns, earned a return of -14.60%.
What factors affected the Portfolio’s performance?
The Portfolio’s outperformance relative to the benchmark was driven by positive stock selection. On the other hand, currency effect was negative as emerging-market currencies broadly depreciated against the U.S. dollar, which rose amid expectations of an impending increase in interest rates.
Favorable stock selection in Latin America compensated for market weakness in the region. In Mexico, airport operator Asur continued to rally, driven by consistent growth in passenger traffic, while bottler and convenience store operator Femsa rose on the back of acquisitions in its pharmacy business. However, the Portfolio’s overweighted position in Brazil pared down these gains. Brazilian equities tumbled and the country’s real currency continued to depreciate, owing to heightened concerns over President Rousseff’s commitment to fiscal discipline and S&P’s downgrade of the nation’s debt. Iron ore producer Vale’s shares fell following a mining accident at Samarco, its joint-venture operation with BHP Billiton. While the company has handled communication with its investors well, significant concern remains over the magnitude of the potential fines that Vale faces; and it’s likely that the environment of low iron ore prices will only compound difficulties.
The Portfolio’s exposure to companies in Europe, the Middle East and Africa was also a positive contributor. In particular, shares of beverage company SABMiller rallied on news of a potential takeover bid from rival brewer Anheuser-Busch InBev. In Poland, food retailer Jeronimo Martins continued to do well after its results demonstrated operational improvements. Hungarian drug maker Richter Gedeon’s earnings were boosted by a milestone payment on its anti-psychotic treatment, Cariprazine, from the company’s U.S. partner Allergan.
In Asia, the Portfolio’s underweighting to China continued to hamper performance. Chinese stocks rose sharply in the beginning of the year in response to a tide of equity account openings, a surge in margin trading activity and monetary easing. Although weak economic data reversed gains in the second half of the year, the Shanghai Index still ended the year among the best-performing markets. Currency returns from China also had a negative impact. While the yuan weakened against the U.S. dollar, it appreciated against most other major global currencies in 2015. At the stock level, not holding Internet company Tencent in the Portfolio was the largest detractor from performance, as it is a significant position in the benchmark. The share price rose sharply after the company announced good results and planned to monetize its WeChat platform. We do not own Tencent due to concerns over corporate governance. In particular, its variable interest entity structure, which is used to get around legal restrictions on the foreign ownership of Internet assets in China, offers limited protection to minority shareholders. On the other hand, our nonbenchmark exposure to Hong Kong benefited the Portfolio as a position in AIA posted better-than-expected results. We also benefited from our overweighting to India, which was among the most resilient markets.
What is your outlook?
The U.S. Federal Reserve’s move to finally raise rates, while emphasizing that any future adjustments will be gradual, has brought welcome clarity to investors. The hope is that focus can now return to fundamentals. On the whole, emerging-market countries are better positioned for higher rates than they were during the 2013 “taper tantrum” due to improved external balances and higher reserves.
That being said, the asset class faces a number of headwinds in 2016. One of these is the slowdown in China, as it restructures an export- and investment-led economy toward a more sustainable model with consumption and services as the main growth pillars. While this is a good thing, the resulting impact on commodity prices will likely be unavoidable. The developing economies that made use of the boom years to strengthen their current account balances and increase productivity will need to weather the “new normal” of lower levels of trade and investment.
Against this backdrop, we continue to find opportunity amidst the market volatility, and remain upbeat on emerging markets’ long-term potential. Negative investor sentiment has punished share prices indiscriminately, and valuations now look reasonable both on a historical and relative basis. We also expect corporate earnings to improve modestly in 2016.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | From Inception | ||
-13.59% | -2.55% | 1.28% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The MSCI Emerging Markets Index-USD Net Returns is a modified capitalization-weighted index of selected emerging economies from around the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT REAL ESTATE SECURITIES PORTFOLIO
Reginald L. Pfeifer, CFA, Portfolio Manager
Thrivent Real Estate Securities Portfolio seeks to provide long-term capital appreciation and high current income.
The Portfolio focuses on income-producing equity securities of U.S. real estate companies. Declines in real estate values, changes in interest rates or economic downturns can have a significant negative effect on companies in the real estate industry. REITs are subject to numerous risks and can be affected by interest rates, the values of the properties they own, and the credit quality of mortgage loans they hold. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Real Estate Securities Portfolio earned a return of 2.75%, compared with the median return of its peer group, the Lipper U.S. Real Estate category, of 2.77%. The Portfolio’s market benchmark, the FTSE NAREIT All Equity REITs Index, earned a return of 2.83%.
What factors affected the Portfolio’s performance?
Real estate investment trust (REIT) stock performance in 2015 was positively impacted by an improving U.S. economy, which provided underlying support for real estate fundamentals. Rent growth continued in the primary property categories of office, industrial and retail, but was particularly strong in apartments, self-storage and class-A mall properties. New construction supply has been sufficient to meet—but not exceed—demand in the current business cycle. As a result, occupancy rates have remained stable and property owners have been able to increase rental rates.
Equity REITs performed well in this environment as a result of their 7% cash-flow earnings growth plus 4% average dividend yield. However, REIT stock prices were negatively impacted by the expectation that interest rates would rise as the Federal Reserve executes its plan to raise short-term interest rates. In anticipation of this event, flows into REIT mutual funds were modestly negative in 2015, reversing a multi-year trend of positive inflows.
The best-performing property sectors in 2015 were apartment, self-storage and data center REITs. In these sectors, the Portfolio’s best-performing stocks were Mid-America Apartment Communities, Extra Space Storage, and data center operator CoreSite Realty. The lodging/hotel sector was the worst-performing property type due to a reduction in international travel to the U.S., and a slowing in revenue growth trends.
What is your outlook?
New construction is expected to remain limited in most property types. The modest new supply should allow REITs and private real estate owners to maintain occupancy levels in 2016, with rental rate increases expected to continue. U.S. equity REITs should also benefit when they become the eleventh industry sector under the Global Industry Classification Standard (GICS) on August 31, 2016. As a result, REITs will be separated from the financial sector and will likely receive greater attention from general investors who have historically had little or no exposure to REIT stocks.
Private equity firms are in the process of raising an estimated $45 billion of equity for U.S.-focused real estate funds, which will provide the funding needed for public REIT or private real estate acquisitions. Investment demand of this magnitude should provide strong underlying support for commercial real estate and REIT valuations in the public market. Fundamentals for commercial real estate and REIT owners are likely to remain strong as a result of limited new supply, together with high occupancy rates and strong rental rate growth. The expectation for 2016 is that equity REITs will likely generate 6% to 7% FFO (funds-from-operations) per-share growth, which combined with a dividend yield of 4%, should produce attractive total returns.
Our strategy is to emphasize best-in-class REITs that have high-quality real estate portfolios and experienced management teams. We continually search for attractive value in all REIT property sectors, and adjust positions throughout the year in an attempt to maximize the Portfolio’s performance and manage risk.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
2.75% | 11.93% | 7.32% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The FTSE NAREIT All Equity REITs Index is an unmanaged capitalization-weighted index of all equity real estate investment trusts. It is not possible to invest directly in this Index. The performance of this Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT SMALL CAP STOCK PORTFOLIO
Matthew D. Finn, CFA, Portfolio Manager and James M. Tinucci, CFA, Associate Portfolio Manager
Thrivent Small Cap Stock Portfolio seeks long-term capital growth.
The Portfolio primarily invests in securities of small companies. Smaller, less seasoned companies often have greater price volatility, lower trading volume, and less liquidity than larger, more established companies. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Small Cap Stock Portfolio earned a return of -3.13%, compared with the median return of its peer group, the Lipper Small Cap Core category, of -4.74%. The Portfolio’s market benchmark, the Russell 2000® Index, earned a return of -4.41%.
What factors affected the Portfolio’s performance?
During the period, the Portfolio outperformed due to stock selection. Strong areas of stock selection included financials, consumer discretionary, industrials and consumer staples. In financials, the Portfolio benefited from strong stock selection in regional banks. Positions in Synovus Financial Group, operating in Georgia and other states in the Southeast, and Hanmi Financial, operating primarily in southern California, contributed favorably to results. Our holdings in real estate investment trusts (REITs) also performed well, including a position in Extra Space Storage, as well as other companies in the self-storage properties sector. The Portfolio also benefited from our avoidance of mortgage REITs. In insurance, the Portfolio owned HCC Insurance Holdings, a property and casualty insurance company that was taken over at a premium during the period.
In the consumer discretionary sector, Papa John’s International was a meaningful outperformer. In addition, apparel company Oxford Industries aided performance. In industrials, commercial construction companies Emcor Group and Granite Construction drove performance. In the consumer staples area, food and gasoline retailer Casey’s General Stores and organic food company WhiteWave Foods contributed meaningfully. Stock selection in the technology sector detracted from performance.
What is your outlook?
We believe the U.S. economy has likely passed the midpoint of its recovery. Our viewpoint is based on the operating performance of many companies across all industries. Cyclical companies have recovered and seen above-trend sales growth and margins, while some industries have already rolled over and are in deep downturns, including agriculture, energy and mining in particular. Outside the U.S., we believe there is still room for recovery in Europe and emerging markets. If these areas start to gain some traction, it would be beneficial to some of the companies that are owned in the Portfolio. All that being said, our investment approach does not rely on economic forecasting. Our goal is to find solid companies at attractive prices that have a long runway for operating performance improvement, and that can be held throughout an economic cycle.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-3.13% | 7.40% | 4.87% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Russell 2000® Index measures the performance of small cap stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT SMALL CAP INDEX PORTFOLIO
Kevin R. Brimmer, FSA, Portfolio Manager
Thrivent Small Cap Index Portfolio seeks capital growth that tracks the performance of the S&P SmallCap 600 Index.
The Portfolio primarily invests in small company common stocks. Smaller, less seasoned companies often have greater price volatility, lower trading volume, and less liquidity than larger, more established companies. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Small Cap Index Portfolio earned a return of -2.17%, compared with the median return of its peer group, the Lipper Small Cap Core category, of -4.74%. The Portfolio’s market benchmark, the S&P SmallCap 600 Index, earned a return of -1.97%.
What factors affected the Portfolio’s performance?
The Portfolio’s holdings are aligned with those of the S&P SmallCap 600 Index. As typically occurs in an index portfolio, the difference in performance between the benchmark index and the Portfolio itself can largely be attributed to expenses and minor differences in portfolio composition.
Four of the sectors posted positive returns for the year. Health care, utilities and information technology were the best-performing sectors in the market over the past 12 months, posting the most positive returns. Small-cap stocks slightly outperformed mid-cap stocks over the reporting period and underperformed large-cap stocks. Larger-cap stocks tend to outperform during periods of increasing market volatility. Consumer discretionary, materials and energy delivered the most negative returns for the 12-month period.
What is your outlook?
In the U.S., small-cap stocks slightly outperformed mid-cap stocks, but underperformed large caps over the past year. In the last 12 months the markets have seen an increase in volatility relative to the last few years, particularly during the last quarter of the year. Worldwide, many central banks, particularly in developed markets like Europe and Japan, continue to provide extraordinary monetary stimulus to their respective economies. It’s important for the economic recovery, both domestically and globally, to be sustained, supporting continued profit growth that will validate the advance in stock prices over the last few years. Market multiples are high relative to history. The dollar has appreciated substantially and is impacting top line revenue growth, particularly for large-cap, multinational companies. While small-cap companies have less direct exposure to the strength in the dollar, there can be a second-order effect as their customers are being impacted. Profit margins are being stressed due to upward pressure on wages as labor markets tighten. We are well into the expansion phase of the current economic recovery and there are signs that suggest some degree of caution is appropriate. Economic risks in the U.S. are low relative to other areas of the global economy. An area we are closely monitoring is emerging economies that have high dependence on commodities.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-2.17% | 11.09% | 7.70% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The S&P SmallCap 600 Index is an index that represents the average performance of a group of 600 small capitalization stocks. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses and taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT MID CAP STOCK PORTFOLIO
Brian J. Flanagan, CFA, Portfolio Manager
Thrivent Mid Cap Stock Portfolio seeks long-term capital growth.
The Portfolio primarily invests in securities of mid-sized companies, which often have greater price volatility, lower trading volume, and less liquidity than larger, more established companies. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Mid Cap Stock Portfolio earned a return of 0.08%, compared with the median return of its peer group, the Lipper Mid Cap Core category, of -2.68%. The Portfolio’s market benchmark, the Russell Midcap® Index, earned a return of -2.44%.
What factors affected the Portfolio’s performance?
Solid stock selection within the health care, information technology and financial sectors more than offset underperformance from the consumer discretionary and consumer staples sectors. The health care sector experienced significant outperformance from multiple industries, including health care equipment and services. Hologic, C.R. Bard and Edwards Lifesciences each posted improving revenues after new products were introduced at all three companies. Also, increasing health insurance coverage boosted the top and bottom lines of both Centene and Universal Health Services.
NVIDIA was the largest contributor to the information technology sector returns. The firm’s revenue growth was driven by increasing demand for graphics processing units from gaming, enterprise, virtual-reality and automotive customers. Additionally, solid cost and capital management improved NVIDIA’s margins and earnings.
The Portfolio’s large investment in Nasdaq and overweighting in regional banks buoyed performance in the financial sector. Nasdaq’s improved performance resulted from a move to a diversified business model that is concentrated on value-added services, while lowering the firm’s reliance on trading revenues. Regional banks experienced a tailwind from cheap valuations, combined with improving loan growth throughout the year.
The Portfolio did have some struggles during the year, with the majority concentrated in the two consumer sectors. For example, even though Scripps Networks Interactive had solid television ratings, the combination of cord-cutting and increased programming costs was too much to overcome. Finally, Keurig Green Mountain was the Portfolio’s worst performer after the company’s poor execution related to new brewer rollouts, increased price competition and accelerating costs buffeted the stock.
What is your outlook?
We believe that many uncertain situations around the world will keep market volatility elevated. These risks include, but are not limited to, slow worldwide economic growth, Middle East tensions and diverging worldwide monetary policies. These risks are somewhat offset by the continued significant liquidity pumped into the worldwide economy and improved valuations. We believe a continued focus on stock selection, with a preference for investments that offer company-specific growth opportunities, is the best path forward.
In this environment, the Portfolio is overweighting the information technology, industrial and health care sectors. We feel that information technology firms will benefit as companies invest in technology to improve their productivity in a slow-growth world. Company-specific factors offer select opportunities within the industrial sector. Finally, rising health care utilization should continue to buoy the health care sector. Conversely, more frugal consumers who continue to improve their personal balance sheets will make growing revenues difficult for consumer discretionary companies.
Specifically, the Portfolio continues to emphasize growth factors, with a focus on relative revenue growth, above-consensus incremental margins, and free cash flow, as well as companies that are improving returns on capital. While valuation spreads have begun to widen and the environment is beginning to create select opportunities among traditionally cyclical industries, we believe patience is required. The diverging monetary policies between the Federal Reserve and other central banks, particularly in Europe, Japan and China, have the potential to continue putting upward pressure on the dollar and downward pressure on commodity prices. With many cyclical industries’ fortunes tied to commodity prices, we will be patient, adding exposure as valuation opportunities present themselves. Overall, the outlook is much like what has existed over the past year—increased volatility, slow worldwide growth and narrow (but slightly widening) valuation spreads. We will continue to focus on finding companies that we believe can improve returns through superior growth and margin potential, while looking for valuation opportunities within beaten-down cyclical industries.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
0.08% | 10.21% | 7.27% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Russell Midcap® Index is an index that measures the performance of the smallest 800 securities in the Russell 1000® Index, as ranked by total market capitalization. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT MID CAP INDEX PORTFOLIO
Kevin R. Brimmer, FSA, Portfolio Manager
Thrivent Mid Cap Index Portfolio seeks total returns that track the performance of the S&P MidCap 400 Index.
The Portfolio primarily invests in mid-sized company stocks, which often have greater price volatility, lower trading volume, and less liquidity than stocks of larger, more established companies. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Mid Cap Index Portfolio earned a return of -2.52%, compared with the median return of its peer group, the Lipper Mid Cap Core category, of -2.68%. The Portfolio’s market benchmark, the S&P MidCap 400 Index, earned a return of -2.18%.
What factors affected the Portfolio’s performance?
The Portfolio’s holdings are aligned with those of the S&P MidCap 400 Index. As typically occurs in an index portfolio, the difference in performance between the benchmark index and the Portfolio itself can largely be attributed to expenses and minor differences in portfolio composition.
Three of the sectors posted positive returns for the year. Health care, financials and information technology were the best-performing sectors in the market over the past 12 months, posting the most positive returns. Mid-cap stocks slightly underperformed small-cap stocks over the reporting period and underperformed large-cap stocks, since large-cap stocks tend to outperform during periods of increasing market volatility. Telecommunication services, materials and energy delivered the lowest returns for the 12-month period, with the energy sector clearly delivering the most negative returns.
What is your outlook?
In the U.S., mid-cap stocks underperformed small- and large-cap stocks over the past year. In the last 12 months, the markets have seen an increase in volatility relative to the last few years, particularly during the last quarter of the year. Worldwide, many central banks, particularly in developed markets like Europe and Japan, continue to provide extraordinary monetary stimulus to their respective economies. It’s important for the economic recovery, both domestically and globally, to be sustained, supporting continued profit growth that will validate the advance in stock prices over the last few years. Market multiples are high relative to history. The dollar has appreciated substantially, and is impacting top line revenue growth, particularly for large-cap, multinational companies. While small-cap companies have less direct exposure to the strength in the dollar, there can be a second-order effect as their customers are being impacted. Profit margins are being stressed due to upward pressure on wages as labor markets tighten. We are well into the expansion phase of the current economic recovery and there are signs that suggest some degree of caution is appropriate. Economic risks in the U.S. are low relative to other areas of the global economy. An area we are closely monitoring is emerging economies that have high dependence on commodities.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-2.52% | 10.20% | 7.73% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The S&P MidCap 400 Index is an index that represents the average performance of a group of 400 medium capitalization stocks. The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Partner Worldwide Allocation Portfolio earned a return of -0.78%, compared with the median return of its peer group, the Lipper International Multi Cap Core category, of -1.39%. The Portfolio’s market benchmark, the MSCI All Country World Index ex-USA—USD Net Returns, earned a return of -5.66%.
What factors affected the Portfolio’s performance?
The Portfolio’s performance was impacted positively by the relative performance of three of the four subaccount managers that performed well within their respective categories. One manager detracted as it did not perform well relative to its peer group.
To review, the Portfolio is managed using five distinct management styles reflecting the broad range of opportunities in non- U.S. markets. The large-cap allocation of 60% of portfolio assets is split between two investment advisers, one investing in a large-cap growth strategy and the other, a large-cap value manager. The large-cap growth manager performed well versus both its benchmark and the peer category. The large-cap value manager did not perform well versus its group owing to an overweighted position in euro area markets, a position that was impacted by significant euro weakness versus the dollar and exposure to financial stocks. Another 30% of portfolio assets is evenly divided between an MSCI Europe, Asia and Australasia manager in small-cap stocks from developed economies and an emerging markets equity investment manager. The former performed quite well versus both the benchmark and peers and was a strong contributor to results.
Those results were partially offset by our exposure to emerging-market equities, which performed poorly in the period relative to developed markets. Although our manager performed well versus the category of emerging-market equity managers, the group still lagged the performance seen in developed international markets by a wide margin. Weakness in China, as well as commodity-based emerging-market economies, caused this segment of the market to fare poorly in the period. Finally, 10% of the portfolio is allocated to an emerging market debt manager. That manager performed quite well against its group and benchmark, while the group also performed well versus the equity markets, adding to performance.
What is your outlook?
From late 2011 through the third quarter of 2015, equity markets generally had been performing quite well on a local currency basis. This performance was based on confidence in the global economic recovery continuing and the potential positive impact of aggressive monetary policies on the part of both the European and Japanese central banks. Europe does appear on the cusp of a pickup in growth following the challenges presented by the euro crisis and the issues in Greece. Japan also has seen some improvement in economic growth following extremely unusual activity on the part of its central bank to lift asset prices and depreciate the yen, including the purchase of stocks—an unprecedented activity in the modern financial era. During 2015, it appeared both sets of policies were having less than the desired effect. At the same time China, previously a significant contributor to global growth, was undergoing an economic slowdown as it transitioned from an export-based to a consumption-based economy. All of these issues have resulted in a steady, albeit tepid, markdown in expectations for global growth. Global equity markets, already struggling to advance in 2015, underwent a severe correction in the third quarter.
We believe the most likely path is continued modest growth, while acknowledging that risks are not insignificant. Debt growth in emerging markets, particularly in the private sector, has been extraordinary during this cycle. We believe this is an area of high risk, particularly in commodity-based economies. In the developed world, it is difficult to find those types of excesses that are usually associated with recessions. That being said, emerging markets are now close to 50% of global gross domestic product (GDP), making them a fairly significant factor. We expect to remain cautiously positioned.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | From Inception 4/30/2008 | ||
-0.78% | 2.64% | 0.46% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
^ | Effective April 30, 2015, the Portfolio’s benchmark index changed from the MSCI All Country World Index ex-USA—USD Gross Returns to the MSCI All Country World Index ex-USA—USD Net Returns. The Adviser made this benchmark change because it believes that this Index is a more appropriate benchmark for the Portfolio. Thus the MSCI All Country World Index ex-USA—USD Gross Returns will not be shown in shareholder reports of the Portfolio for fiscal periods ended December 31, 2016 and beyond. |
* | The MSCI All Country World Index ex-USA—USD Gross Returns is an unmanaged market capitalization-weighted index that is designed to represent the performance of developed and emerging stock markets throughout the world. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The MSCI All Country World Index ex-USA—USD Net Returns is an unmanaged market capitalization-weighted index that is designed to represent the performance of developed and emerging stock markets throughout the world. The index reinvests dividends after the deduction of withholding taxes. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees and expenses. |
*** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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|
Subadvised by FIAM LLC*, an affiliate of Fidelity Investments
Thrivent Partner All Cap Portfolio seeks long-term growth of capital.
The Portfolio primarily invests in common stocks. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment advisers. Small and medium-sized companies often have greater price volatility and less liquidity than larger companies. Large cap companies may be unable to respond quickly to new competitive challenges and may not be able to attain a high growth rate.
* Prior to January 4, 2016, FIAM LLC was named Pyramis Global Advisors, LLC.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Partner All Cap Portfolio earned a return of 2.26%, compared with the median return of its peer group, the Lipper Multi-Cap Core category, of -2.14%. The Portfolio’s market benchmark, the Russell 3000® Index, earned a return of 0.48%.
What factors affected the Portfolio’s performance?
The consumer staples and information technology sectors contributed the most to the Portfolio’s relative performance. In the consumer staples sector, our overweighted positions in snack food company Diamond Foods and tobacco company Reynolds American were the largest contributors. Shares of Diamond Foods rose sharply amid favorable investor sentiment after Snyder-Lance announced that it agreed to acquire the company for approximately $1.3 billion. Shares in Reynolds American appreciated after the company announced strong quarterly earnings that beat market expectations. Increased cigarette pricing, rising sales volume and management’s improved 2015 earnings guidance all contributed to the rising share price. Speculation regarding the accretive benefits and cost savings from the recently completed acquisition of Lorillard in the upcoming quarters also drove the stock price higher.
In the information technology sector, overweighted positions in online social networking company Facebook and software provider Adobe Systems were the largest contributors. Elsewhere in the Portfolio, overweightings in health care companies Salix Pharmaceuticals and BioMarin Pharmaceutical were among the largest contributors to relative performance.
The utilities and financials sectors detracted from relative performance. In the utilities sector, our overweighting in power company NRG Energy was among the largest detractors from relative performance. In the financials sector, overweighted positions in investment manager Lazard and credit card company Capital One Financial were the largest detractors to relative performance.
In addition, an underweighting in technology company Microsoft and not holding a position in industrial conglomerate General Electric (GE) were the leading detractors from relative performance. Microsoft shares appreciated after the company reported quarterly earnings that beat analysts’ expectations, driven by strong performance in its cloud-computing business. And by not owning shares of GE, we were not able to benefit from its overperformance during the year, even though the benchmark did.
What is your outlook?
Market volatility returned to slightly more normalized levels during the fourth quarter after spiking during the latter stages of the third quarter. On the economic front, the U.S. economy continued to show modestly positive growth on average for the year. However, concerns regarding a possible global growth slowdown, fueled largely by China and Federal Reserve rate concerns, dampened the economic picture materially throughout the fourth quarter.
Looking ahead, we continue to expect a number of factors to influence the global economy and equity market volatility in 2016. Namely, the rate of growth in the U.S. and abroad (particularly in China), the employment environment in the U.S., ongoing geopolitical issues, and the actions of leading central bank policymakers will continue to dominate the headlines and influence the markets. We will be closely monitoring these and other headlines in 2016.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
2.26% | 10.74% | 7.05% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Russell 3000® Index is an index comprised of the 3,000® largest U.S. companies based on market capitalization. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT LARGE CAP GROWTH PORTFOLIO
David C. Francis, CFA, and Darren M. Bagwell, CFA, Portfolio Co-Managers
Thrivent Large Cap Growth Portfolio seeks to achieve long-term growth of capital.
The Portfolio primarily invests in securities of large companies, which may be unable to respond quickly to new competitive challenges and may not be able to attain a high growth rate. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Large Cap Growth Portfolio earned a return of 10.48%, compared with the median return of its peer group, the Lipper Large Cap Growth category, of 6.28%. The Portfolio’s market benchmark, the Russell 1000® Growth Index, earned a return of 5.67%.
What factors affected the Portfolio’s performance?
Relative performance and its derivation in 2015 were remarkably consistent with 2014, and we made very few changes to the holdings during the period. Security selection was the overwhelming driver of the Portfolio’s performance over the past year. Our successful security selection is directly attributable to our internal research team, whose recommendations accounted for more than 85% of the Portfolio’s 33 holdings as of the period end. Our overarching preference for higher-quality companies (those with higher free cash flows) and sustainable market advantages invariably leads to a relatively concentrated portfolio. In the past year, our Portfolio was especially well-suited for the prevailing low-growth economic environment in which the market put a premium on a few large, dependable, noncyclical growth companies. The Portfolio experienced outperformance in all sectors except for industrials, energy and technology hardware, and was most notable in the consumer discretionary sector and the Internet software industry.
Consumer discretionary holdings were the single biggest source of outperformance, especially positions in Amazon.com, Nike and Starbucks. Amazon.com displayed tangible evidence of long-awaited leverage of its retail distribution network, while its Amazon Web Services unit solidified its position as the market leader in the exploding cloud infrastructure market. Nike continued to be a global brand powerhouse that surpassed expectations for emerging-market penetration, especially in China, even while many others saw deceleration. Starbucks is another global brand that has successfully grown its business in China while continuing to harvest its significant and unmatched investment in technology to improve traffic and margins globally. The Portfolio’s Internet software holdings, especially Web-focused companies Alphabet (formerly known as Google) and Facebook, also continued trends established in the previous year. Both companies are the leading beneficiaries of what we believe are still two significant trends in the consumer-facing Internet marketplace: accelerating mobile monetization rates and programmatic buying in display advertising. Alphabet’s new chief financial officer has begun delivering on the promise of greater spending discipline and financial transparency. These factors, along with successful monetization initiatives, have resulted in a re-rating of the company’s shares. Facebook is simply the dominant player in Web-based advertising, while retaining enormous potential markets yet to be tapped with Instagram, Messenger, Whatsapp and Oculus—the company’s virtual reality division that revealed its first commercial product at the beginning of 2016.
The energy sector was the largest detractor from the Portfolio’s performance in 2015, as it was in 2014. While the returns in the group were not materially different than the sector as a whole, the fact that the Portfolio had more exposure dedicated to the worst-performing sector in the market than either its index or peers was again costly. We pared down this exposure during the course of the year (and into 2016), and the Portfolio is now close to an equal weighting in energy.
In technology hardware, our continued exposure to traditional storage companies such as EMC and NetApp was misguided. We have reduced exposure to EMC and eliminated NetApp. The secular trends of cloud-based technologies have reduced, eliminated or delayed traditional storage opportunities and overwhelmed any value opportunities that might have once existed. As with energy, our mistakes have generally been tied to our attempts to employ a value-tilted selection strategy in sectors that are void of any real growth prospects. We would be better served to simply avoid these areas altogether.
What is your outlook?
Our focus on generating returns through security selection makes any form of outlook of secondary importance to the Portfolio’s positioning or performance. That being said, we believe domestic economic growth will remain sluggish at 1.5% to 3.0%. We also believe that S&P 500 Index revenues will struggle to reach 4% growth, and earnings will have difficulty exceeding 6% to 7% as margins struggle to hold. Share buybacks will likely become a bigger influence on earnings-per-share improvement as global markets continue to grow at a greater—but decelerating—pace. The strength in the dollar, and whether it continues to increase as the Federal Reserve raises rates and developing countries struggle, is a significant wild card. While we expect the Fed to raise rates further, we believe these increases will develop at a slower pace than current Fed expectations, while inflation will likely stay exceptionally low for years. Uncertainty about the path of rates and dollar trends are likely to leave markets volatile for quite some time. We believe the Portfolio remains well-positioned for this scenario with its focus on higher-quality growth.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
10.48% | 13.51% | 7.87% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Russell 1000® Growth Index measures the performance of large cap growth stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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Subadvised by T. Rowe Price Associates, Inc.
Thrivent Partner Growth Stock Portfolio seeks long-term growth of capital and, secondarily, to increase dividend income.
The Portfolio primarily invests in common stocks. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment advisers. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Partner Growth Stock Portfolio earned a return of 10.65%, compared with the median return of its peer group, the Lipper Large Cap Growth category, of 6.28%. The Portfolio’s market benchmark, the S&P 500/Citigroup Growth Index, earned a return of 5.51%.
What factors affected the Portfolio’s performance?
Stock selection was the primary reason for the Portfolio’s relative outperformance, but sector weightings also contributed. The consumer discretionary, information technology and energy sectors were the leading relative outperformers. Industrials and business services was the largest relative detractor.
Consumer discretionary was the leading outperformer primarily because of stock selection, including a significant overweighting of the strongest performer in the benchmark. Amazon.com continued to improve operating leverage in its core retail business throughout the year. The company also reported impressive results with a sharp acceleration in revenue and margins in its Amazon Web Services cloud-computing unit.
Information technology outperformed as a result of stock selection. Shares of Alphabet, the new holding company of Google, soared higher in 2015. Factors included strong earnings driven by the move to increase advertising coverage on mobile searches, a new focus on expense discipline, and the company’s first-ever share buyback program, which signaled management’s move toward more shareholder-friendly behavior.
The absence of energy stocks in the Portfolio contributed to outperformance, since energy was by far the worst-performing sector in the benchmark.
Industrials detracted on a relative basis due to the Portfolio’s overweighting versus the benchmark. Also, a position in American Airlines performed well early in 2015; however, the stock began experiencing difficulty toward the end of the second quarter due to concerns that industry-wide capacity discipline may not remain in effect, which would hurt pricing power and reduce revenue.
What is your outlook?
We are optimistic about the longer-term prospects for large-cap growth stocks and expect the United States to generate moderate economic growth in 2016. We also expect the Federal Reserve will likely raise short-term interest rates at a slower pace than the market currently expects, which should not hinder rising stock prices. However, the recent weakness in China’s industrial economy, falling energy and commodity prices, and geopolitical flare-ups could perpetuate the market’s recent volatility.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
10.65% | 14.28% | 8.82% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The S&P 500/Citigroup Growth Index is a capitalization-weighted index comprised of the highest price-to-book ratio securities in the S&P 500 Index. The S&P 500/Citigroup Growth Index is designed so that approximately one-half of the S&P 500 Index market capitalization is characterized as “value” and the other half as “growth.” The product is not sponsored, endorsed or promoted by Standard & Poor’s, and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT LARGE CAP VALUE PORTFOLIO
Kurt J. Lauber, CFA, Portfolio Manager
Thrivent Large Cap Value Portfolio seeks to achieve long-term growth of capital.
The Portfolio primarily invests in securities of large companies, which may be unable to respond quickly to new competitive challenges and may not be able to attain a high growth rate. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Large Cap Value Portfolio earned a return of -3.53%, compared with the median return of its peer group, the Lipper Large Cap Value category, of -4.02%. The Portfolio’s market benchmark, the Russell 1000® Value Index, earned a return of -3.83%.
What factors affected the Portfolio’s performance?
Stock selection was the cause of the Portfolio’s better relative performance versus its peer group and benchmark, while asset allocation was a slight detractor. Stock selection was strong in the consumer discretionary, information technology, utilities and materials sectors. However, stock selection detracted in the industrial and financial sectors, as did an overweighting in energy.
In consumer discretionary, the Portfolio benefited from owning home improvement company Lowe’s and auto parts supply company Delphi Automotive, which represented two areas attracting consumer spending. The Portfolio was also rewarded for its sale of Time Warner Cable after a takeover offer and for the purchase of Comcast.
In information technology, the Portfolio benefited from the performance of mature technology companies such as Cisco Systems, Microsoft and Texas Instruments. We also made a well-timed purchase of Google (renamed Alphabet in August), another company that investors considered to be mature due to worries about the slowing of its core desktop search business in favor of mobile search and competitive losses to Facebook. However, improvement in Google’s core business and financial discipline from its new chief financial officer put these fears to rest.
In utilities, NiSource and Pacific Gas and Electric Company (PG&E) provided favorable returns in a weak utility market. PG&E had closure with a final court ruling on a pipeline gas explosion that has been an overhang for the company. It also benefited from a positive regulatory rate case on the electric side of the business, which should allow for above-industry growth.
The majority of the underperformance in industrials and energy can be traced back to the decline in oil prices and disappointing growth in emerging markets. The Portfolio’s holdings that are exposed to oil and gas pricing—such as Marathon Oil, EQT Corporation, Fluor and Pentair—have been hurt as a result of the sharp drop in energy prices since December 2014. Also, the share price of our position in CSX Corporation fell from last year’s highs related to merger talks with Canadian Pacific. While the merger did not materialize, weak macro growth and tepid international trade slowed rail volumes.
What is your outlook?
Although the market is late in the economic cycle, we believe investment opportunities still exist. This cycle appears to be one of extended slow growth, while valuations remain near average levels relative to history. As always, our focus remains on stock selection.
We have maintained the Portfolio’s technology overweighting. While Cisco Systems, Microsoft and Oracle still trade at a discount to the market based on price-to-free-cash-flow due to customers’ cautious IT spending and fears of technology obsolescence, these companies have shown the ability to transition to cloud-based architecture. However, we sold several other technology holdings that were not as successful, including Teradata and NetApp.
In consumer discretionary, automotive sales in the U.S. have exceeded the peak of the last cycle, but motorcycle sales remain 40% below. As a result, we sold some of our Delphi Automotive position in exchange for a new holding in Harley-Davidson.
Valuations are at historically low levels in the energy and materials sectors, while wide valuation spreads provide for ample stock selection opportunities. We believe the supply response from U.S. energy companies to drastically lower rig counts should lead to a better supply and demand balance. However, Saudi Arabia has responded by keeping production high, which has slowed this transition. We have taken advantage of this double dip in energy to add to Weatherford International and Devon Energy. However, we have sold some of the Portfolio’s energy-exposed industrial companies such as Fluor and Pentair and replaced them with UPS (United Parcel Service). UPS has been under pressure from its transition to more of a business-to-consumer model and has faced a couple of challenging holiday shopping seasons. However, we believe a new technology system and pricing should improve operations. The Portfolio continues to hold CSX Corporation due to strong pricing. When volume increases, we anticipate the company will benefit from operating leverage.
In materials, we added Mosaic and Albemarle and sold outperformer Celanese. After five years of good harvests, fertilizer company Mosaic is under pressure. However, we believe its good industry structure should mitigate this downside.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-3.53% | 9.58% | 5.81% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Russell 1000® Value Index measures the performance of large cap value stocks. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT LARGE CAP STOCK PORTFOLIO
David C. Francis, CFA and Kurt J. Lauber, CFA, Portfolio Co-Managers
Thrivent Large Cap Stock Portfolio seeks long-term capital growth.
The Portfolio primarily invests in securities of large companies, which may be unable to respond quickly to new competitive challenges and may not be able to attain a high growth rate. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Large Cap Stock Portfolio earned a return of 3.11%, compared with the median return of its peer group, the Lipper Global Large Cap Core category, of -1.36%. The Portfolio’s market benchmark, the MSCI World Large Cap Index-USD Net Returns, earned a return of -0.96%.
What factors affected the Portfolio’s performance?
Strong stock selection was the key driver of the Portfolio’s favorable returns versus its peer group and benchmark during the reporting period. Stocks in the consumer discretionary sector added the most value, led by our positions in Amazon.com, Starbucks, AutoZone, WH Smith and Persimmon. In the media industry, Comcast outperformed, as did Fujifilm Holdings, in leisure equipment and products. Weakness in Las Vegas Sands detracted in the consumer discretionary group. In financials, Blackstone Group outperformed as did Intercontinental Exchange. In the insurance industry, our holdings in Allianz, Direct Line Insurance Group and Amlin all benefited the Portfolio’s relative performance. In the materials sector, which includes commodity-oriented industries, the Portfolio was generally underweighted in the group, which lifted results because the performance of basic commodities was quite poor in the period. That being said, we did have holdings in companies less exposed to basic commodity prices that performed well such as: Celanese and Sumitomo Seika Chemicals in the chemical industry; Oji Holdings and UPM-Kymmene in the paper and forest products industry; and Rexam and BillerudKorsnas in the container and packaging industry. In the utilities sector, holdings in NiSource and Pacific Gas and Electric Company benefited performance. In telecommunications, Freenet performed quite well.
Detractors in the period included an underweighted position in the strongly performing tobacco industry within the consumer staples sector. In the food industry, our position in Nestle did not perform well. Also, the Portfolio had a modest underweighting in the consumer staples sector that detracted from results. The other segment weighing on the Portfolio’s results was energy, where we had a modest overweighting in this poorly performing sector. Additionally, we did not fare well within the energy group because we tended to have less exposure to more defensive, multinational companies than our benchmarks did.
What is your outlook?
Global equity markets in the developed world have been quite strong over the past few years in anticipation of acceleration in economic activity that would lead to a pickup in revenue and earnings growth, validating the sharp price advances. Despite the best efforts of policymakers, particularly central banks, growth momentum continues to moderate. Part of the recent challenge has been the slowdown of growth in China, which is rippling back to other emerging-market and developed economies. Slowing growth is also having a severe negative effect on the commodity sector, with particular weakness in base metals and oil. The fall in oil prices was expected to stimulate demand for other goods, as consumers reaped the benefit of lower prices at the pump. While that ultimately is likely to be the case, the near-term stimulus from lower gas and diesel prices has yet to emerge.
In the developed world, it is difficult to find conditions that are precursors to a recession. In the emerging world, there are elements of the current economic recovery and expansion that are worrisome, specifically, the amount of corporate debt issued over the past decade at a time when revenues and profit margins have been under pressure. We continue to monitor this area for evidence of economic deterioration.
The other wild card is geopolitics, an area fraught with risk, particularly in the Middle East. The elements at play in that region are more significant owing to their proximity to global oil reserves.
In summary, equity markets have priced in a lot of good news, and while economic growth has slowed, it is still positive. The U.S. economy seems to be the most stable, while Europe finally appears to be coming out of its bout of economic malaise. At least in Europe there are significant opportunities to improve revenues, margins and profit growth. Valuations for equity markets are quite full, and the economic recovery is now in its seventh year. This represents an extended period of growth, even if it is more tepid than usual. While we are mindful that opportunities are available, we do have a heightened awareness of risk.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
3.11% | 9.06% | 5.05% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
^ | Effective April 30, 2015, the Portfolio’s benchmark index changed from the Russell Developed Large Cap® Index to the MSCI World Large Cap Index—USD Net Returns. The Adviser made this benchmark change because it believes that this Index is a more appropriate benchmark for the Portfolio. Thus the Russell Developed Large Cap® Index will not be shown in shareholder reports of the Portfolio for fiscal periods ended December 31, 2016 and beyond. |
* | The Russell Developed Large Cap® Index measures the performance of the investable large-cap securities in developed countries globally. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The MSCI World Large Cap Index—USD Net Returns is an index that represents large cap stocks in 23 developed market countries. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
*** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT LARGE CAP INDEX PORTFOLIO
Kevin R. Brimmer, FSA, Portfolio Manager
Thrivent Large Cap Index Portfolio seeks total returns that track the performance of the S&P 500 Index.
The Portfolio primarily invests in large company common stocks. Large companies may be unable to respond quickly to new competitive challenges and may not be able to attain a high growth rate. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Large Cap Index Portfolio earned a return of 1.12%, compared with the median return of its peer group, the Lipper S&P 500 Index Objective category, of 1.01%. The Portfolio’s market benchmark, the S&P 500 Index, earned a return of 1.38%.
What factors affected the Portfolio’s performance?
The Portfolio’s holdings are aligned with those of the S&P 500 Index. As typically occurs in an index portfolio, the difference in performance between the benchmark index and the Portfolio itself can largely be attributed to expenses and minor differences in portfolio composition.
Half of the sectors posted positive returns for the year. Consumer discretionary, health care and consumer staples were the best-performing sectors in the market over the past 12 months, posting the most positive returns. Large-cap stocks outperformed small- and mid-cap stocks over the reporting period, since large-cap stocks tend to outperform during periods of increasing market volatility. Utilities, materials and energy delivered the lowest returns for the past 12 months, with energy posting the most negative return for the past year.
What is your outlook?
In the U.S., large-cap stocks outperformed mid-cap and small-cap stocks over the past year. In the last 12 months, the markets have seen an increase in volatility relative to the last few years, particularly during the last quarter of the year. Worldwide, many central banks, particularly in developed markets like Europe and Japan, continue to provide extraordinary monetary stimulus to their respective economies. It’s important for the economic recovery, both domestically and globally, to be sustained, supporting continued profit growth that will validate the advance in stock prices over the last few years. Market multiples are high relative to history. The dollar has appreciated substantially, and is impacting top line revenue growth, particularly for large-cap, multinational companies. While small-cap companies have less direct exposure to the strength in the dollar, there can be a second-order effect as their customers are being impacted. Profit margins are being stressed due to upward pressure on wages as labor markets tighten. We are well into the expansion phase of the current economic recovery and there are signs that suggest some degree of caution is appropriate. Economic risks in the U.S. are low relative to other areas of the global economy. An area we are closely monitoring is emerging economies that have high dependence on commodities.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
1.12% | 12.14% | 6.95% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The S&P 500 Index is an index that represents the average performance of a group of 500 widely held, publicly traded stocks. “S&P 500” is a trademark of The McGraw-Hill Companies, Inc. and has been licensed for use by Thrivent Financial. The product is not sponsored, endorsed or promoted by Standard & Poor’s and Standard & Poor’s makes no representation regarding the advisability of investing in the product. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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Paul J. Ocenasek, CFA, Portfolio Manager
Thrivent High Yield Portfolio seeks to achieve a higher level of income. The Portfolio will also consider growth of capital as a secondary objective.
The Portfolio primarily invests in high-yield, high-risk bonds, notes, debentures and other debt obligations, or preferred stocks. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. Bond prices generally fall as interest rates rise. Leveraged loans are subject to numerous risks, including liquidity, credit, declines in the value of collateral underlying them, and detrimental legal actions against them. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. Dealer inventories of bonds are at or near historic lows in relation to market size, which has the potential to decrease liquidity and increase price volatility in the fixed income markets.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent High Yield Portfolio earned a return of -2.69%, compared with the median return of its peer group, the Lipper U.S. High Current Yield category, of -2.84%. The Portfolio’s market benchmark, the Barclays U.S. Corporate High Yield Bond Index, earned a return of -4.47%.
What factors affected the Portfolio’s performance?
Trading in the high-yield market was dominated by developments in China and the oil market. Extending a slide that began midway through 2014, crude oil prices fell to about $37 a barrel by year-end 2015 from a high above $100 in June 2014. The sell off was attributable in part to abundant supplies of oil, but also to reduced demand as China’s once red-hot economy continued to grow more slowly than it had in years past—to a rate of 6.9% in the third quarter, its slowest pace since the 2008 financial crisis. China was a huge consumer of oil and other commodities when it was growing faster and spending heavily on infrastructure. It still is a huge consumer, but its appetite has been curbed.
The slump in oil prices was hard on the high-yield bond market, where energy bonds accounted for about 15% of the market heading into 2015. Energy bonds also were among the sector’s lowest-rated securities. Worried about potential defaults, investors sold energy bonds heavily. Within the Barclay’s index, high-yield bonds issued by oil exploration and production companies posted a return of -35.6%, while oil field services bonds lost 20.9%. Commodities-related bonds also fell sharply, losing 23.7% for the year.
The Portfolio outperformed its Lipper peer group and benchmark index largely because the Portfolio was invested more conservatively. It generally owns securities with higher credit ratings than its peer group or the index, and in 2015, it started the year with an underweighted position in CCC-rated bonds. Those bonds sit at the lower end of the credit-quality scale and include many energy-related bonds. So although the Portfolio’s weighting in energy bonds was largely in line with the index, their overall higher credit quality helped deliver better returns. The Portfolio’s exploration and production company bonds lost 22.7% before expenses, for example, compared with the 35.6% loss for similar bonds in the index. The Portfolio also was helped by maintaining an underweighted position, and higher credit quality, in the metals and mining sector, which also performed poorly.
What is your outlook?
The market’s sell off in 2015 widened the spread between yields on high-yield bonds and comparable-maturity Treasury bonds to about seven percentage points, or 700 basis points, by year-end, up from 480 basis points at year-end 2014. Historically, spreads have exceeded 700 basis points only about 20% of the time. This suggests that values in the high-yield sector, where yields were in the 9% range, had become attractive relative to historical norms by year-end.
We remain cautious nonetheless, not only because oil prices remained weak at year-end, but also because bank-lending standards, according to a Federal Reserve survey, appeared to be tightening. Historically, tighter lending standards have correlated with higher default rates in the high-yield bond market.
As it turns out, default rates actually came in below historical norms in 2015, at about 2.5% globally for high-yield issuers. Still, many investors anticipate that default rates will rise to the 4.5% to 5% range in 2016, with defaults concentrated in the energy, metals and mining sectors.
Despite these negatives, we are mindful that it would take a significant further widening in the yield spread—another couple hundred basis points—to generate negative returns for the entire high-yield market. The U.S. is not in a recession and, historically, spreads have not surged past 700 basis points absent a recession. We expect the economy will continue to grow slowly in 2016, at about the 2% or so rate it has averaged since the recovery began in mid-2009. Under that scenario, we expect that the Portfolio would be able to deliver low-single-digit returns. For that to unfold, however, it will probably be necessary for oil prices to stabilize. If they do not, returns in the high-yield sector could once again be negative.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-2.69% | 5.25% | 6.63% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Barclays U.S. Corporate High Yield Bond Index is an index which measures the performance of fixed-rate non-investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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Stephen D. Lowe, CFA, Portfolio Manager
Thrivent Income Portfolio seeks a high level of income over the longer term while providing reasonable safety of capital.
The Portfolio primarily invests in investment-grade corporate bonds, government bonds, asset-backed securities and mortgage-backed securities. The value of the Portfolio is influenced by factors impacting the overall market, certain asset classes, certain investment styles, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt, and high yield securities are subject to increased credit risk as well as liquidity risk. The value of mortgage-related and other asset-backed securities will be influenced by the factors affecting the housing market and the assets underlying such securities. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. The prices of futures contracts can be highly volatile and the loss from investing in them can exceed the initial investment. Dealer inventories of bonds are at or near historic lows in relation to market size, which has the potential to decrease liquidity and increase price volatility in the fixed income markets.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Income Portfolio generated a return of -0.68%, compared with the median return of its peer group, the Lipper Corporate Debt Funds BBB-Rated category, of -0.36%. The Portfolio’s market benchmark, the Barclays U.S. Aggregate Bond Index, earned a return of 0.55%.
What factors affected the Portfolio’s performance?
The Portfolio invests in a broad cross section of the fixed-income markets, where trading in 2015 was dominated by two factors: expectations that the Federal Reserve would raise short-term interest rates; and a steep slide in oil prices.
The Fed’s widely anticipated move assumed continued growth in the U.S. economy; the anticipation pressured returns in the short end of the bond market even though the Fed did not take action until December. At that time, it raised short-term rates by one-quarter of a percentage point after holding them near 0% for seven years.
The slide in oil prices was linked not only to ample supplies of that commodity but also to slowing economic growth in China, the world’s second-largest economy and a big consumer of energy. Concerns about China’s slowing growth, and the possibility that it might hurt other economies around the globe, divided the fixed-income markets. Bonds with lower credit ratings, particularly in the high-yield market—where many issues are energy-related—fell in price as investors became more risk-averse. Bonds with higher credit ratings generally did much better.
The Portfolio underperformed its benchmark index both because the index incurs no trading or management expenses and because it contains a more conservative mix of assets. The index predominantly holds U.S. Treasury bonds and government agency-issued mortgage-backed securities, for example, and owns no high-yield debt. The Portfolio allocated 15% of its assets to high-yield bonds in 2015. We also believe that, like the index, the Lipper peer group consists of funds that are managed more conservatively, on average, than the Portfolio.
Securitized assets—primarily mortgage-backed securities—were the Portfolio’s best-performing assets in 2015, generating a return before expenses of about 2.7%. Leveraged loans were the next-best performers, earning about 0.2%. However, these two sectors accounted for a relatively small portion of the Portfolio’s total assets in 2015—about 6% and 4%, respectively.
The Portfolio’s investment-grade bonds, accounting for nearly 70% of its total holdings, lost only about 0.1% before expenses, outperforming the -0.68% return of the Barclay’s U.S. Corporate Investment Grade Index.
The Portfolio also outperformed in the high-yield sector, with its securities losing about 0.9% before expenses. By contrast, the Barclays U.S. Corporate High Yield Bond Index lost 4.47%. The Portfolio did better by focusing its holdings at the higher end of the credit-quality spectrum within that sector. Still, that 0.9% loss proved to be a drag on the Portfolio’s performance relative to the Barclay’s U.S. Aggregate Bond Index, which, as noted, contains no high-yield securities.
U.S. Treasury bonds also were a drag on the Portfolio’s performance, losing about 0.5% before expenses. By contrast, the Barclays U.S. Treasury Index earned 0.84%.
What is your outlook?
We expect the U.S. economy to continue growing slowly in 2016. We feel that some volatility in the credit markets is likely if, as anticipated, the Fed continues to raise short-term interest rates at a modest pace. Although valuations in the high-yield sector have fallen, banks are starting to tighten lending standards, which often correlates with an uptick in defaults on high-yield bonds. Accordingly, we expect to remain slightly underweight to our target in that sector and focused on the higher end of the credit-quality spectrum. On a valuation basis, investment-grade corporate bonds look attractive, and we start the year slightly overweighted in that sector.
Assuming spreads on yields between Treasuries and riskier assets stay about where they are, and short- to intermediate-term interest rates rise modestly, as most investors are expecting, the Portfolio should have an opportunity to generate modestly positive returns in 2016.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
-0.68% | 4.48% | 5.09% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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Michael G. Landreville, CFA and CPA (inactive), Portfolio Manager
Thrivent Bond Index Portfolio strives for investment results similar to the total return of the Barclays U.S. Aggregate Bond Index.
The Portfolio primarily invests in investment-grade bonds and other debt securities. The value of the Portfolio is influenced by factors impacting the overall market, the debt market in particular, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt. The value of mortgage-related and other asset-backed securities will be influenced by the factors affecting the housing market and the assets underlying such securities. Collateralized debt obligations are subject to additional risks. Dealer inventories of bonds are at or near historic lows in relation to market size, which has the potential to decrease liquidity and increase price volatility in the fixed income markets.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Bond Index Portfolio generated a return of 0.80%, compared with 0.55% for the Portfolio’s market benchmark, the Barclays U.S. Aggregate Bond Index.
What factors affected the Portfolio’s performance?
The Portfolio seeks to replicate the Barclays index in terms of its overall duration and how it allocates assets to each of four sectors of the fixed-income markets: U.S. Treasury securities; other government-related bonds; securitized assets; and corporate bonds. Its returns can differ from those of the index, though, not only because the index incurs no trading or operating expenses, but also by virtue of security selection. The Portfolio cannot invest in every security in the index, and within different sectors of the bond market, the Portfolio’s manager is able to choose securities that may underperform or outperform those in the index.
The Portfolio outperformed its benchmark in 2015 largely due to favorable security selection. It reaped favorable returns in the banking sector, for example, where stricter capital regulations have left banks and other financial services firms with stronger balance sheets and their bonds with less credit risk. The Portfolio also benefited from being underexposed to energy bonds, which were among the market’s worst performers amid a steep slide in oil prices.
The Portfolio’s government-related holdings benefited from strong security selection in the sovereign sector, where it was underweighted in some of the more troubled regions of the world and overweighted in some of the stronger regions, including Canada and Scandinavia.
Accounting for nearly a third of the Portfolio’s holdings, securitized bonds earned about 2.6% before expenses. Treasuries, also about a third of the Portfolio, earned around 0.9%. Corporate bonds, accounting for another quarter of the Portfolio, earned about 0.6%.
Overall, bond market returns in 2015 were impacted by two big developments: the first increase in short-term interest rates by the Federal Reserve since 2006; and slumping prices for oil and other commodities. With the U.S. economy growing for a sixth consecutive year, the Fed had been hinting that it would begin to raise short-term interest rates. It finally acted in December, raising short rates by a quarter of a percentage point. Because bond prices fall when interest rates rise, that increase held down returns at the short end of the yield curve. At the same time, returns at the long end of the curve came under pressure from a variety of factors, including profit-taking after a sharp run-up in 2014, and selling of long-term Treasuries by China in an effort to support the yuan.
China’s currency fell as its economy, the second largest in the world, grew just 6.9% in the third quarter, its slowest rate of growth since 2008. Because China is a major consumer of commodities, that slowing growth rate helped drive down commodities prices, including the price of oil, which fell to about $37 a barrel by year-end after trading above $100 in 2014. This put pressure on lower-credit-quality bonds, including high-yield bonds issued by energy companies, as investors worried about the potential for defaults if commodities prices, and global economic conditions, worsened.
All this turmoil drove investors to favor lower-risk securities over riskier assets, especially in the middle of the yield curve. Two-year Treasuries returned about 0.40% in 2015, and 30-year Treasuries lost about 3.2%, for example, but five-year Treasuries earned around 1.3%, and 10-year Treasuries earned about 0.9%.
What is your outlook?
U.S. employers created approximately 2.6 million new jobs in 2015 after adding 3.1 million in 2014. This marked the largest number of jobs created in a two-year period since the late 1990s. Meanwhile, the unemployment rate fell to 5.0%, half its 10.0% peak in 2009. Despite these strong numbers, the U.S. economy continued to grow slowly—a 2.2% average annual pace through the first three quarters of the year, largely in line with what it has done since the recovery began. Inflation also remained low.
We anticipate the economy will continue to grow slowly in 2016, and that the Fed will push short-term rates modestly higher over the course of the year, perhaps by another half to three-quarters of a percentage point. This assumes that neither the crude oil market nor China’s economy materially worsens.
Under this scenario, we believe that the Portfolio would likely generate modestly positive returns in 2016—not much different from what it did in 2015.
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Average Annual Total Returns1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
0.80% | 3.53% | 4.39% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Barclays U.S. Aggregate Bond Index is an index that measures the performance of U.S. investment grade bonds. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT LIMITED MATURITY BOND PORTFOLIO
Michael G. Landreville, CFA and CPA (inactive) and Gregory R. Anderson, CFA, Portfolio Co-Managers
Thrivent Limited Maturity Bond Portfolio seeks a high level of current income consistent with stability of principal.
The Portfolio primarily invests in investment-grade debt securities. The value of the Portfolio is influenced by factors impacting the overall market, debt securities in particular, and specific issuers. The Portfolio may incur losses due to incorrect assessments of investments by its investment adviser. Bond prices generally fall as interest rates rise. Credit risk is the risk that an issuer of a debt security may not pay its debt. The value of mortgage-related and other asset-backed securities will be influenced by the factors affecting the housing market and the assets underlying such securities. Foreign investments involve additional risks, including currency fluctuations, liquidity, political, economic and market instability, and different legal and accounting standards. The prices of futures contracts can be highly volatile and the loss from investing in them can exceed the initial investment. Collateralized debt obligations are subject to additional risks. Dealer inventories of bonds are at or near historic lows in relation to market size, which has the potential to decrease liquidity and increase price volatility in the fixed income markets.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Limited Maturity Bond Portfolio earned a return of 0.73%, compared with the median return of its peer group, the Lipper Short-Intermediate Investment Grade Debt category, of 0.31%. The Portfolio’s market benchmark, the Barclays Government/Credit 1-3 Year Bond Index, earned a return of 0.65%.
What factors affected the Portfolio’s performance?
The Portfolio invests primarily in securities maturing within one to three years. In December 2015, after watching the economy expand for six consecutive years, the Federal Reserve raised its target for short-term interest rates a quarter of a percentage point. Anticipation of the Fed’s decision weighed on the bond market throughout the year, pressuring returns at the short end of the yield curve. For the Portfolio, this meant lower returns for its two-year holdings than for its securities maturing in three years or longer.
The Portfolio outperformed its market benchmark in part by adopting an overweighted position in five-year bonds, where yields and returns proved more attractive than they were for two-year bonds. It also benefited from favorable security selection in both the corporate bond and securitized asset sectors.
Securitized assets, which accounted for just over a third of the Portfolio, represented its top-performing asset class, earning about 1.6% before expenses. Within its securitized holdings, the Portfolio benefited from having about 6% of its assets allocated to nonagency residential mortgage-backed securities, which topped all sectors in the Portfolio with a return of about 5.2%.
Corporate bonds, which accounted for about 37% of the Portfolio, earned 1.2%. Most of the Portfolio’s assets in that sector were allocated to investment-grade bonds, where the Portfolio benefited by being underweighted in energy bonds. The Portfolio allocated very few of its assets to high-yield bonds, which were among the market’s worst performers. High-yield bonds issued by energy, metals and mining companies were particularly hard hit due to a sharp slump in commodities prices, which raised the odds that companies in those industries might default on their bond and loan obligations. The slump in commodities prices was attributable both to an increased supply of commodities and to reduced demand, particularly in China, whose economy continues to grow faster than the world’s developed economies, but at a slower pace than it had in years past.
U.S. Treasury bonds, which accounted for around 18% of the Portfolio, earned about 1.1%. Other government-related bonds, accounting for 8% of the Portfolio, earned about 0.9%. The balance of the Portfolio’s holdings was allocated to cash, which was flat.
What is your outlook?
We anticipate continued slow growth in the U.S. and other developed economies in 2016. The outlook for emerging-market economies, including China, has deteriorated as we start 2016. We anticipate that slow growth, a strong dollar and falling commodities prices will keep U.S. inflation pressure low even as labor markets tighten. Interest rates will likely fluctuate in a fairly narrow range around their 2015 levels, perhaps edging slightly higher as the Fed makes additional modest increases in its target for short-term rates. Under this scenario, we feel that the Portfolio would likely generate a modestly positive return once again.
Risks to this outlook center on the Fed and the economy. If the U.S. economy fails to meet expectations, the Fed could decide to forego additional rate hikes in 2016. Because bond prices go down when interest rates go up, this could actually be beneficial for the Portfolio. By contrast, if economic growth spikes, the Fed could decide to push interest rates up faster than anticipated, negatively impacting bond prices and the value of the Portfolio’s holdings. The bond market and the Portfolio also could be hurt if the Fed simply pushes rates too high too fast in the absence of stronger economic growth.
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Average Annual Total Returns 1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
0.73% | 1.61% | 2.83% |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | The Barclays Government/Credit 1-3 Year Bond Index is an index that measures the performance of government and corporate fixed-rate debt securities with maturities of 1-3 years. It is not possible to invest directly in the Index. The performance of the Index does not reflect deductions for fees, expenses or taxes. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. It is not possible to invest directly in the Index. |
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THRIVENT MONEY MARKET PORTFOLIO
William D. Stouten, Portfolio Manager
Thrivent Money Market Portfolio seeks to achieve the maximum current income that is consistent with stability of capital and maintenance of liquidity.
The Portfolio invests in high quality, short-term money market instruments. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio. Credit risk is the risk that an issuer of a debt security may not pay its debt. Low or declining short-term interest rates can negatively impact the Portfolio. The financial services industry is particularly vulnerable to certain factors, such as the availability and cost of borrowing and raising additional capital, changes in interest rates, the rate of corporate and consumer debt defaults, and price competition. The Portfolio could experience a loss when selling portfolio securities to meet redemption requests.
How did the Portfolio perform during the 12-month period ended December 31, 2015?
Thrivent Money Market Portfolio produced a 0.00% return during the period, just under the 0.01% median net return reported by its peer group, the Lipper Money Market category.
What factors affected the Portfolio’s performance?
Money market funds generated negligible returns for a sixth consecutive year as the Federal Reserve kept short-term interest rates low to support the economy. In December, the Fed raised its target range for the federal funds rate—the rate at which banks borrow from each other overnight—to between 0.25% and 0.50%, up a quarter of a percentage point from a 0% to 0.25% range. This widely followed benchmark sets the tone for short-term interest rates across the credit markets, and even with the Fed’s move is still extraordinarily low by historical standards. Nonetheless, the move signaled new confidence by the Fed that the U.S. economy has strengthened enough since the 2008 financial crisis to withstand a more normalized interest-rate environment.
With yields on short-term securities hovering just above their historic lows, it remained difficult for money market funds to generate positive returns after accounting for trading and operating expenses. As it has done for the past several years, the Portfolio’s investment adviser continued to waive fees on the Portfolio to ensure that investors would not experience a negative return.
In last year’s annual report, we noted that the Securities and Exchange Commission (SEC) in 2014 had adopted new rules for money market funds that would be phased in over time, with final implementation on October 14, 2016. The rules vary depending on whether the fund is a “prime” fund investing primarily in corporate debt securities, or a “government” fund investing only in government securities. The rules also vary depending on whether the fund is an institutional fund catering to institutional investors, or a retail fund catering only to “natural persons.”
The new rules will require institutional prime funds to adopt floating net asset values (NAVs) beginning October 14, 2016, rather than maintain a constant NAV of $1 per share, which has been the industry norm. They also will require nongovernment funds to impose redemption fees—and temporarily suspend redemptions through the use of redemption “gates”—during periods of extreme market volatility. Government funds are not subject to any of these more-onerous restrictions, however, whether they are retail or institutional funds.
Thrivent Money Market Portfolio is currently a prime fund. To continue qualifying as a prime retail fund, all account owners would have to be “natural persons” as defined by the SEC. Since not all account owners in the Portfolio fit that definition, and because retail prime funds would subject account owners to liquidity fees and gates, Thrivent Financial has decided to convert the Portfolio from a prime fund to a government fund on February 1, 2016. As a result, account owners will not be subject to the risks of liquidity fees, redemption gates, or a floating NAV.
In anticipation of this change, the Portfolio began restructuring its investment portfolio in 2015, increasing the percentage of government obligations in the Portfolio to approximately 68% from about 30% at the end of 2014. The increased allocation to government securities did not affect the Portfolio’s net yield, or return to account owners, in 2015.
In a higher interest-rate environment, the Portfolio can expect to have a lower net yield as a government money market fund than it would have had as a prime fund. However, Portfolio account owners will benefit from enhanced levels of security knowing that all of the Portfolio’s holdings are backed by the full faith and credit of the federal government.
What is your outlook?
As 2015 drew to a close, Federal Reserve officials were indicating that they expect to implement additional rate hikes in 2016. Recent weak economic news has increased doubts about the timing and extent of those hikes. Nevertheless, the Fed’s forecast still suggests the federal funds rate will reach 1.0% by year-end 2016. A federal funds rate of 0.75% or higher would allow the Portfolio to begin delivering a positive return to investors. Regardless of the interest rate environment, we will, as always, continue to invest in a manner designed to meet the Portfolio’s primary objectives of safety and liquidity.
An investment in the Thrivent Money Market Fund is not insured
or guaranteed by the FDIC or any other government agency.
Although the Fund seeks to preserve the value of your investment at $1.00 per share,
it is possible to lose money by investing in the Portfolio.
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Average Annual Total Returns 1
As of December 31, 2015
1-Year | 5-Year | 10-Year | ||
0.00% | 0.00% | 1.32% |
Money Market Portfolio Yields *
As of December 31, 2015
Portfolio | ||||
7-Day Yield | 0.00 | % | ||
7-Day Yield Gross of Waivers | -0.15 | % | ||
7-Day Effective Yield | 0.00 | % | ||
7-Day Effective Yield Gross of Waivers | -0.15 | % |
Past performance is not an indication of future results. Total investment return and principal value will fluctuate and units, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call 800-THRIVENT (847-4836) or visit Thrivent.com for performance results current to the most recent month-end. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit Thrivent.com.
1 | Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Portfolio’s adviser may have waived its management fee and/or reimbursed Portfolio expenses. If this were the case, the Portfolio’s total returns would have been lower. The returns shown do not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the returns received by contract holders as compared to the returns presented. |
* | Seven-day yields of Thrivent Money Market Portfolio refer to the income generated by an investment in the Portfolio over a specified seven-day period. Effective yields reflect the reinvestment of income. A yield gross of waivers represents what the yield would have been if the Adviser were not waiving or reimbursing certain expenses associated with the Portfolio. Yields are subject to daily fluctuation and should not be considered an indication of future results. |
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(unaudited)
As a shareholder of the Thrivent Series Fund, Inc., you incur ongoing costs, including management fees and other Portfolio expenses. This Shareholder Expense Example is intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2015 through December 31, 2015. Shares in a Portfolio are currently sold, without sales charges, only to separate accounts of Thrivent Financial for Lutherans and Thrivent Life Insurance Company, which are used to fund benefits of variable life insurance and variable annuity contracts issued by Thrivent Financial for Lutherans and Thrivent Life Insurance Company, and retirement plans sponsored by Thrivent Financial for Lutherans. Expenses associated with these variable contracts and retirement plans are not included in these examples and had these costs been included, your costs would have been higher.
Actual Expenses
In the table below, the first section, labeled “Actual,” provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid.
Hypothetical Example for Comparison Purposes
In the table below, the second section, labeled “Hypothetical,” provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Beginning Account Value 7/1/2015 | Ending Account Value 12/31/2015 | Expenses Paid During Period 7/1/2015 -12/31/2015* | Annualized Expense Ratio | |||||||||||||
Thrivent Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 962 | $ | 2.89 | 0.58 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 2.98 | 0.58 | % | ||||||||
Thrivent Moderately Aggressive Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 968 | $ | 2.38 | 0.48 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.44 | 0.48 | % | ||||||||
Thrivent Moderate Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 976 | $ | 2.29 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.34 | 0.46 | % | ||||||||
Thrivent Moderately Conservative Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 983 | $ | 2.31 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.35 | 0.46 | % | ||||||||
Thrivent Growth and Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 975 | $ | 3.98 | 0.80 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.08 | 0.80 | % | ||||||||
Thrivent Balanced Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 979 | $ | 3.33 | 0.67 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.40 | 0.67 | % | ||||||||
Thrivent Diversified Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 983 | $ | 2.44 | 0.49 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.49 | 0.49 | % | ||||||||
Thrivent Opportunity Income Plus Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 987 | $ | 3.63 | 0.72 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.69 | 0.72 | % | ||||||||
Thrivent Partner Healthcare Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 929 | $ | 4.53 | 0.93 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.75 | 0.93 | % |
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Beginning Account Value 7/1/2015 | Ending Account Value 12/31/2015 | Expenses Paid During Period 7/1/2015 -12/31/2015* | Annualized Expense Ratio | |||||||||||||
Thrivent Partner Emerging Markets Equity Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 856 | $ | 6.55 | 1.40 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018 | $ | 7.12 | 1.40 | % | ||||||||
Thrivent Real Estate Securities Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,091 | $ | 4.84 | 0.92 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.68 | 0.92 | % | ||||||||
Thrivent Small Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 907 | $ | 3.55 | 0.74 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 3.76 | 0.74 | % | ||||||||
Thrivent Small Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 940 | $ | 1.41 | 0.29 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.47 | 0.29 | % | ||||||||
Thrivent Mid Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 990 | $ | 3.38 | 0.67 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.43 | 0.67 | % | ||||||||
Thrivent Mid Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 937 | $ | 1.56 | 0.32 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.63 | 0.32 | % | ||||||||
Thrivent Partner Worldwide Allocation Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 943 | $ | 4.47 | 0.91 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.65 | 0.91 | % | ||||||||
Thrivent Partner All Cap Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 969 | $ | 4.47 | 0.90 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.58 | 0.90 | % | ||||||||
Thrivent Large Cap Growth Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,046 | $ | 2.25 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.22 | 0.44 | % | ||||||||
Thrivent Partner Growth Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,034 | $ | 4.36 | 0.85 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021 | $ | 4.33 | 0.85 | % | ||||||||
Thrivent Large Cap Value Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 953 | $ | 3.14 | 0.64 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.25 | 0.64 | % | ||||||||
Thrivent Large Cap Stock Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 986 | $ | 3.31 | 0.66 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022 | $ | 3.38 | 0.66 | % | ||||||||
Thrivent Large Cap Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,000 | $ | 1.30 | 0.26 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.32 | 0.26 | % | ||||||||
Thrivent High Yield Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 944 | $ | 2.19 | 0.45 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.28 | 0.45 | % | ||||||||
Thrivent Income Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 993 | $ | 2.20 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.23 | 0.44 | % | ||||||||
Thrivent Bond Index Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,007 | $ | 2.38 | 0.47 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.40 | 0.47 | % | ||||||||
Thrivent Limited Maturity Bond Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 998 | $ | 2.23 | 0.44 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023 | $ | 2.26 | 0.44 | % |
61
Table of Contents
Beginning Account Value 7/1/2015 | Ending Account Value 12/31/2015 | Expenses Paid During Period 7/1/2015 -12/31/2015* | Annualized Expense Ratio | |||||||||||||
Thrivent Money Market Portfolio |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,000 | $ | 1.17 | 0.23 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,024 | $ | 1.18 | 0.23 | % |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period. |
** | Assuming 5% annualized total return before expenses. |
62
Table of Contents
Report of Independent Registered Public Accounting Firm |
To the Board of Directors and Shareholders of the Thrivent Series Fund, Inc.:
In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments of Thrivent Partner Healthcare Portfolio, Thrivent Partner Emerging Markets Equity Portfolio, Thrivent Real Estate Securities Portfolio, Thrivent Small Cap Stock Portfolio, Thrivent Mid Cap Stock Portfolio, Thrivent Partner All Cap Portfolio, Thrivent Large Cap Growth Portfolio, Thrivent Partner Growth Stock Portfolio, Thrivent Large Cap Value Portfolio, Thrivent Bond Index Portfolio, and Thrivent Money Market Portfolio, and the summary schedules of investments of Thrivent Aggressive Allocation Portfolio, Thrivent Moderately Aggressive Allocation Portfolio, Thrivent Moderate Allocation Portfolio, Thrivent Moderately Conservative Allocation Portfolio, Thrivent Growth and Income Plus Portfolio, Thrivent Balanced Income Plus Portfolio, Thrivent Diversified Income Plus Portfolio, Thrivent Opportunity Income Plus Portfolio, Thrivent Small Cap Index Portfolio, Thrivent Mid Cap Index Portfolio, Thrivent Partner Worldwide Allocation Portfolio, Thrivent Large Cap Stock Portfolio, Thrivent Large Cap Index Portfolio, Thrivent High Yield Portfolio, Thrivent Income Portfolio, and Thrivent Limited Maturity Bond Portfolio (collectively constituting Thrivent Series Fund, Inc.) (hereafter collectively referred to as the “Funds”), and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Funds at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, agent banks, transfer agent and brokers provides a reasonable basis for our opinion.
February 18, 2016
PricewaterhouseCoopers LLP, Suite 1400, 225 South Sixth Street, Minneapolis, MN 55402
T: (612) 596 6000, F: (612) 373 7160, www.pwc.com/us
63
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
% of Net | ||||||||||||
Shares | Common Stock (55.6%) | Value | Assets | |||||||||
| Consumer Discretionary (9.1%) | |||||||||||
15,246 | Amazon.com, Inc.a,b | $ | 10,304,619 | 1.1 | % | |||||||
5,110 | AutoZone, Inc.a | 3,791,160 | 0.4 | % | ||||||||
73,078 | Comcast Corporationb | 4,123,792 | 0.4 | % | ||||||||
44,260 | Home Depot, Inc. | 5,853,385 | 0.6 | % | ||||||||
95,560 | NIKE, Inc. | 5,972,500 | 0.6 | % | ||||||||
100,010 | Starbucks Corporation | 6,003,600 | 0.6 | % | ||||||||
Other Securities^ | 51,504,572 | 5.4 | % | |||||||||
|
| |||||||||||
Total | 87,553,628 | |||||||||||
|
| |||||||||||
| Consumer Staples (1.6%) | |||||||||||
Other Securities^ | 15,822,788 | 1.6 | % | |||||||||
|
| |||||||||||
Total | 15,822,788 | |||||||||||
|
| |||||||||||
| Energy (6.6%) | |||||||||||
65,340 | Baker Hughes, Inc. | 3,015,441 | 0.3 | % | ||||||||
54,130 | Cameron International Corporationa | 3,421,016 | 0.4 | % | ||||||||
74,190 | Chevron Corporation | 6,674,132 | 0.7 | % | ||||||||
78,116 | EOG Resources, Inc. | 5,529,832 | 0.6 | % | ||||||||
86,781 | EQT Corporation | 4,523,894 | 0.5 | % | ||||||||
101,800 | Marathon Petroleum Corporation | 5,277,312 | 0.5 | % | ||||||||
146,780 | Suncor Energy, Inc. ADR | 3,786,924 | 0.4 | % | ||||||||
448,056 | Weatherford International, Ltd.a | 3,759,190 | 0.4 | % | ||||||||
Other Securities^ | 27,609,275 | 2.8 | % | |||||||||
|
| |||||||||||
Total | 63,597,016 | |||||||||||
|
| |||||||||||
| Financials (7.6%) |
| ||||||||||
18,319 | Intercontinental Exchange, Inc. | 4,694,427 | 0.5 | % | ||||||||
48,583 | J.P. Morgan Chase & Company | 3,207,935 | 0.3 | % | ||||||||
Other Securities^ | 65,764,609 | 6.8 | % | |||||||||
|
| |||||||||||
Total | 73,666,971 | |||||||||||
|
| |||||||||||
| Health Care (8.3%) |
| ||||||||||
97,380 | Abbott Laboratories | 4,373,336 | 0.4 | % | ||||||||
20,524 | Allergan plca | 6,413,750 | 0.7 | % | ||||||||
73,288 | Cerner Corporationa | 4,409,739 | 0.4 | % | ||||||||
53,208 | Gilead Sciences, Inc. | 5,384,118 | 0.6 | % | ||||||||
83,133 | Mylan NVa | 4,495,001 | 0.5 | % | ||||||||
31,937 | Teleflex, Inc. | 4,198,119 | 0.4 | % | ||||||||
35,766 | Vertex Pharmaceuticals, Inc.a | 4,500,436 | 0.5 | % | ||||||||
Other Securities^ | 46,652,980 | 4.8 | % | |||||||||
|
| |||||||||||
Total | 80,427,479 | |||||||||||
|
| |||||||||||
| Industrials (6.2%) |
| ||||||||||
101,500 | Delta Air Lines, Inc. | 5,145,035 | 0.5 | % | ||||||||
Other Securities^ | 55,255,460 | 5.7 | % | |||||||||
|
| |||||||||||
Total | 60,400,495 | |||||||||||
|
| |||||||||||
| Information Technology (13.3%) |
| ||||||||||
7,973 | Alphabet, Inc., Class Aa | 6,203,074 | 0.6 | % | ||||||||
7,947 | Alphabet, Inc., Class Ca | 6,030,819 | 0.6 | % | ||||||||
103,044 | Apple, Inc.b | 10,846,411 | 1.1 | % | ||||||||
137,620 | EMC Corporation | 3,534,082 | 0.4 | % | ||||||||
106,910 | Facebook, Inc.a | 11,189,201 | 1.2 | % | ||||||||
154,490 | Microsoft Corporation | 8,571,105 | 0.9 | % | ||||||||
100,804 | PayPal Holdings, Inc.a | 3,649,105 | 0.4 | % | ||||||||
74,740 | Salesforce.com, Inc.a | 5,859,616 | 0.6 | % | ||||||||
101,660 | Visa, Inc. | 7,883,733 | 0.8 | % | ||||||||
Other Securities^ | 65,300,891 | 6.7 | % | |||||||||
|
| |||||||||||
Total | 129,068,037 | |||||||||||
|
| |||||||||||
| Materials (1.9%) | |||||||||||
Other Securities^ | 18,209,692 | 1.9 | % | |||||||||
|
| |||||||||||
Total | 18,209,692 | |||||||||||
|
| |||||||||||
| Telecommunications Services (0.3%) |
| ||||||||||
Other Securities^ | 2,659,015 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 2,659,015 | |||||||||||
|
| |||||||||||
| Utilities (0.7%) |
| ||||||||||
Other Securities^ | 6,968,523 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 6,968,523 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $493,493,453) | 538,373,644 | |||||||||||
|
| |||||||||||
Registered Investment Companies (32.5%) | ||||||||||||
| Affiliated Equity Holdings (28.2%) |
| ||||||||||
3,449,494 | Thrivent Large Cap Stock Portfolio | 40,107,608 | 4.2 | % | ||||||||
2,929,577 | Thrivent Large Cap Value Portfolio | 45,459,708 | 4.7 | % | ||||||||
2,971,037 | Thrivent Mid Cap Stock Portfolio | 49,700,986 | 5.1 | % | ||||||||
11,767,231 | Thrivent Partner Worldwide Allocation Portfolio | 105,949,793 | 11.0 | % | ||||||||
1,990,971 | Thrivent Small Cap Stock Portfolio | 30,912,419 | 3.2 | % | ||||||||
|
| |||||||||||
Total | 272,130,514 | |||||||||||
|
| |||||||||||
| Affiliated Fixed Income Holdings (2.6%) |
| ||||||||||
1,670,643 | Thrivent High Yield Portfolio | 7,480,973 | 0.8 | % | ||||||||
451,985 | Thrivent Income Portfolio | 4,443,283 | 0.4 | % | ||||||||
920,880 | Thrivent Limited Maturity Bond Portfolio | 8,953,804 | 0.9 | % | ||||||||
462,991 | Thrivent Opportunity Income Plus Portfolio | 4,541,113 | 0.5 | % | ||||||||
|
| |||||||||||
Total | 25,419,173 | |||||||||||
|
| |||||||||||
| Equity Funds/ETFs (1.7%) |
| ||||||||||
21,755 | iShares Russell 2000 Growth Index Fund | 3,032,865 | 0.3 | % | ||||||||
141,420 | SPDR Euro Stoxx 50 ETF | 4,869,091 | 0.5 | % | ||||||||
24,024 | SPDR S&P 500 ETF Trust | 4,898,253 | 0.5 | % | ||||||||
Other Securities^ | 3,922,282 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 16,722,491 | |||||||||||
|
| |||||||||||
Total Registered Investment Companies (cost $317,047,103) | 314,272,178 | |||||||||||
|
| |||||||||||
Principal | ||||||||||||
Amount | Long-Term Fixed Income (2.5%) | |||||||||||
| Asset-Backed Securities (0.1%) | |||||||||||
Other Securities^ | 452,150 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 452,150 | |||||||||||
|
| |||||||||||
| Collateralized Mortgage Obligations (<0.1%) |
| ||||||||||
Other Securities^ | 267,244 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 267,244 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
64
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (2.5%) | Value | % of Net Assets | |||||||||
| Mortgage-Backed Securities (1.3%) |
| ||||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||||||
$875,000 | 3.000%, 1/1/2031c | $ | 901,665 | 0.1 | % | |||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||||||
875,000 | 4.000%, 1/1/2046c | 924,338 | 0.1 | % | ||||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||||||
900,000 | 3.500%, 1/1/2030c | 942,504 | 0.1 | % | ||||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||||||
5,975,000 | 3.500%, 1/1/2046c | 6,164,546 | 0.6 | % | ||||||||
3,400,000 | 4.000% - 4.500%, 1/1/2046c | 3,631,967 | 0.4 | % | ||||||||
|
| |||||||||||
Total | 12,565,020 | |||||||||||
|
| |||||||||||
| U.S. Government and Agencies (1.1%) | |||||||||||
Tennessee Valley Authority | ||||||||||||
165,000 | 5.250%, 9/15/2039 | 198,313 | <0.1 | % | ||||||||
U.S. Treasury Notes | ||||||||||||
2,800,000 | 3.625%, 2/15/2044 | 3,149,782 | 0.3 | % | ||||||||
6,140,000 | 0.625% - 2.250%, 10/15/2016 - 11/15/2024 | 6,129,377 | 0.7 | % | ||||||||
1,337,570 | U.S. Treasury Notes, TIPS 0.125%, 4/15/2018 | 1,334,992 | 0.1 | % | ||||||||
|
| |||||||||||
Total | 10,812,464 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $23,880,258) | 24,096,878 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (10.7%)d | |||||||||||
Federal Home Loan Bank Discount Notes | ||||||||||||
11,300,000 | 0.100%, 1/4/2016 | 11,299,906 | 1.2 | % | ||||||||
5,000,000 | 0.100%, 1/5/2016 | 4,999,944 | 0.5 | % | ||||||||
5,000,000 | 0.115%, 1/8/2016 | 4,999,888 | 0.5 | % | ||||||||
4,000,000 | 0.110%, 1/11/2016 | 3,999,878 | 0.4 | % | ||||||||
3,000,000 | 0.100%, 1/12/2016 | 2,999,908 | 0.3 | % | ||||||||
6,000,000 | 0.110%, 1/13/2016 | 5,999,780 | 0.6 | % | ||||||||
4,000,000 | 0.130%, 1/15/2016 | 3,999,798 | 0.4 | % | ||||||||
8,000,000 | 0.250%, 2/12/2016 | 7,997,667 | 0.9 | % | ||||||||
8,000,000 | 0.260%, 2/19/2016 | 7,997,169 | 0.8 | % | ||||||||
6,500,000 | 0.105% - 0.355%, 1/6/2016 - 3/14/2016 | 6,497,494 | 0.7 | % | ||||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||||||
3,700,000 | 0.230%, 1/27/2016b | 3,699,385 | 0.4 | % | ||||||||
4,000,000 | 0.200%, 2/17/2016b | 3,998,955 | 0.4 | % | ||||||||
100,000 | 0.105%, 1/6/2016 | 99,999 | <0.1 | % | ||||||||
Federal National Mortgage Association Discount Notes | ||||||||||||
3,250,000 | 0.100%, 1/8/2016b | 3,249,937 | 0.3 | % | ||||||||
31,326,929 | Thrivent Cash Management Trust 0.220% | 31,326,929 | 3.3 | % | ||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 103,166,637 | |||||||||||
|
| |||||||||||
Total Investments (cost $937,587,451) 101.3% | $ | 979,909,337 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (1.3%) | (12,350,814 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 967,558,523 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Non-income producing security. |
b | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. | ||
TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 100,197,773 | ||
Gross unrealized depreciation | (61,625,155 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 38,572,618 | ||
Cost for federal income tax purposes | $ | 941,336,719 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
65
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Aggressive Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 87,553,628 | 86,288,843 | 1,264,785 | — | ||||||||||||
Consumer Staples | 15,822,788 | 14,712,420 | 1,110,368 | — | ||||||||||||
Energy | 63,597,016 | 63,368,187 | 228,829 | — | ||||||||||||
Financials | 73,666,971 | 71,149,480 | 2,517,491 | — | ||||||||||||
Health Care | 80,427,479 | 79,720,414 | 707,065 | — | ||||||||||||
Industrials | 60,400,495 | 59,157,986 | 1,242,509 | — | ||||||||||||
Information Technology | 129,068,037 | 128,532,314 | 535,723 | — | ||||||||||||
Materials | 18,209,692 | 17,595,142 | 614,550 | — | ||||||||||||
Telecommunications Services | 2,659,015 | 2,074,619 | 584,396 | — | ||||||||||||
Utilities | 6,968,523 | 6,759,485 | 209,038 | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Affiliated Equity Holdings | 272,130,514 | 272,130,514 | — | — | ||||||||||||
Affiliated Fixed Income Holdings | 25,419,173 | 25,419,173 | — | — | ||||||||||||
Equity Funds/ETFs | 16,722,491 | 16,722,491 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 452,150 | — | 452,150 | — | ||||||||||||
Collateralized Mortgage Obligations | 267,244 | — | 267,244 | — | ||||||||||||
Mortgage-Backed Securities | 12,565,020 | — | 12,565,020 | — | ||||||||||||
U.S. Government and Agencies | 10,812,464 | — | 10,812,464 | — | ||||||||||||
Short-Term Investments | 103,166,637 | 31,326,929 | 71,839,708 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 979,909,337 | $ | 874,957,997 | $ | 104,951,340 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 3,039,780 | 3,039,780 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 3,039,780 | $ | 3,039,780 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 421,507 | 421,507 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 421,507 | $ | 421,507 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The following table presents Aggressive Allocation Portfolio’s futures contracts held as of December 31, 2015. Investments and/or cash totaling $16,750,679 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||
2-Yr. U.S. Treasury Bond Futures | (20 | ) | March 2016 | ($ | 4,350,563 | ) | ($ | 4,344,687 | ) | $ | 5,876 | |||||||
5-Yr. U.S. Treasury Bond Futures | 30 | March 2016 | 3,555,327 | 3,549,609 | (5,718 | ) | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | 12 | March 2016 | 1,515,225 | 1,510,875 | (4,350 | ) | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | (5 | ) | March 2016 | (767,875 | ) | (768,750 | ) | (875 | ) | |||||||||
CME E-mini NASDAQ 100 Index | (745 | ) | March 2016 | (68,682,296 | ) | (68,357,474 | ) | 324,822 | ||||||||||
Eurex Euro STOXX 50 Index | 1,562 | March 2016 | 54,200,597 | 55,542,606 | 1,342,009 | |||||||||||||
ICE mini MSCI EAFE Index | 436 | March 2016 | 36,304,456 | 37,020,760 | 716,304 | |||||||||||||
NYBOT NYF mini Russell 2000 Index | (94 | ) | March 2016 | (10,736,454 | ) | (10,636,100 | ) | 100,354 | ||||||||||
S&P 400 Index Mini-Futures | (688 | ) | March 2016 | (96,413,302 | ) | (95,872,800 | ) | 540,502 | ||||||||||
S&P 500 Futures | 301 | March 2016 | 153,574,414 | 153,163,850 | (410,564 | ) | ||||||||||||
Ultra Long Term U.S. Treasury Bond Futures | 8 | March 2016 | 1,259,587 | 1,269,500 | 9,913 | |||||||||||||
Total Futures Contracts | $ | 2,618,273 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
66
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 15,789 | |||
Total Interest Rate Contracts | 15,789 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,023,991 | ||||
Total Equity Contracts | 3,023,991 | |||||
|
| |||||
Total Asset Derivatives | $ | 3,039,780 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 10,943 | ||||
Total Interest Rate Contracts | 10,943 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 410,564 | ||||
Total Equity Contracts | 410,564 | |||||
|
| |||||
Total Liability Derivatives | $ | 421,507 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 5,523,625 | ||||
Total Equity Contracts | 5,523,625 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (47,258) | ||||
Total Interest Rate Contracts | (47,258) | |||||
|
| |||||
Total | $ | 5,476,367 | ||||
|
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (603,097) | ||||
Total Interest Rate Contracts | (603,097) | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 933,562 | ||||
Total Equity Contracts | 933,562 | |||||
|
| |||||
Total | $ | 330,465 | ||||
|
|
The following table presents Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 444,113,359 | 46.3 | % | ||||
Interest Rate Contracts | 28,509,800 | 3.0 |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
67
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Aggressive Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Opportunity Income Plus | $ | 4,542,552 | $ | 156,037 | $ | — | 462,991 | $ | 4,541,113 | $ | 155,978 | |||||||||||||
Partner Small Cap Value | 20,049,563 | 1,675,101 | 19,991,266 | — | — | 194,704 | ||||||||||||||||||
Small Cap Stock | 31,911,232 | 4,338,403 | — | 1,990,971 | 30,912,419 | 144,359 | ||||||||||||||||||
Partner Mid Cap Value | 30,716,459 | 3,777,077 | 30,111,360 | — | — | 170,655 | ||||||||||||||||||
Mid Cap Stock | �� | 49,659,992 | 5,682,366 | — | 2,971,037 | 49,700,986 | 296,119 | |||||||||||||||||
Partner Worldwide | ||||||||||||||||||||||||
Allocation | 106,787,106 | 2,726,230 | — | 11,767,231 | 105,949,793 | 2,726,230 | ||||||||||||||||||
Large Cap Value | 47,124,226 | 1,989,635 | — | 2,929,577 | 45,459,708 | 602,737 | ||||||||||||||||||
Large Cap Stock | 38,896,156 | 3,466,177 | — | 3,449,494 | 40,107,608 | 469,824 | ||||||||||||||||||
High Yield | 5,644,416 | 2,908,276 | 424,377 | 1,670,643 | 7,480,973 | 399,233 | ||||||||||||||||||
Income | 4,473,519 | 264,766 | — | 451,985 | 4,443,283 | 165,222 | ||||||||||||||||||
Limited Maturity Bond | 7,337,690 | 2,021,544 | 318,283 | 920,880 | 8,953,804 | 139,856 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | 241,100 | 556,873 | 797,973 | — | — | 1,547 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | — | 32,354,566 | 1,027,637 | 31,326,929 | 31,326,929 | 370,149 | ||||||||||||||||||
Total Value and Income Earned | $ | 347,384,011 | $ | 328,876,616 | $ | 5,836,613 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
68
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (1.3%) | Value | % of Net Assets | |||||||||
| Basic Materials (0.1%) | |||||||||||
Other Securities^ | $ | 4,467,421 | 0.1 | % | ||||||||
|
| |||||||||||
Total | 4,467,421 | |||||||||||
|
| |||||||||||
| Capital Goods (<0.1%) |
| ||||||||||
Other Securities^ | 1,383,061 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 1,383,061 | |||||||||||
|
| |||||||||||
| Communications Services (0.6%) |
| ||||||||||
Other Securities^ | 27,188,745 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 27,188,745 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (0.2%) |
| ||||||||||
Other Securities^ | 11,985,485 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 11,985,485 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (0.1%) |
| ||||||||||
Other Securities^ | 5,458,133 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 5,458,133 | |||||||||||
|
| |||||||||||
| Energy (0.1%) |
| ||||||||||
Other Securities^ | 3,878,353 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 3,878,353 | |||||||||||
|
| |||||||||||
| Financials (0.1%) |
| ||||||||||
Other Securities^ | 3,494,301 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 3,494,301 | |||||||||||
|
| |||||||||||
| Technology (0.1%) |
| ||||||||||
Other Securities^ | 4,021,234 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 4,021,234 | |||||||||||
|
| |||||||||||
| Transportation (<0.1%) |
| ||||||||||
Other Securities^ | 1,350,122 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 1,350,122 | |||||||||||
|
| |||||||||||
| Utilities (<0.1%) |
| ||||||||||
Other Securities^ | 1,634,916 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 1,634,916 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $71,557,760) | 64,861,771 | |||||||||||
|
| |||||||||||
Shares | Common Stock (41.8%) | |||||||||||
| Consumer Discretionary (6.3%) | |||||||||||
51,212 | Amazon.com, Inc.a | 34,613,679 | 0.7 | % | ||||||||
337,496 | Comcast Corporation | 19,044,899 | 0.4 | % | ||||||||
148,720 | Home Depot, Inc. | 19,668,220 | 0.4 | % | ||||||||
321,840 | NIKE, Inc. | 20,115,000 | 0.4 | % | ||||||||
335,990 | Starbucks Corporation | 20,169,480 | 0.4 | % | ||||||||
Other Securities^ | 196,040,234 | 4.0 | % | |||||||||
|
| |||||||||||
Total | 309,651,512 | |||||||||||
|
| |||||||||||
| Consumer Staples (1.4%) |
| ||||||||||
Other Securities^ | 67,320,797 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 67,320,797 | |||||||||||
|
| |||||||||||
| Energy (5.2%) |
| ||||||||||
245,460 | Cameron International Corporationa | 15,513,072 | 0.3 | % | ||||||||
337,900 | Chevron Corporation | 30,397,484 | 0.6 | % | ||||||||
312,272 | EOG Resources, Inc. | 22,105,735 | 0.5 | % | ||||||||
346,611 | EQT Corporation | 18,068,831 | 0.4 | % | ||||||||
382,100 | Marathon Petroleum Corporation | 19,808,064 | 0.4 | % | ||||||||
1,876,770 | Weatherford International, Ltd.a | 15,746,100 | 0.3 | % | ||||||||
Other Securities^ | 132,526,951 | 2.7 | % | |||||||||
|
| |||||||||||
Total | 254,166,237 | |||||||||||
|
| |||||||||||
| Financials (6.7%) |
| ||||||||||
318,197 | Citigroup, Inc. | 16,466,695 | 0.4 | % | ||||||||
69,309 | Intercontinental Exchange, Inc. | 17,761,124 | 0.4 | % | ||||||||
Other Securities^ | 294,468,873 | 5.9 | % | |||||||||
|
| |||||||||||
Total | 328,696,692 | |||||||||||
|
| |||||||||||
| Health Care (5.8%) |
| ||||||||||
69,186 | Allergan plca | 21,620,625 | 0.4 | % | ||||||||
178,635 | Gilead Sciences, Inc. | 18,076,076 | 0.4 | % | ||||||||
119,124 | Vertex Pharmaceuticals, Inc.a | 14,989,373 | 0.3 | % | ||||||||
Other Securities^ | 226,962,072 | 4.7 | % | |||||||||
|
| |||||||||||
Total | 281,648,146 | |||||||||||
|
| |||||||||||
| Industrials (4.6%) |
| ||||||||||
345,750 | Delta Air Lines, Inc. | 17,526,068 | 0.4 | % | ||||||||
Other Securities^ | 207,513,027 | 4.2 | % | |||||||||
|
| |||||||||||
Total | 225,039,095 | |||||||||||
|
| |||||||||||
| Information Technology (9.3%) |
| ||||||||||
27,443 | Alphabet, Inc., Class Aa | 21,350,928 | 0.4 | % | ||||||||
31,387 | Alphabet, Inc., Class Ca | 23,818,967 | 0.5 | % | ||||||||
348,746 | Apple, Inc.b | 36,709,004 | 0.8 | % | ||||||||
361,820 | Facebook, Inc.a | 37,868,081 | 0.8 | % | ||||||||
649,230 | Microsoft Corporation | 36,019,280 | 0.7 | % | ||||||||
254,540 | Salesforce.com, Inc.a | 19,955,936 | 0.4 | % | ||||||||
341,780 | Visa, Inc. | 26,505,039 | 0.6 | % | ||||||||
Other Securities^ | 253,423,967 | 5.1 | % | |||||||||
|
| |||||||||||
Total | 455,651,202 | |||||||||||
|
| |||||||||||
| Materials (1.6%) |
| ||||||||||
Other Securities^ | 76,845,933 | 1.6 | % | |||||||||
|
| |||||||||||
Total | 76,845,933 | |||||||||||
|
| |||||||||||
| Telecommunications Services (0.2%) |
| ||||||||||
Other Securities^ | 11,486,669 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 11,486,669 | |||||||||||
|
| |||||||||||
| Utilities (0.7%) |
| ||||||||||
Other Securities^ | 36,571,091 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 36,571,091 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $1,905,204,349) | 2,047,077,374 | |||||||||||
|
| |||||||||||
Registered Investment Companies (36.3%) | ||||||||||||
| Affiliated Equity Holdings (28.6%) | |||||||||||
24,425,365 | Thrivent Large Cap Stock Portfolio | 283,996,164 | 5.8 | % | ||||||||
20,124,267 | Thrivent Large Cap Value Portfolio | 312,278,320 | 6.4 | % | ||||||||
16,750,392 | Thrivent Mid Cap Stock Portfolio | 280,208,930 | 5.7 | % | ||||||||
48,917,066 | Thrivent Partner Worldwide Allocation Portfolio | 440,439,482 | 9.0 | % | ||||||||
5,277,294 | Thrivent Small Cap Stock Portfolio | 81,936,849 | 1.7 | % | ||||||||
|
| |||||||||||
Total | 1,398,859,745 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
69
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (36.3%) | Value | % of Net Assets | |||||||||
| Affiliated Fixed Income Holdings (5.7%) |
| ||||||||||
10,271,632 | Thrivent High Yield Portfolio | $ | 45,995,339 | 0.9 | % | |||||||
14,694,354 | Thrivent Income Portfolio | 144,454,320 | 3.0 | % | ||||||||
9,308,662 | Thrivent Limited Maturity Bond Portfolio | 90,509,050 | 1.8 | % | ||||||||
|
| |||||||||||
Total | 280,958,709 | |||||||||||
|
| |||||||||||
| Equity Funds/ETFs (1.1%) |
| ||||||||||
10,220 | iShares MSCI EAFE Index Fund | 600,425 | <0.1 | % | ||||||||
25,911 | iShares Russell 2000 Growth Index Fundc | 3,612,252 | 0.1 | % | ||||||||
51,228 | iShares Russell 2000 Index Fundc | 5,763,662 | 0.1 | % | ||||||||
475,230 | SPDR Euro Stoxx 50 ETF | 16,362,169 | 0.3 | % | ||||||||
108,738 | SPDR S&P 500 ETF Trustc | 22,170,591 | 0.5 | % | ||||||||
Other Securities^ | 5,726,874 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 54,235,973 | |||||||||||
|
| |||||||||||
| Fixed Income Funds/ETFs (0.9%) |
| ||||||||||
35,000 | iShares Barclays 1-3 Year Credit Bond Fund | 3,661,000 | 0.1 | % | ||||||||
273,700 | iShares iBoxx $ High Yield Corporate Bond ETF | 22,054,746 | 0.4 | % | ||||||||
161,800 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 18,446,818 | 0.4 | % | ||||||||
|
| |||||||||||
Total | 44,162,564 | |||||||||||
|
| |||||||||||
Total Registered Investment Companies (cost $1,663,929,010) | 1,778,216,991 | |||||||||||
|
| |||||||||||
Principal Amount | Long-Term Fixed Income (13.8%) | |||||||||||
| Asset-Backed Securities (0.5%) | |||||||||||
U.S. Small Business Administration | ||||||||||||
$ | 525,660 | 3.191%, 3/10/2024 | 545,913 | <0.1 | % | |||||||
Other Securities^ | 24,723,493 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 25,269,406 | |||||||||||
|
| |||||||||||
| Basic Materials (0.1%) |
| ||||||||||
Other Securities^ | 3,655,834 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 3,655,834 | |||||||||||
|
| |||||||||||
| Capital Goods (0.2%) |
| ||||||||||
Other Securities^ | 8,424,822 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 8,424,822 | |||||||||||
|
| |||||||||||
| Collateralized Mortgage Obligations (0.8%) |
| ||||||||||
Federal Home Loan Mortgage Corporation | ||||||||||||
1,450,907 | 3.000%, 2/15/2033d | 178,512 | <0.1 | % | ||||||||
Federal National Mortgage Association | ||||||||||||
2,964,241 | 3.500%, 1/25/2033d | 399,161 | <0.1 | % | ||||||||
Other Securities^ | 33,679,460 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 34,257,133 | |||||||||||
|
| |||||||||||
| Commercial Mortgage-Backed Securities (0.5%) |
| ||||||||||
Federal National Mortgage Association | ||||||||||||
358,139 | 1.272%, 1/25/2017 | 358,153 | <0.1 | % | ||||||||
Other Securities^ | 26,401,225 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 26,759,378 | |||||||||||
|
| |||||||||||
| Communications Services (0.5%) |
| ||||||||||
Other Securities^ | 25,093,662 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 25,093,662 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (0.3%) |
| ||||||||||
Other Securities^ | 12,782,868 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 12,782,868 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (0.4%) |
| ||||||||||
Other Securities^ | 22,015,248 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 22,015,248 | |||||||||||
|
| |||||||||||
| Energy (0.3%) |
| ||||||||||
Other Securities^ | 15,188,250 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 15,188,250 | |||||||||||
|
| |||||||||||
| Financials (1.1%) |
| ||||||||||
Other Securities^ | 52,457,413 | 1.1 | % | |||||||||
|
| |||||||||||
Total | 52,457,413 | |||||||||||
|
| |||||||||||
| Foreign Government (<0.1%) |
| ||||||||||
Other Securities^ | 645,133 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 645,133 | |||||||||||
|
| |||||||||||
| Mortgage-Backed Securities (4.7%) |
| ||||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||||||
15,800,000 | 3.000%, 1/1/2031e | 16,281,483 | 0.3 | % | ||||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||||||
12,300,000 | 4.000%, 1/1/2046e | 12,993,555 | 0.3 | % | ||||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||||||
17,300,000 | 3.500%, 1/1/2030e | 18,117,027 | 0.4 | % | ||||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||||||
94,375,000 | 3.500%, 1/1/2046e | 97,368,877 | 2.0 | % | ||||||||
44,000,000 | 4.000%, 1/1/2046e | 46,559,564 | 1.0 | % | ||||||||
33,339,000 | 4.500%, 1/1/2046e | 36,001,953 | 0.7 | % | ||||||||
3,047,039 | 1.728% - 2.069%, 7/1/2043 - 8/1/2043f | 3,108,062 | <0.1 | % | ||||||||
|
| |||||||||||
Total | 230,430,521 | |||||||||||
|
| |||||||||||
| Technology (0.2%) |
| ||||||||||
Other Securities^ | 11,441,745 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 11,441,745 | |||||||||||
|
| |||||||||||
| Transportation (0.1%) |
| ||||||||||
Other Securities^ | 3,225,970 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 3,225,970 | |||||||||||
|
| |||||||||||
| U.S. Government and Agencies (3.8%) |
| ||||||||||
Federal National Mortgage Association | ||||||||||||
405,000 | 6.250%, 5/15/2029 | 549,088 | <0.1 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
70
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | % of Net Assets | |||||||||
| U.S. Government and Agencies (3.8%) - continued | |||||||||||
Tennessee Valley Authority | ||||||||||||
$ | 390,000 | 5.250%, 9/15/2039 | $ | 468,739 | <0.1 | % | ||||||
U.S. Treasury Bonds | ||||||||||||
34,845,000 | 3.000%, 5/15/2042 | 35,060,063 | 0.7 | % | ||||||||
9,100,000 | 4.375% - 6.500%, 11/15/2026 - 5/15/2040 | 12,174,990 | 0.3 | % | ||||||||
U.S. Treasury Bonds, TIPS | ||||||||||||
2,471,437 | 0.125% - 2.375%, 4/15/2019 - 2/15/2042 | 2,416,500 | <0.1 | % | ||||||||
U.S. Treasury Notes | ||||||||||||
23,330,000 | 1.875%, 6/30/2020 | 23,493,123 | 0.5 | % | ||||||||
14,300,000 | 3.625%, 2/15/2044 | 16,086,385 | 0.3 | % | ||||||||
33,320,000 | 0.250% - 2.250%, | |||||||||||
2/29/2016 - 11/15/2024 | 33,201,479 | 0.7 | % | |||||||||
U.S. Treasury Notes, TIPS | ||||||||||||
29,838,100 | 0.125%, 4/15/2018 | 29,780,602 | 0.6 | % | ||||||||
36,296,192 | 0.125%, 1/15/2023 | 34,800,390 | 0.7 | % | ||||||||
614,741 | 0.125%, 1/15/2022 | 595,715 | <0.1 | % | ||||||||
|
| |||||||||||
Total | 188,627,074 | |||||||||||
|
| |||||||||||
| Utilities (0.3%) |
| ||||||||||
Other Securities^ | 14,135,515 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 14,135,515 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $677,640,086) | 674,409,972 | |||||||||||
|
| |||||||||||
Shares | Collateral Held for Securities Loaned (1.6%) | |||||||||||
80,456,520 | Thrivent Cash Management Trust | 80,456,520 | 1.6 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $80,456,520) | 80,456,520 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (11.4%)g | |||||||||||
Federal Home Loan Bank Discount Notes | ||||||||||||
35,855,000 | 0.099%, 1/4/2016 | 35,854,705 | 0.7 | % | ||||||||
15,000,000 | 0.100%, 1/5/2016 | 14,999,833 | 0.3 | % | ||||||||
33,700,000 | 0.102%, 1/6/2016 | 33,699,522 | 0.7 | % | ||||||||
38,400,000 | 0.103%, 1/8/2016 | 38,399,228 | �� | 0.8 | % | |||||||
15,000,000 | 0.105%, 1/11/2016 | 14,999,563 | 0.3 | % | ||||||||
23,800,000 | 0.159%, 1/13/2016 | 23,798,737 | 0.5 | % | ||||||||
24,905,000 | 0.118%, 1/21/2016 | 24,903,365 | 0.5 | % | ||||||||
20,000,000 | 0.116%, 1/22/2016 | 19,998,644 | 0.4 | % | ||||||||
33,230,000 | 0.206%, 2/3/2016 | 33,223,732 | 0.7 | % | ||||||||
20,739,000 | 0.276%, 2/24/2016 | 20,730,421 | 0.4 | % | ||||||||
25,000,000 | 0.365%, 3/16/2016 | 24,980,990 | 0.5 | % | ||||||||
100,387,000 | 0.100% - 0.370%, 1/12/2016 - 3/21/2016 | 100,357,523 | 2.1 | % | ||||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||||||
26,000,000 | 0.200%, 2/17/2016b | 25,993,211 | 0.5 | % | ||||||||
8,600,000 | 0.105% - 0.230%, 1/6/2016 - 1/27/2016b | 8,598,723 | 0.2 | % | ||||||||
Federal National Mortgage Association Discount Notes | ||||||||||||
20,900,000 | 0.064% - 0.230%, 1/8/2016 - 2/16/2016b,h | 20,897,031 | 0.5 | % | ||||||||
U.S. Treasury Bills | ||||||||||||
100,000 | 0.205%, 2/25/2016h | 99,969 | <0.1 | % | ||||||||
Thrivent Cash Management Trust | ||||||||||||
108,913,011 | 0.220% | 108,913,011 | 2.2 | % | ||||||||
Other Securities^ | 6,499,676 | 0.1 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 556,947,884 | |||||||||||
|
| |||||||||||
Total Investments (cost $4,955,735,609) 106.2% | $ | 5,201,970,512 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (6.2%) | (303,891,893 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 4,898,078,619 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Non-income producing security. |
b | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
c | All or a portion of the security is on loan. |
d | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
e | Denotes investments purchased on a when-issued or delayed delivery basis. |
f | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
h | At December 31, 2015, $199,964 of investments were segregated to cover exposure to a counterparty for margin on open mortgage-backed security transactions. |
Moderately Aggressive Allocation Portfolio held restricted securities as of December 31, 2015. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. As of December 31, 2015, the value of these investments was $25,334,861 or 0.5% of total net assets.
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Moderately Aggressive Allocation Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Taxable Debt Security | $ | 2,903,163 | ||
Common Stock | 75,316,256 | |||
|
| |||
Total lending | $ | 78,219,419 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 80,456,520 | ||
|
| |||
Net amounts due to counterparty | $ | 2,237,101 | ||
|
|
Definitions:
ETF | - | Exchange Traded Fund. | ||
TIPS | - | Treasury Inflation Protected Security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
71
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 440,386,640 | ||
Gross unrealized depreciation | (209,132,669 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 231,253,971 | ||
Cost for federal income tax purposes | $ | 4,970,716,541 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
72
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Moderately Aggressive Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 4,467,421 | — | 3,687,207 | 780,214 | ||||||||||||
Capital Goods | 1,383,061 | — | 1,383,061 | — | ||||||||||||
Communications Services | 27,188,745 | — | 25,144,873 | 2,043,872 | ||||||||||||
Consumer Cyclical | 11,985,485 | — | 11,985,485 | — | ||||||||||||
Consumer Non-Cyclical | 5,458,133 | — | 5,458,133 | — | ||||||||||||
Energy | 3,878,353 | — | 2,101,380 | 1,776,973 | ||||||||||||
Financials | 3,494,301 | — | 3,494,301 | — | ||||||||||||
Technology | 4,021,234 | — | 4,002,116 | 19,118 | ||||||||||||
Transportation | 1,350,122 | — | 1,350,122 | — | ||||||||||||
Utilities | 1,634,916 | — | 1,634,916 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 309,651,512 | 305,351,059 | 4,300,453 | — | ||||||||||||
Consumer Staples | 67,320,797 | 63,502,639 | 3,818,158 | — | ||||||||||||
Energy | 254,166,237 | 253,399,489 | 766,748 | — | ||||||||||||
Financials | 328,696,692 | 320,270,375 | 8,426,317 | — | ||||||||||||
Health Care | 281,648,146 | 279,219,644 | 2,428,502 | — | ||||||||||||
Industrials | 225,039,095 | 220,637,768 | 4,401,327 | — | ||||||||||||
Information Technology | 455,651,202 | 453,808,709 | 1,842,493 | — | ||||||||||||
Materials | 76,845,933 | 74,560,600 | 2,285,333 | — | ||||||||||||
Telecommunications Services | 11,486,669 | 9,508,244 | 1,978,425 | — | ||||||||||||
Utilities | 36,571,091 | 35,878,385 | 692,706 | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Affiliated Equity Holdings | 1,398,859,745 | 1,398,859,745 | — | — | ||||||||||||
Affiliated Fixed Income Holdings | 280,958,709 | 280,958,709 | — | — | ||||||||||||
Equity Funds/ETFs | 54,235,973 | 54,235,973 | — | — | ||||||||||||
Fixed Income Funds/ETFs | 44,162,564 | 44,162,564 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 25,269,406 | — | 25,269,406 | — | ||||||||||||
Basic Materials | 3,655,834 | — | 3,655,834 | — | ||||||||||||
Capital Goods | 8,424,822 | — | 8,424,822 | — | ||||||||||||
Collateralized Mortgage Obligations | 34,257,133 | — | 34,257,133 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 26,759,378 | — | 26,759,378 | — | ||||||||||||
Communications Services | 25,093,662 | — | 25,093,662 | — | ||||||||||||
Consumer Cyclical | 12,782,868 | — | 12,782,868 | — | ||||||||||||
Consumer Non-Cyclical | 22,015,248 | — | 22,015,248 | — | ||||||||||||
Energy | 15,188,250 | — | 15,188,250 | — | ||||||||||||
Financials | 52,457,413 | — | 52,457,413 | — | ||||||||||||
Foreign Government | 645,133 | — | 645,133 | — | ||||||||||||
Mortgage-Backed Securities | 230,430,521 | — | 230,430,521 | — | ||||||||||||
Technology | 11,441,745 | — | 11,441,745 | — | ||||||||||||
Transportation | 3,225,970 | — | 3,225,970 | — | ||||||||||||
U.S. Government and Agencies | 188,627,074 | — | 188,627,074 | — | ||||||||||||
Utilities | 14,135,515 | — | 14,135,515 | — | ||||||||||||
Collateral Held for Securities Loaned | 80,456,520 | 80,456,520 | — | — | ||||||||||||
Short-Term Investments | 556,947,884 | 108,913,011 | 448,034,873 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,201,970,512 | $ | 3,983,723,434 | $ | 1,213,626,901 | $ | 4,620,177 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 11,006,125 | 11,006,125 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 11,006,125 | $ | 11,006,125 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 1,634,562 | 1,634,562 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 1,634,562 | $ | 1,634,562 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
73
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Moderately Aggressive Allocation Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $61,641,378 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (302 | ) | March 2016 | ($ | 65,693,501 | ) | ($ | 65,604,782 | ) | $ | 88,719 | |||||||||
5-Yr. U.S. Treasury Bond Futures | 476 | March 2016 | 56,411,193 | 56,320,467 | (90,726 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | 339 | March 2016 | 42,805,099 | 42,682,218 | (122,881 | ) | ||||||||||||||
30-Yr. U.S. Treasury Bond Futures | 107 | March 2016 | 16,380,527 | 16,451,250 | 70,723 | |||||||||||||||
CME E-mini NASDAQ 100 Index | (2,679 | ) | March 2016 | (246,979,694 | ) | (245,811,645 | ) | 1,168,049 | ||||||||||||
Eurex Euro STOXX 50 Index | 6,541 | March 2016 | 226,969,696 | 232,589,108 | 5,619,412 | |||||||||||||||
ICE mini MSCI EAFE Index | 1,387 | March 2016 | 115,491,468 | 117,770,170 | 2,278,702 | |||||||||||||||
NYBOT NYF mini Russell 2000 Index | 220 | March 2016 | 25,014,528 | 24,893,000 | (121,528 | ) | ||||||||||||||
S&P 400 Index Mini-Futures | (2,269 | ) | March 2016 | (317,965,670 | ) | (316,185,150 | ) | 1,780,520 | ||||||||||||
S&P 500 Futures | 805 | March 2016 | 410,722,270 | 409,624,250 | (1,098,020 | ) | ||||||||||||||
S&P 500 Mini-Futures | (90 | ) | March 2016 | (8,970,019 | ) | (9,159,300 | ) | (189,281 | ) | |||||||||||
Ultra Long Term U.S. Treasury Bond Futures | (13 | ) | March 2016 | (2,050,811 | ) | (2,062,937 | ) | (12,126 | ) | |||||||||||
Total Futures Contracts | $ | 9,371,563 |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Moderately Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 159,442 | |||
Total Interest Rate Contracts | 159,442 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 10,846,683 | ||||
Total Equity Contracts | 10,846,683 | |||||
|
| |||||
Total Asset Derivatives | $ | 11,006,125 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 225,733 | ||||
Total Interest Rate Contracts | 225,733 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,408,829 | ||||
Total Equity Contracts | 1,408,829 | |||||
|
| |||||
Total Liability Derivatives | $ | 1,634,562 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Moderately Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 37,487,887 | ||||
Total Equity Contracts | 37,487,887 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 3,457,754 | ||||
Total Interest Rate Contracts | 3,457,754 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (183,108 | ) | |||
Total Credit Contracts | (183,108 | ) | ||||
|
| |||||
Total | $ | 40,762,533 | ||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
74
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Moderately Aggressive Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (5,630,577) | ||||
Total Interest Rate Contracts | (5,630,577) | |||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (9,964,150) | ||||
Total Equity Contracts | (9,964,150) | |||||
|
| |||||
Total | ($15,594,727) | |||||
|
|
The following table presents Moderately Aggressive Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Swaps (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 1,390,619,383 | 28.2 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 338,761,607 | 6.9 | N/A | N/A | ||||||||||||
Credit Contracts | N/A | N/A | $ | 2,441,240 | <0.1 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Moderately Aggressive Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Partner Small Cap Value | $ | 98,513,554 | $ | 8,230,610 | $ | 98,227,113 | — | $ | — | $ | 956,677 | |||||||||||||
Small Cap Stock | 84,584,317 | 11,499,425 | — | 5,277,294 | 81,936,849 | 382,640 | ||||||||||||||||||
Partner Mid Cap Value | 137,304,560 | 16,883,780 | 134,599,729 | — | — | 762,837 | ||||||||||||||||||
Mid Cap Stock | 279,977,811 | 32,036,584 | — | 16,750,392 | 280,208,930 | 1,669,489 | ||||||||||||||||||
Partner Worldwide Allocation | 443,920,241 | 11,333,099 | — | 48,917,066 | 440,439,482 | 11,333,099 | ||||||||||||||||||
Large Cap Value | 323,712,459 | 13,667,484 | — | 20,124,267 | 312,278,320 | 4,140,409 | ||||||||||||||||||
Large Cap Stock | 275,418,051 | 24,543,499 | — | 24,425,365 | 283,996,164 | 3,326,757 | ||||||||||||||||||
High Yield | 119,925,476 | 6,259,380 | 74,043,953 | 10,271,632 | 45,995,339 | 6,259,177 | ||||||||||||||||||
Income | 138,495,900 | 17,666,446 | 2,543,953 | 14,694,354 | 144,454,320 | 5,113,925 | ||||||||||||||||||
Limited Maturity Bond | 37,959,766 | 54,491,308 | 1,271,976 | 9,308,662 | 90,509,050 | 790,853 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | 39,076,872 | 586,592,989 | 545,213,341 | 80,456,520 | 80,456,520 | 566,892 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | — | 178,729,018 | 69,816,007 | 108,913,011 | 108,913,011 | 22,422 | ||||||||||||||||||
Total Value and Income Earned | $ | 1,978,889,007 | $ | 1,869,187,985 | $ | 35,325,177 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
75
Table of Contents
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (2.7%) | Value | % of Net Assets | |||||||||
| Basic Materials (0.2%) |
| ||||||||||
Other Securities^ | $ | 20,487,257 | 0.2 | % | ||||||||
|
| |||||||||||
Total | 20,487,257 | |||||||||||
|
| |||||||||||
| Capital Goods (<0.1%) |
| ||||||||||
Other Securities^ | 3,439,047 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 3,439,047 | |||||||||||
|
| |||||||||||
| Communications Services (1.0%) |
| ||||||||||
Other Securities^ | 88,111,568 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 88,111,568 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (0.5%) |
| ||||||||||
Other Securities^ | 46,376,130 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 46,376,130 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (0.3%) |
| ||||||||||
Other Securities^ | 29,165,075 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 29,165,075 | |||||||||||
|
| |||||||||||
| Energy (0.2%) |
| ||||||||||
Other Securities^ | 16,200,378 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 16,200,378 | |||||||||||
|
| |||||||||||
| Financials (0.2%) |
| ||||||||||
Other Securities^ | 12,628,825 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 12,628,825 | |||||||||||
|
| |||||||||||
| Technology (0.2%) |
| ||||||||||
Other Securities^ | 13,455,227 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 13,455,227 | |||||||||||
|
| |||||||||||
| Transportation (0.1%) |
| ||||||||||
Other Securities^ | 4,654,383 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 4,654,383 | |||||||||||
|
| |||||||||||
| Utilities (<0.1%) |
| ||||||||||
Other Securities^ | 1,511,396 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 1,511,396 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $264,750,564) | 236,029,286 | |||||||||||
|
| |||||||||||
Shares | Common Stock (34.2%) | |||||||||||
| Consumer Discretionary (5.1%) |
| ||||||||||
69,742 | Amazon.com, Inc.a | 47,137,920 | 0.6 | % | ||||||||
562,784 | Comcast Corporation | 31,757,901 | 0.4 | % | ||||||||
201,800 | Home Depot, Inc. | 26,688,050 | 0.3 | % | ||||||||
437,020 | NIKE, Inc. | 27,313,750 | 0.3 | % | ||||||||
456,220 | Starbucks Corporation | 27,386,887 | 0.3 | % | ||||||||
Other Securities^ | 278,002,112 | 3.2 | % | |||||||||
|
| |||||||||||
Total | 438,286,620 | |||||||||||
|
| |||||||||||
| Consumer Staples (1.2%) |
| ||||||||||
Other Securities^ | 108,610,347 | 1.2 | % | |||||||||
|
| |||||||||||
Total | 108,610,347 | |||||||||||
|
| |||||||||||
| Energy (4.1%) |
| ||||||||||
498,580 | Chevron Corporation | 44,852,257 | 0.5 | % | ||||||||
444,114 | EOG Resources, Inc. | 31,438,830 | 0.4 | % | ||||||||
Other Securities^ | 274,782,374 | 3.2 | % | |||||||||
|
| |||||||||||
Total | 351,073,461 | |||||||||||
|
| |||||||||||
| Financials (5.9%) |
| ||||||||||
576,137 | Citigroup, Inc. | 29,815,090 | 0.4 | % | ||||||||
104,023 | Intercontinental Exchange, Inc. | 26,656,934 | 0.3 | % | ||||||||
Other Securities^ | 451,606,154 | 5.2 | % | |||||||||
|
| |||||||||||
Total | 508,078,178 | |||||||||||
|
| |||||||||||
| Health Care (4.6%) |
| ||||||||||
93,978 | Allergan plca | 29,368,125 | 0.4 | % | ||||||||
Other Securities^ | 369,710,008 | 4.2 | % | |||||||||
|
| |||||||||||
Total | 399,078,133 | |||||||||||
|
| |||||||||||
| Industrials (3.7%) |
| ||||||||||
Other Securities^ | 321,182,162 | 3.7 | % | |||||||||
|
| |||||||||||
Total | 321,182,162 | |||||||||||
|
| |||||||||||
| Information Technology (7.4%) |
| ||||||||||
37,264 | Alphabet, Inc., Class Aa | 28,991,765 | 0.3 | % | ||||||||
46,959 | Alphabet, Inc., Class Ca | 35,636,246 | 0.4 | % | ||||||||
474,599 | Apple, Inc. | 49,956,291 | 0.6 | % | ||||||||
1,074,570 | Cisco Systems, Inc. | 29,179,948 | 0.4 | % | ||||||||
492,490 | Facebook, Inc.a | 51,544,003 | 0.6 | % | ||||||||
1,019,720 | Microsoft Corporation | 56,574,066 | 0.7 | % | ||||||||
346,980 | Salesforce.com, Inc.a | 27,203,232 | 0.3 | % | ||||||||
463,930 | Visa, Inc. | 35,977,772 | 0.4 | % | ||||||||
Other Securities^ | 327,188,615 | 3.7 | % | |||||||||
|
| |||||||||||
Total | 642,251,938 | |||||||||||
|
| |||||||||||
| Materials (1.3%) |
| ||||||||||
Other Securities^ | 110,092,315 | 1.3 | % | |||||||||
|
| |||||||||||
Total | 110,092,315 | |||||||||||
|
| |||||||||||
| Telecommunications Services (0.2%) |
| ||||||||||
Other Securities^ | 21,659,298 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 21,659,298 | |||||||||||
|
| |||||||||||
| Utilities (0.7%) |
| ||||||||||
Other Securities^ | 58,691,715 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 58,691,715 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $2,788,843,693) | 2,959,004,167 | |||||||||||
|
| |||||||||||
Registered Investment Companies (30.5%) | ||||||||||||
| Affiliated Equity Holdings (17.3%) |
| ||||||||||
22,633,380 | Thrivent Large Cap Stock Portfolio | 263,160,569 | 3.1 | % | ||||||||
27,999,217 | Thrivent Large Cap Value Portfolio | 434,477,853 | 5.0 | % | ||||||||
13,836,768 | Thrivent Mid Cap Stock Portfolio | 231,468,373 | 2.7 | % | ||||||||
55,766,496 | Thrivent Partner Worldwide Allocation Portfolio | 502,110,376 | 5.8 | % | ||||||||
4,191,815 | Thrivent Small Cap Stock Portfolio | 65,083,371 | 0.7 | % | ||||||||
|
| |||||||||||
Total | 1,496,300,542 | |||||||||||
|
| |||||||||||
| Affiliated Fixed Income Holdings (10.9%) |
| ||||||||||
33,504,358 | Thrivent High Yield Portfolio | 150,029,163 | 1.7 | % | ||||||||
50,025,346 | Thrivent Income Portfolio | 491,779,169 | 5.7 | % | ||||||||
31,116,627 | Thrivent Limited Maturity Bond Portfolio | 302,550,074 | 3.5 | % | ||||||||
|
| |||||||||||
Total | 944,358,406 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
76
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (30.5%) | Value | % of Net Assets | |||||||||
| Equity Funds/ETFs (0.7%) |
| ||||||||||
17,330 | iShares MSCI EAFE Index Fund | $ | 1,018,137 | <0.1 | % | |||||||
25,871 | iShares Russell 2000 Growth Index Fundb | 3,606,676 | <0.1 | % | ||||||||
45,371 | iShares Russell 2000 Index Fundb | 5,104,691 | 0.1 | % | ||||||||
133,194 | SPDR S&P 500 ETF Trustb | 27,156,925 | 0.3 | % | ||||||||
Other Securities^ | 27,927,043 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 64,813,472 | |||||||||||
|
| |||||||||||
| Fixed Income Funds/ETFs (1.6%) |
| ||||||||||
123,000 | iShares Barclays 1-3 Year Credit Bond Fund | 12,865,800 | 0.2 | % | ||||||||
943,700 | iShares iBoxx $ High Yield Corporate Bond ETFb | 76,043,346 | 0.9 | % | ||||||||
392,650 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 44,766,027 | 0.5 | % | ||||||||
|
| |||||||||||
Total | 133,675,173 | |||||||||||
|
| |||||||||||
Total Registered Investment Companies (cost $2,501,718,543) | 2,639,147,593 | |||||||||||
|
| |||||||||||
Principal Amount | Long-Term Fixed Income (26.7%) | |||||||||||
| Asset-Backed Securities (1.2%) |
| ||||||||||
U.S. Small Business Administration | ||||||||||||
$922,210 | 3.191%, 3/10/2024 | 957,742 | <0.1 | % | ||||||||
Other Securities^ | 99,489,742 | 1.2 | % | |||||||||
|
| |||||||||||
Total | 100,447,484 | |||||||||||
|
| |||||||||||
| Basic Materials (0.2%) |
| ||||||||||
Other Securities^ | 13,538,585 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 13,538,585 | |||||||||||
|
| |||||||||||
| Capital Goods (0.4%) |
| ||||||||||
Other Securities^ | 32,210,597 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 32,210,597 | |||||||||||
|
| |||||||||||
| Collateralized Mortgage Obligations (1.4%) |
| ||||||||||
Federal Home Loan Mortgage Corporation | ||||||||||||
4,887,267 | 3.000%, 2/15/2033c | 601,302 | <0.1 | % | ||||||||
Federal National Mortgage Association | ||||||||||||
10,071,275 | 3.500%, 1/25/2033c | 1,356,184 | <0.1 | % | ||||||||
Other Securities^ | 115,946,861 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 117,904,347 | |||||||||||
|
| |||||||||||
| Commercial Mortgage-Backed Securities (1.1%) |
| ||||||||||
Federal National Mortgage Association | ||||||||||||
813,953 | 1.272%, 1/25/2017 | 813,984 | <0.1 | % | ||||||||
Other Securities^ | 97,610,383 | 1.1 | % | |||||||||
|
| |||||||||||
Total | 98,424,367 | |||||||||||
|
| |||||||||||
| Communications Services (1.0%) |
| ||||||||||
Other Securities^ | 83,195,443 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 83,195,443 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (0.5%) |
| ||||||||||
Other Securities^ | 46,990,436 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 46,990,436 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (1.0%) |
| ||||||||||
Other Securities^ | 83,647,758 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 83,647,758 | |||||||||||
|
| |||||||||||
| Energy (0.6%) |
| ||||||||||
Other Securities^ | 51,641,366 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 51,641,366 | |||||||||||
|
| |||||||||||
| Financials (2.1%) |
| ||||||||||
Other Securities^ | 182,113,427 | 2.1 | % | |||||||||
|
| |||||||||||
Total | 182,113,427 | |||||||||||
|
| |||||||||||
| Foreign Government (<0.1%) |
| ||||||||||
Other Securities^ | 2,562,546 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 2,562,546 | |||||||||||
|
| |||||||||||
| Industrials Other (<0.1%) |
| ||||||||||
Other Securities^ | 2,346,000 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 2,346,000 | |||||||||||
|
| |||||||||||
| Mortgage-Backed Securities (8.9%) |
| ||||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||||||
57,995,000 | 3.000%, 1/1/2031d | 59,762,316 | 0.7 | % | ||||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||||||
48,845,000 | 4.000%, 1/1/2046d | 51,599,204 | 0.6 | % | ||||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||||||
37,675,000 | 3.500%, 1/1/2030d | 39,454,277 | 0.4 | % | ||||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||||||
319,550,000 | 3.500%, 1/1/2046d | 329,687,149 | 3.8 | % | ||||||||
163,432,500 | 4.000%, 1/1/2046d | 172,939,679 | 2.0 | % | ||||||||
87,794,000 | 4.500%, 1/1/2046d | 94,806,546 | 1.1 | % | ||||||||
23,814,656 | 1.728% - 2.069%, 7/1/2043 - 8/1/2043e | 24,369,003 | 0.3 | % | ||||||||
|
| |||||||||||
Total | 772,618,174 | |||||||||||
|
| |||||||||||
| Technology (0.4%) |
| ||||||||||
Other Securities^ | 36,767,849 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 36,767,849 | |||||||||||
|
| |||||||||||
| Transportation (0.2%) |
| ||||||||||
Other Securities^ | 16,306,379 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 16,306,379 | |||||||||||
|
| |||||||||||
| U.S. Government and Agencies (7.2%) |
| ||||||||||
Federal National Mortgage Association | ||||||||||||
540,000 | 6.250%, 5/15/2029 | 732,117 | <0.1 | % | ||||||||
Tennessee Valley Authority | ||||||||||||
520,000 | 5.250%, 9/15/2039 | 624,985 | <0.1 | % | ||||||||
U.S. Treasury Bonds | ||||||||||||
66,460,000 | 3.000%, 5/15/2042 | 66,870,191 | 0.8 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
77
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | % of Net Assets | |||||||||
| U.S. Government and Agencies (7.2%) - continued |
| ||||||||||
$ | 7,725,000 | 4.375% - 5.250%, 11/15/2028 - 5/15/2040 | $ | 9,949,370 | 0.1 | % | ||||||
U.S. Treasury Bonds, TIPS | ||||||||||||
5,590,602 | 0.125% - 2.375%, 4/15/2019 - 2/15/2042 | 5,478,215 | <0.1 | % | ||||||||
U.S. Treasury Notes | ||||||||||||
30,000,000 | 0.625%, 10/15/2016 | 29,971,860 | 0.3 | % | ||||||||
70,050,000 | 0.875%, 11/15/2017 | 69,806,436 | 0.8 | % | ||||||||
112,320,000 | 1.500%, 10/31/2019f | 111,969,000 | 1.3 | % | ||||||||
40,359,000 | 1.875%, 6/30/2020 | 40,641,190 | 0.5 | % | ||||||||
76,185,000 | 1.375%, 9/30/2020 | 74,869,590 | 0.9 | % | ||||||||
68,135,000 | 2.250%, 11/15/2024 | 68,100,387 | 0.8 | % | ||||||||
50,250,000 | 3.625%, 2/15/2044 | 56,527,331 | 0.7 | % | ||||||||
21,105,000 | 0.875% - 2.125%, 10/15/2018 - 8/15/2022 | 20,805,155 | 0.2 | % | ||||||||
U.S. Treasury Notes, TIPS | ||||||||||||
31,278,560 | 0.125%, 4/15/2018 | 31,218,286 | 0.4 | % | ||||||||
34,936,051 | 0.125%, 1/15/2023 | 33,496,302 | 0.4 | % | ||||||||
809,146 | 0.125%, 1/15/2022 | 784,103 | <0.1 | % | ||||||||
|
| |||||||||||
Total | 621,844,518 | |||||||||||
|
| |||||||||||
| U.S. Municipals (<0.1%) | |||||||||||
Other Securities^ | 2,500,000 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 2,500,000 | |||||||||||
|
| |||||||||||
| Utilities (0.5%) |
| ||||||||||
Other Securities^ | 46,459,561 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 46,459,561 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $2,319,714,712) | 2,311,518,837 | |||||||||||
|
| |||||||||||
Shares | Collateral Held for Securities Loaned (2.1%) | |||||||||||
182,839,267 | Thrivent Cash Management Trust | 182,839,267 | 2.1 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $182,839,267) | 182,839,267 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (14.4%)g | |||||||||||
Federal Home Loan Bank Discount Notes | ||||||||||||
74,788,000 | 0.099%, 1/4/2016 | 74,787,383 | 0.9 | % | ||||||||
35,000,000 | 0.100%, 1/5/2016 | 34,999,611 | 0.4 | % | ||||||||
48,085,000 | 0.102%, 1/6/2016 | 48,084,318 | 0.5 | % | ||||||||
102,300,000 | 0.110%, 1/8/2016 | 102,297,814 | 1.2 | % | ||||||||
103,900,000 | 0.161%, 1/13/2016 | 103,894,415 | 1.2 | % | ||||||||
50,300,000 | 0.111%, 1/15/2016 | 50,297,838 | 0.6 | % | ||||||||
38,000,000 | 0.130%, 1/20/2016 | 37,997,387 | 0.4 | % | ||||||||
34,000,000 | 0.116%, 1/21/2016 | 33,997,814 | 0.4 | % | ||||||||
31,700,000 | 0.117%, 1/22/2016 | 31,697,834 | 0.4 | % | ||||||||
29,956,000 | 0.197%, 1/27/2016 | 29,951,746 | 0.3 | % | ||||||||
68,700,000 | 0.219%, 2/3/2016 | 68,686,226 | 0.8 | % | ||||||||
43,000,000 | 0.263%, 2/19/2016 | 42,984,626 | 0.5 | % | ||||||||
30,000,000 | 0.265%, 2/22/2016 | 29,988,517 | 0.3 | % | ||||||||
250,518,000 | 0.100% - 0.420%, 1/7/2016 - 3/18/2016 | 250,417,217 | 3.0 | % | ||||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||||||
53,541,000 | 0.072% - 0.250%, 1/5/2016 - 2/17/2016h | $ | 53,533,847 | 0.6 | % | |||||||
Federal National Mortgage Association Discount Notes | ||||||||||||
37,500,000 | 0.070% - 0.230%, 1/4/2016 - 2/10/2016h | 37,496,067 | 0.4 | % | ||||||||
Thrivent Cash Management Trust | ||||||||||||
213,007,058 | 0.220% | 213,007,058 | 2.5 | % | ||||||||
Other Securities^ | 2,999,990 | <0.1 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 1,247,119,708 | |||||||||||
|
| |||||||||||
Total Investments (cost $9,304,986,487) 110.6% | $ | 9,575,658,858 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (10.6%) | (918,404,044 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 8,657,254,814 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
d | Denotes investments purchased on a when-issued or delayed delivery basis. |
e | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
f | At December 31, 2015, $1,560,109 of investments were segregated to cover exposure to a counterparty for margin on open mortgage-backed security transactions. |
g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
h | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Moderate Allocation Portfolio held restricted securities as of December 31, 2015. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. As of December 31, 2015, the value of these investments was $103,358,651 or 1.2% of total net assets.
The accompanying Notes to Financial Statements are an integral part of this schedule.
78
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Moderate Allocation Portfolio as of December 31, 2015:
Securities Lending Transactions |
| |||
Taxable Debt Security | $ | 12,654,977 | ||
Common Stock | 165,441,116 | |||
|
| |||
Total lending | $ | 178,096,093 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 182,839,267 | ||
|
| |||
Net amounts due to counterparty | $ | 4,743,174 | ||
|
|
Definitions:
ETF | - | Exchange Traded Fund. | ||
TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 562,160,896 | ||
Gross unrealized depreciation | (310,946,063 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 251,214,833 | ||
Cost for federal income tax purposes | $ | 9,324,444,025 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
79
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Moderate Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 20,487,257 | — | 15,220,811 | 5,266,446 | ||||||||||||
Capital Goods | 3,439,047 | — | 3,439,047 | — | ||||||||||||
Communications Services | 88,111,568 | — | 76,127,946 | 11,983,622 | ||||||||||||
Consumer Cyclical | 46,376,130 | — | 46,376,130 | — | ||||||||||||
Consumer Non-Cyclical | 29,165,075 | — | 28,279,744 | 885,331 | ||||||||||||
Energy | 16,200,378 | — | 5,244,115 | 10,956,263 | ||||||||||||
Financials | 12,628,825 | — | 12,628,825 | — | ||||||||||||
Technology | 13,455,227 | — | 13,450,330 | 4,897 | ||||||||||||
Transportation | 4,654,383 | — | 4,654,383 | — | ||||||||||||
Utilities | 1,511,396 | — | 1,511,396 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 438,286,620 | 426,730,233 | 11,556,387 | — | ||||||||||||
Consumer Staples | 108,610,347 | 98,390,883 | 10,219,464 | — | ||||||||||||
Energy | 351,073,461 | 349,028,762 | 2,044,699 | — | ||||||||||||
Financials | 508,078,178 | 485,516,074 | 22,562,104 | — | ||||||||||||
Health Care | 399,078,133 | 392,500,913 | 6,577,220 | — | ||||||||||||
Industrials | 321,182,162 | 309,202,747 | 11,979,415 | — | ||||||||||||
Information Technology | 642,251,938 | 637,299,909 | 4,952,029 | — | ||||||||||||
Materials | 110,092,315 | 104,187,715 | 5,904,600 | — | ||||||||||||
Telecommunications Services | 21,659,298 | 16,391,541 | 5,267,757 | — | ||||||||||||
Utilities | 58,691,715 | 56,851,056 | 1,840,659 | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Affiliated Equity Holdings | 1,496,300,542 | 1,496,300,542 | — | — | ||||||||||||
Affiliated Fixed Income Holdings | 944,358,406 | 944,358,406 | — | — | ||||||||||||
Fixed Income Funds/ETFs | 133,675,173 | 133,675,173 | — | — | ||||||||||||
Equity Funds/ETFs | 64,813,472 | 64,813,472 | — | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 100,447,484 | — | 100,447,484 | — | ||||||||||||
Basic Materials | 13,538,585 | — | 13,538,585 | — | ||||||||||||
Capital Goods | 32,210,597 | — | 32,210,597 | — | ||||||||||||
Collateralized Mortgage Obligations | 117,904,347 | — | 117,904,347 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 98,424,367 | — | 98,424,367 | — | ||||||||||||
Communications Services | 83,195,443 | — | 83,195,443 | — | ||||||||||||
Consumer Cyclical | 46,990,436 | — | 46,990,436 | — | ||||||||||||
Consumer Non-Cyclical | 83,647,758 | — | 83,647,758 | — | ||||||||||||
Energy | 51,641,366 | — | 51,641,366 | — | ||||||||||||
Financials | 182,113,427 | — | 182,113,427 | — | ||||||||||||
Foreign Government | 2,562,546 | — | 2,562,546 | — | ||||||||||||
Industrials Other | 2,346,000 | — | 2,346,000 | — | ||||||||||||
Mortgage-Backed Securities | 772,618,174 | — | 772,618,174 | — | ||||||||||||
Technology | 36,767,849 | — | 36,767,849 | — | ||||||||||||
Transportation | 16,306,379 | — | 16,306,379 | — | ||||||||||||
U.S. Government and Agencies | 621,844,518 | — | 621,844,518 | — | ||||||||||||
U.S. Municipals | 2,500,000 | — | 2,500,000 | — | ||||||||||||
Utilities | 46,459,561 | — | 46,459,561 | — | ||||||||||||
Collateral Held for Securities Loaned | 182,839,267 | 182,839,267 | — | — | ||||||||||||
Short-Term Investments | 1,247,119,708 | 213,007,058 | 1,034,112,650 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 9,575,658,858 | $ | 5,911,093,751 | $ | 3,635,468,548 | $ | 29,096,559 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 16,162,399 | 16,162,399 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 16,162,399 | $ | 16,162,399 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 3,126,069 | 3,126,069 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 3,126,069 | $ | 3,126,069 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
80
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Moderate Allocation Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $78,455,289 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (2,679 | ) | March 2016 | ($ | 582,757,914 | ) | ($ | 581,970,904 | ) | $ | 787,010 | |||||||||
5-Yr. U.S. Treasury Bond Futures | 3,153 | March 2016 | 373,719,837 | 373,063,938 | (655,899 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | 1,744 | March 2016 | 220,212,665 | 219,580,500 | (632,165 | ) | ||||||||||||||
30-Yr. U.S. Treasury Bond Futures | 473 | March 2016 | 72,411,116 | 72,723,750 | 312,634 | |||||||||||||||
CME E-mini NASDAQ 100 Index | (3,306 | ) | March 2016 | (304,783,453 | ) | (303,342,030 | ) | 1,441,423 | ||||||||||||
Eurex Euro STOXX 50 Index | 8,777 | March 2016 | 304,557,747 | 312,098,243 | 7,540,496 | |||||||||||||||
ICE mini MSCI EAFE Index | 2,436 | March 2016 | 202,838,656 | 206,840,760 | 4,002,104 | |||||||||||||||
NYBOT NYF mini Russell 2000 Index | 832 | March 2016 | 94,600,397 | 94,140,800 | (459,597 | ) | ||||||||||||||
S&P 400 Index Mini-Futures | (2,299 | ) | March 2016 | (322,169,304 | ) | (320,365,650 | ) | 1,803,654 | ||||||||||||
S&P 500 Futures | 548 | March 2016 | 279,597,272 | 278,849,800 | (747,472 | ) | ||||||||||||||
S&P 500 Mini-Futures | (300 | ) | March 2016 | (29,900,064 | ) | (30,531,000 | ) | (630,936 | ) | |||||||||||
Ultra Long Term U.S. Treasury Bond Futures | 222 | March 2016 | 34,953,547 | 35,228,625 | 275,078 | |||||||||||||||
Total Futures Contracts | $ | 13,036,330 |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Moderate Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 1,374,722 | |||
Total Interest Rate Contracts | 1,374,722 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 14,787,677 | ||||
Total Equity Contracts | 14,787,677 | |||||
|
| |||||
Total Asset Derivatives | $ | 16,162,399 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,288,064 | ||||
Total Interest Rate Contracts | 1,288,064 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,838,005 | ||||
Total Equity Contracts | 1,838,005 | |||||
|
| |||||
Total Liability Derivatives | $ | 3,126,069 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Moderate Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 74,130,842 | ||||
Total Equity Contracts | 74,130,842 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 9,012,545 | ||||
Total Interest Rate Contracts | 9,012,545 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 315,147 | ||||
Total Credit Contracts | 315,147 | |||||
|
| |||||
Total | $ | 83,458,534 | ||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
81
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Moderate Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/ (depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (17,465,140 | ) | |||
Total Interest Rate Contracts | (17,465,140 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (29,563,690 | ) | |||
Total Equity Contracts | (29,563,690 | ) | ||||
|
| |||||
Total | ($ | 47,028,830 | ) | |||
|
|
The following table presents Moderate Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Swaps (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 1,727,610,466 | 19.6 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 1,402,771,436 | 15.9 | N/A | N/A | ||||||||||||
Credit Contracts | N/A | N/A | $ | 107,701 | <0.1 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Moderate Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Partner Small Cap Value | $ | 127,064,959 | $ | 10,616,023 | $ | 126,695,501 | — | $ | — | $ | 1,233,943 | |||||||||||||
Small Cap Stock | 67,186,286 | 9,134,124 | — | 4,191,815 | 65,083,371 | 303,936 | ||||||||||||||||||
Partner Mid Cap Value | 130,503,721 | 16,047,509 | 127,932,864 | — | — | 725,053 | ||||||||||||||||||
Mid Cap Stock | 231,277,457 | 26,464,025 | — | 13,836,768 | 231,468,373 | 1,379,092 | ||||||||||||||||||
Partner Worldwide Allocation | 506,078,515 | 12,919,974 | — | 55,766,496 | 502,110,376 | 12,919,974 | ||||||||||||||||||
Large Cap Value | 450,386,356 | 19,015,791 | — | 27,999,217 | 434,477,853 | 5,760,617 | ||||||||||||||||||
Large Cap Stock | 255,211,795 | 22,742,846 | — | 22,633,380 | 263,160,569 | 3,082,687 | ||||||||||||||||||
High Yield | 188,836,063 | 10,576,076 | 35,335,728 | 33,504,358 | 150,029,163 | 10,575,477 | ||||||||||||||||||
Income | 623,098,599 | 35,715,961 | 128,561,941 | 50,025,346 | 491,779,169 | 22,006,765 | ||||||||||||||||||
Limited Maturity Bond | 372,457,698 | 8,244,440 | 75,134,562 | 31,116,627 | 302,550,074 | 5,947,553 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | 67,749,452 | 1,073,686,824 | 958,597,009 | 182,839,267 | 182,839,267 | 698,601 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | — | 431,227,409 | 218,220,351 | 213,007,058 | 213,007,058 | 59,438 | ||||||||||||||||||
Total Value and Income Earned | $ | 3,019,850,901 | $ | 2,836,505,273 | $ | 64,693,136 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
82
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (3.9%) | Value | % of Net Assets | |||||||||
| Basic Materials (0.2%) |
| ||||||||||
Other Securities^ | $ | 9,625,640 | 0.2 | % | ||||||||
|
| |||||||||||
Total | 9,625,640 | |||||||||||
|
| |||||||||||
| Capital Goods (0.1%) |
| ||||||||||
Other Securities^ | 6,061,526 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 6,061,526 | |||||||||||
|
| |||||||||||
| Communications Services (1.4%) |
| ||||||||||
Other Securities^ | 55,399,644 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 55,399,644 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (0.7%) |
| ||||||||||
Other Securities^ | 30,158,380 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 30,158,380 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (0.5%) |
| ||||||||||
Other Securities^ | 20,243,446 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 20,243,446 | |||||||||||
|
| |||||||||||
| Energy (0.2%) |
| ||||||||||
Other Securities^ | 6,527,465 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 6,527,465 | |||||||||||
|
| |||||||||||
| Financials (0.2%) |
| ||||||||||
Other Securities^ | 7,726,528 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 7,726,528 | |||||||||||
|
| |||||||||||
| Technology (0.3%) |
| ||||||||||
Other Securities^ | 12,268,616 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 12,268,616 | |||||||||||
|
| |||||||||||
| Transportation (0.2%) |
| ||||||||||
Other Securities^ | 7,179,820 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 7,179,820 | |||||||||||
|
| |||||||||||
| Utilities (0.1%) |
| ||||||||||
Other Securities^ | 3,304,416 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 3,304,416 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $170,279,759) | 158,495,481 | |||||||||||
|
| |||||||||||
Long-Term Fixed Income (38.4%) | ||||||||||||
| Asset-Backed Securities (1.6%) |
| ||||||||||
U.S. Small Business Administration | ||||||||||||
$ | 396,550 | 3.191%, 3/10/2024 | 411,829 | <0.1 | % | |||||||
Other Securities^ | 65,241,142 | 1.6 | % | |||||||||
|
| |||||||||||
Total | 65,652,971 | |||||||||||
|
| |||||||||||
| Basic Materials (0.3%) |
| ||||||||||
Other Securities^ | 9,895,241 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 9,895,241 | |||||||||||
|
| |||||||||||
| Capital Goods (0.5%) |
| ||||||||||
Other Securities^ | 21,658,653 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 21,658,653 | |||||||||||
|
| |||||||||||
| Collateralized Mortgage Obligations (1.7%) |
| ||||||||||
Federal Home Loan Mortgage Corporation | ||||||||||||
13,502,250 | 3.000% - 3.000%, 4/15/2028 - 2/15/2033a | 1,462,936 | <0.1 | % | ||||||||
Federal National Mortgage Association | ||||||||||||
11,297,992 | 3.500%, 1/25/2033a | 1,521,372 | <0.1 | % | ||||||||
Other Securities^ | 69,693,884 | 1.7 | % | |||||||||
|
| |||||||||||
Total | 72,678,192 | |||||||||||
|
| |||||||||||
| Commercial Mortgage-Backed Securities (1.6%) |
| ||||||||||
Federal National Mortgage Association | ||||||||||||
1,106,976 | 1.272%, 1/25/2017 | 1,107,018 | <0.1 | % | ||||||||
Other Securities^ | 64,548,215 | 1.6 | % | |||||||||
|
| |||||||||||
Total | 65,655,233 | |||||||||||
|
| |||||||||||
| Communications Services (1.4%) |
| ||||||||||
Other Securities^ | 59,017,038 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 59,017,038 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (0.8%) |
| ||||||||||
Other Securities^ | 31,118,145 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 31,118,145 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (1.4%) |
| ||||||||||
Other Securities^ | 57,001,359 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 57,001,359 | |||||||||||
|
| |||||||||||
| Energy (0.9%) |
| ||||||||||
Other Securities^ | 36,295,233 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 36,295,233 | |||||||||||
|
| |||||||||||
| Financials (3.1%) |
| ||||||||||
Other Securities^ | 128,425,513 | 3.1 | % | |||||||||
|
| |||||||||||
Total | 128,425,513 | |||||||||||
|
| |||||||||||
| Foreign Government (<0.1%) |
| ||||||||||
Other Securities^ | 1,639,909 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 1,639,909 | |||||||||||
|
| |||||||||||
| Industrials Other (<0.1%) |
| ||||||||||
Other Securities^ | 1,326,000 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 1,326,000 | |||||||||||
|
| |||||||||||
| Mortgage-Backed Securities (12.8%) |
| ||||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||||||
42,100,000 | 3.000%, 1/1/2031b | 43,382,939 | 1.1 | % | ||||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||||||
33,600,000 | 4.000%, 1/1/2046b | 35,494,590 | 0.9 | % | ||||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||||||
21,275,000 | 3.500%, 1/1/2030b | 22,279,754 | 0.5 | % | ||||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||||||
228,650,000 | 3.500%, 1/1/2046b | 235,903,510 | 5.8 | % | ||||||||
111,750,000 | 4.000%, 1/1/2046b | 118,250,710 | 2.9 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
83
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | % of Net Assets | |||||||||
| Mortgage-Backed Securities (12.8%) - continued |
| ||||||||||
$56,846,000 | 4.500%, 1/1/2046b | $ | 61,386,574 | 1.5 | % | |||||||
5,785,328 | 1.728%, 7/1/2043c | 5,882,317 | 0.1 | % | ||||||||
|
| |||||||||||
Total | 522,580,394 | |||||||||||
|
| |||||||||||
| Technology (0.6%) |
| ||||||||||
Other Securities^ | 25,551,770 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 25,551,770 | |||||||||||
|
| |||||||||||
| Transportation (0.3%) |
| ||||||||||
Other Securities^ | 10,899,999 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 10,899,999 | |||||||||||
|
| |||||||||||
| U.S. Government and Agencies (10.5%) |
| ||||||||||
Federal National Mortgage Association | ||||||||||||
205,000 | 6.250%, 5/15/2029 | 277,933 | <0.1 | % | ||||||||
Tennessee Valley Authority | ||||||||||||
200,000 | 5.250%, 9/15/2039 | 240,379 | <0.1 | % | ||||||||
U.S. Treasury Bonds | ||||||||||||
1,075,000 | 4.375%, 5/15/2040 | 1,352,652 | <0.1 | % | ||||||||
U.S. Treasury Bonds, TIPS | ||||||||||||
2,560,890 | 0.125% - 2.375%, 4/15/2019 - 2/15/2042 | 2,507,386 | <0.1 | % | ||||||||
U.S. Treasury Notes | ||||||||||||
23,000,000 | 0.625%, 10/15/2016 | 22,978,426 | 0.6 | % | ||||||||
23,220,000 | 0.875%, 11/15/2017 | 23,139,264 | 0.6 | % | ||||||||
41,710,000 | 1.500%, 10/31/2019 | 41,579,656 | 1.0 | % | ||||||||
59,409,000 | 1.875%, 6/30/2020 | 59,824,388 | 1.5 | % | ||||||||
79,080,000 | 1.375%, 9/30/2020 | 77,714,605 | 1.9 | % | ||||||||
41,325,000 | 2.125%, 6/30/2022 | 41,538,072 | 1.0 | % | ||||||||
10,765,000 | 1.625%, 8/15/2022 | 10,485,358 | 0.3 | % | ||||||||
49,630,000 | 2.250%, 11/15/2024 | 49,604,788 | 1.2 | % | ||||||||
56,100,000 | 3.625%, 2/15/2044d | 63,108,124 | 1.5 | % | ||||||||
U.S. Treasury Notes, TIPS | ||||||||||||
28,500,530 | 0.125%, 4/15/2018 | 28,445,609 | 0.7 | % | ||||||||
7,599,638 | 0.125% - 0.125%, 1/15/2022 - 1/15/2023 | 7,289,360 | 0.2 | % | ||||||||
|
| |||||||||||
Total | 430,086,000 | |||||||||||
|
| |||||||||||
| Utilities (0.9%) |
| ||||||||||
Other Securities^ | 35,905,514 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 35,905,514 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $1,583,475,148) | 1,575,387,164 | |||||||||||
|
| |||||||||||
Shares | Registered Investment Companies (28.3%) | |||||||||||
| Affiliated Equity Holdings (9.6%) |
| ||||||||||
2,552,346 | Thrivent Large Cap Stock Portfolio | 29,676,377 | 0.7 | % | ||||||||
8,148,101 | Thrivent Large Cap Value Portfolio | 126,438,164 | 3.1 | % | ||||||||
3,484,569 | Thrivent Mid Cap Stock Portfolio | 58,291,611 | 1.4 | % | ||||||||
16,564,901 | Thrivent Partner Worldwide Allocation Portfolio | 149,147,055 | 3.7 | % | ||||||||
1,881,929 | Thrivent Small Cap Stock Portfolio | 29,219,401 | 0.7 | % | ||||||||
|
| |||||||||||
Total | 392,772,608 | |||||||||||
|
| |||||||||||
| Affiliated Fixed Income Holdings (16.1%) |
| ||||||||||
23,219,536 | Thrivent High Yield Portfolio | 103,974,761 | 2.5 | % | ||||||||
34,176,224 | Thrivent Income Portfolio | 335,972,791 | 8.2 | % | ||||||||
22,704,285 | Thrivent Limited Maturity Bond Portfolio | 220,756,038 | 5.4 | % | ||||||||
|
| |||||||||||
Total | 660,703,590 | |||||||||||
|
| |||||||||||
| Equity Funds/ETFs (0.5%) |
| ||||||||||
3,280 | iShares Russell 2000 Growth Index Funde | 457,265 | <0.1 | % | ||||||||
12,019 | iShares Russell 2000 Index Funde | 1,352,258 | <0.1 | % | ||||||||
Other Securities^ | 18,232,942 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 20,042,465 | |||||||||||
|
| |||||||||||
| Fixed Income Funds/ETFs (2.1%) |
| ||||||||||
72,000 | iShares Barclays 1-3 Year Credit Bond Fund | 7,531,200 | 0.2 | % | ||||||||
694,000 | iShares iBoxx $ High Yield Corporate Bond ETFe | 55,922,520 | 1.3 | % | ||||||||
214,400 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 24,443,744 | 0.6 | % | ||||||||
|
| |||||||||||
Total | 87,897,464 | |||||||||||
|
| |||||||||||
Total Registered Investment Companies (cost $1,128,666,731) | 1,161,416,127 | |||||||||||
|
| |||||||||||
Common Stock (21.4%) | ||||||||||||
| Consumer Discretionary (3.1%) |
| ||||||||||
22,246 | Amazon.com, Inc.f | 15,035,849 | 0.4 | % | ||||||||
220,733 | Comcast Corporation | 12,455,963 | 0.3 | % | ||||||||
Other Securities^ | 99,391,522 | 2.4 | % | |||||||||
|
| |||||||||||
Total | 126,883,334 | |||||||||||
|
| |||||||||||
| Consumer Staples (0.8%) |
| ||||||||||
Other Securities^ | 34,061,943 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 34,061,943 | |||||||||||
|
| |||||||||||
| Energy (2.6%) |
| ||||||||||
170,460 | Chevron Corporation | 15,334,582 | 0.4 | % | ||||||||
146,972 | EOG Resources, Inc. | 10,404,148 | 0.3 | % | ||||||||
Other Securities^ | 82,390,199 | 1.9 | % | |||||||||
|
| |||||||||||
Total | 108,128,929 | |||||||||||
|
| |||||||||||
| Financials (3.6%) |
| ||||||||||
233,428 | Citigroup, Inc. | 12,079,899 | 0.3 | % | ||||||||
Other Securities^ | 133,455,640 | 3.3 | % | |||||||||
|
| |||||||||||
Total | 145,535,539 | |||||||||||
|
| |||||||||||
| Health Care (2.9%) |
| ||||||||||
Other Securities^ | 120,615,728 | 2.9 | % | |||||||||
|
| |||||||||||
Total | 120,615,728 | |||||||||||
|
| |||||||||||
| Industrials (2.2%) |
| ||||||||||
Other Securities^ | 88,073,366 | 2.2 | % | |||||||||
|
| |||||||||||
Total | 88,073,366 | |||||||||||
|
| |||||||||||
| Information Technology (4.8%) |
| ||||||||||
16,411 | Alphabet, Inc., Class Cf | 12,453,980 | 0.3 | % | ||||||||
158,274 | Apple, Inc. | 16,659,921 | 0.4 | % | ||||||||
478,060 | Cisco Systems, Inc. | 12,981,719 | 0.3 | % | ||||||||
165,170 | Facebook, Inc.f | 17,286,692 | 0.4 | % | ||||||||
386,860 | Microsoft Corporation | 21,462,993 | 0.6 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
84
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MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
% of Net | ||||||||||||
Shares | Common Stock (21.4%) | Value | Assets | |||||||||
| Information Technology (4.8%) - continued |
| ||||||||||
148,900 | Visa, Inc. | $ | 11,547,195 | 0.3 | % | |||||||
Other Securities^ | 103,639,008 | 2.5 | % | |||||||||
|
| |||||||||||
Total | 196,031,508 | |||||||||||
|
| |||||||||||
| Materials (0.8%) |
| ||||||||||
Other Securities^ | 31,871,338 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 31,871,338 | |||||||||||
|
| |||||||||||
| Telecommunications Services (0.1%) |
| ||||||||||
Other Securities^ | 5,872,185 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 5,872,185 | |||||||||||
|
| |||||||||||
| Utilities (0.5%) |
| ||||||||||
Other Securities^ | 19,227,841 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 19,227,841 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $808,663,190) | 876,301,711 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (1.7%) | ||||||||||||
68,616,520 | Thrivent Cash Management Trust | 68,616,520 | 1.7 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $68,616,520) | 68,616,520 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (20.6%)g | |||||||||||
Federal Home Loan Bank Discount Notes | ||||||||||||
46,000,000 | 0.100%, 1/4/2016 | 45,999,615 | 1.1 | % | ||||||||
15,000,000 | 0.100%, 1/5/2016 | 14,999,833 | 0.4 | % | ||||||||
54,000,000 | 0.103%, 1/6/2016 | 53,999,225 | 1.3 | % | ||||||||
57,000,000 | 0.111%, 1/8/2016 | 56,998,766 | 1.4 | % | ||||||||
20,000,000 | 0.105%, 1/11/2016 | 19,999,417 | 0.5 | % | ||||||||
44,500,000 | 0.141%, 1/13/2016 | 44,497,902 | 1.1 | % | ||||||||
48,000,000 | 0.110%, 1/15/2016 | 47,997,947 | 1.2 | % | ||||||||
43,300,000 | 0.123%, 1/20/2016 | 43,297,190 | 1.1 | % | ||||||||
37,000,000 | 0.115%, 1/21/2016 | 36,997,636 | 0.9 | % | ||||||||
22,080,000 | 0.119%, 1/22/2016 | 22,078,468 | 0.5 | % | ||||||||
15,000,000 | 0.230%, 1/26/2016 | 14,997,604 | 0.4 | % | ||||||||
25,000,000 | 0.135%, 1/29/2016 | 24,997,375 | 0.6 | % | ||||||||
38,000,000 | 0.239%, 2/3/2016 | 37,991,667 | 0.9 | % | ||||||||
26,200,000 | 0.223%, 2/5/2016 | 26,194,313 | 0.6 | % | ||||||||
12,563,000 | 0.220%, 2/10/2016 | 12,559,929 | 0.3 | % | ||||||||
34,000,000 | 0.265%, 2/19/2016 | 33,987,730 | 0.8 | % | ||||||||
20,000,000 | 0.265%, 2/22/2016 | 19,992,344 | 0.5 | % | ||||||||
26,500,000 | 0.320%, 2/24/2016 | 26,487,265 | 0.6 | % | ||||||||
21,000,000 | 0.300%, 2/25/2016 | 20,990,375 | 0.5 | % | ||||||||
30,000,000 | 0.363%, 3/16/2016 | 29,977,344 | 0.7 | % | ||||||||
44,300,000 | 0.120% - 0.420%, 1/19/2016 - 3/21/2016 | 44,279,963 | 1.1 | % | ||||||||
Federal National Mortgage Association Discount Notes | ||||||||||||
11,900,000 | 0.070%, 1/8/2016h | 11,899,838 | 0.3 | % | ||||||||
18,100,000 | 0.064% - 0.230%, 1/14/2016 - 1/27/2016d,h | 18,098,530 | 0.5 | % | ||||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||||||
12,600,000 | 0.100% - 0.200%, 1/8/2016 - 2/17/2016h | 12,598,050 | 0.3 | % | ||||||||
Thrivent Cash Management Trust | ||||||||||||
118,807,605 | 0.220% | 118,807,605 | 2.9 | % | ||||||||
Other Securities^ | 3,499,409 | 0.1 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 844,225,340 | |||||||||||
|
| |||||||||||
Total Investments (cost $4,603,926,688) 114.3% | $ | 4,684,442,343 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (14.3%) | (584,334,503 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 4,100,107,840 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
b | Denotes investments purchased on a when-issued or delayed delivery basis. |
c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
d | At December 31, 2015, $1,025,557 of investments were segregated to cover exposure to a counterparty for margin on open mortgage-backed security transactions. |
e | All or a portion of the security is on loan. |
f | Non-income producing security. |
g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
h | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Moderately Conservative Allocation Portfolio held restricted securities as of December 31, 2015. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. As of December 31, 2015, the value of these investments was $59,625,720 or 1.5% of total net assets.
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Moderately Conservative Allocation Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Taxable Debt Security | $ | 6,886,905 | ||
Common Stock | 60,192,669 | |||
|
| |||
Total lending | $ | 67,079,574 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 68,616,520 | ||
|
| |||
Net amounts due to counterparty | $ | 1,536,946 | ||
|
|
Definitions:
ETF | - | Exchange Traded Fund. | ||
TIPS | - | Treasury Inflation Protected Security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
85
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MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 170,886,212 | ||
Gross unrealized depreciation | (96,488,111 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 74,398,101 | ||
Cost for federal income tax purposes | $ | 4,610,044,242 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
86
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MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Moderately Conservative Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 9,625,640 | — | 8,357,792 | 1,267,848 | ||||||||||||
Capital Goods | 6,061,526 | — | 6,061,526 | — | ||||||||||||
Communications Services | 55,399,644 | — | 52,066,722 | 3,332,922 | ||||||||||||
Consumer Cyclical | 30,158,380 | — | 30,158,380 | — | ||||||||||||
Consumer Non-Cyclical | 20,243,446 | — | 19,193,627 | 1,049,819 | ||||||||||||
Energy | 6,527,465 | — | 2,598,837 | 3,928,628 | ||||||||||||
Financials | 7,726,528 | — | 7,726,528 | — | ||||||||||||
Technology | 12,268,616 | — | 12,261,694 | 6,922 | ||||||||||||
Transportation | 7,179,820 | — | 7,179,820 | — | ||||||||||||
Utilities | 3,304,416 | — | 3,304,416 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 65,652,971 | — | 65,652,971 | — | ||||||||||||
Basic Materials | 9,895,241 | — | 9,895,241 | — | ||||||||||||
Capital Goods | 21,658,653 | — | 21,658,653 | — | ||||||||||||
Collateralized Mortgage Obligations | 72,678,192 | — | 72,678,192 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 65,655,233 | — | 65,655,233 | — | ||||||||||||
Communications Services | 59,017,038 | — | 59,017,038 | — | ||||||||||||
Consumer Cyclical | 31,118,145 | — | 31,118,145 | — | ||||||||||||
Consumer Non-Cyclical | 57,001,359 | — | 57,001,359 | — | ||||||||||||
Energy | 36,295,233 | — | 36,295,233 | — | ||||||||||||
Financials | 128,425,513 | — | 128,425,513 | — | ||||||||||||
Foreign Government | 1,639,909 | — | 1,639,909 | — | ||||||||||||
Industrials Other | 1,326,000 | — | 1,326,000 | — | ||||||||||||
Mortgage-Backed Securities | 522,580,394 | — | 522,580,394 | — | ||||||||||||
Technology | 25,551,770 | — | 25,551,770 | — | ||||||||||||
Transportation | 10,899,999 | — | 10,899,999 | — | ||||||||||||
U.S. Government and Agencies | 430,086,000 | — | 430,086,000 | — | ||||||||||||
Utilities | 35,905,514 | — | 35,905,514 | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Affiliated Fixed Income Holdings | 660,703,590 | 660,703,590 | — | — | ||||||||||||
Affiliated Equity Holdings | 392,772,608 | 392,772,608 | — | — | ||||||||||||
Fixed Income Funds/ETFs | 87,897,464 | 87,897,464 | — | — | ||||||||||||
Equity Funds/ETFs | 20,042,465 | 20,042,465 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 126,883,334 | 126,883,334 | — | — | ||||||||||||
Consumer Staples | 34,061,943 | 34,061,943 | — | — | ||||||||||||
Energy | 108,128,929 | 108,128,929 | — | — | ||||||||||||
Financials | 145,535,539 | 145,535,539 | — | — | ||||||||||||
Health Care | 120,615,728 | 120,615,728 | — | — | ||||||||||||
Industrials | 88,073,366 | 88,073,366 | — | — | ||||||||||||
Information Technology | 196,031,508 | 196,031,508 | — | — | ||||||||||||
Materials | 31,871,338 | 31,871,338 | — | — | ||||||||||||
Telecommunications Services | 5,872,185 | 5,872,185 | — | — | ||||||||||||
Utilities | 19,227,841 | 19,227,841 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 68,616,520 | 68,616,520 | — | — | ||||||||||||
Short-Term Investments | 844,225,340 | 118,807,605 | 725,417,735 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,684,442,343 | $ | 2,225,141,963 | $ | 2,449,714,241 | $ | 9,586,139 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 5,645,806 | 5,645,806 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 5,645,806 | $ | 5,645,806 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 1,508,518 | 1,508,518 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 1,508,518 | $ | 1,508,518 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
87
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Moderately Conservative Allocation Portfolio’s futures contracts held as of December 31, 2015. Investments and/or cash totaling $26,998,235 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (1,615 | ) | March 2016 | ($ | 351,307,962 | ) | ($ | 350,833,524 | ) | $ | 474,438 | |||||||||
5-Yr. U.S. Treasury Bond Futures | 1,979 | March 2016 | 234,533,091 | 234,155,894 | (377,197 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | 1,173 | March 2016 | 148,113,220 | 147,688,031 | (425,189 | ) | ||||||||||||||
30-Yr. U.S. Treasury Bond Futures | 668 | March 2016 | 102,263,479 | 102,705,000 | 441,521 | |||||||||||||||
CME E-mini NASDAQ 100 Index | (883 | ) | March 2016 | (81,404,655 | ) | (81,019,665 | ) | 384,990 | ||||||||||||
Eurex Euro STOXX 50 Index | 2,380 | March 2016 | 82,584,777 | 84,629,579 | 2,044,802 | |||||||||||||||
ICE mini MSCI EAFE Index | 1,244 | March 2016 | 103,584,272 | 105,628,040 | 2,043,768 | |||||||||||||||
NYBOT NYF mini Russell 2000 Index | 355 | March 2016 | 40,364,352 | 40,168,250 | (196,102 | ) | ||||||||||||||
S&P 400 Index Mini-Futures | (328 | ) | March 2016 | (45,963,087 | ) | (45,706,800 | ) | 256,287 | ||||||||||||
S&P 500 Futures | 27 | March 2016 | 13,775,778 | 13,738,950 | (36,828 | ) | ||||||||||||||
S&P 500 Mini-Futures | (225 | ) | March 2016 | (22,425,048 | ) | (22,898,250 | ) | (473,202 | ) | |||||||||||
Total Futures Contracts | $ | 4,137,288 |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Moderately Conservative Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 915,959 | |||
Total Interest Rate Contracts | 915,959 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 4,729,847 | ||||
Total Equity Contracts | 4,729,847 | |||||
|
| |||||
Total Asset Derivatives | $ | 5,645,806 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 802,386 | ||||
Total Interest Rate Contracts | 802,386 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 706,132 | ||||
Total Equity Contracts | 706,132 | |||||
|
| |||||
Total Liability Derivatives | $ | 1,508,518 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Moderately Conservative Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 10,356,495 | ||||
Total Equity Contracts | 10,356,495 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 3,845,344 | ||||
Total Interest Rate Contracts | 3,845,344 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (306,921 | ) | |||
Total Credit Contracts | (306,921 | ) | ||||
|
| |||||
Total | $ | 13,894,918 | ||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
88
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Moderately Conservative Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (8,432,028 | ) | |||
Total Interest Rate Contracts | (8,432,028 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (2,617,397 | ) | |||
Total Equity Contracts | (2,617,397 | ) | ||||
|
| |||||
Total | ($ | 11,049,425 | ) | |||
|
|
The following table presents Moderately Conservative Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Swaps (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 408,310,590 | 10.3 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 900,512,323 | 22.8 | N/A | N/A | ||||||||||||
Credit Contracts | N/A | N/A | $ | 655,606 | <0.1 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Moderately Conservative Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Partner Small Cap Value | $ | 37,953,593 | $ | 3,170,947 | $ | 37,843,238 | — | $ | — | $ | 368,572 | |||||||||||||
Small Cap Stock | 30,163,511 | 4,100,796 | — | 1,881,929 | 29,219,401 | 136,453 | ||||||||||||||||||
Partner Mid Cap Value | 47,562,494 | 5,848,565 | 46,625,537 | — | — | 264,248 | ||||||||||||||||||
Mid Cap Stock | 58,243,532 | 6,664,542 | — | 3,484,569 | 58,291,611 | 347,302 | ||||||||||||||||||
Partner Worldwide Allocation | 150,325,753 | 3,837,754 | — | 16,564,901 | 149,147,055 | 3,837,754 | ||||||||||||||||||
Large Cap Value | 131,067,726 | 5,533,819 | — | 8,148,101 | 126,438,164 | 1,676,407 | ||||||||||||||||||
Large Cap Stock | 28,780,001 | 2,564,690 | — | 2,552,346 | 29,676,377 | 347,632 | ||||||||||||||||||
High Yield | 95,969,477 | 17,134,223 | 593,165 | 23,219,536 | 103,974,761 | 5,652,404 | ||||||||||||||||||
Income | 247,493,205 | 107,598,454 | 1,384,052 | 34,176,224 | 335,972,791 | 9,649,262 | ||||||||||||||||||
Limited Maturity Bond | 397,227,386 | 25,454,595 | 199,364,606 | 22,704,285 | 220,756,038 | 6,068,527 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | 24,079,812 | 489,798,673 | 445,261,965 | 68,616,520 | 68,616,520 | 142,447 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | — | 233,587,136 | 114,779,531 | 118,807,605 | 118,807,605 | 32,277 | ||||||||||||||||||
Total Value and Income Earned | $ | 1,248,866,490 | $ | 1,240,900,323 | $ | 28,523,285 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
89
Table of Contents
GROWTHAND INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (10.1%) | Value | % of Net Assets | |||||||||
| Basic Materials (0.6%) |
| ||||||||||
Other Securities^ | $ | 432,724 | 0.6 | % | ||||||||
|
| |||||||||||
Total | 432,724 | |||||||||||
|
| |||||||||||
| Capital Goods (0.5%) |
| ||||||||||
Other Securities^ | 357,845 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 357,845 | |||||||||||
|
| |||||||||||
| Communications Services (3.2%) |
| ||||||||||
Other Securities^ | 2,490,768 | 3.2 | % | |||||||||
|
| |||||||||||
Total | 2,490,768 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (1.8%) |
| ||||||||||
Other Securities^ | 1,382,617 | 1.8 | % | |||||||||
|
| |||||||||||
Total | 1,382,617 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (1.4%) |
| ||||||||||
Other Securities^ | 1,131,429 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 1,131,429 | |||||||||||
|
| |||||||||||
| Energy (0.5%) |
| ||||||||||
Other Securities^ | 417,436 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 417,436 | |||||||||||
|
| |||||||||||
| Financials (0.6%) |
| ||||||||||
Other Securities^ | 445,002 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 445,002 | |||||||||||
|
| |||||||||||
| Technology (0.7%) |
| ||||||||||
Other Securities^ | 588,839 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 588,839 | |||||||||||
|
| |||||||||||
| Transportation (0.5%) |
| ||||||||||
Other Securities^ | 414,702 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 414,702 | |||||||||||
|
| |||||||||||
| Utilities (0.3%) |
| ||||||||||
Other Securities^ | 267,032 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 267,032 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $8,554,781) | 7,928,394 | |||||||||||
|
| |||||||||||
Shares | Common Stock (61.7%) | |||||||||||
| Consumer Discretionary (9.8%) |
| ||||||||||
1,150 | Amazon.com, Inc.a | 777,273 | 1.0 | % | ||||||||
880 | AutoZone, Inc.a | 652,881 | 0.8 | % | ||||||||
14,216 | Comcast Corporation | 802,209 | 1.0 | % | ||||||||
10,080 | NIKE, Inc. | 630,000 | 0.8 | % | ||||||||
7,310 | Starbucks Corporation | 438,819 | 0.6 | % | ||||||||
Other Securities^ | 4,422,496 | 5.6 | % | |||||||||
|
| |||||||||||
Total | 7,723,678 | |||||||||||
|
| |||||||||||
| Consumer Staples (3.6%) |
| ||||||||||
3,769 | Anheuser-Busch InBev NV ADR | 471,125 | 0.6 | % | ||||||||
10,330 | Coca-Cola Company | 443,777 | 0.6 | % | ||||||||
7,100 | Imperial Tobacco Group plc | 375,008 | 0.5 | % | ||||||||
Other Securities^ | 1,520,022 | 1.9 | % | |||||||||
|
| |||||||||||
Total | 2,809,932 | |||||||||||
|
| |||||||||||
Energy (3.9%) | ||||||||||||
6,450 | EOG Resources, Inc. | 456,595 | 0.6 | % | ||||||||
7,710 | Total SA ADR | 346,565 | 0.4 | % | ||||||||
61,440 | Weatherford International, Ltd.a | 515,482 | 0.7 | % | ||||||||
Other Securities^ | 1,764,227 | 2.2 | % | |||||||||
|
| |||||||||||
Total | 3,082,869 | |||||||||||
|
| |||||||||||
| Financials (17.4%) |
| ||||||||||
3,000 | Allianz SE | 528,837 | 0.7 | % | ||||||||
19,930 | Charles Schwab Corporation | 656,295 | 0.8 | % | ||||||||
10,860 | Citigroup, Inc. | 562,005 | 0.7 | % | ||||||||
1,710 | Intercontinental Exchange, Inc. | 438,205 | 0.6 | % | ||||||||
8,130 | MetLife, Inc. | 391,947 | 0.5 | % | ||||||||
1,368 | Public Storage, Inc. | 338,854 | 0.4 | % | ||||||||
2,740 | Simon Property Group, Inc. | 532,766 | 0.7 | % | ||||||||
14,390 | Synchrony Financiala | 437,600 | 0.6 | % | ||||||||
Other Securities^ | 9,833,341 | 12.4 | % | |||||||||
|
| |||||||||||
Total | 13,719,850 | |||||||||||
|
| |||||||||||
| Health Care (6.7%) |
| ||||||||||
14,170 | Abbott Laboratories | 636,375 | 0.8 | % | ||||||||
1,790 | Allergan plca | 559,375 | 0.7 | % | ||||||||
2,210 | Amgen, Inc. | 358,749 | 0.5 | % | ||||||||
9,300 | Medtronic, Inc. | 715,356 | 0.9 | % | ||||||||
13,550 | Merck & Company, Inc. | 715,711 | 0.9 | % | ||||||||
Other Securities^ | 2,321,531 | 2.9 | % | |||||||||
|
| |||||||||||
Total | 5,307,097 | |||||||||||
|
| |||||||||||
| Industrials (6.6%) |
| ||||||||||
6,220 | Boeing Company | 899,350 | 1.2 | % | ||||||||
9,444 | Illinois Tool Works, Inc. | 875,270 | 1.1 | % | ||||||||
8,040 | Ingersoll-Rand plc | 444,532 | 0.6 | % | ||||||||
4,700 | Macquarie Infrastructure Corporation | 341,220 | 0.4 | % | ||||||||
Other Securities^ | 2,651,967 | 3.3 | % | |||||||||
|
| |||||||||||
Total | 5,212,339 | |||||||||||
|
| |||||||||||
| Information Technology (9.1%) |
| ||||||||||
5,160 | Alibaba Group Holding, Ltd. ADRa | 419,353 | 0.5 | % | ||||||||
570 | Alphabet, Inc., Class Aa | 443,466 | 0.6 | % | ||||||||
561 | Alphabet, Inc., Class Ca | 425,732 | 0.5 | % | ||||||||
5,130 | Apple, Inc. | 539,984 | 0.7 | % | ||||||||
16,720 | Cisco Systems, Inc. | 454,032 | 0.6 | % | ||||||||
15,579 | EMC Corporation | 400,069 | 0.5 | % | ||||||||
3,350 | MasterCard, Inc. | 326,156 | 0.4 | % | ||||||||
14,150 | Microsoft Corporation | 785,042 | 1.0 | % | ||||||||
8,830 | Visa, Inc. | 684,767 | 0.9 | % | ||||||||
8,240 | Xilinx, Inc. | 387,033 | 0.5 | % | ||||||||
Other Securities^ | 2,277,550 | 2.9 | % | |||||||||
|
| |||||||||||
Total | 7,143,184 | |||||||||||
|
| |||||||||||
| Materials (1.8%) |
| ||||||||||
Other Securities^ | 1,389,352 | 1.8 | % | |||||||||
|
| |||||||||||
Total | 1,389,352 | |||||||||||
|
| |||||||||||
| Telecommunications Services (1.3%) |
| ||||||||||
Other Securities^ | 1,053,137 | 1.3 | % | |||||||||
|
| |||||||||||
Total | 1,053,137 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
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GROWTHAND INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
% of Net | ||||||||||||
Shares | Common Stock (61.7%) | Value | Assets | |||||||||
| Utilities (1.5%) |
| ||||||||||
14,400 | Brookfield Infrastructure Partners, LP | $ | 545,904 | 0.7 | % | |||||||
Other Securities^ | 623,057 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 1,168,961 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $49,529,400) | 48,610,399 | |||||||||||
|
| |||||||||||
Principal Amount | Long-Term Fixed Income (17.5%) | |||||||||||
| Asset-Backed Securities (0.1%) |
| ||||||||||
Other Securities^ | 99,363 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 99,363 | |||||||||||
|
| |||||||||||
| Basic Materials (0.3%) |
| ||||||||||
Other Securities^ | 218,662 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 218,662 | |||||||||||
|
| |||||||||||
| Capital Goods (0.6%) |
| ||||||||||
Other Securities^ | 470,307 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 470,307 | |||||||||||
|
| |||||||||||
| Collateralized Mortgage Obligations (2.5%) |
| ||||||||||
Other Securities^ | 1,964,714 | 2.5 | % | |||||||||
|
| |||||||||||
Total | 1,964,714 | |||||||||||
|
| |||||||||||
| Communications Services (0.9%) |
| ||||||||||
Other Securities^ | 700,490 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 700,490 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (1.0%) |
| ||||||||||
Other Securities^ | 795,971 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 795,971 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (0.9%) |
| ||||||||||
Other Securities^ | 714,902 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 714,902 | |||||||||||
|
| |||||||||||
| Energy (0.6%) |
| ||||||||||
Other Securities^ | 489,007 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 489,007 | |||||||||||
|
| |||||||||||
| Financials (1.8%) |
| ||||||||||
Goldman Sachs Group, Inc. Convertible | ||||||||||||
$375,000 | 0.500%, 9/24/2022 | 387,911 | 0.5 | % | ||||||||
Other Securities^ | 1,063,102 | 1.3 | % | |||||||||
|
| |||||||||||
Total | 1,451,013 | |||||||||||
|
| |||||||||||
| Foreign Government (3.4%) |
| ||||||||||
Other Securities^ | 2,724,859 | 3.4 | % | |||||||||
|
| |||||||||||
Total | 2,724,859 | |||||||||||
|
| |||||||||||
| Mortgage-Backed Securities (3.5%) |
| ||||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||||||
350,000 | 3.000%, 1/1/2031b | 360,666 | 0.5 | % | ||||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||||||
250,000 | 4.000%, 1/1/2046b | 264,097 | 0.3 | % | ||||||||
Long-Term Fixed Income (17.5%) | ||||||||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||||||
1,025,000 | 3.500%, 1/1/2046b | 1,057,516 | 1.4 | % | ||||||||
550,000 | 4.000%, 1/1/2046b | 581,994 | 0.7 | % | ||||||||
425,000 | 4.500%, 1/1/2046b | 458,947 | 0.6 | % | ||||||||
|
| |||||||||||
Total | 2,723,220 | |||||||||||
|
| |||||||||||
| Technology (0.6%) |
| ||||||||||
Other Securities^ | 444,792 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 444,792 | |||||||||||
|
| |||||||||||
| Transportation (0.2%) |
| ||||||||||
Other Securities^ | 132,776 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 132,776 | |||||||||||
|
| |||||||||||
| U.S. Government and Agencies (0.6%) |
| ||||||||||
U.S. Treasury Notes | ||||||||||||
345,000 | 1.875%, 6/30/2020 | 347,412 | 0.5 | % | ||||||||
Other Securities^ | 95,490 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 442,902 | |||||||||||
|
| |||||||||||
| Utilities (0.5%) |
| ||||||||||
Other Securities^ | 410,649 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 410,649 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $14,078,134) | 13,783,627 | |||||||||||
|
| |||||||||||
Shares | Registered Investment Companies (5.8%) | |||||||||||
| Equity Funds/ETFs (4.5%) |
| ||||||||||
4,775 | iShares FTSE NAREIT Mortgage Plus Capped Index Fund | 45,649 | 0.1 | % | ||||||||
9,000 | iShares MSCI EAFE Index Fund | 528,750 | 0.7 | % | ||||||||
13,473 | iShares S&P U.S. Preferred Stock Index Fund | 523,426 | 0.7 | % | ||||||||
16,010 | Materials Select Sector SPDR Fund | 695,154 | 0.9 | % | ||||||||
34,200 | SPDR S&P Oil & Gas Exploration & Production ETF | 1,033,524 | 1.3 | % | ||||||||
14,330 | Utilities Select Sector SPDR Fund | 620,202 | 0.8 | % | ||||||||
Other Securities^ | 117,211 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 3,563,916 | |||||||||||
|
| |||||||||||
| Fixed Income Funds/ETFs (1.3%) |
| ||||||||||
1,654 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 174,960 | 0.2 | % | ||||||||
Other Securities^ | 827,489 | 1.1 | % | |||||||||
|
| |||||||||||
Total | 1,002,449 | |||||||||||
|
| |||||||||||
Total Registered Investment Companies (cost $4,988,383) | 4,566,365 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (8.5%)c | |||||||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||||||
200,000 | 0.100% - 0.105%, 1/6/2016 - 1/8/2016d | 199,997 | 0.2 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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GROWTHAND INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Shares or Principal Amount | Short-Term Investments (8.5%)c | Value | % of Net Assets | |||||||||
Thrivent Cash Management Trust | ||||||||||||
6,429,870 | 0.220% | $ | 6,429,870 | 8.2 | % | |||||||
Other Securities^ | 99,983 | 0.1 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 6,729,850 | |||||||||||
|
| |||||||||||
Total Investments (cost $83,880,548) 103.6% | $ | 81,618,635 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (3.6%) | (2,839,574 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 78,779,061 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Non-income producing security. |
b | Denotes investments purchased on a when-issued or delayed delivery basis. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
d | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 2,533,231 | ||
Gross unrealized depreciation | (5,051,240 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (2,518,009 | ) | |
Cost for federal income tax purposes | $ | 84,136,644 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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GROWTHAND INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Growth and Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 432,724 | — | 359,579 | 73,145 | ||||||||||||
Capital Goods | 357,845 | — | 357,845 | — | ||||||||||||
Communications Services | 2,490,768 | — | 2,284,774 | 205,994 | ||||||||||||
Consumer Cyclical | 1,382,617 | — | 1,382,617 | — | ||||||||||||
Consumer Non-Cyclical | 1,131,429 | — | 1,121,777 | 9,652 | ||||||||||||
Energy | 417,436 | — | 186,508 | 230,928 | ||||||||||||
Financials | 445,002 | — | 445,002 | — | ||||||||||||
Technology | 588,839 | — | 588,627 | 212 | ||||||||||||
Transportation | 414,702 | — | 414,702 | — | ||||||||||||
Utilities | 267,032 | — | 267,032 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 7,723,678 | 5,805,153 | 1,918,525 | — | ||||||||||||
Consumer Staples | 2,809,932 | 1,121,491 | 1,688,441 | — | ||||||||||||
Energy | 3,082,869 | 2,729,364 | 353,505 | — | ||||||||||||
Financials | 13,719,850 | 9,923,878 | 3,795,972 | — | ||||||||||||
Health Care | 5,307,097 | 4,197,633 | 1,109,464 | — | ||||||||||||
Industrials | 5,212,339 | 3,298,099 | 1,914,240 | — | ||||||||||||
Information Technology | 7,143,184 | 6,324,109 | 819,075 | — | ||||||||||||
Materials | 1,389,352 | 448,561 | 940,791 | — | ||||||||||||
Telecommunications Services | 1,053,137 | 164,858 | 888,279 | — | ||||||||||||
Utilities | 1,168,961 | 860,636 | 308,325 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 99,363 | — | 99,363 | — | ||||||||||||
Basic Materials | 218,662 | — | 218,662 | — | ||||||||||||
Capital Goods | 470,307 | — | 470,307 | — | ||||||||||||
Collateralized Mortgage Obligations | 1,964,714 | — | 1,964,714 | — | ||||||||||||
Communications Services | 700,490 | — | 700,490 | — | ||||||||||||
Consumer Cyclical | 795,971 | — | 795,971 | — | ||||||||||||
Consumer Non-Cyclical | 714,902 | — | 714,902 | — | ||||||||||||
Energy | 489,007 | — | 489,007 | — | ||||||||||||
Financials | 1,451,013 | — | 1,063,102 | 387,911 | ||||||||||||
Foreign Government | 2,724,859 | — | 2,724,859 | — | ||||||||||||
Mortgage-Backed Securities | 2,723,220 | — | 2,723,220 | — | ||||||||||||
Technology | 444,792 | — | 444,792 | — | ||||||||||||
Transportation | 132,776 | — | 132,776 | — | ||||||||||||
U.S. Government and Agencies | 442,902 | — | 442,902 | — | ||||||||||||
Utilities | 410,649 | — | 410,649 | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Equity Funds/ETFs | 3,563,916 | 3,563,916 | — | — | ||||||||||||
Fixed Income Funds/ETFs | 1,002,449 | 1,002,449 | — | — | ||||||||||||
Short-Term Investments | 6,729,850 | 6,429,870 | 299,980 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 81,618,635 | $ | 45,870,017 | $ | 34,840,776 | $ | 907,842 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 8,938 | 8,938 | — | — | ||||||||||||
Credit Default Swaps | 1,172 | — | 1,172 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 10,110 | $ | 8,938 | $ | 1,172 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 4,162 | 4,162 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 4,162 | $ | 4,162 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
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GROWTHAND INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Growth and Income Plus Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $199,997 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (21 | ) | March 2016 | ($ | 4,568,091 | ) | ($ | 4,561,922 | ) | $ | 6,169 | |||||||||
5-Yr. U.S. Treasury Bond Futures | 15 | March 2016 | 1,777,664 | 1,774,805 | (2,859 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | (1 | ) | March 2016 | (126,114 | ) | (125,906 | ) | 208 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 2 | March 2016 | 306,178 | 307,500 | 1,322 | |||||||||||||||
S&P 500 Mini-Futures | 5 | March 2016 | 510,153 | 508,850 | (1,303 | ) | ||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures | 1 | March 2016 | 157,448 | 158,687 | 1,239 | |||||||||||||||
Total Futures Contracts | $ | 4,776 |
The following table presents Growth and Income Plus Portfolio’s swaps contracts held as of December 31, 2015. Investments totaling $99,983 were pledged as collateral under the agreement between the counterparty, the custodian and the fund for open swap contracts.
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Value3 | Unrealized Gain/(Loss) | |||||||||||||
CDX HY 24, 5 Year, at 5.00%; CS First Boston Corporation | Buy | 6/20/2020 | $ | 49,500 | $ | 1,172 | $ | 1,172 | ||||||||||
Total Credit Default Swaps | $ | 1,172 | $ | 1,172 |
1 | As the buyer of protection, Growth and Income Plus Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Growth and Income Plus Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
2 | The maximum potential amount of future payments Growth and Income Plus Portfolio could be required to make as the seller or receive as the buyer of protection. |
3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Growth and Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 8,938 | |||
Total Interest Rate Contracts | 8,938 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 1,172 | ||||
Total Credit Contracts | 1,172 | |||||
|
| |||||
Total Asset Derivatives | $ | 10,110 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 2,859 | ||||
Total Interest Rate Contracts | 2,859 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 1,303 | ||||
Total Equity Contracts | 1,303 | |||||
|
| |||||
Total Liability Derivatives | $ | 4,162 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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GROWTHAND INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Growth and Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 187,231 | ||||
Total Equity Contracts | 187,231 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 16,774 | ||||
Total Interest Rate Contracts | 16,774 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (575 | ) | |||
Total Credit Contracts | (575 | ) | ||||
|
| |||||
Total | $ | 203,430 | ||||
|
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Growth and Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (30,533 | ) | |||
Total Interest Rate Contracts | (30,533 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (88,900 | ) | |||
Total Equity Contracts | (88,900 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 1,172 | ||||
Total Credit Contracts | 1,172 | |||||
|
| |||||
Total | ($ | 118,261 | ) | |||
|
|
The following table presents Growth and Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Swaps (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 1,447,089 | 1.8 | % | �� | N/A | N/A | |||||||||
Interest Rate Contracts | 8,304,472 | 10.3 | N/A | N/A | ||||||||||||
Credit Contracts | N/A | N/A | $ | 1,355 | <0.1 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Growth and Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | $ | 8,619,908 | $ | 52,923,059 | $ | 55,113,097 | 6,429,870 | $ | 6,429,870 | $ | 5,046 | |||||||||||||
Total Value and Income Earned | $ | 8,619,908 | $ | 6,429,870 | $ | 5,046 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
95
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (16.4%) | Value | % of Net Assets | |||||||||
| Basic Materials (0.7%) |
| ||||||||||
Other Securities^ | $ | 2,330,347 | 0.7 | % | ||||||||
|
| |||||||||||
Total | 2,330,347 | |||||||||||
|
| |||||||||||
| Capital Goods (0.8%) |
| ||||||||||
Other Securities^ | 2,332,767 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 2,332,767 | |||||||||||
|
| |||||||||||
| Communications Services (5.3%) |
| ||||||||||
Other Securities^ | 16,557,158 | 5.3 | % | |||||||||
|
| |||||||||||
Total | 16,557,158 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (2.5%) |
| ||||||||||
Other Securities^ | 7,799,772 | 2.5 | % | |||||||||
|
| |||||||||||
Total | 7,799,772 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (2.7%) |
| ||||||||||
Other Securities^ | 8,281,474 | 2.7 | % | |||||||||
|
| |||||||||||
Total | 8,281,474 | |||||||||||
|
| |||||||||||
| Energy (1.0%) |
| ||||||||||
Other Securities^ | 3,137,151 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 3,137,151 | |||||||||||
|
| |||||||||||
| Financials (0.7%) |
| ||||||||||
Other Securities^ | 2,305,272 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 2,305,272 | |||||||||||
|
| |||||||||||
| Technology (1.3%) |
| ||||||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||||||
$1,500,000 | 0.000%, 11/13/2022a,b,c | 1,482,195 | 0.5 | % | ||||||||
Other Securities^ | 2,612,608 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 4,094,803 | |||||||||||
|
| |||||||||||
| Transportation (0.9%) |
| ||||||||||
Other Securities^ | 2,829,865 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 2,829,865 | |||||||||||
|
| |||||||||||
| Utilities (0.5%) |
| ||||||||||
Other Securities^ | 1,625,869 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 1,625,869 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $55,160,312) | 51,294,478 | |||||||||||
|
| |||||||||||
Shares | Common Stock (45.2%) | |||||||||||
| Consumer Discretionary (7.1%) |
| ||||||||||
3,380 | Amazon.com, Inc.d | 2,284,508 | 0.7 | % | ||||||||
2,590 | AutoZone, Inc.d | 1,921,547 | 0.6 | % | ||||||||
41,765 | Comcast Corporation | 2,356,799 | 0.8 | % | ||||||||
29,660 | NIKE, Inc. | 1,853,750 | 0.6 | % | ||||||||
21,460 | Starbucks Corporation | 1,288,244 | 0.4 | % | ||||||||
Other Securities^ | 12,485,284 | 4.0 | % | |||||||||
|
| |||||||||||
Total | 22,190,132 | |||||||||||
|
| |||||||||||
| Consumer Staples (2.6%) |
| ||||||||||
11,080 | Anheuser-Busch InBev NV ADR | 1,385,000 | 0.5 | % | ||||||||
30,360 | Coca-Cola Company | 1,304,266 | 0.4 | % | ||||||||
Other Securities^ | 5,391,969 | 1.7 | % | |||||||||
|
| |||||||||||
Total | 8,081,235 | |||||||||||
|
| |||||||||||
| Energy (3.2%) |
| ||||||||||
18,970 | EOG Resources, Inc. | $ | 1,342,886 | 0.4 | % | |||||||
28,000 | Royal Dutch Shell plc ADR | 1,282,120 | 0.4 | % | ||||||||
54,000 | Spectra Energy Corporation | 1,292,760 | 0.4 | % | ||||||||
32,363 | Total SA ADRe | 1,454,717 | 0.5 | % | ||||||||
180,550 | Weatherford International, Ltd.d | 1,514,814 | 0.5 | % | ||||||||
Other Securities^ | 3,175,502 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 10,062,799 | |||||||||||
|
| |||||||||||
| Financials (12.6%) |
| ||||||||||
8,300 | Allianz SE | 1,463,116 | 0.5 | % | ||||||||
58,590 | Charles Schwab Corporation | 1,929,369 | 0.6 | % | ||||||||
31,908 | Citigroup, Inc. | 1,651,239 | 0.5 | % | ||||||||
5,030 | Intercontinental Exchange, Inc. | 1,288,988 | 0.4 | % | ||||||||
23,800 | MetLife, Inc. | 1,147,398 | 0.4 | % | ||||||||
7,593 | Simon Property Group, Inc. | 1,476,383 | 0.5 | % | ||||||||
42,300 | Synchrony Financiald | 1,286,343 | 0.4 | % | ||||||||
Other Securities^ | 29,312,338 | 9.3 | % | |||||||||
|
| |||||||||||
Total | 39,555,174 | |||||||||||
|
| |||||||||||
| Health Care (4.9%) |
| ||||||||||
41,730 | Abbott Laboratories | 1,874,094 | 0.6 | % | ||||||||
4,880 | Allergan plcd | 1,525,000 | 0.5 | % | ||||||||
6,500 | Amgen, Inc. | 1,055,145 | 0.3 | % | ||||||||
27,250 | Medtronic, Inc. | 2,096,070 | 0.7 | % | ||||||||
39,840 | Merck & Company, Inc. | 2,104,349 | 0.7 | % | ||||||||
Other Securities^ | 6,507,579 | 2.1 | % | |||||||||
|
| |||||||||||
Total | 15,162,237 | |||||||||||
|
| |||||||||||
| Industrials (5.0%) |
| ||||||||||
18,140 | Boeing Company | 2,622,863 | 0.9 | % | ||||||||
27,550 | Illinois Tool Works, Inc. | 2,553,334 | 0.8 | % | ||||||||
23,660 | Ingersoll-Rand plc | 1,308,161 | 0.4 | % | ||||||||
19,700 | Macquarie Infrastructure Corporation | 1,430,220 | 0.5 | % | ||||||||
Other Securities^ | 7,646,815 | 2.4 | % | |||||||||
|
| |||||||||||
Total | 15,561,393 | |||||||||||
|
| |||||||||||
| Information Technology (6.6%) |
| ||||||||||
15,060 | Alibaba Group Holding, Ltd. ADRd,e | 1,223,926 | 0.4 | % | ||||||||
1,670 | Alphabet, Inc., Class Ad | 1,299,277 | 0.4 | % | ||||||||
1,645 | Alphabet, Inc., Class Cd | 1,248,358 | 0.4 | % | ||||||||
15,080 | Apple, Inc. | 1,587,321 | 0.5 | % | ||||||||
49,140 | Cisco Systems, Inc. | 1,334,397 | 0.4 | % | ||||||||
45,780 | EMC Corporation | 1,175,630 | 0.4 | % | ||||||||
41,270 | Microsoft Corporation | 2,289,660 | 0.7 | % | ||||||||
25,950 | Visa, Inc. | 2,012,422 | 0.7 | % | ||||||||
24,230 | Xilinx, Inc. | 1,138,083 | 0.4 | % | ||||||||
Other Securities^ | 7,337,389 | 2.3 | % | |||||||||
|
| |||||||||||
Total | 20,646,463 | |||||||||||
|
| |||||||||||
| Materials (1.3%) |
| ||||||||||
Other Securities^ | 4,065,574 | 1.3 | % | |||||||||
|
| |||||||||||
Total | 4,065,574 | |||||||||||
|
| |||||||||||
| Telecommunications Services (0.9%) |
| ||||||||||
Other Securities^ | 2,914,154 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 2,914,154 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
96
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Shares | Common Stock (45.2%) | Value | % of Net Assets | |||||||||
| Utilities (1.0%) |
| ||||||||||
37,500 | Brookfield Infrastructure Partners, LP | $ | 1,421,625 | 0.5 | % | |||||||
Other Securities^ | 1,756,086 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 3,177,711 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $135,894,397) | 141,416,872 | |||||||||||
|
| |||||||||||
Principal Amount | Long-Term Fixed Income (29.8%) | |||||||||||
| Asset-Backed Securities (1.4%) |
| ||||||||||
Other Securities^ | 4,509,830 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 4,509,830 | |||||||||||
|
| |||||||||||
| Basic Materials (0.3%) |
| ||||||||||
Other Securities^ | 994,575 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 994,575 | |||||||||||
|
| |||||||||||
| Capital Goods (0.8%) |
| ||||||||||
Other Securities^ | 2,614,945 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 2,614,945 | |||||||||||
|
| |||||||||||
| Collateralized Mortgage Obligations (4.0%) |
| ||||||||||
Other Securities^ | 12,599,688 | 4.0 | % | |||||||||
|
| |||||||||||
Total | 12,599,688 | |||||||||||
|
| |||||||||||
| Communications Services (1.3%) |
| ||||||||||
Other Securities^ | 4,080,902 | 1.3 | % | |||||||||
|
| |||||||||||
Total | 4,080,902 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (1.4%) |
| ||||||||||
Other Securities^ | 4,325,687 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 4,325,687 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (1.4%) |
| ||||||||||
Other Securities^ | 4,395,257 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 4,395,257 | |||||||||||
|
| |||||||||||
| Energy (0.8%) |
| ||||||||||
Petroleos Mexicanos | ||||||||||||
550,000 | 5.625%, 1/23/2046f | 420,860 | 0.2 | % | ||||||||
Other Securities^ | 2,093,423 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 2,514,283 | |||||||||||
|
| |||||||||||
| Financials (3.8%) |
| ||||||||||
Goldman Sachs Group, Inc. Convertible | ||||||||||||
1,600,000 | 0.500%, 9/24/2022 | 1,655,088 | 0.5 | % | ||||||||
Other Securities^ | 10,226,407 | 3.3 | % | |||||||||
|
| |||||||||||
Total | 11,881,495 | |||||||||||
|
| |||||||||||
| Foreign Government (6.5%) |
| ||||||||||
Mexico Government International Bond | ||||||||||||
2,632,000 | 3.600% - 6.050%, 3/15/2022 - 1/23/2046 | 2,556,834 | 0.8 | % | ||||||||
Turkey Government International Bond | ||||||||||||
3,368,000 | 4.250% - 7.500%, 11/7/2019 - 4/16/2043e | 3,453,857 | 1.3 | % | ||||||||
Other Securities^ | 14,234,818 | 4.4 | % | |||||||||
|
| |||||||||||
Total | 20,245,509 | |||||||||||
|
| |||||||||||
Long-Term Fixed Income (29.8%) | ||||||||||||
| Mortgage-Backed Securities (5.3%) |
| ||||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||||||
$1,130,000 | 3.000%, 1/1/2031c | 1,164,435 | 0.4 | % | ||||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||||||
1,180,000 | 4.000%, 1/1/2046c | 1,246,536 | 0.4 | % | ||||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||||||
600,000 | 3.500%, 1/1/2030c | 628,336 | 0.2 | % | ||||||||
Federal National Mortgage Association Conventional 30- Yr. Pass Through | ||||||||||||
6,425,000 | 3.500%, 1/1/2046c | 6,628,822 | 2.1 | % | ||||||||
3,775,000 | 4.000%, 1/1/2046c | 3,994,599 | 1.3 | % | ||||||||
2,600,000 | 4.500%, 1/1/2046c | 2,807,675 | 0.9 | % | ||||||||
28,291 | 8.000% - 10.500%, 8/1/2020 - 4/1/2030 | 31,908 | <0.1 | % | ||||||||
Other Securities^ | 184,493 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 16,686,804 | |||||||||||
|
| |||||||||||
| Technology (0.9%) |
| ||||||||||
Other Securities^ | 2,715,813 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 2,715,813 | |||||||||||
|
| |||||||||||
| Transportation (0.3%) |
| ||||||||||
Other Securities^ | 942,808 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 942,808 | |||||||||||
|
| |||||||||||
| U.S. Government and Agencies (0.7%) |
| ||||||||||
U.S. Treasury Notes | ||||||||||||
1,645,000 | 1.875%, 6/30/2020 | 1,656,502 | 0.5 | % | ||||||||
Other Securities^ | 588,016 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 2,244,518 | |||||||||||
| Utilities (0.9%) |
| ||||||||||
Other Securities^ | 2,762,699 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 2,762,699 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $96,122,957) | 93,514,813 | |||||||||||
|
| |||||||||||
Shares | Registered Investment Companies (3.8%) | |||||||||||
| Equity Funds/ETFs (2.4%) |
| ||||||||||
47,080 | Materials Select Sector SPDR Fund | 2,044,214 | 0.7 | % | ||||||||
61,600 | SPDR S&P Oil & Gas Exploration & Production ETFe | 1,861,552 | 0.6 | % | ||||||||
42,110 | Utilities Select Sector SPDR Fund | 1,822,521 | 0.6 | % | ||||||||
Other Securities^ | 1,735,125 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 7,463,412 | |||||||||||
|
| |||||||||||
| Fixed Income Funds/ETFs (1.4%) |
| ||||||||||
12,089 | iShares J.P. Morgan USD Emerging Markets Bond ETFe | 1,278,774 | 0.4 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
97
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (3.8%) | Value | % of Net Assets | |||||||||
| Fixed Income Funds/ETFs (1.4%) - continued |
| ||||||||||
Other Securities^ | $ | 3,180,326 | 1.0 | % | ||||||||
|
| |||||||||||
Total | 4,459,100 | |||||||||||
|
| |||||||||||
Total Registered Investment Companies (cost $12,856,513) | 11,922,512 | |||||||||||
|
| |||||||||||
Preferred Stock (1.6%) | ||||||||||||
| Financials (1.5%) |
| ||||||||||
Other Securities^ | 4,513,544 | 1.5 | % | |||||||||
|
| |||||||||||
Total | 4,513,544 | |||||||||||
|
| |||||||||||
| Materials (0.1%) |
| ||||||||||
Other Securities^ | 349,056 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 349,056 | |||||||||||
|
| |||||||||||
| Utilities (<0.1%) |
| ||||||||||
Other Securities^ | 108,640 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 108,640 | |||||||||||
|
| |||||||||||
Total Preferred Stock (cost $4,708,491) | 4,971,240 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (3.1%) | ||||||||||||
9,667,927 | Thrivent Cash Management Trust | 9,667,927 | 3.1 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $9,667,927) | 9,667,927 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (9.1%)g | |||||||||||
Federal National Mortgage Association Discount Notes | ||||||||||||
400,000 | 0.070% - 0.180%, 1/8/2016 - 2/8/2016h | 399,959 | 0.2 | % | ||||||||
Thrivent Cash Management Trust | ||||||||||||
27,808,704 | 0.220% | 27,808,704 | 8.9 | % | ||||||||
Other Securities^ | 199,982 | <0.1 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 28,408,645 | |||||||||||
|
| |||||||||||
Total Investments (cost $342,819,242) 109.0% | $ | 341,196,487 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (9.0%) | (28,119,943 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 313,076,544 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | All or a portion of the loan is unfunded. |
b | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Non-income producing security. |
e | All or a portion of the security is on loan. |
f | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $18,774,800 or 6.0% of total net assets. |
g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
h | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Balanced Income Plus Portfolio held restricted securities as of December 31, 2015. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. As of December 31, 2015, the value of these investments was $1,914,426 or 0.6% of total net assets.
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Balanced Income Plus Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Taxable Debt Security | $ | 3,212,211 | ||
Common Stock | 6,198,350 | |||
|
| |||
Total lending | $ | 9,410,561 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 9,667,927 | ||
|
| |||
Net amounts due to counterparty | $ | 257,366 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 14,510,739 | ||
Gross unrealized depreciation | (16,857,082 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (2,346,343 | ) | |
Cost for federal income tax purposes | $ | 343,542,830 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
98
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Balanced Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 2,330,347 | — | 2,330,347 | — | ||||||||||||
Capital Goods | 2,332,767 | — | 2,332,767 | — | ||||||||||||
Communications Services | 16,557,158 | — | 15,074,008 | 1,483,150 | ||||||||||||
Consumer Cyclical | 7,799,772 | — | 7,799,772 | — | ||||||||||||
Consumer Non-Cyclical | 8,281,474 | — | 7,892,025 | 389,449 | ||||||||||||
Energy | 3,137,151 | — | 1,175,289 | 1,961,862 | ||||||||||||
Financials | 2,305,272 | — | 2,305,272 | — | ||||||||||||
Technology | 4,094,803 | — | 4,092,790 | 2,013 | ||||||||||||
Transportation | 2,829,865 | — | 2,829,865 | — | ||||||||||||
Utilities | 1,625,869 | — | 1,625,869 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 22,190,132 | 16,806,871 | 5,383,261 | — | ||||||||||||
Consumer Staples | 8,081,235 | 3,297,603 | 4,783,632 | — | ||||||||||||
Energy | 10,062,799 | 9,105,416 | 957,383 | — | ||||||||||||
Financials | 39,555,174 | 29,075,319 | 10,479,855 | — | ||||||||||||
Health Care | 15,162,237 | 12,095,380 | 3,066,857 | — | ||||||||||||
Industrials | 15,561,393 | 9,965,725 | 5,595,668 | — | ||||||||||||
Information Technology | 20,646,463 | 18,335,629 | 2,310,834 | — | ||||||||||||
Materials | 4,065,574 | 1,231,330 | 2,834,244 | — | ||||||||||||
Telecommunications Services | 2,914,154 | 464,793 | 2,449,361 | — | ||||||||||||
Utilities | 3,177,711 | 2,312,044 | 865,667 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 4,509,830 | — | 4,509,830 | — | ||||||||||||
Basic Materials | 994,575 | — | 994,575 | — | ||||||||||||
Capital Goods | 2,614,945 | — | 2,614,945 | — | ||||||||||||
Collateralized Mortgage Obligations | 12,599,688 | — | 12,599,688 | — | ||||||||||||
Communications Services | 4,080,902 | — | 4,080,902 | — | ||||||||||||
Consumer Cyclical | 4,325,687 | — | 4,325,687 | — | ||||||||||||
Consumer Non-Cyclical | 4,395,257 | — | 4,395,257 | — | ||||||||||||
Energy | 2,514,283 | — | 2,514,283 | — | ||||||||||||
Financials | 11,881,495 | — | 10,226,406 | 1,655,089 | ||||||||||||
Foreign Government | 20,245,509 | — | 20,245,509 | — | ||||||||||||
Mortgage-Backed Securities | 16,686,804 | — | 16,686,804 | — | ||||||||||||
Technology | 2,715,813 | — | 2,715,813 | — | ||||||||||||
Transportation | 942,808 | — | 942,808 | — | ||||||||||||
U.S. Government and Agencies | 2,244,518 | — | 2,244,518 | — | ||||||||||||
Utilities | 2,762,699 | — | 2,762,699 | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Equity Funds/ETFs | 7,463,412 | 7,463,412 | — | — | ||||||||||||
Fixed Income Funds/ETFs | 4,459,100 | 4,459,100 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 4,513,544 | 2,810,613 | 1,702,931 | — | ||||||||||||
Materials | 349,056 | 349,056 | — | — | ||||||||||||
Utilities | 108,640 | 108,640 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 9,667,927 | 9,667,927 | — | — | ||||||||||||
Short-Term Investments | 28,408,645 | 27,808,704 | 599,941 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 341,196,487 | $ | 155,357,562 | $ | 180,347,362 | $ | 5,491,563 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 57,315 | 57,315 | — | — | ||||||||||||
Credit Default Swaps | 17,586 | — | 17,586 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 74,901 | $ | 57,315 | $ | 17,586 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 20,373 | �� | 20,373 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 20,373 | $ | 20,373 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
99
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Balanced Income Plus Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $299,961 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (136 | ) | March 2016 | ($ | 29,583,828 | ) | ($ | 29,543,875 | ) | $ | 39,953 | |||||||||
5-Yr. U.S. Treasury Bond Futures | 91 | March 2016 | 10,784,493 | 10,767,148 | (17,345 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | (10 | ) | March 2016 | (1,261,141 | ) | (1,259,063 | ) | 2,078 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 10 | March 2016 | 1,530,890 | 1,537,500 | 6,610 | |||||||||||||||
S&P 500 Mini-Futures | 21 | March 2016 | 2,140,198 | 2,137,170 | (3,028 | ) | ||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures | 7 | March 2016 | 1,102,139 | 1,110,813 | 8,674 | |||||||||||||||
Total Futures Contracts | $ | 36,942 |
The following table presents Balanced Income Plus Portfolio’s swaps contracts held as of December 31, 2015. Investments totaling $99,983 were pledged as collateral under the agreement between the counterparty, the custodian and the fund for open swap contracts.
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Value3 | Unrealized Gain/(Loss) | |||||||||||||
CDX HY 24, 5 Year, at 5.00%; CS First Boston Corporation | Buy | 6/20/2020 | $ | 742,500 | $ | 17,586 | $ | 17,586 | ||||||||||
Total Credit Default Swaps | $ | 17,586 | $ | 17,586 |
1 | As the buyer of protection, Balanced Income Plus Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Balanced Income Plus Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
2 | The maximum potential amount of future payments Balanced Income Plus Portfolio could be required to make as the seller or receive as the buyer of protection. |
3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Balanced Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 57,315 | |||
Total Interest Rate Contracts | 57,315 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 17,586 | ||||
Total Credit Contracts | 17,586 | |||||
|
| |||||
Total Asset Derivatives | $ | 74,901 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 17,345 | ||||
Total Interest Rate Contracts | 17,345 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 3,028 | ||||
Total Equity Contracts | 3,028 | |||||
|
| |||||
Total Liability Derivatives | $ | 20,373 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
100
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Balanced Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 131,125 | ||||
Total Equity Contracts | 131,125 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 82,512 | ||||
Total Interest Rate Contracts | 82,512 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (8,625 | ) | |||
Total Credit Contracts | (8,625 | ) | ||||
|
| |||||
Total | $ | 205,012 | ||||
|
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Balanced Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (180,342 | ) | |||
Total Interest Rate Contracts | (180,342 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (106,731 | ) | |||
Total Equity Contracts | (106,731 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | 17,586 | ||||
Total Credit Contracts | 17,586 | |||||
|
| |||||
Total | ($ | 269,487 | ) | |||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
101
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Balanced Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Swaps (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 2,468,415 | 0.8 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 58,433,766 | 18.5 | N/A | N/A | ||||||||||||
Credit Contracts | N/A | N/A | $ | 20,329 | <0.1 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Balanced Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 6,533,365 | $ | 66,623,658 | $ | 63,489,096 | 9,667,927 | $ | 9,667,927 | $ | 56,920 | |||||||||||||
Cash Management Trust- Short Term Investment | 28,196,804 | 137,925,355 | 138,313,455 | 27,808,704 | 27,808,704 | 24,587 | ||||||||||||||||||
Total Value and Income Earned | $ | 34,730,169 | $ | 37,476,631 | $ | 81,507 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
102
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (13.3%) | Value | % of Net Assets | |||||||||
| Basic Materials (0.9%) |
| ||||||||||
Other Securities^ | $ | 4,192,766 | 0.9 | % | ||||||||
|
| |||||||||||
Total | 4,192,766 | |||||||||||
|
| |||||||||||
| Capital Goods (0.5%) |
| ||||||||||
Other Securities^ | 2,425,536 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 2,425,536 | |||||||||||
|
| |||||||||||
| Communications Services (3.9%) |
| ||||||||||
Other Securities^ | 18,806,749 | 3.9 | % | |||||||||
|
| |||||||||||
Total | 18,806,749 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (2.2%) |
| ||||||||||
Other Securities^ | 10,418,610 | 2.2 | % | |||||||||
|
| |||||||||||
Total | 10,418,610 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (1.9%) |
| ||||||||||
Other Securities^ | 9,024,432 | 1.9 | % | |||||||||
|
| |||||||||||
Total | 9,024,432 | |||||||||||
|
| |||||||||||
| Energy (0.7%) |
| ||||||||||
Other Securities^ | 3,195,555 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 3,195,555 | |||||||||||
|
| |||||||||||
| Financials (0.7%) |
| ||||||||||
Other Securities^ | 3,270,374 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 3,270,374 | |||||||||||
|
| |||||||||||
| Technology (1.3%) |
| ||||||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||||||
$2,000,000 | 0.000%, 11/13/2022a,b,c | 1,976,260 | 0.4 | % | ||||||||
Other Securities^ | 4,452,156 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 6,428,416 | |||||||||||
|
| |||||||||||
| Transportation (0.8%) |
| ||||||||||
Other Securities^ | 4,120,138 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 4,120,138 | |||||||||||
|
| |||||||||||
| Utilities (0.4%) |
| ||||||||||
Other Securities^ | 1,765,402 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 1,765,402 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $67,667,601) | 63,647,978 | |||||||||||
|
| |||||||||||
Long-Term Fixed Income (42.7%) | ||||||||||||
| Asset-Backed Securities (3.6%) |
| ||||||||||
Other Securities^ | 17,345,797 | 3.6 | % | |||||||||
|
| |||||||||||
Total | 17,345,797 | |||||||||||
|
| |||||||||||
| Basic Materials (0.5%) |
| ||||||||||
Other Securities^ | 2,590,502 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 2,590,502 | |||||||||||
|
| |||||||||||
| Capital Goods (1.4%) |
| ||||||||||
Other Securities^ | 6,511,742 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 6,511,742 | |||||||||||
|
| |||||||||||
| Collateralized Mortgage Obligations (13.6%) |
| ||||||||||
Alternative Loan Trust | ||||||||||||
1,127,592 | 5.500%, 5/25/2035 | 1,131,305 | 0.2 | % | ||||||||
Countrywide Alternative Loan Trust | ||||||||||||
2,174,438 | 0.822% - 6.000%, 2/25/2035 - 4/25/2036d | 1,960,649 | 0.4 | % | ||||||||
Countrywide Home Loan Mortgage Pass Through Trust | ||||||||||||
1,662,556 | 2.706% - 2.725%, 11/25/2035 - 2/20/2036 | 1,426,690 | 0.3 | % | ||||||||
Federal National Mortgage Association | ||||||||||||
8,375,592 | 2.500% - 3.500%, 2/25/2028 - 1/25/2033e | 918,987 | 0.3 | % | ||||||||
GMAC Mortgage Corporation Loan Trust | ||||||||||||
1,368,559 | 3.149%, 5/25/2035 | 1,289,544 | 0.3 | % | ||||||||
HarborView Mortgage Loan Trust | ||||||||||||
1,514,528 | 2.685%, 7/19/2035 | 1,333,471 | 0.3 | % | ||||||||
Residential Accredit Loans, Inc. | ||||||||||||
1,671,254 | 3.633%, 9/25/2035 | 1,385,271 | 0.3 | % | ||||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||||||
1,326,354 | 2.731%, 7/25/2036 | 1,299,613 | 0.3 | % | ||||||||
Other Securities^ | 54,296,180 | 11.2 | % | |||||||||
|
| |||||||||||
Total | 65,041,710 | |||||||||||
|
| |||||||||||
| Commercial Mortgage-Backed Securities (0.1%) |
| ||||||||||
Other Securities^ | 675,229 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 675,229 | |||||||||||
|
| |||||||||||
| Communications Services (2.0%) |
| ||||||||||
Other Securities^ | 9,550,767 | 2.0 | % | |||||||||
|
| |||||||||||
Total | 9,550,767 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (1.9%) |
| ||||||||||
Other Securities^ | 8,916,524 | 1.9 | % | |||||||||
|
| |||||||||||
Total | 8,916,524 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (1.9%) |
| ||||||||||
Other Securities^ | 9,202,151 | 1.9 | % | |||||||||
|
| |||||||||||
Total | 9,202,151 | |||||||||||
|
| |||||||||||
| Energy (1.5%) |
| ||||||||||
Other Securities^ | 7,155,208 | 1.5 | % | |||||||||
|
| |||||||||||
Total | 7,155,208 | |||||||||||
|
| |||||||||||
| Financials (7.7%) |
| ||||||||||
Bank of America Corporation | ||||||||||||
312,000 | 5.650% - 8.000%, 5/2/2017 - 12/29/2049f | 324,975 | 0.1 | % | ||||||||
Goldman Sachs Group, Inc. Convertible | ||||||||||||
2,450,000 | 0.500%, 9/24/2022 | 2,534,353 | 0.5 | % | ||||||||
ILFC E-Capital Trust II | ||||||||||||
1,575,000 | 4.740%, 12/21/2065d,g | 1,449,000 | 0.3 | % | ||||||||
Other Securities^ | 32,703,977 | 6.8 | % | |||||||||
|
| |||||||||||
Total | 37,012,305 | |||||||||||
|
| |||||||||||
| Foreign Government (2.9%) |
| ||||||||||
Other Securities^ | 13,821,650 | 2.9 | % | |||||||||
|
| |||||||||||
Total | 13,821,650 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
103
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (42.7%) | Value | % of Net Assets | |||||||||
| Mortgage-Backed Securities (1.9%) | |||||||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||||||
$6,500,000 | 3.500%, 1/1/2046c | $ | 6,706,201 | 1.4 | % | |||||||
2,150,000 | 4.000%, 1/1/2046c | 2,275,069 | 0.5 | % | ||||||||
|
| |||||||||||
Total | 8,981,270 | |||||||||||
|
| |||||||||||
Technology (1.3%) | ||||||||||||
Other Securities^ | 6,408,789 | 1.3 | % | |||||||||
|
| |||||||||||
Total | 6,408,789 | |||||||||||
|
| |||||||||||
Transportation (0.3%) | ||||||||||||
Other Securities^ | 1,671,366 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 1,671,366 | |||||||||||
|
| |||||||||||
U.S. Government and Agencies (0.4%) | ||||||||||||
Other Securities^ | 1,952,041 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 1,952,041 | |||||||||||
|
| |||||||||||
Utilities (1.7%) | ||||||||||||
Southern California Edison Company | ||||||||||||
1,700,000 | 6.250%, 8/1/2049f | 1,872,975 | 0.4 | % | ||||||||
Other Securities^ | 6,108,666 | 1.3 | % | |||||||||
|
| |||||||||||
Total | 7,981,641 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $205,832,025) | 204,818,692 | |||||||||||
|
| |||||||||||
Shares | Common Stock (29.1%) | |||||||||||
Consumer Discretionary (4.2%) | ||||||||||||
3,060 | Amazon.com, Inc.h | 2,068,223 | 0.4 | % | ||||||||
2,340 | AutoZone, Inc.h | 1,736,069 | 0.4 | % | ||||||||
37,814 | Comcast Corporation | 2,133,844 | 0.5 | % | ||||||||
26,840 | NIKE, Inc. | 1,677,500 | 0.4 | % | ||||||||
Other Securities^ | 12,571,543 | 2.5 | % | |||||||||
|
| |||||||||||
Total | 20,187,179 | |||||||||||
|
| |||||||||||
Consumer Staples (1.5%) | ||||||||||||
10,031 | Anheuser-Busch InBev NV ADR | 1,253,875 | 0.3 | % | ||||||||
Other Securities^ | 6,093,545 | 1.2 | % | |||||||||
|
| |||||||||||
Total | 7,347,420 | |||||||||||
|
| |||||||||||
Energy (2.0%) | ||||||||||||
28,500 | Royal Dutch Shell plc ADR | 1,305,015 | 0.3 | % | ||||||||
54,000 | Spectra Energy Corporation | 1,292,760 | 0.3 | % | ||||||||
32,770 | Total SA ADR | 1,473,012 | 0.3 | % | ||||||||
163,480 | Weatherford International, Ltd.h | 1,371,597 | 0.3 | % | ||||||||
Other Securities^ | 4,188,042 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 9,630,426 | |||||||||||
|
| |||||||||||
Financials (9.6%) | ||||||||||||
7,600 | Allianz SE | 1,339,720 | 0.3 | % | ||||||||
115,400 | Ares Capital Corporation | 1,644,450 | 0.4 | % | ||||||||
53,050 | Charles Schwab Corporation | 1,746,937 | 0.4 | % | ||||||||
28,890 | Citigroup, Inc. | 1,495,058 | 0.3 | % | ||||||||
120,000 | Golub Capital BDC, Inc. | 1,995,600 | 0.4 | % | ||||||||
6,710 | Simon Property Group, Inc. | 1,304,692 | 0.3 | % | ||||||||
93,000 | Solar Capital, Ltd. | 1,527,990 | 0.3 | % | ||||||||
232,750 | Two Harbors Investment Corporation | 1,885,275 | 0.4 | % | ||||||||
Other Securities^ | 33,047,704 | 6.8 | % | |||||||||
|
| |||||||||||
Total | 45,987,426 | |||||||||||
|
| |||||||||||
Health Care (2.9%) | ||||||||||||
37,940 | Abbott Laboratories | 1,703,885 | 0.4 | % | ||||||||
4,440 | Allergan plch | 1,387,500 | 0.3 | % | ||||||||
24,480 | Medtronic, Inc. | 1,883,002 | 0.4 | % | ||||||||
36,080 | Merck & Company, Inc. | 1,905,746 | 0.4 | % | ||||||||
Other Securities^ | 6,906,992 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 13,787,125 | |||||||||||
|
| |||||||||||
Industrials (3.0%) | ||||||||||||
16,420 | Boeing Company | 2,374,168 | 0.5 | % | ||||||||
24,946 | Illinois Tool Works, Inc. | 2,311,995 | 0.5 | % | ||||||||
20,000 | Macquarie Infrastructure Corporation | 1,452,000 | 0.3 | % | ||||||||
Other Securities^ | 8,135,281 | 1.7 | % | |||||||||
|
| |||||||||||
Total | 14,273,444 | |||||||||||
|
| |||||||||||
Information Technology (3.9%) | ||||||||||||
13,650 | Apple, Inc. | 1,436,799 | 0.3 | % | ||||||||
37,360 | Microsoft Corporation | 2,072,733 | 0.4 | % | ||||||||
23,490 | Visa, Inc. | 1,821,649 | 0.4 | % | ||||||||
Other Securities^ | 13,436,634 | 2.8 | % | |||||||||
|
| |||||||||||
Total | 18,767,815 | |||||||||||
|
| |||||||||||
Materials (0.8%) | ||||||||||||
Other Securities^ | 3,720,681 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 3,720,681 | |||||||||||
|
| |||||||||||
Telecommunications Services (0.6%) | ||||||||||||
Other Securities^ | 2,691,998 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 2,691,998 | |||||||||||
|
| |||||||||||
Utilities (0.6%) | ||||||||||||
38,000 | Brookfield Infrastructure Partners, LP | 1,440,580 | 0.3 | % | ||||||||
Other Securities^ | 1,599,732 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 3,040,312 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $143,958,554) | 139,433,826 | |||||||||||
|
| |||||||||||
Registered Investment Companies (4.2%) | ||||||||||||
Equity Funds/ETFs (2.9%) | ||||||||||||
256,500 | Alerian MLP ETF | 3,090,825 | 0.6 | % | ||||||||
114,000 | iShares FTSE NAREIT Mortgage Plus Capped Index Fund | 1,089,840 | 0.2 | % | ||||||||
12,900 | iShares MSCI EAFE Index Fund | 757,875 | 0.2 | % | ||||||||
27,000 | iShares S&P U.S. Preferred Stock Index Fund | 1,048,950 | 0.2 | % | ||||||||
42,620 | Materials Select Sector SPDR Fund | 1,850,560 | 0.4 | % | ||||||||
98,600 | SPDR S&P Oil & Gas Exploration & Production ETF | 2,979,692 | 0.6 | % | ||||||||
38,120 | Utilities Select Sector SPDR Fund | 1,649,834 | 0.3 | % | ||||||||
25,000 | Vanguard High Dividend Yield ETF | 1,668,750 | 0.4 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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DIVERSIFIED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (4.2%) | Value | % of Net Assets | |||||||||
| Equity Funds/ETFs (2.9%) - continued |
| ||||||||||
Other Securities^ | $ | 31,892 | <0.1 | % | ||||||||
|
| |||||||||||
Total | 14,168,218 | |||||||||||
|
| |||||||||||
| Fixed Income Funds/ETFs (1.3%) |
| ||||||||||
9,100 | iShares Intermediate Credit Bond ETF | 976,248 | 0.2 | % | ||||||||
14,178 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 1,499,749 | 0.3 | % | ||||||||
50,740 | Vanguard Short-Term Corporate Bond ETF | 4,007,952 | 0.8 | % | ||||||||
|
| |||||||||||
Total | 6,483,949 | |||||||||||
|
| |||||||||||
Total Registered Investment Companies (cost $22,792,018) | 20,652,167 | |||||||||||
|
| |||||||||||
Preferred Stock (3.9%) | ||||||||||||
| Financials (3.6%) |
| ||||||||||
800 | Bank of America Corporation, Convertible, 7.250%f | 874,616 | 0.2 | % | ||||||||
13,380 | Cobank ACB, 6.250%f,g | 1,373,541 | 0.3 | % | ||||||||
16,000 | Countrywide Capital V, 7.000% | 410,080 | 0.1 | % | ||||||||
53,200 | GMAC Capital Trust I, 8.125% | 1,349,152 | 0.3 | % | ||||||||
50,800 | Goldman Sachs Group, Inc., 5.500%f | 1,315,212 | 0.3 | % | ||||||||
57,000 | RBS Capital Funding Trust V, 5.900%f | 1,398,780 | 0.3 | % | ||||||||
1,125 | Wells Fargo & Company, Convertible, 7.500%f | 1,306,125 | 0.3 | % | ||||||||
Other Securities^ | 9,179,405 | 1.8 | % | |||||||||
|
| |||||||||||
Total | 17,206,911 | |||||||||||
|
| |||||||||||
| Materials (0.3%) |
| ||||||||||
Other Securities^ | 1,360,214 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 1,360,214 | |||||||||||
|
| |||||||||||
Total Preferred Stock (cost $18,339,076) | 18,567,125 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (0.1%) | ||||||||||||
341,050 | Thrivent Cash Management Trust | 341,050 | 0.1 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $341,050) | 341,050 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (9.0%)i | |||||||||||
Federal National Mortgage Association Discount Notes | ||||||||||||
800,000 | 0.090% - 0.110%, 1/14/2016 - 1/20/2016J | 799,963 | 0.2 | % | ||||||||
Thrivent Cash Management Trust | ||||||||||||
40,972,462 | 0.220% | 40,972,462 | 8.5 | % | ||||||||
Other Securities^ | 1,399,959 | 0.3 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 43,172,384 | |||||||||||
|
| |||||||||||
Total Investments (cost $502,102,708) 102.3% | $ | 490,633,222 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (2.3%) | (11,060,437 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 479,572,785 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | All or a portion of the loan is unfunded. |
b | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
e | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
f | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
g | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $46,263,037 or 9.6% of total net assets. |
h | Non-income producing security. |
i | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
j | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
Diversified Income Plus Portfolio held restricted securities as of December 31, 2015. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. As of December 31, 2015, the value of these investments was $10,982,945 or 2.3% of total net assets.
The accompanying Notes to Financial Statements are an integral part of this schedule.
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DIVERSIFIED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Diversified Income Plus Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 319,654 | ||
|
| |||
Total lending | $ | 319,654 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 341,050 | ||
|
| |||
Net amounts due to counterparty | $ | 21,396 |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 13,112,383 | ||
Gross unrealized depreciation | (25,240,716 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (12,128,333 | ) | |
Cost for federal income tax purposes | $ | 502,761,555 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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DIVERSIFIED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Diversified Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 4,192,766 | — | 3,607,605 | 585,161 | ||||||||||||
Capital Goods | 2,425,536 | — | 2,425,536 | — | ||||||||||||
Communications Services | 18,806,749 | — | 17,596,174 | 1,210,575 | ||||||||||||
Consumer Cyclical | 10,418,610 | — | 10,418,610 | — | ||||||||||||
Consumer Non-Cyclical | 9,024,432 | — | 8,608,375 | 416,057 | ||||||||||||
Energy | 3,195,555 | — | 1,297,942 | 1,897,613 | ||||||||||||
Financials | 3,270,374 | — | 3,270,374 | — | ||||||||||||
Technology | 6,428,416 | — | 6,426,109 | 2,307 | ||||||||||||
Transportation | 4,120,138 | — | 4,120,138 | — | ||||||||||||
Utilities | 1,765,402 | — | 1,765,402 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 17,345,797 | — | 17,345,797 | — | ||||||||||||
Basic Materials | 2,590,502 | — | 2,590,502 | — | ||||||||||||
Capital Goods | 6,511,742 | — | 6,511,742 | — | ||||||||||||
Collateralized Mortgage Obligations | 65,041,710 | — | 65,041,710 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 675,229 | — | 675,229 | — | ||||||||||||
Communications Services | 9,550,767 | — | 9,550,767 | — | ||||||||||||
Consumer Cyclical | 8,916,524 | — | 8,916,524 | — | ||||||||||||
Consumer Non-Cyclical | 9,202,151 | — | 9,202,151 | — | ||||||||||||
Energy | 7,155,208 | — | 7,155,208 | — | ||||||||||||
Financials | 37,012,305 | — | 34,477,952 | 2,534,353 | ||||||||||||
Foreign Government | 13,821,650 | — | 13,821,650 | — | ||||||||||||
Mortgage-Backed Securities | 8,981,270 | — | 8,981,270 | — | ||||||||||||
Technology | 6,408,789 | — | 6,408,789 | — | ||||||||||||
Transportation | 1,671,366 | — | 1,671,366 | — | ||||||||||||
U.S. Government and Agencies | 1,952,041 | — | 1,952,041 | — | ||||||||||||
Utilities | 7,981,641 | — | 7,981,641 | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 20,187,179 | 15,282,387 | 4,904,792 | — | ||||||||||||
Consumer Staples | 7,347,420 | 2,985,612 | 4,361,808 | — | ||||||||||||
Energy | 9,630,426 | 8,750,442 | 879,984 | — | ||||||||||||
Financials | 45,987,426 | 36,359,753 | 9,627,673 | — | ||||||||||||
Health Care | 13,787,125 | 11,003,150 | 2,783,975 | — | ||||||||||||
Industrials | 14,273,444 | 9,214,160 | 5,059,284 | — | ||||||||||||
Information Technology | 18,767,815 | 16,643,505 | 2,124,310 | — | ||||||||||||
Materials | 3,720,681 | 1,129,951 | 2,590,730 | — | ||||||||||||
Telecommunications Services | 2,691,998 | 425,174 | 2,266,824 | — | ||||||||||||
Utilities | 3,040,312 | 2,258,722 | 781,590 | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Equity Funds/ETFs | 14,168,218 | 14,168,218 | — | — | ||||||||||||
Fixed Income Funds/ETFs | 6,483,949 | 6,483,949 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 17,206,911 | 14,822,202 | 2,384,709 | — | ||||||||||||
Materials | 1,360,214 | 1,360,214 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 341,050 | 341,050 | — | — | ||||||||||||
Short-Term Investments | 43,172,384 | 40,972,462 | 2,199,922 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 490,633,222 | $ | 182,200,951 | $ | 301,786,205 | $ | 6,646,066 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 71,364 | 71,364 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 71,364 | $ | 71,364 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 456,301 | 456,301 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 456,301 | $ | 456,301 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
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DIVERSIFIED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Diversified Income Plus Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $2,199,922 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (180 | ) | March 2016 | ($ | 39,155,067 | ) | ($ | 39,102,188 | ) | $ | 52,879 | |||||||||
5-Yr. U.S. Treasury Bond Futures | 302 | March 2016 | 35,790,295 | 35,732,734 | (57,561 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | (48 | ) | March 2016 | (6,053,476 | ) | (6,043,500 | ) | 9,976 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 11 | March 2016 | 1,683,979 | 1,691,249 | 7,270 | |||||||||||||||
S&P 500 Futures | (45 | ) | March 2016 | (22,510,501 | ) | (22,898,250 | ) | (387,749 | ) | |||||||||||
S&P 500 Mini-Futures | 41 | March 2016 | 4,183,561 | 4,172,570 | (10,991 | ) | ||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures | 1 | March 2016 | 157,448 | 158,687 | 1,239 | |||||||||||||||
Total Futures Contracts | ($ | 384,937 | ) |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 71,364 | |||
Total Interest Rate Contracts | 71,364 | |||||
|
| |||||
Total Asset Derivatives | $ | 71,364 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 57,561 | ||||
Total Interest Rate Contracts | 57,561 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 398,740 | ||||
Total Equity Contracts | 398,740 | |||||
|
| |||||
Total Liability Derivatives | $ | 456,301 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 349,479 | ||||
Total Equity Contracts | 349,479 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 679,143 | ||||
Total Interest Rate Contracts | 679,143 | |||||
|
| |||||
Total | $ | 1,028,622 | ||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
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DIVERSIFIED INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Diversified Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (315,319 | ) | |||
Total Interest Rate Contracts | (315,319 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (518,562 | ) | |||
Total Equity Contracts | (518,562 | ) | ||||
|
| |||||
Total | ($ | 833,881 | ) | |||
|
|
The following table presents Diversified Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | ||||||
Equity Contracts | $ | 27,563,081 | 5.9 | % | ||||
Interest Rate Contracts | 106,301,667 | 22.8 |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Diversified Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 2,146,445 | $ | 21,051,701 | $ | 22,857,096 | 341,050 | $ | 341,050 | $ | 34,483 | |||||||||||||
Cash Management Trust- Short Term Investment | 46,646,332 | 257,524,268 | 263,198,138 | 40,972,462 | 40,972,462 | 34,703 | ||||||||||||||||||
Total Value and Income Earned | $ | 48,792,777 | $ | 41,313,512 | $ | 69,186 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
109
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OPPORTUNITY INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (28.6%) | Value | % of Net Assets | |||||||||
| Basic Materials (1.5%) |
| ||||||||||
Tronox Pigments BV, Term Loan | ||||||||||||
$ | 562,661 | 4.500%, 3/19/2020a | $ | 496,548 | 0.5 | % | ||||||
Other Securities^ | 997,347 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 1,493,895 | |||||||||||
|
| |||||||||||
| Capital Goods (2.1%) |
| ||||||||||
Berry Plastics Group, Inc., Term Loan | ||||||||||||
1,363,167 | 4.000%, 10/3/2022a | 1,349,535 | 1.4 | % | ||||||||
Other Securities^ | 708,834 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 2,058,369 | |||||||||||
|
| |||||||||||
| Communications Services (9.2%) |
| ||||||||||
Birch Communication Inc., Term Loan | ||||||||||||
653,906 | 7.750%, 7/17/2020a | 624,481 | 0.6 | % | ||||||||
Cengage Learning Acquisitions, Term Loan | ||||||||||||
697,438 | 7.000%, 3/31/2020a | 678,258 | 0.7 | % | ||||||||
CSC Holdings, LLC, Term Loan | ||||||||||||
1,250,000 | 5.000%, 10/9/2022a | 1,246,488 | 1.3 | % | ||||||||
Liberty Cablevision of Puerto Rico, LLC, Term Loan | ||||||||||||
475,000 | 4.500%, 1/7/2022a | 458,969 | 0.5 | % | ||||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||||||
522,451 | 4.750%, 3/22/2019a | 509,823 | 0.5 | % | ||||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||||||
738,750 | 3.250%, 3/24/2021a | 722,128 | 0.7 | % | ||||||||
XO Communications, LLC, Term Loan | ||||||||||||
687,750 | 4.250%, 3/20/2021a | 670,212 | 0.7 | % | ||||||||
Other Securities^ | 4,247,698 | 4.2 | % | |||||||||
|
| |||||||||||
Total | 9,158,057 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (4.4%) |
| ||||||||||
Amaya BV, Term Loan | ||||||||||||
355,513 | 5.000%, 8/1/2021a | 332,405 | 0.3 | % | ||||||||
IMG Worldwide, Inc., Term Loan | ||||||||||||
1,473,468 | 5.250%, 5/6/2021a | 1,445,384 | 1.5 | % | ||||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||||||
762,653 | 5.500%, 6/15/2018a | 744,403 | 0.8 | % | ||||||||
Other Securities^ | 1,861,689 | 1.8 | % | |||||||||
|
| |||||||||||
Total | 4,383,881 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (4.2%) |
| ||||||||||
Endo Luxembourg Finance I Co Sarl, Term Loan | ||||||||||||
365,000 | 3.750%, 9/26/2022a | 359,678 | 0.3 | % | ||||||||
JBS USA, LLC, Term Loan | ||||||||||||
1,318,532 | 3.750%, 5/25/2018a | 1,310,291 | 1.3 | % | ||||||||
210,000 | 4.000%, 10/30/2022a | 209,213 | 0.2 | % | ||||||||
LTF Merger Sub, Inc., Term Loan | ||||||||||||
810,925 | 4.250%, 6/10/2022a | 789,135 | 0.8 | % | ||||||||
Ortho-Clinical Diagnostics, Inc., Term Loan | ||||||||||||
477,577 | 4.750%, 6/30/2021a | 402,955 | 0.4 | % | ||||||||
Valeant Pharmaceuticals International, Inc., Term Loan | ||||||||||||
523,681 | 4.000%, 4/1/2022a,b,c | 502,603 | 0.5 | % | ||||||||
Other Securities^ | 673,674 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 4,247,549 | |||||||||||
|
| |||||||||||
| Energy (1.0%) |
| ||||||||||
Other Securities^ | 972,464 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 972,464 | |||||||||||
|
| |||||||||||
| Financials (2.0%) |
| ||||||||||
TransUnion, LLC, Term Loan | ||||||||||||
1,350,937 | 3.500%, 4/9/2021a | 1,309,842 | 1.3 | % | ||||||||
Other Securities^ | 687,940 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 1,997,782 | |||||||||||
|
| |||||||||||
| Technology (1.9%) |
| ||||||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||||||
325,000 | 0.000%, 11/13/2022a,b,c | 321,142 | 0.3 | % | ||||||||
Avago Technologies, Ltd., Term Loan | ||||||||||||
535,011 | 3.750%, 5/6/2021a | 533,229 | 0.5 | % | ||||||||
Other Securities^ | 1,042,808 | 1.1 | % | |||||||||
|
| |||||||||||
Total | 1,897,179 | |||||||||||
|
| |||||||||||
| Transportation (1.4%) |
| ||||||||||
American Airlines, Inc., Term Loan | ||||||||||||
496,163 | 3.250%, 6/27/2020a | 487,867 | 0.5 | % | ||||||||
OSG Bulk Ships, Inc., Term Loan | ||||||||||||
640,250 | 5.250%, 8/5/2019a | 613,039 | 0.6 | % | ||||||||
Other Securities^ | 263,564 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 1,364,470 | |||||||||||
|
| |||||||||||
| Utilities (0.9%) |
| ||||||||||
Calpine Corporation, Term Loan | ||||||||||||
735,000 | 4.000%, 10/31/2020a | 714,788 | 0.7 | % | ||||||||
Other Securities^ | 224,073 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 938,861 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $30,301,125) | 28,512,507 | |||||||||||
|
| |||||||||||
Long-Term Fixed Income (55.0%) | ||||||||||||
| Asset-Backed Securities (3.9%) |
| ||||||||||
GMAC Mortgage Corporation Loan Trust | ||||||||||||
397,603 | 0.401%, 8/25/2035d,e | 371,968 | 0.4 | % | ||||||||
Other Securities^ | 3,565,793 | 3.5 | % | |||||||||
|
| |||||||||||
Total | 3,937,761 | |||||||||||
|
| |||||||||||
| Basic Materials (0.6%) |
| ||||||||||
Other Securities^ | 546,377 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 546,377 | |||||||||||
|
| |||||||||||
| Capital Goods (1.8%) |
| ||||||||||
Berry Plastics Corporation | ||||||||||||
95,000 | 6.000%, 10/15/2022f | 96,663 | 0.1 | % | ||||||||
Other Securities^ | 1,735,830 | 1.7 | % | |||||||||
|
| |||||||||||
Total | 1,832,493 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
110
Table of Contents
OPPORTUNITY INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (55.0%) | Value | % of Net Assets | |||||||||
| Collateralized Mortgage Obligations (7.0%) |
| ||||||||||
Alternative Loan Trust | ||||||||||||
$ | 92,940 | 5.500%, 5/25/2035 | $ | 93,246 | 0.1 | % | ||||||
Countrywide Alternative Loan Trust | ||||||||||||
396,283 | 5.500% - 5.750%, 8/25/2035 - 2/25/2036 | 372,368 | 0.5 | % | ||||||||
Other Securities^ | 6,442,141 | 6.4 | % | |||||||||
|
| |||||||||||
Total | 6,907,755 | |||||||||||
|
| |||||||||||
| Communications Services (2.4%) |
| ||||||||||
Other Securities^ | 2,383,359 | 2.4 | % | |||||||||
|
| |||||||||||
Total | 2,383,359 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (2.4%) |
| ||||||||||
Other Securities^ | 2,345,343 | 2.4 | % | |||||||||
|
| |||||||||||
Total | 2,345,343 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (2.3%) |
| ||||||||||
JBS USA, LLC | ||||||||||||
170,000 | 5.750%, 6/15/2025f | 147,900 | 0.2 | % | ||||||||
Other Securities^ | 2,180,178 | 2.1 | % | |||||||||
|
| |||||||||||
Total | 2,328,078 | |||||||||||
|
| |||||||||||
| Energy (1.5%) |
| ||||||||||
Petrobras International Finance Company | ||||||||||||
215,000 | 5.750%, 1/20/2020 | 168,775 | 0.2 | % | ||||||||
Petroleos Mexicanos | ||||||||||||
280,000 | 5.625%, 1/23/2046f | 214,256 | 0.2 | % | ||||||||
Other Securities^ | 1,070,567 | 1.1 | % | |||||||||
|
| |||||||||||
Total | 1,453,598 | |||||||||||
|
| |||||||||||
| Financials (4.3%) |
| ||||||||||
Bank of America Corporation | ||||||||||||
213,000 | 1.656% - 8.000%, 5/2/2017 - 12/29/2049e,g | 216,812 | 0.2 | % | ||||||||
J.P. Morgan Chase & Company | ||||||||||||
280,000 | 6.750%, 8/29/2049g | 305,200 | 0.3 | % | ||||||||
Other Securities^ | 3,807,546 | 3.8 | % | |||||||||
|
| |||||||||||
Total | 4,329,558 | |||||||||||
|
| |||||||||||
| Foreign Government (11.5%) |
| ||||||||||
Brazil Government International Bond | ||||||||||||
440,000 | 2.625%, 1/5/2023 | 334,400 | 0.3 | % | ||||||||
883,000 | 4.875% - 5.875%, 1/15/2019 - 1/27/2045 | 761,165 | 0.8 | % | ||||||||
Hungary Government International Bond | ||||||||||||
286,000 | 5.750%, 11/22/2023 | 320,005 | 0.3 | % | ||||||||
334,000 | 5.375%, 3/25/2024 | 365,730 | 0.4 | % | ||||||||
Indonesia Government International Bond | ||||||||||||
282,000 | 5.875%, 1/15/2024f | 302,111 | 0.3 | % | ||||||||
375,000 | 5.125%, 1/15/2045f | 339,130 | 0.3 | % | ||||||||
875,000 | 3.375% - 4.875%, 5/5/2021 - 1/8/2026f | 856,458 | 0.8 | % | ||||||||
Mexico Government International Bond | ||||||||||||
388,000 | 3.600%, 1/30/2025 | 378,106 | 0.4 | % | ||||||||
1,181,000 | 3.625% - 6.050%, 3/15/2022 - 1/23/2046 | 1,144,585 | 1.2 | % | ||||||||
Peru Government International Bond | ||||||||||||
465,000 | 4.125%, 8/25/2027 | 455,700 | 0.5 | % | ||||||||
Russia Government International Bond | ||||||||||||
600,000 | 5.000%, 4/29/2020f | 619,200 | 0.6 | % | ||||||||
360,000 | 4.875%, 9/16/2023f | 365,760 | 0.4 | % | ||||||||
279,650 | 7.500%, 3/31/2030f | 335,045 | 0.3 | % | ||||||||
470,000 | 3.500% - 5.625%, 1/16/2019 - 4/4/2042f | 453,832 | 0.5 | % | ||||||||
Turkey Government International Bond | ||||||||||||
282,000 | 7.500%, 11/7/2019 | 316,198 | 0.3 | % | ||||||||
400,000 | 7.000%, 6/5/2020 | 445,062 | 0.4 | % | ||||||||
295,000 | 5.125%, 3/25/2022 | 302,744 | 0.3 | % | ||||||||
376,000 | 4.875%, 4/16/2043 | 330,880 | 0.3 | % | ||||||||
570,000 | 4.250% - 6.250%, 9/26/2022 - 4/14/2026 | 573,421 | 0.6 | % | ||||||||
Other Securities^ | 2,427,098 | 2.5 | % | |||||||||
|
| |||||||||||
Total | 11,426,630 | |||||||||||
|
| |||||||||||
| Mortgage-Backed Securities (11.8%) |
| ||||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||||||
550,000 | 3.000%, 1/1/2031c | 566,760 | 0.6 | % | ||||||||
Federal Home Loan Mortgage Corporation Gold 20-Yr. Pass Through | ||||||||||||
35,551 | 5.500%, 9/1/2024 | 39,278 | <0.1 | % | ||||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||||||
750,000 | 4.000%, 1/1/2046c | 792,290 | 0.8 | % | ||||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||||||
750,000 | 3.500%, 1/1/2030c | 785,420 | 0.8 | % | ||||||||
Federal National Mortgage Association Conventional 20-Yr. Pass Through | ||||||||||||
265,734 | 6.000%, 8/1/2024 | 299,873 | 0.3 | % | ||||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||||||
4,525,000 | 3.500%, 1/1/2046c | 4,668,548 | 4.7 | % | ||||||||
3,000,000 | 4.000%, 1/1/2046c | 3,174,516 | 3.2 | % | ||||||||
1,325,000 | 4.500%, 1/1/2046c | 1,430,834 | 1.4 | % | ||||||||
|
| |||||||||||
Total | 11,757,519 | |||||||||||
|
| |||||||||||
| Technology (1.6%) |
| ||||||||||
Other Securities^ | 1,612,602 | 1.6 | % | |||||||||
|
| |||||||||||
Total | 1,612,602 | |||||||||||
|
| |||||||||||
| Transportation (0.5%) |
| ||||||||||
Other Securities^ | 520,120 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 520,120 | |||||||||||
|
| |||||||||||
| U.S. Government and Agencies (2.1%) |
| ||||||||||
U.S. Treasury Notes | ||||||||||||
1,000,000 | 1.875%, 6/30/2020 | 1,006,992 | 1.0 | % | ||||||||
1,070,000 | 2.125%, 6/30/2022 | 1,075,517 | 1.1 | % | ||||||||
|
| |||||||||||
Total | 2,082,509 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
111
Table of Contents
OPPORTUNITY INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (55.0%) | Value | % of Net Assets | |||||||||
| Utilities (1.3%) |
| ||||||||||
Other Securities^ | $ | 1,337,884 | 1.3 | % | ||||||||
|
| |||||||||||
Total | 1,337,884 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $55,959,676) | 54,801,586 | |||||||||||
|
| |||||||||||
Shares | Registered Investment Companies (5.8%) | |||||||||||
| Equity Funds/ETFs (0.4%) | |||||||||||
14,800 | iShares FTSE NAREIT Mortgage Plus Capped Index Fund | 141,488 | 0.1 | % | ||||||||
Other Securities^ | 303,611 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 445,099 | |||||||||||
|
| |||||||||||
| Fixed Income Funds/ETFs (5.4%) | |||||||||||
26,259 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 2,777,677 | 2.8 | % | ||||||||
19,685 | Vanguard Short-Term Corporate Bond ETF | 1,554,918 | 1.6 | % | ||||||||
Other Securities^ | 1,094,760 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 5,427,355 | |||||||||||
|
| |||||||||||
Total Registered Investment Companies (cost $6,312,197) | 5,872,454 | |||||||||||
|
| |||||||||||
Preferred Stock (2.0%) | ||||||||||||
| Financials (1.7%) | |||||||||||
117 | Bank of America Corporation, Convertible, 7.250%g | 127,913 | 0.1 | % | ||||||||
Other Securities^ | 1,575,657 | 1.6 | % | |||||||||
|
| |||||||||||
Total | 1,703,570 | |||||||||||
|
| |||||||||||
| Materials (0.1%) | |||||||||||
Other Securities^ | 62,175 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 62,175 | |||||||||||
|
| |||||||||||
| Utilities (0.2%) | |||||||||||
Other Securities^ | 217,280 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 217,280 | |||||||||||
|
| |||||||||||
Total Preferred Stock (cost $1,898,701) | 1,983,025 | |||||||||||
|
| |||||||||||
Common Stock (0.7%) | ||||||||||||
| Financials (0.7%) | |||||||||||
Other Securities^ | 681,808 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 681,808 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $798,875) | 681,808 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (20.0%)h | |||||||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||||||
200,000 | 0.100%, 1/8/2016i | 199,996 | 0.2 | % | ||||||||
U.S. Treasury Bills | ||||||||||||
25,000 | 0.175%, 2/4/2016j | 24,996 | <0.1 | % | ||||||||
Thrivent Cash Management Trust | ||||||||||||
19,671,931 | 0.220% | 19,671,931 | 19.8 | % | ||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 19,896,923 | |||||||||||
|
| |||||||||||
Total Investments (cost $115,167,497) 112.1% | $ | 111,748,303 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (12.1%) | (12,083,336 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 99,664,967 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | All or a portion of the loan is unfunded. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | All or a portion of the security is insured or guaranteed. |
e | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
f | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $11,931,875 or 12.0% of total net assets. |
g | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
h | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
i | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
j | All or a portion of the security is pledged as collateral under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
Opportunity Income Plus Portfolio held restricted securities as of December 31, 2015. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. As of December 31, 2015, the value of these investments was $1,685,069 or 1.7% of total net assets.
Definitions:
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 657,154 | ||
Gross unrealized depreciation | (4,092,169 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (3,435,015 | ) | |
Cost for federal income tax purposes | $ | 115,183,318 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
112
Table of Contents
OPPORTUNITY INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Opportunity Income Plus Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 1,493,895 | — | 1,250,078 | 243,817 | ||||||||||||
Capital Goods | 2,058,369 | — | 2,058,369 | — | ||||||||||||
Communications Services | 9,158,057 | — | 8,475,377 | 682,680 | ||||||||||||
Consumer Cyclical | 4,383,881 | — | 4,383,881 | — | ||||||||||||
Consumer Non-Cyclical | 4,247,549 | — | 4,247,549 | — | ||||||||||||
Energy | 972,464 | — | 491,787 | 480,677 | ||||||||||||
Financials | 1,997,782 | — | 1,997,782 | — | ||||||||||||
Technology | 1,897,179 | — | 1,894,424 | 2,755 | ||||||||||||
Transportation | 1,364,470 | — | 1,364,470 | — | ||||||||||||
Utilities | 938,861 | — | 938,861 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 3,937,761 | — | 3,937,761 | — | ||||||||||||
Basic Materials | 546,377 | — | 546,377 | — | ||||||||||||
Capital Goods | 1,832,493 | — | 1,832,493 | — | ||||||||||||
Collateralized Mortgage Obligations | 6,907,755 | — | 6,907,755 | — | ||||||||||||
Communications Services | 2,383,359 | — | 2,383,359 | — | ||||||||||||
Consumer Cyclical | 2,345,343 | — | 2,345,343 | — | ||||||||||||
Consumer Non-Cyclical | 2,328,078 | — | 2,328,078 | — | ||||||||||||
Energy | 1,453,598 | — | 1,453,598 | — | ||||||||||||
Financials | 4,329,558 | — | 4,329,558 | — | ||||||||||||
Foreign Government | 11,426,630 | — | 11,426,630 | — | ||||||||||||
Mortgage-Backed Securities | 11,757,519 | — | 11,757,519 | — | ||||||||||||
Technology | 1,612,602 | — | 1,612,602 | — | ||||||||||||
Transportation | 520,120 | — | 520,120 | — | ||||||||||||
U.S. Government and Agencies | 2,082,509 | — | 2,082,509 | — | ||||||||||||
Utilities | 1,337,884 | — | 1,337,884 | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Fixed Income Funds/ETFs | 5,427,355 | 5,427,355 | — | — | ||||||||||||
Equity Funds/ETFs | 445,099 | 445,099 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 1,703,570 | 1,398,628 | 304,942 | — | ||||||||||||
Materials | 62,175 | 62,175 | — | — | ||||||||||||
Utilities | 217,280 | 217,280 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Financials | 681,808 | 681,808 | — | — | ||||||||||||
Short-Term Investments | 19,896,923 | 19,671,931 | 224,992 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 111,748,303 | $ | 27,904,276 | $ | 82,434,098 | $ | 1,409,929 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 29,889 | 29,889 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 29,889 | $ | 29,889 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 9,721 | 9,721 | — | — | ||||||||||||
Credit Default Swaps | 9,568 | — | 9,568 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 19,289 | $ | 9,721 | $ | 9,568 | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
113
Table of Contents
OPPORTUNITY INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Opportunity Income Plus Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $199,996 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | (68 | ) | March 2016 | ($ | 14,791,914 | ) | ($ | 14,771,938 | ) | $ | 19,976 | |||||||||
5-Yr. U.S. Treasury Bond Futures | 51 | March 2016 | 6,044,056 | 6,034,335 | (9,721 | ) | ||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures | 8 | March 2016 | 1,259,587 | 1,269,500 | 9,913 | |||||||||||||||
Total Futures Contracts | $ | 20,168 |
The following table presents Opportunity Income Plus Portfolio’s swaps contracts held as of December 31, 2015. Investments totaling $24,996 were pledged as collateral under the agreement between the counterparty, the custodian and the fund for open swap contracts.
Credit Default Swaps and Counterparty | Buy/Sell Protection1 | Termination Date | Notional Principal Amount2 | Value3 | Unrealized Gain/(Loss) | |||||||||||||||
CDX IG CDSI S24, 5 Year, at 1.00%; Barclays Capital, Inc. | Sell | 6/20/2020 | ($ | 1,000,000 | ) | ($ | 9,568 | ) | ($ | 9,568 | ) | |||||||||
Total Credit Default Swaps | ($ | 9,568 | ) | ($ | 9,568 | ) |
1 | As the buyer of protection, Opportunity Income Plus Portfolio pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. As the seller of protection, Opportunity Income Plus Portfolio collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. |
2 | The maximum potential amount of future payments Opportunity Income Plus Portfolio could be required to make as the seller or receive as the buyer of protection. |
3 | The values for credit indexes (CDX or LCDX) serve as an indicator of the current status of the payment/performance risk and represent the liability or profit for the credit default swap contract had the contract been closed as of the reporting date. When protection has been sold, the value of the swap will increase when the swap spread declines representing an improvement in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. When protection has been purchased, the value of the swap will increase when the swap spread increases representing a deterioration in the reference entity’s credit worthiness. The value of the swap will decrease when the swap spread declines representing an improvement in the reference entity’s credit worthiness. |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Opportunity Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 29,889 | |||
Total Interest Rate Contracts | 29,889 | |||||
|
| |||||
Total Asset Derivatives | $ | 29,889 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 9,721 | ||||
Total Interest Rate Contracts | 9,721 | |||||
Credit Contracts | ||||||
Credit Default Swaps | Net Assets - Net unrealized appreciation/(depreciation) on Swap agreements | 9,568 | ||||
Total Credit Contracts | 9,568 | |||||
|
| |||||
Total Liability Derivatives | $ | 19,289 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
OPPORTUNITY INCOME PLUS PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Opportunity Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (8,224 | ) | |||
Total Interest Rate Contracts | (8,224 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | (1,279 | ) | |||
Total Credit Contracts | (1,279 | ) | ||||
|
| |||||
Total | ($ | 9,503 | ) | |||
|
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Opportunity Income Plus Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (71,485 | ) | |||
Total Interest Rate Contracts | (71,485 | ) | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (9,568 | ) | |||
Total Credit Contracts | (9,568 | ) | ||||
|
| |||||
Total | ($ | 81,053 | ) | |||
|
|
The following table presents Opportunity Income Plus Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Swaps (Notional)* | Swaps (Percentage of Average Net Assets) | ||||||||||||
Interest Rate Contracts | $ | 25,374,901 | 29.1 | % | N/A | N/A | ||||||||||
Credit Contracts | N/A | N/A | $ | 18,664 | <0.1 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Opportunity Income Plus Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | $ | 10,695,094 | $ | 95,483,666 | $ | 86,506,829 | 19,671,931 | $ | 19,671,931 | $ | 15,670 | |||||||||||||
Total Value and Income Earned | $ | 10,695,094 | $ | 19,671,931 | $ | 15,670 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
115
Table of Contents
Schedule of Investments as of December 31, 2015
Shares | Common Stock (94.1%) | Value | ||||||
| Biotechnology (23.4%) |
| ||||||
48,000 | Acceleron Pharma, Inc.a | $ | 2,340,480 | |||||
65,006 | Alder Biopharmaceuticals, Inc.a | 2,147,148 | ||||||
45,100 | Alexion Pharmaceuticals, Inc.a | 8,602,825 | ||||||
507,835 | Amicus Therapeutics, Inc.a | 4,926,000 | ||||||
71,168 | BioMarin Pharmaceutical, Inc.a | 7,455,560 | ||||||
109,600 | Gilead Sciences, Inc. | 11,090,424 | ||||||
43,000 | Incyte Corporationa | 4,663,350 | ||||||
130,644 | Innate Pharma SAa | 1,917,915 | ||||||
59,110 | PTC Therapeutics, Inc.a | 1,915,164 | ||||||
|
| |||||||
Total | 45,058,866 | |||||||
|
| |||||||
| Health Care Equipment (16.8%) |
| ||||||
72,076 | Dexcom, Inc.a | 5,903,024 | ||||||
48,000 | Edwards Lifesciences Corporationa | 3,791,040 | ||||||
39,770 | HeartWare International, Inc.a | 2,004,408 | ||||||
6,975 | Intuitive Surgical, Inc.a | 3,809,466 | ||||||
110,600 | Medtronic, Inc. | 8,507,352 | ||||||
145,984 | NxStage Medical, Inc.a | 3,198,510 | ||||||
80,900 | St. Jude Medical, Inc. | 4,997,193 | ||||||
|
| |||||||
Total | 32,210,993 | |||||||
|
| |||||||
| Health Care Facilities (1.0%) |
| ||||||
30,800 | Acadia Healthcare Company, Inc.a | 1,923,768 | ||||||
|
| |||||||
Total | 1,923,768 | |||||||
|
| |||||||
| Health Care Services (2.2%) |
| ||||||
37,775 | Adeptus Health, Inc.a | 2,059,493 | ||||||
117,219 | Teladoc, Inc.a | 2,105,253 | ||||||
|
| |||||||
Total | 4,164,746 | |||||||
|
| |||||||
| Health Care Supplies (2.5%) |
| ||||||
73,506 | Align Technology, Inc.a | 4,840,370 | ||||||
|
| |||||||
Total | 4,840,370 | |||||||
|
| |||||||
| Managed Health Care (3.8%) |
| ||||||
16,600 | CIGNA Corporation | 2,429,078 | ||||||
41,300 | UnitedHealth Group, Inc. | 4,858,532 | ||||||
|
| |||||||
Total | 7,287,610 | |||||||
|
| |||||||
| Pharmaceuticals (44.4%) |
| ||||||
266,583 | Aspen Pharmacare Holdings, Ltd.a | 5,322,241 | ||||||
114,900 | Eli Lilly and Company | 9,681,474 | ||||||
218,000 | Merck & Company, Inc. | 11,514,760 | ||||||
91,291 | Mylan NVa | 4,936,104 | ||||||
133,499 | Novartis AG | 11,483,487 | ||||||
116,355 | Novo Nordisk AS ADR | 6,757,899 | ||||||
42,783 | Roche Holding AG | 11,855,529 | ||||||
130,732 | Sagent Pharmaceuticals, Inc.a | 2,079,946 | ||||||
30,045 | Sawai Pharmaceutical Company, Ltd. | 2,056,942 | ||||||
37,689 | Shire Pharmaceuticals Group plc ADR | 7,726,245 | ||||||
3,986,000 | Sihuan Pharmaceutical Holdings Group, Ltd.b,d | 1,702,124 | ||||||
130,881 | Teva Pharmaceutical Industries, Ltd. ADR | 8,591,029 | ||||||
650,278 | Vectura Group plca | 1,687,216 | ||||||
|
| |||||||
Total | 85,394,996 | |||||||
|
| |||||||
Total Common Stock (cost $177,604,841) | 180,881,349 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (6.5%)c | Value | ||||||
Thrivent Cash Management Trust | ||||||||
12,518,371 | 0.220% | $ | 12,518,371 | |||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 12,518,371 | |||||||
|
| |||||||
Total Investments (cost $190,123,212) 100.6% | $ | 193,399,720 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.6%) | (1,164,840 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 192,234,880 | ||||||
|
|
a | Non-income producing security. |
b | Security is valued at fair value. Market quotations or prices were not readily available or were determined to be unreliable. Fair value was determined in good faith pursuant to procedures adopted by the Board. Further information on fair valuation can be found in the Notes to Financial Statements. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
d | Denotes securities considered to be illiquid and may be difficult to sell. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 15,955,322 | ||
Gross unrealized depreciation | (13,309,556 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 2,645,766 | ||
Cost for federal income tax purposes | $ | 190,753,954 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
116
Table of Contents
PARTNER HEALTHCARE PORTFOLIO
Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Partner Healthcare Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Biotechnology | 45,058,866 | 43,140,951 | 1,917,915 | — | ||||||||||||
Health Care Equipment | 32,210,993 | 32,210,993 | — | — | ||||||||||||
Health Care Facilities | 1,923,768 | 1,923,768 | — | — | ||||||||||||
Health Care Services | 4,164,746 | 4,164,746 | — | — | ||||||||||||
Health Care Supplies | 4,840,370 | 4,840,370 | — | — | ||||||||||||
Managed Health Care | 7,287,610 | 7,287,610 | — | — | ||||||||||||
Pharmaceuticals | 85,394,996 | 51,287,457 | 32,405,415 | 1,702,124 | ||||||||||||
Short-Term Investments | 12,518,371 | 12,518,371 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 193,399,720 | $ | 157,374,266 | $ | 34,323,330 | $ | 1,702,124 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Partner Healthcare Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | $ | 7,778,026 | $ | 85,719,631 | $ | 80,979,286 | 12,518,371 | $ | 12,518,371 | $ | 10,017 | |||||||||||||
Total Value and Income Earned | $ | 7,778,026 | $ | 12,518,371 | $ | 10,017 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
117
Table of Contents
PARTNER EMERGING MARKETS EQUITY PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (92.0%) | Value | ||||||
| Australia (<0.1%) |
| ||||||
14,525 | South32, Ltd.a | $ | 11,313 | |||||
|
| |||||||
Total | 11,313 | |||||||
|
| |||||||
| Brazil (7.3%) | |||||||
167,334 | Banco Bradesco SA ADR | 804,877 | ||||||
56 | Banco Bradesco SA Rightsa,b | 17 | ||||||
32,000 | BRF SA | 446,348 | ||||||
107,805 | Lojas Renner SA | 463,104 | ||||||
32,102 | Multiplan Empreendimentos Imobiliarios SA | 306,850 | ||||||
61,800 | Ultrapar Participacoes SA | 939,149 | ||||||
60,660 | Vale SA ADRc | 199,571 | ||||||
|
| |||||||
Total | 3,159,916 | |||||||
|
| |||||||
| Chile (1.2%) | |||||||
28,670 | Banco Santander Chile SA ADR | 505,739 | ||||||
|
| |||||||
Total | 505,739 | |||||||
|
| |||||||
| China (1.3%) | |||||||
890,000 | PetroChina Company, Ltd. | 582,630 | ||||||
|
| |||||||
Total | 582,630 | |||||||
|
| |||||||
| Hong Kong (12.7%) | |||||||
264,000 | AIA Group, Ltd. | 1,577,422 | ||||||
133,000 | China Mobile, Ltd. | 1,497,062 | ||||||
167,000 | Hang Lung Group, Ltd. | 541,567 | ||||||
132,000 | Hang Lung Properties, Ltd. | 299,093 | ||||||
17,100 | Hong Kong Exchanges and Clearing, Ltd. | 435,619 | ||||||
71,000 | Swire Pacific, Ltd., Class A | 793,078 | ||||||
100,000 | Swire Pacific, Ltd., Class B | 203,456 | ||||||
59,500 | Swire Properties, Ltd. | 171,083 | ||||||
|
| |||||||
Total | 5,518,380 | |||||||
|
| |||||||
| Hungary (1.5%) | |||||||
34,710 | Richter Gedeon Nyrt | 655,134 | ||||||
|
| |||||||
Total | 655,134 | |||||||
|
| |||||||
| India (16.5%) | |||||||
5,200 | Grasim Industries, Ltd. | 294,555 | ||||||
4,350 | Grasim Industries, Ltd. GDR | 246,054 | ||||||
17,000 | Hero Motocorp, Ltd. | 689,817 | ||||||
67,000 | Hindustan Unilever, Ltd. | 873,168 | ||||||
85,639 | Housing Development Finance Corporation | 1,628,840 | ||||||
185,000 | ICICI Bank, Ltd. | 730,701 | ||||||
74,200 | Infosys, Ltd. | 1,236,435 | ||||||
222,893 | ITC, Ltd. | 1,102,165 | ||||||
8,947 | Ultra Tech Cement, Ltd. | 375,080 | ||||||
|
| |||||||
Total | 7,176,815 | |||||||
|
| |||||||
| Indonesia (4.3%) | |||||||
3,130,000 | Astra International Tbk PT | 1,348,255 | ||||||
332,000 | Indocement Tunggal Prakarsa Tbk PT | 532,398 | ||||||
|
| |||||||
Total | 1,880,653 | |||||||
|
| |||||||
| Luxembourg (1.5%) | |||||||
26,965 | Tenaris SA ADR | 641,767 | ||||||
|
| |||||||
Total | 641,767 | |||||||
|
| |||||||
| Malaysia (1.8%) | |||||||
249,672 | CIMB Group Holdings Berhad | 263,251 | ||||||
120,000 | Public Bank Berhad | 517,058 | ||||||
|
| |||||||
Total | 780,309 | |||||||
|
| |||||||
| Mexico (8.6%) | |||||||
17,400 | Fomento Economico Mexicano SAB de CV ADR | 1,606,890 | ||||||
4,300 | Grupo Aeroportuario del Sureste SAB de CV ADR | 604,881 | ||||||
236,077 | Grupo Financiero Banorte SAB de CV ADR | 1,301,167 | ||||||
97,300 | Organizacion Soriana SAB de CVa | 223,003 | ||||||
|
| |||||||
Total | 3,735,941 | |||||||
|
| |||||||
| Philippines (4.1%) | |||||||
28,000 | Ayala Corporation | 448,749 | ||||||
917,900 | Ayala Land, Inc. | 670,960 | ||||||
367,862 | Bank of the Philippine Islands | 655,193 | ||||||
|
| |||||||
Total | 1,774,902 | |||||||
|
| |||||||
| Poland (1.6%) | |||||||
18,719 | Bank Pekao SA | 683,670 | ||||||
|
| |||||||
Total | 683,670 | |||||||
|
| |||||||
| Portugal (1.2%) | |||||||
41,629 | Jeronimo Martins SGPS SA | 541,695 | ||||||
|
| |||||||
Total | 541,695 | |||||||
|
| |||||||
| Russia (3.7%) | |||||||
27,186 | Lukoil ADR | 880,049 | ||||||
4,807 | Magnit PJSC | 738,801 | ||||||
|
| |||||||
Total | 1,618,850 | |||||||
|
| |||||||
| South Africa (3.5%) | |||||||
53,921 | Massmart Holdings, Ltd. | 349,071 | ||||||
40,564 | MTN Group, Ltd. | 349,433 | ||||||
142,193 | Truworths International, Ltd. | 838,228 | ||||||
|
| |||||||
Total | 1,536,732 | |||||||
|
| |||||||
| South Korea (1.2%) | |||||||
3,170 | E-Mart Company, Ltd. | 508,657 | ||||||
|
| |||||||
Total | 508,657 | |||||||
|
| |||||||
| Taiwan (5.5%) | |||||||
175,400 | Taiwan Mobile Company, Ltd. | 532,667 | ||||||
433,499 | Taiwan Semiconductor Manufacturing Company, Ltd. | 1,870,219 | ||||||
|
| |||||||
Total | 2,402,886 | |||||||
|
| |||||||
| Thailand (3.9%) | |||||||
70,400 | Siam Cement pcl | 888,505 | ||||||
242,800 | Siam Commercial Bank pcl | 800,912 | ||||||
|
| |||||||
Total | 1,689,417 | |||||||
|
| |||||||
| Turkey (4.2%) | |||||||
274,433 | Akbank TAS | 629,282 | ||||||
33,036 | BIM Birlesik Magazalar AS | 581,504 | ||||||
248,190 | Turkiye Garanti Bankasi AS | 604,633 | ||||||
|
| |||||||
Total | 1,815,419 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
118
Table of Contents
PARTNER EMERGING MARKETS EQUITY PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (92.0%) | Value | ||||||
| United Kingdom (4.7%) |
| ||||||
21,386 | BHP Billiton plc | $ | 239,474 | |||||
19,139 | SABMiller plc | 1,153,685 | ||||||
77,303 | Standard Chartered plc | 641,399 | ||||||
|
| |||||||
Total | 2,034,558 | |||||||
|
| |||||||
| United States (1.7%) | |||||||
9,800 | Yum! Brands, Inc. | 715,890 | ||||||
|
| |||||||
Total | 715,890 | |||||||
|
| |||||||
Total Common Stock (cost $41,121,228) | 39,971,273 | |||||||
|
| |||||||
Preferred Stock (5.8%) | ||||||||
| Brazil (0.4%) | |||||||
71,605 | Vale SA ADR | 182,593 | ||||||
|
| |||||||
Total | 182,593 | |||||||
|
| |||||||
| South Korea (5.4%) | |||||||
2,532 | Samsung Electronics Company, Ltd. | 2,340,551 | ||||||
|
| |||||||
Total | 2,340,551 | |||||||
|
| |||||||
Total Preferred Stock (cost $2,234,809) | 2,523,144 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.5%) | ||||||||
212,275 | Thrivent Cash Management Trust | 212,275 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $212,275) | 212,275 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (2.2%)d | |||||||
Thrivent Cash Management Trust | ||||||||
965,123 | 0.220% | 965,123 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 965,123 | |||||||
|
| |||||||
Total Investments (cost $44,533,435) 100.5% | $ | 43,671,815 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.5%) | (207,116 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 43,464,699 | ||||||
|
|
a | Non-income producing security. |
b | Security is valued at fair value. Market quotations or prices were not readily available or were determined to be unreliable. Fair value was determined in good faith pursuant to procedures adopted by the Board. Further information on fair valuation can be found in the Notes to Financial Statements. |
c | All or a portion of the security is on loan. |
d | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Partner Emerging Markets Equity Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 199,539 | ||
|
| |||
Total lending | $ | 199,539 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 212,275 | ||
|
| |||
Net amounts due to counterparty | $ | 12,736 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
GDR | - | Global Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 8,816,073 | ||
Gross unrealized depreciation | (9,848,214 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (1,032,141 | ) | |
Cost for federal income tax purposes | $ | 44,703,956 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
119
Table of Contents
PARTNER EMERGING MARKETS EQUITY PORTFOLIO
Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Partner Emerging Markets Equity Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 4,786,954 | 715,890 | 4,071,064 | — | ||||||||||||
Consumer Staples | 7,393,327 | 1,606,890 | 5,786,437 | — | ||||||||||||
Energy | 3,043,595 | 641,767 | 2,401,828 | — | ||||||||||||
Financials | 14,421,521 | 1,310,616 | 13,110,905 | — | ||||||||||||
Health Care | 655,151 | — | 655,134 | 17 | ||||||||||||
Industrials | 1,692,514 | 604,881 | 1,087,633 | — | ||||||||||||
Information Technology | 3,106,654 | — | 3,106,654 | — | ||||||||||||
Materials | 2,492,395 | 199,571 | 2,292,824 | — | ||||||||||||
Telecommunications Services | 2,379,162 | — | 2,379,162 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Information Technology | 2,340,551 | — | 2,340,551 | — | ||||||||||||
Materials | 182,593 | 182,593 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 212,275 | 212,275 | — | — | ||||||||||||
Short-Term Investments | 965,123 | 965,123 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 43,671,815 | $ | 6,439,606 | $ | 37,232,192 | $ | 17 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Partner Emerging Markets Equity Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 1,509,100 | $ | 10,748,663 | $ | 12,045,488 | 212,275 | $ | 212,275 | $ | 9,119 | |||||||||||||
Cash Management Trust-Short Term Investment | 1,287,032 | 6,018,072 | 6,339,981 | 965,123 | 965,123 | 886 | ||||||||||||||||||
Total Value and Income Earned | $ | 2,796,132 | $ | 1,177,398 | $ | 10,005 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
120
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REAL ESTATE SECURITIES PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (98.5%) | Value | ||||||
| Consumer Discretionary (0.1%) |
| ||||||
5,000 | Toll Brothers, Inc.a | $ | 166,500 | |||||
|
| |||||||
Total | 166,500 | |||||||
|
| |||||||
| Diversified REITS (4.7%) | |||||||
6,792 | American Assets Trust, Inc. | 260,473 | ||||||
57,384 | American Realty Capital Properties, Inc. | 454,481 | ||||||
5,000 | Armada Hoffler Properties, Inc. | 52,400 | ||||||
4,428 | Brookfield Asset Management, Inc. | 139,615 | ||||||
54,000 | Cousins Properties, Inc. | 509,220 | ||||||
78,620 | Duke Realty Corporation | 1,652,593 | ||||||
19,343 | Empire State Realty Trust, Inc. | 349,528 | ||||||
20,176 | First Potomac Realty Trust | 230,007 | ||||||
32,803 | Gramercy Property Trust | 253,239 | ||||||
35,414 | Lexington Realty Trust | 283,312 | ||||||
27,443 | Liberty Property Trust | 852,105 | ||||||
5,270 | PS Business Parks, Inc. | 460,756 | ||||||
65,760 | Spirit Realty Captial, Inc. | 658,915 | ||||||
13,250 | Store Capital Corporation | 307,400 | ||||||
9,515 | Washington Real Estate Investment Trust | 257,476 | ||||||
4,000 | Whitestone REIT | 48,040 | ||||||
10,500 | Winthrop Realty Trust | 136,185 | ||||||
6,650 | WP Carey, Inc. | 392,350 | ||||||
|
| |||||||
Total | 7,298,095 | |||||||
|
| |||||||
| Health Care REITs (9.3%) | |||||||
5,000 | Capital Senior Living Corporationa | 104,300 | ||||||
7,930 | Care Capital Properties, Inc. | 242,420 | ||||||
45,642 | HCP, Inc. | 1,745,350 | ||||||
60,352 | Health Care REIT, Inc. | 4,105,747 | ||||||
24,262 | Healthcare Realty Trust, Inc. | 687,100 | ||||||
27,769 | Healthcare Trust of America, Inc. | 748,930 | ||||||
7,022 | LTC Properties, Inc. | 302,929 | ||||||
38,214 | Medical Properties Trust, Inc. | 439,843 | ||||||
10,520 | National Health Investors, Inc. | 640,352 | ||||||
18,371 | Omega Healthcare Investors, Inc. | 642,618 | ||||||
36,820 | Physicians Realty Trust | 620,785 | ||||||
14,431 | Sabra Healthcare REIT, Inc. | 291,939 | ||||||
27,322 | Senior Housing Property Trust | 405,458 | ||||||
62,220 | Ventas, Inc. | 3,511,075 | ||||||
|
| |||||||
Total | 14,488,846 | |||||||
|
| |||||||
| Hotel & Resort REITs (5.8%) | �� | ||||||
4,000 | Ashford Hospitality Prime, Inc. | 58,000 | ||||||
9,928 | Ashford Hospitality Trust, Inc. | 62,646 | ||||||
24,156 | Chatham Lodging Trust | 494,715 | ||||||
19,383 | Chesapeake Lodging Trust | 487,676 | ||||||
33,895 | DiamondRock Hospitality Company | 327,087 | ||||||
24,593 | FelCor Lodging Trust, Inc. | 179,529 | ||||||
8,786 | Hersha Hospitality Trust | 191,183 | ||||||
28,300 | Hilton Worldwide Holdings, Inc. | 605,620 | ||||||
10,749 | Hospitality Properties Trust | 281,086 | ||||||
154,129 | Host Hotels & Resorts, Inc. | 2,364,339 | ||||||
2,000 | Hyatt Hotels Corporationa | 94,040 | ||||||
20,705 | LaSalle Hotel Properties | 520,938 | ||||||
22,974 | Pebblebrook Hotel Trust | 643,731 | ||||||
39,257 | RLJ Lodging Trust | 849,129 | ||||||
9,206 | Starwood Hotels & Resorts Worldwide, Inc. | 637,792 | ||||||
37,457 | Summit Hotel Properties, Inc. | 447,611 | ||||||
61,076 | Sunstone Hotel Investors, Inc. | 762,839 | ||||||
|
| |||||||
Total | 9,007,961 | |||||||
|
| |||||||
| Industrial REITS (5.3%) | |||||||
27,516 | DCT Industrial Trust, Inc. | 1,028,273 | ||||||
7,724 | EastGroup Properties, Inc. | 429,532 | ||||||
34,246 | First Industrial Realty Trust, Inc. | 757,864 | ||||||
117,423 | Prologis, Inc. | 5,039,795 | ||||||
21,550 | Rexford Industrial Realty, Inc. | 352,558 | ||||||
21,700 | STAG Industrial, Inc. | 400,365 | ||||||
9,608 | Terreno Realty Corporation | 217,333 | ||||||
|
| |||||||
Total | 8,225,720 | |||||||
|
| |||||||
| Mortgage REITS(0.7%) | |||||||
12,500 | Apollo Commercial Real Estate Finance, Inc. | 215,375 | ||||||
10,250 | Blackstone Mortgage Trust, Inc. | 274,290 | ||||||
10,250 | Colony Capital, Inc. | 199,670 | ||||||
12,900 | NorthStar Realty Finance Corporation | 219,687 | ||||||
6,050 | Starwood Property Trust, Inc. | 124,388 | ||||||
|
| |||||||
Total | 1,033,410 | |||||||
|
| |||||||
| Office REITS (14.1%) | |||||||
22,712 | Alexandria Real Estate Equities, Inc. | 2,052,256 | ||||||
36,162 | BioMed Realty Trust, Inc. | 856,678 | ||||||
39,768 | Boston Properties, Inc. | 5,072,011 | ||||||
41,430 | Brandywine Realty Trust | 565,934 | ||||||
17,861 | City Office REIT, Inc. | 217,547 | ||||||
19,857 | Corporate Office Properties Trust | 433,478 | ||||||
33,557 | Douglas Emmett, Inc. | 1,046,307 | ||||||
5,800 | Franklin Street Properties Corporation | 60,030 | ||||||
25,312 | Highwoods Properties, Inc. | 1,103,603 | ||||||
32,259 | Hudson Pacific Properties, Inc. | 907,768 | ||||||
23,563 | Kilroy Realty Corporation | 1,491,067 | ||||||
17,905 | Mack-Cali Realty Corporation | 418,082 | ||||||
22,700 | New York REIT, Inc. | 261,050 | ||||||
24,900 | Paramount Group, Inc. | 450,690 | ||||||
22,270 | Parkway Properties, Inc. | 348,080 | ||||||
16,963 | Piedmont Office RealtyTrust, Inc. | 320,261 | ||||||
25,977 | SL Green Realty Corporation | 2,934,882 | ||||||
34,450 | Vornado Realty Trust | 3,443,622 | ||||||
|
| |||||||
Total | 21,983,346 | |||||||
|
| |||||||
| Real Estate Operating Companies (0.5%) | |||||||
32,493 | Forest City Enterprises, Inc.a | 712,571 | ||||||
|
| |||||||
Total | 712,571 | |||||||
|
| |||||||
| Real Estate Services (0.2%) | |||||||
1,119 | CBRE Group, Inc.a | 38,695 | ||||||
800 | Jones Lang LaSalle, Inc. | 127,888 | ||||||
3,000 | Kennedy-Wilson Holdings, Inc. | 72,240 | ||||||
|
| |||||||
Total | 238,823 | |||||||
|
| |||||||
| Residential REITS (19.0%) | |||||||
21,253 | American Campus Communities, Inc. | 878,599 | ||||||
21,700 | American Homes 4 Rent | 361,522 | ||||||
12,423 | American Residential Properties, Inc. | 234,795 | ||||||
37,034 | Apartment Investment & Management Company | 1,482,471 | ||||||
32,654 | AvalonBay Communities, Inc. | 6,012,581 | ||||||
12,139 | Bluerock Residential Growth REIT, Inc. | 143,847 | ||||||
25,631 | Camden Property Trust | 1,967,436 | ||||||
18,888 | Campus Crest Communities, Inc.a | 128,438 | ||||||
8,938 | Education Realty Trust, Inc. | 338,571 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
121
Table of Contents
REAL ESTATE SECURITIES PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (98.5%) | Value | ||||||
| Residential REITS (19.0%) - continued |
| ||||||
20,428 | Equity Lifestyle Properties, Inc. | $ | 1,361,935 | |||||
81,090 | Equity Residential | 6,616,133 | ||||||
18,585 | Essex Property Trust, Inc. | 4,449,435 | ||||||
5,000 | Independence Realty Trust, Inc. | 37,550 | ||||||
13,674 | Mid-America Apartment Communities, Inc. | 1,241,736 | ||||||
15,235 | Post Properties, Inc. | 901,303 | ||||||
6,040 | Silver Bay Realty Trust Corporation REIT | 94,586 | ||||||
12,278 | Sun Communities, Inc. | 841,411 | ||||||
66,294 | UDR, Inc. | 2,490,666 | ||||||
|
| |||||||
Total | 29,583,015 | |||||||
|
| |||||||
| Retail REITS (24.6%) | |||||||
30,613 | Acadia Realty Trust | 1,014,821 | ||||||
11,650 | Agree Realty Corporation | 395,984 | ||||||
53,791 | Brixmor Property Group, Inc. | 1,388,884 | ||||||
25,239 | CBL & Associates Properties, Inc. | 312,206 | ||||||
11,320 | Cedar Realty Trust, Inc. | 80,146 | ||||||
95,706 | DDR Corporation | 1,611,689 | ||||||
31,224 | Equity One, Inc. | 847,732 | ||||||
14,695 | Federal Realty Investment Trust | 2,146,939 | ||||||
132,405 | General Growth Properties, Inc. | 3,602,740 | ||||||
13,332 | Inland Real Estate Corporation | 141,586 | ||||||
56,687 | Kimco Realty Corporation | 1,499,938 | ||||||
18,436 | Kite Realty Group Trust | 478,045 | ||||||
23,791 | Macerich Company | 1,919,696 | ||||||
23,286 | National Retail Properties, Inc. | 932,604 | ||||||
12,026 | Pennsylvania Real Estate Investment Trust | 263,009 | ||||||
31,548 | Ramco-Gershenson Properties Trust | 524,012 | ||||||
13,550 | Realty Income Corporation | 699,587 | ||||||
28,292 | Regency Centers Corporation | 1,927,251 | ||||||
31,572 | Retail Opportunity Investments Corporation | 565,139 | ||||||
29,000 | Retail Properties of America, Inc. | 428,330 | ||||||
1,138 | Saul Centers, Inc. | 58,345 | ||||||
71,661 | Simon Property Group, Inc. | 13,933,765 | ||||||
21,363 | Tanger Factory Outlet Centers, Inc. | 698,570 | ||||||
14,847 | Taubman Centers, Inc. | 1,139,062 | ||||||
19,271 | Urban Edge Properties | 451,905 | ||||||
6,500 | Urstadt Biddle Properties, Inc. | 125,060 | ||||||
23,142 | Weingarten Realty Investors | 800,250 | ||||||
33,771 | WP Glimcher, Inc. | 358,310 | ||||||
|
| |||||||
Total | 38,345,605 | |||||||
|
| |||||||
| Specialized REITS (14.2%) | |||||||
16,808 | American Farmland Company | 118,328 | ||||||
15,400 | American Tower Corporation | 1,493,030 | ||||||
13,096 | CoreSite Realty Corporation | 742,805 | ||||||
6,500 | Crown Castle International Corporation | 561,925 | ||||||
62,172 | CubeSmart | 1,903,707 | ||||||
14,250 | CyrusOne, Inc. | 533,662 | ||||||
17,168 | Digital Realty Trust, Inc. | 1,298,244 | ||||||
16,750 | DuPont Fabros Technology, Inc. | 532,482 | ||||||
16,227 | EPR Properties | 948,468 | ||||||
6,392 | Equinix, Inc. | 1,932,941 | ||||||
32,370 | Extra Space Storage, Inc. | 2,855,358 | ||||||
6,000 | GEO Group, Inc. | 173,460 | ||||||
4,957 | Iron Mountain, Inc. | 133,889 | ||||||
5,182 | Outfront Media, Inc. | 113,123 | ||||||
3,465 | Plum Creek Timber Company, Inc. | 165,350 | ||||||
26,683 | Public Storage, Inc. | 6,609,379 | ||||||
9,350 | QTS Realty Trust, Inc. | 421,778 | ||||||
10,186 | Sovran Self Storage, Inc. | 1,093,060 | ||||||
17,007 | Weyerhaeuser Company | 509,870 | ||||||
|
| |||||||
Total | 22,140,859 | |||||||
|
| |||||||
Total Common Stock (cost $137,931,184) | 153,224,751 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (1.1%)b | |||||||
Thrivent Cash Management Trust | ||||||||
1,707,534 | 0.220% | 1,707,534 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 1,707,534 | |||||||
|
| |||||||
Total Investments (cost $139,638,718) 99.6% | $ | 154,932,285 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 0.4% | 606,022 | |||||||
|
| |||||||
Total Net Assets 100.0% | $ | 155,538,307 | ||||||
|
|
a | Non-income producing security. |
b | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 31,027,667 | ||
Gross unrealized depreciation | (16,082,404 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 14,945,263 | ||
Cost for federal income tax purposes | $ | 139,987,022 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
122
Table of Contents
REAL ESTATE SECURITIES PORTFOLIO
Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Real Estate Securities Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 166,500 | 166,500 | — | — | ||||||||||||
Diversified REITS | 7,298,095 | 7,298,095 | — | — | ||||||||||||
Health Care REITs | 14,488,846 | 14,488,846 | — | — | ||||||||||||
Hotel & Resort REITs | 9,007,961 | 9,007,961 | — | — | ||||||||||||
Industrial REITS | 8,225,720 | 8,225,720 | — | — | ||||||||||||
Mortgage REITS | 1,033,410 | 1,033,410 | — | — | ||||||||||||
Office REITS | 21,983,346 | 21,983,346 | — | — | ||||||||||||
Real Estate Operating Companies | 712,571 | 712,571 | — | — | ||||||||||||
Real Estate Services | 238,823 | 238,823 | — | — | ||||||||||||
Residential REITS | 29,583,015 | 29,583,015 | — | — | ||||||||||||
Retail REITS | 38,345,605 | 38,345,605 | — | — | ||||||||||||
Specialized REITS | 22,140,859 | 22,140,859 | — | — | ||||||||||||
Short-Term Investments | 1,707,534 | 1,707,534 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 154,932,285 | $ | 154,932,285 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Real Estate Securities Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Short Term Investment | $ | 910,489 | $ | 24,253,506 | $ | 23,456,461 | 1,707,534 | $ | 1,707,534 | $ | 1,100 | |||||||||||||
Total Value and Income Earned | $ | 910,489 | $ | 1,707,534 | $ | 1,100 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
123
Table of Contents
Schedule of Investments as of December 31, 2015
Shares | Common Stock (93.4%) | Value | ||||||
| Consumer Discretionary (10.6%) |
| ||||||
63,494 | Aaron’s, Inc. | $ | 1,421,631 | |||||
77,190 | Cedar Fair, LP | 4,310,290 | ||||||
99,250 | Core-Mark Holding Company, Inc. | 8,132,545 | ||||||
82,990 | G-III Apparel Group, Ltd.a | 3,673,137 | ||||||
182,820 | Houghton Mifflin Harcourt Companya | 3,981,820 | ||||||
109,671 | MDC Partners, Inc.b | 2,382,054 | ||||||
306,330 | Nutrisystem, Inc. | 6,628,981 | ||||||
62,060 | Oxford Industries, Inc. | 3,960,669 | ||||||
65,490 | Papa John’s International, Inc. | 3,658,926 | ||||||
76,100 | TransUniona | 2,098,077 | ||||||
410,125 | Tuesday Morning Corporationa | 2,665,812 | ||||||
35,060 | Zoe’s Kitchen, Inc.a,b | 980,979 | ||||||
|
| |||||||
Total | 43,894,921 | |||||||
|
| |||||||
| Consumer Staples (2.1%) | |||||||
44,770 | Casey’s General Stores, Inc. | 5,392,546 | ||||||
89,600 | WhiteWave Foods Companya | 3,486,336 | ||||||
|
| |||||||
Total | 8,878,882 | |||||||
|
| |||||||
| Energy (1.8%) | |||||||
222,830 | Callon Petroleum Companya | 1,858,402 | ||||||
224,180 | Parsley Energy, Inc.a | 4,136,121 | ||||||
116,890 | RPC, Inc.b | 1,396,836 | ||||||
|
| |||||||
Total | 7,391,359 | |||||||
|
| |||||||
| Financials (26.2%) | |||||||
38,916 | Affiliated Managers Group, Inc.a | 6,217,220 | ||||||
99,070 | Allied World Assurance Company Holdings AG | 3,684,413 | ||||||
87,070 | American Assets Trust, Inc. | 3,339,135 | ||||||
55,108 | Ameris Bancorp | 1,873,121 | ||||||
68,921 | Argo Group International Holdings, Ltd. | 4,124,233 | ||||||
230,822 | Assured Guaranty, Ltd. | 6,100,625 | ||||||
131,539 | BBCN Bancorp, Inc. | 2,265,102 | ||||||
397,180 | CNO Financial Group, Inc. | 7,582,166 | ||||||
213,818 | CoBiz Financial, Inc. | 2,869,438 | ||||||
35,600 | Extra Space Storage, Inc. | 3,140,276 | ||||||
366,650 | Hanmi Financial Corporation | 8,696,938 | ||||||
138,927 | Horace Mann Educators Corporation | 4,609,598 | ||||||
98,927 | Houlihan Lokey, Inc. | 2,592,877 | ||||||
333,741 | Janus Capital Group, Inc. | 4,702,411 | ||||||
119,760 | PacWest Bancorp | 5,161,656 | ||||||
135,850 | Parkway Properties, Inc. | 2,123,335 | ||||||
41,791 | Pebblebrook Hotel Trust | 1,170,984 | ||||||
141,080 | Primerica, Inc.b | 6,663,208 | ||||||
79,120 | Renasant Corporation | 2,722,519 | ||||||
119,965 | Stifel Financial Corporationa | 5,081,717 | ||||||
20,391 | SVB Financial Groupa | 2,424,490 | ||||||
358,790 | Synovus Financial Corporation | 11,617,620 | ||||||
233,360 | Talmer Bancorp, Inc. | 4,226,150 | ||||||
197,720 | Terreno Realty Corporation | 4,472,426 | ||||||
17,771 | Wintrust Financial Corporation | 862,249 | ||||||
|
| |||||||
Total | 108,323,907 | |||||||
|
| |||||||
| Health Care (12.9%) | |||||||
92,100 | Acorda Therapeutics, Inc.a | 3,940,038 | ||||||
101,530 | Akorn, Inc.a | 3,788,084 | ||||||
66,160 | Align Technology, Inc.a | 4,356,636 | ||||||
43,270 | AMN Healthcare Services, Inc.a | 1,343,534 | ||||||
46,010 | Analogic Corporation | 3,800,426 | ||||||
229,250 | Depomed, Inc.a | 4,156,303 | ||||||
73,422 | ExamWorks Group, Inc.a | 1,953,025 | ||||||
106,380 | Greatbatch, Inc.a | 5,584,950 | ||||||
49,010 | Neurocrine Biosciences, Inc.a | 2,772,496 | ||||||
128,940 | NuVasive, Inc.a | 6,976,943 | ||||||
100,200 | Teleflex, Inc.b | 13,171,290 | ||||||
5,703 | Wellcare Health Plans, Inc.a | 446,032 | ||||||
21,574 | West Pharmaceutical Services, Inc. | 1,299,186 | ||||||
|
| |||||||
Total | 53,588,943 | |||||||
|
| |||||||
| Industrials (18.8%) | |||||||
11,007 | Astec Industries, Inc. | 447,985 | ||||||
89,220 | AZZ, Inc. | 4,957,956 | ||||||
105,640 | BWX Technologies, Inc. | 3,356,183 | ||||||
145,340 | CLARCOR, Inc. | 7,220,491 | ||||||
95,830 | Curtiss-Wright Corporation | 6,564,355 | ||||||
222,254 | EMCOR Group, Inc. | 10,677,082 | ||||||
17,771 | ESCO Technologies, Inc. | 642,244 | ||||||
75,958 | FTI Consulting, Inc.a | 2,632,704 | ||||||
199,945 | Granite Construction, Inc. | 8,579,640 | ||||||
106,956 | HNI Corporation | 3,856,834 | ||||||
52,998 | Huron Consulting Group, Inc.a | 3,148,081 | ||||||
63,134 | Mine Safety Appliances Company | 2,744,435 | ||||||
389,324 | Progressive Waste Solutions, Ltd. | 9,168,580 | ||||||
21,770 | Proto Labs, Inc.a,b | 1,386,531 | ||||||
236,830 | Raven Industries, Inc. | 3,694,548 | ||||||
110,445 | Ritchie Brothers Auctioneers, Inc.b | 2,662,829 | ||||||
104,500 | Tennant Company | 5,879,170 | ||||||
|
| |||||||
Total | 77,619,648 | |||||||
|
| |||||||
| Information Technology (15.8%) | |||||||
74,300 | Arista Networks, Inc.a,b | 5,783,512 | ||||||
134,320 | Booz Allen Hamilton Holding Corporation | 4,143,772 | ||||||
146,990 | Broadridge Financial Solutions, Inc. | 7,897,773 | ||||||
39,169 | Brooks Automation, Inc. | 418,325 | ||||||
43,803 | CACI International, Inc.a | 4,064,042 | ||||||
54,920 | Criteo SA ADRa,b | 2,174,832 | ||||||
20,040 | DST Systems, Inc. | 2,285,762 | ||||||
52,230 | Envestnet, Inc.a | 1,559,065 | ||||||
59,690 | FEI Company | 4,762,665 | ||||||
74,160 | Guidewire Software, Inc.a | 4,461,466 | ||||||
37,665 | Ixiaa | 468,176 | ||||||
239,430 | Microsemi Corporationa | 7,803,024 | ||||||
222,740 | National Instruments Corporation | 6,390,411 | ||||||
89,725 | Plantronics, Inc. | 4,254,759 | ||||||
215,687 | Virtusa Corporationa | 8,916,501 | ||||||
|
| |||||||
Total | 65,384,085 | |||||||
|
| |||||||
| Materials (3.8%) | |||||||
59,760 | Balchem Corporation | 3,633,408 | ||||||
216,500 | Chemtura Corporationa | 5,903,955 | ||||||
314,500 | Horsehead Holding Corporationa,b | 644,725 | ||||||
178,570 | PolyOne Corporation | 5,671,383 | ||||||
|
| |||||||
Total | 15,853,471 | |||||||
|
| |||||||
| Utilities (1.4%) | |||||||
86,363 | Laclede Group, Inc. | 5,130,826 | ||||||
17,993 | PNM Resources, Inc. | 550,046 | ||||||
|
| |||||||
Total | 5,680,872 | |||||||
|
| |||||||
Total Common Stock (cost $350,375,036) | 386,616,088 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
124
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SMALL CAP STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (3.4%) | Value | ||||||
| Equity Funds/ETFs (3.4%) |
| ||||||
73,380 | iShares Russell 2000 Index Fundb | $ | 8,255,984 | |||||
62,800 | Market Vectors Oil Service ETFb | 1,661,060 | ||||||
8,954 | SPDR S&P Oil & Gas Equipment & Services ETFb | 157,053 | ||||||
128,370 | SPDR S&P Oil & Gas Exploration & Production ETFb | 3,879,341 | ||||||
|
| |||||||
Total | 13,953,438 | |||||||
|
| |||||||
Total Registered Investment Companies (cost $15,136,684) | 13,953,438 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (9.9%) | ||||||||
40,959,020 | Thrivent Cash Management Trust | 40,959,020 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $40,959,020) | 40,959,020 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (3.1%)c | |||||||
Thrivent Cash Management Trust | ||||||||
12,996,171 | 0.220% | 12,996,171 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 12,996,171 | |||||||
|
| |||||||
Total Investments (cost $419,466,911) 109.8% | $ | 454,524,717 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (9.8%) | (40,756,155 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 413,768,562 | ||||||
|
|
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Small Cap Stock Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 39,664,169 | ||
|
| |||
Total lending | $ | 39,664,169 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 40,959,020 | ||
|
| |||
Net amounts due to counterparty | $ | 1,294,851 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 48,679,263 | ||
Gross unrealized depreciation | (14,583,627 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 34,095,636 | ||
Cost for federal income tax purposes | $ | 420,429,081 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Small Cap Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 43,894,921 | 43,894,921 | — | — | ||||||||||||
Consumer Staples | 8,878,882 | 8,878,882 | — | — | ||||||||||||
Energy | 7,391,359 | 7,391,359 | — | — | ||||||||||||
Financials | 108,323,907 | 108,323,907 | — | — | ||||||||||||
Health Care | 53,588,943 | 53,588,943 | — | — | ||||||||||||
Industrials | 77,619,648 | 77,619,648 | — | — | ||||||||||||
Information Technology | 65,384,085 | 65,384,085 | — | — | ||||||||||||
Materials | 15,853,471 | 15,853,471 | — | — | ||||||||||||
Utilities | 5,680,872 | 5,680,872 | — | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Equity Funds/ETFs | 13,953,438 | 13,953,438 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 40,959,020 | 40,959,020 | — | — | ||||||||||||
Short-Term Investments | 12,996,171 | 12,996,171 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 454,524,717 | $ | 454,524,717 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
125
Table of Contents
SMALL CAP STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Small Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 1,010,004 | ||||
Total Equity Contracts | 1,010,004 | |||||
|
| |||||
Total | $ | 1,010,004 | ||||
|
|
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Small Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 24,447,972 | $ | 227,910,870 | $ | 211,399,822 | 40,959,020 | $ | 40,959,020 | $ | 339,653 | |||||||||||||
Cash Management Trust-Short Term Investment | 14,077,311 | 122,312,931 | 123,394,071 | 12,996,171 | 12,996,171 | 8,696 | ||||||||||||||||||
Total Value and Income Earned | $ | 38,525,283 | $ | 53,955,191 | $ | 348,349 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
126
Table of Contents
Summary Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.0%) | Value | % of Net Assets | |||||||||
| Consumer Discretionary (13.6%) |
| ||||||||||
12,100 | Helen of Troy, Ltd.a | $ | 1,140,425 | 0.4 | % | |||||||
10,200 | Lithia Motors, Inc. | 1,088,034 | 0.4 | % | ||||||||
18,362 | Pool Corporation | 1,483,282 | 0.5 | % | ||||||||
27,080 | Texas Roadhouse, Inc. | 968,652 | 0.3 | % | ||||||||
Other Securities^ | 33,385,826 | 12.0 | % | |||||||||
|
| |||||||||||
Total | 38,066,219 | |||||||||||
|
| |||||||||||
| Consumer Staples (2.7%) | |||||||||||
Other Securities^ | 7,600,145 | 2.7 | % | |||||||||
|
| |||||||||||
Total | 7,600,145 | |||||||||||
|
| |||||||||||
| Energy (2.4%) | |||||||||||
Other Securities^ | 6,604,086 | 2.4 | % | |||||||||
|
| |||||||||||
Total | 6,604,086 | |||||||||||
|
| |||||||||||
| Financials (23.4%) | |||||||||||
29,688 | Acadia Realty Trust | 984,157 | 0.4 | % | ||||||||
25,630 | EPR Properties | 1,498,074 | 0.5 | % | ||||||||
75,010 | F.N.B. Corporation | 1,000,633 | 0.4 | % | ||||||||
43,360 | Healthcare Realty Trust, Inc. | 1,227,955 | 0.4 | % | ||||||||
26,240 | Home BancShares, Inc. | 1,063,245 | 0.4 | % | ||||||||
24,740 | Interactive Brokers Group, Inc. | 1,078,664 | 0.4 | % | ||||||||
35,865 | Kite Realty Group Trust | 929,979 | 0.3 | % | ||||||||
29,619 | MB Financial, Inc. | 958,767 | 0.3 | % | ||||||||
102,230 | Medical Properties Trust, Inc. | 1,176,667 | 0.4 | % | ||||||||
33,950 | PrivateBancorp, Inc. | 1,392,629 | 0.5 | % | ||||||||
22,910 | ProAssurance Corporation | 1,111,822 | 0.4 | % | ||||||||
16,260 | RLI Corporation | 1,004,055 | 0.4 | % | ||||||||
19,680 | Texas Capital Bancshares, Inc.a | 972,586 | 0.3 | % | ||||||||
27,780 | United Bankshares, Inc. | 1,027,582 | 0.4 | % | ||||||||
20,770 | Wintrust Financial Corporation | 1,007,760 | 0.4 | % | ||||||||
Other Securities^ | 49,092,098 | 17.5 | % | |||||||||
|
| |||||||||||
Total | 65,526,673 | |||||||||||
|
| |||||||||||
| Health Care (13.0%) | |||||||||||
16,760 | ABIOMED, Inc.a | 1,513,093 | 0.5 | % | ||||||||
15,345 | Cantel Medical Corporation | 953,538 | 0.3 | % | ||||||||
7,240 | Chemed Corporationb | 1,084,552 | 0.4 | % | ||||||||
28,210 | Impax Laboratories, Inc.a | 1,206,260 | 0.4 | % | ||||||||
29,750 | Medicines Companya,b | 1,110,865 | 0.4 | % | ||||||||
23,630 | Medidata Solutions, Inc.a | 1,164,723 | 0.4 | % | ||||||||
56,580 | Nektar Therapeuticsa,b | 953,373 | 0.3 | % | ||||||||
21,070 | NuVasive, Inc.a | 1,140,098 | 0.4 | % | ||||||||
22,540 | Prestige Brands Holdings, Inc.a | 1,160,359 | 0.4 | % | ||||||||
Other Securities^ | 26,222,616 | 9.5 | % | |||||||||
|
| |||||||||||
Total | 36,509,477 | |||||||||||
|
| |||||||||||
| Industrials (16.2%) | |||||||||||
5,650 | Allegiant Travel Company | 948,239 | 0.3 | % | ||||||||
19,670 | Curtiss-Wright Corporation | 1,347,395 | 0.5 | % | ||||||||
13,930 | Dycom Industries, Inc.a | 974,543 | 0.3 | % | ||||||||
26,950 | EMCOR Group, Inc. | 1,294,678 | 0.5 | % | ||||||||
19,180 | EnerSys | 1,072,737 | 0.4 | % | ||||||||
30,877 | Healthcare Services Group, Inc. | 1,076,681 | 0.4 | % | ||||||||
Other Securities^ | 38,562,193 | 13.8 | % | |||||||||
|
| |||||||||||
Total | 45,276,466 | |||||||||||
|
| |||||||||||
| Information Technology (15.7%) | |||||||||||
19,920 | Blackbaud, Inc. | 1,311,931 | 0.5 | % | ||||||||
10,510 | CACI International, Inc.a | 975,118 | 0.3 | % | ||||||||
20,570 | Electronics for Imaging, Inc.a | 961,442 | 0.3 | % | ||||||||
15,860 | Heartland Payment Systems, Inc. | 1,503,845 | 0.5 | % | ||||||||
9,600 | Littelfuse, Inc. | 1,027,296 | 0.4 | % | ||||||||
41,160 | Microsemi Corporationa | 1,341,404 | 0.5 | % | ||||||||
15,640 | Monolithic Power Systems, Inc. | 996,424 | 0.4 | % | ||||||||
36,510 | Take-Two Interactive Software, Inc.a | 1,272,008 | 0.5 | % | ||||||||
19,040 | ViaSat, Inc.a,b | 1,161,630 | 0.4 | % | ||||||||
Other Securities^ | 33,380,836 | 11.9 | % | |||||||||
|
| |||||||||||
Total | 43,931,934 | |||||||||||
|
| |||||||||||
| Materials (4.2%) | |||||||||||
Other Securities^ | 11,658,688 | 4.2 | % | |||||||||
|
| |||||||||||
Total | 11,658,688 | |||||||||||
|
| |||||||||||
| Telecommunications Services (0.8%) | |||||||||||
Other Securities^ | 2,390,063 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 2,390,063 | |||||||||||
|
| |||||||||||
| Utilities (4.0%) | |||||||||||
19,753 | ALLETE, Inc. | 1,004,045 | 0.4 | % | ||||||||
26,780 | Avista Corporation | 947,209 | 0.3 | % | ||||||||
18,670 | Laclede Group, Inc. | 1,109,185 | 0.4 | % | ||||||||
36,830 | New Jersey Resources Corporation | 1,213,917 | 0.4 | % | ||||||||
20,780 | NorthWestern Corporation | 1,127,315 | 0.4 | % | ||||||||
34,110 | Piedmont Natural Gas Company, Inc. | 1,944,952 | 0.7 | % | ||||||||
20,290 | Southwest Gas Corporation | 1,119,196 | 0.4 | % | ||||||||
Other Securities^ | 2,626,459 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 11,092,278 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $207,614,037) | 268,656,029 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (5.4%) | ||||||||||||
15,229,214 | Thrivent Cash Management Trust | 15,229,214 | 5.4 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $15,229,214) | 15,229,214 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (4.0%)c | |||||||||||
Thrivent Cash Management Trust | ||||||||||||
10,370,336 | 0.220% | 10,370,336 | 3.7 | % | ||||||||
Other Securities^ | 699,955 | 0.3 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 11,070,291 | |||||||||||
|
| |||||||||||
Total Investments (cost $233,913,542) 105.4% | $ | 294,955,534 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (5.4%) | (15,087,965 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 279,867,569 | ||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
127
Table of Contents
SMALL CAP INDEX PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Small Cap Index Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 14,659,624 | ||
|
| |||
Total lending | $ | 14,659,624 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 15,229,214 | ||
|
| |||
Net amounts due to counterparty | $ | 569,590 | ||
|
|
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 77,514,031 | ||
Gross unrealized depreciation | (20,957,342 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 56,556,689 | ||
Cost for federal income tax purposes | $ | 238,398,845 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
128
Table of Contents
SMALL CAP INDEX PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Small Cap Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 38,066,219 | 38,066,219 | — | — | ||||||||||||
Consumer Staples | 7,600,145 | 7,600,145 | — | — | ||||||||||||
Energy | 6,604,086 | 6,604,086 | — | — | ||||||||||||
Financials | 65,526,673 | 65,526,673 | — | — | ||||||||||||
Health Care | 36,509,477 | 36,509,477 | — | — | ||||||||||||
Industrials | 45,276,466 | 45,276,466 | — | — | ||||||||||||
Information Technology | 43,931,934 | 43,931,934 | — | — | ||||||||||||
Materials | 11,658,688 | 11,658,688 | — | — | ||||||||||||
Telecommunications Services | 2,390,063 | 2,390,063 | — | — | ||||||||||||
Utilities | 11,092,278 | 11,092,278 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 15,229,214 | 15,229,214 | — | — | ||||||||||||
Short-Term Investments | 11,070,291 | 10,370,336 | 699,955 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 294,955,534 | $ | 294,255,579 | $ | 699,955 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 29,980 | 29,980 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 29,980 | $ | 29,980 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The following table presents Small Cap Index Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $599,982 were pledged as the initial margin deposit for these contracts.
Number of | Notional | |||||||||||||||||||
Contracts | Expiration | Principal | Unrealized | |||||||||||||||||
Futures Contracts | Long/(Short) | Date | Amount | Value | Gain/(Loss) | |||||||||||||||
NYBOT NYF mini Russell 2000 Index | 96 | March 2016 | $ | 10,892,380 | $ | 10,862,400 | ($ | 29,980 | ) | |||||||||||
Total Futures Contracts | ($ | 29,980 | ) |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Small Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 29,980 | |||
Total Equity Contracts | 29,980 | |||||
|
| |||||
Total Liability Derivatives | $ | 29,980 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Small Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 1,431,464 | ||||
Total Equity Contracts | 1,431,464 | |||||
|
| |||||
Total | $ | 1,431,464 | ||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
129
Table of Contents
SMALL CAP INDEX PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Small Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (753,482 | ) | |||
Total Equity Contracts | (753,482 | ) | ||||
|
| |||||
Total | ($ | 753,482 | ) | |||
|
|
The following table presents Small Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Futures | ||||||||
(Percentage | ||||||||
Futures | of Average | |||||||
Derivative Risk Category | (Notional)* | Net Assets) | ||||||
Equity Contracts | $ | 12,358,874 | 4.4 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Small Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 23,621,082 | $ | 80,427,542 | $ | 88,819,410 | 15,229,214 | $ | 15,229,214 | $ | 196,224 | |||||||||||||
Cash Management Trust-Short Term Investment | 13,989,739 | 57,216,419 | 60,835,822 | 10,370,336 | 10,370,336 | 9,709 | ||||||||||||||||||
Total Value and Income Earned | $ | 37,610,821 | $ | 25,599,550 | $ | 205,933 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
130
Table of Contents
Schedule of Investments as of December 31, 2015
Shares | Common Stock (95.5%) | Value | ||||||
| Consumer Discretionary (7.1%) |
| ||||||
290,450 | Cheesecake Factory, Inc. | $ | 13,392,649 | |||||
467,450 | DISH Network Corporationa | 26,728,791 | ||||||
260,869 | Scripps Networks Interactive, Inc. | 14,402,577 | ||||||
736,950 | Time, Inc. | 11,548,007 | ||||||
552,386 | Toll Brothers, Inc.a | 18,394,454 | ||||||
|
| |||||||
Total | 84,466,478 | |||||||
|
| |||||||
| Consumer Staples (3.1%) | |||||||
209,300 | Ingredion, Inc. | 20,059,312 | ||||||
186,899 | Molson Coors Brewing Company | 17,553,554 | ||||||
|
| |||||||
Total | 37,612,866 | |||||||
|
| |||||||
| Energy (4.1%) | |||||||
92,125 | Cimarex Energy Company | 8,234,132 | ||||||
347,500 | Continental Resources, Inc.a | 7,985,550 | ||||||
33,350 | Dril-Quip, Inc.a | 1,975,320 | ||||||
55,000 | Ensco plc | 846,450 | ||||||
139,200 | Helix Energy Solutions Group, Inc.a | 732,192 | ||||||
66,701 | HollyFrontier Corporation | 2,660,703 | ||||||
48,500 | National Oilwell Varco, Inc. | 1,624,265 | ||||||
59,850 | Oceaneering International, Inc. | 2,245,572 | ||||||
53,350 | Oil States International, Inc.a | 1,453,788 | ||||||
501,281 | Parsley Energy, Inc.a | 9,248,634 | ||||||
115,170 | Patterson-UTI Energy, Inc. | 1,736,764 | ||||||
87,000 | Rowan Companies plc | 1,474,650 | ||||||
201,050 | Superior Energy Services, Inc. | 2,708,144 | ||||||
24,400 | Tesoro Corporation | 2,571,028 | ||||||
163,456 | Weatherford International, Ltd.a | 1,371,396 | ||||||
50,550 | World Fuel Services Corporation | 1,944,153 | ||||||
|
| |||||||
Total | 48,812,741 | |||||||
|
| |||||||
| Financials (25.5%) | |||||||
819,650 | Assured Guaranty, Ltd. | 21,663,350 | ||||||
569,127 | Brixmor Property Group, Inc. | 14,694,859 | ||||||
185,250 | Camden Property Trust | 14,219,790 | ||||||
202,300 | Digital Realty Trust, Inc. | 15,297,926 | ||||||
855,900 | Duke Realty Corporation | 17,991,018 | ||||||
435,546 | First Republic Bank | 28,772,169 | ||||||
1,042,598 | Host Hotels & Resorts, Inc. | 15,993,453 | ||||||
3,058,825 | Huntington Bancshares, Inc. | 33,830,604 | ||||||
1,367,000 | KeyCorp | 18,030,730 | ||||||
170,900 | M&T Bank Corporation | 20,709,662 | ||||||
555,300 | Nasdaq, Inc. | 32,301,801 | ||||||
378,033 | Northern Trust Corporation | 27,252,399 | ||||||
333,022 | Raymond James Financial, Inc. | 19,305,285 | ||||||
887,025 | Zions Bancorporation | 24,215,783 | ||||||
|
| |||||||
Total | 304,278,829 | |||||||
|
| |||||||
| Health Care (12.4%) | |||||||
476,000 | Acorda Therapeutics, Inc.a,b | 20,363,280 | ||||||
156,432 | C.R. Bard, Inc. | 29,634,478 | ||||||
206,500 | Edwards Lifesciences Corporationa | 16,309,370 | ||||||
785,750 | Hologic, Inc.a | 30,400,668 | ||||||
240,903 | Universal Health Services, Inc. | 28,785,499 | ||||||
169,000 | Waters Corporationa | 22,744,020 | ||||||
|
| |||||||
Total | 148,237,315 | |||||||
|
| |||||||
| Industrials (17.4%) | |||||||
890,794 | ADT Corporationb | 29,378,386 | ||||||
290,050 | AGCO Corporationb | 13,165,369 | ||||||
227,950 | Equifax, Inc. | 25,386,792 | ||||||
177,150 | Huntington Ingalls Industries, Inc. | 22,471,478 | ||||||
904,100 | Masco Corporation | 25,586,030 |
683,234 | Oshkosh Corporationb | 26,673,455 | ||||||
994,962 | Southwest Airlines Company | 42,843,064 | ||||||
215,800 | WABCO Holdings, Inc.a | 22,067,708 | ||||||
|
| |||||||
Total | 207,572,282 | |||||||
|
| |||||||
| Information Technology (21.4%) | |||||||
167,550 | Alliance Data Systems Corporationa | 46,339,304 | ||||||
1,758,833 | Applied Materials, Inc. | 32,837,412 | ||||||
797,132 | Juniper Networks, Inc. | 22,000,843 | ||||||
2,154,366 | NVIDIA Corporation | 71,007,903 | ||||||
415,554 | PayPal Holdings, Inc.a | 15,043,055 | ||||||
524,850 | Progress Software Corporationa | 12,596,400 | ||||||
416,200 | Red Hat, Inc.a | 34,465,522 | ||||||
1,057,872 | Teradyne, Inc. | 21,866,214 | ||||||
|
| |||||||
Total | 256,156,653 | |||||||
|
| |||||||
| Materials (2.9%) | |||||||
678,650 | Owens-Illinois, Inc.a | 11,822,083 | ||||||
1,264,363 | Steel Dynamics, Inc. | 22,594,167 | ||||||
|
| |||||||
Total | 34,416,250 | |||||||
|
| |||||||
| Utilities (1.6%) | |||||||
490,050 | Public Service Enterprise Group, Inc. | 18,960,034 | ||||||
|
| |||||||
Total | 18,960,034 | |||||||
|
| |||||||
Total Common Stock (cost $959,250,531) | 1,140,513,448 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (4.8%) | ||||||||
57,473,443 | Thrivent Cash Management Trust | 57,473,443 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $57,473,443) | 57,473,443 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (4.5%)c | |||||||
Federal National Mortgage Association Discount Notes | ||||||||
3,175,000 | 0.180%, 2/2/2016 | 3,174,492 | ||||||
Thrivent Cash Management Trust | ||||||||
50,569,195 | 0.220% | 50,569,195 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 53,743,687 | |||||||
|
| |||||||
Total Investments (cost $1,070,467,661) 104.8% | $ | 1,251,730,578 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (4.8%) | (57,150,322 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 1,194,580,256 | ||||||
|
|
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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MID CAP STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Mid Cap Stock Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 55,289,517 | ||
|
| |||
Total lending | $ | 55,289,517 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 57,473,443 | ||
|
| |||
Net amounts due to counterparty | $ | 2,183,926 | ||
|
|
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 207,536,852 | ||
Gross unrealized depreciation | (28,566,801 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 178,970,051 | ||
Cost for federal income tax purposes | $ | 1,072,760,527 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Mid Cap Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 84,466,478 | 84,466,478 | — | — | ||||||||||||
Consumer Staples | 37,612,866 | 37,612,866 | — | — | ||||||||||||
Energy | 48,812,741 | 48,812,741 | — | — | ||||||||||||
Financials | 304,278,829 | 304,278,829 | — | — | ||||||||||||
Health Care | 148,237,315 | 148,237,315 | — | — | ||||||||||||
Industrials | 207,572,282 | 207,572,282 | — | — | ||||||||||||
Information Technology | 256,156,653 | 256,156,653 | — | — | ||||||||||||
Materials | 34,416,250 | 34,416,250 | — | — | ||||||||||||
Utilities | 18,960,034 | 18,960,034 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 57,473,443 | 57,473,443 | — | — | ||||||||||||
Short-Term Investments | 53,743,687 | 50,569,195 | 3,174,492 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,251,730,578 | $ | 1,248,556,086 | $ | 3,174,492 | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
132
Table of Contents
MID CAP STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Mid Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 3,762,282 | ||||
Total Equity Contracts | 3,762,282 | |||||
|
| |||||
Total | $ | 3,762,282 | ||||
|
|
The following table presents Mid Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Futures | ||||||||
(Percentage | ||||||||
Futures | of Average | |||||||
Derivative Risk Category | (Notional)* | Net Assets) | ||||||
Equity Contracts | $ | 2,152,791 | 0.2 | % |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Mid Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 29,599,525 | $ | 216,033,740 | $ | 188,159,822 | 57,473,443 | $ | 57,473,443 | $ | 46,903 | |||||||||||||
Cash Management Trust-Short Term Investment | 38,432,404 | 230,848,421 | 218,711,630 | 50,569,195 | 50,569,195 | 44,126 | ||||||||||||||||||
Total Value and Income Earned | $ | 68,031,929 | $ | 108,042,638 | $ | 91,029 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Summary Schedule of Investments as of December 31, 2015
Shares | Common Stock (94.2%) | Value | % of Net Assets | |||||||||
| Consumer Discretionary (12.1%) |
| ||||||||||
15,770 | Foot Locker, Inc. | $ | 1,026,469 | 0.6 | % | |||||||
23,830 | Jarden Corporationa | 1,361,170 | 0.8 | % | ||||||||
35,350 | LKQ Corporationa | 1,047,421 | 0.6 | % | ||||||||
Other Securities^ | 18,398,828 | 10.1 | % | |||||||||
|
| |||||||||||
Total | 21,833,888 | |||||||||||
|
| |||||||||||
| Consumer Staples (3.3%) | |||||||||||
8,250 | Ingredion, Inc. | 790,680 | 0.4 | % | ||||||||
20,280 | WhiteWave Foods Companya | 789,095 | 0.4 | % | ||||||||
Other Securities^ | 4,463,216 | 2.5 | % | |||||||||
|
| |||||||||||
Total | 6,042,991 | |||||||||||
|
| |||||||||||
| Energy (2.8%) | |||||||||||
21,060 | HollyFrontier Corporation | 840,083 | 0.5 | % | ||||||||
Other Securities^ | 4,164,351 | 2.3 | % | |||||||||
|
| |||||||||||
Total | 5,004,434 | |||||||||||
|
| |||||||||||
| Financials (25.2%) | |||||||||||
8,360 | Alexandria Real Estate Equities, Inc. | 755,410 | 0.4 | % | ||||||||
1,800 | Alleghany Corporationa | 860,274 | 0.5 | % | ||||||||
20,530 | Arthur J. Gallagher & Company | 840,498 | 0.5 | % | ||||||||
10,020 | Camden Property Trust | 769,135 | 0.4 | % | ||||||||
39,860 | Duke Realty Corporation | 837,857 | 0.5 | % | ||||||||
4,980 | Everest Re Group, Ltd. | 911,788 | 0.5 | % | ||||||||
14,200 | Extra Space Storage, Inc. | 1,252,582 | 0.7 | % | ||||||||
8,000 | Federal Realty Investment Trust | 1,168,800 | 0.7 | % | ||||||||
5,170 | Jones Lang LaSalle, Inc. | 826,476 | 0.5 | % | ||||||||
8,720 | Mid-America Apartment Communities, Inc. | 791,863 | 0.4 | % | ||||||||
10,670 | MSCI, Inc. | 769,627 | 0.4 | % | ||||||||
56,101 | New York Community Bancorp, Inc.b | 915,568 | 0.5 | % | ||||||||
14,685 | Raymond James Financial, Inc. | 851,289 | 0.5 | % | ||||||||
10,860 | Regency Centers Corporation | 739,783 | 0.4 | % | ||||||||
16,020 | SEI Investments Company | 839,448 | 0.5 | % | ||||||||
5,830 | Signature Banka | 894,147 | 0.5 | % | ||||||||
30,263 | UDR, Inc. | 1,136,981 | 0.6 | % | ||||||||
Other Securities^ | 30,217,339 | 16.7 | % | |||||||||
|
| |||||||||||
Total | 45,378,865 | |||||||||||
|
| |||||||||||
| Health Care (9.3%) | |||||||||||
13,750 | Centene Corporationa | 904,887 | 0.5 | % | ||||||||
5,630 | Cooper Companies, Inc. | 755,546 | 0.4 | % | ||||||||
28,220 | Hologic, Inc.a | 1,091,832 | 0.6 | % | ||||||||
10,420 | IDEXX Laboratories, Inc.a | 759,826 | 0.4 | % | ||||||||
10,850 | Mednax, Inc.a | 777,511 | 0.4 | % | ||||||||
3,150 | Mettler-Toledo International, Inc.a | 1,068,259 | 0.6 | % | ||||||||
16,120 | ResMed, Inc. | 865,483 | 0.5 | % | ||||||||
9,910 | STERIS plc | 746,619 | 0.4 | % | ||||||||
5,260 | United Therapeutics Corporationa | 823,769 | 0.5 | % | ||||||||
Other Securities^ | 8,963,806 | 5.0 | % | |||||||||
|
| |||||||||||
Total | 16,757,538 | |||||||||||
|
| |||||||||||
| Industrials (14.2%) | |||||||||||
5,030 | Acuity Brands, Inc. | 1,176,014 | 0.6 | % | ||||||||
14,610 | Alaska Air Group, Inc. | 1,176,251 | 0.6 | % | ||||||||
18,370 | Fortune Brands Home and Security, Inc. | 1,019,535 | 0.6 | % | ||||||||
36,525 | JetBlue Airways Corporationa | 827,291 | 0.5 | % | ||||||||
8,020 | Towers Watson & Company | 1,030,249 | 0.6 | % |
10,990 | Wabtec Corporation | 781,609 | 0.4 | % | ||||||||
14,140 | Waste Connections, Inc. | 796,365 | 0.4 | % | ||||||||
Other Securities^ | 18,849,193 | 10.5 | % | |||||||||
|
| |||||||||||
Total | 25,656,507 | |||||||||||
|
| |||||||||||
| Information Technology (16.2%) | |||||||||||
10,270 | ANSYS, Inc.a | 949,975 | 0.5 | % | ||||||||
13,680 | Broadridge Financial Solutions, Inc. | 735,026 | 0.4 | % | ||||||||
18,340 | CDK Global, Inc. | 870,600 | 0.5 | % | ||||||||
4,800 | FactSet Research Systems, Inc. | 780,336 | 0.4 | % | ||||||||
9,550 | Gartner, Inc.a | 866,185 | 0.5 | % | ||||||||
14,970 | Global Payments, Inc. | 965,715 | 0.5 | % | ||||||||
18,030 | Synopsys, Inc.a | 822,348 | 0.5 | % | ||||||||
Other Securities^ | 23,200,611 | 12.9 | % | |||||||||
|
| |||||||||||
Total | 29,190,796 | |||||||||||
|
| |||||||||||
| Materials (6.1%) | |||||||||||
12,960 | Albemarle Corporation | 725,890 | 0.4 | % | ||||||||
7,250 | Ashland, Inc. | 744,575 | 0.4 | % | ||||||||
Other Securities^ | 9,502,996 | 5.3 | % | |||||||||
|
| |||||||||||
Total | 10,973,461 | |||||||||||
|
| |||||||||||
| Telecommunications Services (0.2%) | |||||||||||
Other Securities^ | 279,741 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 279,741 | |||||||||||
|
| |||||||||||
| Utilities (4.8%) | |||||||||||
13,100 | Alliant Energy Corporation | 818,095 | 0.5 | % | ||||||||
11,700 | Atmos Energy Corporation | 737,568 | 0.4 | % | ||||||||
Other Securities^ | 7,051,979 | 3.9 | % | |||||||||
|
| |||||||||||
Total | 8,607,642 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $143,269,276) | 169,725,863 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (3.2%) | ||||||||||||
5,872,212 | Thrivent Cash Management Trust | 5,872,212 | 3.2 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $5,872,212) | 5,872,212 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (5.7%)c | |||||||||||
Thrivent Cash Management Trust | ||||||||||||
9,442,638 | 0.220% | 9,442,638 | 5.2 | % | ||||||||
Other Securities^ | 799,975 | 0.5 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 10,242,613 | |||||||||||
|
| |||||||||||
Total Investments (cost $159,384,101) 103.1% | $ | 185,840,688 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (3.1%) | (5,670,398 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 180,170,290 | ||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
134
Table of Contents
MID CAP INDEX PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Mid Cap Index Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 5,621,285 | ||
|
| |||
Total lending | $ | 5,621,285 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 5,872,212 | ||
|
| |||
Net amounts due to counterparty | $ | 250,927 | ||
|
|
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 36,172,102 | ||
Gross unrealized depreciation | (11,579,391 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 24,592,711 | ||
Cost for federal income tax purposes | $ | 161,247,977 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
135
Table of Contents
MID CAP INDEX PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Mid Cap Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 21,833,888 | 21,833,888 | — | — | ||||||||||||
Consumer Staples | 6,042,991 | 6,042,991 | — | — | ||||||||||||
Energy | 5,004,434 | 5,004,434 | — | — | ||||||||||||
Financials | 45,378,865 | 45,378,865 | — | — | ||||||||||||
Health Care | 16,757,538 | 16,757,538 | — | — | ||||||||||||
Industrials | 25,656,507 | 25,656,507 | — | — | ||||||||||||
Information Technology | 29,190,796 | 29,190,796 | — | — | ||||||||||||
Materials | 10,973,461 | 10,973,461 | — | — | ||||||||||||
Telecommunications Services | 279,741 | 279,741 | — | — | ||||||||||||
Utilities | 8,607,642 | 8,607,642 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 5,872,212 | 5,872,212 | — | — | ||||||||||||
Short-Term Investments | 10,242,613 | 9,442,638 | 799,975 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 185,840,688 | $ | 185,040,713 | $ | 799,975 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 38,036 | 38,036 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 38,036 | $ | 38,036 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The following table presents Mid Cap Index Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $499,989 were pledged as the initial margin deposit for these contracts.
Number of | Notional | |||||||||||||||||||
Contracts | Expiration | Principal | Unrealized | |||||||||||||||||
Futures Contracts | Long/(Short) | Date | Amount | Value | Gain/(Loss) | |||||||||||||||
S&P 400 Index Mini-Futures | 72 | March 2016 | $ | 10,071,236 | $ | 10,033,200 | ($ | 38,036 | ) | |||||||||||
Total Futures Contracts | ($ | 38,036 | ) |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Mid Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 38,036 | |||
Total Equity Contracts | 38,036 | |||||
|
| |||||
Total Liability Derivatives | $ | 38,036 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Mid Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 1,362,913 | ||||
Total Equity Contracts | 1,362,913 | |||||
|
| |||||
Total | $ | 1,362,913 | ||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
136
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MID CAP INDEX PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Mid Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (653,362 | ) | |||
Total Equity Contracts | (653,362 | ) | ||||
|
| |||||
Total | ($ | 653,362 | ) | |||
|
|
The following table presents Mid Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Futures | ||||||||
(Percentage | ||||||||
Futures | of Average | |||||||
Derivative Risk Category | (Notional)* | Net Assets) | ||||||
Equity Contracts | $ | 12,254,441 | 7.3 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Mid Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 5,801,543 | $ | 41,434,764 | $ | 41,364,095 | 5,872,212 | $ | 5,872,212 | $ | 55,339 | |||||||||||||
Cash Management Trust-Short Term Investment | 16,844,745 | 59,965,652 | 67,367,759 | 9,442,638 | 9,442,638 | 9,210 | ||||||||||||||||||
Total Value and Income Earned | $ | 22,646,288 | $ | 15,314,850 | $ | 64,549 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
137
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Shares | Common Stock (86.6%) | Value | % of Net Assets | |||||||||
| Australia (3.1%) |
| ||||||||||
Other Securities^ | $ | 49,840,872 | 3.1 | % | ||||||||
|
| |||||||||||
Total | 49,840,872 | |||||||||||
|
| |||||||||||
| Austria (0.2%) |
| ||||||||||
Other Securities^ | 3,110,027 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 3,110,027 | |||||||||||
|
| |||||||||||
| Belgium (1.1%) |
| ||||||||||
Other Securities^ | 17,456,000 | 1.1 | % | |||||||||
|
| |||||||||||
Total | 17,456,000 | |||||||||||
|
| |||||||||||
| Bermuda (0.6%) |
| ||||||||||
209,374 | Jardine Matheson Holdings, Ltd. | 10,139,467 | 0.6 | % | ||||||||
Other Securities^ | 103,280 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 10,242,747 | |||||||||||
|
| |||||||||||
| Brazil (0.9%) |
| ||||||||||
Other Securities^ | 13,688,628 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 13,688,628 | |||||||||||
|
| |||||||||||
| Canada (2.7%) |
| ||||||||||
Other Securities^ | 43,397,624 | 2.7 | % | |||||||||
|
| |||||||||||
Total | 43,397,624 | |||||||||||
|
| |||||||||||
| Chile (0.1%) |
| ||||||||||
Other Securities^ | 2,404,597 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 2,404,597 | |||||||||||
|
| |||||||||||
| China (0.8%) |
| ||||||||||
9,507,180 | Lenovo Group, Ltd. | 9,594,584 | 0.6 | % | ||||||||
Other Securities^ | 3,848,942 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 13,443,526 | |||||||||||
|
| |||||||||||
| Denmark (2.2%) |
| ||||||||||
286,154 | Danske Bank AS | 7,678,171 | 0.5 | % | ||||||||
216,379 | Novo Nordisk AS | 12,527,956 | 0.8 | % | ||||||||
Other Securities^ | 15,380,162 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 35,586,289 | |||||||||||
|
| |||||||||||
| Faroe Islands (0.1%) |
| ||||||||||
Other Securities^ | 1,213,453 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,213,453 | |||||||||||
|
| |||||||||||
| Finland (0.3%) |
| ||||||||||
Other Securities^ | 4,189,044 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 4,189,044 | |||||||||||
|
| |||||||||||
| France (7.2%) |
| ||||||||||
535,491 | AXA SA | 14,631,606 | 0.9 | % | ||||||||
157,835 | Cap Gemini SA | 14,644,895 | 0.9 | % | ||||||||
55,700 | Christian Dior SE | 9,461,386 | 0.6 | % | ||||||||
278,137 | Compagnie de Saint-Gobain | 12,053,208 | 0.8 | % | ||||||||
528,642 | Engie | 9,364,001 | 0.6 | % | ||||||||
221,587 | Societe Generale | 10,211,260 | 0.7 | % | ||||||||
Other Securities^ | 45,062,629 | 2.7 | % | |||||||||
|
| |||||||||||
Total | 115,428,985 | |||||||||||
|
| |||||||||||
| Germany (5.3%) |
| ||||||||||
140,194 | Daimler AG | 11,713,833 | 0.7 | % | ||||||||
113,573 | SAP SE | 9,012,427 | 0.6 | % | ||||||||
366,679 | ThyssenKrupp AG | 7,268,851 | 0.4 | % | ||||||||
Other Securities^ | 57,466,472 | 3.6 | % | |||||||||
|
| |||||||||||
Total | 85,461,583 | |||||||||||
|
| |||||||||||
| Hong Kong (2.9%) |
| ||||||||||
963,516 | Cheung Kong Holdings, Ltd. | 12,951,513 | 0.8 | % | ||||||||
Other Securities^ | �� | 33,249,024 | 2.1 | % | ||||||||
|
| |||||||||||
Total | 46,200,537 | |||||||||||
|
| |||||||||||
| Hungary (0.1%) |
| ||||||||||
Other Securities^ | 2,038,446 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 2,038,446 | |||||||||||
|
| |||||||||||
| India (2.0%) |
| ||||||||||
Other Securities^ | 32,339,413 | 2.0 | % | |||||||||
|
| |||||||||||
Total | 32,339,413 | |||||||||||
|
| |||||||||||
| Indonesia (0.5%) |
| ||||||||||
13,098,100 | Astra International Tbk PT | 5,642,040 | 0.4 | % | ||||||||
Other Securities^ | 2,255,154 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 7,897,194 | |||||||||||
|
| |||||||||||
| Ireland (1.1%) |
| ||||||||||
Other Securities^ | 17,785,882 | 1.1 | % | |||||||||
|
| |||||||||||
Total | 17,785,882 | |||||||||||
|
| |||||||||||
| Israel (0.3%) |
| ||||||||||
Other Securities^ | 5,303,959 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 5,303,959 | |||||||||||
|
| |||||||||||
| Italy (2.9%) |
| ||||||||||
538,071 | Assicurazioni Generali SPA | 9,828,829 | 0.6 | % | ||||||||
2,964,208 | Intesa Sanpaolo SPA | 9,844,188 | 0.6 | % | ||||||||
Other Securities^ | 26,620,852 | 1.7 | % | |||||||||
|
| |||||||||||
Total | 46,293,869 | |||||||||||
|
| |||||||||||
| Japan (17.8%) |
| ||||||||||
313,800 | KDDI Corporation | 8,149,447 | 0.5 | % | ||||||||
1,803,121 | Leopalace21 Corporationa | 9,759,819 | 0.6 | % | ||||||||
3,133,129 | Mitsui Chemicals, Inc. | 13,895,454 | 0.9 | % | ||||||||
391,381 | MS and AD Insurance Group Holdings, Inc. | 11,477,120 | 0.7 | % | ||||||||
3,271,464 | Nippon Yusen Kabushiki Kaisha | 7,929,022 | 0.5 | % | ||||||||
1,127,275 | Nissan Motor Company, Ltd. | 11,803,406 | 0.7 | % | ||||||||
168,508 | SoftBank Group Corporation | 8,504,667 | 0.6 | % | ||||||||
937,890 | Sumitomo Corporation | 9,562,099 | 0.6 | % | ||||||||
2,702,284 | Sumitomo Mitsui Trust Holdings, Inc. | 10,234,446 | 0.6 | % | ||||||||
167,700 | Toyota Motor Corporation | 10,326,802 | 0.7 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
138
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
% of Net | ||||||||||||
Shares | Common Stock (86.6%) | Value | Assets | |||||||||
| Japan (17.8%) - continued |
| ||||||||||
Other Securities^ | $ | 184,961,092 | 11.4 | % | ||||||||
|
| |||||||||||
Total | 286,603,374 | |||||||||||
|
| |||||||||||
| Jersey (0.7%) | |||||||||||
398,350 | WPP plc | 9,162,813 | 0.6 | % | ||||||||
Other Securities^ | 2,351,060 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 11,513,873 | |||||||||||
|
| |||||||||||
| Luxembourg (0.2%) | |||||||||||
Other Securities^ | 3,301,089 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 3,301,089 | |||||||||||
|
| |||||||||||
| Malaysia (0.2%) | |||||||||||
Other Securities^ | 3,467,853 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 3,467,853 | |||||||||||
|
| |||||||||||
| Mexico (1.1%) | |||||||||||
78,000 | Fomento Economico Mexicano SAB de CV ADR | 7,203,300 | 0.5 | % | ||||||||
Other Securities^ | 9,697,721 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 16,901,021 | |||||||||||
|
| |||||||||||
| Netherlands (4.8%) | |||||||||||
2,324,151 | Aegon NV | 13,144,217 | 0.8 | % | ||||||||
223,225 | AerCap Holdings NVa | 9,634,391 | 0.6 | % | ||||||||
121,286 | ASML Holding NV | 10,776,501 | 0.7 | % | ||||||||
1,286,233 | BAM Groupa | 7,150,617 | 0.5 | % | ||||||||
193,967 | Koninklijke DSM NV | 9,726,614 | 0.6 | % | ||||||||
221,490 | Unilever NV | 9,653,495 | 0.6 | % | ||||||||
Other Securities^ | 17,195,243 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 77,281,078 | |||||||||||
|
| |||||||||||
| New Zealand (0.2%) | |||||||||||
Other Securities^ | 2,828,112 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 2,828,112 | |||||||||||
|
| |||||||||||
| Norway (1.3%) | |||||||||||
761,459 | Marine Harvest ASA | 10,245,299 | 0.6 | % | ||||||||
Other Securities^ | 10,445,245 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 20,690,544 | |||||||||||
|
| |||||||||||
| Philippines (0.5%) | |||||||||||
Other Securities^ | 7,875,197 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 7,875,197 | |||||||||||
|
| |||||||||||
| Poland (0.2%) | |||||||||||
Other Securities^ | 3,190,193 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 3,190,193 | |||||||||||
|
| |||||||||||
| Portugal (0.3%) | |||||||||||
Other Securities^ | 4,534,964 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 4,534,964 | |||||||||||
|
| |||||||||||
| Russia (0.5%) | |||||||||||
Other Securities^ | 7,810,620 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 7,810,620 | |||||||||||
|
| |||||||||||
| Singapore (0.1%) | |||||||||||
Other Securities^ | 1,425,983 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,425,983 | |||||||||||
|
| |||||||||||
| South Africa (0.4%) | |||||||||||
Other Securities^ | 6,382,909 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 6,382,909 | |||||||||||
|
| |||||||||||
| South Korea (1.1%) | |||||||||||
9,262 | Samsung Electronics Company, Ltd. | 9,878,685 | 0.6 | % | ||||||||
Other Securities^ | 7,606,891 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 17,485,576 | |||||||||||
|
| |||||||||||
| Spain (2.3%) | |||||||||||
1,140,365 | Iberdrola SA | 8,084,060 | 0.5 | % | ||||||||
Other Securities^ | 29,554,190 | 1.8 | % | |||||||||
|
| |||||||||||
Total | 37,638,250 | |||||||||||
|
| |||||||||||
| Sweden (2.1%) | |||||||||||
884,225 | Volvo AB | 8,199,029 | 0.5 | % | ||||||||
Other Securities^ | 25,567,786 | 1.6 | % | |||||||||
|
| |||||||||||
Total | 33,766,815 | |||||||||||
|
| |||||||||||
| Switzerland (7.2%) | |||||||||||
152,177 | Adecco SA | 10,415,411 | 0.7 | % | ||||||||
424,926 | Credit Suisse Group AG | 9,153,740 | 0.6 | % | ||||||||
17,194 | Georg Fischer AG | 11,673,052 | 0.7 | % | ||||||||
170,394 | LafargeHolcim, Ltd. | 8,532,450 | 0.5 | % | ||||||||
157,138 | Nestle SA | 11,665,179 | 0.7 | % | ||||||||
234,631 | Novartis AG | 20,182,789 | 1.2 | % | ||||||||
94,401 | Roche Holding AG | 26,159,311 | 1.6 | % | ||||||||
Other Securities^ | 17,256,856 | 1.2 | % | |||||||||
|
| |||||||||||
Total | 115,038,788 | |||||||||||
|
| |||||||||||
| Taiwan (0.6%) | |||||||||||
1,838,951 | Taiwan Semiconductor Manufacturing Company, Ltd. | 7,933,678 | 0.5 | % | ||||||||
Other Securities^ | 2,011,318 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 9,944,996 | |||||||||||
|
| |||||||||||
| Thailand (1.0%) | |||||||||||
19,481,969 | Krung Thai Bank pcl | 8,985,003 | 0.6 | % | ||||||||
Other Securities^ | 7,344,955 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 16,329,958 | |||||||||||
|
| |||||||||||
| Turkey (0.6%) | |||||||||||
Other Securities^ | 9,714,521 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 9,714,521 | |||||||||||
|
| |||||||||||
| United Kingdom (8.8%) | |||||||||||
1,390,457 | BAE Systems plc | 10,237,322 | 0.6 | % | ||||||||
173,210 | Bellway plc | 7,242,546 | 0.4 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
139
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
% of Net | ||||||||||
Shares | Common Stock (86.6%) | Value | Assets | |||||||
United Kingdom (8.8%) - continued |
| |||||||||
Other Securities^ | $ | 123,516,917 | 7.8 | % | ||||||
|
| |||||||||
Total | 140,996,785 | |||||||||
|
| |||||||||
United States (0.2%) | ||||||||||
Other Securities^ | 3,119,235 | 0.2 | % | |||||||
|
| |||||||||
Total | 3,119,235 | |||||||||
|
| |||||||||
Total Common Stock (cost $1,387,207,486) | 1,391,164,409 | |||||||||
|
| |||||||||
Principal Amount | Long-Term Fixed Income (10.8%) | |||||||||
Argentina (0.3%) | ||||||||||
Other Securities^ | 4,828,080 | 0.3 | % | |||||||
|
| |||||||||
Total | 4,828,080 | |||||||||
|
| |||||||||
Azerbaijan (<0.1%) | ||||||||||
Other Securities^ | 757,879 | <0.1 | % | |||||||
|
| |||||||||
Total | 757,879 | |||||||||
|
| |||||||||
Belize (<0.1%) | ||||||||||
Other Securities^ | 83,880 | <0.1 | % | |||||||
|
| |||||||||
Total | 83,880 | |||||||||
|
| |||||||||
Bermuda (<0.1%) | ||||||||||
Other Securities^ | 173,250 | <0.1 | % | |||||||
|
| |||||||||
Total | 173,250 | |||||||||
|
| |||||||||
Brazil (0.4%) | ||||||||||
Other Securities^ | 6,771,021 | 0.4 | % | |||||||
|
| |||||||||
Total | 6,771,021 | |||||||||
|
| |||||||||
Bulgaria (<0.1%) | ||||||||||
Other Securities^ | 207,991 | <0.1 | % | |||||||
|
| |||||||||
Total | 207,991 | |||||||||
|
| |||||||||
Cayman Islands (<0.1%) | ||||||||||
Other Securities^ | 110,825 | <0.1 | % | |||||||
|
| |||||||||
Total | 110,825 | |||||||||
|
| |||||||||
Chile (0.5%) | ||||||||||
Other Securities^ | 6,988,371 | 0.5 | % | |||||||
|
| |||||||||
Total | 6,988,371 | |||||||||
|
| |||||||||
China (<0.1%) | ||||||||||
Other Securities^ | 241,289 | <0.1 | % | |||||||
|
| |||||||||
Total | 241,289 | |||||||||
|
| |||||||||
Colombia (0.6%) | ||||||||||
Other Securities^ | 8,331,288 | 0.6 | % | |||||||
|
| |||||||||
Total | 8,331,288 | |||||||||
|
| |||||||||
Costa Rica (0.3%) | ||||||||||
Other Securities^ | 4,722,050 | 0.3 | % | |||||||
|
| |||||||||
Total | 4,722,050 | |||||||||
|
| |||||||||
Croatia (0.4%) | ||||||||||
Other Securities^ | 5,671,034 | 0.4 | % | |||||||
|
| |||||||||
Total | 5,671,034 | |||||||||
|
| |||||||||
Czech Republic (<0.1%) | ||||||||||
Other Securities^ | 310,587 | <0.1 | % | |||||||
|
| |||||||||
Total | 310,587 | |||||||||
|
| |||||||||
Dominican Republic (0.6%) | ||||||||||
Other Securities^ | 9,924,201 | 0.6 | % | |||||||
|
| |||||||||
Total | 9,924,201 | |||||||||
|
| |||||||||
Ecuador (0.1%) | ||||||||||
Other Securities^ | 1,227,884 | 0.1 | % | |||||||
|
| |||||||||
Total | 1,227,884 | |||||||||
|
| |||||||||
El Salvador (0.2%) | ||||||||||
Other Securities^ | 2,866,709 | 0.2 | % | |||||||
|
| |||||||||
Total | 2,866,709 | |||||||||
|
| |||||||||
Ethiopia (0.1%) | ||||||||||
Other Securities^ | 885,500 | 0.1 | % | |||||||
|
| |||||||||
Total | 885,500 | |||||||||
|
| |||||||||
Gabon (<0.1%) | ||||||||||
Other Securities^ | 298,996 | <0.1 | % | |||||||
|
| |||||||||
Total | 298,996 | |||||||||
|
| |||||||||
Ghana (0.1%) | ||||||||||
Other Securities^ | 902,905 | 0.1 | % | |||||||
|
| |||||||||
Total | 902,905 | |||||||||
|
| |||||||||
Guatemala (0.1%) | ||||||||||
Other Securities^ | 1,990,650 | 0.1 | % | |||||||
|
| |||||||||
Total | 1,990,650 | |||||||||
|
| |||||||||
Honduras (0.1%) | ||||||||||
Other Securities^ | 2,543,900 | 0.1 | % | |||||||
|
| |||||||||
Total | 2,543,900 | |||||||||
�� |
|
| ||||||||
Hong Kong (<0.1%) | ||||||||||
Other Securities^ | 404,565 | <0.1 | % | |||||||
|
| |||||||||
Total | 404,565 | |||||||||
|
| |||||||||
Hungary (0.6%) | ||||||||||
Other Securities^ | 9,074,821 | 0.6 | % | |||||||
|
| |||||||||
Total | 9,074,821 | |||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
140
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (10.8%) | Value | % of Net Assets | |||||||
India (<0.1%) |
| |||||||||
Other Securities^ | $ | 700,838 | <0.1 | % | ||||||
|
| |||||||||
Total | 700,838 | |||||||||
|
| |||||||||
Indonesia (0.7%) | ||||||||||
Other Securities^ | 11,531,381 | 0.7 | % | |||||||
|
| |||||||||
Total | 11,531,381 | |||||||||
|
| |||||||||
Iraq (0.1%) | ||||||||||
Other Securities^ | 807,648 | 0.1 | % | |||||||
|
| |||||||||
Total | 807,648 | |||||||||
|
| |||||||||
Israel (<0.1%) | ||||||||||
Other Securities^ | 220,818 | <0.1 | % | |||||||
|
| |||||||||
Total | 220,818 | |||||||||
|
| |||||||||
Jamaica (<0.1%) | ||||||||||
Other Securities^ | 642,950 | <0.1 | % | |||||||
|
| |||||||||
Total | 642,950 | |||||||||
|
| |||||||||
Kazakhstan (0.2%) | ||||||||||
Other Securities^ | 3,188,119 | 0.2 | % | |||||||
|
| |||||||||
Total | 3,188,119 | |||||||||
|
| |||||||||
Kenya (0.1%) | ||||||||||
Other Securities^ | 2,056,250 | 0.1 | % | |||||||
|
| |||||||||
Total | 2,056,250 | |||||||||
|
| |||||||||
Latvia (<0.1%) | ||||||||||
Other Securities^ | 607,319 | <0.1 | % | |||||||
|
| |||||||||
Total | 607,319 | |||||||||
|
| |||||||||
Luxembourg (0.2%) | ||||||||||
Other Securities^ | 3,758,334 | 0.2 | % | |||||||
|
| |||||||||
Total | 3,758,334 | |||||||||
|
| |||||||||
Macedonia, The Former Yugoslav Republic Of (0.1%) | ||||||||||
Other Securities^ | 851,382 | 0.1 | % | |||||||
|
| |||||||||
Total | 851,382 | |||||||||
|
| |||||||||
Mexico (0.9%) | ||||||||||
Other Securities^ | 13,799,431 | 0.9 | % | |||||||
|
| |||||||||
Total | 13,799,431 | |||||||||
|
| |||||||||
Montenegro (<0.1%) | ||||||||||
Other Securities^ | 205,286 | <0.1 | % | |||||||
|
| |||||||||
Total | 205,286 | |||||||||
|
| |||||||||
Mozambique (<0.1%) | ||||||||||
Other Securities^ | 363,636 | <0.1 | % | |||||||
|
| |||||||||
Total | 363,636 | |||||||||
|
| |||||||||
Namibia (<0.1%) | ||||||||||
Other Securities^ | 251,100 | <0.1 | % | |||||||
|
| |||||||||
Total | 251,100 | |||||||||
|
| |||||||||
Netherlands (<0.1%) | ||||||||||
Other Securities^ | 348,500 | <0.1 | % | |||||||
|
| |||||||||
Total | 348,500 | |||||||||
|
| |||||||||
Nigeria (<0.1%) | ||||||||||
Other Securities^ | 537,750 | <0.1 | % | |||||||
|
| |||||||||
Total | 537,750 | |||||||||
|
| |||||||||
Pakistan (0.1%) | ||||||||||
Other Securities^ | 1,058,960 | 0.1 | % | |||||||
|
| |||||||||
Total | 1,058,960 | |||||||||
|
| |||||||||
Panama (0.1%) | ||||||||||
Other Securities^ | 1,423,986 | 0.1 | % | |||||||
|
| |||||||||
Total | 1,423,986 | |||||||||
|
| |||||||||
Paraguay (0.1%) | ||||||||||
Other Securities^ | 2,004,623 | 0.1 | % | |||||||
|
| |||||||||
Total | 2,004,623 | |||||||||
|
| |||||||||
Peru (0.1%) | ||||||||||
Other Securities^ | 2,245,045 | 0.1 | % | |||||||
|
| |||||||||
Total | 2,245,045 | |||||||||
|
| |||||||||
Philippines (0.1%) | ||||||||||
Other Securities^ | 2,251,227 | 0.1 | % | |||||||
|
| |||||||||
Total | 2,251,227 | |||||||||
|
| |||||||||
Romania (<0.1%) | ||||||||||
Other Securities^ | 597,639 | <0.1 | % | |||||||
|
| |||||||||
Total | 597,639 | |||||||||
|
| |||||||||
Russia (0.2%) | ||||||||||
Other Securities^ | 2,941,830 | 0.2 | % | |||||||
|
| |||||||||
Total | 2,941,830 | |||||||||
|
| |||||||||
South Africa (0.4%) | ||||||||||
Other Securities^ | 5,116,790 | 0.4 | % | |||||||
|
| |||||||||
Total | 5,116,790 | |||||||||
|
| |||||||||
South Korea (0.1%) | ||||||||||
Other Securities^ | 1,022,785 | 0.1 | % | |||||||
|
| |||||||||
Total | 1,022,785 | |||||||||
|
| |||||||||
Sri Lanka (0.4%) | ||||||||||
Other Securities^ | 6,440,880 | 0.4 | % | |||||||
|
| |||||||||
Total | 6,440,880 | |||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
141
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (10.8%) | Value | % of Net Assets | |||||||||
| Supranational (0.1%) |
| ||||||||||
Other Securities^ | $ | 715,240 | 0.1 | % | ||||||||
|
| |||||||||||
Total | 715,240 | |||||||||||
|
| |||||||||||
| Turkey (0.4%) | |||||||||||
Other Securities^ | 6,388,222 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 6,388,222 | |||||||||||
|
| |||||||||||
| Ukraine (0.2%) | |||||||||||
Other Securities^ | 2,413,450 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 2,413,450 | |||||||||||
|
| |||||||||||
| United Arab Emirates (0.1%) | |||||||||||
Other Securities^ | 1,120,797 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,120,797 | |||||||||||
|
| |||||||||||
| United States (0.9%) | |||||||||||
Other Securities^ | 14,403,540 | 0.9 | % | |||||||||
|
| |||||||||||
Total | 14,403,540 | |||||||||||
|
| |||||||||||
| Venezuela (0.5%) | |||||||||||
Other Securities^ | 8,661,555 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 8,661,555 | |||||||||||
|
| |||||||||||
| Vietnam (0.2%) | |||||||||||
Other Securities^ | 3,366,553 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 3,366,553 | |||||||||||
|
| |||||||||||
| Virgin Islands, British (<0.1%) | |||||||||||
Other Securities^ | 321,975 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 321,975 | |||||||||||
|
| |||||||||||
| Zambia (0.1%) | |||||||||||
Other Securities^ | 1,178,705 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,178,705 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $187,732,090) | 172,862,220 | |||||||||||
|
| |||||||||||
Shares | Preferred Stock (0.8%) | |||||||||||
| Brazil (0.1%) | |||||||||||
Other Securities^ | 1,717,507 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,717,507 | |||||||||||
|
| |||||||||||
| South Korea (0.7%) | |||||||||||
11,350 | Samsung Electronics Company, Ltd. | 10,491,805 | 0.7 | % | ||||||||
|
| |||||||||||
Total | 10,491,805 | |||||||||||
|
| |||||||||||
Total Preferred Stock (cost $14,100,993) | 12,209,312 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (1.1%) | ||||||||||||
18,465,884 | Thrivent Cash Management Trust | 18,465,884 | 1.1 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $18,465,884) | 18,465,884 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (1.1%)b | |||||||||||
Thrivent Cash Management Trust | ||||||||||||
17,322,047 | 0.220% | 17,322,047 | 1.1 | % | ||||||||
Other Securities^ | 99,996 | <0.1 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 17,422,043 | |||||||||||
|
| |||||||||||
Total Investments (cost $1,624,928,496) 100.4% | $ | 1,612,123,868 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (0.4%) | (6,563,246 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 1,605,560,622 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Non-income producing security. |
b | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Partner Worldwide Allocation Portfolio held restricted securities as of December 31, 2015. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. As of December 31, 2015, the value of these investments was $9,693,674 or 0.6% of total net assets.
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Partner Worldwide Allocation Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 17,361,358 | ||
|
| |||
Total lending | $ | 17,361,358 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 18,465,884 | ||
|
| |||
Net amounts due to counterparty | $ | 1,104,526 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
142
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 148,775,769 | ||
Gross unrealized depreciation | (166,318,449 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (17,542,680 | ) | |
Cost for federal income tax purposes | $ | 1,629,666,548 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Partner Worldwide Allocation Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 191,905,057 | 3,119,235 | 188,785,822 | — | ||||||||||||
Consumer Staples | 156,002,631 | 7,203,300 | 148,799,331 | — | ||||||||||||
Energy | 47,462,877 | 7,249,850 | 40,213,027 | — | ||||||||||||
Financials^ | 347,436,146 | 7,512,361 | 339,923,113 | 672 | ||||||||||||
Health Care | 123,562,950 | 4,750,564 | 118,812,386 | — | ||||||||||||
Industrials | 226,881,307 | 15,800,580 | 211,080,727 | — | ||||||||||||
Information Technology | 123,171,119 | — | 122,326,215 | 844,904 | ||||||||||||
Materials | 104,257,585 | 631,259 | 103,626,326 | — | ||||||||||||
Telecommunications Services | 43,632,962 | — | 43,632,961 | 1 | ||||||||||||
Utilities | 26,851,775 | — | 26,851,775 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Basic Materials | 1,616,073 | — | 1,616,073 | — | ||||||||||||
Capital Goods | 585,317 | — | 585,317 | — | ||||||||||||
Communications Services | 3,760,332 | — | 3,760,332 | — | ||||||||||||
Consumer Cyclical | 643,620 | — | 643,620 | — | ||||||||||||
Consumer Non-Cyclical^ | 2,103,334 | — | 2,103,334 | 0 | ||||||||||||
Energy | 9,065,198 | — | 9,065,198 | — | ||||||||||||
Financials | 10,212,551 | — | 10,212,551 | — | ||||||||||||
Foreign Government | 123,180,647 | — | 122,325,187 | 855,460 | ||||||||||||
Transportation | 2,295,489 | — | 2,295,489 | — | ||||||||||||
U.S. Government and Agencies | 11,534,747 | — | 11,534,747 | — | ||||||||||||
U.S. Municipal | 2,133,324 | — | 2,133,324 | — | ||||||||||||
Utilities | 5,731,588 | — | 5,731,588 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Information Technology | 10,491,805 | — | 10,491,805 | — | ||||||||||||
Materials | 1,717,507 | 1,717,507 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 18,465,884 | 18,465,884 | — | — | ||||||||||||
Short-Term Investments | 17,422,043 | 17,322,047 | 99,996 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,612,123,868 | $ | 83,772,587 | $ | 1,526,650,244 | $ | 1,701,037 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 98,516 | 98,516 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 832,453 | — | 832,453 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 930,969 | $ | 98,516 | $ | 832,453 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 316,411 | 316,411 | — | — | ||||||||||||
Foreign Currency Forward Contracts | 813,272 | — | 813,272 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 1,129,683 | $ | 316,411 | $ | 813,272 | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
^ | Level 3 security in this section is fair valued at <$1. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
143
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Partner Worldwide Allocation Portfolio’s futures contracts held as of December 31, 2015. Investments and/or cash totaling $724,353 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | 91 | March 2016 | $ | 19,786,852 | $ | 19,768,329 | ($ | 18,523 | ) | |||||||||||
5-Yr. U.S. Treasury Bond Futures | 121 | March 2016 | 14,337,944 | 14,316,757 | (21,187 | ) | ||||||||||||||
10-Yr. U.S. Treasury Bond Futures | 112 | March 2016 | 14,129,249 | 14,101,500 | (27,749 | ) | ||||||||||||||
30-Yr. U.S. Treasury Bond Futures | 79 | March 2016 | 12,141,318 | 12,146,250 | 4,932 | |||||||||||||||
CME 3 Month Eurodollar Futures | (71 | ) | September 2016 | (17,425,095 | ) | (17,560,963 | ) | (135,868 | ) | |||||||||||
Eurex 10-yr. Euro Bund Futures | (23 | ) | March 2016 | (3,932,841 | ) | (3,949,270 | ) | (16,429 | ) | |||||||||||
Eurex 2-Yr. Euro Schatz Futures | (46 | ) | March 2016 | (5,585,770 | ) | (5,574,470 | ) | 11,300 | ||||||||||||
Eurex 30-Yr. Euro Buxl Futures | (3 | ) | March 2016 | (503,158 | ) | (492,170 | ) | 10,988 | ||||||||||||
Eurex 5-Yr. Euro Bobl Futures | (16 | ) | March 2016 | (2,270,525 | ) | (2,272,102 | ) | (1,577 | ) | |||||||||||
Eurex Euro STOXX 50 Index | 54 | March 2016 | 1,906,604 | 1,920,167 | 13,563 | |||||||||||||||
FTSE 100 Index | 11 | March 2016 | 974,824 | 1,005,086 | 30,262 | |||||||||||||||
HKG Hang Seng Index | 1 | January 2016 | 141,105 | 141,354 | 249 | |||||||||||||||
ICE mini MSCI EAFE Index | 23 | March 2016 | 1,959,403 | 1,952,930 | (6,473 | ) | ||||||||||||||
SFE S&P ASX Share Price Index 200 | 5 | March 2016 | 451,915 | 478,846 | 26,931 | |||||||||||||||
SGX MSCI Singapore Index | 6 | January 2016 | 136,644 | 136,935 | 291 | |||||||||||||||
TSE Tokyo Price Index | 10 | March 2016 | 1,296,912 | 1,287,491 | (9,421 | ) | ||||||||||||||
Ultra Long Term U.S. Treasury Bond Futures | (91 | ) | March 2016 | (14,361,379 | ) | (14,440,563 | ) | (79,184 | ) | |||||||||||
Total Futures Contracts | ($ | 217,895 | ) |
The accompanying Notes to Financial Statements are an integral part of this schedule.
144
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents Partner Worldwide Allocation Portfolio’s foreign currency forward contracts held as of December 31, 2015.
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Purchases | ||||||||||||||||||||||
Brazilian Real | HSBC | 2,531,563 | 1/5/2016 | $ | 657,133 | $ | 638,768 | ($ | 18,365 | ) | ||||||||||||
Brazilian Real | UBS | 1,154,309 | 1/5/2016 | 303,000 | 291,257 | (11,743 | ) | |||||||||||||||
Brazilian Real | MSC | 6,970,074 | 1/5/2016 | 1,793,319 | 1,758,701 | (34,618 | ) | |||||||||||||||
Brazilian Real | BOA | 2,315,149 | 1/5/2016 | 592,898 | 584,162 | (8,736 | ) | |||||||||||||||
Brazilian Real | RBC | 3,700,689 | 1/5/2016 | 934,381 | 933,764 | (617 | ) | |||||||||||||||
Chilean Peso | CITI | 564,347,659 | 1/12/2016 - 1/27/2016 | 791,146 | 794,956 | 3,810 | ||||||||||||||||
Chilean Peso | CSFB | 317,941,487 | 1/13/2016 | 452,039 | 448,222 | (3,817 | ) | |||||||||||||||
Chinese Yuan | JPM | 1,981,328 | 3/16/2016 | 300,000 | 303,646 | 3,646 | ||||||||||||||||
Chinese Yuan | CITI | 8,420,224 | 3/16/2016 | 1,294,722 | 1,290,433 | (4,289 | ) | |||||||||||||||
Chinese Yuan | SB | 3,924,878 | 3/16/2016 | 596,000 | 601,503 | 5,503 | ||||||||||||||||
Chinese Yuan | UBS | 1,974,925 | 3/16/2016 | 299,000 | 302,665 | 3,665 | ||||||||||||||||
Chinese Yuan | HSBC | 11,238,978 | 3/16/2016 -9/1/2016 | 1,701,000 | 1,720,959 | 19,959 | ||||||||||||||||
Colombian Peso | CSFB | 946,573,580 | 1/12/2016 | 300,404 | 298,031 | (2,373 | ) | |||||||||||||||
Colombian Peso | SB | 1,478,545,900 | 1/27/2016 | 482,917 | 465,230 | (17,687 | ) | |||||||||||||||
Colombian Peso | CITI | 398,277,000 | 1/12/2016 | 121,267 | 125,398 | 4,131 | ||||||||||||||||
Colombian Peso | HSBC | 598,137,918 | 1/27/2016 | 178,309 | 188,207 | 9,898 | ||||||||||||||||
Colombian Peso | DB | 1,220,249,208 | 1/15/2016 | 383,064 | 384,149 | 1,085 | ||||||||||||||||
Euro | BNP | 199,000 | 3/16/2016 | 216,413 | 216,651 | 238 | ||||||||||||||||
Euro | UBS | 273,000 | 3/16/2016 | 294,990 | 297,214 | 2,224 | ||||||||||||||||
Euro | BOA | 273,000 | 3/16/2016 | 300,300 | 297,214 | (3,086 | ) | |||||||||||||||
Hungarian Forint | BNP | 125,278,080 | 3/16/2016 | 426,493 | 432,505 | 6,012 | ||||||||||||||||
Hungarian Forint | CITI | 125,477,329 | 3/16/2016 | 435,897 | 433,193 | (2,704 | ) | |||||||||||||||
Hungarian Forint | RBS | 129,272,015 | 3/16/2016 | 438,954 | 446,293 | 7,339 | ||||||||||||||||
Indonesian Rupiah | DB | 3,593,652,705 | 1/4/2016 | 260,523 | 260,457 | (66 | ) | |||||||||||||||
Indonesian Rupiah | HSBC | 3,593,652,705 | 1/4/2016 | 261,357 | 260,457 | (900 | ) | |||||||||||||||
Malaysian Ringgit | HSBC | 1,288,177 | 1/4/2016 | 300,309 | 299,974 | (335 | ) | |||||||||||||||
Malaysian Ringgit | BNP | 1,288,177 | 1/4/2016 | 299,576 | 299,974 | 398 | ||||||||||||||||
Mexican Peso | RBC | 22,793,536 | 3/16/2016 | 1,345,123 | 1,316,028 | (29,095 | ) | |||||||||||||||
Mexican Peso | JPM | 34,910,587 | 3/16/2016 | 2,041,940 | 2,015,629 | (26,311 | ) | |||||||||||||||
Mexican Peso | RBS | 21,372,170 | 3/16/2016 | 1,282,905 | 1,233,963 | (48,942 | ) | |||||||||||||||
Mexican Peso | HSBC | 5,119,654 | 3/16/2016 | 296,000 | 295,593 | (407 | ) | |||||||||||||||
Mexican Peso | UBS | 23,608,961 | 3/16/2016 | 1,421,841 | 1,363,108 | (58,733 | ) | |||||||||||||||
New Taiwan Dollar | BB | 9,905,676 | 1/8/2016 | 303,000 | 301,609 | (1,391 | ) | |||||||||||||||
Polish Zloty | CITI | 10,545,369 | 3/16/2016 | 2,615,030 | 2,689,428 | 74,398 | ||||||||||||||||
Polish Zloty | RBS | 1,228,819 | 3/16/2016 | 304,189 | 313,391 | 9,202 | ||||||||||||||||
Russian Ruble | CSFB | 21,011,965 | 1/28/2016 | 295,000 | 286,135 | (8,865 | ) | |||||||||||||||
Russian Ruble | CITI | 81,376,021 | 1/12/2016 - 1/27/2016 | 1,201,678 | 1,109,458 | (92,220 | ) | |||||||||||||||
Russian Ruble | JPM | 101,681,870 | 1/12/2016 - 1/21/2016 | 1,482,581 | 1,388,311 | (94,270 | ) | |||||||||||||||
Russian Ruble | HSBC | 68,277,382 | 1/14/2016 - 2/11/2016 | 990,292 | 930,077 | (60,215 | ) | |||||||||||||||
Russian Ruble | MSC | 110,023,973 | 1/14/2016 - 2/3/2016 | 1,572,885 | 1,499,671 | (73,214 | ) | |||||||||||||||
South African Rand | SB | 4,586,706 | 3/16/2016 | 300,000 | 292,687 | (7,313 | ) | |||||||||||||||
South Korean Won | DB | 355,271,800 | 1/15/2016 | 299,000 | 302,946 | 3,946 | ||||||||||||||||
South Korean Won | SB | 1,047,849,492 | 1/8/2016 - 1/19/2016 | 892,000 | 893,515 | 1,515 | ||||||||||||||||
South Korean Won | UBS | 355,724,785 | 1/15/2016 | 299,000 | 303,332 | 4,332 | ||||||||||||||||
South Korean Won | HSBC | 354,388,500 | 1/14/2016 | 300,000 | 302,195 | 2,195 | ||||||||||||||||
South Korean Won | BB | 349,617,710 | 1/14/2016 | 299,000 | 298,127 | (873 | ) | |||||||||||||||
South Korean Won | SSB | 703,672,080 | 1/15/2016 | 604,000 | 600,032 | (3,968 | ) | |||||||||||||||
Turkish Lira | RBS | 914,327 | 3/16/2016 | 299,000 | 306,914 | 7,914 | ||||||||||||||||
Total Purchases | $ | 32,859,875 | $ | 32,416,132 | ($ | 443,743 | ) | |||||||||||||||
Sales | ||||||||||||||||||||||
Brazilian Real | HSBC | 2,531,563 | 1/5/2016 | $ | 653,188 | $ | 638,768 | $ | 14,420 | |||||||||||||
Brazilian Real | BOA | 2,315,149 | 1/5/2016 | 605,000 | 584,162 | 20,838 | ||||||||||||||||
Brazilian Real | RBC | 6,243,876 | 1/5/2016 - 2/2/2016 | 1,578,816 | 1,569,325 | 9,491 | ||||||||||||||||
Brazilian Real | MSC | 9,358,202 | 1/5/2016 - 2/2/2016 | 2,388,759 | 2,355,511 | 33,248 | ||||||||||||||||
Brazilian Real | UBS | 1,154,309 | 1/5/2016 | 295,613 | 291,257 | 4,356 | ||||||||||||||||
Brazilian Real | DB | 6,032,168 | 2/2/2016 | 1,569,733 | 1,507,482 | 62,251 | ||||||||||||||||
Chilean Peso | RBS | 507,793,189 | 1/11/2016 - 1/15/2016 | 718,838 | 715,867 | 2,971 | ||||||||||||||||
Chilean Peso | HSBC | 169,503,819 | 1/12/2016 | 239,000 | 238,981 | 19 | ||||||||||||||||
Chinese Yuan | HSBC | 7,843,408 | 3/16/2016 - 9/1/2016 | 1,192,000 | 1,197,733 | (5,733 | ) | |||||||||||||||
Chinese Yuan | SB | 10,093,859 | 3/16/2016 - 9/1/2016 | 1,550,924 | 1,539,765 | 11,159 | ||||||||||||||||
Chinese Yuan | CITI | 7,877,541 | 3/16/2016 - 9/1/2016 | 1,199,003 | 1,205,828 | (6,825 | ) | |||||||||||||||
Chinese Yuan | BB | 6,529,181 | 9/1/2016 | 980,358 | 995,856 | (15,498 | ) |
The accompanying Notes to Financial Statements are an integral part of this schedule.
145
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PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Foreign Currency Forward Contracts | Counterparty | Contracts to Deliver/Receive | Settlement Date | Value on Settlement Date | Value | Unrealized Gain/(Loss) | ||||||||||||||||
Sales - continued | ||||||||||||||||||||||
Chinese Yuan | JPM | 7,831,630 | 3/16/2016 - 9/1/2016 | $ | 1,196,000 | $ | 1,195,954 | $ | 46 | |||||||||||||
Chinese Yuan | BOA | 1,972,229 | 3/16/2016 | 299,000 | 302,252 | (3,252 | ) | |||||||||||||||
Chinese Yuan | WBC | 3,912,665 | 9/1/2016 | 596,000 | 596,775 | (775 | ) | |||||||||||||||
Chinese Yuan | DB | 10,008,638 | 3/16/2016 - 9/1/2016 | 1,510,054 | 1,527,993 | (17,939 | ) | |||||||||||||||
Colombian Peso | DB | 821,582,818 | 1/21/2016 | 245,434 | 258,579 | (13,145 | ) | |||||||||||||||
Colombian Peso | RBS | 707,853,954 | 1/19/2016 | 213,000 | 222,803 | (9,803 | ) | |||||||||||||||
Czech Republic Korun | ML | 6,397,559 | 3/16/2016 | 256,312 | 258,278 | (1,966 | ) | |||||||||||||||
Euro | CITI | 17,689,695 | 2/10/2016 - 3/16/2016 | 19,290,650 | 19,245,569 | 45,081 | ||||||||||||||||
Euro | RBS | 286,000 | 3/16/2016 | 304,189 | 311,367 | (7,178 | ) | |||||||||||||||
Hong Kong Dollar | BB | 1,855,000 | 1/22/2016 | 239,383 | 239,412 | (29 | ) | |||||||||||||||
Hungarian Forint | BNP | 62,607,788 | 3/16/2016 | 216,413 | 216,145 | 268 | ||||||||||||||||
Indonesian Rupiah | DB | 7,702,000,305 | 1/4/2016 - 1/11/2016 | 554,663 | 557,741 | (3,078 | ) | |||||||||||||||
Indonesian Rupiah | JPM | 10,131,888,333 | 1/22/2016 - 2/19/2016 | 710,045 | 728,598 | (18,553 | ) | |||||||||||||||
Indonesian Rupiah | BB | 4,147,800,000 | 2/17/2016 | 287,642 | 297,613 | (9,971 | ) | |||||||||||||||
Indonesian Rupiah | HSBC | 11,443,607,189 | 1/4/2016 - 1/19/2016 | 823,861 | 828,218 | (4,357 | ) | |||||||||||||||
Indonesian Rupiah | MSC | 4,064,940,000 | 1/19/2016 | 291,561 | 293,602 | (2,041 | ) | |||||||||||||||
Israel Shekel | BB | 1,015,282 | 3/16/2016 | 263,224 | 261,501 | 1,723 | ||||||||||||||||
Malaysian Ringgit | HSBC | 1,288,177 | 1/4/2016 | 303,000 | 299,974 | 3,026 | ||||||||||||||||
Malaysian Ringgit | BNP | 2,576,354 | 1/4/2016 - 1/8/2016 | 599,836 | 599,892 | (56 | ) | |||||||||||||||
Mexican Peso | RBS | 5,086,201 | 3/16/2016 | 296,000 | 293,661 | 2,339 | ||||||||||||||||
Mexican Peso | CITI | 22,097,123 | 2/5/2016 | 1,292,615 | 1,279,362 | 13,253 | ||||||||||||||||
Mexican Peso | BB | 49,245,952 | 1/21/2016 - 2/25/2016 | 2,952,383 | 2,848,614 | 103,769 | ||||||||||||||||
Mexican Peso | MSC | 12,658,973 | 2/4/2016 - 3/16/2016 | 753,517 | 732,138 | 21,379 | ||||||||||||||||
Mexican Peso | BOA | 28,977,353 | 1/28/2016 - 3/10/2016 | 1,714,973 | 1,675,240 | 39,733 | ||||||||||||||||
Mexican Peso | JPM | 20,198,250 | 3/3/2016 | 1,210,237 | 1,167,343 | 42,894 | ||||||||||||||||
New Taiwan Dollar | BNP | 28,048,964 | 1/8/2016 - 1/29/2016 | 862,445 | 854,184 | 8,261 | ||||||||||||||||
New Taiwan Dollar | JPM | 22,106,585 | 2/4/2016 | 675,836 | 673,396 | 2,440 | ||||||||||||||||
New Taiwan Dollar | BOA | 29,455,499 | 1/11/2016 - 1/19/2016 | 896,137 | 896,986 | (849 | ) | |||||||||||||||
New Taiwan Dollar | WBC | 14,506,231 | 1/8/2016 - 2/4/2016 | 445,092 | 441,751 | 3,341 | ||||||||||||||||
New Taiwan Dollar | HSBC | 32,183,761 | 1/21/2016 | 980,834 | 980,142 | 692 | ||||||||||||||||
Polish Zloty | UBS | 1,178,535 | 3/16/2016 | 294,990 | 300,567 | (5,577 | ) | |||||||||||||||
Polish Zloty | BOA | 1,192,191 | 3/16/2016 | 300,300 | 304,049 | (3,749 | ) | |||||||||||||||
Russian Ruble | JPM | 59,041,214 | 1/19/2016 | 829,000 | 805,542 | 23,458 | ||||||||||||||||
Russian Ruble | CSFB | 41,288,401 | 1/12/2016 - 1/14/2016 | 602,000 | 564,042 | 37,958 | ||||||||||||||||
Russian Ruble | MSC | 21,077,550 | 1/12/2016 | 300,000 | 288,003 | 11,997 | ||||||||||||||||
Russian Ruble | HSBC | 33,037,772 | 1/12/2016 - 1/22/2016 | 483,895 | 451,167 | 32,728 | ||||||||||||||||
Singapore Dollar | BOA | 1,261,260 | 3/16/2016 | 892,896 | 887,913 | 4,983 | ||||||||||||||||
Singapore Dollar | HSBC | 1,261,304 | 3/16/2016 | 890,846 | 887,944 | 2,902 | ||||||||||||||||
South African Rand | BB | 4,649,201 | 3/16/2016 | 300,000 | 296,675 | 3,325 | ||||||||||||||||
South Korean Won | BOA | 820,812,194 | 1/14/2016 | 692,084 | 699,925 | (7,841 | ) | |||||||||||||||
South Korean Won | BNP | 961,208,720 | 1/14/2016 | 827,280 | 819,645 | 7,635 | ||||||||||||||||
South Korean Won | UBS | 2,089,474,175 | 1/8/2016 - 1/22/2016 | 1,777,569 | 1,781,728 | (4,159 | ) | |||||||||||||||
South Korean Won | WBC | 581,969,167 | 1/15/2016 | 512,988 | 496,254 | 16,734 | ||||||||||||||||
South Korean Won | CITI | 581,835,875 | 1/15/2016 | 512,834 | 496,140 | 16,694 | ||||||||||||||||
South Korean Won | JPM | 594,536,235 | 1/15/2016 | 512,682 | 506,970 | 5,712 | ||||||||||||||||
Turkish Lira | BB | 2,905,936 | 3/16/2016 | 969,615 | 975,441 | (5,826 | ) | |||||||||||||||
Total Sales | $ | 63,950,547 | $ | 63,487,623 | $ | 462,924 | ||||||||||||||||
Net Unrealized Gain/(Loss) on Foreign Currency Forward Contracts |
| $ | 19,181 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Counterparty | ||||||||
BOA | - | Bank of America | ||||||
BB | - | Barclays Bank | ||||||
BNP | - | BNP Paribas | ||||||
CITI | - | Citibank | ||||||
CSFB | - | CS First Boston Corporation | ||||||
DB | - | Deutsche Bank | ||||||
HSBC | - | HSBC Securities, Inc. | ||||||
JPM | - | J.P. Morgan | ||||||
ML | - | Merrill Lynch | ||||||
MSC | - | Morgan Stanley & Company | ||||||
RBC | - | The Royal Bank of Canada | ||||||
RBS | - | The Royal Bank of Scotland | ||||||
SB | - | Standard Bank plc | ||||||
SSB | - | State Street Bank | ||||||
UBS | - | UBS Securities, Ltd. | ||||||
WBC | - | Westpac Banking Corporation |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency | 832,453 | ||||
Total Foreign Exchange Contracts | 832,453 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 27,220 | |||
Total Interest Rate Contracts | 27,220 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 71,296 | ||||
Total Equity Contracts | 71,296 | |||||
|
| |||||
Total Asset Derivatives | $ | 930,969 | ||||
|
| |||||
Liability Derivatives | ||||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net Assets - Net unrealized appreciation/(depreciation) on Foreign currency | 813,272 | ||||
Total Foreign Exchange Contracts | 813,272 | |||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 300,517 | ||||
Total Interest Rate Contracts | 300,517 | |||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 15,894 | ||||
Total Equity Contracts | 15,894 | |||||
|
| |||||
Total Liability Derivatives | $ | 1,129,683 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
147
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (165,313 | ) | |||
Total Equity Contracts | (165,313 | ) | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Net realized gains/(losses) on Foreign currency transactions | 3,290,285 | ||||
Total Foreign Exchange Contracts | 3,290,285 | |||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 457,149 | ||||
Total Interest Rate Contracts | 457,149 | |||||
|
| |||||
Total | $ | 3,582,121 | ||||
|
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Partner Worldwide Allocation Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Foreign Exchange Contracts | ||||||
Forward Contracts | Change in net unrealized appreciation/(depreciation) on | (608,150 | ) | |||
Total Foreign Exchange Contracts | (608,150 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on | (144,911 | ) | |||
Total Interest Rate Contracts | (144,911 | ) | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on | 7,315 | ||||
Total Equity Contracts | 7,315 | |||||
|
| |||||
Total | ($ | 745,746 | ) | |||
|
|
The following table presents Partner Worldwide Allocation Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Forwards (Notional)* | Forwards (Percentage of Average Net Assets) | ||||||||||||
Equity Contracts | $ | 7,141,202 | 0.4 | % | N/A | N/A | ||||||||||
Interest Rate Contracts | 81,409,395 | 4.9 | N/A | N/A | ||||||||||||
Foreign Exchange Contracts | N/A | N/A | $ | 107,241,902 | 6.5 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Partner Worldwide Allocation Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 26,312,891 | $ | 494,531,181 | $ | 502,378,188 | 18,465,884 | $ | 18,465,884 | $ | 629,453 | |||||||||||||
Cash Management Trust-Short Term Investment | 24,293,781 | 402,391,080 | 409,362,814 | 17,322,047 | 17,322,047 | 28,853 | ||||||||||||||||||
Total Value and Income Earned | $ | 50,606,672 | $ | 35,787,931 | $ | 658,306 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
Schedule of Investments as of December 31, 2015
Shares | Common Stock (97.9%) | Value | ||||||
| Consumer Discretionary (13.4%) |
| ||||||
2,100 | Amazon.com, Inc.a | $ | 1,419,369 | |||||
12,500 | Delphi Automotive plc | 1,071,625 | ||||||
10,200 | Dollar General Corporation | 733,074 | ||||||
11,800 | Harley-Davidson, Inc. | 535,602 | ||||||
11,280 | Home Depot, Inc. | 1,491,780 | ||||||
22,150 | Jarden Corporationa | 1,265,208 | ||||||
4,000 | Mohawk Industries, Inc.a | 757,560 | ||||||
23,820 | Service Corporation International | 619,797 | ||||||
6,700 | Signet Jewelers, Ltd. | 828,723 | ||||||
6,600 | Time Warner Cable, Inc. | 1,224,894 | ||||||
17,000 | Time Warner, Inc. | 1,099,390 | ||||||
7,560 | Wyndham Worldwide Corporation | 549,234 | ||||||
|
| |||||||
Total | 11,596,256 | |||||||
|
| |||||||
| Consumer Staples (8.5%) |
| ||||||
5,500 | Constellation Brands, Inc. | 783,420 | ||||||
14,900 | CVS Health Corporation | 1,456,773 | ||||||
7,800 | Edgewell Personal Care Company | 611,286 | ||||||
11,550 | Estee Lauder Companies, Inc. | 1,017,093 | ||||||
5,900 | Monster Beverage Corporationa | 878,864 | ||||||
12,500 | Pinnacle Foods, Inc. | 530,750 | ||||||
28,200 | Reynolds American, Inc. | 1,301,430 | ||||||
19,100 | WhiteWave Foods Companya | 743,181 | ||||||
|
| |||||||
Total | 7,322,797 | |||||||
|
| |||||||
| Energy (5.7%) |
| ||||||
17,630 | Hess Corporation | 854,702 | ||||||
15,540 | Marathon Petroleum Corporation | 805,594 | ||||||
27,850 | Occidental Petroleum Corporation | 1,882,939 | ||||||
20,400 | Schlumberger, Ltd. | 1,422,900 | ||||||
|
| |||||||
Total | 4,966,135 | |||||||
|
| |||||||
| Financials (17.7%) |
| ||||||
14,000 | Aflac, Inc. | 838,600 | ||||||
76,480 | Bank of America Corporation | 1,287,158 | ||||||
39,100 | Boston Private Financial Holdings, Inc. | 443,394 | ||||||
9,700 | Boston Properties, Inc. | 1,237,138 | ||||||
15,220 | Capital One Financial Corporation | 1,098,580 | ||||||
27,600 | CBRE Group, Inc.a | 954,408 | ||||||
31,600 | Citigroup, Inc. | 1,635,300 | ||||||
18,500 | Discover Financial Services | 991,970 | ||||||
4,600 | Goldman Sachs Group, Inc. | 829,058 | ||||||
19,000 | Hartford Financial Services Group, Inc. | 825,740 | ||||||
24,200 | Invesco, Ltd. | 810,216 | ||||||
66,400 | KeyCorp | 875,816 | ||||||
8,900 | Mid-America Apartment Communities, Inc. | 808,209 | ||||||
14,800 | Nasdaq, Inc. | 860,916 | ||||||
111,160 | Regions Financial Corporation | 1,067,136 | ||||||
8,670 | Reinsurance Group of America, Inc. | 741,718 | ||||||
|
| |||||||
Total | 15,305,357 | |||||||
|
| |||||||
| Health Care (15.0%) |
| ||||||
11,100 | Aetna, Inc. | 1,200,132 | ||||||
17,710 | Air Methods Corporationa | 742,580 | ||||||
22,700 | Akorn, Inc.a | 846,937 | ||||||
5,000 | Alexion Pharmaceuticals, Inc.a | 953,750 | ||||||
9,190 | BioMarin Pharmaceutical, Inc.a | 962,744 | ||||||
5,900 | C.R. Bard, Inc. | 1,117,696 | ||||||
18,690 | Endo International plca | 1,144,202 | ||||||
14,290 | HCA Holdings, Inc.a | 966,433 | ||||||
19,460 | Medivation, Inc.a | 940,696 | ||||||
3,700 | Shire Pharmaceuticals Group plc ADR | 758,500 | ||||||
12,300 | Teva Pharmaceutical Industries, Ltd. ADR | 807,372 | ||||||
4,500 | Valeant Pharmaceuticals International, Inc.a | 457,425 | ||||||
9,200 | Vertex Pharmaceuticals, Inc.a | 1,157,636 | ||||||
35,554 | Wright Medical Group NVa | 859,696 | ||||||
|
| |||||||
Total | 12,915,799 | |||||||
|
| |||||||
| Industrials (10.3%) |
| ||||||
7,720 | Alaska Air Group, Inc. | 621,537 | ||||||
19,450 | Danaher Corporation | 1,806,516 | ||||||
9,220 | FedEx Corporation | 1,373,688 | ||||||
8,390 | Genesee & Wyoming, Inc.a | 450,459 | ||||||
12,610 | IDEX Corporation | 966,052 | ||||||
22,100 | Ingersoll-Rand plc | 1,221,909 | ||||||
12,490 | Manpower, Inc. | 1,052,782 | ||||||
9,910 | US Airways Group, Inc. | 419,689 | ||||||
9,150 | WABCO Holdings, Inc.a | 935,679 | ||||||
|
| |||||||
Total | 8,848,311 | |||||||
|
| |||||||
| Information Technology (19.8%) |
| ||||||
14,470 | Adobe Systems, Inc.a | 1,359,312 | ||||||
3,740 | Alphabet, Inc., Class Aa | 2,909,757 | ||||||
13,100 | Analog Devices, Inc. | 724,692 | ||||||
16,840 | Apple, Inc. | 1,772,578 | ||||||
7,200 | Avago Technologies, Ltd. | 1,045,080 | ||||||
9,280 | Cavium, Inc.a | 609,789 | ||||||
19,120 | Facebook, Inc.a | 2,001,099 | ||||||
41,900 | Gogo, Inc.a,b | 745,820 | ||||||
7,600 | Imperva, Inc.a | 481,156 | ||||||
16,240 | Monolithic Power Systems, Inc. | 1,034,650 | ||||||
8,100 | NXP Semiconductors NVa | 682,425 | ||||||
31,380 | Oracle Corporation | 1,146,312 | ||||||
20,900 | PayPal Holdings, Inc.a | 756,580 | ||||||
16,100 | QLIK Technologies, Inc.a | 509,726 | ||||||
16,100 | Salesforce.com, Inc.a | 1,262,240 | ||||||
|
| |||||||
Total | 17,041,216 | |||||||
|
| |||||||
| Materials (2.5%) |
| ||||||
12,400 | Dow Chemical Company | 638,352 | ||||||
7,930 | Eagle Materials, Inc. | 479,210 | ||||||
5,100 | Ecolab, Inc. | 583,338 | ||||||
9,320 | Rock-Tenn Company | 425,178 | ||||||
|
| |||||||
Total | 2,126,078 | |||||||
|
| |||||||
| Telecommunications Services (2.1%) |
| ||||||
8,110 | SBA Communications Corporationa | 852,118 | ||||||
24,010 | T-Mobile US, Inc.a | 939,271 | ||||||
|
| |||||||
Total | 1,791,389 | |||||||
|
| |||||||
| Utilities (2.9%) |
| ||||||
13,000 | American Electric Power Company, Inc. | 757,510 | ||||||
11,340 | Atmos Energy Corporation | 714,874 | ||||||
19,200 | PG&E Corporation | 1,021,248 | ||||||
|
| |||||||
Total | 2,493,632 | |||||||
|
| |||||||
Total Common Stock (cost $78,628,017) | 84,406,970 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
149
Table of Contents
PARTNER ALL CAP PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Collateral Held for Securities Loaned (0.9%) | Value | ||||||
786,450 | Thrivent Cash Management Trust | $ | 786,450 | |||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $786,450) | 786,450 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (2.1%)c | |||||||
Thrivent Cash Management Trust | ||||||||
1,773,740 | 0.220% | 1,773,740 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 1,773,740 | |||||||
|
| |||||||
Total Investments (cost $81,188,207) 100.9% | $ | 86,967,160 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.9%) | (752,058 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 86,215,102 | ||||||
|
|
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Partner All Cap Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 745,820 | ||
|
| |||
Total lending | $ | 745,820 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 786,450 | ||
|
| |||
Net amounts due to counterparty | $ | 40,630 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 8,740,519 | ||
Gross unrealized depreciation | (3,027,941 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 5,712,578 | ||
Cost for federal income tax purposes | $ | 81,254,582 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
150
Table of Contents
PARTNER ALL CAP PORTFOLIO
Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Partner All Cap Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 11,596,256 | 11,596,256 | — | — | ||||||||||||
Consumer Staples | 7,322,797 | 7,322,797 | — | — | ||||||||||||
Energy | 4,966,135 | 4,966,135 | — | — | ||||||||||||
Financials | 15,305,357 | 15,305,357 | — | — | ||||||||||||
Health Care | 12,915,799 | 12,915,799 | — | — | ||||||||||||
Industrials | 8,848,311 | 8,848,311 | — | — | ||||||||||||
Information Technology | 17,041,216 | 17,041,216 | — | — | ||||||||||||
Materials | 2,126,078 | 2,126,078 | — | — | ||||||||||||
Telecommunications Services | 1,791,389 | 1,791,389 | — | — | ||||||||||||
Utilities | 2,493,632 | 2,493,632 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 786,450 | 786,450 | — | — | ||||||||||||
Short-Term Investments | 1,773,740 | 1,773,740 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 86,967,160 | $ | 86,967,160 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Partner All Cap Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 532,657 | $ | 9,865,025 | $ | 9,611,232 | 786,450 | $ | 786,450 | $ | 12,104 | |||||||||||||
Cash Management Trust-Short Term Investment | 1,141,464 | 23,717,394 | 23,085,118 | 1,773,740 | 1,773,740 | 1,617 | ||||||||||||||||||
Total Value and Income Earned | $ | 1,674,121 | $ | 2,560,190 | $ | 13,721 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
151
Table of Contents
Schedule of Investments as of December 31, 2015
Shares | Common Stock (92.8%) | Value | ||||||
| Consumer Discretionary (22.8%) | |||||||
102,081 | Amazon.com, Inc.a | $ | 68,995,527 | |||||
35,530 | AutoZone, Inc.a | 26,360,062 | ||||||
370,369 | Comcast Corporation | 20,899,923 | ||||||
306,800 | Home Depot, Inc. | 40,574,300 | ||||||
306,340 | Las Vegas Sands Corporation | 13,429,945 | ||||||
664,100 | NIKE, Inc. | 41,506,250 | ||||||
688,930 | Starbucks Corporation | 41,356,468 | ||||||
|
| |||||||
Total | 253,122,475 | |||||||
|
| |||||||
| Energy (3.3%) | |||||||
227,820 | EOG Resources, Inc. | 16,127,378 | ||||||
245,850 | EQT Corporation | 12,816,160 | ||||||
945,171 | Weatherford International, Ltd.a | 7,929,985 | ||||||
|
| |||||||
Total | 36,873,523 | |||||||
|
| |||||||
| Financials (5.7%) | |||||||
322,407 | Citigroup, Inc. | 16,684,562 | ||||||
91,878 | Intercontinental Exchange, Inc. | 23,544,657 | ||||||
344,509 | J.P. Morgan Chase & Company | 22,747,929 | ||||||
|
| |||||||
Total | 62,977,148 | |||||||
|
| |||||||
| Health Care (17.5%) | |||||||
663,799 | Abbott Laboratories | 29,811,213 | ||||||
140,856 | Allergan plca | 44,017,500 | ||||||
502,249 | Cerner Corporationa | 30,220,322 | ||||||
368,822 | Gilead Sciences, Inc. | 37,321,098 | ||||||
447,292 | Mylan NVa | 24,185,079 | ||||||
225,339 | Vertex Pharmaceuticals, Inc.a | 28,354,406 | ||||||
|
| |||||||
Total | 193,909,618 | |||||||
|
| |||||||
| Industrials (5.3%) | |||||||
109,020 | 3M Company | 16,422,773 | ||||||
504,170 | Delta Air Lines, Inc. | 25,556,377 | ||||||
195,211 | Norfolk Southern Corporation | 16,512,899 | ||||||
|
| |||||||
Total | 58,492,049 | |||||||
|
| |||||||
| Information Technology (38.2%) | |||||||
247,720 | Alibaba Group Holding, Ltd. ADRa,b | 20,132,204 | ||||||
54,973 | Alphabet, Inc., Class Aa | 42,769,544 | ||||||
52,662 | Alphabet, Inc., Class Ca | 39,964,138 | ||||||
616,460 | Apple, Inc. | 64,888,580 | ||||||
929,457 | EMC Corporation | 23,868,456 | ||||||
616,112 | Facebook, Inc.a | 64,482,282 | ||||||
173,320 | MasterCard, Inc. | 16,874,435 | ||||||
782,680 | Microsoft Corporation | 43,423,086 | ||||||
617,200 | PayPal Holdings, Inc.a | 22,342,640 | ||||||
395,409 | Salesforce.com, Inc.a | 31,000,066 | ||||||
708,180 | Visa, Inc. | 54,919,359 | ||||||
|
| |||||||
Total | 424,664,790 | |||||||
|
| |||||||
Total Common Stock (cost $806,786,130) | 1,030,039,603 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.9%) | ||||||||
10,560,850 | Thrivent Cash Management Trust | 10,560,850 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $10,560,850) | 10,560,850 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (7.3%)c | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
200,000 | 0.108%, 1/4/2016d | 199,998 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
1,300,000 | 0.100%, 1/8/2016d | 1,299,975 | ||||||
2,400,000 | 0.100%, 1/12/2016d | 2,399,927 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
2,500,000 | 0.070%, 1/8/2016d | 2,499,966 | ||||||
Thrivent Cash Management Trust | ||||||||
74,078,772 | 0.220% | 74,078,772 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 80,478,638 | |||||||
|
| |||||||
Total Investments (cost $897,825,618) 101.0% | $ | 1,121,079,091 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (1.0%) | (11,428,737 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 1,109,650,354 | ||||||
|
|
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
d | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Large Cap Growth Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 10,240,020 | ||
|
| |||
Total lending | $ | 10,240,020 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 10,560,850 | ||
|
| |||
Net amounts due to counterparty | $ | 320,830 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 249,471,153 | ||
Gross unrealized depreciation | (26,289,921 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 223,181,232 | ||
Cost for federal income tax purposes | $ | 897,897,859 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
152
Table of Contents
LARGE CAP GROWTH PORTFOLIO
Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Large Cap Growth Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 253,122,475 | 253,122,475 | — | — | ||||||||||||
Energy | 36,873,523 | 36,873,523 | — | — | ||||||||||||
Financials | 62,977,148 | 62,977,148 | — | — | ||||||||||||
Health Care | 193,909,618 | 193,909,618 | — | — | ||||||||||||
Industrials | 58,492,049 | 58,492,049 | — | — | ||||||||||||
Information Technology | 424,664,790 | 424,664,790 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 10,560,850 | 10,560,850 | — | — | ||||||||||||
Short-Term Investments | 80,478,638 | 74,078,772 | 6,399,866 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,121,079,091 | $ | 1,114,679,225 | $ | 6,399,866 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 1,039,585 | 1,039,585 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 1,039,585 | $ | 1,039,585 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The following table presents Large Cap Growth Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $4,399,893 were pledged as the initial margin deposit for these contracts.
Number of | Notional | |||||||||||||||||||
Contracts | Expiration | Principal | Unrealized | |||||||||||||||||
Futures Contracts | Long/(Short) | Date | Amount | Value | Gain/(Loss) | |||||||||||||||
Eurex Euro STOXX 50 Index | 1,210 | March 2016 | $ | 41,986,378 | $ | 43,025,963 | $ | 1,039,585 | ||||||||||||
Total Futures Contracts | $ | 1,039,585 |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Large Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 1,039,585 | |||
Total Equity Contracts | 1,039,585 | |||||
|
| |||||
Total Asset Derivatives | $ | 1,039,585 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Large Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 2,076,625 | ||||
Total Equity Contracts | 2,076,625 | |||||
|
| |||||
Total | $ | 2,076,625 | ||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
153
Table of Contents
LARGE CAP GROWTH PORTFOLIO
Schedule of Investments as of December 31, 2015
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Large Cap Growth Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on | (322,890 | ) | |||
Total Equity Contracts | (322,890 | ) | ||||
|
| |||||
Total | ($ | 322,890 | ) | |||
|
|
The following table presents Large Cap Growth Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Futures | ||||||||
(Percentage | ||||||||
Futures | of Average | |||||||
Derivative Risk Category | (Notional)* | Net Assets) | ||||||
Equity Contracts | $ | 31,175,983 | 2.9 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Large Cap Growth Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 1,559,250 | $ | 346,662,605 | $ | 337,661,005 | 10,560,850 | $ | 10,560,850 | $ | 33,813 | |||||||||||||
Cash Management Trust-Short Term Investment | 50,516,790 | 172,824,033 | 149,262,051 | 74,078,772 | 74,078,772 | 51,311 | ||||||||||||||||||
Total Value and Income Earned | $ | 52,076,040 | $ | 84,639,622 | $ | 85,124 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
154
Table of Contents
PARTNER GROWTH STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (97.2%) | Value | ||||||
| Consumer Discretionary (27.0%) |
| ||||||
11,730 | Amazon.com, Inc.a | $ | 7,928,190 | |||||
1,650 | AutoZone, Inc.a | 1,224,151 | ||||||
16,700 | BorgWarner, Inc. | 721,941 | ||||||
12,700 | CarMax, Inc.a | 685,419 | ||||||
1,550 | Chipotle Mexican Grill, Inc.a | 743,768 | ||||||
5,100 | Delphi Automotive plc | 437,223 | ||||||
5,630 | Ferrari NVa | 270,240 | ||||||
166 | Flipkart, Ltd.*,a,b | 23,612 | ||||||
36,200 | Hanesbrands, Inc. | 1,065,366 | ||||||
21,100 | Hilton Worldwide Holdings, Inc. | 451,540 | ||||||
4,100 | Home Depot, Inc. | 542,225 | ||||||
9,500 | Las Vegas Sands Corporation | 416,480 | ||||||
19,100 | Lowe’s Companies, Inc. | 1,452,364 | ||||||
10,900 | Marriott International, Inc. | 730,736 | ||||||
55,070 | MGM Resorts Internationala | 1,251,190 | ||||||
3,300 | Netflix, Inc.a | 377,454 | ||||||
19,600 | NIKE, Inc. | 1,225,000 | ||||||
2,990 | Priceline Group, Inc.a | 3,812,100 | ||||||
13,600 | Ross Stores, Inc. | 731,816 | ||||||
7,300 | Royal Caribbean Cruises, Ltd. | 738,833 | ||||||
15,000 | Starbucks Corporation | 900,450 | ||||||
5,400 | Tesla Motors, Inc.a,c | 1,296,054 | ||||||
11,500 | Tractor Supply Company | 983,250 | ||||||
16,200 | Walt Disney Company | 1,702,296 | ||||||
|
| |||||||
Total | 29,711,698 | |||||||
|
| |||||||
| Consumer Staples (2.1%) | |||||||
2,000 | Costco Wholesale Corporation | 323,000 | ||||||
8,200 | CVS Health Corporation | 801,714 | ||||||
14,500 | Walgreens Boots Alliance, Inc. | 1,234,748 | ||||||
|
| |||||||
Total | 2,359,462 | |||||||
|
| |||||||
| Financials (5.3%) | |||||||
14,800 | American Tower Corporation | 1,434,860 | ||||||
800 | BlackRock, Inc. | 272,416 | ||||||
9,000 | Crown Castle International Corporation | 778,050 | ||||||
4,200 | Intercontinental Exchange, Inc. | 1,076,292 | ||||||
35,100 | Morgan Stanley | 1,116,531 | ||||||
9,600 | State Street Corporation | 637,056 | ||||||
15,000 | TD Ameritrade Holding Corporation | 520,650 | ||||||
|
| |||||||
Total | 5,835,855 | |||||||
|
| |||||||
| Health Care (21.4%) | |||||||
12,600 | Alexion Pharmaceuticals, Inc.a | 2,403,450 | ||||||
10,967 | Allergan plca | 3,427,188 | ||||||
9,400 | Anthem, Inc. | 1,310,736 | ||||||
2,910 | Biogen, Inc.a | 891,478 | ||||||
5,300 | BioMarin Pharmaceutical, Inc.a | 555,228 | ||||||
18,400 | Bristol-Myers Squibb Company | 1,265,736 | ||||||
13,800 | Celgene Corporationa | 1,652,688 | ||||||
6,000 | CIGNA Corporation | 877,980 | ||||||
14,340 | Gilead Sciences, Inc. | 1,451,065 | ||||||
5,300 | Humana, Inc. | 946,103 | ||||||
2,000 | Illumina, Inc.a | 383,890 | ||||||
7,800 | Incyte Corporationa | 845,910 | ||||||
2,900 | Intuitive Surgical, Inc.a | 1,583,864 | ||||||
6,900 | McKesson Corporation | 1,360,887 | ||||||
1,950 | Regeneron Pharmaceuticals, Inc.a | 1,058,596 | ||||||
11,400 | UnitedHealth Group, Inc. | 1,341,096 | ||||||
11,800 | Valeant Pharmaceuticals International, Inc.a | 1,199,470 | ||||||
8,100 | Vertex Pharmaceuticals, Inc.a | 1,019,223 | ||||||
|
| |||||||
Total | 23,574,588 | |||||||
|
| |||||||
| Industrials (10.5%) | |||||||
12,400 | Boeing Company | 1,792,916 | ||||||
7,300 | Canadian Pacific Railway, Ltd. | 931,480 | ||||||
33,500 | Danaher Corporation | 3,111,480 | ||||||
3,900 | FedEx Corporation | 581,061 | ||||||
11,625 | Flowserve Corporation | 489,180 | ||||||
1,000 | IHS, Inc.a | 118,430 | ||||||
6,500 | Roper Industries, Inc. | 1,233,635 | ||||||
10,600 | United Continental Holdings, Inc.a | 607,380 | ||||||
44,300 | US Airways Group, Inc. | 1,876,105 | ||||||
11,000 | Wabtec Corporation | 782,320 | ||||||
|
| |||||||
Total | 11,523,987 | |||||||
|
| |||||||
| Information Technology (29.8%) | |||||||
10,200 | Akamai Technologies, Inc.a | 536,826 | ||||||
11,872 | Alibaba Group Holding, Ltd. ADRa,c | 964,837 | ||||||
5,200 | Alphabet, Inc., Class Aa | 4,045,652 | ||||||
4,770 | Alphabet, Inc., Class Ca | 3,619,858 | ||||||
21,200 | Apple, Inc. | 2,231,512 | ||||||
3,480 | ASML Holding NVc | 308,920 | ||||||
30,400 | Facebook, Inc.a | 3,181,664 | ||||||
8,500 | Fiserv, Inc.a | 777,410 | ||||||
4,800 | LinkedIn Corporationa | 1,080,384 | ||||||
30,900 | MasterCard, Inc. | 3,008,424 | ||||||
66,300 | Microsoft Corporation | 3,678,324 | ||||||
15,800 | Mobileye NVa | 668,024 | ||||||
5,500 | NetSuite, Inc.a | 465,410 | ||||||
2,600 | Palo Alto Networks, Inc.a | 457,964 | ||||||
14,500 | PayPal Holdings, Inc.a | 524,900 | ||||||
14,600 | Salesforce.com, Inc.a | 1,144,640 | ||||||
7,600 | ServiceNow, Inc.a | 657,856 | ||||||
72,000 | Tencent Holdings, Ltd. | 1,409,759 | ||||||
11,500 | VeriSign, Inc.a,c | 1,004,640 | ||||||
39,000 | Visa, Inc. | 3,024,450 | ||||||
|
| |||||||
Total | 32,791,454 | |||||||
|
| |||||||
| Materials (1.0%) | |||||||
6,200 | Ashland, Inc. | 636,740 | ||||||
3,500 | Martin Marietta Materials, Inc. | 478,030 | ||||||
|
| |||||||
Total | 1,114,770 | |||||||
|
| |||||||
| Telecommunications Services (0.1%) | |||||||
2,800 | T-Mobile US, Inc.a | 109,536 | ||||||
|
| |||||||
Total | 109,536 | |||||||
|
| |||||||
Total Common Stock (cost $68,871,287) | 107,021,350 | |||||||
|
| |||||||
Preferred Stock (0.6%) | ||||||||
| Consumer Discretionary (0.6%) | |||||||
2,943 | AirBNB, Inc.*,a,b | 273,977 | ||||||
7,282 | Dropbox, Inc., Class A*,a,b | 68,459 | ||||||
58 | Flipkart, Ltd. Series A Preference Shares*,a,b | 8,250 | ||||||
100 | Flipkart, Ltd. Series C Preference Shares*,a,b | 14,224 | ||||||
187 | Flipkart, Ltd. Series E Preference Shares*,a,b | 26,599 | ||||||
843 | Flipkart, Ltd. Series G Preference Shares*,a,b | 119,908 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
155
Table of Contents
PARTNER GROWTH STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Preferred Stock (0.6%) | Value | ||||||
| Consumer Discretionary (0.6%) - continued | |||||||
760 | Flipkart, Ltd. Series H Preference Shares*,a,b | $ | 108,102 | |||||
|
| |||||||
Total | 619,519 | |||||||
|
| |||||||
Information Technology (<0.1%) | ||||||||
4,432 | LivingSocial.com, Convertible*,a,b | 0 | ||||||
|
| |||||||
Total | 0 | |||||||
|
| |||||||
Total Preferred Stock (cost $541,385) | 619,519 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.2%) | ||||||||
3,501,278 | Thrivent Cash Management Trust | 3,501,278 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $3,501,278) | 3,501,278 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (2.4%)d | |||||||
Thrivent Cash Management Trust | ||||||||
2,630,798 | 0.220% | 2,630,798 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 2,630,798 | |||||||
|
| |||||||
Total Investments (cost $75,544,748) 103.4% | $ | 113,772,945 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (3.4%) | (3,699,295 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 110,073,650 | ||||||
|
|
a | Non-income producing security. |
b | Security is valued at fair value. Market quotations or prices were not readily available or were determined to be unreliable. Fair value was determined in good faith pursuant to procedures adopted by the Board. Further information on fair valuation can be found in the Notes to Financial Statements. |
c | All or a portion of the security is on loan. |
d | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Partner Growth Stock Portfolio as of December 31, 2015 was $643,131 or 0.6% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
AirBNB, Inc. | 4/16/2014 | $ | 119,818 | |||||
Dropbox, Inc., Class A | 11/7/2014 | 139,095 | ||||||
Flipkart, Ltd. | 3/19/2015 | 18,924 | ||||||
Flipkart, Ltd. Series A Preference Shares | 3/19/2015 | 6,612 | ||||||
Flipkart, Ltd. Series C Preference Shares | 3/19/2015 | 11,400 | ||||||
Flipkart, Ltd. Series E Preference Shares | 3/19/2015 | 21,318 | ||||||
Flipkart, Ltd. Series G Preference Shares | 12/17/2014 | 100,958 | ||||||
Flipkart, Ltd. Series H Preference Shares | 4/17/2015 | 108,102 | ||||||
LivingSocial.com, Convertible | 11/18/2011 | 34,082 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Partner Growth Stock Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 3,415,772 | ||
|
| |||
Total lending | $ | 3,415,772 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 3,501,278 | ||
|
| |||
Net amounts due to counterparty | $ | 85,506 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 39,041,864 | ||
Gross unrealized depreciation | (1,257,130 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 37,784,734 | ||
Cost for federal income tax purposes | $ | 75,988,211 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
156
Table of Contents
PARTNER GROWTH STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Partner Growth Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 29,711,698 | 29,688,086 | — | 23,612 | ||||||||||||
Consumer Staples | 2,359,462 | 2,359,462 | — | — | ||||||||||||
Financials | 5,835,855 | 5,835,855 | — | — | ||||||||||||
Health Care | 23,574,588 | 23,574,588 | — | — | ||||||||||||
Industrials | 11,523,987 | 11,523,987 | — | — | ||||||||||||
Information Technology | 32,791,454 | 31,381,695 | 1,409,759 | — | ||||||||||||
Materials | 1,114,770 | 1,114,770 | — | — | ||||||||||||
Telecommunications Services | 109,536 | 109,536 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Consumer Discretionary | 619,519 | — | — | 619,519 | ||||||||||||
Information Technology^ | 0 | — | — | 0 | ||||||||||||
Collateral Held for Securities Loaned | 3,501,278 | 3,501,278 | — | — | ||||||||||||
Short-Term Investments | 2,630,798 | 2,630,798 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 113,772,945 | $ | 111,720,055 | $ | 1,409,759 | $ | 643,131 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
^ | Level 3 security in this section is fair valued at <$1. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Partner Growth Stock Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 2,334,117 | $ | 26,137,722 | $ | 24,970,561 | 3,501,278 | $ | 3,501,278 | $ | 6,557 | |||||||||||||
Cash Management Trust-Short Term Investment | 1,258,543 | 21,544,772 | 20,172,517 | 2,630,798 | 2,630,798 | 1,256 | ||||||||||||||||||
Total Value and Income Earned | $ | 3,592,660 | $ | 6,132,076 | $ | 7,813 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
157
Table of Contents
Schedule of Investments as of December 31, 2015
Shares | Common Stock (98.3%) | Value | ||||||
| Consumer Discretionary (10.0%) |
| ||||||
587,100 | Comcast Corporation | $ | 33,130,053 | |||||
167,890 | Delphi Automotive plc | 14,393,210 | ||||||
384,300 | Discovery Communications, Inc., Class Aa,b | 10,253,124 | ||||||
402,898 | Harley-Davidson, Inc. | 18,287,540 | ||||||
499,900 | Lowe’s Companies, Inc. | 38,012,396 | ||||||
|
| |||||||
Total | 114,076,323 | |||||||
|
| |||||||
| Consumer Staples (6.1%) | |||||||
406,820 | CVS Health Corporation | 39,774,791 | ||||||
108,100 | Kimberly-Clark Corporation | 13,761,130 | ||||||
180,759 | Philip Morris International, Inc. | 15,890,524 | ||||||
|
| |||||||
Total | 69,426,445 | |||||||
|
| |||||||
| Energy (10.2%) | |||||||
276,850 | Cameron International Corporationb | 17,496,920 | ||||||
387,925 | Chevron Corporation | 34,897,733 | ||||||
219,240 | Columbia Pipeline Group, Inc. | 4,384,800 | ||||||
254,700 | Devon Energy Corporation | 8,150,400 | ||||||
209,788 | EOG Resources, Inc. | 14,850,893 | ||||||
229,219 | EQT Corporation | 11,949,186 | ||||||
646,151 | Marathon Oil Corporation | 8,135,041 | ||||||
393,050 | Southwestern Energy Companya,b | 2,794,586 | ||||||
1,690,500 | Weatherford International, Ltd.b | 14,183,295 | ||||||
|
| |||||||
Total | 116,842,854 | |||||||
|
| |||||||
| Financials (23.1%) | |||||||
112,080 | ACE, Ltd. | 13,096,548 | ||||||
200,000 | American International Group, Inc. | 12,394,000 | ||||||
2,024,190 | Bank of America Corporation | 34,067,118 | ||||||
502,800 | Blackstone Group, LP | 14,701,872 | ||||||
197,150 | Capital One Financial Corporation | 14,230,287 | ||||||
411,250 | Charles Schwab Corporation | 13,542,462 | ||||||
836,850 | Citigroup, Inc. | 43,306,987 | ||||||
333,500 | Comerica, Inc. | 13,950,305 | ||||||
56,750 | Intercontinental Exchange, Inc. | 14,542,755 | ||||||
551,460 | Invesco, Ltd. | 18,462,881 | ||||||
581,420 | MetLife, Inc. | 28,030,258 | ||||||
626,610 | Morgan Stanley | 19,932,464 | ||||||
380,950 | Synchrony Financialb | 11,584,690 | ||||||
486,000 | Zions Bancorporation | 13,267,800 | ||||||
|
| |||||||
Total | 265,110,427 | |||||||
|
| |||||||
| Health Care (14.3%) | |||||||
124,450 | Amgen, Inc. | 20,201,968 | ||||||
327,991 | Baxalta, Inc. | 12,801,489 | ||||||
168,200 | Express Scripts Holding Companyb | 14,702,362 | ||||||
330,590 | Medtronic, Inc. | 25,428,983 | ||||||
790,450 | Merck & Company, Inc. | 41,751,569 | ||||||
655,150 | Pfizer, Inc. | 21,148,242 | ||||||
329,900 | Roche Holding AG ADR | 11,371,653 | ||||||
140,397 | UnitedHealth Group, Inc. | 16,516,303 | ||||||
|
| |||||||
Total | 163,922,569 | |||||||
|
| |||||||
| Industrials (8.9%) | |||||||
153,100 | Boeing Company | 22,136,729 | ||||||
684,450 | CSX Corporation | 17,761,477 | ||||||
198,540 | Honeywell International, Inc. | 20,562,788 | ||||||
256,250 | Ingersoll-Rand plc | 14,168,062 | ||||||
76,700 | Norfolk Southern Corporation | 6,488,053 | ||||||
67,000 | Rockwell Automation, Inc. | 6,874,870 | ||||||
148,050 | United Parcel Service, Inc. | 14,246,852 | ||||||
|
| |||||||
Total | 102,238,831 | |||||||
|
| |||||||
| Information Technology (16.6%) | |||||||
25,300 | Alphabet, Inc., Class Cb | 19,199,664 | ||||||
1,908,740 | Cisco Systems, Inc. | 51,831,835 | ||||||
594,450 | EMC Corporation | 15,265,476 | ||||||
328,400 | Intel Corporation | 11,313,380 | ||||||
796,960 | Microsoft Corporation | 44,215,341 | ||||||
659,500 | Oracle Corporation | 24,091,535 | ||||||
450,240 | Texas Instruments, Inc. | 24,677,654 | ||||||
|
| |||||||
Total | 190,594,885 | |||||||
|
| |||||||
| Materials (4.1%) | |||||||
235,044 | Albemarle Corporation | 13,164,815 | ||||||
275,580 | Dow Chemical Company | 14,186,858 | ||||||
338,000 | Mosaic Company | 9,325,420 | ||||||
268,090 | Nucor Corporation | 10,804,027 | ||||||
|
| |||||||
Total | 47,481,120 | |||||||
|
| |||||||
| Telecommunications Services (1.8%) | |||||||
456,764 | Verizon Communications, Inc. | 21,111,632 | ||||||
|
| |||||||
Total | 21,111,632 | |||||||
|
| |||||||
| Utilities (3.2%) | |||||||
680,930 | PG&E Corporation | 36,218,667 | ||||||
|
| |||||||
Total | 36,218,667 | |||||||
|
| |||||||
Total Common Stock (cost $923,964,971) | 1,127,023,753 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.1%) | ||||||||
13,026,675 | Thrivent Cash Management Trust | 13,026,675 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $13,026,675) | 13,026,675 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (1.7%)c | |||||||
Thrivent Cash Management Trust | ||||||||
19,152,858 | 0.220% | 19,152,858 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 19,152,858 | |||||||
|
| |||||||
Total Investments (cost $956,144,504) 101.1% | $ | 1,159,203,286 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (1.1%) | (12,185,088 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 1,147,018,198 | ||||||
|
|
a | All or a portion of the security is on loan. |
b | Non-income producing security. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
158
Table of Contents
LARGE CAP VALUE PORTFOLIO
Schedule of Investments as of December 31, 2015
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Large Cap Value Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 13,047,354 | ||
|
| |||
Total lending | $ | 13,047,354 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 13,026,675 | ||
|
| |||
Net amounts due from counterparty | $ | (20,679 | ) | |
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 243,262,693 | ||
Gross unrealized depreciation | (39,533,701 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 203,728,992 | ||
Cost for federal income tax purposes | $ | 955,474,294 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Large Cap Value Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 114,076,323 | 114,076,323 | — | — | ||||||||||||
Consumer Staples | 69,426,445 | 69,426,445 | — | — | ||||||||||||
Energy | 116,842,854 | 116,842,854 | — | — | ||||||||||||
Financials | 265,110,427 | 265,110,427 | — | — | ||||||||||||
Health Care | 163,922,569 | 163,922,569 | — | — | ||||||||||||
Industrials | 102,238,831 | 102,238,831 | — | — | ||||||||||||
Information Technology | 190,594,885 | 190,594,885 | — | — | ||||||||||||
Materials | 47,481,120 | 47,481,120 | — | — | ||||||||||||
Telecommunications Services | 21,111,632 | 21,111,632 | — | — | ||||||||||||
Utilities | 36,218,667 | 36,218,667 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 13,026,675 | 13,026,675 | — | — | ||||||||||||
Short-Term Investments | 19,152,858 | 19,152,858 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,159,203,286 | $ | 1,159,203,286 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Large Cap Value Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 37,144,725 | $ | 171,184,817 | $ | 195,302,867 | 13,026,675 | $ | 13,026,675 | $ | 77,366 | |||||||||||||
Cash Management Trust-Short Term Investment | 20,638,983 | 115,315,715 | 116,801,840 | 19,152,858 | 19,152,858 | 14,385 | ||||||||||||||||||
Total Value and Income Earned | $ | 57,783,708 | $ | 32,179,533 | $ | 91,751 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
159
Table of Contents
Summary Schedule of Investments as of December 31, 2015
% of Net | ||||||||||||
Shares | Common Stock (80.4%) | Value | Assets | |||||||||
| Consumer Discretionary (12.9%) |
| ||||||||||
35,752 | Amazon.com, Inc.a | $ | 24,164,419 | 2.8 | % | |||||||
25,540 | AutoZone, Inc.a | 18,948,381 | 2.2 | % | ||||||||
246,200 | Comcast Corporation | 13,893,066 | 1.6 | % | ||||||||
113,615 | Las Vegas Sands Corporation | 4,980,882 | 0.6 | % | ||||||||
407,370 | Starbucks Corporation | 24,454,421 | 2.8 | % | ||||||||
Other Securities^ | 26,717,571 | 2.9 | % | |||||||||
|
| |||||||||||
Total | 113,158,740 | |||||||||||
|
| |||||||||||
| Consumer Staples (6.9%) | |||||||||||
91,170 | CVS Health Corporation | 8,913,691 | 1.0 | % | ||||||||
96,500 | Imperial Tobacco Group plc | 5,096,934 | 0.6 | % | ||||||||
108,360 | Kimberly-Clark Corporation | 13,794,228 | 1.6 | % | ||||||||
164,475 | Philip Morris International, Inc. | 14,458,997 | 1.7 | % | ||||||||
Other Securities^ | 18,578,582 | 2.0 | % | |||||||||
|
| |||||||||||
Total | 60,842,432 | |||||||||||
|
| |||||||||||
| Energy (7.3%) | |||||||||||
216,170 | Cameron International Corporationa | 13,661,944 | 1.6 | % | ||||||||
142,229 | Chevron Corporation | 12,794,921 | 1.5 | % | ||||||||
285,070 | Columbia Pipeline Group, Inc. | 5,701,400 | 0.6 | % | ||||||||
108,430 | EOG Resources, Inc. | 7,675,760 | 0.9 | % | ||||||||
1,600,164 | Weatherford International, Ltd.a | 13,425,376 | 1.5 | % | ||||||||
Other Securities^ | 11,163,145 | 1.2 | % | |||||||||
|
| |||||||||||
Total | 64,422,546 | |||||||||||
|
| |||||||||||
| Financials (14.9%) | |||||||||||
89,570 | ACE, Ltd. | 10,466,255 | 1.2 | % | ||||||||
41,000 | Allianz SE | 7,227,438 | 0.8 | % | ||||||||
225,134 | Bank of America Corporation | 3,789,005 | 0.4 | % | ||||||||
173,320 | Blackstone Group, LP | 5,067,877 | 0.6 | % | ||||||||
246,960 | Citigroup, Inc. | 12,780,180 | 1.5 | % | ||||||||
42,570 | Intercontinental Exchange, Inc. | 10,908,988 | 1.2 | % | ||||||||
255,760 | Invesco, Ltd. | 8,562,845 | 1.0 | % | ||||||||
345,249 | J.P. Morgan Chase & Company | 22,796,792 | 2.6 | % | ||||||||
43,600 | Swiss Re AG | 4,258,251 | 0.5 | % | ||||||||
134,730 | Synchrony Financiala | 4,097,139 | 0.5 | % | ||||||||
Other Securities^ | 40,708,690 | 4.6 | % | |||||||||
|
| |||||||||||
Total | 130,663,460 | |||||||||||
|
| |||||||||||
| Health Care (10.0%) | |||||||||||
30,322 | Allergan plca | 9,475,625 | 1.1 | % | ||||||||
26,800 | Amgen, Inc. | 4,350,444 | 0.5 | % | ||||||||
125,755 | Cerner Corporationa | 7,566,678 | 0.9 | % | ||||||||
30,500 | Essilor International SA | 3,801,417 | 0.4 | % | ||||||||
66,159 | Gilead Sciences, Inc. | 6,694,629 | 0.8 | % | ||||||||
368,670 | Merck & Company, Inc. | 19,473,149 | 2.2 | % | ||||||||
384,920 | Pfizer, Inc. | 12,425,218 | 1.4 | % | ||||||||
71,982 | Vertex Pharmaceuticals, Inc.a | 9,057,495 | 1.0 | % | ||||||||
Other Securities^ | 15,484,715 | 1.7 | % | |||||||||
|
| |||||||||||
Total | 88,329,370 | |||||||||||
|
| |||||||||||
| Industrials (8.0%) | |||||||||||
125,530 | Boeing Company | 18,150,383 | 2.1 | % | ||||||||
258,070 | Delta Air Lines, Inc. | 13,081,568 | 1.5 | % | ||||||||
136,370 | Norfolk Southern Corporation | 11,535,538 | 1.3 | % | ||||||||
Other Securities^ | 27,409,512 | 3.1 | % | |||||||||
|
| |||||||||||
Total | 70,177,001 | |||||||||||
|
| |||||||||||
| Information Technology (13.7%) | |||||||||||
24,244 | Alphabet, Inc., Class Aa | 18,862,074 | 2.2 | % | ||||||||
24,250 | Alphabet, Inc., Class Ca | 18,402,840 | 2.1 | % | ||||||||
306,198 | Apple, Inc. | 32,230,401 | 3.7 | % | ||||||||
187,750 | Cisco Systems, Inc. | 5,098,351 | 0.6 | % | ||||||||
476,130 | EMC Corporation | 12,227,018 | 1.4 | % | ||||||||
87,275 | Facebook, Inc.a | 9,134,201 | 1.1 | % | ||||||||
125,510 | Salesforce.com, Inc.a | 9,839,984 | 1.1 | % | ||||||||
Other Securities^ | 14,285,511 | 1.5 | % | |||||||||
|
| |||||||||||
Total | 120,080,380 | |||||||||||
|
| |||||||||||
| Materials (3.0%) | |||||||||||
83,996 | Albemarle Corporation | 4,704,616 | 0.6 | % | ||||||||
146,250 | Dow Chemical Company | 7,528,950 | 0.9 | % | ||||||||
Other Securities^ | 13,928,870 | 1.5 | % | |||||||||
|
| |||||||||||
Total | 26,162,436 | |||||||||||
|
| |||||||||||
| Telecommunications Services (1.4%) | |||||||||||
Other Securities^ | 12,218,468 | 1.4 | % | |||||||||
|
| |||||||||||
Total | 12,218,468 | |||||||||||
|
| |||||||||||
| Utilities (2.3%) | |||||||||||
296,050 | PG&E Corporation | 15,746,899 | 1.8 | % | ||||||||
Other Securities^ | 4,225,882 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 19,972,781 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $569,456,606) | 706,027,614 | |||||||||||
|
| |||||||||||
Registered Investment Companies (0.5%) | ||||||||||||
| Equity Funds/ETFs (0.5%) | |||||||||||
77,940 | iShares MSCI EAFE Index Fund | 4,578,975 | 0.5 | % | ||||||||
|
| |||||||||||
Total | 4,578,975 | |||||||||||
|
| |||||||||||
Total Registered Investment Companies (cost $4,695,137) | 4,578,975 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (0.5%) | ||||||||||||
4,545,524 | Thrivent Cash Management Trust | 4,545,524 | 0.5 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $4,545,524) | 4,545,524 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (19.1%)b | |||||||||||
Federal Home Loan Bank Discount Notes | ||||||||||||
15,000,000 | 0.180%, 1/27/2016 | 14,998,050 | 1.7 | % | ||||||||
10,000,000 | 0.190%, 1/28/2016 | 9,998,575 | 1.1 | % | ||||||||
400,000 | 0.100%, 1/4/2016c | 399,997 | 0.1 | % | ||||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||||||
6,100,000 | 0.082%, 1/8/2016c | 6,099,902 | 0.7 | % | ||||||||
6,200,000 | 0.200%, 2/17/2016c | 6,198,381 | 0.7 | % | ||||||||
800,000 | 0.100% - 0.100%, 1/6/2016 - 1/13/2016c | 799,987 | 0.1 | % | ||||||||
Thrivent Cash Management Trust | ||||||||||||
129,184,785 | 0.220% | 129,184,785 | 14.7 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
160
Table of Contents
LARGE CAP STOCK PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Shares or Principal Amount | Short-Term Investments (19.1%)b | Value | % of Net Assets | |||||||
Other Securities^ | $ | 99,996 | <0.1 | % | ||||||
|
| |||||||||
Total Short-Term Investments (at amortized cost) | 167,779,673 | |||||||||
|
| |||||||||
Total Investments (cost $746,476,940) 100.5% | $ | 882,931,786 | ||||||||
|
| |||||||||
Other Assets and Liabilities, Net (0.5%) | (4,016,456 | ) | ||||||||
|
| |||||||||
Total Net Assets 100.0% | $ | 878,915,330 | ||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Non-income producing security. |
b | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
c | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Large Cap Stock Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 4,343,137 | ||
|
| |||
Total lending | $ | 4,343,137 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 4,545,524 | ||
|
| |||
Net amounts due to counterparty | $ | 202,387 | ||
|
|
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 154,069,423 | ||
Gross unrealized depreciation | (18,403,000 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 135,666,423 | ||
Cost for federal income tax purposes | $ | 747,265,363 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
161
Table of Contents
LARGE CAP STOCK PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Large Cap Stock Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 113,158,740 | 86,441,169 | 26,717,571 | — | ||||||||||||
Consumer Staples | 60,842,432 | 37,166,916 | 23,675,516 | — | ||||||||||||
Energy | 64,422,546 | 59,645,703 | 4,776,843 | — | ||||||||||||
Financials | 130,663,460 | 78,469,081 | 52,194,379 | — | ||||||||||||
Health Care | 88,329,370 | 73,271,298 | 15,058,072 | — | ||||||||||||
Industrials | 70,177,001 | 42,767,489 | 27,409,512 | — | ||||||||||||
Information Technology | 120,080,380 | 108,504,823 | 11,575,557 | — | ||||||||||||
Materials | 26,162,436 | 12,233,566 | 13,928,870 | — | ||||||||||||
Telecommunications Services | 12,218,468 | — | 12,218,468 | — | ||||||||||||
Utilities | 19,972,781 | 15,746,899 | 4,225,882 | — | ||||||||||||
Registered Investment Companies | ||||||||||||||||
Equity Funds/ETFs | 4,578,975 | 4,578,975 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 4,545,524 | 4,545,524 | — | — | ||||||||||||
Short-Term Investments | 167,779,673 | 129,184,785 | 38,594,888 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 882,931,786 | $ | 652,556,228 | $ | 230,375,558 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 3,389,566 | 3,389,566 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 3,389,566 | $ | 3,389,566 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 9,189 | 9,189 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 9,189 | $ | 9,189 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The following table presents Large Cap Stock Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $13,398,270 were pledged as the initial margin deposit for these contracts.
Number of | Notional | |||||||||||||||||||
Contracts | Expiration | Principal | Unrealized | |||||||||||||||||
Futures Contracts | Long/(Short) | Date | Amount | Value | Gain/(Loss) | |||||||||||||||
Eurex Euro STOXX 50 Index | 2,173 | March 2016 | $ | 75,402,341 | $ | 77,268,939 | $ | 1,866,598 | ||||||||||||
ICE mini MSCI EAFE Index | 927 | March 2016 | 77,188,602 | 78,711,570 | 1,522,968 | |||||||||||||||
S&P 500 Mini-Futures | (105 | ) | March 2016 | (10,676,660 | ) | (10,685,849 | ) | (9,189 | ) | |||||||||||
Total Futures Contracts | $ | 3,380,377 |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Large Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 3,389,566 | |||
Total Equity Contracts | 3,389,566 | |||||
|
| |||||
Total Asset Derivatives | $ | 3,389,566 | ||||
|
| |||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 9,189 | ||||
Total Equity Contracts | 9,189 | |||||
|
| |||||
Total Liability Derivatives | $ | 9,189 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
162
Table of Contents
LARGE CAP STOCK PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Large Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 3,930,611 | ||||
Total Equity Contracts | 3,930,611 | |||||
|
| |||||
Total | $ | 3,930,611 | ||||
|
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Large Cap Stock Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 753,324 | ||||
Total Equity Contracts | 753,324 | |||||
|
| |||||
Total | $ | 753,324 | ||||
|
|
The following table presents Large Cap Stock Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Futures | ||||||||
(Percentage | ||||||||
Futures | of Average | |||||||
Derivative Risk Category | (Notional)* | Net Assets) | ||||||
Equity Contracts | $ | 231,128,330 | 26.5 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Large Cap Stock Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 7,610,288 | $ | 143,765,175 | $ | 146,829,939 | 4,545,524 | $ | 4,545,524 | $ | 170,581 | |||||||||||||
Cash Management Trust-Short Term Investment | 76,762,661 | 354,880,495 | 302,458,371 | 129,184,785 | 129,184,785 | 92,394 | ||||||||||||||||||
Total Value and Income Earned | $ | 84,372,949 | $ | 133,730,309 | $ | 262,975 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
163
Table of Contents
Summary Schedule of Investments as of December 31, 2015
% of Net | ||||||||||||
Shares | Common Stock (96.4%) | Value | Assets | |||||||||
| Consumer Discretionary (12.6%) |
| ||||||||||
10,820 | Amazon.com, Inc.a | $ | 7,313,130 | 1.4 | % | |||||||
69,685 | Comcast Corporation | 3,932,325 | 0.8 | % | ||||||||
35,510 | Home Depot, Inc. | 4,696,197 | 0.9 | % | ||||||||
25,850 | McDonald’s Corporation | 3,053,919 | 0.6 | % | ||||||||
37,920 | NIKE, Inc. | 2,370,000 | 0.5 | % | ||||||||
41,700 | Starbucks Corporation | 2,503,251 | 0.5 | % | ||||||||
42,917 | Walt Disney Company | 4,509,718 | 0.9 | % | ||||||||
Other Securities^ | 37,324,563 | 7.0 | % | |||||||||
|
| |||||||||||
Total | 65,703,103 | |||||||||||
|
| |||||||||||
| Consumer Staples (9.7%) |
| ||||||||||
55,150 | Altria Group, Inc. | 3,210,281 | 0.6 | % | ||||||||
109,800 | Coca-Cola Company | 4,717,008 | 0.9 | % | ||||||||
30,974 | CVS Health Corporation | 3,028,328 | 0.6 | % | ||||||||
40,970 | PepsiCo, Inc. | 4,093,722 | 0.8 | % | ||||||||
44,230 | Philip Morris International, Inc. | 3,888,259 | 0.7 | % | ||||||||
76,358 | Procter & Gamble Company | 6,063,589 | 1.2 | % | ||||||||
44,380 | Wal-Mart Stores, Inc. | 2,720,494 | 0.5 | % | ||||||||
Other Securities^ | 22,931,213 | 4.4 | % | |||||||||
|
| |||||||||||
Total | 50,652,894 | |||||||||||
|
| |||||||||||
| Energy (6.3%) |
| ||||||||||
53,306 | Chevron Corporation | 4,795,408 | 0.9 | % | ||||||||
117,010 | Exxon Mobil Corporation | 9,120,929 | 1.8 | % | ||||||||
35,494 | Schlumberger, Ltd. | 2,475,706 | 0.5 | % | ||||||||
Other Securities^ | 16,544,093 | 3.1 | % | |||||||||
|
| |||||||||||
Total | 32,936,136 | |||||||||||
|
| |||||||||||
| Financials (15.8%) |
| ||||||||||
291,520 | Bank of America Corporation | 4,906,282 | 0.9 | % | ||||||||
52,159 | Berkshire Hathaway, Inc.a | 6,887,074 | 1.3 | % | ||||||||
83,803 | Citigroup, Inc. | 4,336,805 | 0.8 | % | ||||||||
102,678 | J.P. Morgan Chase & Company | 6,779,828 | 1.3 | % | ||||||||
130,090 | Wells Fargo & Company | 7,071,692 | 1.4 | % | ||||||||
Other Securities^ | 52,607,805 | 10.1 | % | |||||||||
|
| |||||||||||
Total | 82,589,486 | |||||||||||
|
| |||||||||||
| Health Care (14.6%) |
| ||||||||||
46,030 | AbbVie, Inc. | 2,726,817 | 0.5 | % | ||||||||
11,132 | Allergan plca | 3,478,750 | 0.7 | % | ||||||||
21,420 | Amgen, Inc. | 3,477,109 | 0.7 | % | ||||||||
46,858 | Bristol-Myers Squibb Company | 3,223,362 | 0.6 | % | ||||||||
22,110 | Celgene Corporationa | 2,647,894 | 0.5 | % | ||||||||
27,130 | Eli Lilly and Company | 2,285,974 | 0.4 | % | ||||||||
40,610 | Gilead Sciences, Inc. | 4,109,326 | 0.8 | % | ||||||||
78,010 | Johnson & Johnson | 8,013,187 | 1.5 | % | ||||||||
39,329 | Medtronic, Inc. | 3,025,187 | 0.6 | % | ||||||||
79,023 | Merck & Company, Inc. | 4,173,995 | 0.8 | % | ||||||||
174,110 | Pfizer, Inc. | 5,620,271 | 1.1 | % | ||||||||
26,650 | UnitedHealth Group, Inc. | 3,135,106 | 0.6 | % | ||||||||
Other Securities^ | 30,015,346 | 5.8 | % | |||||||||
|
| |||||||||||
Total | 75,932,324 | |||||||||||
|
| |||||||||||
| Industrials (9.6%) |
| ||||||||||
17,300 | 3M Company | 2,606,072 | 0.5 | % | ||||||||
17,540 | Boeing Company | 2,536,109 | 0.5 | % | ||||||||
265,097 | General Electric Company | 8,257,772 | 1.6 | % | ||||||||
3,880 | Precision Castparts Corporation | 900,199 | 0.2 | % | ||||||||
Other Securities^ | 35,963,971 | 6.8 | % | |||||||||
|
| |||||||||||
Total | 50,264,123 | |||||||||||
|
| |||||||||||
| Information Technology (20.0%) |
| ||||||||||
8,160 | Alphabet, Inc., Class Aa | 6,348,562 | 1.2 | % | ||||||||
8,309 | Alphabet, Inc., Class Ca | 6,305,534 | 1.2 | % | ||||||||
156,510 | Apple, Inc.b | 16,474,243 | 3.2 | % | ||||||||
141,850 | Cisco Systems, Inc. | 3,851,937 | 0.7 | % | ||||||||
63,840 | Facebook, Inc.a | 6,681,494 | 1.3 | % | ||||||||
131,730 | Intel Corporation | 4,538,098 | 0.9 | % | ||||||||
25,190 | International Business Machines Corporation | 3,466,648 | 0.7 | % | ||||||||
27,730 | MasterCard, Inc. | 2,699,793 | 0.5 | % | ||||||||
221,960 | Microsoft Corporation | 12,314,341 | 2.4 | % | ||||||||
89,447 | Oracle Corporation | 3,267,499 | 0.6 | % | ||||||||
54,550 | Visa, Inc. | 4,230,353 | 0.8 | % | ||||||||
Other Securities^ | 33,867,275 | 6.5 | % | |||||||||
|
| |||||||||||
Total | 104,045,777 | |||||||||||
|
| |||||||||||
| Materials (2.6%) |
| ||||||||||
Other Securities^ | 13,344,726 | 2.6 | % | |||||||||
|
| |||||||||||
Total | 13,344,726 | |||||||||||
|
| |||||||||||
| Telecommunications Services (2.3%) |
| ||||||||||
171,836 | AT&T, Inc. | 5,912,877 | 1.1 | % | ||||||||
114,666 | Verizon Communications, Inc. | 5,299,863 | 1.0 | % | ||||||||
Other Securities^ | 977,085 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 12,189,825 | |||||||||||
|
| |||||||||||
| Utilities (2.9%) |
| ||||||||||
Other Securities^ | 15,023,012 | 2.9 | % | |||||||||
|
| |||||||||||
Total | 15,023,012 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $318,478,826) | 502,681,406 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (0.4%) | ||||||||||||
1,894,887 | Thrivent Cash Management Trust | 1,894,887 | 0.4 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $1,894,887) | 1,894,887 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (3.5%)c | |||||||||||
Thrivent Cash Management Trust | ||||||||||||
16,796,121 | 0.220% | 16,796,121 | 3.2 | % | ||||||||
Other Securities^ | 1,399,782 | 0.3 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 18,195,903 | |||||||||||
|
| |||||||||||
Total Investments (cost $338,569,616) 100.3% | $ | 522,772,196 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (0.3%) | (1,593,137 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 521,179,059 | ||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
164
Table of Contents
LARGE CAP INDEX PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Non-income producing security. |
b | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Large Cap Index Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Common Stock | $ | 1,841,982 | ||
|
| |||
Total lending | $ | 1,841,982 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 1,894,887 | ||
|
| |||
Net amounts due to counterparty | $ | 52,905 | ||
|
|
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 181,963,464 | ||
Gross unrealized depreciation | (13,465,906 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 168,497,558 | ||
Cost for federal income tax purposes | $ | 354,274,638 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
165
Table of Contents
LARGE CAP INDEX PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Large Cap Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 65,703,103 | 65,703,103 | — | — | ||||||||||||
Consumer Staples | 50,652,894 | 50,647,097 | — | 5,797 | ||||||||||||
Energy | 32,936,136 | 32,936,136 | — | — | ||||||||||||
Financials | 82,589,486 | 82,589,486 | — | — | ||||||||||||
Health Care | 75,932,324 | 75,932,324 | — | — | ||||||||||||
Industrials | 50,264,123 | 50,264,123 | — | — | ||||||||||||
Information Technology | 104,045,777 | 104,045,777 | — | — | ||||||||||||
Materials | 13,344,726 | 13,344,726 | — | — | ||||||||||||
Telecommunications Services | 12,189,825 | 12,189,825 | — | — | ||||||||||||
Utilities | 15,023,012 | 15,023,012 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 1,894,887 | 1,894,887 | — | — | ||||||||||||
Short-Term Investments | 18,195,903 | 16,796,121 | 1,399,782 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 522,772,196 | $ | 521,366,617 | $ | 1,399,782 | $ | 5,797 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 37,386 | 37,386 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 37,386 | $ | 37,386 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The following table presents Large Cap Index Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $1,973,572 were pledged as the initial margin deposit for these contracts.
Number of | Notional | |||||||||||||||||||
Contracts | Expiration | Principal | Unrealized | |||||||||||||||||
Futures Contracts | Long/(Short) | Date | Amount | Value | Gain/(Loss) | |||||||||||||||
S&P 500 Mini-Futures | 176 | March 2016 | $ | 17,948,906 | $ | 17,911,520 | ($ | 37,386 | ) | |||||||||||
Total Futures Contracts | ($ | 37,386 | ) |
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Large Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Liability Derivatives | ||||||
Equity Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 37,386 | |||
Total Equity Contracts | 37,386 | |||||
|
| |||||
Total Liability Derivatives | $ | 37,386 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Large Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | 1,212,881 | ||||
Total Equity Contracts | 1,212,881 | |||||
|
| |||||
Total | $ | 1,212,881 | ||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
166
Table of Contents
LARGE CAP INDEX PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Large Cap Index Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Equity Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (557,232 | ) | |||
Total Equity Contracts | (557,232 | ) | ||||
|
| |||||
Total | ($ | 557,232 | ) | |||
|
|
The following table presents Large Cap Index Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Futures | ||||||||
(Percentage | ||||||||
Futures | of Average | |||||||
Derivative Risk Category | (Notional)* | Net Assets) | ||||||
Equity Contracts | $ | 20,506,598 | 4.2 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Large Cap Index Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 2,392,432 | $ | 30,778,152 | $ | 31,275,697 | 1,894,887 | $ | 1,894,887 | $ | 24,254 | |||||||||||||
Cash Management Trust-Short Term Investment | 17,782,007 | 84,849,100 | 85,834,986 | 16,796,121 | 16,796,121 | 17,811 | ||||||||||||||||||
Total Value and Income Earned | $ | 20,174,439 | $ | 18,691,008 | $ | 42,065 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
167
Table of Contents
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (4.7%) | Value | % of Net Assets | |||||||||
| Basic Materials (0.3%) |
| ||||||||||
Other Securities^ | $ | 2,348,612 | 0.3 | % | ||||||||
|
| |||||||||||
Total | 2,348,612 | |||||||||||
|
| |||||||||||
| Communications Services (2.0%) | |||||||||||
Birch Communication Inc., Term Loan | ||||||||||||
$ | 4,194,688 | 7.750%, 7/17/2020a | 4,005,927 | 0.6 | % | |||||||
Cengage Learning Acquisitions, Term Loan | ||||||||||||
5,213,949 | 7.000%, 3/31/2020a | 5,070,565 | 0.7 | % | ||||||||
Other Securities^ | 4,980,003 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 14,056,495 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (1.1%) | |||||||||||
Scientific Games International, Inc., Term Loan | ||||||||||||
4,999,500 | 6.000%, 10/1/2021a | 4,542,396 | 0.6 | % | ||||||||
Other Securities^ | 3,224,935 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 7,767,331 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (0.4%) | |||||||||||
Other Securities^ | 2,935,290 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 2,935,290 | |||||||||||
|
| |||||||||||
| Technology (0.9%) | |||||||||||
First Data Corporation, Term Loan | ||||||||||||
6,540,676 | 3.918%, 3/23/2018a | 6,447,079 | 0.9 | % | ||||||||
|
| |||||||||||
Total | 6,447,079 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $35,108,917) | 33,554,807 | |||||||||||
|
| |||||||||||
Principal Amount | Long-Term Fixed Income (85.5%) | |||||||||||
| Asset-Backed Securities (0.4%) | |||||||||||
Other Securities^ | 2,488,324 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 2,488,324 | |||||||||||
|
| |||||||||||
| Basic Materials (3.2%) | |||||||||||
Other Securities^ | 22,486,773 | 3.2 | % | |||||||||
|
| |||||||||||
Total | 22,486,773 | |||||||||||
|
| |||||||||||
| Capital Goods (8.3%) | |||||||||||
Berry Plastics Corporation | ||||||||||||
6,370,000 | 5.125%, 7/15/2023 | 6,194,825 | 0.9 | % | ||||||||
Building Materials Corporation of America | ||||||||||||
3,990,000 | 6.000%, 10/15/2025b | 4,069,800 | 0.6 | % | ||||||||
Nortek, Inc. | ||||||||||||
3,640,000 | 8.500%, 4/15/2021 | 3,776,864 | 0.5 | % | ||||||||
Silgan Holdings, Inc. | ||||||||||||
3,970,000 | 5.000%, 4/1/2020 | 4,039,475 | 0.6 | % | ||||||||
United Rentals North America, Inc. | ||||||||||||
3,285,000 | 5.500% - 6.125%, 6/15/2023 - 7/15/2025 | 3,271,762 | 0.4 | % | ||||||||
UR Financing Escrow Corporation | ||||||||||||
4,250,000 | 7.625%, 4/15/2022 | 4,541,975 | 0.6 | % | ||||||||
Other Securities^ | 33,020,521 | 4.7 | % | |||||||||
|
| |||||||||||
Total | 58,915,222 | |||||||||||
|
| |||||||||||
| Communications Services (15.4%) |
| ||||||||||
Altice Financing SA | ||||||||||||
1,870,000 | 6.500% - 6.625%, 1/15/2022 - 2/15/2023b | 1,849,325 | 0.3 | % | ||||||||
AMC Networks, Inc. | ||||||||||||
3,800,000 | 4.750%, 12/15/2022 | 3,800,000 | 0.5 | % | ||||||||
Columbus International, Inc. | ||||||||||||
5,060,000 | 7.375%, 3/30/2021b | 5,009,400 | 0.7 | % | ||||||||
Eileme 2 AB | ||||||||||||
4,260,000 | 11.625%, 1/31/2020* | 4,515,600 | 0.6 | % | ||||||||
Frontier Communications Corporation | ||||||||||||
6,930,000 | 11.000%, 9/15/2025b | 6,860,700 | 1.0 | % | ||||||||
1,230,000 | 10.500%, 9/15/2022b | 1,225,388 | 0.2 | % | ||||||||
Intelsat Jackson Holdings SA | ||||||||||||
5,970,000 | 7.250%, 10/15/2020 | 5,223,750 | 0.7 | % | ||||||||
MDC Partners, Inc. | ||||||||||||
3,730,000 | 6.750%, 4/1/2020b | 3,841,900 | 0.5 | % | ||||||||
Numericable-SFR | ||||||||||||
6,300,000 | 6.000% - 6.250%, 5/15/2022 - 5/15/2024b | 6,097,450 | 0.9 | % | ||||||||
Sprint Communications, Inc. | ||||||||||||
10,325,000 | 9.000%, 11/15/2018b | 10,867,062 | 1.5 | % | ||||||||
2,870,000 | 7.000%, 3/1/2020b | 2,877,175 | 0.4 | % | ||||||||
Sprint Corporation | ||||||||||||
7,215,000 | 7.625%, 2/15/2025 | 5,266,950 | 0.7 | % | ||||||||
T-Mobile USA, Inc. | ||||||||||||
3,790,000 | 6.542%, 4/28/2020 | 3,951,075 | 0.6 | % | ||||||||
Unitymedia Hessen GmbH & Company KG | ||||||||||||
5,100,000 | 5.500%, 1/15/2023b | 5,087,250 | 0.7 | % | ||||||||
Other Securities^ | 42,929,202 | 6.1 | % | |||||||||
|
| |||||||||||
Total | 109,402,227 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (13.6%) | |||||||||||
Choice Hotels International, Inc. | ||||||||||||
3,445,000 | 5.750%, 7/1/2022 | 3,686,150 | 0.5 | % | ||||||||
Cinemark USA, Inc. | ||||||||||||
4,475,000 | 4.875%, 6/1/2023 | 4,363,125 | 0.6 | % | ||||||||
LKQ Corporation | ||||||||||||
4,005,000 | 4.750%, 5/15/2023 | 3,754,687 | 0.5 | % | ||||||||
Rite Aid Corporation | ||||||||||||
6,325,000 | 6.125% - 6.750%, 6/15/2021 - 4/1/2023b | 6,585,937 | 1.0 | % | ||||||||
Six Flags Entertainment Corporation | ||||||||||||
4,250,000 | 5.250%, 1/15/2021b | 4,303,125 | 0.6 | % | ||||||||
Other Securities^ | 74,054,322 | 10.4 | % | |||||||||
|
| |||||||||||
Total | 96,747,346 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (11.6%) | |||||||||||
B&G Foods, Inc. | ||||||||||||
3,700,000 | 4.625%, 6/1/2021 | 3,663,000 | 0.5 | % | ||||||||
Energizer Holdings, Inc. | ||||||||||||
4,240,000 | 5.500%, 6/15/2025b | 3,985,600 | 0.6 | % | ||||||||
Envision Healthcare Corporation | ||||||||||||
3,795,000 | 5.125%, 7/1/2022b | 3,719,100 | 0.5 | % | ||||||||
Grifols Worldwide Operations, Ltd. | ||||||||||||
4,395,000 | 5.250%, 4/1/2022 | 4,416,975 | 0.6 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
168
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HIGH YIELD PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (85.5%) | Value | % of Net Assets | |||||||||
| Consumer Non-Cyclical (11.6%) - continued |
| ||||||||||
HCA, Inc. | ||||||||||||
$ | 4,810,000 | 5.875%, 3/15/2022 | $ | 5,074,550 | 0.7 | % | ||||||
3,705,000 | 5.375%, 2/1/2025 | 3,658,688 | 0.5 | % | ||||||||
8,690,000 | 3.750% - 6.500%, 3/15/2019 - 2/15/2026 | 8,923,852 | 1.3 | % | ||||||||
JBS USA, LLC | ||||||||||||
4,705,000 | 5.750%, 6/15/2025b | 4,093,350 | 0.6 | % | ||||||||
MPH Acquisition Holdings, LLC | ||||||||||||
4,645,000 | 6.625%, 4/1/2022b | 4,656,613 | 0.7 | % | ||||||||
Revlon Consumer Products Corporation | ||||||||||||
4,760,000 | 5.750%, 2/15/2021c | 4,605,300 | 0.6 | % | ||||||||
TreeHouse Foods, Inc. | ||||||||||||
4,155,000 | 4.875%, 3/15/2022c | 3,957,637 | 0.6 | % | ||||||||
Valeant Pharmaceuticals International | ||||||||||||
5,245,000 | 5.500% - 7.250%, 7/15/2022 - 3/1/2023b | 4,869,100 | 0.7 | % | ||||||||
VPII Escrow Corporation | ||||||||||||
3,170,000 | 7.500%, 7/15/2021b | 3,162,075 | 0.4 | % | ||||||||
Other Securities^ | 24,024,775 | 3.3 | % | |||||||||
|
| |||||||||||
Total | 82,810,615 | |||||||||||
|
| |||||||||||
| Energy (9.4%) | |||||||||||
Concho Resources, Inc. | ||||||||||||
4,740,000 | 6.500%, 1/15/2022 | 4,550,400 | 0.6 | % | ||||||||
Laredo Petroleum, Inc. | ||||||||||||
4,330,000 | 5.625%, 1/15/2022 | 3,767,100 | 0.5 | % | ||||||||
Noble Energy, Inc. | ||||||||||||
6,380,000 | 5.875%, 6/1/2024 | 6,104,926 | 0.9 | % | ||||||||
Other Securities^ | 52,920,459 | 7.4 | % | |||||||||
|
| |||||||||||
Total | 67,342,885 | |||||||||||
|
| |||||||||||
| Financials (8.8%) | |||||||||||
Ally Financial, Inc. | ||||||||||||
4,670,000 | 4.125%, 3/30/2020 | 4,646,650 | 0.7 | % | ||||||||
3,840,000 | 3.250% - 4.125%, 2/13/2018 - 2/13/2022 | 3,808,900 | 0.5 | % | ||||||||
Argos Merger Sub, Inc. | ||||||||||||
3,705,000 | 7.125%, 3/15/2023b | 3,673,507 | 0.5 | % | ||||||||
CIT Group, Inc. | ||||||||||||
3,795,000 | 3.875%, 2/19/2019 | 3,776,025 | 0.5 | % | ||||||||
Drawbridge Special Opportunities Fund, LP | ||||||||||||
3,785,000 | 5.000%, 8/1/2021b | 3,671,450 | 0.5 | % | ||||||||
Icahn Enterprises, LP | ||||||||||||
5,500,000 | 4.875%, 3/15/2019 | 5,450,500 | 0.8 | % | ||||||||
6,485,000 | 6.000%, 8/1/2020 | 6,539,474 | 0.9 | % | ||||||||
Quicken Loans, Inc. | ||||||||||||
4,255,000 | 5.750%, 5/1/2025b | 4,052,888 | 0.6 | % | ||||||||
Other Securities^ | 26,773,910 | 3.8 | % | |||||||||
|
| |||||||||||
Total | 62,393,304 | |||||||||||
|
| |||||||||||
| Industrials Other (0.5%) | |||||||||||
Other Securities^ | 3,826,100 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 3,826,100 | |||||||||||
|
| |||||||||||
| Technology (6.4%) | |||||||||||
Alliance Data Systems Corporation | ||||||||||||
6,880,000 | 5.375%, 8/1/2022b | 6,553,200 | 0.9 | % | ||||||||
CommScope Technologies Finance, LLC | ||||||||||||
4,775,000 | 6.000%, 6/15/2025b | 4,595,938 | 0.7 | % | ||||||||
Denali Borrower, LLC | ||||||||||||
5,680,000 | 5.625%, 10/15/2020b | 5,949,800 | 0.8 | % | ||||||||
NXP Funding, LLC | ||||||||||||
3,715,000 | 5.750%, 3/15/2023b | 3,835,737 | 0.5 | % | ||||||||
Sensata Technologies BV | ||||||||||||
4,870,000 | 4.875%, 10/15/2023b | 4,736,075 | 0.7 | % | ||||||||
Other Securities^ | 19,969,313 | 2.8 | % | |||||||||
|
| |||||||||||
Total | 45,640,063 | |||||||||||
|
| |||||||||||
| Transportation (3.8%) | |||||||||||
American Airlines Pass Through Trust | ||||||||||||
3,689,325 | 5.600%, 7/15/2020b | 3,763,112 | 0.5 | % | ||||||||
Other Securities^ | 23,218,772 | 3.3 | % | |||||||||
|
| |||||||||||
Total | 26,981,884 | |||||||||||
|
| |||||||||||
| Utilities (4.1%) | |||||||||||
Regency Energy Partners, LP | ||||||||||||
4,650,000 | 5.500%, 4/15/2023 | 4,181,141 | 0.6 | % | ||||||||
Other Securities^ | 25,361,098 | 3.5 | % | |||||||||
|
| |||||||||||
Total | 29,542,239 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $671,072,784) | 608,576,982 | |||||||||||
|
| |||||||||||
Shares | Preferred Stock (1.3%) | |||||||||||
| Financials (1.1%) | |||||||||||
Other Securities^ | 8,135,058 | 1.1 | % | |||||||||
|
| |||||||||||
Total | 8,135,058 | |||||||||||
|
| |||||||||||
| Materials (0.2%) | |||||||||||
Other Securities^ | 1,182,154 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 1,182,154 | |||||||||||
|
| |||||||||||
Total Preferred Stock (cost $9,184,908) | 9,317,212 | |||||||||||
|
| |||||||||||
Common Stock (<0.1%) | ||||||||||||
| Consumer Discretionary (<0.1%) | |||||||||||
Other Securities^ | 12 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 12 | |||||||||||
|
| |||||||||||
| Financials (<0.1%) | |||||||||||
Other Securities^ | 59,373 | <0.1 | % | |||||||||
|
| |||||||||||
Total | 59,373 | |||||||||||
|
| |||||||||||
Total Common Stock (cost $6,579,196) | 59,385 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (6.0%) | ||||||||||||
42,864,685 | Thrivent Cash Management Trust | 42,864,685 | 6.0 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $42,864,685) | 42,864,685 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
169
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HIGH YIELD PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Shares or Principal Amount | Short-Term Investments (6.6%)d | Value | % of Net Assets | |||||||||
Thrivent Cash Management Trust | ||||||||||||
46,291,200 | 0.220% | $ | 46,291,200 | 6.5 | % | |||||||
Other Securities^ | 699,991 | 0.1 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 46,991,191 | |||||||||||
|
| |||||||||||
Total Investments (cost $811,801,681) 104.1% | $ | 741,364,262 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (4.1%) | (29,230,750 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 712,133,512 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $268,723,399 or 37.7% of total net assets. |
c | All or a portion of the security is on loan. |
d | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in High Yield Portfolio as of December 31, 2015 was $19,370,906 or 2.7% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
Eileme 2 AB, 1/31/2020 | 1/19/2012 | $ | 4,179,060 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent High Yield Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Taxable Debt Security | $ | 41,133,634 | ||
|
| |||
Total lending | $ | 41,133,634 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 42,864,685 | ||
|
| |||
Net amounts due to counterparty | $ | 1,731,051 | ||
|
|
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 6,132,129 | ||
Gross unrealized depreciation | (76,582,822 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (70,450,693 | ) | |
Cost for federal income tax purposes | $ | 811,814,955 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
170
Table of Contents
HIGH YIELD PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing High Yield Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 2,348,612 | — | 2,348,612 | — | ||||||||||||
Communications Services | 14,056,495 | — | 7,223,068 | 6,833,427 | ||||||||||||
Consumer Cyclical | 7,767,331 | — | 7,767,331 | — | ||||||||||||
Consumer Non-Cyclical | 2,935,290 | — | 2,935,290 | — | ||||||||||||
Technology | 6,447,079 | — | 6,447,079 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 2,488,324 | — | 2,488,324 | — | ||||||||||||
Basic Materials | 22,486,773 | — | 22,486,773 | — | ||||||||||||
Capital Goods | 58,915,222 | — | 58,915,222 | — | ||||||||||||
Communications Services | 109,402,227 | — | 109,402,227 | — | ||||||||||||
Consumer Cyclical | 96,747,346 | — | 96,747,346 | — | ||||||||||||
Consumer Non-Cyclical | 82,810,615 | — | 82,810,615 | — | ||||||||||||
Energy | 67,342,885 | — | 67,342,885 | — | ||||||||||||
Financials | 62,393,304 | — | 62,393,304 | — | ||||||||||||
Industrials Other | 3,826,100 | — | 3,826,100 | — | ||||||||||||
Technology | 45,640,063 | — | 45,640,063 | — | ||||||||||||
Transportation | 26,981,884 | — | 26,981,884 | — | ||||||||||||
Utilities | 29,542,239 | — | 29,542,239 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 8,135,058 | 8,135,058 | — | — | ||||||||||||
Materials | 1,182,154 | 1,182,154 | — | — | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | 12 | — | — | 12 | ||||||||||||
Financials | 59,373 | — | — | 59,373 | ||||||||||||
Collateral Held for Securities Loaned | 42,864,685 | 42,864,685 | — | — | ||||||||||||
Short-Term Investments | 46,991,191 | 46,291,200 | 699,991 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 741,364,262 | $ | 98,473,097 | $ | 635,998,353 | $ | 6,892,812 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for High Yield Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Credit Contracts | ||||||
Credit Default Swaps | Net realized gains/(losses) on Swap agreements | 707,345 | ||||
Total Credit Contracts | 707,345 | |||||
|
| |||||
Total | $ | 707,345 | ||||
|
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for High Yield Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Credit Contracts | ||||||
Credit Default Swaps | Change in net unrealized appreciation/(depreciation) on Swap agreements | (266,087 | ) | |||
Total Credit Contracts | (266,087 | ) | ||||
|
| |||||
Total | ($ | 266,087 | ) | |||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
171
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HIGH YIELD PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents High Yield Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Swaps | ||||||||
(Percentage | ||||||||
Swaps | of Average Net | |||||||
Derivative Risk Category | (Notional)* | Assets) | ||||||
Credit Contracts | $ | 466,710 | 0.1 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in High Yield Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 55,520,434 | $ | 232,784,639 | $ | 245,440,388 | 42,864,685 | $ | 42,864,685 | $ | 260,173 | |||||||||||||
Cash Management Trust-Short Term Investment | 25,362,738 | 247,627,118 | 226,698,656 | 46,291,200 | 46,291,200 | 31,428 | ||||||||||||||||||
Total Value and Income Earned | $ | 80,883,172 | $ | 89,155,885 | $ | 291,601 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
172
Table of Contents
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (3.8%) | Value | % of Net Assets | |||||||||
| Basic Materials (0.2%) | |||||||||||
Other Securities^ | $ | 2,640,923 | 0.2 | % | ||||||||
|
| |||||||||||
Total | 2,640,923 | |||||||||||
|
| |||||||||||
| Capital Goods (0.2%) | |||||||||||
Other Securities^ | 2,851,820 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 2,851,820 | |||||||||||
|
| |||||||||||
| Communications Services (1.5%) | |||||||||||
Other Securities^ | 19,580,338 | 1.5 | % | |||||||||
|
| |||||||||||
Total | 19,580,338 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (0.5%) | |||||||||||
Other Securities^ | 7,526,312 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 7,526,312 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (0.4%) | |||||||||||
Other Securities^ | 5,112,595 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 5,112,595 | |||||||||||
|
| |||||||||||
| Energy (0.1%) | |||||||||||
Other Securities^ | 1,226,528 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,226,528 | |||||||||||
|
| |||||||||||
| Financials (0.1%) | |||||||||||
Other Securities^ | 1,524,840 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,524,840 | |||||||||||
|
| |||||||||||
| Technology (0.4%) | |||||||||||
Other Securities^ | 5,055,418 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 5,055,418 | |||||||||||
|
| |||||||||||
| Transportation (0.2%) | |||||||||||
Other Securities^ | 2,973,500 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 2,973,500 | |||||||||||
|
| |||||||||||
| Utilities (0.2%) | |||||||||||
Other Securities^ | 2,414,965 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 2,414,965 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $54,298,009) | 50,907,239 | |||||||||||
|
| |||||||||||
Long-Term Fixed Income (89.8%) | ||||||||||||
| Asset-Backed Securities (1.4%) | |||||||||||
Bayview Opportunity Master Fund Trust | ||||||||||||
$3,893,768 | 3.721%, 7/28/2035a,b | 3,890,631 | 0.3 | % | ||||||||
Other Securities^ | 15,197,119 | 1.1 | % | |||||||||
|
| |||||||||||
Total | 19,087,750 | |||||||||||
|
| |||||||||||
| Basic Materials (3.2%) | |||||||||||
Other Securities^ | 42,755,876 | 3.2 | % | |||||||||
|
| |||||||||||
Total | 42,755,876 | |||||||||||
|
| |||||||||||
| Capital Goods (1.6%) | |||||||||||
BAE Systems plc | ||||||||||||
3,880,000 | 4.750%, 10/11/2021a | 4,129,663 | 0.3 | % | ||||||||
Other Securities^ | 16,828,286 | 1.3 | % | |||||||||
|
| |||||||||||
Total | 20,957,949 | |||||||||||
|
| |||||||||||
| Collateralized Mortgage Obligations (0.9%) | |||||||||||
Other Securities^ | $ | 11,966,929 | 0.9 | % | ||||||||
|
| |||||||||||
Total | 11,966,929 | |||||||||||
|
| |||||||||||
| Commercial Mortgage-Backed Securities (0.6%) | |||||||||||
Other Securities^ | 8,004,445 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 8,004,445 | |||||||||||
|
| |||||||||||
| Communications Services (8.8%) | |||||||||||
CCO Safari II, LLC | ||||||||||||
4,370,000 | 4.464%, 7/23/2022a | 4,354,749 | 0.3 | % | ||||||||
Comcast Corporation | ||||||||||||
3,740,000 | 3.375%, 8/15/2025 | 3,786,271 | 0.3 | % | ||||||||
NBCUniversal Media, LLC | ||||||||||||
3,510,000 | 4.375%, 4/1/2021 | 3,812,667 | 0.3 | % | ||||||||
Omnicom Group, Inc. | ||||||||||||
4,245,000 | 4.450%, 8/15/2020 | 4,527,085 | 0.3 | % | ||||||||
Time Warner Cable, Inc. | ||||||||||||
3,800,000 | 4.125%, 2/15/2021 | 3,880,089 | 0.3 | % | ||||||||
Time Warner Entertainment Company, LP | ||||||||||||
3,620,000 | 8.375%, 3/15/2023 | 4,445,682 | 0.3 | % | ||||||||
Verizon Communications, Inc. | ||||||||||||
3,830,000 | 3.450%, 3/15/2021 | 3,918,435 | 0.3 | % | ||||||||
4,030,000 | 3.500%, 11/1/2024 | 3,980,431 | 0.3 | % | ||||||||
5,854,000 | 4.272%, 1/15/2036 | 5,284,979 | 0.4 | % | ||||||||
3,200,000 | 6.550%, 9/15/2043 | 3,799,072 | 0.3 | % | ||||||||
5,457,000 | 4.522%, 9/15/2048 | 4,880,179 | 0.4 | % | ||||||||
3,277,000 | 2.625%, 2/21/2020 | 3,288,394 | 0.2 | % | ||||||||
Other Securities^ | 68,159,162 | 5.1 | % | |||||||||
|
| |||||||||||
Total | 118,117,195 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (5.3%) | |||||||||||
American Honda Finance Corporation | ||||||||||||
4,400,000 | 3.875%, 9/21/2020a | 4,660,304 | 0.4 | % | ||||||||
Ford Motor Credit Company, LLC | ||||||||||||
5,000,000 | 4.134%, 8/4/2025 | 4,982,075 | 0.4 | % | ||||||||
9,345,000 | 1.594% - 4.250%, 5/9/2016 - 9/8/2024c | 9,307,684 | 0.7 | % | ||||||||
General Motors Company | ||||||||||||
3,150,000 | 5.000%, 4/1/2035 | 2,939,652 | 0.2 | % | ||||||||
General Motors Financial Company, Inc. | ||||||||||||
10,870,000 | 3.200% - 4.375%, 7/13/2020 - 1/15/2025 | 10,589,755 | 0.8 | % | ||||||||
Other Securities^ | 37,678,127 | 2.8 | % | |||||||||
|
| |||||||||||
Total | 70,157,597 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (9.8%) | |||||||||||
Biogen, Inc. | ||||||||||||
3,740,000 | 3.625%, 9/15/2022 | 3,781,424 | 0.3 | % | ||||||||
Boston Scientific Corporation | ||||||||||||
4,360,000 | 3.375%, 5/15/2022 | 4,301,166 | 0.3 | % | ||||||||
Celgene Corporation | ||||||||||||
3,770,000 | 3.950%, 10/15/2020 | 3,956,396 | 0.3 | % | ||||||||
3,750,000 | 3.550%, 8/15/2022 | 3,786,454 | 0.3 | % | ||||||||
Kraft Foods Group, Inc. | ||||||||||||
4,390,000 | 3.500%, 6/6/2022 | 4,438,053 | 0.3 | % | ||||||||
Other Securities^ | 110,035,856 | 8.3 | % | |||||||||
|
| |||||||||||
Total | 130,299,349 | |||||||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
173
Table of Contents
INCOME PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (89.8%) | Value | % of Net Assets | |||||||||
| Energy (7.8%) | |||||||||||
Energy Transfer Partners, LP | ||||||||||||
$5,325,000 | 4.650%, 6/1/2021 | $ | 4,999,355 | 0.4 | % | |||||||
3,700,000 | 4.050% - 6.125%, 3/15/2025 - 12/15/2045 | 3,019,527 | 0.3 | % | ||||||||
Sunoco Logistics Partners Operations, LP | ||||||||||||
5,900,000 | 3.450% - 4.400%, 4/1/2021 - 1/15/2023 | 5,317,420 | 0.4 | % | ||||||||
Other Securities^ | 91,065,608 | 6.7 | % | |||||||||
|
| |||||||||||
Total | 104,401,910 | |||||||||||
|
| |||||||||||
| Financials (29.2%) | |||||||||||
Bank of America Corporation | ||||||||||||
3,840,000 | 1.656%, 3/22/2018c | 3,852,319 | 0.3 | % | ||||||||
3,380,000 | 7.625%, 6/1/2019 | 3,915,115 | 0.3 | % | ||||||||
3,830,000 | 4.125%, 1/22/2024 | 3,955,815 | 0.3 | % | ||||||||
12,020,000 | 4.100% - 6.500%, 7/24/2023 - 10/23/2049d | 12,405,086 | 0.9 | % | ||||||||
Capital One Bank USA NA | ||||||||||||
5,425,000 | 2.250%, 2/13/2019 | 5,401,157 | 0.4 | % | ||||||||
Citigroup, Inc. | ||||||||||||
4,370,000 | 4.400%, 6/10/2025 | 4,413,735 | 0.3 | % | ||||||||
Credit Suisse Group Funding, Ltd. | ||||||||||||
4,400,000 | 3.750%, 3/26/2025a | 4,256,050 | 0.3 | % | ||||||||
GE Capital Trust I | ||||||||||||
4,500,000 | 6.375%, 11/15/2067 | 4,677,187 | 0.4 | % | ||||||||
Goldman Sachs Group, Inc. | ||||||||||||
4,450,000 | 3.850%, 7/8/2024 | 4,541,047 | 0.3 | % | ||||||||
14,605,000 | 4.000% - 6.750%, 3/15/2020 - 5/22/2045 | 15,417,031 | 1.2 | % | ||||||||
J.P. Morgan Chase & Company | ||||||||||||
14,290,000 | 3.375% - 6.750%, 5/1/2023 - 12/29/2049d | 14,859,841 | 1.1 | % | ||||||||
Lincoln National Corporation | ||||||||||||
4,150,000 | 4.000%, 9/1/2023 | 4,249,206 | 0.3 | % | ||||||||
Merrill Lynch & Company, Inc. | ||||||||||||
3,050,000 | 6.875%, 4/25/2018 | 3,364,934 | 0.3 | % | ||||||||
Morgan Stanley | ||||||||||||
21,015,000 | 4.000% - 6.625%, 4/1/2018 - 1/27/2045 | 22,296,165 | 1.7 | % | ||||||||
Reinsurance Group of America, Inc. | ||||||||||||
3,815,000 | 4.700%, 9/15/2023 | 4,022,647 | 0.3 | % | ||||||||
Santander Holdings USA, Inc. | ||||||||||||
4,990,000 | 2.650% - 4.500%, 4/17/2020 - 7/17/2025 | 4,987,724 | 0.4 | % | ||||||||
Santander Issuances SA | ||||||||||||
2,750,000 | 5.179%, 11/19/2025 | 2,708,332 | 0.2 | % | ||||||||
Santander UK Group Holdings plc | ||||||||||||
4,060,000 | 2.875% - 4.750%, 10/16/2020 - 9/15/2025a,e | 4,016,427 | 0.3 | % | ||||||||
Santander UK plc | ||||||||||||
960,000 | 5.000%, 11/7/2023a | 999,313 | 0.1 | % | ||||||||
Other Securities^ | 265,301,069 | 19.8 | % | |||||||||
|
| |||||||||||
Total | 389,640,200 | |||||||||||
|
| |||||||||||
| Foreign Government (0.6%) | |||||||||||
Other Securities^ | 8,491,690 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 8,491,690 | |||||||||||
|
| |||||||||||
| Industrials Other (0.1%) | |||||||||||
Other Securities^ | 1,907,400 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,907,400 | |||||||||||
|
| |||||||||||
| Mortgage-Backed Securities (3.9%) | |||||||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||||||
26,550,000 | 3.500%, 1/1/2046f | 27,392,251 | 2.0 | % | ||||||||
12,937,500 | 4.000%, 1/1/2046f | 13,690,099 | 1.0 | % | ||||||||
4,650,000 | 4.500%, 1/1/2046f | 5,021,419 | 0.4 | % | ||||||||
Other Securities^ | 6,271,118 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 52,374,887 | |||||||||||
|
| |||||||||||
| Technology (1.8%) | |||||||||||
Other Securities^ | 24,085,713 | 1.8 | % | |||||||||
|
| |||||||||||
Total | 24,085,713 | |||||||||||
|
| |||||||||||
| Transportation (3.6%) | |||||||||||
British Airways plc | ||||||||||||
4,192,646 | 4.625%, 6/20/2024a | 4,370,833 | 0.3 | % | ||||||||
Burlington Northern Santa Fe, LLC | ||||||||||||
5,620,000 | 3.000% - 4.700%, 4/1/2025 - 9/1/2045 | 5,494,351 | 0.4 | % | ||||||||
ERAC USA Finance, LLC | ||||||||||||
3,450,000 | 5.250%, 10/1/2020a | 3,779,979 | 0.3 | % | ||||||||
Other Securities^ | 33,957,462 | 2.6 | % | |||||||||
|
| |||||||||||
Total | 47,602,625 | |||||||||||
|
| |||||||||||
| U.S. Government and Agencies (5.3%) | |||||||||||
U.S. Treasury Bonds | ||||||||||||
4,500,000 | 4.375%, 5/15/2041 | 5,678,964 | 0.4 | % | ||||||||
5,307,000 | 3.125%, 2/15/2042 | 5,479,684 | 0.4 | % | ||||||||
7,500,000 | 3.000%, 11/15/2045 | 7,477,440 | 0.6 | % | ||||||||
U.S. Treasury Bonds, TIPS | ||||||||||||
2,670,644 | 0.625%, 1/15/2024 | 2,640,357 | 0.2 | % | ||||||||
U.S. Treasury Notes | ||||||||||||
10,023,000 | 1.000%, 6/30/2019 | 9,857,390 | 0.8 | % | ||||||||
7,000,000 | 1.375%, 10/31/2020 | 6,876,408 | 0.5 | % | ||||||||
4,380,000 | 2.000%, 7/31/2022 | 4,368,196 | 0.3 | % | ||||||||
4,500,000 | 1.875%, 8/31/2022 | 4,448,147 | 0.3 | % | ||||||||
7,000,000 | 1.875%, 10/31/2022 | 6,911,408 | 0.5 | % | ||||||||
6,410,000 | 2.000%, 11/30/2022 | 6,374,944 | 0.5 | % | ||||||||
4,380,000 | 2.500%, 2/15/2045 | 3,929,854 | 0.3 | % | ||||||||
4,130,000 | 1.625% - 2.875%, 3/31/2018 - 7/31/2020 | 4,153,129 | 0.3 | % | ||||||||
U.S. Treasury Notes, TIPS | ||||||||||||
2,019,787 | 0.625%, 7/15/2021 | 2,033,041 | 0.2 | % | ||||||||
|
| |||||||||||
Total | 70,228,962 | |||||||||||
|
| |||||||||||
| U.S. Municipals (0.2%) | |||||||||||
Other Securities^ | 2,995,969 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 2,995,969 | |||||||||||
|
| |||||||||||
| Utilities (5.7%) | |||||||||||
Energy Transfer Equity, LP | ||||||||||||
1,870,000 | 5.500%, 6/1/2027 | 1,421,200 | 0.1 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
174
Table of Contents
INCOME PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (89.8%) | Value | % of Net Assets | |||||||||
| Utilities (5.7%) - continued | |||||||||||
FirstEnergy Transmission, LLC | ||||||||||||
$3,830,000 | 4.350%, 1/15/2025a | $ | 3,882,375 | 0.3 | % | |||||||
ITC Holdings Corporation | ||||||||||||
5,080,000 | 4.050%, 7/1/2023 | 5,218,862 | 0.4 | % | ||||||||
MidAmerican Energy Holdings Company | ||||||||||||
4,450,000 | 3.750%, 11/15/2023 | 4,566,501 | 0.3 | % | ||||||||
Nevada Power Company | ||||||||||||
2,800,000 | 6.750%, 7/1/2037 | 3,551,758 | 0.3 | % | ||||||||
Pennsylvania Electric Company | ||||||||||||
3,700,000 | 5.200%, 4/1/2020 | 3,944,403 | 0.3 | % | ||||||||
Other Securities^ | 54,145,254 | 4.0 | % | |||||||||
|
| |||||||||||
Total | 76,730,353 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $1,218,017,052) | 1,199,806,799 | |||||||||||
|
| |||||||||||
Shares | Preferred Stock (2.3%) | |||||||||||
| Financials (2.0%) | |||||||||||
31,925 | Countrywide Capital V, 7.000% | 818,238 | 0.1 | % | ||||||||
95,940 | Goldman Sachs Group, Inc., | |||||||||||
5.500%d | 2,483,886 | 0.2 | % | |||||||||
88,200 | Morgan Stanley, 7.125%d | 2,522,520 | 0.2 | % | ||||||||
Other Securities^ | 20,756,480 | 1.5 | % | |||||||||
|
| |||||||||||
Total | 26,581,124 | |||||||||||
|
| |||||||||||
| Materials (0.2%) | |||||||||||
Other Securities^ | 2,088,227 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 2,088,227 | |||||||||||
|
| |||||||||||
| Utilities (0.1%) | |||||||||||
Other Securities^ | 1,358,000 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,358,000 | |||||||||||
|
| |||||||||||
Total Preferred Stock (cost $29,018,928) | 30,027,351 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (2.1%) | ||||||||||||
28,613,386 | Thrivent Cash Management Trust | 28,613,386 | 2.1 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $28,613,386) | 28,613,386 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (7.2%)g | |||||||||||
U.S. Treasury Bills | ||||||||||||
400,000 | 0.190%, 1/7/2016h | 399,987 | <0.1 | % | ||||||||
Thrivent Cash Management Trust | ||||||||||||
94,638,205 | 0.220% | 94,638,205 | 7.1 | % | ||||||||
Other Securities^ | 1,399,955 | 0.1 | % | |||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 96,438,147 | |||||||||||
|
| |||||||||||
Total Investments (cost $1,426,385,522) 105.2% | $ | 1,405,792,922 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (5.2%) | (69,772,489 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 1,336,020,433 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $224,166,057 or 16.8% of total net assets. |
b | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
d | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
e | All or a portion of the security is on loan. |
f | Denotes investments purchased on a when-issued or delayed delivery basis. |
g | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
h | At December 31, 2015, $50,998 of investments were segregated to cover exposure to a counterparty for margin on open mortgage-backed security transactions. |
Income Portfolio held restricted securities as of December 31, 2015. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. As of December 31, 2015, the value of these investments was $7,537,811 or 0.6% of total net assets.
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Income Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Taxable Debt Security | $ | 27,727,136 | ||
|
| |||
Total lending | $ | 27,727,136 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 28,613,386 | ||
|
| |||
Net amounts due to counterparty | $ | 886,250 | ||
|
|
Definitions:
TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 26,186,314 | ||
Gross unrealized depreciation | (46,370,776 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (20,184,462 | ) | |
Cost for federal income tax purposes | $ | 1,425,977,384 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
175
Table of Contents
INCOME PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Income Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 2,640,923 | — | 2,640,923 | — | ||||||||||||
Capital Goods | 2,851,820 | — | 2,851,820 | — | ||||||||||||
Communications Services | 19,580,338 | — | 19,580,338 | — | ||||||||||||
Consumer Cyclical | 7,526,312 | — | 7,526,312 | — | ||||||||||||
Consumer Non-Cyclical | 5,112,595 | — | 4,391,752 | 720,843 | ||||||||||||
Energy | 1,226,528 | — | 838,603 | 387,925 | ||||||||||||
Financials | 1,524,840 | — | 1,524,840 | — | ||||||||||||
Technology | 5,055,418 | — | 5,055,418 | — | ||||||||||||
Transportation | 2,973,500 | — | 2,973,500 | — | ||||||||||||
Utilities | 2,414,965 | — | 2,414,965 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 19,087,750 | — | 19,087,750 | — | ||||||||||||
Basic Materials | 42,755,876 | — | 42,755,876 | — | ||||||||||||
Capital Goods | 20,957,949 | — | 20,957,949 | — | ||||||||||||
Collateralized Mortgage Obligations | 11,966,929 | — | 11,966,929 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 8,004,445 | — | 8,004,445 | — | ||||||||||||
Communications Services | 118,117,195 | — | 118,117,195 | — | ||||||||||||
Consumer Cyclical | 70,157,597 | — | 70,157,597 | — | ||||||||||||
Consumer Non-Cyclical | 130,299,349 | — | 130,299,349 | — | ||||||||||||
Energy | 104,401,910 | — | 104,401,910 | — | ||||||||||||
Financials | 389,640,200 | — | 389,640,200 | — | ||||||||||||
Foreign Government | 8,491,690 | — | 8,491,690 | — | ||||||||||||
Industrials Other | 1,907,400 | — | 1,907,400 | — | ||||||||||||
Mortgage-Backed Securities | 52,374,887 | — | 52,374,887 | — | ||||||||||||
Technology | 24,085,713 | — | 24,085,713 | — | ||||||||||||
Transportation | 47,602,625 | — | 47,602,625 | — | ||||||||||||
U.S. Government and Agencies | 70,228,962 | — | 70,228,962 | — | ||||||||||||
U.S. Municipals | 2,995,969 | — | 2,995,969 | — | ||||||||||||
Utilities | 76,730,353 | — | 76,730,353 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 26,581,124 | 24,271,357 | 2,309,767 | — | ||||||||||||
Materials | 2,088,227 | 2,088,227 | — | — | ||||||||||||
Utilities | 1,358,000 | 1,358,000 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 28,613,386 | 28,613,386 | — | — | ||||||||||||
Short-Term Investments | 96,438,147 | 94,638,205 | 1,799,942 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,405,792,922 | $ | 150,969,175 | $ | 1,253,714,979 | $ | 1,108,768 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 703,138 | 703,138 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 703,138 | $ | 703,138 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The following table presents Income Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $1,399,955 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
5-Yr. U.S. Treasury Bond Futures | (595 | ) | March 2016 | ($ | 70,561,437 | ) | ($ | 70,400,585 | ) | $ | 160,852 | |||||||||
10-Yr. U.S. Treasury Bond Futures | (1,000 | ) | March 2016 | (126,114,090 | ) | (125,906,250 | ) | 207,840 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | 506 | March 2016 | 77,463,054 | 77,797,500 | 334,446 | |||||||||||||||
Total Futures Contracts | $ | 703,138 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
176
Table of Contents
INCOME PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 703,138 | |||
Total Interest Rate Contracts | 703,138 | |||||
|
| |||||
Total Asset Derivatives | $ | 703,138 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (2,388,800 | ) | |||
Total Interest Rate Contracts | (2,388,800 | ) | ||||
|
| |||||
Total | ($ | 2,388,800 | ) | |||
|
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Income Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | (787,623 | ) | |||
Total Interest Rate Contracts | (787,623 | ) | ||||
|
| |||||
Total | ($ | 787,623 | ) | |||
|
|
The following table presents Income Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | ||||||
Interest Rate Contracts | $ | 280,055,526 | 20.3 | % |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Income Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | 24,146,820 | $ | 204,663,352 | $ | 200,196,786 | 28,613,386 | $ | 28,613,386 | $ | 129,326 | |||||||||||||
Cash Management Trust- Short Term Investment | 70,366,639 | 375,058,888 | 350,787,322 | 94,638,205 | 94,638,205 | 72,801 | ||||||||||||||||||
Total Value and Income Earned | $ | 94,513,459 | $ | 123,251,591 | $ | 202,127 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
177
Table of Contents
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (99.7%) | Value | ||||||
| Asset-Backed Securities (1.9%) |
| ||||||
Conseco Financial Corporation | ||||||||
$ | 5,307 | 6.330%, 11/1/2029 | $ | 5,407 | ||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
335,581 | 3.546%, 12/25/2036a | 241,440 | ||||||
First Horizon ABS Trust | ||||||||
324,647 | 0.582%, 10/25/2034b,c | 293,694 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
497,004 | 0.401%, 8/25/2035b,c | 464,960 | ||||||
802,240 | 0.401%, 12/25/2036b,c | 704,013 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
333,871 | 0.762%, 10/25/2036b,c | 209,626 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
555,264 | 0.712%, 12/22/2036*,c | 432,928 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
692,718 | 0.562%, 7/25/2037*,b,c | 591,325 | ||||||
|
| |||||||
Total | 2,943,393 | |||||||
|
| |||||||
| Basic Materials (0.9%) | |||||||
Albemarle Corporation | ||||||||
150,000 | 3.000%, 12/1/2019 | 147,129 | ||||||
Dow Chemical Company | ||||||||
27,000 | 7.375%, 11/1/2029 | 33,346 | ||||||
Freeport-McMoRan, Inc. | ||||||||
250,000 | 3.550%, 3/1/2022 | 145,000 | ||||||
Georgia-Pacific, LLC | ||||||||
360,000 | 2.539%, 11/15/2019d | 357,929 | ||||||
250,000 | 3.734%, 7/15/2023d | 252,890 | ||||||
Glencore Funding, LLC | ||||||||
175,000 | 1.377%, 4/16/2018c,d | 147,665 | ||||||
Mosaic Company | ||||||||
400,000 | 4.250%, 11/15/2023 | 396,170 | ||||||
|
| |||||||
Total | 1,480,129 | |||||||
|
| |||||||
| Capital Goods (0.7%) | |||||||
Lockheed Martin Corporation | ||||||||
290,000 | 1.850%, 11/23/2018 | 289,487 | ||||||
Pentair Finance SA | ||||||||
200,000 | 3.625%, 9/15/2020 | 199,803 | ||||||
Roper Industries, Inc. | ||||||||
300,000 | 1.850%, 11/15/2017 | 298,422 | ||||||
Textron, Inc. | ||||||||
250,000 | 3.875%, 3/1/2025 | 245,120 | ||||||
|
| |||||||
Total | 1,032,832 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.5%) | |||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
462,188 | 5.306%, 12/10/2046 | 470,422 | ||||||
Morgan Stanley Capital I | ||||||||
379,271 | 3.224%, 7/15/2049 | 382,554 | ||||||
UBS Commercial Mortgage Trust | ||||||||
750,000 | 3.400%, 5/10/2045 | 763,727 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
826,000 | 2.870%, 11/15/2045 | 818,066 | ||||||
|
| |||||||
Total | 2,434,769 | |||||||
|
| |||||||
| Communications Services (1.4%) |
| ||||||
America Movil SAB de CV | ||||||||
300,000 | 1.502%, 9/12/2016c | 299,996 | ||||||
American Tower Corporation | ||||||||
100,000 | 2.800%, 6/1/2020 | 98,849 | ||||||
British Sky Broadcasting Group plc | ||||||||
200,000 | 3.125%, 11/26/2022d | 194,164 | ||||||
CCO Safari II, LLC | ||||||||
211,000 | 3.579%, 7/23/2020d | 209,736 | ||||||
211,000 | 4.464%, 7/23/2022d | 210,264 | ||||||
Crown Castle Towers, LLC | ||||||||
500,000 | 4.174%, 8/15/2017d | 511,266 | ||||||
DIRECTV Holdings, LLC | ||||||||
250,000 | 1.750%, 1/15/2018 | 249,006 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
250,000 | 1.662%, 4/15/2018d | 250,067 | ||||||
Verizon Communications, Inc. | ||||||||
250,000 | 3.000%, 11/1/2021 | 249,297 | ||||||
|
| |||||||
Total | 2,272,645 | |||||||
|
| |||||||
| Consumer Cyclical (2.5%) | |||||||
Board of Trustees of The Leland Stanford Junior University | ||||||||
550,000 | 3.563%, 6/1/2044 | 514,345 | ||||||
California Institute of Technology | ||||||||
325,000 | 4.700%, 11/1/2111 | 312,619 | ||||||
CVS Health Corporation | ||||||||
150,000 | 2.250%, 8/12/2019 | 149,803 | ||||||
Daimler Finance North America, LLC | ||||||||
250,000 | 1.044%, 8/3/2017c,d | 249,708 | ||||||
27,000 | 8.500%, 1/18/2031 | 39,163 | ||||||
Dartmouth College | ||||||||
250,000 | 3.760%, 6/1/2043 | 237,907 | ||||||
Home Depot, Inc. | ||||||||
300,000 | 4.400%, 4/1/2021 | 330,366 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
200,000 | 4.375%, 9/1/2023 | 199,214 | ||||||
Massachusetts Institute of Technology | ||||||||
500,000 | 4.678%, 7/1/2114 | 515,875 | ||||||
President and Fellows of Harvard College | ||||||||
500,000 | 3.619%, 10/1/2037 | 487,016 | ||||||
Starbucks Corporation | ||||||||
200,000 | 3.850%, 10/1/2023 | 212,205 | ||||||
Wal-Mart Stores, Inc. | ||||||||
327,000 | 7.550%, 2/15/2030 | 461,000 | ||||||
Yale University | ||||||||
200,000 | 2.086%, 4/15/2019 | 201,696 | ||||||
|
| |||||||
Total | 3,910,917 | |||||||
|
| |||||||
| Consumer Non-Cyclical (4.6%) | |||||||
Actavis Funding SCS | ||||||||
350,000 | 1.757%, 3/12/2020c | 351,250 | ||||||
Altria Group, Inc. | ||||||||
240,000 | 4.000%, 1/31/2024 | 248,636 | ||||||
Amgen, Inc. | ||||||||
250,000 | 2.125%, 5/1/2020 | 246,591 | ||||||
BAT International Finance plc | ||||||||
350,000 | 1.022%, 6/15/2018c,d | 349,525 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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BOND INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (99.7%) | Value | ||||||
| Consumer Non-Cyclical (4.6%) - continued |
| ||||||
Bayer U.S. Finance, LLC | ||||||||
$ | 250,000 | 2.375%, 10/8/2019d | $ | 250,157 | ||||
Boston Scientific Corporation | ||||||||
300,000 | 6.000%, 1/15/2020 | 333,123 | ||||||
Bunge Limited Finance Corporation | ||||||||
225,000 | 3.500%, 11/24/2020 | 223,748 | ||||||
Cardinal Health, Inc. | ||||||||
195,000 | 1.950%, 6/15/2018 | 194,492 | ||||||
Cargill, Inc. | ||||||||
325,000 | 4.100%, 11/1/2042d | 296,328 | ||||||
Celgene Corporation | ||||||||
195,000 | 3.550%, 8/15/2022 | 196,896 | ||||||
Church & Dwight Company, Inc. | ||||||||
210,000 | 2.450%, 12/15/2019 | 208,903 | ||||||
Dr Pepper Snapple Group, Inc. | ||||||||
250,000 | 2.700%, 11/15/2022 | 240,337 | ||||||
Edwards Lifesciences Corporation | ||||||||
300,000 | 2.875%, 10/15/2018 | 303,481 | ||||||
EMD Finance, LLC | ||||||||
300,000 | 0.876%, 3/17/2017c,d | 299,080 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
200,000 | 2.875%, 5/10/2023 | 186,710 | ||||||
Gilead Sciences, Inc. | ||||||||
200,000 | 2.550%, 9/1/2020 | 199,924 | ||||||
200,000 | 3.250%, 9/1/2022 | 201,386 | ||||||
Imperial Tobacco Finance plc | ||||||||
250,000 | 3.750%, 7/21/2022d | 251,001 | ||||||
JM Smucker Company | ||||||||
225,000 | 2.500%, 3/15/2020 | 223,397 | ||||||
Laboratory Corporation of America Holdings | ||||||||
255,000 | 2.625%, 2/1/2020 | 251,750 | ||||||
McKesson Corporation | ||||||||
275,000 | 2.700%, 12/15/2022 | 261,830 | ||||||
Mead Johnson Nutrition Company | ||||||||
200,000 | 3.000%, 11/15/2020 | 199,940 | ||||||
Mylan NV | ||||||||
300,000 | 3.750%, 12/15/2020d | 300,314 | ||||||
PepsiCo, Inc. | ||||||||
200,000 | 1.850%, 4/30/2020 | 197,706 | ||||||
Reynolds American, Inc. | ||||||||
150,000 | 3.250%, 6/12/2020 | 152,446 | ||||||
Sanofi | ||||||||
250,000 | 1.250%, 4/10/2018 | 248,907 | ||||||
Unilever Capital Corporation | ||||||||
300,000 | 2.200%, 3/6/2019 | 304,464 | ||||||
350,000 | 2.100%, 7/30/2020 | 348,509 | ||||||
Zoetis, Inc. | ||||||||
225,000 | 3.450%, 11/13/2020 | 225,262 | ||||||
|
| |||||||
Total | 7,296,093 | |||||||
|
| |||||||
| Energy (1.3%) | |||||||
Cameron International Corporation | ||||||||
150,000 | 1.400%, 6/15/2017 | 147,873 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
325,000 | 4.700%, 11/1/2042 | 228,687 | ||||||
Exxon Mobil Corporation | ||||||||
250,000 | 0.822%, 3/6/2022c | 245,707 | ||||||
Marathon Petroleum Corporation | ||||||||
250,000 | 3.400%, 12/15/2020 | 245,521 | ||||||
Petro-Canada | ||||||||
150,000 | 6.800%, 5/15/2038 | 164,007 | ||||||
Petroleos Mexicanos | ||||||||
285,000 | 2.378%, 4/15/2025 | 284,527 | ||||||
Pioneer Natural Resources Company | ||||||||
216,000 | 3.450%, 1/15/2021 | 199,444 | ||||||
Schlumberger Holdings Corporation | ||||||||
250,000 | 3.000%, 12/21/2020d | 246,770 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
300,000 | 4.400%, 4/1/2021 | 290,721 | ||||||
|
| |||||||
Total | 2,053,257 | |||||||
|
| |||||||
| Financials (8.9%) | |||||||
ABN AMRO Bank NV | ||||||||
300,000 | 2.450%, 6/4/2020d | 297,424 | ||||||
ACE INA Holdings, Inc. | ||||||||
350,000 | 2.875%, 11/3/2022 | 347,344 | ||||||
Aflac, Inc. | ||||||||
250,000 | 2.400%, 3/16/2020 | 251,320 | ||||||
American International Group, Inc. | ||||||||
200,000 | 2.300%, 7/16/2019 | 198,306 | ||||||
American Tower Trust I | ||||||||
225,000 | 1.551%, 3/15/2018* | 219,719 | ||||||
AXA SA | ||||||||
27,000 | 8.600%, 12/15/2030 | 36,281 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
500,000 | 1.750%, 3/24/2020d,e | 495,665 | ||||||
Bank of America Corporation | ||||||||
250,000 | 1.700%, 8/25/2017 | 249,285 | ||||||
Bank of England | ||||||||
1,000,000 | 0.875%, 3/17/2017d,e | 998,130 | ||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||
205,000 | 2.850%, 9/8/2021d | 204,187 | ||||||
Boston Properties, LP | ||||||||
300,000 | 3.125%, 9/1/2023 | 292,085 | ||||||
Chubb Corporation | ||||||||
350,000 | 6.500%, 5/15/2038 | 452,653 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
50,000 | 4.625%, 12/1/2023 | 52,107 | ||||||
Duke Realty, LP | ||||||||
250,000 | 3.875%, 10/15/2022 | 251,152 | ||||||
European Investment Bank | ||||||||
500,000 | 1.250%, 5/15/2018 | 498,136 | ||||||
Fifth Third Bancorp | ||||||||
200,000 | 2.875%, 10/1/2021 | 199,195 | ||||||
Finnvera Oyj | ||||||||
400,000 | 2.375%, 6/4/2025d | 387,036 | ||||||
HCP, Inc. | ||||||||
250,000 | 4.000%, 12/1/2022 | 248,844 | ||||||
HSBC Holdings plc | ||||||||
300,000 | 6.800%, 6/1/2038 | 373,425 | ||||||
ING Bank NV | ||||||||
400,000 | 2.625%, 12/5/2022d | 393,333 | ||||||
J.P. Morgan Chase & Company | ||||||||
250,000 | 1.220%, 1/25/2018c | 250,514 | ||||||
250,000 | 2.250%, 1/23/2020 | 245,945 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
179
Table of Contents
BOND INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (99.7%) | Value | ||||||
| Financials (8.9%) - continued |
| ||||||
Liberty Mutual Group, Inc. | ||||||||
150,000 | 4.950%, 5/1/2022d | $ | 158,998 | |||||
200,000 | 4.250%, 6/15/2023d | 203,214 | ||||||
Lloyds Bank plc | ||||||||
365,000 | 1.038%, 3/16/2018c | 363,068 | ||||||
Marsh & McLennan Companies, Inc. | ||||||||
400,000 | 2.550%, 10/15/2018 | 403,810 | ||||||
MassMutual Global Funding II | ||||||||
350,000 | 2.000%, 4/5/2017d | 352,426 | ||||||
MetLife, Inc. | ||||||||
200,000 | 4.368%, 9/15/2023 | 214,739 | ||||||
Morgan Stanley | ||||||||
250,000 | 5.000%, 11/24/2025 | 265,387 | ||||||
National Australia Bank, Ltd. | ||||||||
325,000 | 2.000%, 6/20/2017d | 327,727 | ||||||
New York Life Global Funding | ||||||||
350,000 | 1.550%, 11/2/2018d | 347,149 | ||||||
Nordea Bank AB | ||||||||
325,000 | 3.125%, 3/20/2017d | 331,412 | ||||||
North American Development Bank | ||||||||
400,000 | 2.300%, 10/10/2018 | 402,756 | ||||||
PNC Financial Services Group, Inc. | ||||||||
325,000 | 2.854%, 11/9/2022 | 320,850 | ||||||
Prudential Financial, Inc. | ||||||||
200,000 | 2.350%, 8/15/2019 | 199,054 | ||||||
Realty Income Corporation | ||||||||
300,000 | 2.000%, 1/31/2018 | 300,171 | ||||||
Reliance Standard Life Global Funding II | ||||||||
240,000 | 2.500%, 4/24/2019d | 239,057 | ||||||
Simon Property Group, LP | ||||||||
250,000 | 2.500%, 9/1/2020 | 250,193 | ||||||
Standard Chartered plc | ||||||||
200,000 | 3.950%, 1/11/2023d | 192,400 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
250,000 | 4.436%, 4/2/2024d | 256,840 | ||||||
Svensk Exportkredit AB | ||||||||
500,000 | 1.750%, 8/28/2020 | 491,081 | ||||||
Svenska Handelsbanken AB | ||||||||
125,000 | 1.625%, 3/21/2018 | 124,445 | ||||||
Swedbank AB | ||||||||
300,000 | 1.750%, 3/12/2018d | 298,293 | ||||||
Synchrony Financial | ||||||||
215,000 | 3.000%, 8/15/2019 | 214,702 | ||||||
Toronto-Dominion Bank | ||||||||
250,000 | 1.432%, 12/14/2020c | 249,942 | ||||||
UBS AG | ||||||||
250,000 | 1.303%, 3/26/2018c | 249,537 | ||||||
UnitedHealth Group, Inc. | ||||||||
165,000 | 3.350%, 7/15/2022 | 168,769 | ||||||
Washington Mutual Bank | ||||||||
500,000 | 5.500%, 1/15/2013f,g | 1 | ||||||
Wells Fargo & Company | ||||||||
150,000 | 3.450%, 2/13/2023 | 150,353 | ||||||
|
| |||||||
Total | 14,018,460 | |||||||
|
| |||||||
| Foreign Government (3.4%) | |||||||
Chile Government International Bond | ||||||||
350,000 | 3.875%, 8/5/2020 | 373,275 | ||||||
Export Development Canada | ||||||||
150,000 | 0.750%, 12/15/2017 | 148,709 | ||||||
Export-Import Bank of Korea | ||||||||
200,000 | 2.250%, 1/21/2020 | 196,930 | ||||||
Hashemite Kingdom of Jordan | ||||||||
500,000 | 2.503%, 10/30/2020 | 512,513 | ||||||
Inter-American Development Bank | ||||||||
500,000 | 3.000%, 10/4/2023 | 527,889 | ||||||
400,000 | 4.375%, 1/24/2044 | 468,906 | ||||||
Kommunalbanken AS | ||||||||
495,000 | 1.500%, 10/22/2019d | 488,919 | ||||||
Kommuninvest I Sverige AB | ||||||||
300,000 | 1.000%, 10/24/2017d | 298,426 | ||||||
Mexico Government International Bond | ||||||||
100,000 | 3.500%, 1/21/2021 | 101,500 | ||||||
250,000 | 3.600%, 1/30/2025 | 243,625 | ||||||
Poland Government International Bond | ||||||||
250,000 | 4.000%, 1/22/2024 | 263,000 | ||||||
Province of Manitoba | ||||||||
600,000 | 1.300%, 4/3/2017 | 600,592 | ||||||
Province of New Brunswick | ||||||||
125,000 | 2.750%, 6/15/2018 | 128,304 | ||||||
Province of Quebec | ||||||||
400,000 | 7.500%, 7/15/2023 | 522,555 | ||||||
Sweden Government International Bond | ||||||||
500,000 | 1.625%, 3/24/2020d | 496,800 | ||||||
|
| |||||||
Total | 5,371,943 | |||||||
|
| |||||||
| Mortgage-Backed Securities (29.1%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
71 | 6.500%, 3/1/2016 | 71 | ||||||
507 | 6.000%, 6/1/2016 | 510 | ||||||
491 | 6.000%, 9/1/2016 | 495 | ||||||
18,827 | 7.000%, 6/1/2017 | 19,277 | ||||||
18,902 | 5.500%, 12/1/2017 | 19,374 | ||||||
2,087,500 | 3.000%, 1/1/2031h | 2,151,114 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
5,740 | 8.500%, 11/1/2025 | 6,005 | ||||||
459 | 8.000%, 1/1/2026 | 514 | ||||||
2,987,500 | 4.000%, 1/1/2046h | 3,155,955 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
4,650,000 | 3.500%, 1/1/2030h | 4,869,606 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
1,302 | 10.500%, 8/1/2020 | 1,418 | ||||||
1,034 | 8.000%, 12/1/2024 | 1,152 | ||||||
151 | 8.500%, 12/1/2025 | 151 | ||||||
1,190 | 8.000%, 9/1/2026 | 1,230 | ||||||
1,870 | 8.000%, 4/1/2030 | 2,320 | ||||||
14,245,000 | 3.500%, 1/1/2046h | 14,696,897 | ||||||
11,062,500 | 4.000%, 1/1/2046h | 11,706,027 | ||||||
8,400,000 | 4.500%, 1/1/2046h | 9,070,950 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
180
Table of Contents
BOND INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (99.7%) | Value | ||||||
| Mortgage-Backed Securities (29.1%) - continued |
| ||||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||||
$ | 3,013 | 7.500%, 3/15/2023 | $ | 3,024 | ||||
1,795 | 9.000%, 9/15/2024 | 2,033 | ||||||
2,006 | 8.000%, 6/15/2025 | 2,067 | ||||||
594 | 8.000%, 9/15/2026 | 613 | ||||||
6,576 | 7.500%, 10/15/2027 | 6,745 | ||||||
7,771 | 7.500%, 11/15/2028 | 7,842 | ||||||
3,619 | 8.000%, 10/15/2030 | 4,115 | ||||||
2,902 | 7.500%, 1/15/2031 | 3,110 | ||||||
|
| |||||||
Total | 45,732,615 | |||||||
|
| |||||||
| Technology (1.2%) | |||||||
Amphenol Corporation | ||||||||
200,000 | 2.550%, 1/30/2019 | 200,035 | ||||||
Apple, Inc. | ||||||||
400,000 | 2.400%, 5/3/2023 | 389,747 | ||||||
Automatic Data Processing, Inc. | ||||||||
150,000 | 2.250%, 9/15/2020 | 150,568 | ||||||
Cisco Systems, Inc. | ||||||||
350,000 | 0.914%, 3/1/2019c | 349,686 | ||||||
Intel Corporation | ||||||||
140,000 | 3.100%, 7/29/2022 | 142,760 | ||||||
Motorola Solutions, Inc. | ||||||||
250,000 | 3.500%, 3/1/2023 | 219,311 | ||||||
Oracle Corporation | ||||||||
250,000 | 2.500%, 5/15/2022 | 245,378 | ||||||
Texas Instruments, Inc. | ||||||||
200,000 | 1.750%, 5/1/2020 | 194,820 | ||||||
|
| |||||||
Total | 1,892,305 | |||||||
|
| |||||||
| Transportation (0.8%) | |||||||
American Airlines Pass Through Trust | ||||||||
174,643 | 5.600%, 7/15/2020d | 178,136 | ||||||
Continental Airlines, Inc. | ||||||||
306,933 | 4.150%, 4/11/2024 | 314,914 | ||||||
Delta Air Lines, Inc. | ||||||||
174,702 | 4.950%, 5/23/2019 | 183,437 | ||||||
J.B. Hunt Transport Services, Inc. | ||||||||
220,000 | 3.300%, 8/15/2022 | 217,878 | ||||||
TTX Company | ||||||||
300,000 | 4.125%, 10/1/2023* | 312,840 | ||||||
|
| |||||||
Total | 1,207,205 | |||||||
|
| |||||||
| U.S. Government and Agencies (38.1%) | |||||||
Federal Farm Credit Bank | ||||||||
400,000 | 2.210%, 8/1/2024 | 394,396 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
1,000,000 | 1.250%, 8/1/2019 | 988,878 | ||||||
325,000 | 1.250%, 10/2/2019 | 320,570 | ||||||
350,000 | 6.750%, 3/15/2031 | 501,746 | ||||||
Federal National Mortgage Association | ||||||||
190,000 | 1.750%, 11/26/2019 | 190,975 | ||||||
1,000,000 | 1.875%, 12/28/2020 | 999,458 | ||||||
1,300,000 | 2.625%, 9/6/2024 | 1,313,727 | ||||||
500,000 | 5.960%, 9/11/2028 | 658,494 | ||||||
100,000 | 6.250%, 5/15/2029 | 135,577 | ||||||
Resolution Funding Corporation | ||||||||
200,000 | 8.125%, 10/15/2019 | 246,451 | ||||||
Tennessee Valley Authority | ||||||||
350,000 | 5.250%, 9/15/2039 | 420,663 | ||||||
U.S. Treasury Bonds | ||||||||
2,500,000 | 5.250%, 11/15/2028 | 3,266,308 | ||||||
500,000 | 5.375%, 2/15/2031 | 678,028 | ||||||
4,425,000 | 3.000%, 5/15/2042 | 4,452,311 | ||||||
U.S. Treasury Notes | ||||||||
17,125,000 | 0.875%, 11/15/2017 | 17,065,456 | ||||||
150,000 | 1.500%, 10/31/2019 | 149,531 | ||||||
9,460,000 | 1.875%, 6/30/2020 | 9,526,144 | ||||||
1,000,000 | 2.000%, 7/31/2020 | 1,011,484 | ||||||
1,000,000 | 2.250%, 7/31/2021 | 1,018,750 | ||||||
1,000,000 | 2.125%, 9/30/2021 | 1,010,547 | ||||||
1,750,000 | 2.125%, 6/30/2022 | 1,759,023 | ||||||
2,825,000 | 1.625%, 8/15/2022 | 2,751,615 | ||||||
5,650,000 | 2.250%, 11/15/2024 | 5,647,130 | ||||||
4,800,000 | 3.625%, 2/15/2044 | 5,399,626 | ||||||
|
| |||||||
Total | 59,906,888 | |||||||
|
| |||||||
| Utilities (3.4%) | |||||||
Ameren Corporation | ||||||||
225,000 | 2.700%, 11/15/2020 | 224,143 | ||||||
American Electric Power Company, Inc. | ||||||||
300,000 | 1.650%, 12/15/2017 | 297,780 | ||||||
Berkshire Hathaway Energy Company | ||||||||
200,000 | 2.400%, 2/1/2020 | 198,134 | ||||||
CenterPoint Energy Houston Electric, LLC | ||||||||
400,000 | 5.600%, 7/1/2023 | 460,294 | ||||||
Commonwealth Edison Company | ||||||||
275,000 | 5.900%, 3/15/2036 | 331,791 | ||||||
DTE Energy Company | ||||||||
100,000 | 2.400%, 12/1/2019 | 99,576 | ||||||
Eversource Energy | ||||||||
230,000 | 1.600%, 1/15/2018 | 227,570 | ||||||
Exelon Generation Company, LLC | ||||||||
200,000 | 2.950%, 1/15/2020 | 199,281 | ||||||
Kansas City Power & Light Company | ||||||||
250,000 | 3.150%, 3/15/2023 | 245,004 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
28,000 | 4.023%, 11/1/2032 | 27,543 | ||||||
NiSource Finance Corporation | ||||||||
350,000 | 3.850%, 2/15/2023 | 356,797 | ||||||
NSTAR Electric Company | ||||||||
325,000 | 2.375%, 10/15/2022 | 312,703 | ||||||
PPL Capital Funding, Inc. | ||||||||
325,000 | 3.500%, 12/1/2022 | 327,411 | ||||||
Public Service Company of Colorado | ||||||||
350,000 | 3.600%, 9/15/2042 | 319,148 | ||||||
Public Service Electric And Gas Company | ||||||||
360,000 | 1.800%, 6/1/2019 | 356,293 | ||||||
Sempra Energy | ||||||||
325,000 | 2.300%, 4/1/2017 | 326,890 | ||||||
265,000 | 2.400%, 3/15/2020 | 259,724 | ||||||
Southern California Edison Company | ||||||||
155,000 | 2.400%, 2/1/2022 | 151,996 | ||||||
Southern California Gas Company | ||||||||
325,000 | 3.750%, 9/15/2042 | 303,025 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
181
Table of Contents
BOND INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (99.7%) | Value | ||||||
| Utilities (3.4%) - continued | |||||||
Xcel Energy, Inc. | ||||||||
$ | 250,000 | 1.200%, 6/1/2017 | $ | 248,731 | ||||
|
| |||||||
Total | 5,273,834 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $156,629,753) | 156,827,285 | |||||||
|
| |||||||
Shares | Collateral Held for Securities Loaned (0.5%) | |||||||
815,750 | Thrivent Cash Management Trust | 815,750 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $815,750) | 815,750 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (29.0%)i | |||||||
Thrivent Cash Management Trust | ||||||||
45,346,506 | 0.220% | 45,346,506 | ||||||
U.S. Treasury Bills | ||||||||
300,000 | 0.190%, 1/7/2016 | 299,991 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 45,646,497 | |||||||
|
| |||||||
Total Investments (cost $203,092,000) 129.2% | $ | 203,289,532 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (29.2%) | (45,995,999 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 157,293,533 | ||||||
|
|
a | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
b | All or a portion of the security is insured or guaranteed. |
c | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $11,322,436 or 7.2% of total net assets. |
e | All or a portion of the security is on loan. |
f | Defaulted security. Interest is not being accrued. |
g | Security is valued at fair value. Market quotations or prices were not readily available or were determined to be unreliable. Fair value was determined in good faith pursuant to procedures adopted by the Board. Further information on fair valuation can be found in the Notes to Financial Statements. |
h | Denotes investments purchased on a when-issued or delayed delivery basis. |
i | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Bond Index Portfolio as of December 31, 2015 was $1,556,812 or 1.0% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
American Tower Trust I, 3/15/2018 | 3/6/2013 | $ | 225,000 | |||||
Preferred Term Securities XXIII, Ltd., 12/22/2036 | 9/14/2006 | 555,264 | ||||||
TTX Company, 10/1/2023 | 9/19/2013 | 299,997 | ||||||
Wachovia Asset Securitization, Inc., 7/25/2037 | 3/16/2007 | 692,718 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Bond Index Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Taxable Debt Security | $ | 796,464 | ||
|
| |||
Total lending | $ | 796,464 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 815,750 | ||
|
| |||
Net amounts due to counterparty | $ | 19,286 | ||
|
|
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 2,219,630 | ||
Gross unrealized depreciation | (2,170,620 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 49,010 | ||
Cost for federal income tax purposes | $ | 203,240,522 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
182
Table of Contents
BOND INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Bond Index Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 2,943,393 | — | 2,943,393 | — | ||||||||||||
Basic Materials | 1,480,129 | — | 1,480,129 | — | ||||||||||||
Capital Goods | 1,032,832 | — | 1,032,832 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 2,434,769 | — | 2,434,769 | — | ||||||||||||
Communications Services | 2,272,645 | — | 2,272,645 | — | ||||||||||||
Consumer Cyclical | 3,910,917 | — | 3,910,917 | — | ||||||||||||
Consumer Non-Cyclical | 7,296,093 | — | 7,296,093 | — | ||||||||||||
Energy | 2,053,257 | — | 2,053,257 | — | ||||||||||||
Financials | 14,018,460 | — | 14,018,459 | 1 | ||||||||||||
Foreign Government | 5,371,943 | — | 5,371,943 | — | ||||||||||||
Mortgage-Backed Securities | 45,732,615 | — | 45,732,615 | — | ||||||||||||
Technology | 1,892,305 | — | 1,892,305 | — | ||||||||||||
Transportation | 1,207,205 | — | 1,207,205 | — | ||||||||||||
U.S. Government and Agencies | 59,906,888 | — | 59,906,888 | — | ||||||||||||
Utilities | 5,273,834 | — | 5,273,834 | — | ||||||||||||
Collateral Held for Securities Loaned | 815,750 | 815,750 | — | — | ||||||||||||
Short-Term Investments | 45,646,497 | 45,346,506 | 299,991 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 203,289,532 | $ | 46,162,256 | $ | 157,127,275 | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Bond Index Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust- Collateral Investment | $ | — | $ | 826,250 | $ | 10,500 | 815,750 | $ | 815,750 | $ | 249 | |||||||||||||
Cash Management Trust- Short Term Investment | 43,462,896 | 41,583,190 | 39,699,580 | 45,346,506 | 45,346,506 | 38,522 | ||||||||||||||||||
Total Value and Income Earned | $ | 43,462,896 | $ | 46,162,256 | $ | 38,771 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
183
Table of Contents
LIMITED MATURITY BOND PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (3.4%) | Value | % of Net Assets | |||||||||
| Basic Materials (0.1%) |
| ||||||||||
Other Securities^ | $ | 770,835 | 0.1 | % | ||||||||
|
| |||||||||||
Total | 770,835 | |||||||||||
|
| |||||||||||
| Capital Goods (0.3%) | |||||||||||
Other Securities^ | 2,565,455 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 2,565,455 | |||||||||||
|
| |||||||||||
| Communications Services (0.7%) | |||||||||||
Other Securities^ | 6,107,935 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 6,107,935 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (1.0%) | |||||||||||
Other Securities^ | 8,032,405 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 8,032,405 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (0.4%) | |||||||||||
Other Securities^ | 3,056,546 | 0.4 | % | |||||||||
|
| |||||||||||
Total | 3,056,546 | |||||||||||
|
| |||||||||||
| Energy (0.1%) | |||||||||||
Other Securities^ | 897,532 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 897,532 | |||||||||||
|
| |||||||||||
| Financials (0.2%) | |||||||||||
Other Securities^ | 1,481,642 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 1,481,642 | |||||||||||
|
| |||||||||||
| Technology (0.3%) | |||||||||||
Other Securities^ | 2,288,979 | 0.3 | % | |||||||||
|
| |||||||||||
Total | 2,288,979 | |||||||||||
|
| |||||||||||
| Transportation (0.2%) | |||||||||||
Other Securities^ | 1,328,350 | 0.2 | % | |||||||||
|
| |||||||||||
Total | 1,328,350 | |||||||||||
|
| |||||||||||
| Utilities (0.1%) | |||||||||||
Other Securities^ | 1,296,375 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 1,296,375 | |||||||||||
|
| |||||||||||
Total Bank Loans (cost $30,656,007) | 27,826,054 | |||||||||||
|
| |||||||||||
Long-Term Fixed Income (91.7%) | ||||||||||||
| Asset-Backed Securities (13.9%) | |||||||||||
BA Credit Card Trust | ||||||||||||
$ | 4,800,000 | 0.711%, 6/15/2021a | 4,791,700 | 0.6 | % | |||||||
Betony CLO, Ltd. | ||||||||||||
3,425,000 | 1.831%, 4/15/2027*,a | 3,387,875 | 0.4 | % | ||||||||
Chase Issuance Trust | ||||||||||||
3,700,000 | 1.590%, 2/18/2020 | 3,699,485 | 0.5 | % | ||||||||
Citibank Credit Card Issuance Trust | ||||||||||||
5,225,000 | 1.020%, 2/22/2019 | 5,212,482 | 0.6 | % | ||||||||
Ford Credit Auto Owner Trust | ||||||||||||
3,575,000 | 2.260%, 11/15/2025b | 3,603,838 | 0.4 | % | ||||||||
Golden Credit Card Trust | ||||||||||||
7,200,000 | 0.581%, 2/15/2018a,b | 7,198,218 | 0.9 | % | ||||||||
1,000,000 | 0.761%, 9/15/2018a,b | 999,474 | 0.1 | % | ||||||||
GoldenTree Loan Opportunities IX, Ltd. | ||||||||||||
3,750,000 | 1.804%, 10/29/2026*,a | 3,708,644 | 0.5 | % | ||||||||
Mortgage Equity Conversion Asset Trust | ||||||||||||
4,381,572 | 1.140%, 1/25/2042*,a | 3,724,336 | 0.5 | % | ||||||||
4,433,200 | 0.810%, 2/25/2042*,a | 3,768,220 | 0.5 | % | ||||||||
OZLM VIII, Ltd. | ||||||||||||
3,760,000 | 1.755%, 10/17/2026*,a | 3,716,914 | 0.4 | % | ||||||||
SLM Student Loan Trust | ||||||||||||
4,345,650 | 0.942%, 3/25/2026a | 4,289,858 | 0.5 | % | ||||||||
World Financial Network Credit Card Master Trust | ||||||||||||
4,000,000 | 0.910%, 3/16/2020 | 3,996,788 | 0.5 | % | ||||||||
World Omni Master Owner Trust | ||||||||||||
5,400,000 | 0.681%, 2/15/2018a,b | 5,399,083 | 0.7 | % | ||||||||
Other Securities^ | 56,354,632 | 6.8 | % | |||||||||
|
| |||||||||||
Total | 113,851,547 | |||||||||||
|
| |||||||||||
| Basic Materials (0.8%) | |||||||||||
Other Securities^ | 6,603,355 | 0.8 | % | |||||||||
|
| |||||||||||
Total | 6,603,355 | |||||||||||
|
| |||||||||||
| Capital Goods (0.7%) | |||||||||||
Other Securities^ | 5,875,982 | 0.7 | % | |||||||||
|
| |||||||||||
Total | 5,875,982 | |||||||||||
|
| |||||||||||
| Collateralized Mortgage Obligations (11.4%) | |||||||||||
Alm Loan Funding CLO | ||||||||||||
3,760,000 | 1.745%, 10/17/2026*,a | 3,718,462 | 0.4 | % | ||||||||
Apidos CLO XVIII | ||||||||||||
3,775,000 | 1.732%, 7/22/2026*,a | 3,745,143 | 0.5 | % | ||||||||
Babson CLO, Ltd. | ||||||||||||
3,760,000 | 1.707%, 10/17/2026*,a | 3,703,730 | 0.4 | % | ||||||||
Birchwood Park CLO, Ltd. | ||||||||||||
3,760,000 | 1.761%, 7/15/2026*,a | 3,719,485 | 0.4 | % | ||||||||
BlueMountain CLO, Ltd. | ||||||||||||
3,760,000 | 1.801%, 10/15/2026*,a | 3,726,100 | 0.5 | % | ||||||||
Carlyle Global Market Strategies CLO, Ltd. | ||||||||||||
3,750,000 | 1.617%, 7/20/2023*,a | 3,732,619 | 0.5 | % | ||||||||
3,750,000 | 1.821%, 10/15/2026*,a | 3,721,936 | 0.5 | % | ||||||||
Cent CLO 16, LP | ||||||||||||
3,760,000 | 1.579%, 8/1/2024*,a | 3,745,307 | 0.5 | % | ||||||||
Cent CLO 22, Ltd. | ||||||||||||
3,750,000 | 1.824%, 11/7/2026*,a | 3,704,974 | 0.4 | % | ||||||||
Countrywide Alternative Loan Trust | ||||||||||||
1,199,870 | 5.500% - 5.500%, 11/25/2035 - 2/25/2036 | 1,160,733 | 0.2 | % | ||||||||
Countrywide Home Loans, Inc. | ||||||||||||
1,636,506 | 2.526%, 3/20/2036 | 1,409,951 | 0.2 | % | ||||||||
Dryden 34 Senior Loan Fund CLO | ||||||||||||
3,760,000 | 1.751%, 10/15/2026*,a | 3,718,446 | 0.4 | % | ||||||||
Madison Park Funding XIV CLO, Ltd. | ||||||||||||
4,150,000 | 1.767%, 7/20/2026*,a | 4,109,705 | 0.5 | % | ||||||||
Octagon Investment Partners XX CLO, Ltd. | ||||||||||||
3,760,000 | 1.796%, 8/12/2026*,a | 3,711,042 | 0.4 | % | ||||||||
Symphony CLO VIII, Ltd. | ||||||||||||
3,678,677 | 1.419%, 1/9/2023*,a | 3,664,863 | 0.4 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
184
Table of Contents
LIMITED MATURITY BOND PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (91.7%) | Value | % of Net Assets | |||||||||
| Collateralized Mortgage Obligations (11.4%) - continued |
| ||||||||||
Voya CLO 3, Ltd. | ||||||||||||
$3,760,000 | 1.740%, 7/25/2026*,a | $ | 3,718,584 | 0.4 | % | |||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||
3,575,000 | 2.632%, 5/15/2048 | 3,601,546 | 0.4 | % | ||||||||
Other Securities^ | 35,731,743 | 4.4 | % | |||||||||
|
| |||||||||||
Total | 94,344,369 | |||||||||||
|
| |||||||||||
| Commercial Mortgage-Backed Securities (5.2%) | |||||||||||
Commercial Mortgage Pass- Through Certificates | ||||||||||||
5,000,000 | 1.326%, 6/8/2030a,b | 4,993,928 | 0.6 | % | ||||||||
Credit Suisse First Boston Mortgage Securities | ||||||||||||
4,460,000 | 5.542%, 1/15/2049 | 4,560,084 | 0.5 | % | ||||||||
Federal National Mortgage Association | ||||||||||||
1,855,813 | 1.272%, 1/25/2017 | 1,855,884 | 0.2 | % | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||||||
4,500,000 | 1.281%, 12/15/2028a,b | 4,499,806 | 0.5 | % | ||||||||
6,193,844 | 5.429%, 12/12/2043 | 6,297,658 | 0.8 | % | ||||||||
Other Securities^ | 20,783,812 | 2.6 | % | |||||||||
|
| |||||||||||
Total | 42,991,172 | |||||||||||
|
| |||||||||||
| Communications Services (3.0%) | |||||||||||
Other Securities^ | 24,427,268 | 3.0 | % | |||||||||
|
| |||||||||||
Total | 24,427,268 | |||||||||||
|
| |||||||||||
| Consumer Cyclical (1.0%) | |||||||||||
Other Securities^ | 8,540,217 | 1.0 | % | |||||||||
|
| |||||||||||
Total | 8,540,217 | |||||||||||
|
| |||||||||||
| Consumer Non-Cyclical (6.4%) | |||||||||||
Unilever Capital Corporation | ||||||||||||
3,650,000 | 2.100%, 7/30/2020c | 3,634,451 | 0.4 | % | ||||||||
Other Securities^ | 49,072,691 | 6.0 | % | |||||||||
|
| |||||||||||
Total | 52,707,142 | |||||||||||
|
| |||||||||||
| Energy (2.7%) | |||||||||||
Other Securities^ | 22,463,168 | 2.7 | % | |||||||||
|
| |||||||||||
Total | 22,463,168 | |||||||||||
|
| |||||||||||
| Financials (18.5%) | |||||||||||
Bank of America Corporation | ||||||||||||
8,200,000 | 1.196% - 6.100%, 8/25/2017 - 12/29/2049a,d | 8,183,525 | 0.9 | % | ||||||||
Bank of America NA | ||||||||||||
2,000,000 | 5.300%, 3/15/2017 | 2,080,550 | 0.3 | % | ||||||||
Bear Stearns Companies, LLC | ||||||||||||
2,500,000 | 6.400%, 10/2/2017 | 2,692,317 | 0.3 | % | ||||||||
J.P. Morgan Chase & Company | ||||||||||||
4,000,000 | 1.220%, 1/25/2018a | 4,008,228 | 0.5 | % | ||||||||
4,950,000 | 2.250% - 7.900%, 1/23/2020 - 4/29/2049d | 4,938,519 | 0.6 | % | ||||||||
Japan Bank for International Cooperation | ||||||||||||
4,000,000 | 1.750%, 7/31/2018 | 3,991,056 | 0.5 | % | ||||||||
Metropolitan Life Global Funding I | ||||||||||||
3,250,000 | 3.650%, 6/14/2018b | 3,383,042 | 0.4 | % | ||||||||
Svensk Exportkredit AB | ||||||||||||
3,500,000 | 0.616%, 1/23/2017a | 3,503,861 | 0.4 | % | ||||||||
Wells Fargo & Company | ||||||||||||
5,280,000 | 1.002% - 5.875%, 1/30/2020 - 12/31/2049a,d | 5,330,188 | 0.6 | % | ||||||||
Other Securities^ | 114,457,500 | 14.0 | % | |||||||||
|
| |||||||||||
Total | 152,568,786 | |||||||||||
|
| |||||||||||
| Foreign Government (0.9%) | |||||||||||
Kommunalbanken AS | ||||||||||||
3,500,000 | 1.500%, 10/22/2019b | 3,457,006 | 0.4 | % | ||||||||
Other Securities^ | 4,289,807 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 7,746,813 | |||||||||||
|
| |||||||||||
| Mortgage-Backed Securities (3.6%) | |||||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||||||
3,000,000 | 3.000%, 1/1/2031e | 3,091,421 | 0.4 | % | ||||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||||||
3,559,913 | 4.000% - 6.500%, 9/1/2037 - 1/1/2046e | 3,806,820 | 0.5 | % | ||||||||
Federal National Mortgage Association Conventional 15- Yr. Pass Through | ||||||||||||
8,350,000 | 3.500%, 1/1/2030e | 8,744,345 | 1.1 | % | ||||||||
2,932,780 | 2.250%, 6/25/2025 | 2,977,125 | 0.4 | % | ||||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||||||
3,541,297 | 2.069%, 1/1/2043a | 3,627,836 | 0.4 | % | ||||||||
5,923,074 | 1.728%, 7/1/2043a | 6,022,372 | 0.7 | % | ||||||||
1,189,308 | 5.196% - 5.559%, 9/1/2037 - 10/1/2037a | 1,246,069 | 0.1 | % | ||||||||
|
| |||||||||||
Total | 29,515,988 | |||||||||||
|
| |||||||||||
| Technology (2.0%) | |||||||||||
Other Securities^ | 16,143,475 | 2.0 | % | |||||||||
|
| |||||||||||
Total | 16,143,475 | |||||||||||
|
| |||||||||||
| Transportation (1.7%) | |||||||||||
Other Securities^ | 14,075,905 | 1.7 | % | |||||||||
|
| |||||||||||
Total | 14,075,905 | |||||||||||
|
| |||||||||||
| U.S. Government and Agencies (17.3%) | |||||||||||
Federal Home Loan Mortgage Corporation | ||||||||||||
500,000 | 1.250%, 8/1/2019 | 494,439 | 0.1 | % | ||||||||
Federal National Mortgage Association | ||||||||||||
4,000,000 | 1.875%, 12/28/2020c | 3,997,832 | 0.5 | % | ||||||||
U.S. Treasury Bonds | ||||||||||||
8,000,000 | 5.375%, 2/15/2031 | 10,848,440 | 1.3 | % | ||||||||
2,200,000 | 3.000%, 5/15/2042 | 2,213,578 | 0.3 | % | ||||||||
U.S. Treasury Bonds, TIPS | ||||||||||||
19,285,570 | 0.125%, 4/15/2019 | 19,172,325 | 2.3 | % |
The accompanying Notes to Financial Statements are an integral part of this schedule.
185
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LIMITED MATURITY BOND PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (91.7%) | Value | % of Net Assets | |||||||||
| U.S. Government and Agencies (17.3%) - continued |
| ||||||||||
U.S. Treasury Notes | ||||||||||||
$ | 12,350,000 | 1.500%, 10/31/2019 | $ | 12,311,406 | 1.5 | % | ||||||
52,570,000 | 1.875%, 6/30/2020 | 52,937,570 | 6.4 | % | ||||||||
10,150,000 | 2.125%, 6/30/2022 | 10,202,333 | 1.2 | % | ||||||||
8,300,000 | 3.625%, 2/15/2044 | 9,336,853 | 1.1 | % | ||||||||
2,565,000 | 1.625%, 8/15/2022 | 2,498,369 | 0.3 | % | ||||||||
U.S. Treasury Notes, TIPS | ||||||||||||
8,012,655 | 0.125%, 1/15/2022 | 7,764,655 | 1.0 | % | ||||||||
7,032,548 | 0.125%, 1/15/2023 | 6,742,730 | 0.8 | % | ||||||||
Other Securities^ | 4,342,251 | 0.5 | % | |||||||||
|
| |||||||||||
Total | 142,862,781 | |||||||||||
|
| |||||||||||
| Utilities (2.6%) | |||||||||||
Other Securities^ | 21,267,827 | 2.6 | % | |||||||||
|
| |||||||||||
Total | 21,267,827 | |||||||||||
|
| |||||||||||
Total Long-Term Fixed Income (cost $769,511,286) | 755,985,795 | |||||||||||
|
| |||||||||||
Shares | Preferred Stock (0.7%) | |||||||||||
| Financials (0.6%) | |||||||||||
Other Securities^ | 4,281,976 | 0.6 | % | |||||||||
|
| |||||||||||
Total | 4,281,976 | |||||||||||
|
| |||||||||||
| Utilities (0.1%) | |||||||||||
Other Securities^ | 977,760 | 0.1 | % | |||||||||
|
| |||||||||||
Total | 977,760 | |||||||||||
|
| |||||||||||
Total Preferred Stock (cost $5,184,100) | 5,259,736 | |||||||||||
|
| |||||||||||
Collateral Held for Securities Loaned (1.3%) | ||||||||||||
11,023,000 | Thrivent Cash Management Trust | 11,023,000 | 1.3 | % | ||||||||
|
| |||||||||||
Total Collateral Held for Securities Loaned (cost $11,023,000) | 11,023,000 | |||||||||||
|
| |||||||||||
Shares or Principal Amount | Short-Term Investments (5.7%)f | |||||||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||||||
1,900,000 | 0.060% - 0.200%, 1/5/2016 - 2/17/2016g | 1,899,821 | 0.2 | % | ||||||||
Thrivent Cash Management Trust | ||||||||||||
44,769,481 | 0.220% | 44,769,481 | 5.5 | % | ||||||||
|
| |||||||||||
Total Short-Term Investments (at amortized cost) | 46,669,302 | |||||||||||
|
| |||||||||||
Total Investments (cost $863,043,695) 102.8% | $ | 846,763,887 | ||||||||||
|
| |||||||||||
Other Assets and Liabilities, Net (2.8%) | (22,867,294 | ) | ||||||||||
|
| |||||||||||
Total Net Assets 100.0% | $ | 823,896,593 | ||||||||||
|
|
^ | The Summary Schedule of Investments shows the 50 largest holdings in unaffiliated issuers, any holding or issuer that exceeds 1% of net assets and all affiliated holdings as of the report date. The remaining securities held are grouped by category as “Other securities”. |
a | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
b | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $144,637,748 or 17.6% of total net assets. |
c | All or a portion of the security is on loan. |
d | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
e | Denotes investments purchased on a when-issued or delayed delivery basis. |
f | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
g | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Limited Maturity Bond Portfolio as of December 31, 2015 was $95,488,878 or 11.6% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
Alm Loan Funding CLO, 10/17/2026 | 7/31/2014 | $ | 3,758,120 | |||||
Apidos CLO XVIII, 7/22/2026 | 6/25/2014 | 3,765,563 | ||||||
Babson CLO, Ltd., 10/17/2026 | 8/15/2014 | 3,758,120 | ||||||
Betony CLO, Ltd., 4/15/2027 | 2/25/2015 | 3,425,000 | ||||||
Birchwood Park CLO, Ltd., 7/15/2026 | 7/31/2014 | 3,760,000 | ||||||
BlueMountain CLO, Ltd., 10/15/2026 | 8/27/2014 | 3,756,203 | ||||||
Carlyle Global Market Strategies CLO, Ltd., 7/20/2023 | 7/3/2014 | 3,750,000 | ||||||
Carlyle Global Market Strategies CLO, Ltd., 10/15/2026 | 9/19/2014 | 3,750,000 | ||||||
Cent CLO 16, LP, 8/1/2024 | 9/5/2014 | 3,760,000 | ||||||
Cent CLO 22, Ltd., 11/7/2026 | 9/19/2014 | 3,750,000 | ||||||
Dryden 34 Senior Loan Fund CLO, 10/15/2026 | 7/21/2014 | 3,760,000 | ||||||
GoldenTree Loan Opportunities IX, Ltd., 10/29/2026 | 10/3/2014 | 3,746,250 | ||||||
Madison Park Funding XIV CLO, Ltd., 7/20/2026 | 7/3/2014 | 4,145,020 | ||||||
Mortgage Equity Conversion Asset Trust, 2/25/2042 | 2/14/2007 | 4,433,200 | ||||||
Mortgage Equity Conversion Asset Trust, 1/25/2042 | 1/18/2007 | 4,381,572 | ||||||
Octagon Investment Partners XX CLO, Ltd., 8/12/2026 | 7/10/2014 | 3,760,000 | ||||||
OZLM VIII, Ltd., 10/17/2026 | 8/7/2014 | 3,738,568 | ||||||
Symphony CLO VIII, Ltd., 1/9/2023 | 9/15/2014 | 3,678,677 | ||||||
Voya CLO 3, Ltd., 7/25/2026 | 7/10/2014 | 3,754,360 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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LIMITED MATURITY BOND PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Limited Maturity Bond Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Taxable Debt Security | $ | 10,703,545 | ||
|
| |||
Total lending | $ | 10,703,545 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 11,023,000 | ||
|
| |||
Net amounts due to counterparty | $ | 319,455 | ||
|
|
Definitions:
CLO | - | Collateralized Loan Obligation | ||
TIPS | - | Treasury Inflation Protected Security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments, based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 4,815,183 | ||
Gross unrealized depreciation | (20,905,364 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | (16,090,181 | ) | |
Cost for federal income tax purposes | $ | 862,854,068 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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LIMITED MATURITY BOND PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Limited Maturity Bond Portfolio’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Bank Loans | ||||||||||||||||
Basic Materials | 770,835 | — | 770,835 | — | ||||||||||||
Capital Goods | 2,565,455 | — | 2,565,455 | — | ||||||||||||
Communications Services | 6,107,935 | — | 5,442,041 | 665,894 | ||||||||||||
Consumer Cyclical | 8,032,405 | — | 8,032,405 | — | ||||||||||||
Consumer Non-Cyclical | 3,056,546 | — | 3,056,546 | — | ||||||||||||
Energy | 897,532 | — | 897,532 | — | ||||||||||||
Financials | 1,481,642 | — | 1,481,642 | — | ||||||||||||
Technology | 2,288,979 | — | 2,288,979 | — | ||||||||||||
Transportation | 1,328,350 | — | 1,328,350 | — | ||||||||||||
Utilities | 1,296,375 | — | 1,296,375 | — | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Asset-Backed Securities | 113,851,547 | — | 106,358,991 | 7,492,556 | ||||||||||||
Basic Materials | 6,603,355 | — | 6,603,355 | — | ||||||||||||
Capital Goods | 5,875,982 | — | 5,875,982 | — | ||||||||||||
Collateralized Mortgage Obligations | 94,344,369 | — | 94,344,369 | — | ||||||||||||
Commercial Mortgage-Backed Securities | 42,991,172 | — | 42,991,172 | — | ||||||||||||
Communications Services | 24,427,268 | — | 24,427,268 | — | ||||||||||||
Consumer Cyclical | 8,540,217 | — | 8,540,217 | — | ||||||||||||
Consumer Non-Cyclical | 52,707,142 | — | 52,707,142 | — | ||||||||||||
Energy | 22,463,168 | — | 22,463,168 | — | ||||||||||||
Financials | 152,568,786 | — | 152,568,786 | — | ||||||||||||
Foreign Government | 7,746,813 | — | 7,746,813 | — | ||||||||||||
Mortgage-Backed Securities | 29,515,988 | — | 29,515,988 | — | ||||||||||||
Technology | 16,143,475 | — | 16,143,475 | — | ||||||||||||
Transportation | 14,075,905 | — | 14,075,905 | — | ||||||||||||
U.S. Government and Agencies | 142,862,781 | — | 142,862,781 | — | ||||||||||||
Utilities | 21,267,827 | — | 21,267,827 | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Financials | 4,281,976 | 3,435,960 | 846,016 | — | ||||||||||||
Utilities | 977,760 | 977,760 | — | — | ||||||||||||
Collateral Held for Securities Loaned | 11,023,000 | 11,023,000 | — | — | ||||||||||||
Short-Term Investments | 46,669,302 | 44,769,481 | 1,899,821 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 846,763,887 | $ | 60,206,201 | $ | 778,399,236 | $ | 8,158,450 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Derivatives | ||||||||||||||||
Futures Contracts | 264,979 | 264,979 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Asset Derivatives | $ | 264,979 | $ | 264,979 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Derivatives | ||||||||||||||||
Futures Contracts | 122,753 | 122,753 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liability Derivatives | $ | 122,753 | $ | 122,753 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The following table presents Limited Maturity Bond Portfolio’s futures contracts held as of December 31, 2015. Investments totaling $1,699,822 were pledged as the initial margin deposit for these contracts.
Futures Contracts | Number of Contracts Long/(Short) | Expiration Date | Notional Principal Amount | Value | Unrealized Gain/(Loss) | |||||||||||||||
2-Yr. U.S. Treasury Bond Futures | 215 | March 2016 | $ | 46,776,604 | $ | 46,705,392 | ($ | 71,212 | ) | |||||||||||
5-Yr. U.S. Treasury Bond Futures | (728 | ) | March 2016 | (86,333,993 | ) | (86,137,186 | ) | 196,807 | ||||||||||||
10-Yr. U.S. Treasury Bond Futures | (328 | ) | March 2016 | (41,365,422 | ) | (41,297,250 | ) | 68,172 | ||||||||||||
30-Yr. U.S. Treasury Bond Futures | (60 | ) | March 2016 | (9,214,502 | ) | (9,225,000 | ) | (10,498 | ) | |||||||||||
Ultra Long Term U.S. Treasury Bond Futures | (44 | ) | March 2016 | (6,941,207 | ) | (6,982,250 | ) | (41,043 | ) | |||||||||||
Total Futures Contracts | $ | 142,226 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Table of Contents
LIMITED MATURITY BOND PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
The following table summarizes the fair value and Statement of Assets and Liabilities location, as of December 31, 2015, for Limited Maturity Bond Portfolio’s investments in financial derivative instruments by primary risk exposure as discussed under item (2) Significant Accounting Policies of the Notes to Financial Statements.
Derivatives by risk category | Statement of Assets and Liabilities Location | Fair Value | ||||
Asset Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | $ | 264,979 | |||
Total Interest Rate Contracts | 264,979 | |||||
|
| |||||
Total Asset Derivatives | $ | 264,979 | ||||
|
| |||||
Liability Derivatives | ||||||
Interest Rate Contracts | ||||||
Futures* | Net Assets - Net unrealized appreciation/(depreciation) on Futures contracts | 122,753 | ||||
Total Interest Rate Contracts | 122,753 | |||||
|
| |||||
Total Liability Derivatives | $ | 122,753 | ||||
|
|
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended December 31, 2015, for Limited Maturity Bond Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/(Losses) recognized in Income | ||||
Equity Contracts | ||||||
Options Written | Net realized gains/(losses) on Written option contracts | 41,221 | ||||
Options Purchased | Net realized gains/(losses) on Investments | (153,206 | ) | |||
Total Equity Contracts | (111,985 | ) | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (1,932,049 | ) | |||
Total Interest Rate Contracts | (1,932,049 | ) | ||||
|
| |||||
Total | ($ | 2,044,034 | ) | |||
|
|
The following table summarizes the change in net unrealized appreciation/(depreciation) and Statement of Operations location, for the period ended December 31, 2015, for Limited Maturity Bond Portfolio’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Change in unrealized appreciation/(depreciation) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Change in net unrealized appreciation/(depreciation) on Futures contracts | 563,742 | ||||
Total Interest Rate Contracts | 563,742 | |||||
|
| |||||
Total | $ | 563,742 | ||||
|
|
The following table presents Limited Maturity Bond Portfolio’s average volume of derivative activity during the period ended December 31, 2015.
Derivative Risk Category | Futures (Notional)* | Futures (Percentage of Average Net Assets) | Options (Contracts) | |||||||||
Equity Contracts | N/A | N/A | 9 | |||||||||
Interest Rate Contracts | 180,758,845 | 18.5 | N/A |
* | Notional amount represents long or short, or both, derivative positions held by the Portfolio. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
189
Table of Contents
LIMITED MATURITY BOND PORTFOLIO
Summary Schedule of Investments as of December 31, 2015
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio.
A summary of transactions for the fiscal year to date, in Limited Maturity Bond Portfolio, is as follows:
Portfolio | Value December 31, 2014 | Gross Purchases | Gross Sales | Shares Held at December 31, 2015 | Value December 31, 2015 | Income Earned January 1, 2015 - December 31, 2015 | ||||||||||||||||||
Cash Management Trust-Collateral Investment | $ | 8,419,435 | $ | 42,598,360 | $ | 39,994,795 | 11,023,000 | $ | 11,023,000 | $ | 7,788 | |||||||||||||
Cash Management Trust-Short Term Investment | 40,223,834 | 351,418,850 | 346,873,203 | 44,769,481 | 44,769,481 | 38,275 | ||||||||||||||||||
Total Value and Income Earned | $ | 48,643,269 | �� | $ | 55,792,481 | $ | 46,063 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
190
Table of Contents
Schedule of Investments as of December 31, 2015
Principal Amount | Asset Backed Commercial Paper (6.4%)a | Value | ||||||
Barton Capital SA | ||||||||
$ | 1,450,000 | 0.350%, 1/6/2016b,c | $ | 1,449,929 | ||||
Chariot Funding, LLC | ||||||||
1,400,000 | 0.261%, 1/5/2016b,c | 1,399,959 | ||||||
Liberty Street Funding, LLC | ||||||||
1,450,000 | 0.300%, 1/5/2016b,c | 1,449,952 | ||||||
1,440,000 | 0.460%, 1/27/2016b,c | 1,439,521 | ||||||
Starbird Funding Corporation | ||||||||
3,610,000 | 0.300%, 1/4/2016b,c | 3,609,910 | ||||||
|
| |||||||
Total | 9,349,271 | |||||||
|
| |||||||
Certificate of Deposit (0.9%)a | ||||||||
US Bank NA | ||||||||
1,300,000 | 0.468%, 1/27/2016d | 1,300,000 | ||||||
|
| |||||||
Total | 1,300,000 | |||||||
|
| |||||||
Financial Company Commercial Paper (8.7%)a | ||||||||
AllianceBernstein, LP | ||||||||
2,100,000 | 0.350%, 1/4/2016c | 2,099,939 | ||||||
1,420,000 | 0.420%, 1/5/2016c | 1,419,934 | ||||||
KFW | ||||||||
1,460,000 | 0.250%, 1/15/2016b,c | 1,459,858 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
1,450,000 | 0.356%, 1/4/2016c,d | 1,449,997 | ||||||
Svenska Handelsbanken AB | ||||||||
1,450,000 | 0.310%, 1/5/2016c | 1,449,950 | ||||||
1,460,000 | 0.370%, 1/13/2016c | 1,459,820 | ||||||
US Bank NA | ||||||||
3,475,000 | 0.200%, 1/4/2016 | 3,475,000 | ||||||
|
| |||||||
Total | 12,814,498 | |||||||
|
| |||||||
Government Agency Debt (61.3%)a | ||||||||
Federal Agricultural Mortgage Corporation | ||||||||
1,525,000 | 0.338%, 3/15/2016 | 1,523,940 | ||||||
725,000 | 0.270%, 4/29/2016 | 724,353 | ||||||
Federal Farm Credit Bank | ||||||||
1,430,000 | 0.392%, 1/25/2016d | 1,429,993 | ||||||
3,720,000 | 0.460%, 2/16/2016d | 3,720,520 | ||||||
1,250,000 | 0.492%, 3/31/2016d | 1,249,990 | ||||||
700,000 | 0.483%, 6/30/2016d | 699,989 | ||||||
Federal Home Loan Bank | ||||||||
1,470,000 | 0.300%, 1/13/2016 | 1,469,853 | ||||||
500,000 | 0.300%, 1/20/2016 | 499,921 | ||||||
900,000 | 0.400%, 2/4/2016 | 899,660 | ||||||
3,700,000 | 0.320%, 2/9/2016 | 3,698,717 | ||||||
5,090,000 | 0.323%, 2/12/2016 | 5,088,083 | ||||||
1,400,000 | 0.280%, 2/19/2016 | 1,399,466 | ||||||
2,100,000 | 0.388%, 2/24/2016 | 2,098,779 | ||||||
1,400,000 | 0.209%, 3/3/2016d | 1,399,994 | ||||||
2,900,000 | 0.340%, 3/4/2016 | 2,898,275 | ||||||
1,460,000 | 0.500%, 3/17/2016 | 1,458,459 | ||||||
750,000 | 0.380%, 3/21/2016 | 749,367 | ||||||
3,980,000 | 0.364%, 3/30/2016 | 3,976,414 | ||||||
1,450,000 | 0.250%, 4/6/2016 | 1,449,033 | ||||||
1,250,000 | 0.241%, 5/12/2016d | 1,249,997 | ||||||
500,000 | 0.500%, 5/13/2016 | 499,076 | ||||||
1,410,000 | 0.224%, 5/17/2016d | 1,409,870 | ||||||
1,450,000 | 0.285%, 5/20/2016d | 1,450,000 | ||||||
1,330,000 | 0.378%, 5/24/2016d | 1,330,000 | ||||||
1,330,000 | 0.362%, 5/26/2016d | 1,329,972 | ||||||
1,310,000 | 0.370%, 6/23/2016d | 1,310,000 | ||||||
1,320,000 | 0.358%, 7/22/2016d | 1,320,000 | ||||||
2,780,000 | 0.224%, 8/17/2016d | 2,779,656 | ||||||
1,330,000 | 0.296%, 8/17/2016d | 1,330,000 | ||||||
1,330,000 | 0.382%, 8/25/2016d | 1,330,000 | ||||||
Federal Home Loan Bank of Chicago | ||||||||
1,440,000 | 5.625%, 6/13/2016 | 1,473,363 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
1,460,000 | 0.430%, 3/8/2016 | 1,458,832 | ||||||
1,000,000 | 0.260%, 4/19/2016 | 999,213 | ||||||
1,330,000 | 0.373%, 8/24/2016d | 1,330,000 | ||||||
1,340,000 | 0.208%, 9/2/2016d | 1,340,000 | ||||||
Federal National Mortgage Association | ||||||||
1,250,000 | 0.365%, 8/16/2016d | 1,250,124 | ||||||
1,330,000 | 0.442%, 8/26/2016d | 1,330,710 | ||||||
Overseas Private Investment Corporation | ||||||||
5,000,000 | 0.330%, 1/6/2016d | 5,000,000 | ||||||
2,257,895 | 0.420%, 1/6/2016d | 2,257,895 | ||||||
517,239 | 0.420%, 1/6/2016d | 517,239 | ||||||
1,390,000 | 0.330%, 1/7/2016d | 1,390,000 | ||||||
2,300,000 | 0.330%, 1/7/2016d | 2,300,000 | ||||||
1,410,000 | 0.330%, 1/7/2016d | 1,410,000 | ||||||
2,100,000 | 0.420%, 1/7/2016d | 2,100,000 | ||||||
2,605,263 | 0.420%, 1/7/2016d | 2,605,263 | ||||||
2,134,400 | 0.300%, 1/14/2016d | 2,134,400 | ||||||
1,250,000 | 0.610%, 3/17/2016 | 1,256,047 | ||||||
1,000,000 | 0.500%, 4/30/2016 | 1,047,141 | ||||||
1,260,000 | 0.510%, 4/30/2016 | 1,264,315 | ||||||
1,260,000 | 0.520%, 5/2/2016 | 1,264,346 | ||||||
1,310,000 | 0.550%, 7/7/2016 | 1,313,504 | ||||||
2,550,000 | 0.870%, 11/18/2016 | 2,552,663 | ||||||
700,000 | 0.990%, 11/21/2016 | 700,188 | ||||||
|
| |||||||
Total | 90,068,620 | |||||||
|
| |||||||
Shares | Investment Company (<0.1%) | |||||||
Dreyfus Institutional Cash Advantage Fund | ||||||||
8,000 | 0.260% | 8,000 | ||||||
|
| |||||||
Total | 8,000 | |||||||
|
| |||||||
Principal Amount | Other Commercial Paper (13.0%)a | |||||||
Caisse d’Amortissement de la Dette Sociale | ||||||||
1,460,000 | 0.320%, 1/4/2016b,c | 1,459,961 | ||||||
Caisse des Depots et Consignations | ||||||||
1,440,000 | 0.270%, 1/26/2016b,c | 1,439,730 | ||||||
Cargill Global Funding plc | ||||||||
1,420,000 | 0.340%, 1/5/2016b,c | 1,419,946 | ||||||
Chevron Corporation | ||||||||
1,460,000 | 0.310%, 1/22/2016c | 1,459,736 | ||||||
1,000,000 | 0.310%, 1/27/2016c | 999,776 | ||||||
Danaher Corporation | ||||||||
2,830,000 | 0.379%, 1/4/2016c | 2,829,910 | ||||||
Emerson Electric Company | ||||||||
1,460,000 | 0.230%, 1/20/2016c | 1,459,823 | ||||||
Honeywell International, Inc. | ||||||||
1,460,000 | 0.340%, 1/7/2016c | 1,459,917 | ||||||
John Deere Capital Corporation | ||||||||
1,280,000 | 0.400%, 1/11/2016b,c | 1,279,858 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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MONEY MARKET PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Other Commercial Paper (13.0%)a | Value | ||||||
Nestle Finance International, Ltd. | ||||||||
$ | 1,430,000 | 0.320%, 1/13/2016b | $ | 1,429,848 | ||||
Novartis Finance Corporation | ||||||||
1,450,000 | 0.300%, 1/4/2016b,c | 1,449,964 | ||||||
Total Capital Canada, Ltd. | ||||||||
1,460,000 | 0.210%, 1/4/2016b,c | 1,459,975 | ||||||
1,000,000 | 0.410%, 1/13/2016b,c | 999,863 | ||||||
|
| |||||||
Total | 19,148,307 | |||||||
|
| |||||||
Other Note (2.7%)a | ||||||||
Bank of New York Mellon Corporation | ||||||||
670,000 | 0.666%, 3/4/2016d | 670,232 | ||||||
General Electric Capital Corporation | ||||||||
1,250,000 | 0.551%, 1/14/2016b,d | 1,250,084 | ||||||
Royal Bank of Canada | ||||||||
700,000 | 0.443%, 10/6/2016c,d | 700,000 | ||||||
Wells Fargo Bank NA | ||||||||
1,370,000 | 0.632%, 9/14/2016d | 1,370,000 | ||||||
|
| |||||||
Total | 3,990,316 | |||||||
|
| |||||||
Treasury Debt (6.6%)a | ||||||||
U.S. Treasury Bills | ||||||||
1,400,000 | 0.235%, 1/7/2016 | 1,399,945 | ||||||
U.S. Treasury Notes | ||||||||
2,850,000 | 2.375%, 3/31/2016 | 2,864,410 | ||||||
5,340,000 | 2.000%, 4/30/2016 | 5,367,965 | ||||||
|
| |||||||
Total | 9,632,320 | |||||||
|
| |||||||
Total Investments (at amortized cost) 99.6% | $ | 146,311,332 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 0.4% | 569,127 | |||||||
|
| |||||||
Total Net Assets 100.0% | $ | 146,880,459 | ||||||
|
|
a | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
b | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $37,107,228 or 25.3% of total net assets. |
d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
Cost for federal income tax purposes | $ | 146,311,332 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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MONEY MARKET PORTFOLIO
Schedule of Investments as of December 31, 2015
Fair Valuation Measurements
The following table is a summary of the inputs used, as of December 31, 2015, in valuing Money Market Portfolio’s assets carried at fair value or amortized cost, which approximates fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset Backed Commercial Paper | 9,349,271 | — | 9,349,271 | — | ||||||||||||
Certificate of Deposit | 1,300,000 | — | 1,300,000 | — | ||||||||||||
Financial Company Commercial Paper | 12,814,498 | — | 12,814,498 | — | ||||||||||||
Government Agency Debt | 90,068,620 | — | 90,068,620 | — | ||||||||||||
Investment Company | 8,000 | 8,000 | — | — | ||||||||||||
Other Commercial Paper | 19,148,307 | — | 19,148,307 | — | ||||||||||||
Other Note | 3,990,316 | — | 3,990,316 | — | ||||||||||||
Treasury Debt | 9,632,320 | — | 9,632,320 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 146,311,332 | $ | 8,000 | $ | 146,303,332 | $ | — | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended December 31, 2015. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
193
Table of Contents
THRIVENT SERIES FUND, INC.
STATEMENTOF ASSETSAND LIABILITIES
As of December 31, 2015 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 937,587,451 | $ | 4,955,735,609 | $ | 9,304,986,487 | $ | 4,603,926,688 | ||||||||
Investments in securities at value | 651,032,721 | 3,332,782,527 | 6,739,153,585 | 3,443,542,020 | ||||||||||||
Investments in affiliates at value | 328,876,616 | 1,869,187,985 | 2,836,505,273 | 1,240,900,323 | ||||||||||||
Investments at Value | 979,909,337 | 5,201,970,512 | 9,575,658,858 | 4,684,442,343 | ||||||||||||
Cash | 16,691 | (a) | 581,578 | (b) | 587,782 | (c) | 307,271 | |||||||||
Dividends and interest receivable | 419,739 | 4,699,577 | 13,478,295 | 8,170,893 | ||||||||||||
Prepaid expenses | 2,340 | 6,953 | 11,471 | 5,703 | ||||||||||||
Receivable for investments sold | 126,195 | 3,121,705 | 5,968,791 | 2,439,596 | ||||||||||||
Receivable for fund shares sold | 548,804 | 733,943 | 1,207,828 | 19,962 | ||||||||||||
Receivable for expense reimbursements | 174,060 | 919,918 | 1,204,620 | 454,154 | ||||||||||||
Receivable for variation margin | 1,886,206 | 6,378,209 | 8,547,806 | 2,631,610 | ||||||||||||
Total Assets | 983,083,372 | 5,218,412,395 | 9,606,665,451 | 4,698,471,532 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 50,454 | 76,531 | 99,116 | 60,625 | ||||||||||||
Payable for investments purchased | 12,644,592 | 230,161,450 | 753,516,457 | 524,364,758 | ||||||||||||
Payable upon return of collateral for securities loaned | — | 80,456,520 | 182,839,267 | 68,616,520 | ||||||||||||
Payable for fund shares redeemed | 33,976 | 68,110 | 234,901 | 520,576 | ||||||||||||
Payable for variation margin | 2,110,065 | 6,421,978 | 7,415,991 | 2,274,110 | ||||||||||||
Payable for investment advisory fees | 608,345 | 2,769,453 | 4,411,371 | 1,970,955 | ||||||||||||
Payable for administrative fees | 21,507 | 81,892 | 139,777 | 69,433 | ||||||||||||
Payable for director fees | 723 | 2,759 | 5,091 | 2,566 | ||||||||||||
Payable for director deferred compensation | 46,501 | 138,726 | 233,128 | 126,105 | ||||||||||||
Mortgage dollar roll deferred revenue | 8,686 | 156,357 | 515,538 | 358,044 | ||||||||||||
Total Liabilities | 15,524,849 | 320,333,776 | 949,410,637 | 598,363,692 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 865,529,628 | 4,392,969,575 | 8,033,022,433 | 3,904,416,784 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 9,765,509 | 71,853,420 | 149,830,112 | 74,352,002 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | 47,322,286 | 177,645,224 | 190,689,397 | 36,684,238 | ||||||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 45,637,362 | 133,711,484 | 132,812,588 | 46,627,675 | ||||||||||||
Affiliated investments | (3,315,476 | ) | 112,523,419 | 137,859,783 | 33,887,980 | |||||||||||
Futures contracts | 2,618,273 | 9,371,563 | 13,036,330 | 4,137,288 | ||||||||||||
Foreign currency transactions | 941 | 3,934 | 4,171 | 1,873 | ||||||||||||
Swap agreements | — | — | — | — | ||||||||||||
Total Net Assets | $ | 967,558,523 | $ | 4,898,078,619 | $ | 8,657,254,814 | $ | 4,100,107,840 | ||||||||
Shares of beneficial interest outstanding | 68,189,876 | 355,650,243 | 661,410,166 | 334,234,266 | ||||||||||||
Net asset value per share | $ | 14.19 | $ | 13.77 | $ | 13.09 | $ | 12.27 |
(a) | Includes foreign currency holdings of $1,489 (cost $1,488). |
(b) | Includes foreign currency holdings of $147,260 (cost $147,639). |
(c) | Includes foreign currency holdings of $200,792 (cost $201,098). |
(d) | Includes foreign currency holdings of $16,243 (cost $16,424). |
(e) | Includes foreign currency holdings of $42,744 (cost $43,234). |
(f) | Includes foreign currency holdings of $48,512 (cost $48,844). |
(g) | Includes foreign currency holdings of $8,229 (cost $8,229). |
(h) | Includes foreign currency holdings of $4,873 (cost $5,129). |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF ASSETSAND LIABILITIES –CONTINUED
Growth and Income Plus Portfolio | Balanced Income Plus Portfolio | Diversified Income Plus Portfolio | Opportunity Income Plus Portfolio | Partner Healthcare Portfolio | Partner Emerging Markets Equity Portfolio | Real Estate Securities Portfolio | ||||||||||||||||||||
$ | 83,880,548 | $ | 342,819,242 | $ | 502,102,708 | $ | 115,167,497 | $ | 190,123,212 | $ | 44,533,435 | $ | 139,638,718 | |||||||||||||
75,188,765 | 303,719,856 | 449,319,710 | 92,076,372 | 180,881,349 | 42,494,417 | 153,224,751 | ||||||||||||||||||||
6,429,870 | 37,476,631 | 41,313,512 | 19,671,931 | 12,518,371 | 1,177,398 | 1,707,534 | ||||||||||||||||||||
81,618,635 | 341,196,487 | 490,633,222 | 111,748,303 | 193,399,720 | 43,671,815 | 154,932,285 | ||||||||||||||||||||
16,856 | (d) | 66,897 | (e) | 76,386 | (f) | 36,509 | 8,229 | (g) | 4,873 | (h) | 452 | |||||||||||||||
261,338 | 1,369,618 | 2,598,856 | 576,185 | 325,849 | 82,297 | 792,750 | ||||||||||||||||||||
1,337 | 1,605 | 1,770 | 1,335 | 1,394 | 1,300 | 1,422 | ||||||||||||||||||||
77,868 | 437,121 | 496,738 | 563,355 | — | — | 26,926 | ||||||||||||||||||||
14,178 | 4,666 | 157,608 | 2,074 | 54,100 | 9,254 | 1,037 | ||||||||||||||||||||
16,075 | — | — | — | 15,941 | 11,269 | — | ||||||||||||||||||||
4,147 | 25,366 | 264,967 | 15,172 | — | — | — | ||||||||||||||||||||
82,010,434 | 343,101,760 | 494,229,547 | 112,942,933 | 193,805,233 | 43,780,808 | 155,754,872 | ||||||||||||||||||||
27,699 | 31,524 | 32,537 | 13,958 | 7,920 | 25,630 | 5,832 | ||||||||||||||||||||
3,122,404 | 19,819,924 | 13,946,638 | 13,112,115 | 1,370,796 | — | — | ||||||||||||||||||||
— | 9,667,927 | 341,050 | — | — | 212,275 | — | ||||||||||||||||||||
5,664 | 218,231 | 42,751 | 69,765 | 20,213 | 11,138 | 47,943 | ||||||||||||||||||||
6,081 | 29,875 | 62,418 | 3,284 | — | — | — | ||||||||||||||||||||
43,687 | 147,170 | 162,623 | 42,056 | 146,604 | 44,468 | 104,027 | ||||||||||||||||||||
7,876 | 11,483 | 13,985 | 8,181 | 9,556 | 7,334 | 9,007 | ||||||||||||||||||||
204 | 435 | 561 | 204 | 204 | 204 | 204 | ||||||||||||||||||||
15,959 | 88,386 | 47,531 | 20,445 | 15,060 | 15,060 | 49,552 | ||||||||||||||||||||
1,799 | 10,261 | 6,668 | 7,958 | — | — | — | ||||||||||||||||||||
3,231,373 | 30,025,216 | 14,656,762 | 13,277,966 | 1,570,353 | 316,109 | 216,565 | ||||||||||||||||||||
78,148,565 | 296,218,825 | 473,139,384 | 104,862,885 | 175,101,693 | 45,227,856 | 137,383,822 | ||||||||||||||||||||
1,781,865 | 8,403,985 | 17,565,006 | 39,603 | 7,610,463 | 430,436 | 2,605,351 | ||||||||||||||||||||
1,106,511 | 10,023,876 | 726,723 | (1,828,927 | ) | 6,257,042 | (1,331,052 | ) | 255,857 | ||||||||||||||||||
(2,261,913 | ) | (1,622,755 | ) | (11,469,486 | ) | (3,419,194 | ) | 3,276,508 | (861,620 | ) | 15,293,567 | |||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
4,776 | 36,942 | (384,937 | ) | 20,168 | — | — | — | |||||||||||||||||||
(1,915 | ) | (1,915 | ) | (3,905 | ) | — | (10,826 | ) | (921 | ) | (290 | ) | ||||||||||||||
1,172 | 17,586 | — | (9,568 | ) | — | — | — | |||||||||||||||||||
$ | 78,779,061 | $ | 313,076,544 | $ | 479,572,785 | $ | 99,664,967 | $ | 192,234,880 | $ | 43,464,699 | $ | 155,538,307 | |||||||||||||
7,899,551 | 22,322,098 | 63,702,211 | 10,161,394 | 9,881,719 | 4,214,843 | 7,065,118 | ||||||||||||||||||||
$ | 9.97 | $ | 14.03 | $ | 7.53 | $ | 9.81 | $ | 19.45 | $ | 10.31 | $ | 22.01 |
The accompanying Notes to Financial Statements are an integral part of this statement.
195
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THRIVENT SERIES FUND, INC.
STATEMENTOF ASSETSAND LIABILITIES –CONTINUED
As of December 31, 2015 | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Stock Portfolio | Mid Cap Index Portfolio | ||||||||||||
Assets |
| |||||||||||||||
Investments at cost | $ | 419,466,911 | $ | 233,913,542 | $ | 1,070,467,661 | $ | 159,384,101 | ||||||||
Investments in securities at value | 400,569,526 | 269,355,984 | 1,143,687,940 | 170,525,838 | ||||||||||||
Investments in affiliates at value | 53,955,191 | 25,599,550 | 108,042,638 | 15,314,850 | ||||||||||||
Investments at Value | 454,524,717 | 294,955,534 | 1,251,730,578 | 185,840,688 | ||||||||||||
Cash | 9,015 | — | — | — | ||||||||||||
Initial margin deposit on open futures contracts | — | — | — | — | ||||||||||||
Dividends and interest receivable | 376,576 | 360,060 | 1,287,845 | 167,725 | ||||||||||||
Prepaid expenses | 2,166 | 1,566 | 3,219 | 1,428 | ||||||||||||
Receivable for investments sold | 862,515 | 298,737 | — | 156,128 | ||||||||||||
Receivable for fund shares sold | 2,538 | 41,298 | 62,824 | 60,319 | ||||||||||||
Unrealized gain on forward contracts | — | — | — | — | ||||||||||||
Receivable for expense reimbursements | — | — | — | — | ||||||||||||
Receivable for variation margin | — | — | — | — | ||||||||||||
Total Assets | 455,777,527 | 295,657,195 | 1,253,084,466 | 186,226,288 | ||||||||||||
Liabilities |
| |||||||||||||||
Accrued expenses | 5,844 | 10,749 | 6,331 | 9,992 | ||||||||||||
Payable for investments purchased | 574,581 | 282,413 | — | — | ||||||||||||
Payable upon return of collateral for securities loaned | 40,959,020 | 15,229,214 | 57,473,443 | 5,872,212 | ||||||||||||
Payable for fund shares redeemed | 55,232 | 30,248 | 92,344 | 13,646 | ||||||||||||
Unrealized loss on forward contracts | — | — | — | — | ||||||||||||
Payable for variation margin | — | 110,400 | — | 93,233 | ||||||||||||
Payable for investment advisory fees | 239,535 | 48,012 | 664,803 | 30,603 | ||||||||||||
Payable for administrative fees | 13,065 | 10,988 | 25,082 | 9,421 | ||||||||||||
Payable for director fees | 544 | 422 | 1,107 | 204 | ||||||||||||
Payable for director deferred compensation | 161,144 | 67,180 | 241,100 | 26,687 | ||||||||||||
Total Liabilities | 42,008,965 | 15,789,626 | 58,504,210 | 6,055,998 | ||||||||||||
Net Assets |
| |||||||||||||||
Capital stock (beneficial interest) | 360,561,981 | 197,705,148 | 891,808,816 | 144,272,780 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 1,283,325 | 3,093,435 | 4,149,933 | 1,897,754 | ||||||||||||
Accumulated undistributed net realized gain/(loss) | 16,865,450 | 18,056,974 | 117,358,590 | 7,581,205 | ||||||||||||
Net unrealized appreciation/(depreciation) on: |
| |||||||||||||||
Investments | 35,057,806 | 61,041,992 | 181,262,917 | 26,456,587 | ||||||||||||
Futures contracts | — | (29,980 | ) | — | (38,036 | ) | ||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | — | — | — | — | ||||||||||||
Total Net Assets | $ | 413,768,562 | $ | 279,867,569 | $ | 1,194,580,256 | $ | 180,170,290 | ||||||||
Shares of beneficial interest outstanding | 26,649,455 | 17,743,498 | 71,410,045 | 11,916,463 | ||||||||||||
Net asset value per share | $ | 15.53 | $ | 15.77 | $ | 16.73 | $ | 15.12 |
(a) | Includes foreign currency holdings of $7,242,842 (cost $7,381,937). |
(b) | Includes foreign currency holdings of $225,356 (cost $227,956). |
The accompanying Notes to Financial Statements are an integral part of this statement.
196
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THRIVENT SERIES FUND, INC.
STATEMENTOF ASSETSAND LIABILITIES –CONTINUED
Partner Worldwide Allocation Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | Large Cap Index Portfolio | ||||||||||||||||||||
$ | 1,624,928,496 | $ | 81,188,207 | $ | 897,825,618 | $ | 75,544,748 | $ | 956,144,504 | $ | 746,476,940 | $ | 338,569,616 | |||||||||||||
1,576,335,937 | 84,406,970 | 1,036,439,469 | 107,640,869 | 1,127,023,753 | 749,201,477 | 504,081,188 | ||||||||||||||||||||
35,787,931 | 2,560,190 | 84,639,622 | 6,132,076 | 32,179,533 | 133,730,309 | 18,691,008 | ||||||||||||||||||||
1,612,123,868 | 86,967,160 | 1,121,079,091 | 113,772,945 | 1,159,203,286 | 882,931,786 | 522,772,196 | ||||||||||||||||||||
7,311,992 | (a) | — | — | — | — | 225,356 | (b) | 589 | ||||||||||||||||||
624,357 | — | — | — | — | — | — | ||||||||||||||||||||
5,654,474 | 106,782 | 291,958 | 49,072 | 1,640,723 | 1,303,823 | 670,397 | ||||||||||||||||||||
3,175 | 1,330 | 2,433 | 1,343 | 2,631 | 2,365 | 1,788 | ||||||||||||||||||||
9,364 | — | — | — | — | 891,305 | — | ||||||||||||||||||||
7,640 | 15,508 | 4,943 | 1,934 | 8,475 | 11,235 | 165,642 | ||||||||||||||||||||
832,453 | — | — | — | — | — | — | ||||||||||||||||||||
— | 18,075 | — | 13,050 | — | — | — | ||||||||||||||||||||
1,040,558 | — | — | — | — | 100,800 | — | ||||||||||||||||||||
1,627,607,881 | 87,108,855 | 1,121,378,425 | 113,838,344 | 1,160,855,115 | 885,466,670 | 523,610,612 | ||||||||||||||||||||
194,567 | 6,298 | 10,030 | 9,819 | 8,671 | 39,897 | 10,050 | ||||||||||||||||||||
— | — | — | 106,811 | — | — | 64,065 | ||||||||||||||||||||
18,465,884 | 786,450 | 10,560,850 | 3,501,278 | 13,026,675 | 4,545,524 | 1,894,887 | ||||||||||||||||||||
93,474 | 3,138 | 309,421 | 42,617 | 39,222 | 33,388 | 88,107 | ||||||||||||||||||||
813,272 | — | — | — | — | — | — | ||||||||||||||||||||
1,088,023 | — | 132,340 | — | — | 1,281,219 | 168,960 | ||||||||||||||||||||
1,139,882 | 69,341 | 380,381 | 73,682 | 589,151 | 460,359 | 88,339 | ||||||||||||||||||||
31,221 | 7,981 | 23,784 | 8,324 | 24,341 | 20,169 | 14,617 | ||||||||||||||||||||
1,471 | 204 | 1,017 | 204 | 1,106 | 824 | 590 | ||||||||||||||||||||
219,465 | 20,341 | 310,248 | 21,959 | 147,751 | 169,960 | 101,938 | ||||||||||||||||||||
22,047,259 | 893,753 | 11,728,071 | 3,764,694 | 13,836,917 | 6,551,340 | 2,431,553 | ||||||||||||||||||||
1,728,473,863 | 76,198,483 | 801,180,495 | 67,083,687 | 857,378,681 | 748,073,375 | 339,973,872 | ||||||||||||||||||||
33,094,109 | 255,055 | (98,849 | ) | (21,959 | ) | 15,909,295 | 10,417,603 | 10,979,600 | ||||||||||||||||||
(142,774,718 | ) | 3,982,611 | 84,280,423 | 4,783,915 | 70,671,440 | (19,399,574 | ) | (13,939,607 | ) | |||||||||||||||||
(12,804,628 | ) | 5,778,953 | 223,253,473 | 38,228,197 | 203,058,782 | 136,454,846 | 184,202,580 | |||||||||||||||||||
(217,895 | ) | — | 1,039,585 | — | — | 3,380,377 | (37,386 | ) | ||||||||||||||||||
19,181 | — | — | — | — | — | — | ||||||||||||||||||||
(229,290 | ) | — | (4,773 | ) | (190 | ) | — | (11,297 | ) | — | ||||||||||||||||
$ | 1,605,560,622 | $ | 86,215,102 | $ | 1,109,650,354 | $ | 110,073,650 | $ | 1,147,018,198 | $ | 878,915,330 | $ | 521,179,059 | |||||||||||||
178,320,080 | 6,662,366 | 35,913,389 | 5,896,888 | 73,917,923 | 75,591,650 | 18,262,420 | ||||||||||||||||||||
$ | 9.00 | $ | 12.94 | $ | 30.90 | $ | 18.67 | $ | 15.52 | $ | 11.63 | $ | 28.54 |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF ASSETSAND LIABILITIES –CONTINUED
As of December 31, 2015 | High Yield Portfolio | Income Portfolio | Bond Index Portfolio | Limited Maturity Bond Portfolio | ||||||||||||
Assets | ||||||||||||||||
Investments at cost | $ | 811,801,681 | $ | 1,426,385,522 | $ | 203,092,000 | $ | 863,043,695 | ||||||||
Investments in securities at value | 652,208,377 | 1,282,541,331 | 157,127,276 | 790,971,406 | ||||||||||||
Investments in affiliates at value | 89,155,885 | 123,251,591 | 46,162,256 | 55,792,481 | ||||||||||||
Investments at Value | 741,364,262 | 1,405,792,922 | 203,289,532 | 846,763,887 | ||||||||||||
Cash | — | 1 | — | 10,034 | ||||||||||||
Dividends and interest receivable | 10,949,729 | 13,093,572 | 577,171 | 3,038,625 | ||||||||||||
Prepaid expenses | 2,244 | 2,876 | 1,421 | 2,417 | ||||||||||||
Receivable for investments sold | 3,250,888 | 256,037 | — | 883,307 | ||||||||||||
Receivable for fund shares sold | 2,438 | 73,564 | 86,501 | 16,925 | ||||||||||||
Receivable for variation margin | — | 253,000 | — | 10,079 | ||||||||||||
Total Assets | 755,569,561 | 1,419,471,972 | 203,954,625 | 850,725,274 | ||||||||||||
Liabilities | ||||||||||||||||
Accrued expenses | 10,255 | 13,684 | 7,946 | 11,156 | ||||||||||||
Payable for investments purchased | — | 53,680,099 | 45,701,591 | 15,042,188 | ||||||||||||
Payable upon return of collateral for securities loaned | 42,864,685 | 28,613,386 | 815,750 | 11,023,000 | ||||||||||||
Payable for fund shares redeemed | 150,110 | 18,673 | 3,244 | 2,550 | ||||||||||||
Payable for variation margin | — | 380,539 | — | 273,745 | ||||||||||||
Payable for investment advisory fees | 243,253 | 454,499 | 46,619 | 274,966 | ||||||||||||
Payable for administrative fees | 17,613 | 27,119 | 9,065 | 19,040 | ||||||||||||
Payable for director fees | 853 | 1,274 | 204 | 1,008 | ||||||||||||
Payable for director deferred compensation | 149,280 | 224,831 | 48,206 | 170,633 | ||||||||||||
Mortgage dollar roll deferred revenue | — | 37,435 | 28,467 | 10,395 | ||||||||||||
Total Liabilities | 43,436,049 | 83,451,539 | 46,661,092 | 26,828,681 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 866,168,833 | 1,357,342,743 | 156,892,500 | 844,773,582 | ||||||||||||
Accumulated undistributed net investment income/(loss) | 68,605 | 316,882 | (602 | ) | 406,288 | |||||||||||
Accumulated undistributed net realized gain/(loss) | (83,666,507 | ) | (1,749,730 | ) | 204,103 | (5,145,695 | ) | |||||||||
Net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (70,437,419 | ) | (20,592,600 | ) | 197,532 | (16,279,808 | ) | |||||||||
Futures contracts | — | 703,138 | — | 142,226 | ||||||||||||
Total Net Assets | $ | 712,133,512 | $ | 1,336,020,433 | $ | 157,293,533 | $ | 823,896,593 | ||||||||
Shares of beneficial interest outstanding | 159,034,126 | 135,904,552 | 14,441,897 | 84,735,943 | ||||||||||||
Net asset value per share | $ | 4.48 | $ | 9.83 | $ | 10.89 | $ | 9.72 |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF ASSETSAND LIABILITIES –CONTINUED
As of December 31, 2015 | Money Market Portfolio | |||
Assets | ||||
Investments at cost | $ | 146,311,332 | ||
Investments in securities at value | 146,311,332 | |||
Investments at Value | 146,311,332 | * | ||
Cash | 3,990 | |||
Dividends and interest receivable | 53,863 | |||
Prepaid expenses | 1,385 | |||
Receivable for fund shares sold | 599,834 | |||
Receivable for expense reimbursements | 27,426 | |||
Total Assets | 146,997,830 | |||
Liabilities | ||||
Accrued expenses | 10,664 | |||
Payable for fund shares redeemed | 48,144 | |||
Payable for investment advisory fees | 49,466 | |||
Payable for administrative fees | 8,893 | |||
Payable for director fees | 204 | |||
Total Liabilities | 117,371 | |||
Net Assets | ||||
Capital stock (beneficial interest) | 146,880,459 | |||
Total Net Assets | $ | 146,880,459 | ||
Shares of beneficial interest outstanding | 146,878,591 | |||
Net asset value per share | $ | 1.00 |
* | Securities held by the Portfolio are valued on the basis of amortized cost, which approximates market value. |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
For the year ended December 31, 2015 | Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 6,292,978 | $ | 26,843,248 | $ | 38,934,082 | $ | 13,598,942 | ||||||||
Interest | 467,992 | 17,411,751 | 57,943,643 | 35,237,704 | ||||||||||||
Income from mortgage dollar rolls | 244,761 | 4,159,026 | 16,903,352 | 10,659,326 | ||||||||||||
Income from securities loaned | 1,547 | 566,892 | 698,601 | 142,447 | ||||||||||||
Income from affiliated investments | 5,469,707 | 34,758,285 | 63,994,535 | 28,380,838 | ||||||||||||
Foreign tax withholding | (71,757 | ) | (358,026 | ) | (505,623 | ) | (115,949 | ) | ||||||||
Total Investment Income | 12,405,228 | 83,381,176 | 177,968,590 | 87,903,308 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 5,647,368 | 25,520,179 | 42,548,711 | 18,602,338 | ||||||||||||
Sub-Adviser fees | — | — | — | — | ||||||||||||
Administrative service fees | 252,537 | 968,865 | 1,663,563 | 790,192 | ||||||||||||
Audit and legal fees | 31,583 | 49,833 | 67,939 | 44,660 | ||||||||||||
Custody fees | 124,679 | 247,538 | 332,288 | 183,042 | ||||||||||||
Insurance expenses | 8,734 | 27,288 | 44,945 | 22,175 | ||||||||||||
Printing and postage expenses | 21,427 | �� | 56,635 | 67,408 | 30,369 | |||||||||||
Directors’ fees | 24,726 | 96,224 | 181,812 | 86,938 | ||||||||||||
Other expenses | 25,666 | 79,654 | 79,927 | 64,130 | ||||||||||||
Total Expenses Before Reimbursement | 6,136,720 | 27,046,216 | 44,986,593 | 19,823,844 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | (682,921 | ) | (3,615,142 | ) | (4,869,841 | ) | (1,846,268 | ) | ||||||||
Total Net Expenses | 5,453,799 | 23,431,074 | 40,116,752 | 17,977,576 | ||||||||||||
Net Investment Income/(Loss) | 6,951,429 | 59,950,102 | 137,851,838 | 69,925,732 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 20,140,342 | 38,622,649 | 33,313,336 | (955,697 | ) | |||||||||||
Affiliated investments | 8,781,347 | 43,919,678 | 48,712,598 | 17,621,397 | ||||||||||||
Distributions of realized capital gains from affiliated investments | 19,149,977 | 98,677,213 | 105,251,211 | 30,240,173 | ||||||||||||
Futures contracts | 5,476,367 | 40,945,641 | 83,143,387 | 14,201,839 | ||||||||||||
Foreign currency and forward contract transactions | (3,868 | ) | (37,993 | ) | (16,224 | ) | (13,854 | ) | ||||||||
Swap agreements | — | (183,108 | ) | 315,147 | (306,921 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (29,766,375 | ) | (116,357,831 | ) | (174,372,478 | ) | (58,906,472 | ) | ||||||||
Affiliated investments | (36,534,899 | ) | (189,838,251 | ) | (237,971,272 | ) | (85,029,663 | ) | ||||||||
Futures contracts | 330,465 | (15,594,727 | ) | (47,028,830 | ) | (11,049,425 | ) | |||||||||
Foreign currency transactions | (1,266 | ) | (5,576 | ) | (15,689 | ) | (5,182 | ) | ||||||||
Swap agreements | — | — | — | — | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | (12,427,910 | ) | (99,852,305 | ) | (188,668,814 | ) | (94,203,805 | ) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (5,476,481 | ) | $ | (39,902,203 | ) | $ | (50,816,976 | ) | $ | (24,278,073 | ) |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF OPERATIONS –CONTINUED
Growth and Income Plus Portfolio | Balanced Income Plus Portfolio | Diversified Income Plus Portfolio | Opportunity Income Plus Portfolio | Partner Healthcare Portfolio | Partner Emerging Markets Equity Portfolio | Real Estate Securities Portfolio | ||||||||||||||||||||
$ | 1,567,126 | $ | 4,891,330 | $ | 6,040,293 | $ | 431,448 | $ | 9,277,442 | $ | 1,304,036 | $ | 4,043,251 | |||||||||||||
888,059 | 5,649,371 | 13,020,987 | 2,981,564 | 11 | 2 | — | ||||||||||||||||||||
58,268 | 334,922 | 283,946 | 218,088 | — | — | — | ||||||||||||||||||||
— | 56,920 | 34,483 | — | — | 9,119 | — | ||||||||||||||||||||
5,046 | 24,587 | 34,703 | 15,670 | 10,017 | 886 | 1,100 | ||||||||||||||||||||
(61,369 | ) | (131,618 | ) | (145,336 | ) | — | (113,708 | ) | (118,721 | ) | (314 | ) | ||||||||||||||
2,457,130 | 10,825,512 | 19,269,076 | 3,646,770 | 9,173,762 | 1,195,322 | 4,044,037 | ||||||||||||||||||||
524,602 | 1,734,682 | 1,865,095 | 436,447 | 579,387 | 235,051 | 1,203,799 | ||||||||||||||||||||
— | — | — | — | 852,414 | 340,815 | — | ||||||||||||||||||||
94,528 | 136,771 | 163,929 | 95,712 | 108,136 | 88,645 | 107,085 | ||||||||||||||||||||
27,697 | 29,843 | 30,478 | 28,751 | 25,785 | 56,827 | 26,214 | ||||||||||||||||||||
90,063 | 95,494 | 110,665 | 27,799 | 18,355 | 63,104 | 8,596 | ||||||||||||||||||||
4,741 | 5,824 | 6,444 | 4,710 | 4,905 | 4,617 | 5,072 | ||||||||||||||||||||
3,465 | 11,259 | 14,880 | 4,727 | 8,383 | 5,502 | 15,275 | ||||||||||||||||||||
6,647 | 15,680 | 19,349 | 6,680 | 6,637 | 6,637 | 6,938 | ||||||||||||||||||||
44,372 | 46,038 | 52,336 | 35,627 | 13,418 | 15,584 | 13,965 | ||||||||||||||||||||
796,115 | 2,075,591 | 2,263,176 | 640,453 | 1,617,420 | 816,782 | 1,386,944 | ||||||||||||||||||||
(150,452 | ) | — | — | — | (110,453 | ) | (144,390 | ) | — | |||||||||||||||||
645,663 | 2,075,591 | 2,263,176 | 640,453 | 1,506,967 | 672,392 | 1,386,944 | ||||||||||||||||||||
1,811,467 | 8,749,921 | 17,005,900 | 3,006,317 | 7,666,795 | 522,930 | 2,657,093 | ||||||||||||||||||||
1,096,128 | 11,060,242 | 1,087,181 | (478,945 | ) | 6,340,793 | 280,941 | 302,504 | |||||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
| 2 |
| 15 | 16 | 8 | 249 | — | — | ||||||||||||||||||
204,005 | 213,637 | 1,028,622 | (8,224 | ) | — | — | — | |||||||||||||||||||
(5,202 | ) | (2,300 | ) | (13,634 | ) | — | (43,747 | ) | (14,531 | ) | — | |||||||||||||||
(575 | ) | (8,625 | ) | — | (1,279 | ) | — | — | — | |||||||||||||||||
(3,662,471 | ) | (20,444,415 | ) | (18,706,372 | ) | (2,827,128 | ) | (12,719,578 | ) | (7,594,938 | ) | 736,047 | ||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||
(119,433 | ) | (287,073 | ) | (833,881 | ) | (71,485 | ) | — | — | — | ||||||||||||||||
(957 | ) | (1,915 | ) | (2,045 | ) | — | (1,935 | ) | 510 | (115 | ) | |||||||||||||||
1,172 | 17,586 | — | (9,568 | ) | — | — | — | |||||||||||||||||||
(2,487,331 | ) | (9,452,848 | ) | (17,440,113 | ) | (3,396,621 | ) | (6,424,218 | ) | (7,328,018 | ) | 1,038,436 | ||||||||||||||
$ | (675,864 | ) | $ | (702,927 | ) | $ | (434,213 | ) | $ | (390,304 | ) | $ | 1,242,577 | $ | (6,805,088 | ) | $ | 3,695,529 |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF OPERATIONS –CONTINUED
For the year ended December 31, 2015 | Small Cap Stock Portfolio | Small Cap Index Portfolio | Mid Cap Stock Portfolio | Mid Cap Index Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 4,022,794 | $ | 3,758,474 | $ | 11,074,891 | $ | 2,397,091 | ||||||||
Interest | 53 | 522 | 4,365 | 551 | ||||||||||||
Income from securities loaned | 339,653 | 196,224 | 46,903 | 55,339 | ||||||||||||
Income from affiliated investments | 8,696 | 9,709 | 44,126 | 9,210 | ||||||||||||
Foreign tax withholding | (58,556 | ) | (1,067 | ) | — | — | ||||||||||
Total Investment Income | 4,312,640 | 3,963,862 | 11,170,285 | 2,462,191 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 2,413,850 | 557,928 | 6,040,819 | 333,830 | ||||||||||||
Sub-Adviser fees | — | — | — | — | ||||||||||||
Administrative service fees | 144,076 | 130,214 | 245,467 | 110,045 | ||||||||||||
Audit and legal fees | 27,635 | 28,580 | 29,742 | 27,998 | ||||||||||||
Custody fees | 23,302 | 36,219 | 31,062 | 29,101 | ||||||||||||
Insurance expenses | 6,664 | 5,680 | 9,406 | 5,089 | ||||||||||||
Printing and postage expenses | 4,699 | 16,857 | — | 11,288 | ||||||||||||
Directors’ fees | 18,157 | 14,913 | 33,413 | 6,728 | ||||||||||||
Other expenses | 15,752 | 17,311 | 15,849 | 15,598 | ||||||||||||
Total Expenses Before Reimbursement | 2,654,135 | 807,702 | 6,405,758 | 539,677 | ||||||||||||
Less: | ||||||||||||||||
Reimbursement from adviser | — | — | (88,000 | ) | — | |||||||||||
Total Net Expenses | 2,654,135 | 807,702 | 6,317,758 | 539,677 | ||||||||||||
Net Investment Income/(Loss) | 1,658,505 | 3,156,160 | 4,852,527 | 1,922,514 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | 15,702,587 | 21,434,461 | 113,887,298 | 9,592,923 | ||||||||||||
Distributions of realized capital gains from affiliated investments | 24 | 9 | 41 | 4 | ||||||||||||
Futures contracts | 1,010,004 | 1,431,464 | 3,762,282 | 1,362,913 | ||||||||||||
Foreign currency and forward contract transactions | 1,102 | — | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (32,780,033 | ) | (31,659,694 | ) | (104,979,812 | ) | (17,718,315 | ) | ||||||||
Futures contracts | — | (753,482 | ) | — | (653,362 | ) | ||||||||||
Foreign currency forward contracts | — | — | — | — | ||||||||||||
Foreign currency transactions | (12 | ) | — | — | — | |||||||||||
Net Realized and Unrealized Gains/(Losses) | (16,066,328 | ) | (9,547,242 | ) | 12,669,809 | (7,415,837 | ) | |||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (14,407,823 | ) | $ | (6,391,082 | ) | $ | 17,522,336 | $ | (5,493,323 | ) |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF OPERATIONS –CONTINUED
Partner Worldwide Allocation Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio | Partner Growth Stock Portfolio | Large Cap Value Portfolio | Large Cap Stock Portfolio | Large Cap Index Portfolio | ||||||||||||||||||||
$ | 42,066,190 | $ | 983,109 | $ | 8,982,652 | $ | 665,336 | $ | 24,868,809 | $ | 17,189,928 | $ | 12,312,381 | |||||||||||||
10,631,365 | 6,666 | 3,451 | 4 | 21 | 17,524 | 570 | ||||||||||||||||||||
629,453 | 12,104 | 33,813 | 6,557 | 77,366 | 170,581 | 24,254 | ||||||||||||||||||||
28,853 | 1,617 | 51,311 | 1,256 | 14,385 | 92,394 | 17,811 | ||||||||||||||||||||
(3,999,885 | ) | (561 | ) | (36,147 | ) | (1,000 | ) | (155,320 | ) | (608,397 | ) | (1,252 | ) | |||||||||||||
49,355,976 | 1,002,935 | 9,035,080 | 672,153 | 24,805,261 | 16,862,030 | 12,353,764 | ||||||||||||||||||||
6,348,239 | 274,759 | 4,231,757 | 372,736 | 7,150,306 | 5,366,123 | 978,966 | ||||||||||||||||||||
7,478,693 | 473,104 | — | 374,492 | — | — | — | ||||||||||||||||||||
378,846 | 94,170 | 270,429 | 96,812 | 294,509 | 237,209 | 168,107 | ||||||||||||||||||||
77,749 | 26,696 | 30,988 | 28,816 | 30,987 | 32,224 | 29,438 | ||||||||||||||||||||
749,864 | 12,967 | 37,787 | 26,898 | 32,159 | 131,513 | 32,605 | ||||||||||||||||||||
12,408 | 4,711 | 9,304 | 4,768 | 10,020 | 8,599 | 6,518 | ||||||||||||||||||||
35,376 | 5,292 | 37,883 | 5,463 | 17,865 | 13,998 | 21,494 | ||||||||||||||||||||
56,047 | 6,679 | 39,098 | 6,689 | 42,450 | 31,131 | 20,931 | ||||||||||||||||||||
84,364 | 13,331 | 18,035 | 13,615 | 18,257 | 32,172 | 17,284 | ||||||||||||||||||||
15,221,586 | 911,709 | 4,675,281 | 930,289 | 7,596,553 | 5,852,969 | 1,275,343 | ||||||||||||||||||||
— | (191,213 | ) | (15,800 | ) | (123,244 | ) | — | (27,500 | ) | — | ||||||||||||||||
15,221,586 | 720,496 | 4,659,481 | 807,045 | 7,596,553 | 5,825,469 | 1,275,343 | ||||||||||||||||||||
34,134,390 | 282,439 | 4,375,599 | (134,892 | ) | 17,208,708 | 11,036,561 | 11,078,421 | |||||||||||||||||||
(20,176,364 | ) | 3,983,647 | 111,477,922 | 4,855,539 | 69,943,097 | (15,388,077 | ) | 1,939,771 | ||||||||||||||||||
26 | 2 | 40 | 2 | 10 | 57 | 14 | ||||||||||||||||||||
291,836 | — | 2,076,625 | — | — | 3,930,611 | 1,212,881 | ||||||||||||||||||||
2,116,550 | — | (10,753 | ) | (1,724 | ) | — | (52,972 | ) | — | |||||||||||||||||
(29,072,657 | ) | (2,955,105 | ) | (9,727,364 | ) | 4,236,653 | (129,207,993 | ) | 26,960,035 | (8,575,272 | ) | |||||||||||||||
(137,596 | ) | — | (322,890 | ) | — | — | 753,324 | (557,232 | ) | |||||||||||||||||
(608,150 | ) | — | — | — | — | — | — | |||||||||||||||||||
11,681 | — | 2,891 | 142 | — | (11,867 | ) | — | |||||||||||||||||||
(47,574,674 | ) | 1,028,544 | 103,496,471 | 9,090,612 | (59,264,886 | ) | 16,191,111 | (5,979,838 | ) | |||||||||||||||||
$ | (13,440,284 | ) | $ | 1,310,983 | $ | 107,872,070 | $ | 8,955,720 | $ | (42,056,178 | ) | $ | 27,227,672 | $ | 5,098,583 |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF OPERATIONS –CONTINUED
For the year ended December 31, 2015 | High Yield Portfolio | Income Portfolio | Bond Index Portfolio | Limited Maturity Bond Portfolio | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | 560,661 | $ | 1,816,571 | $ | — | $ | 427,585 | ||||||||
Interest | 50,967,905 | 53,862,024 | 2,442,608 | 19,533,120 | ||||||||||||
Income from mortgage dollar rolls | — | 1,160,933 | 993,506 | 648,438 | ||||||||||||
Income from securities loaned | 260,173 | 129,326 | 249 | 7,788 | ||||||||||||
Income from affiliated investments | 31,428 | 72,801 | 38,522 | 38,275 | ||||||||||||
Total Investment Income | 51,820,167 | 57,041,655 | 3,474,885 | 20,655,206 | ||||||||||||
Expenses | ||||||||||||||||
Adviser fees | 3,353,604 | 5,527,569 | 540,846 | 3,918,601 | ||||||||||||
Administrative service fees | 230,912 | 328,741 | 107,815 | 256,337 | ||||||||||||
Audit and legal fees | 32,446 | 34,975 | 26,011 | 30,101 | ||||||||||||
Custody fees | 23,586 | 41,226 | 12,855 | 33,674 | ||||||||||||
Insurance expenses | 8,595 | 11,137 | 5,094 | 9,288 | ||||||||||||
Printing and postage expenses | 31,542 | 24,842 | 9,576 | 12,711 | ||||||||||||
Directors’ fees | 32,174 | 47,565 | 6,915 | 36,889 | ||||||||||||
Other expenses | 36,814 | 39,649 | 21,689 | 37,724 | ||||||||||||
Total Expenses Before Reimbursement | 3,749,673 | 6,055,704 | 730,801 | 4,335,325 | ||||||||||||
Total Net Expenses | 3,749,673 | 6,055,704 | 730,801 | 4,335,325 | ||||||||||||
Net Investment Income/(Loss) | 48,070,494 | 50,985,951 | 2,744,084 | 16,319,881 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | (13,028,324 | ) | 6,395,648 | 1,041,628 | 3,089,456 | |||||||||||
Distributions of realized capital gains from affiliated investments | 27 | 50 | 16 | 10 | ||||||||||||
Written option contracts | — | — | — | 41,221 | ||||||||||||
Futures contracts | — | (2,388,800 | ) | — | (1,932,049 | ) | ||||||||||
Swap agreements | 707,345 | — | — | — | ||||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (52,839,405 | ) | (62,955,426 | ) | (2,597,769 | ) | (10,000,726 | ) | ||||||||
Futures contracts | — | (787,623 | ) | — | 563,742 | |||||||||||
Swap agreements | (266,087 | ) | — | — | — | |||||||||||
Net Realized and Unrealized Gains/(Losses) | (65,426,444 | ) | (59,736,151 | ) | (1,556,125 | ) | (8,238,346 | ) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | (17,355,950 | ) | $ | (8,750,200 | ) | $ | 1,187,959 | $ | 8,081,535 |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF OPERATIONS –CONTINUED
For the year ended December 31, 2015 | Money Market Portfolio | |||
Investment Income | ||||
Dividends | $ | 4,764 | ||
Interest | 281,220 | |||
Total Investment Income | 285,984 | |||
Expenses | ||||
Adviser fees | 537,094 | |||
Administrative service fees | 104,169 | |||
Audit and legal fees | 25,398 | |||
Custody fees | 30,002 | |||
Insurance expenses | 4,965 | |||
Printing and postage expenses | 8,619 | |||
Directors’ fees | 6,544 | |||
Other expenses | 17,520 | |||
Total Expenses Before Reimbursement | 734,311 | |||
Less: | ||||
Reimbursement from adviser | (447,375 | ) | ||
Total Net Expenses | 286,936 | |||
Net Investment Income/(Loss) | (952 | ) | ||
Realized and Unrealized Gains/(Losses) | ||||
Net realized gains/(losses) on: | ||||
Investments | 3,579 | |||
Net Realized and Unrealized Gains/(Losses) | 3,579 | |||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 2,627 |
The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS
Aggressive Allocation Portfolio | Moderately Aggressive Allocation Portfolio | |||||||||||||||
For the periods ended | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 6,951,429 | $ | 5,935,859 | $ | 59,950,102 | $ | 52,262,052 | ||||||||
Net realized gains/(losses) | 53,544,165 | 67,371,022 | 221,944,080 | 216,157,609 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (65,972,075 | ) | (23,347,857 | ) | (321,796,385 | ) | (1,625,428 | ) | ||||||||
Net Change in Net Assets Resulting From Operations | (5,476,481 | ) | 49,959,024 | (39,902,203 | ) | 266,794,233 | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (10,016,955 | ) | (3,726,768 | ) | (63,263,996 | ) | (38,731,043 | ) | ||||||||
From net realized gains | (64,276,808 | ) | (23,798,379 | ) | (221,020,955 | ) | (121,445,375 | ) | ||||||||
Total Distributions to Shareholders | (74,293,763 | ) | (27,525,147 | ) | (284,284,951 | ) | (160,176,418 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 97,207,283 | 97,332,428 | 243,080,600 | 385,542,249 | ||||||||||||
Distributions reinvested | 74,293,763 | 27,525,147 | 284,284,951 | 160,176,418 | ||||||||||||
Redeemed | (29,062,185 | ) | (41,801,258 | ) | (80,097,344 | ) | (101,884,966 | ) | ||||||||
Total Capital Stock Transactions | 142,438,861 | 83,056,317 | 447,268,207 | 443,833,701 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 62,668,617 | 105,490,194 | 123,081,053 | 550,451,516 | ||||||||||||
Net Assets, Beginning of Period | 904,889,906 | 799,399,712 | 4,774,997,566 | 4,224,546,050 | ||||||||||||
Net Assets, End of Period | $ | 967,558,523 | $ | 904,889,906 | $ | 4,898,078,619 | $ | 4,774,997,566 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 9,765,509 | $ | 10,055,369 | $ | 71,853,420 | $ | 63,325,415 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 6,446,047 | 6,398,050 | 16,716,940 | 26,564,398 | ||||||||||||
Distributions reinvested | 5,050,527 | 1,798,324 | 20,023,028 | 10,963,929 | ||||||||||||
Redeemed | (1,923,556 | ) | (2,744,367 | ) | (5,535,532 | ) | (6,997,792 | ) | ||||||||
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Total Capital Stock Share Transactions | 9,573,018 | 5,452,007 | 31,204,436 | 30,530,535 | ||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Moderate Allocation Portfolio | Moderately Conservative Allocation Portfolio | Growth and Income Plus Portfolio | Balanced Income Plus Portfolio | |||||||||||||||||||||||||||
12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | |||||||||||||||||||||||
$ | 137,851,838 | $ | 120,234,160 | $ | 69,925,732 | $ | 66,345,879 | $ | 1,811,467 | $ | 1,727,062 | $ | 8,749,921 | $ | 6,920,597 | |||||||||||||||
270,719,455 | 309,289,567 | 60,786,937 | 99,499,840 | 1,294,358 | 3,154,489 | 11,262,969 | 10,752,484 | |||||||||||||||||||||||
(459,388,269 | ) | 21,486,822 | (154,990,742 | ) | 13,234,373 | (3,781,689 | ) | (3,102,626 | ) | (20,715,817 | ) | (599,918 | ) | |||||||||||||||||
(50,816,976 | ) | 451,010,549 | (24,278,073 | ) | 179,080,092 | (675,864 | ) | 1,778,925 | (702,927 | ) | 17,073,163 | |||||||||||||||||||
(131,649,087 | ) | (90,042,092 | ) | (69,007,378 | ) | (53,606,712 | ) | (1,713,253 | ) | (1,923,162 | ) | (6,723,615 | ) | (4,580,942 | ) | |||||||||||||||
(339,666,242 | ) | (208,433,582 | ) | (105,251,002 | ) | (73,822,403 | ) | (3,260,084 | ) | (5,890,712 | ) | (10,737,920 | ) | (51,313,269 | ) | |||||||||||||||
(471,315,329 | ) | (298,475,674 | ) | (174,258,380 | ) | (127,429,115 | ) | (4,973,337 | ) | (7,813,874 | ) | (17,461,535 | ) | (55,894,211 | ) | |||||||||||||||
248,462,245 | 1,118,066,502 | 496,567,865 | 277,291,740 | 8,840,886 | 21,627,230 | 34,411,525 | 43,001,414 | |||||||||||||||||||||||
471,315,329 | 298,475,674 | 174,258,380 | 127,429,115 | 4,973,337 | 7,813,874 | 17,461,535 | 55,894,211 | |||||||||||||||||||||||
(148,152,856 | ) | (142,438,450 | ) | (51,537,032 | ) | (129,995,621 | ) | (10,505,454 | ) | (7,738,160 | ) | (23,670,541 | ) | (32,053,287 | ) | |||||||||||||||
571,624,718 | 1,274,103,726 | 619,289,213 | 274,725,234 | 3,308,769 | 21,702,944 | 28,202,519 | 66,842,338 | |||||||||||||||||||||||
49,492,413 | 1,426,638,601 | 420,752,760 | 326,376,211 | (2,340,432 | ) | 15,667,995 | 10,038,057 | 28,021,290 | ||||||||||||||||||||||
8,607,762,401 | 7,181,123,800 | 3,679,355,080 | 3,352,978,869 | 81,119,493 | 65,451,498 | 303,038,487 | 275,017,197 | |||||||||||||||||||||||
$ | 8,657,254,814 | $ | 8,607,762,401 | $ | 4,100,107,840 | $ | 3,679,355,080 | $ | 78,779,061 | $ | 81,119,493 | $ | 313,076,544 | $ | 303,038,487 | |||||||||||||||
$ | 149,830,112 | $ | 131,718,370 | $ | 74,352,002 | $ | 69,009,714 | $ | 1,781,865 | $ | 1,697,388 | $ | 8,403,985 | $ | 6,688,222 | |||||||||||||||
18,055,739 | 81,002,815 | 38,938,072 | 21,625,434 | 840,320 | 1,937,939 | 2,336,044 | 2,687,304 | |||||||||||||||||||||||
35,190,381 | 21,694,542 | 13,980,711 | 9,975,741 | 486,571 | 723,420 | 1,220,233 | 3,813,482 | |||||||||||||||||||||||
(10,880,050 | ) | (10,334,775 | ) | (4,053,106 | ) | (10,126,964 | ) | (996,250 | ) | (707,032 | ) | (1,616,429 | ) | (2,036,381 | ) | |||||||||||||||
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42,366,070 | 92,362,582 | 48,865,677 | 21,474,211 | 330,641 | 1,954,327 | 1,939,848 | 4,464,405 | |||||||||||||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Diversified Income Plus Portfolio | Opportunity Income Plus Portfolio | |||||||||||||||
For the periods ended | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 17,005,900 | $ | 15,516,934 | $ | 3,006,317 | $ | 2,013,767 | ||||||||
Net realized gains/(losses) | 2,102,185 | 10,750,364 | (488,440 | ) | 381,889 | |||||||||||
Change in net unrealized appreciation/(depreciation) | (19,542,298 | ) | (9,938,310 | ) | (2,908,181 | ) | (627,259 | ) | ||||||||
Net Change in Net Assets Resulting From Operations | (434,213 | ) | 16,328,988 | (390,304 | ) | 1,768,397 | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (15,370,120 | ) | (11,945,610 | ) | (2,967,738 | ) | (2,013,133 | ) | ||||||||
From net realized gains | (9,166,017 | ) | — | — | — | |||||||||||
Total Distributions to Shareholders | (24,536,137 | ) | (11,945,610 | ) | (2,967,738 | ) | (2,013,133 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 60,503,894 | 78,367,852 | 35,378,258 | 34,935,161 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 24,536,137 | 11,945,610 | 2,967,738 | 2,013,133 | ||||||||||||
Redeemed | (17,832,528 | ) | (20,073,456 | ) | (7,084,172 | ) | (11,483,556 | ) | ||||||||
Total Capital Stock Transactions | 67,207,503 | 70,240,006 | 31,261,824 | 25,464,738 | ||||||||||||
Net lncrease/(Decrease) in Net Assets | 42,237,153 | 74,623,384 | 27,903,782 | 25,220,002 | ||||||||||||
Net Assets, Beginning of Period | 437,335,632 | 362,712,248 | 71,761,185 | 46,541,183 | ||||||||||||
Net Assets, End of Period | $ | 479,572,785 | $ | 437,335,632 | $ | 99,664,967 | $ | 71,761,185 | ||||||||
Accumulated Undistributed Net Investment lncome/(Loss) | $ | 17,565,006 | $ | 15,507,791 | $ | 39,603 | $ | 1,795 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 7,685,123 | 9,878,425 | 3,497,874 | 3,408,417 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 3,202,649 | 1,506,284 | 294,285 | 196,344 | ||||||||||||
Redeemed | (2,290,169 | ) | (2,539,841 | ) | (700,732 | ) | (1,119,921 | ) | ||||||||
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Total Capital Stock Share Transactions | 8,597,603 | 8,844,868 | 3,091,427 | 2,484,840 | ||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Partner Healthcare Portfolio | Partner Emerging Markets Equity Portfolio | Real Estate Securities Portfolio | Small Cap Stock Portfolio | |||||||||||||||||||||||||||
12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | |||||||||||||||||||||||
$ | 7,666,795 | $ | 24,225 | $ | 522,930 | $ | 620,449 | $ | 2,657,093 | $ | 2,213,068 | $ | 1,658,505 | $ | 1,378,508 | |||||||||||||||
6,297,295 | 9,030,304 | 266,410 | (975,578 | ) | 302,504 | 6,262,880 | 16,713,717 | 41,140,932 | ||||||||||||||||||||||
(12,721,513 | ) | 6,278,632 | (7,594,428 | ) | 529,283 | 735,932 | 26,974,408 | (32,780,045 | ) | (28,977,503 | ) | |||||||||||||||||||
1,242,577 | 15,333,161 | (6,805,088 | ) | 174,154 | 3,695,529 | 35,450,356 | (14,407,823 | ) | 13,541,937 | |||||||||||||||||||||
(9,026 | ) | — | (580,153 | ) | (625,090 | ) | (2,187,603 | ) | (2,006,084 | ) | (1,376,310 | ) | (760,245 | ) | ||||||||||||||||
(9,023,465 | ) | (4,267,782 | ) | — | — | (6,314,500 | ) | (2,407,859 | ) | (39,985,690 | ) | (3,810,915 | ) | |||||||||||||||||
(9,032,491 | ) | (4,267,782 | ) | (580,153 | ) | (625,090 | ) | (8,502,103 | ) | (4,413,943 | ) | (41,362,000 | ) | (4,571,160 | ) | |||||||||||||||
92,802,357 | 37,891,021 | 7,350,729 | 12,120,351 | 21,146,056 | 19,573,670 | 6,004,931 | 6,694,325 | |||||||||||||||||||||||
— | — | — | — | — | — | 129,919,332 | — | |||||||||||||||||||||||
9,032,491 | 4,267,782 | 580,153 | 625,090 | 8,502,103 | 4,413,943 | 41,362,000 | 4,571,160 | |||||||||||||||||||||||
(3,931,639 | ) | (4,801,440 | ) | (5,542,564 | ) | (23,701,729 | ) | (11,848,142 | ) | (32,545,004 | ) | (14,085,913 | ) | (68,471,873 | ) | |||||||||||||||
97,903,209 | 37,357,363 | 2,388,318 | (10,956,288 | ) | 17,800,017 | (8,557,391 | ) | 163,200,350 | (57,206,388 | ) | ||||||||||||||||||||
90,113,295 | 48,422,742 | (4,996,923 | ) | (11,407,224 | ) | 12,993,443 | 22,479,022 | 107,430,527 | (48,235,611 | ) | ||||||||||||||||||||
102,121,585 | 53,698,843 | 48,461,622 | 59,868,846 | 142,544,864 | 120,065,842 | 306,338,035 | 354,573,646 | |||||||||||||||||||||||
$ | 192,234,880 | $ | 102,121,585 | $ | 43,464,699 | $ | 48,461,622 | $ | 155,538,307 | $ | 142,544,864 | $ | 413,768,562 | $ | 306,338,035 | |||||||||||||||
$ | 7,610,463 | $ | (3,559 | ) | $ | 430,436 | $ | 502,190 | $ | 2,605,351 | $ | 2,167,266 | $ | 1,283,325 | $ | 1,323,275 | ||||||||||||||
4,458,973 | 2,022,167 | 623,165 | 948,289 | 925,981 | 950,655 | 346,038 | 380,860 | |||||||||||||||||||||||
— | — | — | — | — | — | 8,046,136 | — | |||||||||||||||||||||||
434,112 | 234,644 | 48,589 | 46,995 | 422,209 | 217,660 | 2,420,926 | 257,462 | |||||||||||||||||||||||
(195,496 | ) | (261,666 | ) | (469,831 | ) | (1,782,215 | ) | (539,452 | ) | (1,588,870 | ) | (838,753 | ) | (3,920,354 | ) | |||||||||||||||
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4,697,589 | 1,995,145 | 201,923 | (786,931 | ) | 808,738 | (420,555 | ) | 9,974,347 | (3,282,032 | ) | ||||||||||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
209
Table of Contents
THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Small Cap Index Portfolio | Mid Cap Stock Portfolio | |||||||||||||||
For the periods ended | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 3,156,160 | $ | 2,226,236 | $ | 4,852,527 | $ | 4,477,794 | ||||||||
Net realized gains/(losses) | 22,865,934 | 19,496,569 | 117,649,621 | 81,651,039 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | (32,413,176 | ) | (8,079,689 | ) | (104,979,812 | ) | (5,733,046 | ) | ||||||||
Net Change in Net Assets Resulting From Operations | (6,391,082 | ) | 13,643,116 | 17,522,336 | 80,395,787 | |||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (2,182,237 | ) | (1,923,687 | ) | (4,486,191 | ) | (2,238,163 | ) | ||||||||
From net realized gains | (19,386,011 | ) | (17,451,260 | ) | (81,601,370 | ) | (31,748,560 | ) | ||||||||
Total Distributions to Shareholders | (21,568,248 | ) | (19,374,947 | ) | (86,087,561 | ) | (33,986,723 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 35,257,316 | 19,450,966 | 10,660,395 | 12,414,918 | ||||||||||||
Issued in connection with merger | — | — | 445,589,040 | — | ||||||||||||
Distributions reinvested | 21,568,248 | 19,374,947 | 86,087,561 | 33,986,723 | ||||||||||||
Redeemed | (17,625,251 | ) | (27,229,344 | ) | (31,809,954 | ) | (15,614,364 | ) | ||||||||
Total Capital Stock Transactions | 39,200,313 | 11,596,569 | 510,527,042 | 30,787,277 | ||||||||||||
Net Increase/(Decrease) in Net Assets | 11,240,983 | 5,864,738 | 441,961,817 | 77,196,341 | ||||||||||||
Net Assets, Beginning of Period | 268,626,586 | 262,761,848 | 752,618,439 | 675,422,098 | ||||||||||||
Net Assets, End of Period | $ | 279,867,569 | $ | 268,626,586 | $ | 1,194,580,256 | $ | 752,618,439 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | 3,093,435 | $ | 2,167,493 | $ | 4,149,933 | $ | 4,100,262 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 2,092,201 | 1,139,106 | 601,576 | 681,375 | ||||||||||||
Issued in connection with merger | — | — | 27,661,254 | — | ||||||||||||
Distributions reinvested | 1,288,595 | 1,146,358 | 5,111,268 | 1,849,557 | ||||||||||||
Redeemed | (1,041,563 | ) | (1,589,636 | ) | (1,878,331 | ) | (855,258 | ) | ||||||||
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|
| |||||||||
Total Capital Stock Share Transactions | 2,339,233 | 695,828 | 31,495,767 | 1,675,674 | ||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
210
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THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Mid Cap Index Portfolio | Partner Worldwide Allocation Portfolio | Partner All Cap Portfolio | Large Cap Growth Portfolio | |||||||||||||||||||||||||||
12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | |||||||||||||||||||||||
$ | 1,922,514 | $ | 1,182,443 | $ | 34,134,390 | $ | 38,146,324 | $ | 282,439 | $ | 312,718 | $ | 4,375,599 | $ | 5,587,936 | |||||||||||||||
10,955,840 | 6,974,875 | (17,767,952 | ) | 69,845,647 | 3,983,649 | 8,714,041 | 113,543,834 | 163,556,942 | ||||||||||||||||||||||
(18,371,677 | ) | 3,812,395 | (29,806,722 | ) | (198,771,520 | ) | (2,955,105 | ) | (1,331,941 | ) | (10,047,363 | ) | (59,632,233 | ) | ||||||||||||||||
(5,493,323 | ) | 11,969,713 | (13,440,284 | ) | (90,779,549 | ) | 1,310,983 | 7,694,818 | 107,872,070 | 109,512,645 | ||||||||||||||||||||
(1,183,197 | ) | (1,001,203 | ) | (41,262,492 | ) | (34,636,379 | ) | (263,625 | ) | (396,564 | ) | (4,480,734 | ) | (6,205,697 | ) | |||||||||||||||
(7,456,805 | ) | (6,112,967 | ) | — | — | (8,194,852 | ) | — | — | — | ||||||||||||||||||||
(8,640,002 | ) | (7,114,170 | ) | (41,262,492 | ) | (34,636,379 | ) | (8,458,477 | ) | (396,564 | ) | (4,480,734 | ) | (6,205,697 | ) | |||||||||||||||
45,971,973 | 20,796,010 | 30,446,483 | 22,264,244 | 19,782,668 | 5,673,145 | 26,854,540 | 27,123,582 | |||||||||||||||||||||||
— | — | — | — | — | — | 61,211,950 | — | |||||||||||||||||||||||
8,640,002 | 7,114,170 | 41,262,492 | 34,636,379 | 8,458,477 | 396,564 | 4,480,734 | 6,205,697 | |||||||||||||||||||||||
(5,371,848 | ) | (10,694,946 | ) | (18,736,363 | ) | (30,182,494 | ) | (4,376,941 | ) | (7,677,955 | ) | (90,795,950 | ) | (194,100,261 | ) | |||||||||||||||
49,240,127 | 17,215,234 | 52,972,612 | 26,718,129 | 23,864,204 | (1,608,246 | ) | 1,751,274 | (160,770,982 | ) | |||||||||||||||||||||
35,106,802 | 22,070,777 | (1,730,164 | ) | (98,697,799 | ) | 16,716,710 | 5,690,008 | 105,142,610 | (57,464,034 | ) | ||||||||||||||||||||
145,063,488 | 122,992,711 | 1,607,290,786 | 1,705,988,585 | 69,498,392 | 63,808,384 | 1,004,507,744 | 1,061,971,778 | |||||||||||||||||||||||
$ | 180,170,290 | $ | 145,063,488 | $ | 1,605,560,622 | $ | 1,607,290,786 | $ | 86,215,102 | $ | 69,498,392 | $ | 1,109,650,354 | $ | 1,004,507,744 | |||||||||||||||
$ | 1,897,754 | $ | 1,159,699 | $ | 33,094,109 | $ | 38,622,010 | $ | 255,055 | $ | 296,891 | $ | (98,849 | ) | $ | 35,506 | ||||||||||||||
2,837,565 | 1,310,042 | 3,182,107 | 2,250,484 | 1,444,191 | 431,176 | 893,765 | 1,017,440 | |||||||||||||||||||||||
— | — | — | — | — | — | 2,142,856 | — | |||||||||||||||||||||||
536,230 | 447,533 | 4,320,951 | 3,380,214 | 636,871 | 29,955 | 145,529 | 222,358 | |||||||||||||||||||||||
(332,173 | ) | (674,553 | ) | (1,997,479 | ) | (3,045,127 | ) | (318,427 | ) | (581,464 | ) | (3,039,753 | ) | (7,186,682 | ) | |||||||||||||||
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| |||||||||||||||
3,041,622 | 1,083,022 | 5,505,579 | 2,585,571 | 1,762,635 | (120,333 | ) | 142,397 | (5,946,884 | ) | |||||||||||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
211
Table of Contents
THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Partner Growth Stock Portfolio | Large Cap Value Portfolio | |||||||||||||||
For the periods ended | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | (134,892 | ) | $ | (143,988 | ) | $ | 17,208,708 | $ | 15,485,509 | ||||||
Net realized gains/(losses) | 4,853,817 | 9,097,342 | 69,943,107 | 61,684,298 | ||||||||||||
Change in net unrealized appreciation/(depreciation) | 4,236,795 | (2,458,144 | ) | (129,207,993 | ) | 23,223,019 | ||||||||||
Net Change in Net Assets Resulting From Operations | 8,955,720 | 6,495,210 | (42,056,178 | ) | 100,392,826 | |||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | — | — | (15,306,586 | ) | (14,210,465 | ) | ||||||||||
From net realized gains | (8,951,938 | ) | (6,496,774 | ) | (35,220,436 | ) | — | |||||||||
Total Distributions to Shareholders | (8,951,938 | ) | (6,496,774 | ) | (50,527,022 | ) | (14,210,465 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 24,791,006 | 9,628,170 | 7,314,689 | 13,682,320 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 8,951,938 | 6,496,774 | 50,527,022 | 14,210,465 | ||||||||||||
Redeemed | (5,395,062 | ) | (10,635,385 | ) | (23,242,768 | ) | (28,234,730 | ) | ||||||||
Total Capital Stock Transactions | 28,347,882 | 5,489,559 | 34,598,943 | (341,945 | ) | |||||||||||
Net Increase/(Decrease) in Net Assets | 28,351,664 | 5,487,995 | (57,984,257 | ) | 85,840,416 | |||||||||||
Net Assets, Beginning of Period | 81,721,986 | 76,233,991 | 1,205,002,455 | 1,119,162,039 | ||||||||||||
Net Assets, End of Period | $ | 110,073,650 | $ | 81,721,986 | $ | 1,147,018,198 | $ | 1,205,002,455 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | (21,959 | ) | $ | (19,923 | ) | $ | 15,909,295 | $ | 14,985,013 | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 1,312,766 | 519,716 | 447,454 | 851,800 | ||||||||||||
Issued in connection with merger | — | — | — | — | ||||||||||||
Distributions reinvested | 499,634 | 371,456 | 3,109,413 | 869,333 | ||||||||||||
Redeemed | (282,125 | ) | (581,551 | ) | (1,419,730 | ) | (1,755,314 | ) | ||||||||
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| |||||||||
Total Capital Stock Share Transactions | 1,530,275 | 309,621 | 2,137,137 | (34,181 | ) | |||||||||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
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THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Large Cap Stock Portfolio | Large Cap Index Portfolio | High Yield Portfolio | Income Portfolio | |||||||||||||||||||||||||||
12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | |||||||||||||||||||||||
$ | 11,036,561 | $ | 10,040,750 | $ | 11,078,421 | $ | 6,821,833 | $ | 48,070,494 | $ | 53,971,230 | $ | 50,985,951 | $ | 54,103,593 | |||||||||||||||
(11,510,381 | ) | 69,110,961 | 3,152,666 | 2,664,831 | (12,320,952 | ) | 13,193,932 | 4,006,898 | 25,966,758 | |||||||||||||||||||||
27,701,492 | (36,495,875 | ) | (9,132,504 | ) | 42,486,523 | (53,105,492 | ) | (47,671,133 | ) | (63,743,049 | ) | 12,917,898 | ||||||||||||||||||
27,227,672 | 42,655,836 | 5,098,583 | 51,973,187 | (17,355,950 | ) | 19,494,029 | (8,750,200 | ) | 92,988,249 | |||||||||||||||||||||
(10,019,263 | ) | (7,274,387 | ) | (6,663,271 | ) | (5,820,275 | ) | (48,028,166 | ) | (54,199,192 | ) | (50,670,151 | ) | (53,952,988 | ) | |||||||||||||||
(63,898,912 | ) | — | (2,302,000 | ) | (927,955 | ) | — | — | (30,735,056 | ) | (17,510,205 | ) | ||||||||||||||||||
(73,918,175 | ) | (7,274,387 | ) | (8,965,271 | ) | (6,748,230 | ) | (48,028,166 | ) | (54,199,192 | ) | (81,405,207 | ) | (71,463,193 | ) | |||||||||||||||
11,194,752 | 9,307,227 | 89,820,844 | 40,918,587 | 26,632,909 | 27,735,059 | 122,259,487 | 16,327,597 | |||||||||||||||||||||||
30,415,790 | — | — | — | — | — | — | — | |||||||||||||||||||||||
73,918,175 | 7,274,387 | 8,965,271 | 6,748,230 | 48,028,166 | 54,199,192 | 81,405,207 | 71,463,193 | |||||||||||||||||||||||
(24,437,928 | ) | (29,323,725 | ) | (24,176,844 | ) | (35,085,339 | ) | (152,940,377 | ) | (113,316,667 | ) | (169,751,450 | ) | (134,662,331 | ) | |||||||||||||||
91,090,789 | (12,742,111 | ) | 74,609,271 | 12,581,478 | (78,279,302 | ) | (31,382,416 | ) | 33,913,244 | (46,871,541 | ) | |||||||||||||||||||
44,400,286 | 22,639,338 | 70,742,583 | 57,806,435 | (143,663,418 | ) | (66,087,579 | ) | (56,242,163 | ) | (25,346,485 | ) | |||||||||||||||||||
834,515,044 | 811,875,706 | 450,436,476 | 392,630,041 | 855,796,930 | 921,884,509 | 1,392,262,596 | 1,417,609,081 | |||||||||||||||||||||||
$ | 878,915,330 | $ | 834,515,044 | $ | 521,179,059 | $ | 450,436,476 | $ | 712,133,512 | $ | 855,796,930 | $ | 1,336,020,433 | $ | 1,392,262,596 | |||||||||||||||
$ | 10,417,603 | $ | 9,674,625 | $ | 10,979,600 | $ | 6,739,988 | $ | 68,605 | $ | 313,742 | $ | 316,882 | $ | (113,133 | ) | ||||||||||||||
901,555 | 763,018 | 3,120,135 | 1,510,271 | 5,599,070 | 5,446,151 | 12,173,633 | 1,547,161 | |||||||||||||||||||||||
2,717,491 | — | — | — | — | — | — | — | |||||||||||||||||||||||
6,278,512 | 583,594 | 314,996 | 249,150 | 9,962,929 | 10,675,532 | 7,986,614 | 6,770,456 | |||||||||||||||||||||||
(1,997,861 | ) | (2,403,756 | ) | (840,976 | ) | (1,307,336 | ) | (32,135,168 | ) | (22,365,303 | ) | (16,838,619 | ) | (12,771,102 | ) | |||||||||||||||
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7,899,697 | (1,057,144 | ) | 2,594,155 | 452,085 | (16,573,169 | ) | (6,243,620 | ) | 3,321,628 | (4,453,485 | ) | |||||||||||||||||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
213
Table of Contents
THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Bond Index Portfolio | Limited Maturity Bond Portfolio | |||||||||||||||
For the periods ended | 12/31/2015 | 12/31/2014 | 12/31/2015 | 12/31/2014 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 2,744,084 | $ | 3,314,697 | $ | 16,319,881 | $ | 18,619,779 | ||||||||
Net realized gains/(losses) | 1,041,644 | 1,450,014 | 1,198,638 | (1,138,898 | ) | |||||||||||
Change in net unrealized appreciation/(depreciation) | (2,597,769 | ) | 4,703,041 | (9,436,984 | ) | 456,626 | ||||||||||
Net Change in Net Assets Resulting From Operations | 1,187,959 | 9,467,752 | 8,081,535 | 17,937,507 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income | (2,744,084 | ) | (3,314,697 | ) | (16,313,198 | ) | (18,195,371 | ) | ||||||||
Total Distributions to Shareholders | (2,744,084 | ) | (3,314,697 | ) | (16,313,198 | ) | (18,195,371 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 20,209,678 | 11,545,085 | 112,264,971 | 32,112,602 | ||||||||||||
Distributions reinvested | 2,744,084 | 3,314,697 | 16,313,198 | 18,195,371 | ||||||||||||
Redeemed | (14,058,228 | ) | (23,075,491 | ) | (314,787,709 | ) | (114,240,511 | ) | ||||||||
Total Capital Stock Transactions | 8,895,534 | (8,215,709 | ) | (186,209,540 | ) | (63,932,538 | ) | |||||||||
Net Increase/(Decrease) in Net Assets | 7,339,409 | (2,062,654 | ) | (194,441,203 | ) | (64,190,402 | ) | |||||||||
Net Assets, Beginning of Period | 149,954,124 | 152,016,778 | 1,018,337,796 | 1,082,528,198 | ||||||||||||
Net Assets, End of Period | $ | 157,293,533 | $ | 149,954,124 | $ | 823,896,593 | $ | 1,018,337,796 | ||||||||
Accumulated Undistributed Net Investment Income/(Loss) | $ | (602 | ) | $ | (602 | ) | $ | 406,288 | $ | 425,277 | ||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 1,837,590 | 1,063,905 | 11,475,409 | 3,257,533 | ||||||||||||
Distributions reinvested | 249,362 | 306,504 | 1,661,359 | 1,845,982 | ||||||||||||
Redeemed | (1,278,380 | ) | (2,136,588 | ) | (32,154,807 | ) | (11,596,039 | ) | ||||||||
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Total Capital Stock Share Transactions | 808,572 | (766,179 | ) | (19,018,039 | ) | (6,492,524 | ) | |||||||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
214
Table of Contents
THRIVENT SERIES FUND, INC.
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Money Market Portfolio | ||||||
12/31/2015 | 12/31/2014 | |||||
$ | (952 | ) | $ | — | ||
3,579 | (759 | ) | ||||
— | — | |||||
2,627 | (759 | ) | ||||
— | — | |||||
— | — | |||||
88,468,253 | 65,254,801 | |||||
— | — | |||||
(68,005,209 | ) | (85,420,968 | ) | |||
20,463,044 | (20,166,167 | ) | ||||
20,465,671 | (20,166,926 | ) | ||||
126,414,788 | 146,581,714 | |||||
$ | 146,880,459 | $ | 126,414,788 | |||
$ | — | $ | — | |||
88,468,253 | 65,254,800 | |||||
— | — | |||||
(68,005,209 | ) | (85,420,967 | ) | |||
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| |||
20,463,044 | (20,166,167 | ) | ||||
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The accompanying Notes to Financial Statements are an integral part of this statement.
215
Table of Contents
THRIVENT SERIES FUND, INC.
December 31, 2015
(1) ORGANIZATION
Thrivent Series Fund, Inc. (the “Fund”), a corporation organized under the laws of Minnesota, is registered under the Investment Company Act of 1940 (the “1940 Act”). The Fund is divided into twenty-seven separate series (each, a “Portfolio”), each with its own investment objective and policies. The Fund consists of four asset allocation Portfolios, four income plus Portfolios, fourteen equity Portfolios, four fixed-income Portfolios, and one money market Portfolio. The assets of each Portfolio are segregated, and each has a separate class of capital stock.
Shares in the Fund are currently sold, without sales charges, only to retirement plans sponsored by Thrivent Financial for Lutherans (“Thrivent Financial” or the “Adviser”) or separate accounts of Thrivent Financial or Thrivent Life Insurance Company (“Thrivent Life”), which are used to fund benefits of variable life insurance and variable annuity contracts issued by Thrivent Financial and Thrivent Life.
Each of the Portfolios is an investment company that follows the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 - Financial Services - Investment Companies.
Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts with service providers and others that provide general damage clauses. The Fund’s maximum exposure under these contracts is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
(A) Mergers – At a meeting held on August 14, 2015, contractholders of Thrivent Partner Small Cap Growth Portfolio, Thrivent Partner Small Cap Value Portfolio, Thrivent Mid Cap Growth Portfolio, Thrivent Partner Mid Cap Value Portfolio, Thrivent Natural Resources Portfolio, and Thrivent Partner Technology Portfolio (the “Target Portfolios”) approved the merger of the Target Portfolios into the Portfolios shown below (the “Acquiring Portfolios”).
Target Portfolios | Acquiring Portfolios | |||
Partner Small Cap Growth | > | Small Cap Stock | ||
Partner Small Cap Value | > | Small Cap Stock | ||
Mid Cap Growth | > | Mid Cap Stock | ||
Partner Mid Cap Value | > | Mid Cap Stock | ||
Natural Resources | > | Large Cap Stock | ||
Partner Technology | > | Large Cap Growth |
The mergers occurred at the close of business on August 21, 2015. Acquisition of the assets and liabilities of the Target Portfolios by the Acquiring Portfolios were followed by the distribution of the Acquiring Portfolios’ shares to the Target Portfolios’ contract holders. The shares issued of the Acquiring Portfolios are disclosed in the Statement of Changes in Net Assets.
The mergers were accomplished by tax free exchanges as detailed below:
Portfolio | Description | Net Assets as of August 21, 2015 | ||||
Small Cap Stock | Acquiring Portfolio | $ | 307,383,234 | |||
Partner Small Cap Growth | Target Portfolio | $ | 48,776,411 | |||
Partner Small Cap Value | Target Portfolio | $ | 81,142,921 | |||
Small Cap Stock | After Acquisition | $ | 437,302,566 | |||
Mid Cap Stock | Acquiring Portfolio | $ | 725,136,640 | |||
Mid Cap Growth | Target Portfolio | $ | 411,465,006 | |||
Partner Mid Cap Value | Target Portfolio | $ | 34,124,034 | |||
Mid Cap Stock | After Acquisition | $ | 1,170,725,680 | |||
Large Cap Stock | Acquiring Portfolio | $ | 822,157,367 | |||
Natural Resources | Target Portfolio | $ | 30,415,790 | |||
Large Cap Stock | After Acquisition | $ | 852,573,157 | |||
Large Cap Growth | Acquiring Portfolio | $ | 983,293,490 | |||
Partner Technology | Target Portfolio | $ | 61,211,950 | |||
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| |||||
Large Cap Growth | After Acquisition | $ | 1,044,505,440 | |||
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216
Table of Contents
THRIVENT SERIES FUND, INC.
NOTESTO FINANCIAL STATEMENTS
December 31, 2015
As of August 21, 2015, the net assets of the Target Portfolios were comprised of the following:
Target Portfolio | Unrealized Appreciation/ (Depreciation) | Undistributed Net Investment Income | Accumulated Net Realized Gains/ (Losses) | Capital Stock | ||||||||||||
Partner Small Cap Growth | $ | 5,116,383 | $ | (155,592 | ) | $ | 17,762,180 | $ | 26,053,440 | |||||||
Partner Small Cap Value | $ | 12,172,079 | $ | (465,732 | ) | $ | 106,081,143 | $ | (36,644,569 | ) | ||||||
Mid Cap Growth | $ | 98,121,712 | $ | 43,055 | $ | (204,124 | ) | $ | 313,504,363 | |||||||
Partner Mid Cap Value | $ | (4,097,780 | ) | $ | 1,374,245 | $ | 53,479,724 | $ | (16,632,155 | ) | ||||||
Natural Resources | $ | (13,776,587 | ) | $ | (11,187 | ) | $ | (4,240,765 | ) | $ | 48,444,329 | |||||
Partner Technology | $ | 13,378,254 | $ | (163,802 | ) | $ | 114,262 | $ | 47,883,236 |
The Target Portfolios’ capital loss carryovers are carried over to the Acquiring Portfolios. The amounts, if any, and applicable limitations are disclosed in Note (4) Tax Information.
Assuming the mergers had been completed on January 1, 2015 the Acquiring Portfolios’ pro-forma results of operations for the year ended December 31, 2015 would be the following:
Acquiring Portfolio | Net Change in Unrealized Appreciation/ (Depreciation) | Net Investment Income | Net Gains/(Losses) on Investments | Net Increase in Net Assets from Operations | ||||||||||||
Small Cap Stock | $ | (152,472,171 | ) | $ | 3,806,264 | $ | 132,587,125 | $ | (16,078,782 | ) | ||||||
Mid Cap Stock | $ | (198,911,176 | ) | $ | 5,856,004 | $ | 202,884,388 | $ | 9,829,216 | |||||||
Large Cap Stock | $ | 20,534,205 | $ | 11,163,071 | $ | (11,315,733 | ) | $ | 20,381,543 | |||||||
Large Cap Growth | $ | (11,635,658 | ) | $ | 4,348,728 | $ | 115,283,367 | $ | 107,996,437 |
The financial statements reflect the operations of the Acquiring Portfolios for the period prior to the merger and the combined Portfolios for the period subsequent to the mergers. Because the combined investment portfolios have been managed as a single integrated portfolio since the mergers were completed, it is not practicable to separate the amounts of revenue and earnings of Thrivent Partner Small Cap Growth Portfolio, Thrivent Partner Small Cap Value Portfolio, Thrivent Mid Cap Growth Portfolio, Thrivent Partner Mid Cap Value Portfolio, Thrivent Natural Resources Portfolio, and Thrivent Partner Technology Portfolio that have been included in the Acquiring Portfolios’ Statement of Operations since the mergers were completed.
(2) SIGNIFICANT ACCOUNTING POLICIES
(A) Valuation of Investments – Securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day unless otherwise stated below. Over-the-counter securities and listed securities for which no price is readily available are valued at the current bid price considered best to represent the value at that time. Security prices are based on quotes that are obtained from an independent pricing service approved by the Board of Directors (the “Board”). The pricing service, in determining values of fixed-income securities, takes into consideration such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities which cannot be valued by the approved pricing service are valued using price quotes obtained from third-party broker-dealers that make markets in the securities. Exchange-listed options and futures contracts are valued at the last quoted sales price. Swap agreements are valued at the latest bid quotation of the contract as furnished by an independent pricing service. Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by the pricing service. Investments in open-ended mutual funds are valued at their net asset value at the close of each business day. Short-term securities are valued at amortized cost (which approximates market value) to the extent it is not materially different than market value.
Securities held by the Money Market Portfolio are valued on the basis of amortized cost (which approximates market value), whereby a portfolio security is valued at its cost initially and thereafter valued to reflect a constant amortization to maturity of any discount or premium. The Money Market Portfolio and the Adviser follow procedures designed to help maintain a constant net asset value of $1.00 per share.
The Board has delegated responsibility for daily valuation of the Portfolios’ securities to the Adviser. The Adviser has formed a Valuation Committee (“Committee”) that is responsible for overseeing the Portfolios’ valuation policies in accordance with Valuation Policies and Procedures. The Committee meets on a monthly and on an as-needed basis to review price challenges, price overrides, stale prices, shadow prices, manual prices, money market pricing, international fair valuation, and other securities requiring fair valuation.
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The Committee monitors for significant events occurring prior to the close of trading on the New York Stock Exchange that could have a material impact on the value of any securities that are held by the Portfolios. Examples of such events include trading halts, national news/events, and issuer-specific developments. If the Committee decides that such events warrant using fair value estimates, the Committee will take such events into consideration in determining the fair value of such securities. If market quotations or prices are not readily available or determined to be unreliable, the securities will be valued at fair value as determined in good faith pursuant to procedures adopted by the Board.
In accordance with U.S. Generally Accepted Accounting Principles (“GAAP”), the various inputs used to determine the fair value of the Portfolios’ investments are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities, typically included in this level are U.S. equity securities, futures, options and registered investment company funds. Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically included in this level are fixed income securities, international securities, swaps and forward contracts. Level 3 includes significant unobservable inputs such as the Adviser’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were fair valued as determined in good faith under procedures established by the Board. The valuation levels are not necessarily an indication of the risk associated with investing in these securities or other investments.
Valuation of International Securities – Because many foreign markets close before the U.S. markets, events may occur between the close of the foreign market and the close of the U.S. markets that could have a material impact on the valuation of foreign securities. The Portfolios, under the supervision of the Board, evaluate the impacts of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the U.S. markets. The Board has authorized the Adviser to make fair valuation determinations pursuant to policies approved by the Board.
(B) Foreign Currency Translation – The accounting records of each Portfolio are maintained in U.S. dollars. Securities and other assets and liabilities that are denominated in foreign currencies are translated into U.S. dollars at the daily closing rates of exchange.
Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. Net realized and unrealized currency gains and losses are recorded from closed currency contracts, disposition of foreign currencies, exchange gains or losses between the trade date and settlement date on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Portfolios do not separately report the effect of changes in foreign exchange rates from changes in prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Statement of Operations.
For federal income tax purposes, the Portfolios treat the effect of changes in foreign exchange rates arising from actual foreign currency transactions and the changes in foreign exchange rates between the trade date and settlement date as ordinary income.
(C) Foreign Denominated Investments – Foreign denominated assets and currency contracts may involve more risks than domestic transactions including currency risk, political and economic risk, regulatory risk, and market risk. Certain Portfolios may also invest in securities of companies located in emerging markets. Future economic or political developments could adversely affect the liquidity or value, or both, of such securities.
(D) Federal Income Taxes – No provision has been made for income taxes because each Portfolio’s policy is to qualify as a regulated investment company under the Internal Revenue Code and distribute substantially all investment company taxable income and net capital gain on a timely basis. It is also the intention of each Portfolio to distribute an amount sufficient to avoid imposition of any federal excise tax. The Portfolios, accordingly, anticipate paying no federal taxes and no federal tax provision was recorded. Each Portfolio is treated as a separate taxable entity for federal income tax purposes. Certain Portfolios may utilize earnings and profits distributed to shareholders on the redemption of shares as part of the dividends paid deduction.
GAAP requires management of the Portfolios (i.e., the Adviser) to make additional tax disclosures with respect to the tax effects of certain income tax positions, whether those positions were taken on previously filed tax returns or are expected to be taken on future returns. These positions must meet a “more likely than not” standard that, based on the technical merits of the position, would have a greater than 50 percent likelihood of being sustained upon examination. In evaluating whether a tax position has met the more-likely-than-not recognition threshold, the Adviser must presume that the position will be examined by the appropriate taxing authority that has full knowledge of all relevant information.
The Adviser analyzed all open tax years, as defined by the statute of limitations, for all major jurisdictions. Open tax years are those that are open for examination by taxing authorities. Major jurisdictions for the Portfolios include U.S. Federal, Minnesota, and Wisconsin, as well as certain foreign countries. As of December 31, 2015, open U.S. Federal, Minnesota, and Wisconsin tax years include the tax years ended December 31, 2012 through 2015. Additionally, as of December 31, 2015, the tax year ended December 31, 2011 is open for Wisconsin. The Portfolios have no examinations in progress and none are expected at this time.
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As of December 31, 2015, the Adviser has reviewed all open tax years and major jurisdictions and concluded that there is no effect to the Portfolios’ tax liability, financial position or results of operations. There is no tax liability resulting from unrecognized tax benefits related to uncertain income tax positions taken or expected to be taken in future tax returns. The Portfolios are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
Foreign Income Taxes – Portfolios are subject to foreign income taxes imposed by certain countries in which they invest. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. These amounts are shown as foreign dividend tax withholding in the Statement of Operations. The Portfolios pay tax on foreign capital gains, where applicable.
(E) Expenses and Income – Estimated expenses are accrued daily. The Portfolios are charged for those expenses that are directly attributable to them. Expenses that are not directly attributable to a Portfolio are allocated among all appropriate Portfolios in proportion to their respective net assets, number of shareholder accounts or other reasonable basis.
Interest income is recorded daily on all debt securities, as is accretion of market discount and original issue discount and amortization of premium. Paydown gains and losses on mortgage- and asset-backed securities are recorded as components of interest income. Dividend income is recorded on the ex-dividend date. However, in certain foreign markets where the declaration date follows the ex-dividend date, the dividend income will be recorded as soon as the Portfolio is informed of the declaration date.
For certain securities, including real estate investment trusts, the Fund records distributions received in excess of income as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available. Actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Fund adjusts the estimated amounts of the components of distributions as adjustments to investment income, unrealized appreciation/depreciation and realized gain/ loss on investments as necessary, once the issuers provide information about the actual composition of the distributions.
(F) Distributions to Shareholders – Dividends and capital gain distributions are recorded on the ex-dividend date. With the exception of the Money Market Portfolio, net realized gains from securities transactions, if any, are paid at least annually after the close of the fiscal year. Any Portfolio subject to excise tax would require an additional distribution prior to the close of the fiscal year.
Dividends are declared and reinvested daily for High Yield Portfolio, Income Portfolio, Bond Index Portfolio, Limited Maturity Bond Portfolio, and Opportunity Income Plus Portfolio; declared daily and reinvested monthly for the Money Market Portfolio; and declared and reinvested at least annually for all other Portfolios.
(G) Derivative Financial Instruments – Each of the Portfolios, with the exception of the Money Market Portfolio, may invest in derivatives. Derivatives, a category that includes options, futures, swaps, foreign currency forward contracts and hybrid instruments, are financial instruments whose value is derived from another security, an index or a currency. Each applicable Portfolio may use derivatives for hedging (attempting to offset a potential loss in one position by establishing an interest in an opposite position). This includes the use of currency-based derivatives to manage the risk of its positions in foreign securities. Each applicable Portfolio may also use derivatives for replication of a certain asset class or speculation (investing for potential income or capital gain). These contracts may be transacted on an exchange or over-the-counter (OTC).
A derivative may incur a mark to market loss if the value of the derivative decreases due to an unfavorable change in the market rates or values of the underlying derivative. Losses can also occur if the counterparty does not perform under the derivative. A Portfolio’s risk of loss from the counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Portfolio. With exchange traded futures and centrally cleared swaps, there is minimal counterparty credit risk to the Portfolios because the exchange’s clearinghouse, as counterparty to such derivatives, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the derivative; thus, the credit risk is limited to the failure of the clearinghouse. However, credit risk still exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s customers, potentially resulting in losses to the Portfolios. Using derivatives to hedge can guard against potential risks, but it also adds to the Portfolios’ expenses and can eliminate some opportunities for gains. In addition, a derivative used for mitigating exposure or replication may not accurately track the value of the underlying asset. Another risk with derivatives is that some types can amplify a gain or loss, potentially earning or losing substantially more money than the actual cost of the derivative.
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In order to define their contractual rights and to secure rights that will help the Portfolios mitigate their counterparty
risk, the Portfolios may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and foreign exchange contracts and typically includes, among other things, collateral posting terms and netting provisions in the event of a default and/ or termination event. Under an ISDA Master Agreement, each Portfolio may, under certain circumstances, offset with the counterparty certain derivatives’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy and insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral and margin requirements vary by type of derivative. Margin requirements are established by the broker or clearing house for exchange traded and centrally cleared derivatives (futures, options, and centrally cleared swaps). Brokers can ask for margining in excess of the minimum in certain situations. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts, options, and swaps). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio and the counterparty. For financial reporting purposes, non-cash collateral that has been pledged to cover obligations of the Portfolio has been noted in the Schedule of Investments. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from counterparty nonperformance. The Portfolios attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Options – All Portfolios, with the exception of the Money Market Portfolio, may buy put and call options and write put and covered call options. The Portfolios intend to use such derivative instruments as hedges to facilitate buying or selling securities or to provide protection against adverse movements in security prices or interest rates. The Portfolios may also enter into options contracts to protect against adverse foreign exchange rate fluctuations. Option contracts are valued daily and unrealized appreciation or depreciation is recorded. A Portfolio will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds upon sale for a written call option or the cost of a security for purchased put and call options is adjusted by the amount of premium received or paid.
Buying put options tends to decrease a Portfolio’s exposure to the underlying security while buying call options tends to increase a Portfolio’s exposure to the underlying security. The risk associated with purchasing put and call options is limited to the premium paid. There is no significant counterparty risk on exchange-traded options as the exchange guarantees the contract against default. Writing put options tends to increase a Portfolio’s exposure to the underlying security while writing call options tends to decrease a Portfolio’s exposure to the underlying security. The writer of an option has no control over whether the underlying security may be bought or sold, and therefore bears the market risk of an unfavorable change in the price of the underlying security. The counterparty risk for purchased options arises when the Portfolio has purchased an option, exercises that option, and the counterparty doesn’t buy from the Portfolio or sell to the Portfolio the underlying asset as required. In the case where the Portfolio has written an option, the Portfolio doesn’t have counterparty risk. Counterparty risk on purchased over-the-counter options is partially mitigated by the Portfolio’s collateral posting requirements. As the option increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities.
Futures Contracts – All Portfolios, with the exception of the Money Market Portfolio, may use futures contracts to manage the exposure to interest rate and market or currency fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required “initial margin deposit” are held on deposit with and pledged to the broker. Additional securities held by the Portfolios may be earmarked to cover open futures contracts. The futures contract’s daily change in value (“variation margin”) is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, realized gain or loss is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default.
Foreign Currency Forward Contracts – In connection with purchases and sales of securities denominated in foreign currencies all Portfolios, with the exception of the Money Market Portfolio, may enter into foreign currency forward contracts. Additionally, the Portfolios may enter into such contracts to mitigate currency and counterparty exposure to other foreign-currency-denominated investments. These contracts are recorded at value and the related realized and
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change in unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event that counterparties fail to settle these forward contracts, the Portfolios could be exposed to foreign currency fluctuations. Foreign currency contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time a forward contract is closed. These contracts are over-the-counter and the Portfolio is exposed to counterparty risk equal to the discounted net amount of payments to the Portfolio.
Swap Agreements – All Portfolios, with the exception of the Money Market Portfolio, may enter into swap transactions, which involve swapping one or more investment characteristics of a security or a basket of securities with another party. Such transactions include market risk, risk of default by the other party to the transaction, risk of imperfect correlation and manager risk and may involve commissions or other costs. Swap transactions generally do not involve delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to swap transactions is generally limited to the net amount of payments that the Portfolio is contractually obligated to make, or in the case of the counterparty defaulting, the net amount of payments that the Portfolio is contractually entitled to receive. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. If there is a default by the counterparty, the Portfolio may have contractual remedies pursuant to the agreements related to the transaction. The contracts are valued daily and unrealized appreciation or depreciation is recorded. Swap agreements are valued at fair value of the contract as provided by an independent pricing service. The pricing service takes into account such factors as swap curves, default probabilities, recent trades, recovery rates and other factors it deems relevant in determining valuations. Daily fluctuations in the value of the centrally cleared credit default contracts are recorded in variation margin in the Statement of Assets and Liabilities and recorded as unrealized gain or loss. The Portfolio accrues for the periodic payment and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount recorded as realized gains or losses in the Statement of Operations. Receipts and payments received or made as a result of a credit event or termination of the contract are also recognized as realized gains or losses in the Statement of Operations. Collateral, in the form of cash or securities, may be required to be held with the Portfolio’s custodian, or a third party, in connection with these agreements. Certain swap agreements are over-the-counter and the Portfolio is exposed to counterparty risk, which is the discounted net amount of payments owed to the Portfolio. This risk is partially mitigated by the Portfolio’s collateral posting requirements. As the swap increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Certain interest rate and credit default index swaps must be cleared through a clearinghouse or central counterparty.
Credit Default Swaps – A credit default swap is a swap agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference entity. In a credit default swap transaction, a buyer pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. The seller collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. A buyer of a credit default swap is said to buy protection whereas a seller of a credit default swap is said to sell protection. The Portfolios may be either the protection buyer or the protection seller.
Certain Portfolios enter into credit default derivative contracts directly through credit default swaps (CDS) or through credit default swap indices (CDX Indices). CDX Indices are static pools of equally weighted credit default swaps referencing corporate bonds and/or loans designed to provide diversified credit exposure to these asset classes. Portfolios sell default protection and assume long-risk positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to the pro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract, the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or principal on borrowed money or a restructuring. A restructuring is a change in the underlying obligations which would include reduction in interest or principal, maturity extension and subordination to other obligations.
For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
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The amounts presented in the tables below are offset first by financial instruments that have the right to offset under master netting or similar arrangements, then any remaining amount is reduced by cash and non-cash collateral received/pledged. The actual amounts of collateral may be greater than the amounts presented in the tables.
The following table presents the gross and net information about assets subject to master netting arrangements, as presented in the Statement of Assets and Liabilities:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||
Portfolio | Gross Amounts of Recognized Assets | Gross Amounts Offset | Net Amounts of Recognized Assets | Financial Instruments | Cash Collateral Received | Non-Cash Collateral Received | Net Amount | |||||||
Aggressive Allocation | ||||||||||||||
Futures Contracts | 1,886,206 | — | 1,886,206 | 1,886,206 | — | — | — | |||||||
Moderately Aggressive Allocation | ||||||||||||||
Futures Contracts | 6,378,209 | — | 6,378,209 | 6,378,209 | — | — | — | |||||||
Moderate Allocation | ||||||||||||||
Futures Contracts | 8,547,806 | — | 8,547,806 | 7,415,991 | — | — | 1,131,815(*) | |||||||
Moderately Conservative Allocation | ||||||||||||||
Futures Contracts | 2,631,610 | — | 2,631,610 | 2,274,110 | — | — | 357,500(*) | |||||||
Growth and Income Plus | ||||||||||||||
Futures Contracts | 4,109 | — | 4,109 | 4,109 | — | — | — | |||||||
Swap Credit Contracts | 38 | — | 38 | — | — | — | 38(†) | |||||||
Balanced Income Plus | ||||||||||||||
Futures Contracts | 24,796 | — | 24,796 | 24,796 | — | — | — | |||||||
Swap Credit Contracts | 570 | — | 570 | — | — | — | 570(†) | |||||||
Diversified Income Plus | ||||||||||||||
Futures Contracts | 264,967 | — | 264,967 | 62,418 | — | — | 202,549(*) | |||||||
Opportunity Income Plus | ||||||||||||||
Futures Contracts | 15,172 | — | 15,172 | 3,188 | — | — | 11,984(*) | |||||||
Partner Worldwide Allocation | ||||||||||||||
Futures Contracts | 1,040,558 | — | 1,040,558 | 1,040,558 | — | — | — | |||||||
Exchange Contracts | 832,453 | — | 832,453 | 569,843 | — | — | 262,610(‡) | |||||||
Large Cap Stock | ||||||||||||||
Futures Contracts | 100,800 | — | 100,800 | 100,800 | — | — | — | |||||||
Income | ||||||||||||||
Futures Contracts | 253,000 | — | 253,000 | 253,000 | — | — | — | |||||||
Limited Maturity Bond | ||||||||||||||
Futures Contracts | 10,079 | — | 10,079 | 10,079 | — | — | — |
(*) | Net futures amount represents the net amount receivable from the counterparty in the event of a default. |
(†) | Net swap credit contracts amount represents the net amount receivable from the counterparty in the event of a default. |
(‡) | Net exchange contract amount represents the net amount receivable from the counterparty in the event of a default. |
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December 31, 2015
The following table presents the gross and net information about liabilities subject to master netting arrangements, as presented in the Statement of Assets and Liabilities:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Portfolio | Gross Amounts of Recognized Liabilities | Gross Amounts Offset | Net Amounts of Recognized Liabilities | Financial Instruments | Cash Collateral Pledged | Non-Cash Collateral Pledged** | Net Amount | |||||||||||||||||||||
Aggressive Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 2,110,065 | — | 2,110,065 | 1,886,206 | — | 223,859 | — | |||||||||||||||||||||
Moderately Aggressive Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 6,421,978 | — | 6,421,978 | 6,378,209 | — | 43,769 | — | |||||||||||||||||||||
Securities Lending | 80,456,520 | — | 80,456,520 | 78,219,419 | — | — | 2,237,101^ | |||||||||||||||||||||
Moderate Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 7,415,991 | — | 7,415,991 | 7,415,991 | — | — | — | |||||||||||||||||||||
Securities Lending | 182,839,267 | — | 182,839,267 | 178,096,093 | — | — | 4,743,174^ | |||||||||||||||||||||
Moderately Conservative Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 2,274,110 | — | 2,274,110 | 2,274,110 | — | — | — | |||||||||||||||||||||
Securities Lending | 68,616,520 | — | 68,616,520 | 67,079,574 | — | — | 1,536,946^ | |||||||||||||||||||||
Growth and Income Plus | ||||||||||||||||||||||||||||
Futures Contracts | 6,081 | — | 6,081 | 4,109 | — | 1,972 | — | |||||||||||||||||||||
Balanced Income Plus | ||||||||||||||||||||||||||||
Futures Contracts | 29,875 | — | 29,875 | 24,796 | — | 5,079 | — | |||||||||||||||||||||
Securities Lending | 9,667,927 | — | 9,667,927 | 9,410,561 | — | — | 257,366^ | |||||||||||||||||||||
Diversified Income Plus | ||||||||||||||||||||||||||||
Futures Contracts | 62,418 | — | 62,418 | 62,418 | — | — | — | |||||||||||||||||||||
Securities Lending | 341,050 | — | 341,050 | 319,654 | — | — | 21,396^ | |||||||||||||||||||||
Opportunity Income Plus | ||||||||||||||||||||||||||||
Futures Contracts | 3,188 | — | 3,188 | 3,188 | — | — | — | |||||||||||||||||||||
Swap Credit Contracts | 96 | — | 96 | — | — | 96 | — | |||||||||||||||||||||
Partner Emerging Markets Equity | ||||||||||||||||||||||||||||
Securities Lending | �� | 212,275 | — | 212,275 | 199,539 | — | — | 12,736^ | ||||||||||||||||||||
Small Cap Stock | ||||||||||||||||||||||||||||
Securities Lending | 40,959,020 | — | 40,959,020 | 39,664,169 | — | — | 1,294,851^ | |||||||||||||||||||||
Small Cap Index | ||||||||||||||||||||||||||||
Futures Contracts | 110,400 | — | 110,400 | — | — | 110,400 | — | |||||||||||||||||||||
Securities Lending | 15,229,214 | — | 15,229,214 | 14,659,624 | — | — | 569,590^ | |||||||||||||||||||||
Mid Cap Stock | ||||||||||||||||||||||||||||
Securities Lending | 57,473,443 | — | 57,473,443 | 55,289,517 | — | — | 2,183,926^ | |||||||||||||||||||||
Mid Cap Index | ||||||||||||||||||||||||||||
Futures Contracts | 93,233 | — | 93,233 | — | — | 93,233 | — | |||||||||||||||||||||
Securities Lending | 5,872,212 | — | 5,872,212 | 5,621,285 | — | — | 250,927^ | |||||||||||||||||||||
Partner Worldwide Allocation | ||||||||||||||||||||||||||||
Futures Contracts | 1,088,023 | — | 1,088,023 | 1,040,558 | — | 47,465 | — | |||||||||||||||||||||
Exchange Contracts | 813,272 | — | 813,272 | 569,843 | — | — | 243,429 | # | ||||||||||||||||||||
Securities Lending | 18,465,884 | — | 18,465,884 | 17,361,358 | — | — | 1,104,526^ | |||||||||||||||||||||
Partner All Cap | ||||||||||||||||||||||||||||
Securities Lending | 786,450 | — | 786,450 | 745,820 | — | — | 40,630^ | |||||||||||||||||||||
Large Cap Growth | ||||||||||||||||||||||||||||
Futures Contracts | 132,340 | — | 132,340 | — | — | 132,340 | — | |||||||||||||||||||||
Securities Lending | 10,560,850 | — | 10,560,850 | 10,240,020 | — | — | 320,830^ | |||||||||||||||||||||
Partner Growth Stock | ||||||||||||||||||||||||||||
Securities Lending | 3,501,278 | — | 3,501,278 | 3,415,772 | — | — | 85,506^ | |||||||||||||||||||||
Large Cap Value | ||||||||||||||||||||||||||||
Securities Lending | 13,026,675 | — | 13,026,675 | 13,026,675 | — | — | — | |||||||||||||||||||||
Large Cap Stock | ||||||||||||||||||||||||||||
Futures Contracts | 1,281,219 | — | 1,281,219 | 100,800 | — | 1,180,419 | — | |||||||||||||||||||||
Securities Lending | 4,545,524 | — | 4,545,524 | 4,343,137 | — | — | 202,387^ |
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
The following table presents the gross and net information about liabilities subject to master netting arrangements, as presented in the Statement of Assets and Liabilities:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Portfolio | Gross Amounts of Recognized Liabilities | Gross Amounts Offset | Net Amounts of Recognized Liabilities | Financial Instruments | Cash Collateral Pledged | Non-Cash Collateral Pledged** | Net Amount | |||||||||||||||||||||
Large Cap Index | ||||||||||||||||||||||||||||
Futures Contracts | 168,960 | — | 168,960 | — | — | 168,960 | — | |||||||||||||||||||||
Securities Lending | 1,894,887 | — | 1,894,887 | 1,841,982 | — | — | 52,905^ | |||||||||||||||||||||
High Yield | ||||||||||||||||||||||||||||
Securities Lending | 42,864,685 | — | 42,864,685 | 41,133,634 | — | — | 1,731,051^ | |||||||||||||||||||||
Income | ||||||||||||||||||||||||||||
Futures Contracts | 380,539 | — | 380,539 | 253,000 | — | 127,539 | — | |||||||||||||||||||||
Securities Lending | 28,613,386 | — | 28,613,386 | 27,727,136 | — | — | 886,250^ | |||||||||||||||||||||
Bond Index | ||||||||||||||||||||||||||||
Securities Lending | 815,750 | — | 815,750 | 796,464 | — | — | 19,286^ | |||||||||||||||||||||
Limited Maturity Bond | ||||||||||||||||||||||||||||
Futures Contracts | 273,745 | — | 273,745 | 10,079 | — | 263,666 | — | |||||||||||||||||||||
Securities Lending | 11,023,000 | — | 11,023,000 | 10,703,545 | — | — | 319,455^ |
** | Excess of collateral pledged to the counterparty may not be shown for financial reporting purposes. |
* | Net securities lending amounts represent the net amount payable from the counterparty in the event of a default. |
# | Net exchange contract amounts represent the net amount payable from the counterparty in the event of a default. |
(H) Mortgage Dollar Roll Transactions — Certain Portfolios enter into dollar roll transactions on securities issued or to be issued by the Government National Mortgage Association, Federal National Mortgage Association and Federal Home Loan Mortgage Corporation, in which the Portfolios sell mortgage securities and simultaneously agree to repurchase similar (same type and coupon) securities at a later date at an agreed upon price. The Portfolios must maintain liquid securities having a value at least equal to the repurchase price (including accrued interest) for such dollar rolls. In addition, the Portfolios are required to segregate collateral with the custodian - depending on market movements - for their mortgage dollar rolls. The value of the securities that the Portfolios are required to purchase may decline below the agreed upon repurchase price of those securities.
During the period between the sale and repurchase, the Portfolios forgo principal and interest paid on the mortgage securities sold. The Portfolios are compensated from negotiated fees paid by brokers offered as an inducement to the Portfolios to “roll over” their purchase commitments, thus enhancing the yield. Mortgage dollar rolls may be renewed with a new purchase and repurchase price and a cash settlement made on settlement date without physical delivery of the securities subject to the contract. The fees received are recognized over the roll period and are included in Income from mortgage dollar rolls in the Statement of Operations.
(I) Securities Lending — The Fund has entered into a Securities Lending Agreement (the “Agreement”) with Deutsche Bank AG (“Deutsche”). The Agreement authorizes Deutsche to lend securities to authorized borrowers on behalf of the Portfolios. Pursuant to the Agreement, all loaned securities are initially collateralized by cash equal to at least 102% of the value of the loaned securities. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of collateral received. Any additional collateral is adjusted and settled on the next business day. The Fund has the ability to recall the loans at any time and could do so in order to vote proxies or sell the loaned securities. All cash collateral received is invested in Thrivent Cash Management Trust. The Portfolios receive dividends and interest that would have been earned on the securities loaned while simultaneously seeking to earn income on the investment of cash collateral. Amounts earned on investments in Thrivent Cash Management Trust, net of rebates, fees paid to Deutsche for services provided and any other securities lending expenses, are included in Income from securities loaned in the Statement of Operations. By investing any cash collateral it receives in these transactions, a Portfolio could realize additional gains or losses. If the borrower fails to return the securities or the invested collateral has declined in value, the Portfolio could lose money. Generally, in the event of borrower default, the Portfolio has the right to use the collateral to offset any losses incurred. However, in the event the Portfolio is delayed or prevented from exercising its right to dispose of the collateral, there may be a potential loss. Some of these losses may be indemnified by the lending agent.
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
As of December 31, 2015, the value of securities on loan is as follows:
Fund | Securities on Loan | |||
Moderately Aggressive Allocation | $ | 78,219,419 | ||
Moderate Allocation | 178,096,093 | |||
Moderately Conservative Allocation | 67,079,574 | |||
Balanced Income Plus | 9,410,561 | |||
Diversified Income Plus | 319,654 | |||
Partner Emerging Markets Equity | 199,539 | |||
Small Cap Stock | 39,664,169 | |||
Small Cap Index | 14,659,624 | |||
Mid Cap Stock | 55,289,517 | |||
Mid Cap Index | 5,621,285 | |||
Partner Worldwide Allocation | 17,361,358 | |||
Partner All Cap | 745,820 | |||
Large Cap Growth | 10,240,020 | |||
Partner Growth Stock | 3,415,772 | |||
Large Cap Value | 13,047,354 | |||
Large Cap Stock | 4,343,137 | |||
Large Cap Index | 1,841,982 | |||
High Yield | 41,133,634 | |||
Income | 27,727,136 | |||
Bond Index | 796,464 | |||
Limited Maturity Bond | 10,703,545 |
(J) When-Issued and Delayed Delivery Transactions – Each Portfolio may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Portfolio will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Portfolio may dispose of a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When a Portfolio has sold a security on a delayed delivery basis, a Portfolio does not participate in future gains and losses with respect to the security.
(K) Treasury Inflation Protected Securities – Certain Portfolios may invest in treasury inflation protected securities (TIPS). These securities are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The coupon interest rate is generally fixed at issuance. Interest is paid based on the principal value, which is adjusted for inflation. Any increase in the principal amount will be included as taxable interest in the Statement of Operations and received in cash upon maturity or sale of the security.
(L) Repurchase Agreements – Each Portfolio may engage in repurchase agreement transactions in pursuit of its investment objective. A repurchase agreement consists of a purchase and a simultaneous agreement to resell an investment for later delivery at an agreed upon price and rate of interest. The Portfolio uses a third-party custodian to maintain the collateral. If the original seller of a security subject to a repurchase agreement fails to repurchase the security at the agreed upon time, the Portfolio could incur a loss due to a drop in the value of the security during the time it takes the Portfolio to either sell the security or take action to enforce the original seller’s agreement to repurchase the security. Also, if a defaulting original seller filed for bankruptcy or became insolvent, disposition of such security might be delayed by pending legal action. The Portfolio may only enter into repurchase agreements with banks and other recognized financial institutions such as broker/dealers that are found by the Adviser or subadviser to be creditworthy. During the year ended December 31, 2015, no Portfolios engaged in this type of investment.
(M) Equity-Linked Structured Securities – Certain Portfolios may invest in equity-linked structured notes. Equity-linked structured notes are debt securities which combine the characteristics of common stock and the sale of an option. The return component is based upon the performance of a single equity security, a basket of equity securities, or an equity index and the sale of an option. There is no guaranteed return of principal with these securities. The appreciation potential of these securities may be limited by a maximum payment or call right and can be influenced by many unpredictable factors. In addition to the performance of the equity, the nature and credit of the issuer may also impact return. During the year ended, December 31, 2015, none of the Portfolios engaged in these types of transactions.
(N) Stripped Securities – Certain Portfolios may invest in Interest Only and Principal Only stripped mortgage or asset backed securities. These securities represent a participation in securities that are structured in classes with rights to receive different portions of the interest and principal. Interest only securities receive all the interest and principal only securities receive all the principal. If the underlying pool of mortgages or assets experience greater than anticipated prepayments of principal, the Portfolio may not fully recoup its initial investment in an interest only security. Principal only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates. As interest rates increase, the price of the principal only security decreases. Similarly, as interest rates decrease, the price of the principal only security increases. The principal only security represents the payment with the longest maturity, therefore making it the most sensitive to interest rate changes.
(O) Credit Risk – The Portfolios may be susceptible to credit risk to the extent an issuer or counterparty defaults on its payment obligation. The Portfolios’ policy is to monitor the creditworthiness of issuers and counterparties. Interest receivable on defaulted securities is monitored for ability to collect payments in default and is adjusted accordingly.
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
(P) Accounting Estimates – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
(Q) Loan Commitments – Certain Portfolios may enter into loan commitments, which generally have interest rates which are reset daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders. Loan commitments often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the remaining maturity may be considerably less than the stated maturity shown in the Schedule of Investments.
All or a portion of these loan commitments may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. Therefore, the Portfolio must have funds sufficient to cover its contractual obligation. These unfunded loan commitments, which are marked-to-market daily, are presented in the Schedule of Investments.
(R) Loss Contingencies – Thrivent High Yield Portfolio and Thrivent Income Portfolio are defendants in an adversary action filed on July 31, 2009 by the Official Committee of Unsecured Creditors of Motors Liquidation Company, formerly known as General Motors Corporation (GM), against prior and current holders of term loan debt of GM. The suit seeks to determine whether GM’s term loan facility was secured at the time it entered bankruptcy. Thrivent High Yield Portfolio at one time held term loans in an original principal amount of at least $4,627,531 and, if the plaintiffs are successful, it is reasonably possible that the Portfolio will be required to make payments in some amount. This loss contingency has not been accrued as a liability because the amount of potential damages and the likelihood of loss cannot be reasonably estimated. Thrivent Income Portfolio is named as a defendant in this action, but we do not expect that the Portfolio’s assets will be subject to a loss contingency.
Thrivent Balanced Income Plus Portfolio (formerly known as Thrivent Balanced Portfolio) and Thrivent Large Cap Index Portfolio are defendants in two separate adversary actions: One was filed in federal court on November 1, 2010 by the Official Committee of Unsecured Creditors of Tribune Company (“Tribune”) and the other was filed in the state of Minnesota on June 2, 2011 by the successor trustees of certain series of debt securities issued by Tribune. These actions have since been consolidated and moved to the United States District Court of the Southern District of New York as consolidated multi-district litigation. The actions seek to determine whether stock repurchases of Tribune stock in connection with a leveraged buyout of Tribune in 2007 (the “LBO Transaction”) were fraudulent transactions that can be voided requiring repurchase payments to be returned to the Tribune bankruptcy estate. Thrivent Balanced Income Plus Portfolio and Thrivent Large Cap Index Portfolio tendered Tribune stock in the LBO Transaction in exchange for $115,600 and $219,300 respectively. If the plaintiffs are successful, it is reasonably possible that these Portfolios would be required to return payments in some amount. Management does not believe it is possible at this time to predict with any reasonable certainty the amount or probability of any potential loss.
Thrivent Mid Cap Index Portfolio is a potential defendant in an adversary action filed on October 22, 2010 by the trustee of the LB Creditor Trust. The suit seeks to determine whether certain pre-bankruptcy distributions in December 2007 by Lyondell Chemical Company (“Lyondell”) to its shareholders were fraudulent transactions that can be voided and repaid to Lyondell’s creditors. Thrivent Mid Cap Index Portfolio owned shares of Lyondell stock before the merger and on December 21, 2007 tendered its shares of Lyondell for $1,542,720. On November 18, 2015, the court dismissed certain of the claims made by the plaintiff, but allowed others to survive for further consideration. Management does not believe it is possible at this time to predict with any reasonable certainty the amount or probability of any potential loss.
Thrivent Opportunity Income Plus Portfolio (formerly known as Mortgage Securities Portfolio) was obligated to pay $133,203 to Lehman Brothers as of October 14, 2008. Because of the collapse of Lehman Brothers, the securities and obligations remain involved in litigation and bankruptcy proceedings. At the conclusion of legal proceedings, it is reasonably possible that Thrivent Opportunity Income Plus Portfolio could be required to pay all or a portion of the $133,203. However, it is also reasonably possible that the Portfolio would be able to offset some of this liability because of amounts owed to the Portfolio by Lehman Brothers at the time of its bankruptcy. Management does not believe it is possible at this time to predict with any reasonable certainty the amount or probability of any potential loss.
(S) Litigation – Awards from class action litigation are recorded as realized gains on payment date.
(T) Recent Accounting Pronouncements –
Fair Value Measurement (Topic 820), Disclosure for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
In May 2015, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU No. 2015-
07, Fair Value Measurement (Topic 820), Disclosure for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). ASU No. 2015-07 changes the disclosure requirements for investments for which fair value is measured using the net asset value per share practical expedient. The disclosure requirements are effective for annual periods beginning after December 15, 2015 and interim periods within those fiscal years. At this time, management is evaluating the implications of this guidance and the impact it will have on the financial statement amounts and footnote disclosures, if any.
(U) Other – For financial statement purposes, investment security transactions are accounted for on the trade date. Realized gains and losses from investment transactions are determined on a specific cost identification basis, which is the same basis used for federal income tax purposes.
(3) FEES AND COMPENSATION PAID TO AFFILIATES
(A) Investment Advisory Fees – The Fund has entered into an Investment Advisory Agreement with Thrivent Financial, the Adviser. Under the Investment Advisory Agreement, each of the Portfolios pays a fee for investment advisory services. The fees are accrued daily and paid monthly.
Until August 31, 2015, the four Asset Allocation Portfolios – Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio and Moderately Conservative Allocation Portfolio – paid investment advisory fees for asset allocation services, in addition to a separate advisory fee for investments (other than underlying Thrivent Portfolios) held directly by the Asset Allocation Portfolios. The annual rates of fees as a percentage of average daily net assets under the Investment Advisory Agreement were as follows:
Portfolio (M – Millions) | $0 to $500M | Over $500 to $2,000M | Over $2,000 to $5,000M | Over $5,000 to $10,000M | Over $10,000M | |||||||||||||||
Aggressive Allocation | 0.150 | % | 0.125 | % | 0.100 | % | 0.075 | % | 0.050 | % | ||||||||||
Aggressive Allocation – Direct Holdings | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | ||||||||||
Moderately Aggressive Allocation | 0.150 | % | 0.125 | % | 0.100 | % | 0.075 | % | 0.050 | % | ||||||||||
Moderately Aggressive Allocation – Direct Holdings | 0.550 | % | 0.550 | % | 0.550 | % | 0.550 | % | 0.550 | % | ||||||||||
Moderate Allocation | 0.150 | % | 0.125 | % | 0.100 | % | 0.075 | % | 0.050 | % | ||||||||||
Moderate Allocation – Direct Holdings | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | ||||||||||
Moderately Conservative Allocation | 0.150 | % | 0.125 | % | 0.100 | % | 0.075 | % | 0.050 | % | ||||||||||
Moderately Conservative Allocation – Direct Holdings | 0.450 | % | 0.450 | % | 0.450 | % | 0.450 | % | 0.450 | % |
Beginning September 1, 2015, the four Asset Allocation Portfolios paid one fee for investment advisory services. The Adviser has contractually agreed, for as long as the current fee structure is in place, to waive an amount equal to any investment advisory fees indirectly incurred by the Asset Allocation Portfolios as a result of their investments in any other portfolio for which the Adviser or an affiliate serves as investment adviser, other than Thrivent Cash Management Trust. This contractual provision may be terminated upon the mutual agreement between the Independent Directors of the Fund and the Adviser. The annual rates of fees as a percent of average daily net assets under the Investment Advisory Agreement were as follows:
Portfolio (M – Millions) | $0 to $500M | Over $500 to $2,000M | Over $2,000 to $5,000M | Over $5,000 to $10,000M | Over $10,000M | |||||||||||||||
Aggressive Allocation | 0.750 | % | 0.725 | % | 0.700 | % | 0.675 | % | 0.650 | % | ||||||||||
Moderately Aggressive Allocation | 0.700 | % | 0.675 | % | 0.650 | % | 0.625 | % | 0.600 | % | ||||||||||
Moderate Allocation | 0.650 | % | 0.625 | % | 0.600 | % | 0.575 | % | 0.550 | % | ||||||||||
Moderately Conservative Allocation | 0.600 | % | 0.575 | % | 0.550 | % | 0.525 | % | 0.500 | % |
For all other Portfolios, the annual rates of fees as a percent of average daily net assets under the Investment Advisory Agreement were as follows:
Portfolio (M – Millions) | $0 to $50M | Over $50 to $200M | Over $200 to $250M | Over $250 to $500M | Over $500 to $750M | Over $750 to $1,000M | Over $1,000 to $1,500M | Over $1,500 to $2,000M | Over $2,000 to $2,500M | Over $2,500 to $5,000M | Over $5,000M | |||||||||||||||||||||||||||||||||
Growth and Income Plus | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | ||||||||||||||||||||||
Balanced Income Plus | 0.550 | % | 0.550 | % | 0.550 | % | 0.550 | % | 0.500 | % | 0.500 | % | 0.475 | % | 0.475 | % | 0.475 | % | 0.450 | % | 0.425 | % | ||||||||||||||||||||||
Diversified Income Plus | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Opportunity Income Plus | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | 0.500 | % | ||||||||||||||||||||||
Partner Healthcare* | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % |
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
Over | Over | Over | Over | Over | Over | Over | Over | |||||||||||||||||||||||||||||||||||||
$0 to | Over $50 | $200 to | $250 to | $500 to | $750 to | $1,000 to | $1,500 to | $2,000 to | $2,500 to | Over | ||||||||||||||||||||||||||||||||||
Portfolio (M – Millions) | $50M | to $200M | $250M | $500M | $750M | $1,000M | $1,500M | $2,000M | $2,500M | $5,000M | $5,000M | |||||||||||||||||||||||||||||||||
Partner Emerging Markets Equity | 1.200 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | 1.070 | % | ||||||||||||||||||||||
Real Estate Securities | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | ||||||||||||||||||||||
Small Cap Stock | 0.700 | % | 0.700 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.550 | % | 0.525 | % | ||||||||||||||||||||||
Small Cap Index | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
Mid Cap Stock | 0.700 | % | 0.700 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.550 | % | 0.525 | % | ||||||||||||||||||||||
Mid Cap Index | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
Partner Worldwide Allocation | 0.900 | % | 0.900 | % | 0.900 | % | 0.850 | % | 0.850 | % | 0.850 | % | 0.800 | % | 0.750 | % | 0.750 | % | 0.750 | % | 0.750 | % | ||||||||||||||||||||||
Partner All Cap | 0.950 | % | 0.950 | % | 0.950 | % | 0.950 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | 0.900 | % | ||||||||||||||||||||||
Large Cap Growth | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Partner Growth Stock | 0.800 | % | 0.800 | % | 0.800 | % | 0.800 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | 0.700 | % | ||||||||||||||||||||||
Large Cap Value | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | 0.600 | % | ||||||||||||||||||||||
Large Cap Stock | 0.650 | % | 0.650 | % | 0.650 | % | 0.650 | % | 0.575 | % | 0.550 | % | 0.475 | % | 0.475 | % | 0.475 | % | 0.450 | % | 0.425 | % | ||||||||||||||||||||||
Large Cap Index | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
High Yield | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Income | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Bond Index | 0.350 | % | 0.350 | % | 0.350 | % | 0.300 | % | 0.250 | % | 0.250 | % | 0.200 | % | 0.150 | % | 0.100 | % | 0.100 | % | 0.100 | % | ||||||||||||||||||||||
Limited Maturity Bond | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | ||||||||||||||||||||||
Money Market** | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % | 0.400 | % |
* | Effective January 1, 2016, the fees payable for investment advisory services by Partner Healthcare is equal to 0.950% of the first $50 million of average daily net assets, 0.900% of the next $50 million, 0.850% of the next $150 million and 0.800% of average daily net assets over $250 million. |
** | Effective February 1, 2016, the fees payable for investment advisory services by Money Market is 0.35% for all assets. |
(B) | Sub-Adviser Fees – The following subadvisory fees are charged as part of the total investment advisory fees stated in the table above. The subadvisory fees are borne directly by the Adviser and do not increase the overall fees paid by the Portfolio. |
Partner Healthcare Portfolio
The Adviser has entered into a subadvisory agreement with Sectoral Asset Management, Inc. for the performance of subadvisory services. The fee payable is equal to 0.65% of the first $50 million of average daily net assets, 0.60% of the next $50 million, 0.40% of the next $150 million and 0.35% of average daily net assets over $250 million.
Partner Emerging Markets Equity Portfolio
The Adviser has entered into a subadvisory agreement with Aberdeen Asset Managers Limited (“Aberdeen”) for the performance of subadvisory services. The fee payable is equal to 0.85% of the first $50 million of average daily net assets, 0.72% of the next $50 million and 0.68% of average daily net assets over $100 million. Thrivent Partner Emerging Markets Equity Fund (as of February 27, 2015), Thrivent Partner Worldwide Allocation Portfolio and Thrivent Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Aberdeen.
Partner Worldwide Allocation Portfolio
The Adviser has entered into subadvisory agreements with Mercator Asset Management, LP (“Mercator”), Principal Global Investors, LLC (“Principal”), Aberdeen, and Goldman Sachs Asset Mangement, LP (“GSAM”) for the performance of subadvisory services.
Through December 31, 2015, the fee payable for Mercator was equal to 0.75% of the first $25 million of average daily net assets managed by Mercator, 0.60% of the next $25 million, 0.55% of the next $25 million, 0.50% of the next $225 million, 0.40% of the next $200 million and 0.20% of average daily net assets over $500 million. Effective January 1, 2016, the fee payable for Mercator is equal to 0.70% of the first $25 million of average daily net assets managed by Mercator, 0.60% of the next $25 million, 0.50% of the next $250 million, 0.40% of the next $200 million and 0.20% of average daily net assets over $500 million. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by Mercator.
The fee payable for Principal is equal to 0.35% of the first $500 million of average daily net assets managed by Principal, 0.30% of the next $500 million and 0.25% of average daily net assets over $1 billion. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by Principal.
The fee payable for Aberdeen is equal to 0.85% of the first $50 million of average daily net assets managed by Aberdeen, 0.72% of the next $50 million and 0.68% of average daily net assets over $100 million. Thrivent Partner Emerging Markets Equity Portfolio, Partner Emerging Markets Equity Fund (as of February 27, 2015) and Partner Worldwide Allocation Fund are included in determining breakpoints for the assets managed by Aberdeen.
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
The fee payable for GSAM for managing the emerging markets debt portion is equal to 0.50% of the first $200 million of average daily net assets, 0.45% of the next $200 million and 0.40% of average daily net assets over $400 million. The fee payable for GSAM for managing the international small- and mid-cap equities portion is equal to 0.58% of the first $250 million of average daily net assets; and 0.54% of average daily net assets in excess of $250 million. Thrivent Partner Worldwide Allocation Fund is included in determining breakpoints for the assets managed by GSAM.
Effective February 26, 2015, the Adviser terminated the subadvisory agreements with DuPont Capital. Until February 26, 2015, the fee payable for DuPont Capital was equal to 0.72% of the first $50 million of average daily net assets managed by DuPont Capital and 0.68% of average daily net assets over $50 million. Thrivent Partner Worldwide Allocation Fund and Thrivent Partner Emerging Markets Equity Fund is included in determining breakpoints for the assets managed by DuPont Capital.
Partner All Cap Portfolio
The Adviser has entered into a subadvisory agreement with Pyramis Global Advisors, LLC (“Pyramis Advisors”) for the performance of subadvisory services. Pyramis Advisors is a wholly owned subsidiary of Fidelity Management & Research Corporation. The fee payable is equal to 0.60% of average daily net assets for the first $100 million, 0.55% for the next $400 million, 0.50% for the next $250 million and 0.45% for assets over $750 million. Effective January 4, 2016, Pyramis Global Advisors, LLC changed its name to FIAM LLC.
Partner Growth Stock Portfolio
The Adviser has entered into a subadvisory agreement with T. Rowe Price Associates, Inc. for the performance of subadvisory services. The fee payable is equal to 0.40% of average daily net assets for the first $500 million and 0.35% for assets over $500 million.
(C) Expense Reimbursements – For the period ended December 31, 2015, Thrivent Financial has voluntarily agreed to reimburse certain portfolio level expenses of Thrivent Money Market Portfolio to the extent necessary in order to maintain a minimum annualized net yield of 0.00%.
For the period ended December 31, 2015, the following voluntary expense reimbursements, as a percentage of net assets, were in effect:
Portfolio | Expense Reimbursement | Expiration Date | ||||||
Partner Healthcare | 0.07 | % | N/A |
For the period ended December 31, 2015, contractual expense reimbursements to limit expenses to the following percentages were in effect:
Portfolio | Expense Limit | Expiration Date | ||||||
Growth and Income Plus | 0.80 | % | 4/30/2016 | |||||
Opportunity Income Plus | 0.75 | % | 4/30/2016 | |||||
Partner Healthcare1 | 1.10 | % | 4/30/2016 | |||||
Partner Emerging Markets Equity | 1.40 | % | 4/30/2016 | |||||
Partner All Cap2 | 0.90 | % | 4/30/2016 | |||||
Partner Growth Stock3 | 0.85 | % | 4/30/2016 |
1 | Voluntary expense cap of 1.10% was in effect from January 1, 2015 through April 30, 2015. |
2 | Prior contractual expense cap of 0.95% expired on April 30, 2015. |
3 | Prior voluntary expense reimbursement of 0.10% became a contractual expense cap of 0.85% effective May 1, 2015. |
In connection with the portfolio mergers which occurred on August 21, 2015, Thrivent Asset Management voluntarily agreed to reimburse advisory fees to the surviving portfolio equal to the amount of estimated commission costs expected to take place after the merger was complete. The reimbursed amounts were $88,000 for Thrivent Mid Cap Stock Portfolio, $27,500 for Thrivent Large Cap Stock Portfolio, and $15,800 for Thrivent Large Cap Growth Portfolio.
Thrivent does not recoup amounts previously reimbursed or waived in prior fiscal years.
(D) Other Expenses – The Fund has entered into an accounting and administrative services agreement with the Adviser to provide certain accounting and administrative personnel and services to the Portfolios. For the year ended December 31, 2015, the Adviser received aggregate fees for accounting and administrative personnel and services of $8,125,163 from the Fund.
Each Director who is not affiliated with the Adviser receives an annual fee from the Fund for services as a Director and is eligible to participate in a deferred compensation plan with respect to these fees. Participants in the plan may designate their deferred Director’s fees as if invested in any one of the portfolios of the Fund. The value of each Director’s deferred compensation account will increase or decrease as if it were invested in shares of the selected portfolios of the Fund. Their fees as well as the change in value are included in Director’s fees in the Statement of Operations. The deferred fees remain in the appropriate fund until distribution in accordance with the plan. The Payable for director deferred compensation, located in the Statement of Assets and Liabilities, is unsecured.
Those Directors not participating in the above plan received $439,934 in fees from the Fund for the year ended December 31, 2015. In addition, the Fund reimbursed independent Directors for reasonable expenses incurred in relation to attendance at the meetings and industry conferences.
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
Certain officers and non-independent directors of the Fund are officers and directors of Thrivent Financial and Thrivent Life; however, they receive no compensation from the Fund.
(E) Indirect Expenses – Some Portfolios invest in other open-ended funds. Fees and expenses of those underlying funds are not included in those Portfolios’ expense ratios. The Portfolios indirectly bear their proportionate share of the annualized weighted average expense ratio of the underlying funds in which they invest. The Adviser has contractually agreed, for as long as the current fee structure is in place, to waive an amount equal to any investment advisory fees indirectly incurred by the Asset Allocation Portfolios, other than Thrivent Cash Management Trust. The contractual provision may be terminated upon the mutual agreement between the Independent Trustees of the Fund and the Adviser.
(4) TAX INFORMATION
Distributions are based on amounts calculated in accordance with applicable federal income tax regulations, which may differ from GAAP. To the extent that these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassifications.
On the Statement of Assets and Liabilities, as a result of permanent book-to-tax differences, reclassification adjustments were made as follows [Increase/(Decrease)]:
Accumulated | ||||||||||||
Undistributed | Accumulated | |||||||||||
Net | Undistributed | |||||||||||
Investment | Net Realized | |||||||||||
Portfolio | Income/(Loss) | Gain/(Loss) | Capital Stock | |||||||||
Aggressive Allocation | $ | 2,775,666 | $ | (2,775,665 | ) | $ | (1 | ) | ||||
Moderately Aggressive Allocation | 11,841,899 | (11,841,894 | ) | (5 | ) | |||||||
Moderate Allocation | 11,908,991 | (11,908,981 | ) | (10 | ) | |||||||
Moderately Conservative Allocation | 4,423,934 | (4,423,928 | ) | (6 | ) | |||||||
Growth and Income Plus | (13,737 | ) | 13,737 | — | ||||||||
Balanced Income Plus | (310,543 | ) | 310,552 | (9 | ) | |||||||
Diversified Income Plus | 421,435 | (421,435 | ) | — | ||||||||
Opportunity Income Plus | (771 | ) | 771 | — | ||||||||
Partner Healthcare | (43,747 | ) | 43,747 | — | ||||||||
Partner Emerging Markets Equity | (14,531 | ) | 14,531 | — | ||||||||
Real Estate Securities | (31,405 | ) | 31,405 | — | ||||||||
Small Cap Stock | 299,179 | (123,660,862 | ) | 123,361,683 | ||||||||
Small Cap Index | (47,981 | ) | 47,981 | — | ||||||||
Mid Cap Stock | (1,733,965 | ) | (53,239,093 | ) | 54,973,058 | |||||||
Mid Cap Index | (1,262 | ) | 1,262 | — | ||||||||
Partner Worldwide Allocation | 1,600,201 | (1,600,201 | ) | — | ||||||||
Partner All Cap | (60,650 | ) | 60,650 | — | ||||||||
Large Cap Growth | 134,582 | (125,244 | ) | (9,338 | ) | |||||||
Partner Growth Stock | 132,856 | 1,724 | (134,580 | ) | ||||||||
Large Cap Value | (977,840 | ) | 977,872 | (32 | ) | |||||||
Large Cap Stock | (263,133 | ) | 263,151 | (18 | ) | |||||||
Large Cap Index | (175,538 | ) | 175,538 | — | ||||||||
High Yield | (287,465 | ) | 287,465 | — | ||||||||
Income | 114,215 | (114,215 | ) | — | ||||||||
Limited Maturity Bond | (25,672 | ) | 25,672 | — | ||||||||
Money Market | 952 | (2,820 | ) | 1,868 |
At December 31, 2015, the components of distributable earnings on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income# | Undistributed Long- Term Capital Gain | ||||||
Aggressive Allocation | $ | 11,552,812 | $ | 51,951,459 | ||||
Moderately Aggressive Allocation | 72,442,132 | 203,660,665 | ||||||
Moderate Allocation | 150,567,208 | 224,078,106 | ||||||
Moderately Conservative Allocation | 74,836,557 | 48,949,574 | ||||||
Growth and Income Plus | 1,806,407 | 1,404,761 | ||||||
Balanced Income Plus | 8,511,081 | 11,345,602 | ||||||
Diversified Income Plus | 17,533,627 | 1,401,790 | ||||||
Opportunity Income Plus | 54,230 | — | ||||||
Partner Healthcare | 9,562,480 | 4,950,825 | ||||||
Partner Emerging Markets Equity | 510,872 | — | ||||||
Real Estate Securities | 2,654,903 | 604,171 | ||||||
Small Cap Stock | 1,444,470 | 20,811,893 | ||||||
Small Cap Index | 3,184,175 | 22,571,385 | ||||||
Mid Cap Stock | 4,391,033 | 132,335,108 | ||||||
Mid Cap Index | 2,030,512 | 11,127,379 | ||||||
Partner Worldwide Allocation | 35,668,469 | — | ||||||
Partner All Cap | 1,922,264 | 2,402,118 | ||||||
Large Cap Growth | 211,399 | 85,392,249 | ||||||
Partner Growth Stock | — | 5,227,377 | ||||||
Large Cap Value | 16,057,044 | 70,001,228 | ||||||
Large Cap Stock | 10,800,460 | — | ||||||
Large Cap Index | 11,207,810 | 3,493,841 | ||||||
High Yield | 549,008 | — | ||||||
Income | 14,283 | 1,034,971 | ||||||
Bond Index | 56,540 | 352,623 | ||||||
Limited Maturity Bond | 443,336 | — |
# | Undistributed ordinary income includes income derived from short-term capital gains. |
At December 31, 2015, the following Portfolios had accumulated net realized capital loss carryovers expiring as follows:
Portfolio | Capital Loss Carryover | Expiration Year | ||||||
Opportunity Income Plus | $ | 1,734,167 | Unlimited | |||||
Partner Emerging Markets Equity | $ | 1,225,908 | Unlimited | |||||
Partner Worldwide Allocation | $ | 20,406,243 | Unlimited | |||||
119,995,485 | 2016 | |||||||
|
| |||||||
$ | 140,401,728 | |||||||
|
| |||||||
Large Cap Stock | $ | 15,443,671 | Unlimited | |||||
High Yield | $ | 12,006,858 | Unlimited | |||||
24,454,205 | 2016 | |||||||
46,838,004 | 2017 | |||||||
|
| |||||||
$ | 83,299,067 | |||||||
|
| |||||||
Limited Maturity Bond | $ | 4,659,445 | 2017 |
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
To the extent that these Portfolios realize future net capital gains, taxable distributions will be reduced by any unused capital loss carryovers as permitted by the Internal Revenue Code. Unlimited capital loss carryovers will be utilized before capital loss carryovers with expiration dates.
Of the capital loss carryovers attributable to Large Cap Stock Portfolio, $4,160,051 was obtained as a result of the reorganization, as described in Note (1)(A), with Natural Resources Portfolio in August 2015.
During the fiscal year 2015, capital loss carryovers utilized by the Portfolios were as follows:
Portfolio | Capital Loss Carryover | |||
Partner Emerging Markets Equity | $ | 280,941 | ||
Large Cap Growth | 27,862,025 | |||
Bond Index | 688,692 | |||
Limited Maturity Bond | 1,040,420 | |||
Money Market | 759 |
The tax character of distributions paid during the years ended December 31, 2015 and 2014 was as follows:
Ordinary Incomea | Long-Term Capital Gain | |||||||||||||||
Portfolio | 12/31/15 | 12/31/14 | 12/31/15 | 12/31/14 | ||||||||||||
Aggressive Allocation | $ | 20,847,112 | $ | 11,094,169 | $ | 53,446,651 | $ | 16,430,978 | ||||||||
Moderately Aggressive Allocation | 118,236,201 | 87,033,784 | 166,048,750 | 73,142,634 | ||||||||||||
Moderate Allocation | 233,639,585 | 167,287,487 | 237,675,744 | 131,188,187 | ||||||||||||
Moderately Conservative Allocation | 107,521,545 | 70,435,909 | 66,736,835 | 56,993,206 | ||||||||||||
Growth and Income Plus | 3,314,826 | 5,240,749 | 1,658,511 | 2,573,125 | ||||||||||||
Balanced Income Plus | 12,159,888 | 5,039,798 | 5,301,647 | 50,854,413 | ||||||||||||
Diversified Income Plus | 17,973,443 | 11,945,610 | 6,562,694 | — | ||||||||||||
Opportunity Income Plus | 2,967,738 | 2,013,133 | — | — | ||||||||||||
Partner Healthcare | 4,928,752 | 567,852 | 4,103,739 | 3,699,930 | ||||||||||||
Partner Emerging Markets Equity | 580,153 | 625,090 | — | — | ||||||||||||
Real Estate Securities | 2,532,458 | 2,006,084 | 5,969,645 | 2,407,859 | ||||||||||||
Small Cap Stock | 9,695,095 | 760,245 | 31,666,905 | 3,810,915 | ||||||||||||
Small Cap Index | 2,834,335 | 3,285,051 | 18,733,913 | 16,089,896 | ||||||||||||
Mid Cap Stock | 16,535,329 | 2,238,163 | 69,552,232 | 31,748,560 | ||||||||||||
Mid Cap Index | 1,772,997 | 1,514,929 | 6,867,005 | 5,599,241 | ||||||||||||
Partner Worldwide Allocation | 41,262,492 | 34,636,379 | — | — | ||||||||||||
Partner All Cap | 3,491,549 | 396,564 | 4,966,928 | — | ||||||||||||
Large Cap Growth | 4,480,734 | 6,205,697 | — | — | ||||||||||||
Partner Growth Stock | 410,740 | 186,646 | 8,541,198 | 6,310,128 | ||||||||||||
Large Cap Value | 15,306,586 | 14,210,465 | 35,220,436 | — | ||||||||||||
Large Cap Stock | 10,870,927 | 7,274,387 | 63,047,248 | — | ||||||||||||
Large Cap Index | 7,189,484 | 6,355,717 | 1,775,787 | 392,513 | ||||||||||||
High Yield | 48,028,166 | 54,199,192 | — | — | ||||||||||||
Income | 54,155,618 | 53,952,988 | 27,249,589 | 17,510,205 | ||||||||||||
Bond Index | 2,744,084 | 3,314,697 | — | — | ||||||||||||
Limited Maturity Bond | 16,313,198 | 18,195,371 | — | — |
a | Ordinary income includes income derived from Short-term Capital Gains, if any. |
(5) SECURITY TRANSACTIONS
(A) Purchases and Sales of Investment Securities — For the year ended December 31, 2015, the cost of purchases and the proceeds from sales of investment securities, other than U.S. Government and short-term securities, were as follows:
In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Aggressive Allocation | $ | 497,366 | $ | 387,250 | ||||
Moderately Aggressive Allocation | 2,371,533 | 1,691,888 | ||||||
Moderate Allocation | 3,941,709 | 2,794,935 | ||||||
Moderately Conservative Allocation | 1,589,966 | 1,220,808 | ||||||
Growth and Income Plus | 118,531 | 116,130 | ||||||
Balanced Income Plus | 284,008 | 264,220 | ||||||
Diversified Income Plus | 399,166 | 333,906 | ||||||
Opportunity Income Plus | 50,001 | 28,985 | ||||||
Partner Healthcare | 190,048 | 106,784 | ||||||
Partner Emerging Markets Equity | 4,599 | 1,945 | ||||||
Real Estate Securities | 30,746 | 18,382 | ||||||
Small Cap Stock | 310,547 | 317,881 | ||||||
Small Cap Index | 78,657 | 51,727 | ||||||
Mid Cap Stock | 671,228 | 680,830 | ||||||
Mid Cap Index | 80,050 | 29,651 | ||||||
Partner Worldwide Allocation | 1,198,328 | 1,150,396 | ||||||
Partner All Cap | 70,525 | 55,479 | ||||||
Large Cap Growth | 680,184 | 761,235 | ||||||
Partner Growth Stock | 50,215 | 32,341 | ||||||
Large Cap Value | 404,903 | 401,185 | ||||||
Large Cap Stock | 427,719 | 504,883 | ||||||
Large Cap Index | 90,930 | 15,213 | ||||||
High Yield | 300,286 | 397,572 | ||||||
Income | 586,336 | 641,259 | ||||||
Bond Index | 21,339 | 18,153 | ||||||
Limited Maturity Bond | 243,160 | 354,322 |
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
Purchases and Sales of U.S. Government Securities were:
In thousands | ||||||||
Portfolio | Purchases | Sales | ||||||
Aggressive Allocation | $ | 133,299 | $ | 128,706 | ||||
Moderately Aggressive Allocation | 2,298,609 | 2,266,532 | ||||||
Moderate Allocation | 9,141,026 | 9,044,867 | ||||||
Moderately Conservative Allocation | 5,886,428 | 5,678,989 | ||||||
Growth and Income Plus | 31,098 | 30,890 | ||||||
Balanced Income Plus | 183,088 | 180,075 | ||||||
Diversified Income Plus | 152,060 | 160,783 | ||||||
Opportunity Income Plus | 124,745 | 119,695 | ||||||
Partner Worldwide Allocation | 73,246 | 73,300 | ||||||
Income | 649,498 | 615,957 | ||||||
Bond Index | 563,202 | 559,872 | ||||||
Limited Maturity Bond | 453,186 | 546,816 |
(B) Investments in High-Yielding Securities – High Yield Portfolio invests primarily in high-yielding fixed income securities. Each of the other Portfolios, except the Money Market Portfolio, may also invest in high-yielding securities. These securities will typically be in lower rated categories or will be non-rated and generally will involve more risk than securities in higher rated categories. Lower rated or unrated securities are more likely to react to developments affecting market risk and credit risk than are more highly rated securities, which react primarily to movements in the general level of interest rates.
(C) Investments in Options and Futures Contracts – The movement in the price of the security underlying an option or futures contract may not correlate perfectly with the movement in the prices of the portfolio securities being hedged. A lack of correlation could render the Portfolio’s hedging strategy unsuccessful and could result in a loss to the Portfolio. In the event that a liquid secondary market would not exist, the Portfolio could be prevented from entering into a closing transaction which could result in additional losses to the Portfolio.
(D) Written Option Contracts – The number of contracts and premium amounts associated with covered call option contracts written during the year ended December 31, 2015, were as follows:
Number of Contracts | Premium Amount | |||||||
Limited Maturity Bond | ||||||||
Balance at December 31, 2014 | — | $ | — | |||||
Opened | 103 | 51,186 | ||||||
Closed | (103 | ) | (51,186 | ) | ||||
Expired | — | — | ||||||
Exercised | — | — | ||||||
Balance at December 31, 2015 | — | $ | — |
(6) SECURITY TRANSACTIONS WITH AFFILIATED FUNDS
The Portfolios are permitted to purchase or sell securities from or to certain other Portfolios or affiliated Funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Portfolio from or to another Portfolio or Fund that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common directors and/ or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is executed at the current market price.
During the year ended December 31, 2015, the following Portfolios engaged in purchase transactions that complied with Rule 17a-7 of the 1940 Act.
Portfolio | Purchase Amount | |||
Aggressive Allocation | $ | 36,051,280 | ||
Moderately Aggressive Allocation | 146,114,164 | |||
Moderate Allocation | 264,141,538 | |||
Moderately Conservative Allocation | 96,283,442 | |||
Growth and Income Plus | 13,665,353 | |||
Diversified Income Plus | 31,885,870 | |||
Small Cap Index | 1,635,029 | |||
Mid Cap Index | 9,616,313 | |||
Large Cap Index | 3,813,697 |
During the year ended December 31, 2015, the following Portfolios engaged in sale transactions that complied with Rule 17a-7 of the 1940 Act.
Portfolio | Sales Proceeds | Realized Gain/(Loss) | ||||||
Aggressive Allocation | $ | 10,202,285 | $ | 874,355 | ||||
Moderately Conservative Allocation | 40,554,494 | (7,303,476 | ) | |||||
Balanced Income Plus | 45,551,223 | 7,784,198 | ||||||
Small Cap Stock | 45,872,426 | 786,386 | ||||||
Small Cap Index | 8,793,714 | 5,857,873 | ||||||
Mid Cap Stock | 315,892,762 | 57,475,968 | ||||||
Mid Cap Index | 5,448,726 | 1,703,057 | ||||||
Large Cap Growth | 7,888,684 | 4,938,436 | ||||||
High Yield | 54,243,298 | 1,895,241 |
(7) SHARES OF BENEFICIAL INTEREST
The shares of each Portfolio have equal rights and privileges with all shares of that Portfolio. Shares in the Portfolio are currently sold only to separate accounts of Thrivent Financial, Thrivent Life and retirement plans sponsored by Thrivent Financial.
As of December 31, 2015, authorized capital stock consists of ten billion shares as follows:
Portfolio | Shares Authorized | Par Value | ||||||
Aggressive Allocation | 350,000,000 | $ | 0.01 | |||||
Moderately Aggressive Allocation | 700,000,000 | 0.01 | ||||||
Moderate Allocation | 1,200,000,000 | 0.01 | ||||||
Moderately Conservative Allocation | 800,000,000 | 0.01 | ||||||
Growth and Income Plus | 200,000,000 | 0.01 | ||||||
Balanced Income Plus | 200,000,000 | 0.01 | ||||||
Diversified Income Plus | 250,000,000 | 0.01 | ||||||
Opportunity Income Plus | 50,000,000 | 0.01 | ||||||
Partner Healthcare | 50,000,000 | 0.01 | ||||||
Partner Emerging Markets Equity | 100,000,000 | 0.01 | ||||||
Real Estate Securities | 100,000,000 | 0.01 | ||||||
Small Cap Stock | 200,000,000 | 0.01 |
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NOTESTO FINANCIAL STATEMENTS
December 31, 2015
Portfolio | Shares Authorized | Par Value | ||||||
Small Cap Index | 200,000,000 | 0.01 | ||||||
Mid Cap Stock | 200,000,000 | 0.01 | ||||||
Mid Cap Index | 200,000,000 | 0.01 | ||||||
Partner Worldwide Allocation | 700,000,000 | 0.01 | ||||||
Partner All Cap | 100,000,000 | 0.01 | ||||||
Large Cap Growth | 300,000,000 | 0.01 | ||||||
Partner Growth Stock | 50,000,000 | 0.01 | ||||||
Large Cap Value | 200,000,000 | 0.01 | ||||||
Large Cap Stock | 400,000,000 | 0.01 | ||||||
Large Cap Index | 200,000,000 | 0.01 | ||||||
High Yield | 350,000,000 | 0.01 | ||||||
Income | 300,000,000 | 0.01 | ||||||
Bond Index | 200,000,000 | 0.01 | ||||||
Limited Maturity Bond | 450,000,000 | 0.01 | ||||||
Money Market | 1,200,000,000 | 0.01 |
(8) MONEY MARKET FUND REGULATORY REFORM
On July 23, 2014, the Securities and Exchange Commission adopted amendments to Rule 2a-7 under the Investment Company Act of 1940 - which is the primary rule governing the operation of money market portfolios. In connection with the amendments to Rule 2a-7, the Board of Directors of Thrivent Money Market Portfolio (the “Portfolio”) approved changes to the Portfolio’s principal investment strategies to allow the Portfolio to qualify and begin operating as a “government money market portfolio,” effective February 1, 2016. As such, the Portfolio will invest at least 99.5% of its total assets in government securities, cash, and repurchase agreements collateralized fully by government securities or cash.
(9) SUBSEQUENT EVENTS
Management of the Portfolios has evaluated the impact of subsequent events through February 18, 2016, and, except as already included in the Notes to Financial Statements, has determined that no additional items require disclosure.
(10) MARKET RISK
Over time, securities markets generally tend to move in cycles with periods when security prices rise and periods when security prices decline. The value of a Portfolio’s investments may move with these cycles and, in some instances, increase or decrease more than the applicable market(s) as measured by the Portfolio’s benchmark index(es). The securities markets may also decline because of factors that affect a particular industry. As of December 31, 2015, Large Cap Growth Portfolio had portfolio concentration greater than 30% in the information technology sector, and Partner Emerging Markets Equity Portfolio and Income Portfolio had portfolio concentrations greater than 30% in the financial sector.
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THRIVENT SERIES FUND, INC.
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD * | ||||||||||||||||||||||||
Income From Investment Operations | Less Distributions From | |||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | $ | 15.44 | $ | 0.10 | $ | (0.13 | ) | $ | (0.03 | ) | $ | (0.16 | ) | $ | (1.06 | ) | ||||||||
Year Ended 12/31/2014 | 15.04 | 0.10 | 0.80 | 0.90 | (0.07 | ) | (0.43 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 12.15 | 0.07 | 3.17 | 3.24 | (0.17 | ) | (0.18 | ) | ||||||||||||||||
Year Ended 12/31/2012 | 11.40 | 0.17 | 1.18 | 1.35 | (0.08 | ) | (0.52 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 12.22 | 0.06 | (0.52 | ) | (0.46 | ) | (0.16 | ) | (0.20 | ) | ||||||||||||||
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 14.72 | 0.17 | (0.26 | ) | (0.09 | ) | (0.19 | ) | (0.67 | ) | ||||||||||||||
Year Ended 12/31/2014 | 14.37 | 0.16 | 0.71 | 0.87 | (0.13 | ) | (0.39 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 12.31 | 0.12 | 2.44 | 2.56 | (0.20 | ) | (0.30 | ) | ||||||||||||||||
Year Ended 12/31/2012 | 11.19 | 0.21 | 1.21 | 1.42 | (0.14 | ) | (0.16 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 11.89 | 0.12 | (0.45 | ) | (0.33 | ) | (0.23 | ) | (0.14 | ) | ||||||||||||||
MODERATE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 13.90 | 0.21 | (0.26 | ) | (0.05 | ) | (0.21 | ) | (0.55 | ) | ||||||||||||||
Year Ended 12/31/2014 | 13.63 | 0.18 | 0.62 | 0.80 | (0.16 | ) | (0.37 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 12.28 | 0.16 | 1.66 | 1.82 | (0.20 | ) | (0.27 | ) | ||||||||||||||||
Year Ended 12/31/2012 | 11.25 | 0.20 | 1.10 | 1.30 | (0.19 | ) | (0.08 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 11.79 | 0.17 | (0.28 | ) | (0.11 | ) | (0.26 | ) | (0.17 | ) | ||||||||||||||
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 12.89 | 0.20 | (0.24 | ) | (0.04 | ) | (0.23 | ) | (0.35 | ) | ||||||||||||||
Year Ended 12/31/2014 | 12.71 | 0.23 | 0.43 | 0.66 | (0.20 | ) | (0.28 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 12.07 | 0.20 | 0.87 | 1.07 | (0.19 | ) | (0.24 | ) | ||||||||||||||||
Year Ended 12/31/2012 | 11.28 | 0.18 | 0.89 | 1.07 | (0.19 | ) | (0.09 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 11.66 | 0.18 | (0.16 | ) | 0.02 | (0.25 | ) | (0.15 | ) | |||||||||||||||
GROWTH AND INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 10.72 | 0.24 | (0.32 | ) | (0.08 | ) | (0.23 | ) | (0.44 | ) | ||||||||||||||
Year Ended 12/31/2014 | 11.66 | 0.18 | 0.09 | 0.27 | (0.30 | ) | (0.91 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 9.82 | 0.33 | 1.74 | 2.07 | (0.23 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 8.81 | 0.24 | 0.91 | 1.15 | (0.14 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 9.06 | 0.15 | (0.37 | ) | (0.22 | ) | (0.03 | ) | — | |||||||||||||||
BALANCED INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 14.87 | 0.38 | (0.38 | ) | — | (0.32 | ) | (0.52 | ) | |||||||||||||||
Year Ended 12/31/2014 | 17.28 | 0.33 | 0.67 | 1.00 | (0.28 | ) | (3.13 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 15.42 | 0.30 | 2.42 | 2.72 | (0.31 | ) | (0.55 | ) | ||||||||||||||||
Year Ended 12/31/2012 | 14.48 | 0.33 | 1.42 | 1.75 | (0.34 | ) | (0.47 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 14.72 | 0.34 | 0.26 | 0.60 | (0.34 | ) | (0.50 | ) | ||||||||||||||||
DIVERSIFIED INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 7.94 | 0.25 | (0.24 | ) | 0.01 | (0.26 | ) | (0.16 | ) | |||||||||||||||
Year Ended 12/31/2014 | 7.84 | 0.26 | 0.08 | 0.34 | (0.24 | ) | — | |||||||||||||||||
Year Ended 12/31/2013 | 7.23 | 0.21 | 0.59 | 0.80 | (0.19 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 6.56 | 0.19 | 0.74 | 0.93 | (0.26 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 6.75 | 0.29 | (0.13 | ) | 0.16 | (0.35 | ) | — |
(a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of portfolio shares. |
(b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
* | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this statement.
234
Table of Contents
THRIVENT SERIES FUND, INC.
FINANCIAL HIGHLIGHTS –CONTINUED
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratio to Average Net Assets | ||||||||||||||||||||||||||||||||||
Ratio to Average Net | Before Expenses Waived, | |||||||||||||||||||||||||||||||||
Net Asset | Net Assets, End | Assets | Credited or Paid Indirectly | Portfolio Turnover | ||||||||||||||||||||||||||||||
Total | Value, End of | Total | of Period | Net Investment | Net Investment | |||||||||||||||||||||||||||||
Distributions | Period | Return(b) | (in millions) | Expenses | Income/(Loss) | Expenses | Income/(Loss) | Rate | ||||||||||||||||||||||||||
$(1.22) | $ | 14.19 | (0.45 | )% | $ | 967.6 | 0.57 | % | 0.73 | % | 0.64 | % | 0.65 | % | 60 | % | ||||||||||||||||||
(0.50) | 15.44 | 6.02 | % | 904.9 | 0.50 | % | 0.70 | % | 0.50 | % | 0.70 | % | 58 | % | ||||||||||||||||||||
(0.35) | 15.04 | 27.05 | % | 799.4 | 0.46 | % | 0.53 | % | 0.47 | % | 0.52 | % | 43 | % | ||||||||||||||||||||
(0.60) | 12.15 | 12.25 | % | 608.2 | 0.49 | % | 1.45 | % | 0.49 | % | 1.45 | % | 69 | % | ||||||||||||||||||||
(0.36) | 11.40 | (3.93 | )% | 560.6 | 0.42 | % | 0.49 | % | 0.43 | % | 0.47 | % | 74 | % | ||||||||||||||||||||
(0.86) | 13.77 | (0.75 | )% | 4,898.1 | 0.47 | % | 1.21 | % | 0.55 | % | 1.14 | % | 91 | % | ||||||||||||||||||||
(0.52) | 14.72 | 6.05 | % | 4,775.0 | 0.45 | % | 1.15 | % | 0.45 | % | 1.15 | % | 88 | % | ||||||||||||||||||||
(0.50) | 14.37 | 21.30 | % | 4,224.5 | 0.38 | % | 1.09 | % | 0.40 | % | 1.07 | % | 60 | % | ||||||||||||||||||||
(0.30) | 12.31 | 12.87 | % | 3,056.0 | 0.40 | % | 1.83 | % | 0.40 | % | 1.83 | % | 93 | % | ||||||||||||||||||||
(0.37) | 11.19 | (2.86 | )% | 2,659.6 | 0.33 | % | 1.22 | % | 0.33 | % | 1.22 | % | 64 | % | ||||||||||||||||||||
(0.76) | 13.09 | (0.56 | )% | 8,657.3 | 0.46 | % | 1.57 | % | 0.51 | % | 1.51 | % | 153 | % | ||||||||||||||||||||
(0.53) | 13.90 | 5.88 | % | 8,607.8 | 0.44 | % | 1.50 | % | 0.44 | % | 1.50 | % | 134 | % | ||||||||||||||||||||
(0.47) | 13.63 | 15.12 | % | 7,181.1 | 0.36 | % | 1.46 | % | 0.38 | % | 1.44 | % | 99 | % | ||||||||||||||||||||
(0.27) | 12.28 | 11.72 | % | 5,337.9 | 0.38 | % | 1.98 | % | 0.38 | % | 1.98 | % | 121 | % | ||||||||||||||||||||
(0.43) | 11.25 | (1.02 | )% | 4,133.6 | 0.29 | % | 1.86 | % | 0.29 | % | 1.86 | % | 53 | % | ||||||||||||||||||||
(0.58) | 12.27 | (0.46 | )% | 4,100.1 | 0.46 | % | 1.77 | % | 0.50 | % | 1.73 | % | 198 | % | ||||||||||||||||||||
(0.48) | 12.89 | 5.32 | % | 3,679.4 | 0.44 | % | 1.91 | % | 0.44 | % | 1.91 | % | 182 | % | ||||||||||||||||||||
(0.43) | 12.71 | 9.02 | % | 3,353.0 | 0.37 | % | 1.72 | % | 0.40 | % | 1.68 | % | 198 | % | ||||||||||||||||||||
(0.28) | 12.07 | 9.59 | % | 2,920.3 | 0.41 | % | 1.95 | % | 0.41 | % | 1.95 | % | 190 | % | ||||||||||||||||||||
(0.40) | 11.28 | 0.20 | % | 2,055.3 | 0.31 | % | 2.14 | % | 0.31 | % | 2.14 | % | 46 | % | ||||||||||||||||||||
(0.67) | 9.97 | (0.81 | )% | 78.8 | 0.80 | % | 2.24 | % | 0.99 | % | 2.06 | % | 191 | % | ||||||||||||||||||||
(1.21) | 10.72 | 2.21 | % | 81.1 | 0.80 | % | 2.30 | % | 0.94 | % | 2.16 | % | 176 | % | ||||||||||||||||||||
(0.23) | 11.66 | 21.24 | % | 65.5 | 0.79 | % | 2.10 | % | 0.85 | % | 2.04 | % | 153 | % | ||||||||||||||||||||
(0.14) | 9.82 | 13.17 | % | 102.1 | 0.81 | % | 2.56 | % | 0.81 | % | 2.56 | % | 160 | % | ||||||||||||||||||||
(0.03) | 8.81 | (2.46 | )% | 88.1 | 0.83 | % | 1.78 | % | 0.83 | % | 1.78 | % | 195 | % | ||||||||||||||||||||
(0.84) | 14.03 | (0.14 | )% | 313.1 | 0.66 | % | 2.77 | % | 0.66 | % | 2.77 | % | 147 | % | ||||||||||||||||||||
(3.41) | 14.87 | 6.07 | % | 303.0 | 0.64 | % | 2.38 | % | 0.64 | % | 2.38 | % | 111 | % | ||||||||||||||||||||
(0.86) | 17.28 | 17.95 | % | 275.0 | 0.53 | % | 1.81 | % | 0.53 | % | 1.81 | % | 216 | % | ||||||||||||||||||||
(0.81) | 15.42 | 12.42 | % | 239.3 | 0.45 | % | 1.93 | % | 0.45 | % | 1.93 | % | 142 | % | ||||||||||||||||||||
(0.84) | 14.48 | 4.18 | % | 240.5 | 0.44 | % | 2.06 | % | 0.44 | % | 2.06 | % | 143 | % | ||||||||||||||||||||
(0.42) | 7.53 | 0.08 | % | 479.6 | 0.49 | % | 3.65 | % | 0.49 | % | 3.65 | % | 113 | % | ||||||||||||||||||||
(0.24) | 7.94 | 4.27 | % | 437.3 | 0.48 | % | 3.84 | % | 0.48 | % | 3.84 | % | 136 | % | ||||||||||||||||||||
(0.19) | 7.84 | 11.17 | % | 362.7 | 0.49 | % | 3.88 | % | 0.49 | % | 3.88 | % | 150 | % | ||||||||||||||||||||
(0.26) | 7.23 | 14.48 | % | 229.7 | 0.52 | % | 4.58 | % | 0.52 | % | 4.58 | % | 155 | % | ||||||||||||||||||||
(0.35) | 6.56 | 2.32 | % | 118.4 | 0.55 | % | 4.98 | % | 0.55 | % | 4.98 | % | 127 | % |
The accompanying Notes to Financial Statements are an integral part of this statement.
235
Table of Contents
THRIVENT SERIES FUND, INC.
FINANCIAL HIGHLIGHTS –CONTINUED
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
Income From Investment Operations | Less Distributions From | |||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/ (Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
OPPORTUNITY INCOME PLUS PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | $ | 10.15 | $ | 0.35 | $ | (0.35 | ) | $ | — | $ | (0.34 | ) | $ | — | ||||||||||
Year Ended 12/31/2014 | 10.15 | 0.35 | — | 0.35 | (0.35 | ) | — | |||||||||||||||||
Year Ended 12/31/2013 | 10.64 | 0.26 | (0.40 | ) | (0.14 | ) | (0.26 | ) | (0.09 | ) | ||||||||||||||
Year Ended 12/31/2012 | 10.45 | 0.16 | 0.44 | 0.60 | (0.16 | ) | (0.25 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 10.32 | 0.30 | 0.17 | 0.47 | (0.30 | ) | (0.04 | ) | ||||||||||||||||
PARTNER HEALTHCARE PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 19.70 | 0.78 | ** | 0.20 | 0.98 | — | (1.23 | ) | ||||||||||||||||
Year Ended 12/31/2014 | 16.84 | 0.01 | 3.98 | 3.99 | — | (1.13 | ) | |||||||||||||||||
Year Ended 12/31/2013 | 13.39 | (0.02 | ) | 4.10 | 4.08 | (0.05 | ) | (0.58 | ) | |||||||||||||||
Year Ended 12/31/2012 | 11.26 | 0.03 | 2.29 | 2.32 | (0.04 | ) | (0.15 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 12.08 | 0.03 | (0.46 | ) | (0.43 | ) | — | (0.39 | ) | |||||||||||||||
PARTNER EMERGING MARKETS EQUITY PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 12.08 | 0.12 | (1.75 | ) | (1.63 | ) | (0.14 | ) | — | |||||||||||||||
Year Ended 12/31/2014 | 12.47 | 0.14 | (0.41 | ) | (0.27 | ) | (0.12 | ) | — | |||||||||||||||
Year Ended 12/31/2013 | 13.61 | 0.12 | (1.13 | ) | (1.01 | ) | (0.13 | ) | — | |||||||||||||||
Year Ended 12/31/2012 | 10.92 | 0.14 | 2.68 | 2.82 | (0.07 | ) | (0.06 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 12.38 | 0.15 | (1.48 | ) | (1.33 | ) | (0.13 | ) | — | |||||||||||||||
REAL ESTATE SECURITIES PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 22.78 | 0.35 | 0.16 | 0.51 | (0.33 | ) | (0.95 | ) | ||||||||||||||||
Year Ended 12/31/2014 | 17.98 | 0.35 | 5.11 | 5.46 | (0.30 | ) | (0.36 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 17.85 | 0.29 | 0.11 | 0.40 | (0.27 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 15.77 | 0.30 | 2.43 | 2.73 | (0.65 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 (c) | 14.49 | 0.22 | 1.06 | 1.28 | — | — | ||||||||||||||||||
SMALL CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 18.37 | 0.04 | (0.38 | ) | (0.34 | ) | (0.08 | ) | (2.42 | ) | ||||||||||||||
Year Ended 12/31/2014 | 17.77 | 0.08 | 0.75 | 0.83 | (0.04 | ) | (0.19 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 13.12 | 0.04 | 4.67 | 4.71 | (0.06 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 11.99 | 0.06 | 1.07 | 1.13 | — | — | ||||||||||||||||||
Year Ended 12/31/2011 | 12.66 | (0.01 | ) | (0.66 | ) | (0.67 | ) | — | — | |||||||||||||||
SMALL CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 17.44 | 0.17 | (0.47 | ) | (0.30 | ) | (0.14 | ) | (1.23 | ) | ||||||||||||||
Year Ended 12/31/2014 | 17.86 | 0.15 | 0.77 | 0.92 | (0.13 | ) | (1.21 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 13.42 | 0.14 | 5.17 | 5.31 | (0.20 | ) | (0.67 | ) | ||||||||||||||||
Year Ended 12/31/2012 | 12.77 | 0.20 | 1.68 | 1.88 | (0.09 | ) | (1.14 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 13.19 | 0.10 | (0.02 | ) | 0.08 | (0.11 | ) | (0.39 | ) | |||||||||||||||
MID CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 18.86 | 0.09 | (0.06 | ) | 0.03 | (0.11 | ) | (2.05 | ) | |||||||||||||||
Year Ended 12/31/2014 | 17.66 | 0.11 | 1.98 | 2.09 | (0.06 | ) | (0.83 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 13.09 | 0.06 | 4.57 | 4.63 | (0.06 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 11.48 | 0.06 | 1.58 | 1.64 | (0.03 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 12.25 | 0.03 | (0.79 | ) | (0.76 | ) | (0.01 | ) | — |
(a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of portfolio shares. |
(b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
(c) | Per share amounts have been calculated using the average shares outstanding method. |
* | All per share amounts have been rounded to the nearest cent. |
** | Net investment income per share reflects special dividends. The effect of these dividends amounted to $0.76 per share. |
The accompanying Notes to Financial Statements are an integral part of this statement.
236
Table of Contents
THRIVENT SERIES FUND, INC.
FINANCIAL HIGHLIGHTS –CONTINUED
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Net Asset | Net Assets, End | Ratio to Average Net Assets | Ratio to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly | |||||||||||||||||||||||||||||||
Total Distributions | Value, End of Period | Total Return(b) | of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
$ | (0.34 | ) | $ | 9.81 | (0.03 | )% | $ | 99.7 | 0.73 | % | 3.44 | % | 0.73 | % | 3.44 | % | 184 | % | ||||||||||||||||
(0.35 | ) | 10.15 | 3.48 | % | 71.8 | 0.76 | % | 3.46 | % | 0.79 | % | 3.42 | % | 140 | % | |||||||||||||||||||
(0.35 | ) | 10.15 | (1.39 | )% | 46.5 | 0.79 | % | 2.58 | % | 0.88 | % | 2.49 | % | 755 | % | |||||||||||||||||||
(0.41 | ) | 10.64 | 5.99 | % | 37.3 | 0.83 | % | 1.54 | % | 0.88 | % | 1.49 | % | 936 | % | |||||||||||||||||||
(0.34 | ) | 10.45 | 4.53 | % | 32.4 | 0.90 | % | 2.89 | % | 0.90 | % | 2.89 | % | 854 | % | |||||||||||||||||||
(1.23 | ) | 19.45 | 4.61 | % | 192.2 | 0.96 | % | 4.90 | % | 1.03 | % | 4.83 | % | 73 | % | |||||||||||||||||||
(1.13 | ) | 19.70 | 24.23 | % | 102.1 | 1.13 | % | 0.03 | % | 1.13 | % | 0.03 | % | 63 | % | |||||||||||||||||||
(0.63 | ) | 16.84 | 31.09 | % | 53.7 | 1.25 | % | (0.10 | )% | 1.31 | % | (0.16 | )% | 61 | % | |||||||||||||||||||
(0.19 | ) | 13.39 | 20.68 | % | 25.2 | 1.25 | % | 0.26 | % | 1.54 | % | (0.04 | )% | 40 | % | |||||||||||||||||||
(0.39 | ) | 11.26 | (3.79 | )% | 18.0 | 1.30 | % | 0.24 | % | 1.64 | % | (0.11 | )% | 66 | % | |||||||||||||||||||
(0.14 | ) | 10.31 | (13.59 | )% | 43.5 | 1.40 | % | 1.09 | % | 1.70 | % | 0.79 | % | 4 | % | |||||||||||||||||||
(0.12 | ) | 12.08 | (2.29 | )% | 48.5 | 1.40 | % | 1.07 | % | 1.52 | % | 0.95 | % | 14 | % | |||||||||||||||||||
(0.13 | ) | 12.47 | (7.34 | )% | 59.9 | 1.40 | % | 1.07 | % | 1.54 | % | 0.92 | % | 5 | % | |||||||||||||||||||
(0.13 | ) | 13.61 | 25.98 | % | 54.7 | 1.40 | % | 1.27 | % | 1.62 | % | 1.05 | % | 4 | % | |||||||||||||||||||
(0.13 | ) | 10.92 | (10.83 | )% | 38.9 | 1.43 | % | 1.27 | % | 1.66 | % | 1.04 | % | 6 | % | |||||||||||||||||||
(1.28 | ) | 22.01 | 2.75 | % | 155.5 | 0.92 | % | 1.77 | % | 0.92 | % | 1.77 | % | 12 | % | |||||||||||||||||||
(0.66 | ) | 22.78 | 30.82 | % | 142.5 | 0.92 | % | 1.67 | % | 0.92 | % | 1.67 | % | 21 | % | |||||||||||||||||||
(0.27 | ) | 17.98 | 2.18 | % | 120.1 | 0.92 | % | 1.53 | % | 0.92 | % | 1.53 | % | 22 | % | |||||||||||||||||||
(0.65 | ) | 17.85 | 17.54 | % | 122.4 | 0.93 | % | 1.62 | % | 0.93 | % | 1.62 | % | 32 | % | |||||||||||||||||||
— | 15.77 | 8.83 | % | 108.0 | 0.87 | % | 1.47 | % | 0.87 | % | 1.47 | % | 16 | % | ||||||||||||||||||||
(2.50 | ) | 15.53 | (3.13 | )% | 413.8 | 0.75 | % | 0.47 | % | 0.75 | % | 0.47 | % | 90 | % | |||||||||||||||||||
(0.23 | ) | 18.37 | 4.76 | % | 306.3 | 0.75 | % | 0.42 | % | 0.75 | % | 0.42 | % | 56 | % | |||||||||||||||||||
(0.06 | ) | 17.77 | 35.90 | % | 354.6 | 0.75 | % | 0.25 | % | 0.75 | % | 0.25 | % | 62 | % | |||||||||||||||||||
— | 13.12 | 9.42 | % | 269.5 | 0.76 | % | 0.49 | % | 0.76 | % | 0.49 | % | 96 | % | ||||||||||||||||||||
— | 11.99 | (5.31 | )% | 263.8 | 0.76 | % | (0.10 | )% | 0.76 | % | (0.10 | )% | 88 | % | ||||||||||||||||||||
(137 | ) | 15.77 | (2.17 | )% | 279.9 | 0.29 | % | 1.13 | % | 0.29 | % | 1.13 | % | 20 | % | |||||||||||||||||||
(1.34 | ) | 17.44 | 5.36 | % | 268.6 | 0.43 | % | 0.87 | % | 0.43 | % | 0.87 | % | 12 | % | |||||||||||||||||||
(0.87 | ) | 17.86 | 40.83 | % | 262.8 | 0.44 | % | 0.84 | % | 0.44 | % | 0.84 | % | 12 | % | |||||||||||||||||||
(1.23 | ) | 13.42 | 15.95 | % | 193.7 | 0.46 | % | 1.44 | % | 0.46 | % | 1.44 | % | 9 | % | |||||||||||||||||||
(0.50 | ) | 12.77 | 0.53 | % | 189.0 | 0.45 | % | 0.63 | % | 0.45 | % | 0.63 | % | 13 | % | |||||||||||||||||||
(2.16 | ) | 16.73 | 0.08 | % | 1,194.6 | 0.69 | % | 0.53 | % | 0.70 | % | 0.52 | % | 77 | % | |||||||||||||||||||
(0.89 | ) | 18.86 | 11.93 | % | 752.6 | 0.71 | % | 0.63 | % | 0.71 | % | 0.63 | % | 37 | % | |||||||||||||||||||
(0.06 | ) | 17.66 | 35.50 | % | 675.4 | 0.72 | % | 0.38 | % | 0.72 | % | 0.38 | % | 39 | % | |||||||||||||||||||
(0.03 | ) | 13.09 | 14.29 | % | 506.7 | 0.73 | % | 0.51 | % | 0.73 | % | 0.51 | % | 47 | % | |||||||||||||||||||
(0.01 | ) | 11.48 | (6.29 | )% | 457.0 | 0.72 | % | 0.24 | % | 0.72 | % | 0.24 | % | 35 | % |
The accompanying Notes to Financial Statements are an integral part of this statement.
237
Table of Contents
THRIVENT SERIES FUND, INC.
FINANCIAL HIGHLIGHTS –CONTINUED
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
Income From Investment Operations | Less Distributions From | |||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/ (Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
MID CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | $ | 16.35 | $ | 0.15 | $ | (0.51 | ) | $ | (0.36 | ) | $ | (0.12 | ) | $ | (0.75 | ) | ||||||||
Year Ended 12/31/2014 | 15.78 | 0.13 | 1.32 | 1.45 | (0.12 | ) | (0.76 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 12.36 | 0.12 | 3.87 | 3.99 | (0.13 | ) | (0.44 | ) | ||||||||||||||||
Year Ended 12/31/2012 | 11.79 | 0.14 | 1.74 | 1.88 | (0.10 | ) | (1.21 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 12.91 | 0.10 | (0.33 | ) | (0.23 | ) | (0.11 | ) | (0.78 | ) | ||||||||||||||
PARTNER WORLDWIDE ALLOCATION PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 9.30 | 0.19 | (0.25 | ) | (0.06 | ) | (0.24 | ) | — | |||||||||||||||
Year Ended 12/31/2014 | 10.02 | 0.22 | (0.74 | ) | (0.52 | ) | (0.20 | ) | — | |||||||||||||||
Year Ended 12/31/2013 | 8.62 | 0.18 | 1.22 | 1.40 | — | — | ||||||||||||||||||
Year Ended 12/31/2012 | 7.39 | 0.12 | 1.26 | 1.38 | (0.12 | ) | (0.03 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 8.77 | 0.19 | (1.26 | ) | (1.07 | ) | (0.17 | ) | (0.14 | ) | ||||||||||||||
PARTNER ALL CAP PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 14.18 | 0.04 | 0.33 | 0.37 | (0.05 | ) | (1.56 | ) | ||||||||||||||||
Year Ended 12/31/2014 | 12.71 | 0.06 | 1.49 | 1.55 | (0.08 | ) | — | |||||||||||||||||
Year Ended 12/31/2013 | 9.64 | 0.08 | 3.07 | 3.15 | (0.08 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 8.44 | 0.08 | 1.16 | 1.24 | (0.04 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 8.93 | 0.06 | (0.49 | ) | (0.43 | ) | (0.06 | ) | — | |||||||||||||||
LARGE CAP GROWTH PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 28.08 | 0.12 | 2.83 | 2.95 | (0.13 | ) | — | |||||||||||||||||
Year Ended 12/31/2014 | 25.46 | 0.16 | 2.63 | 2.79 | (0.17 | ) | — | |||||||||||||||||
Year Ended 12/31/2013 | 18.81 | 0.15 | 6.64 | 6.79 | (0.14 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 15.96 | 0.22 | 2.85 | 3.07 | (0.22 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 16.98 | 0.10 | (1.02 | ) | (0.92 | ) | (0.10 | ) | — | |||||||||||||||
PARTNER GROWTH STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 18.72 | (0.02 | ) | 1.93 | 1.91 | — | (1.96 | ) | ||||||||||||||||
Year Ended 12/31/2014 | 18.79 | (0.03 | ) | 1.53 | 1.50 | — | (1.57 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 13.54 | (0.04 | ) | 5.29 | 5.25 | — | — | |||||||||||||||||
Year Ended 12/31/2012 | 11.41 | — | 2.13 | 2.13 | — | — | ||||||||||||||||||
Year Ended 12/31/2011 | 11.58 | (0.03 | ) | (0.14 | ) | (0.17 | ) | — | — | |||||||||||||||
LARGE CAP VALUE PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 16.79 | 0.23 | (0.79 | ) | (0.56 | ) | (0.22 | ) | (0.49 | ) | ||||||||||||||
Year Ended 12/31/2014 | 15.58 | 0.22 | 1.19 | 1.41 | (0.20 | ) | — | |||||||||||||||||
Year Ended 12/31/2013 | 12.00 | 0.20 | 3.59 | 3.79 | (0.21 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 10.39 | 0.21 | 1.59 | 1.80 | (0.19 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 10.73 | 0.18 | (0.52 | ) | (0.34 | ) | — | — | ||||||||||||||||
LARGE CAP STOCK PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 12.33 | 0.15 | 0.25 | 0.40 | (0.15 | ) | (0.95 | ) | ||||||||||||||||
Year Ended 12/31/2014 | 11.81 | 0.15 | 0.48 | 0.63 | (0.11 | ) | — | |||||||||||||||||
Year Ended 12/31/2013 | 9.22 | 0.11 | 2.60 | 2.71 | (0.12 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 8.11 | 0.12 | 1.08 | 1.20 | (0.09 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 8.50 | 0.09 | (0.48 | ) | (0.39 | ) | — | — |
(a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of portfolio shares. |
(b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
* | All per share amounts have been rounded to the nearest cent. |
The accompanying Notes to Financial Statements are an integral part of this statement.
238
Table of Contents
THRIVENT SERIES FUND, INC.
FINANCIAL HIGHLIGHTS –CONTINUED
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Net Asset | Net Assets, End | Ratio to Average Net Assets | Ratio to Average Net Assets Before Expenses Waived, Credited or Paid Indirectly | |||||||||||||||||||||||||||||||
Total | Value, End of Period | Total Return(b) | of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
$ | (0.87) | $ | 15.12 | (2.52 | )% | $ | 180.2 | 0.32 | % | 1.15 | % | 0.32 | % | 1.15 | % | 19 | % | |||||||||||||||||
(0.88) | 16.35 | 9.28 | % | 145.1 | 0.47 | % | 0.89 | % | 0.47 | % | 0.89 | % | 13 | % | ||||||||||||||||||||
(0.57) | 15.78 | 32.92 | % | 123.0 | 0.50 | % | 0.95 | % | 0.50 | % | 0.95 | % | 12 | % | ||||||||||||||||||||
(1.31) | 12.36 | 17.38 | % | 85.1 | 0.53 | % | 1.11 | % | 0.53 | % | 1.11 | % | 8 | % | ||||||||||||||||||||
(0.89) | 11.79 | (2.23 | )% | 78.1 | 0.53 | % | 0.72 | % | 0.53 | % | 0.72 | % | 16 | % | ||||||||||||||||||||
(0.24) | 9.00 | (0.78 | )% | 1,605.6 | 0.92 | % | 2.06 | % | 0.92 | % | 2.06 | % | 76 | % | ||||||||||||||||||||
(0.20) | 9.30 | (5.35 | )% | 1,607.3 | 0.91 | % | 2.24 | % | 0.91 | % | 2.24 | % | 78 | % | ||||||||||||||||||||
— | 10.02 | 16.31 | % | 1,706.0 | 0.91 | % | 1.97 | % | 0.91 | % | 1.97 | % | 80 | % | ||||||||||||||||||||
(0.15) | 8.62 | 18.67 | % | 1,520.3 | 0.95 | % | 2.10 | % | 0.95 | % | 2.10 | % | 93 | % | ||||||||||||||||||||
(0.31) | 7.39 | (12.13 | )% | 495.6 | 0.99 | % | 2.25 | % | 0.99 | % | 2.25 | % | 64 | % | ||||||||||||||||||||
(1.61) | 12.94 | 2.26 | % | 86.2 | 0.92 | % | 0.36 | % | 1.16 | % | 0.12 | % | 72 | % | ||||||||||||||||||||
(0.08) | 14.18 | 12.26 | % | 69.5 | 0.95 | % | 0.48 | % | 1.18 | % | 0.25 | % | 105 | % | ||||||||||||||||||||
(0.08) | 12.71 | 32.85 | % | 63.8 | 0.98 | % | 0.69 | % | 1.23 | % | 0.45 | % | 133 | % | ||||||||||||||||||||
(0.04) | 9.64 | 14.74 | % | 51.5 | 1.04 | % | 0.81 | % | 1.24 | % | 0.61 | % | 116 | % | ||||||||||||||||||||
(0.06) | 8.44 | (4.83 | )% | 51.4 | 1.03 | % | 0.56 | % | 1.23 | % | 0.36 | % | 124 | % | ||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
(0.13) | 30.90 | 10.48 | % | 1,109.7 | 0.44 | % | 0.41 | % | 0.44 | % | 0.41 | % | 68 | % | ||||||||||||||||||||
(0.17) | 28.08 | 10.99 | % | 1,004.5 | 0.44 | % | 0.54 | % | 0.44 | % | 0.54 | % | 43 | % | ||||||||||||||||||||
(0.14) | 25.46 | 36.14 | % | 1,062.0 | 0.44 | % | 0.66 | % | 0.44 | % | 0.66 | % | 62 | % | ||||||||||||||||||||
(0.22) | 18.81 | 19.18 | % | 859.9 | 0.45 | % | 1.16 | % | 0.45 | % | 1.16 | % | 87 | % | ||||||||||||||||||||
(0.10) | 15.96 | (5.42 | )% | 805.3 | 0.44 | % | 0.55 | % | 0.44 | % | 0.55 | % | 216 | % | ||||||||||||||||||||
(1.96) | 18.67 | 10.65 | % | 110.1 | 0.86 | % | (0.14 | )% | 1.00 | % | (0.28 | )% | 35 | % | ||||||||||||||||||||
(1.57) | 18.72 | 8.51 | % | 81.7 | 0.91 | % | (0.18 | )% | 1.01 | % | (0.28 | )% | 38 | % | ||||||||||||||||||||
— | 18.79 | 38.84 | % | 76.2 | 0.94 | % | (0.24 | )% | 1.04 | % | (0.34 | )% | 34 | % | ||||||||||||||||||||
— | 13.54 | 18.66 | % | 58.0 | 0.96 | % | 0.02 | % | 1.06 | % | (0.08 | )% | 32 | % | ||||||||||||||||||||
— | 11.41 | (1.49 | )% | 51.1 | 0.96 | % | (0.20 | )% | 1.06 | % | (0.30 | )% | 26 | % | ||||||||||||||||||||
(0.71) | 15.52 | (3.53 | )% | 1,147.0 | 0.64 | % | 1.44 | % | 0.64 | % | 1.44 | % | 34 | % | ||||||||||||||||||||
(0.20) | 16.79 | 9.03 | % | 1,205.0 | 0.64 | % | 1.34 | % | 0.64 | % | 1.34 | % | 20 | % | ||||||||||||||||||||
(0.21) | 15.58 | 31.82 | % | 1,119.2 | 0.64 | % | 1.42 | % | 0.64 | % | 1.42 | % | 32 | % | ||||||||||||||||||||
(0.19) | 12.00 | 17.57 | % | 852.6 | 0.64 | % | 1.84 | % | 0.64 | % | 1.84 | % | 90 | % | ||||||||||||||||||||
— | 10.39 | (3.08 | )% | 752.1 | 0.64 | % | 1.70 | % | 0.64 | % | 1.70 | % | 73 | % | ||||||||||||||||||||
(1.10) | 11.63 | 3.11 | % | 878.9 | 0.67 | % | 1.26 | % | 0.67 | % | 1.26 | % | 57 | % | ||||||||||||||||||||
(0.11) | 12.33 | 5.29 | % | 834.5 | 0.67 | % | 1.21 | % | 0.67 | % | 1.21 | % | 64 | % | ||||||||||||||||||||
(0.12) | 11.81 | 29.60 | % | 811.9 | 0.67 | % | 1.02 | % | 0.67 | % | 1.02 | % | 73 | % | ||||||||||||||||||||
(0.09) | 9.22 | 14.90 | % | 622.5 | 0.69 | % | 1.35 | % | 0.69 | % | 1.35 | % | 121 | % | ||||||||||||||||||||
— | 8.11 | (4.58 | )% | 565.8 | 0.69 | % | 1.00 | % | 0.69 | % | 1.00 | % | 139 | % |
The accompanying Notes to Financial Statements are an integral part of this statement.
239
Table of Contents
THRIVENT SERIES FUND, INC.
FINANCIAL HIGHLIGHTS –CONTINUED
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD* | ||||||||||||||||||||||||
Income From Investment Operations | Less Distributions From | |||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
LARGE CAP INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | $ | 28.75 | $ | 0.57 | ** | $ | (0.25 | ) | $ | 0.32 | $ | (0.39 | ) | $ | (0.14 | ) | ||||||||
Year Ended 12/31/2014 | 25.80 | 0.44 | 2.96 | 3.40 | (0.39 | ) | (0.06 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 20.11 | 0.40 | 5.91 | 6.31 | (0.39 | ) | (0.23 | ) | ||||||||||||||||
Year Ended 12/31/2012 | 17.71 | 0.40 | 2.33 | 2.73 | (0.33 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 17.71 | 0.34 | (0.04 | ) | 0.30 | (0.30 | ) | — | ||||||||||||||||
HIGH YIELD PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 4.87 | 0.28 | (0.39 | ) | (0.11 | ) | (0.28 | ) | — | |||||||||||||||
Year Ended 12/31/2014 | 5.07 | 0.30 | (0.20 | ) | 0.10 | (0.30 | ) | — | ||||||||||||||||
Year Ended 12/31/2013 | 5.05 | 0.32 | 0.02 | 0.34 | (0.32 | ) | — | |||||||||||||||||
Year Ended 12/31/2012 | 4.66 | 0.35 | 0.39 | 0.74 | (0.35 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 4.81 | 0.37 | (0.15 | ) | 0.22 | (0.37 | ) | — | ||||||||||||||||
INCOME PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 10.50 | 0.38 | (0.44 | ) | (0.06 | ) | (0.38 | ) | (0.23 | ) | ||||||||||||||
Year Ended 12/31/2014 | 10.34 | 0.40 | 0.29 | 0.69 | (0.40 | ) | (0.13 | ) | ||||||||||||||||
Year Ended 12/31/2013 | 10.77 | 0.40 | (0.41 | ) | (0.01 | ) | (0.40 | ) | (0.02 | ) | ||||||||||||||
Year Ended 12/31/2012 | 10.09 | 0.40 | 0.68 | 1.08 | (0.40 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 9.96 | 0.46 | 0.12 | 0.58 | (0.45 | ) | — | |||||||||||||||||
BOND INDEX PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 11.00 | 0.20 | (0.11 | ) | 0.09 | (0.20 | ) | — | ||||||||||||||||
Year Ended 12/31/2014 | 10.56 | 0.24 | 0.44 | 0.68 | (0.24 | ) | — | |||||||||||||||||
Year Ended 12/31/2013 | 11.39 | 0.21 | (0.48 | ) | (0.27 | ) | (0.21 | ) | (0.35 | ) | ||||||||||||||
Year Ended 12/31/2012 | 11.21 | 0.23 | 0.32 | 0.55 | (0.23 | ) | (0.14 | ) | ||||||||||||||||
Year Ended 12/31/2011 | 10.73 | 0.31 | 0.55 | 0.86 | (0.31 | ) | (0.07 | ) | ||||||||||||||||
LIMITED MATURITY BOND PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 9.81 | 0.17 | (0.10 | ) | 0.07 | (0.16 | ) | — | ||||||||||||||||
Year Ended 12/31/2014 | 9.82 | 0.17 | (0.01 | ) | 0.16 | (0.17 | ) | — | ||||||||||||||||
Year Ended 12/31/2013 | 9.92 | 0.15 | (0.10 | ) | 0.05 | (0.15 | ) | — | ||||||||||||||||
Year Ended 12/31/2012 | 9.67 | 0.17 | 0.24 | 0.41 | (0.16 | ) | — | |||||||||||||||||
Year Ended 12/31/2011 | 9.80 | 0.23 | (0.14 | ) | 0.09 | (0.22 | ) | — | ||||||||||||||||
MONEY MARKET PORTFOLIO | ||||||||||||||||||||||||
Year Ended 12/31/2015 | 1.00 | — | — | — | — | — | ||||||||||||||||||
Year Ended 12/31/2014 | 1.00 | — | — | — | — | — | ||||||||||||||||||
Year Ended 12/31/2013 | 1.00 | — | — | — | — | — | ||||||||||||||||||
Year Ended 12/31/2012 | 1.00 | — | — | — | — | — | ||||||||||||||||||
Year Ended 12/31/2011 | 1.00 | — | — | — | — | — |
(a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of portfolio shares. |
(b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. Total return shown does not reflect charges and expenses imposed on contract holders by the variable accounts. Those charges and expenses reduce the return received by contract holders as compared to the return presented. |
* | All per share amounts have been rounded to the nearest cent. |
** | Net investment income per share reflects special dividends. The effect of these dividends amounted to $0.07 per share. |
The accompanying Notes to Financial Statements are an integral part of this statement.
240
Table of Contents
THRIVENT SERIES FUND, INC.
FINANCIAL HIGHLIGHTS –CONTINUED
RATIOS / SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratio to Average Net Assets | ||||||||||||||||||||||||||||||||||
Ratio to Average Net | Before Expenses Waived, | |||||||||||||||||||||||||||||||||
Net Asset | Net Assets, End | Assets | Credited or Paid Indirectly | |||||||||||||||||||||||||||||||
Total | Value, End of | Total | of Period | Net Investment | Net Investment | Portfolio | ||||||||||||||||||||||||||||
Distributions | Period | Return(b) | (in millions) | Expenses | Income/(Loss) | Expenses | Income/(Loss) | Turnover Rate | ||||||||||||||||||||||||||
$ | (0.53 | ) | $ | 28.54 | 1.12 | % | $ | 521.2 | 0.26 | % | 2.26 | % | 0.26 | % | 2.26 | % | 3 | % | ||||||||||||||||
(0.45 | ) | 28.75 | 13.25 | % | 450.4 | 0.39 | % | 1.65 | % | 0.39 | % | 1.65 | % | 3 | % | |||||||||||||||||||
(0.62 | ) | 25.80 | 31.81 | % | 392.6 | 0.40 | % | 1.71 | % | 0.40 | % | 1.71 | % | 4 | % | |||||||||||||||||||
(0.33 | ) | 20.11 | 15.54 | % | 304.0 | 0.42 | % | 1.89 | % | 0.42 | % | 1.89 | % | 4 | % | |||||||||||||||||||
(0.30 | ) | 17.71 | 1.71 | % | 291.3 | 0.42 | % | 1.67 | % | 0.42 | % | 1.67 | % | 4 | % | |||||||||||||||||||
(0.28 | ) | 4.48 | (2.69 | )% | 712.1 | 0.45 | % | 5.73 | % | 0.45 | % | 5.73 | % | 38 | % | |||||||||||||||||||
(0.30 | ) | 4.87 | 1.96 | % | 855.8 | 0.44 | % | 5.86 | % | 0.44 | % | 5.86 | % | 42 | % | |||||||||||||||||||
(0.32 | ) | 5.07 | 6.91 | % | 921.9 | 0.44 | % | 6.31 | % | 0.44 | % | 6.31 | % | 53 | % | |||||||||||||||||||
(0.35 | ) | 5.05 | 16.28 | % | 904.9 | 0.44 | % | 7.11 | % | 0.44 | % | 7.11 | % | 57 | % | |||||||||||||||||||
(0.37 | ) | 4.66 | 4.71 | % | 778.5 | 0.45 | % | 7.81 | % | 0.45 | % | 7.81 | % | 58 | % | |||||||||||||||||||
(0.61 | ) | 9.83 | (0.68 | )% | 1,336.0 | 0.44 | % | 3.69 | % | 0.44 | % | 3.69 | % | 92 | % | |||||||||||||||||||
(0.53 | ) | 10.50 | 6.68 | % | 1,392.3 | 0.44 | % | 3.77 | % | 0.44 | % | 3.77 | % | 87 | % | |||||||||||||||||||
(0.42 | ) | 10.34 | (0.07 | )% | 1,417.6 | 0.44 | % | 3.78 | % | 0.44 | % | 3.78 | % | 115 | % | |||||||||||||||||||
(0.40 | ) | 10.77 | 10.98 | % | 1,575.9 | 0.44 | % | 3.84 | % | 0.44 | % | 3.84 | % | 132 | % | |||||||||||||||||||
(0.45 | ) | 10.09 | 5.96 | % | 1,463.1 | 0.44 | % | 4.53 | % | 0.44 | % | 4.53 | % | 142 | % | |||||||||||||||||||
(0.20 | ) | 10.89 | 0.80 | % | 157.3 | 0.47 | % | 1.78 | % | 0.47 | % | 1.78 | % | 372 | % | |||||||||||||||||||
(0.24 | ) | 11.00 | 6.52 | % | 150.0 | 0.47 | % | 2.22 | % | 0.47 | % | 2.22 | % | 407 | % | |||||||||||||||||||
(0.56 | ) | 10.56 | (2.47 | )% | 152.0 | 0.46 | % | 1.94 | % | 0.46 | % | 1.94 | % | 384 | % | |||||||||||||||||||
(0.37 | ) | 11.39 | 4.94 | % | 185.5 | 0.46 | % | 2.00 | % | 0.46 | % | 2.00 | % | 401 | % | |||||||||||||||||||
(0.38 | ) | 11.21 | 8.23 | % | 164.5 | 0.46 | % | 2.83 | % | 0.46 | % | 2.83 | % | 415 | % | |||||||||||||||||||
(0.16 | ) | 9.72 | 0.73 | % | 823.9 | 0.44 | % | 1.67 | % | 0.44 | % | 1.67 | % | 73 | % | |||||||||||||||||||
(0.17 | ) | 9.81 | 1.68 | % | 1,018.3 | 0.44 | % | 1.75 | % | 0.44 | % | 1.75 | % | 102 | % | |||||||||||||||||||
(0.15 | ) | 9.82 | 0.45 | % | 1,082.5 | 0.44 | % | 1.56 | % | 0.44 | % | 1.56 | % | 114 | % | |||||||||||||||||||
(0.16 | ) | 9.92 | 4.32 | % | 1,200.0 | 0.43 | % | 1.72 | % | 0.44 | % | 1.71 | % | 107 | % | |||||||||||||||||||
(0.22 | ) | 9.67 | 0.90 | % | 1,497.8 | 0.43 | % | 2.31 | % | 0.44 | % | 2.30 | % | 91 | % | |||||||||||||||||||
— | 1.00 | 0.00 | % | 146.9 | 0.21 | % | 0.00 | % | 0.55 | % | (0.33 | )% | N/A | |||||||||||||||||||||
— | 1.00 | 0.00 | % | 126.4 | 0.18 | % | 0.00 | % | 0.53 | % | (0.35 | )% | N/A | |||||||||||||||||||||
— | 1.00 | 0.00 | % | 146.6 | 0.22 | % | 0.00 | % | 0.52 | % | (0.30 | )% | N/A | |||||||||||||||||||||
— | 1.00 | 0.00 | % | 148.3 | 0.29 | % | 0.00 | % | 0.51 | % | (0.23 | )% | N/A | |||||||||||||||||||||
— | 1.00 | 0.00 | % | 170.5 | 0.30 | % | 0.00 | % | 0.51 | % | (0.21 | )% | N/A |
The accompanying Notes to Financial Statements are an integral part of this statement.
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(unaudited)
Proxy Voting
The policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities are attached to the Fund’s Statement of Additional Information. You may request a free copy of the Statement of Additional Information by calling 800-THRIVENT (847-4836). You also may review the Statement of Additional Information or the report of how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 at thrivent.com or sec.gov.
Quarterly Schedule of Investments
The Fund files its Schedule of Investments on Form N-Q with the SEC for the first and third quarters of each fiscal year. You may request a free copy of the Fund’s Forms N-Q by calling 800-THRIVENT (847-4836). The Fund’s most recent Form N-Q Schedule of Investments also is available at Thrivent.com or sec.gov. You also may review and copy the Forms N-Q for the Fund at the SEC’s Public Reference Room in Washington, DC. You may get information about the operation of the Public Reference Room by calling 1-800-SEC-0330.
Summary Schedule of Investments
The summary schedule of investments is designed to streamline the report and help investors better focus on a portfolio’s principal holdings. A complete listing of holdings for a portfolio in which the summary is included in the shareholder report is available free of charge by calling 800-THRIVENT (847-4836). It is also available at Thrivent.com or sec.gov where it is part of form N-CSR.
Board Approval of Investment Advisory Agreement and Subadvisory Agreements
Both the Investment Company Act of 1940 (the “Investment Company Act”) and the terms of the Advisory and Subadvisory Agreements of the Thrivent Series Fund, Inc. (the “Fund”) require that these agreements be approved annually by the Board of Directors (the “Board”), including a majority of the Directors who are not “interested persons” of the Fund, as defined in the Investment Company Act (the “Independent Directors”). The ten-member Board consists of eight Independent Directors, including the Chairman.
At its meeting on November 17-18, 2015, the Board voted unanimously to renew the existing Advisory Agreement between the Fund and Thrivent Financial for Lutherans (the “Adviser”) for each series of the Fund other than the Asset Allocation Portfolios (each, a “Portfolio”). The Board also unanimously approved the Subadvisory Agreements for each of the Portfolios for which there is an investment subadviser (each a “Subadviser”). The Adviser and Subadvisers are referred to, collectively, as the “Advisory Organizations.” In connection with its evaluation of the agreements with the Advisory Organizations, the Board reviewed a broad range of information requested for this purpose and considered a variety of factors, including the following:
1. | The nature, extent, and quality of the services provided by the Advisory Organizations; |
2. | The performance of each Portfolio; |
3. | The advisory fee and net operating expense ratio of each Portfolio compared to a peer group; |
4. | The cost of services provided and profit realized by the Adviser; |
5. | The extent to which economies of scale may be realized as the Portfolios grow; |
6. | Whether fee levels reflect these economies of scale for the benefit of the Portfolios’ shareholders; |
7. | Other benefits realized by the Adviser and its affiliates from their relationship with the Fund; and |
8. | Any other factors that the Board deemed relevant to its consideration. |
In connection with the renewal process, the Contracts Committee of the Board (consisting of all of the Independent Directors) met on six occasions from February 24 to November 17, 2015 to consider information relevant to the renewal process. The Independent Directors also retained the services of Management Practice Inc. (“MPI”) as an independent consultant to assist
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ADDITIONAL INFORMATION
(unaudited)
in the compilation, organization, and evaluation of relevant information. This information included Portfolio-by-Portfolio statistical comparisons of the advisory fees, other fees, net operating expenses and performance of each of the Portfolios in comparison to a peer group of comparable funds; portfolio turnover percentages; brokerage costs; information with respect to services provided to the Portfolios and fees charged, including effective advisory fees that take into account breakpoints and fee waivers by the Adviser; asset and flow trends for the Portfolios; the cost of services and profit realized by the Adviser and its affiliates that provide services to the Portfolios; and information regarding the types of services furnished to the Portfolios. The Board received information from the Adviser regarding the personnel providing services to the Portfolios, including investment management, compliance and administrative personnel. The Board also received monthly reports from the Adviser’s investment management staff with respect to the performance of the Portfolios. In addition to its review of the information presented to the Board during the contract renewal process, the Board also considered information obtained from management throughout the course of the year.
The Independent Directors were represented by independent counsel throughout the review process and during executive sessions without management present to consider reapproval of the agreements. Each Independent Director relied on his or her own business judgment in determining the weight to be given to each factor considered in evaluating the materials that were presented. The Contracts Committee’s and Board’s review and conclusions were based on a comprehensive consideration of all information presented to them and were not the result of any single controlling factor. In addition, each Director may have weighed individual factors differently. The key factors considered and the conclusions reached are described below.
Shareholders of the Asset Allocation Portfolios approved a new Advisory Agreement, including a new investment advisory fee schedule, in August 2015; therefore, the Board was not required to and did not include the Advisory Agreement with respect to the Asset Allocation Portfolios in its considerations to renew the Portfolios’ Advisory Agreement.
Nature, Extent and Quality of Services
At each of the Board’s regular quarterly meetings, management presented information describing the services furnished to the Portfolios by the Adviser and, as appropriate, the Subadvisers. During these meetings, management reported on the investment management, portfolio trading and compliance services provided to the Portfolios under the Advisory and Subadvisory Agreements. During the renewal process, the Board considered the specific services provided under the Advisory Agreement. The Board also considered information relating to the investment experience and qualifications of the Adviser’s portfolio managers and those of the Subadvisers.
The Board received reports at each of its quarterly meetings from the Adviser’s Head of Equity Investments and Head of Fixed Income Funds, as supplemented by the Adviser’s Chief Investment Officer, who was also present at all of the meetings. At each quarterly meeting, the Head of Equity Investments and Head of Fixed Income Funds presented information about each of the Portfolios. On several occasions, the Board received presentations from certain Subadvisers regarding their portfolio management services to certain Portfolios. These reports and presentations gave the Board the opportunity to evaluate the portfolio managers’ abilities and the quality of services they provide to the Portfolios. The Adviser also reviewed with the Board the services provided by the Subadvisers. Information was also presented to the Board describing the portfolio compliance functions performed by the Adviser. The Independent Directors also met in-person with and received quarterly reports from the Fund’s Chief Compliance Officer.
The Board considered the depth and quality of the Adviser’s oversight of the Subadvisers. In addition, the Board noted the broad functions that the Adviser performed in support of the subadvised Portfolios, including, among other things, management of portfolio cash, subadviser expense management and payment and performance monitoring. The Board noted that investment management staff of the Adviser and the Fund’s Chief Compliance Officer conduct in-person oversight visits of each Subadviser, report the results of the visit to the Board and then follow through with additional inquiry on any questions or concerns that arise during the visit. The Board also noted that, as part of its oversight practice, the Adviser requires the Subadvisers to respond to a variety of compliance checklists and certifications to ensure their ongoing compliance with a subadvised Portfolio’s policies. The Board noted that the Adviser requires the Subadvisers to complete an annual questionnaire addressing a range of compliance topics. In addition, the Board noted that the Adviser has dedicated personnel responsible for daily monitoring of the Subadvisers’ activities pertaining to the subadvised Portfolios.
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ADDITIONAL INFORMATION
(unaudited)
The Board considered the adequacy of the Advisory Organizations’ resources used to provide services to the Fund pursuant to the Advisory and Subadvisory Agreements. The Adviser reviewed with the Board the Adviser’s process for overseeing the
portfolio management teams of the Portfolios, and explained similarities and differences for how it oversees the Adviser’s teams and the teams of the Subadvisers. In addition, the Adviser explained how its investments in technology and personnel have benefitted the Portfolios and discussed continued investments in these resources. The Adviser also discussed how it has continued to strengthen its compliance program. The Adviser reviewed with the Board its process for selecting and overseeing the Subadvisers, including the results of on-site compliance due diligence visits. The Board viewed these actions as a positive factor in reapproving the existing Advisory Agreement, as they demonstrated the Adviser’s commitment to provide the Portfolios with quality service and competitive investment performance. The Board concluded that, within the context of its full deliberations, the nature, extent and quality of the investment advisory services provided to the Portfolios by the Adviser and Subadvisers supported renewal of the Advisory Agreement and Subadvisory Agreements.
Performance of the Portfolios
In connection with each of its regular quarterly meetings, the Board received information on the performance of each Portfolio, including net performance, relative performance rankings within each Portfolio’s Lipper peer group, Morningstar ratings, and performance as compared to benchmark index returns. At each quarterly Board meeting, the Head of Equity Investments and Head of Fixed Income Funds reviewed with the Board the economic and market environment, risk management, and style consistency in connection with management of the Portfolios. The Board considered investment performance for each Portfolio, to the extent applicable, over the one-, two-, three-, five-, and ten-year periods. When evaluating investment performance, the Board considered longer-term performance and the trend of performance, and focused particularly upon the three-year performance record. Although the Board conducted its review on a Portfolio-by-Portfolio basis, it noted that, for the three-year period ended June 30, 2015, the average ranking of the Portfolios against their Lipper categories was 45% (on a scale of 1-99%, with 1% being the best).
The Board noted that certain Portfolios did not fit well within a Lipper peer group because of differences between the principal investment strategies of these Portfolios and funds included in their respective Lipper peer group. In such cases, the Adviser provided additional information regarding these Portfolios’ performance compared to a customized benchmark that the Adviser believed better represented the investment strategies of such Portfolios. The Board concluded that the performance of each individual Portfolio was either satisfactory or that the Adviser had taken appropriate actions in an effort to improve performance.
Advisory Fees and Fund Expenses
The Board reviewed information prepared by MPI comparing each Portfolio’s advisory fee with the advisory fee of its peer group. The Board considered both the contractual and effective advisory fees for each of the Portfolios. The Board noted that the majority of the Portfolios’ advisory fees were at or below the medians of their peer groups. Although the Board conducted its review on a Portfolio-by-Portfolio basis, it noted that the average ranking of the Portfolios was 38% (on a scale of 1-99%, with 1% being the lowest fee). The Board viewed favorably the Adviser’s proposal to continue or extend fee waivers for certain Portfolios and considered the effect of the waivers in lowering the Portfolios’ expenses. On the basis of its review, the Board concluded that the advisory fees charged to the Portfolios for investment management services were reasonable.
The Board also reviewed information prepared by MPI comparing each Portfolio’s overall expense ratio with the expense ratio of its peer group. The Board conducted its review on a Portfolio-by-Portfolio basis and noted that all but four Portfolios (each of which is discussed below) had better total net expense ratios than their peer group medians. The Board further noted that the Portfolios had an average ranking of 28% (on a scale of 1-99%, with 1% being the lowest expenses). With respect to the Thrivent Money Market Portfolio, the Board noted that the Adviser, like many investment advisers in the industry, continued to waive fees in order to maintain a zero yield. With respect to Thrivent Partner All Cap Portfolio, the Board viewed favorably that management had further lowered the Portfolio’s expense cap during the year. With respect to Thrivent Partner Growth Stock Portfolio, the Board viewed favorably that management changed from a voluntary waiver to a contractual expense cap, which lowered the Portfolio’s net operating expenses. With respect to Thrivent Partner Emerging Markets Equity Portfolio, the Board noted the relatively small average asset size of the Portfolio, that the Portfolio’s net expense ratio was higher than its peer group median by one basis point and that the Portfolio was subject to a expense cap.
The Board considered that, in response to reforms of the rules that govern money market funds, Thrivent Money Market Portfolio would change its principal investment strategies to qualify as a “government money market fund” effective February 1, 2016. In connection with this change, the Board approved a decrease to the Portfolio’s investment advisory fee.
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ADDITIONAL INFORMATION
(unaudited)
Cost of Services and Profitability
The Board considered the Adviser’s estimates of its profitability, which included allocations by the Adviser of its costs in providing advisory services to the Portfolios. The internal audit department (i.e., Business Risk Management) of the Adviser conducted a review of such allocations and a department representative reported to the Board his views regarding the reasonableness and consistency of these allocations. The Board considered the profitability of the Adviser both overall and on a Portfolio-by-Portfolio basis. The Board also considered the expense reimbursements and waivers in effect. Based on its review of the data prepared by MPI and expense and profit information provided by the Adviser, the Board concluded that the profits earned by the Adviser from the Advisory Agreement were not excessive in light of the nature, extent and quality of services provided to the Portfolios.
With respect to fees paid to Subadvisers under the Subadvisory Agreements, the Board did not consider profitability information with respect to the Subadvisers, which are not affiliated with the Adviser. The Board considered that those contracts had been negotiated on an arm’s-length basis between the Adviser and each Subadviser, and that each Subadviser’s separate profitability from its relationship with the Portfolios was not a material factor in determining whether to renew the Subadvisory Agreement.
Economies of Scale and Breakpoints
The Board considered information regarding the extent to which economies of scale may be realized as a Portfolio’s assets increase and whether the fee levels reflect these economies of scale for the benefit of shareholders. The Adviser explained its general goal with respect to the employment of fee waivers, expense reimbursements and breakpoints. The Board considered information provided by the Adviser related to advisory fee rates, breakpoints in the advisory fee rates and fee waivers provided by the Adviser. The Board also considered management’s view that it is difficult to generalize as to whether, or to what extent, economies in the advisory function may be realized as a Portfolio’s assets increase. The Board noted that expected economies of scale, where they exist, may be shared through the use of fee breakpoints, fee waivers by the Adviser, and/or a lower overall fee rate.
Other Benefits to the Adviser and its Affiliates
The Board considered information regarding potential “fall-out” or ancillary benefits that the Adviser and its affiliates may receive as a result of their relationship with the Fund, both tangible and intangible, such as their ability to leverage investment professionals who manage other portfolios, an enhanced reputation as an investment adviser which may help in attracting other clients and investment personnel, and the engagement of affiliates as service providers to the Portfolios. The Board noted that such benefits were difficult to quantify but were consistent with benefits received by other mutual fund advisers. The Board also considered the research received by the Adviser generated from commission dollars spent on the Portfolios’ portfolio trading.
Based on the factors discussed above, the Contracts Committee unanimously recommended approval of the Advisory Agreement and the Subadvisory Agreements, and the Board, including all of the Independent Directors voting separately, approved each of the agreements.
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The following table provides information about the Directors and Officers of the Fund. Each Director oversees each of the 27 series of the Fund and also serves as:
• | Trustee of Thrivent Mutual Funds, a registered investment company consisting of 21 funds that offer Class A and Class S shares. |
• | Trustee of Thrivent Cash Management Trust, a registered investment company consisting of one portfolio that serves as a cash collateral fund for a securities lending program sponsored by Thrivent Financial. |
The 27 series of the Fund, the 21 funds of Thrivent Mutual Funds and Thrivent Cash Management Trust are referred to herein as the “Fund Complex.” The Statement of Additional Information includes additional information about the Directors and is available, without charge, by calling 1-800-847-4836.
Interested Directors (1)(2)(3)(4)
Name (Year of Birth) Year Elected | Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years | |
Russell W. Swansen (1957) 2009 | SeniorVice President, Chief Investment Officer, Thrivent Financial since 2003. | |
David S. Royal (1971) 2015 | President, Thrivent Mutual Funds, Thrivent Financial since 2015, Vice President and Deputy General Counsel from 2006 to 2015; Interim Investment Company and Investment Chief Compliance Officer from May 2010 until December 2010. | |
Independent Directors (2)(3)(4)(5) | ||
Name (Year of Birth) Year Elected | Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years | |
Janice B. Case (1952) 2011 | Retired. Independent Trustee of North American Electric Reliability Corporation (the electric reliability organization (“ERD”) for North America) since 2008. | |
Richard L. Gady (1943) 2004 | Retired. | |
Richard A. Hauser (1943) 2004 | Vice President and Assistant General Counsel, The Boeing Company since 2007. | |
Marc S. Joseph (1960) 2011 | Managing Director of Granite Ridge LLP (consulting and advisory firm) since 2009; Managing Director of Triangle Crest (private investing and consulting firm) since 2004. | |
Paul R. Laubscher (1956) 2009 | Portfolio Manager for U.S. private real estate portfolios of IBM Retirement Funds. | |
James A. Nussle (1960) 2011 | President and Chief Executive Officer of Credit Union National Association since September 2014; President and Chief Operating Officer of Growth Energy (trade association) from 2010 through August 2014; Advisory Board member of AVISTA Capital Partners (private equity firm) since 2010; CEO of The Nussle Group LLC (consulting firm) since 2009. | |
Douglas D. Sims (1946) 2006 | Retired. Currently, Director of Keystone Science School. Previously, Director of the Center for Corporate Excellence. | |
Constance L. Souders (1950) 2007 | Retired. |
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BOARDOF DIRECTORSAND OFFICERS
Executive Officers (4)
Name (Year of Birth) | Principal Occupation(s) During the Past Five Years | |
David S. Royal (1971) President | Vice President, Thrivent Mutual Funds, Thrivent Financial since 2015, Vice President and Deputy General Counsel from 2006 to 2015. | |
Russell W. Swansen (1957) Chief Investment Officer | Senior Vice President and Chief Investment Officer, Thrivent Financial since 2003. | |
Gerard V. Vaillancourt (1967) Treasurer and Principal Accounting Officer | Vice President, Mutual Fund Accounting, Thrivent Financial since 2006. | |
Michael W. Kremenak (1978) Secretary and Chief Legal Officer | Vice President, Thrivent Financial since 2015; Senior Counsel, Thrivent Financial from 2013 to 2015; Vice President and Assistant General Counsel at Nuveen Investments from 2011 to 2013. | |
Ted S. Dryden (1965) Chief Compliance Officer | Investment Company and Investment Adviser Chief Compliance Officer, Thrivent Financial since December 2010. | |
Janice M. Guimond (1965) Vice President | Vice President, Investment Operations, Thrivent Financial since 2004. | |
Kathleen M. Koelling (1977) Privacy and Identity Theft and Anti-Money Laundering Officer (6) | Privacy and Identity Theft and Anti-Money Laundering Officer, Thrivent Financial since 2011; Senior Counsel, Thrivent Financial since 2002. | |
Mark D. Anema (1961) Vice President | Vice President, New Product Management and Development, Thrivent Financial since 2007. | |
Kathryn A. Stelter (1962) Vice President | Director, Mutual Fund Operations, Thrivent Financial since 2014; Director, Mutual Fund Operations at Hartford Funds from 2006 to 2014. | |
James M. Odland (1955) Assistant Secretary | Vice President, Managing Counsel, Thrivent Financial since 2005. | |
Todd J. Kelly (1969) Assistant Treasurer (6) | Director, Fund Accounting Operations, Thrivent Financial since 2002. | |
Sarah L. Bergstrom (1977) Assistant Treasurer | Director, Fund Accounting Administration, Thrivent Financial since 2007. |
(1) | “Interested Director” of the Fund as defined in the Investment Company Act of 1940 by virtue of positions with Thrivent Financial. Mr. Swansen and Mr. Royal are each considered an interested directors because of their principal occupation with Thrivent Financial. |
(2) | Each Director generally serves an indefinite term until her or his successor is duly elected and qualified. Directors serve at the discretion of the board until their successors are duly appointed and qualified. |
(3) | Each Director oversees 49 portfolios. |
(4) | The address for each Director and Officer unless otherwise noted is 625 Fourth Avenue South, Minneapolis, MN 55415 |
(5) | The Directors, other than Mr. Swansen or Mr. Royal, are not “interested directors” of the Fund and are referred to as “Independent Directors.” |
(6) | The address for this Officer is 4321 North Ballard Road, Appleton, Wl 54913 |
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Thrivent Series Fund, Inc.
dated April 30, 2015
with respect to
Thrivent Partner Worldwide Allocation Portfolio
Thrivent Partner Worldwide Allocation Portfolio (the “Portfolio”) is adding Paul Blankenhagen, CFA and Juliet Cohn as portfolio co-managers for the portion of the Portfolio managed by Principal Global Investors, LLC (“Principal”). Mark R. Nebelung, CFA and John Pihlblad, CFA will continue as portfolio co-managers for the Portfolio. As a result, the following is hereby added to “Portfolio Manager(s)” section in the “Summary Section” describing the Portfolio and in the section about the Portfolio in “Portfolio Management” under “Management”:
Paul Blankenhagen, CFA and Juliet Cohn have served as portfolio co-managers for the Principal portion of the Portfolio since 2015. Mr. Blankenhagen is a co-portfolio manager for the European Equity, International Core, and International Diversified Equity portfolios at Principal. He joined the firm in 1992, has been a member of the international equity team since 1995, and was named a portfolio manager in 2000. Ms. Cohn is responsible for co-managing Principal’s European Equity, International Core and International Diversified Equity portfolios. She joined the firm in 2003 as a portfolio manager for European equities, and was named to the latter two strategies in 2004.
The date of this Supplement is November 3, 2015.
Please include this Supplement with your Prospectus.
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Thrivent Series Fund, Inc.
Supplement to the Prospectus
dated April 30, 2015
with respect to
Thrivent Partner All Cap Portfolio
Pyramis Global Advisors, LLC, subadviser for the Thrivent Partner All Cap Portfolio, changed its name to FIAM LLC and all references to the subadviser in the Prospectus shall be changed to FIAM LLC. FIAM LLC and its group of affiliates managed approximately $209.6 billion in assets worldwide as of September 30, 2015.
The date of this Supplement is January 4, 2016.
Please include this Supplement with your Prospectus.
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THRIVENT VARIABLE LIFE ACCOUNT I
THRIVENT VARIABLE INSURANCE ACCOUNT A
TLIC VARIABLE INSURANCE ACCOUNT A
THRIVENT VARIABLE ANNUITY ACCOUNT I
THRIVENT VARIABLE ANNUITY ACCOUNT II
THRIVENT VARIABLE ANNUITY ACCOUNT A
THRIVENT VARIABLE ANNUITY ACCOUNT B
TLIC VARIABLE ANNUITY ACCOUNT A
Supplement to the Prospectus dated April 30, 2015
Pyramis Global Advisors, LLC, subadviser for the Thrivent Partner All Cap Portfolio, changed its name to FIAM LLC and all references to the subadviser in the Prospectus shall be changed to FIAM LLC.
The date of this Supplement is January 4, 2016.
Please include this Supplement with your Prospectus.
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Item 2. | Code of Ethics |
As of the end of the period covered by this report, registrant has adopted a code of ethics (as defined in Item 2 of Form N-CSR) applicable to registrant’s Principal Executive Officer, Principal Financial Officer, and Principal Accounting Officer. No waivers were granted to such code of ethics during the period covered by this report. A copy of this code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. | Audit Committee Financial Expert |
Registrant’s Board of Directors has determined that Constance L. Souders, an independent director, is the Audit Committee Financial Expert.
Item 4. | Principal Accountant Fees and Services |
(a) | Audit Fees |
The aggregate fees billed by registrant’s independent public accounts, PricewaterhouseCoopers LLP (“PwC”), for each of the last two complete fiscal years and the fiscal period covered by this report for professional services rendered in connection with the audit of registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $527,340 for the year ended December 31, 2014 and $491,872 for the year ended December 31, 2015.
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(b) | Audit-Related Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for assurance and other services which are reasonably related to the performance of registrant’s audit and are not reported under Item 4(a) were $0 for the fiscal year ended December 31, 2014 and $0 for the year ended December 31, 2015. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for assurance and other services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2014 and $0 for the year ended December 31, 2015.
(c) | Tax Fees |
The aggregate tax fees PwC billed to registrant for each of the last two fiscal years for tax compliance, tax advice, and tax planning services were $115,181 for the year ended December 31, 2014 and $129,548 for the year ended December 31, 2015. The aggregate tax fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for services directly related to the operations and financial reporting of registrant were $0 for the year ended December 31, 2014 and $0 for the year ended December 31, 2015.
(d) | All Other Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $0 for the year ended December 31, 2014 and $0 for the year ended December 31, 2015. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for products and services provided other than the services reported in paragraphs (a) through (c) of this item were $3,600 for the year ended December 31, 2014 and $147,014 for the year ended December 31, 2015. The 2015 payments included payments for access to a PWC-sponsored online library that provides interpretive guidance regarding U.S. and foreign accounting standards, fees related to the merger of certain series of Thrivent Mutual Funds and certain series of Thrivent Series Fund, Inc, and other tax related work. These figures are also reported in response to item 4(g) below.
(e) | Registrant’s audit committee charter provides that the audit committee (comprised of the independent Directors of registrant) is responsible for pre-approval of all auditing services performed for the registrant. The audit committee also is responsible for pre-approval (subject to the de minimis exceptions for non-audit services described in Section 10A(i)(1)(B) of the Securities Exchange Act of 1934) of all non-auditing services performed for the registrant or an affiliate of registrant. In addition, registrant’s audit committee charter permits a designated member of the audit committee to pre-approve, between meetings, one or more audit or non-audit service projects, subject to an expense limit and notification to the audit committee at the next committee meeting. Registrant’s audit committee pre-approved all fees described above that PwC billed to registrant. |
(f) | Less than 50% of the hours billed by PwC for auditing services to registrant for the fiscal year ended December 31, 2015, were for work performed by persons other than full-time permanent employees of PwC. |
(g) | The aggregate non-audit fees billed by PwC to registrant and to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for the fiscal years ending December 31, 2014 were $3,600, and $147,014 for December 31, 2015, respectively. These figures are also reported in response to item 4(d) above. |
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(h) | Registrant’s audit committee has considered the non-audit services provided to the registrant and registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser as described above and determined that these services do not compromise PwC’s independence. |
Item 5. | Audit Committee of Listed Registrants |
Not applicable.
Item 6. | Schedule of Investments |
(a) | The summary schedule of investments for these portfolios; Aggressive Allocation Portfolio, Moderately Aggressive Allocation Portfolio, Moderate Allocation Portfolio, Moderately Conservative Allocation Portfolio, Growth and Income Plus Portfolio, Balanced Income Plus Portfolio, Diversified Income Plus Portfolio, Opportunity Income Plus Portfolio, Small Cap Index Portfolio, Mid Cap Index Portfolio, Partner Worldwide Allocation Portfolio, Large Cap Stock Portfolio, Large Cap Index Portfolio, High Yield Portfolio, Income Portfolio and Limited Maturity Bond Portfolio, are included as part of the report to shareholders filed under Item 1 of this Form. The schedule of investments for said portfolios are filed under this Item. |
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Report of Independent Registered Public Accounting Firm |
To the Directors and Shareholders of Thrivent Aggressive Allocation Portfolio, Thrivent Moderately Aggressive Allocation Portfolio, Thrivent Moderate Allocation Portfolio, Thrivent Moderately Conservative Allocation Portfolio, Thrivent Growth and Income Plus Portfolio, Thrivent Balanced Income Plus Portfolio, Thrivent Diversified Income Plus Portfolio, Thrivent Opportunity Income Plus Portfolio, Thrivent Small Cap Index Portfolio, Thrivent Mid Cap Index Portfolio, Thrivent Partner Worldwide Allocation Portfolio, Thrivent Large Cap Stock Portfolio, Thrivent Large Cap Index Portfolio, Thrivent High Yield Portfolio, Thrivent Income Portfolio, and Thrivent Limited Maturity Bond Portfolio:
In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Thrivent Aggressive Allocation Portfolio, Thrivent Moderately Aggressive Allocation Portfolio, Thrivent Moderate Allocation Portfolio, Thrivent Moderately Conservative Allocation Portfolio, Thrivent Growth and Income Plus Portfolio, Thrivent Balanced Income Plus Portfolio, Thrivent Diversified Income Plus Portfolio, Thrivent Opportunity Income Plus Portfolio, Thrivent Small Cap Index Portfolio, Thrivent Mid Cap Index Portfolio, Thrivent Partner Worldwide Allocation Portfolio, Thrivent Large Cap Stock Portfolio, Thrivent Large Cap Index Portfolio, Thrivent High Yield Portfolio, Thrivent Income Portfolio, and Thrivent Limited Maturity Bond Portfolio (constituting part of Thrivent Series Fund, Inc.) (hereafter referred to as the “Funds”) at December 31, 2015, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights and schedules of investments (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, agent banks, transfer agent and brokers provides a reasonable basis for our opinion.
February 18, 2016
PricewaterhouseCoopers LLP, Suite 1400, 225 South Sixth Street, Minneapolis, MN 55402
T: (612) 596 6000, F: (612) 373 7160, www.pwc.com/us
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AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (55.6%) | Value | ||||||
Consumer Discretionary (9.1%) | ||||||||
18,217 | Aaron’s, Inc. | $ | 407,879 | |||||
1,000 | Aisan Industry Company, Ltd. | 10,269 | ||||||
300 | Aisin Seiki Company, Ltd. | 12,912 | ||||||
15,246 | Amazon.com, Inc.a,b | 10,304,619 | ||||||
1,290 | American Axle & Manufacturing Holdings, Inc.a | 24,433 | ||||||
2,111 | American Public Education, Inc.a | 39,286 | ||||||
5,320 | Ascena Retail Group, Inc.a | 52,402 | ||||||
5,110 | AutoZone, Inc.a | 3,791,160 | ||||||
7,200 | Barnes & Noble, Inc. | 62,712 | ||||||
200 | Bayerische Motoren Werke AG | 16,733 | ||||||
10,000 | Bed Bath & Beyond, Inc.a | 482,500 | ||||||
1,400 | Berkeley Group Holdings plc | 76,109 | ||||||
6,940 | Big Lots, Inc. | 267,468 | ||||||
7,220 | Bloomin’ Brands, Inc. | 121,946 | ||||||
650 | Bob Evans Farms, Inc. | 25,253 | ||||||
4,270 | Boyd Gaming Corporationa | 84,845 | ||||||
300 | Brembo SPA | 14,494 | ||||||
800 | Bridgestone Corporation | 27,441 | ||||||
23,080 | Brunswick Corporation | 1,165,771 | ||||||
22,456 | Burlington Stores, Inc.a | 963,362 | ||||||
13,450 | Caleres, Inc. | 360,729 | ||||||
2,000 | Callaway Golf Company | 18,840 | ||||||
2,000 | Calsonic Kansei Corporation | 17,632 | ||||||
8,496 | Cedar Fair, LP | 474,417 | ||||||
7,700 | Cheesecake Factory, Inc. | 355,047 | ||||||
4,210 | Chegg, Inc.a | 28,333 | ||||||
6,310 | Children’s Place, Inc. | 348,312 | ||||||
1,760 | Choice Hotels International, Inc. | 88,722 | ||||||
1,320 | Chuy’s Holdings, Inc.a | 41,369 | ||||||
1,000 | Cineworld Group plc | 8,291 | ||||||
73,078 | Comcast Corporationb | 4,123,792 | ||||||
600 | Compass Group plc | 10,397 | ||||||
28,768 | Core-Mark Holding Company, Inc. | 2,357,250 | ||||||
3,292 | CSS Industries, Inc. | 93,427 | ||||||
4,223 | Culp, Inc. | 107,560 | ||||||
200 | Daimler AG | 16,711 | ||||||
5,300 | Dana Holding Corporation | 73,140 | ||||||
6,600 | Debenhams plc | 7,116 | ||||||
8,387 | Delphi Automotive plc | 719,018 | ||||||
1,300 | Denso Corporation | 62,121 | ||||||
10,490 | Discovery Communications, Inc., Class Aa | 279,873 | ||||||
12,350 | DISH Network Corporationa | 706,173 | ||||||
5,770 | Dollar General Corporation | 414,690 | ||||||
18,531 | Dollar Tree, Inc.a | 1,430,964 | ||||||
7,760 | Domino’s Pizza, Inc. | 863,300 | ||||||
715 | Dorman Products, Inc.a | 33,941 | ||||||
1,824 | Drew Industries, Inc. | 111,063 | ||||||
9,400 | DSW, Inc. | 224,284 | ||||||
5,300 | EDION Corporation | 40,018 | ||||||
600 | Electrolux AB | 14,476 | ||||||
4,232 | Ethan Allen Interiors, Inc. | 117,734 | ||||||
800 | Eutelsat Communications | 23,952 | ||||||
6,711 | Expedia, Inc. | 834,177 | ||||||
16,215 | Finish Line, Inc. | 293,167 | ||||||
25,450 | Ford Motor Company | 358,590 | ||||||
3,518 | Fossil, Inc.a | 128,618 | ||||||
4,005 | Fred’s, Inc. | 65,562 | ||||||
36,406 | G-III Apparel Group, Ltd.a | 1,611,330 | ||||||
1,900 | GKN plc | 8,622 | ||||||
1,200 | Gray Television, Inc.a | 19,560 | ||||||
4,000 | Gunze, Ltd. | 11,716 | ||||||
2,100 | Hakuhodo Dy Holdings, Inc. | 22,721 | ||||||
5,000 | Harley-Davidson, Inc. | 226,950 | ||||||
10,276 | Harman International Industries, Inc. | 968,102 | ||||||
5,502 | Haverty Furniture Companies, Inc. | 117,963 | ||||||
2,350 | Hilton Worldwide Holdings, Inc. | 50,290 | ||||||
44,260 | Home Depot, Inc. | 5,853,385 | ||||||
20,140 | Houghton Mifflin Harcourt Companya | 438,649 | ||||||
100 | Hugo Boss AG | 8,251 | ||||||
3,800 | Inchcape plc | 43,843 | ||||||
1,800 | Informa plc | 16,268 | ||||||
600 | Intertek Group plc | 24,544 | ||||||
2,231 | Interval Leisure Group, Inc. | 34,826 | ||||||
900 | iRobot Corporationa | 31,860 | ||||||
1,000 | Isuzu Motors, Ltd. | 10,773 | ||||||
12,600 | ITV plc | 51,299 | ||||||
8,210 | Jack in the Box, Inc. | 629,789 | ||||||
36,193 | Jarden Corporationa | 2,067,344 | ||||||
21,627 | Kate Spade & Companya | 384,312 | ||||||
7,940 | Krispy Kreme Doughnuts, Inc.a | 119,656 | ||||||
43,540 | Las Vegas Sands Corporation | 1,908,794 | ||||||
8,455 | La-Z-Boy, Inc. | 206,471 | ||||||
4,840 | Lear Corporation | 594,497 | ||||||
7,150 | Liberty Interactive Corporationa | 195,338 | ||||||
6,660 | Liberty Media Corporation, Class Aa | 261,405 | ||||||
13,216 | Limited Brands, Inc. | 1,266,357 | ||||||
4,862 | Lithia Motors, Inc. | 518,630 | ||||||
20,710 | LKQ Corporationa | 613,637 | ||||||
6,200 | Lookers plc | 16,893 | ||||||
7,460 | Lowe’s Companies, Inc. | 567,258 | ||||||
5,520 | Macy’s, Inc. | 193,090 | ||||||
17,395 | MDC Partners, Inc. | 377,819 | ||||||
2,299 | Meritage Homes Corporationa | 78,143 | ||||||
300 | Mitsuba Corporation | 4,638 | ||||||
710 | Movado Group, Inc. | 18,254 | ||||||
9,399 | National CineMedia, Inc. | 147,658 | ||||||
5,850 | Nautilus, Inc.a | 97,812 | ||||||
2,545 | New Media Investment Group, Inc. | 49,526 | ||||||
95,560 | NIKE, Inc. | 5,972,500 | ||||||
1,800 | NOK Corporation | 42,050 | ||||||
29,021 | Nord Anglia Education, Inc.a | 588,546 | ||||||
61,410 | Nutrisystem, Inc. | 1,328,912 | ||||||
6,914 | O’Reilly Automotive, Inc.a | 1,752,146 | ||||||
21,690 | Oxford Industries, Inc. | 1,384,256 | ||||||
2,000 | PanaHome Corporation | 15,110 | ||||||
16,510 | Papa John’s International, Inc. | 922,414 | ||||||
54,730 | Papa Murphy’s Holdings, Inc.a | 616,260 | ||||||
3,800 | Persimmon plc | 113,367 | ||||||
2,669 | Pier 1 Imports, Inc. | 13,585 | ||||||
300 | ProSiebenSat.1 Media AG | 15,135 | ||||||
1,750 | Pulte Group, Inc. | 31,185 | ||||||
12,219 | PVH Corporation | 899,929 | ||||||
3,459 | Ralph Lauren Corporation | 385,609 | ||||||
6,133 | Red Robin Gourmet Burgers, Inc.a | 378,651 | ||||||
3,030 | Rent-A-Center, Inc. | 45,359 | ||||||
6,927 | Restoration Hardware Holdings, Inc.a | 550,350 | ||||||
31,026 | Ross Stores, Inc. | 1,669,509 | ||||||
3,760 | Ruby Tuesday, Inc.a | 20,718 | ||||||
3,350 | Ruth’s Hospitality Group, Inc. | 53,332 | ||||||
259 | Schibsted ASA | 8,515 | ||||||
6,900 | Scripps Networks Interactive, Inc. | 380,949 | ||||||
900 | Sekisui House, Ltd. | 15,132 | ||||||
9,170 | Service Corporation International | 238,603 | ||||||
1,000 | SHOWA Corporation | 9,279 | ||||||
4,550 | Signet Jewelers, Ltd. | 562,790 | ||||||
13,530 | Skechers USA, Inc.a | 408,741 | ||||||
1,400 | Sports Direct International plca | 11,897 | ||||||
6,212 | Sportsman’s Warehouse Holdings, Inc.a | 80,135 | ||||||
400 | Stanley Electric Company, Ltd. | 8,775 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
1
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AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (55.6%) | Value | ||||||
Consumer Discretionary (9.1%) - continued | ||||||||
53,960 | Staples, Inc. | $ | 511,001 | |||||
2,700 | Star Entertainment Group, Ltd. | 9,907 | ||||||
100,010 | Starbucks Corporation | 6,003,600 | ||||||
17,461 | Starwood Hotels & Resorts Worldwide, Inc. | 1,209,698 | ||||||
5,644 | Stein Mart, Inc. | 37,984 | ||||||
3,100 | Sumitomo Forestry Company, Ltd. | 41,829 | ||||||
1,500 | Sumitomo Rubber Industries, Ltd. | 19,505 | ||||||
2,000 | Takashimaya Company, Ltd. | 18,011 | ||||||
400 | Tamron Company, Ltd. | 7,380 | ||||||
16,000 | Target Corporation | 1,161,760 | ||||||
3,100 | Tatts Group, Ltd. | 9,842 | ||||||
14,700 | Taylor Wimpey plc | 43,944 | ||||||
14,005 | Tenneco, Inc.a | 642,970 | ||||||
22,175 | Time, Inc. | 347,482 | ||||||
26,816 | Toll Brothers, Inc.a | 892,973 | ||||||
3,770 | Tower International, Inc. | 107,709 | ||||||
8,490 | TransUniona | 234,069 | ||||||
45,454 | Tuesday Morning Corporationa | 295,451 | ||||||
3,600 | UBM plc | 27,902 | ||||||
3,459 | Ulta Salon Cosmetics & Fragrance, Inc.a | 639,915 | ||||||
4,540 | Under Armour, Inc.a | 365,969 | ||||||
8,035 | Vail Resorts, Inc. | 1,028,400 | ||||||
300 | Valora Holding AG | 62,413 | ||||||
2,570 | Vera Bradley, Inc.a | 40,503 | ||||||
6,659 | VF Corporation | 414,523 | ||||||
2,000 | Wacoal Holdings Corporation | 23,917 | ||||||
2,500 | WH Smith plc | 64,960 | ||||||
960 | Winnebago Industries, Inc. | 19,104 | ||||||
1,700 | Wolters Kluwer NV | 57,092 | ||||||
2,300 | WPP plc | 52,904 | ||||||
6,150 | Wyndham Worldwide Corporation | 446,798 | ||||||
500 | Yokohama Rubber Company, Ltd. | 7,679 | ||||||
7,780 | Yum! Brands, Inc. | 568,329 | ||||||
19,360 | Zoe’s Kitchen, Inc.a | 541,693 | ||||||
|
| |||||||
Total | 87,553,628 | |||||||
|
| |||||||
Consumer Staples (1.6%) | ||||||||
500 | AarhusKarlshamn AB | 37,039 | ||||||
25,530 | Altria Group, Inc. | 1,486,101 | ||||||
26,480 | Aramark | 853,980 | ||||||
5,570 | Archer-Daniels-Midland Company | 204,308 | ||||||
14,290 | Avon Products, Inc. | 57,874 | ||||||
1,500 | Axfood AB | 25,980 | ||||||
330 | Bakkafrost PF | 9,722 | ||||||
25,900 | Blue Buffalo Pet Products, Inc.a | 484,589 | ||||||
2,291 | Boston Beer Company, Inc.a | 462,576 | ||||||
100 | British American Tobacco plc | 5,553 | ||||||
1,200 | Britvic plc | 12,857 | ||||||
3,790 | Brown-Forman Corporation | 376,271 | ||||||
12,500 | Campbell Soup Company | 656,875 | ||||||
300 | Carrefour SA | 8,658 | ||||||
13,130 | Casey’s General Stores, Inc. | 1,581,509 | ||||||
43,640 | Coca-Cola Company | 1,874,774 | ||||||
2,700 | Coca-Cola HBC AGa | 57,499 | ||||||
5,000 | CVS Health Corporation | 488,850 | ||||||
41,840 | Flowers Foods, Inc. | 899,142 | ||||||
5,836 | Hain Celestial Group, Inc.a | 235,716 | ||||||
500 | Henkel AG & Company KGaA | 47,827 | ||||||
4,600 | Imperial Tobacco Group plc | 242,963 | ||||||
760 | Ingles Markets, Inc. | 33,501 | ||||||
5,500 | Ingredion, Inc. | 527,120 | ||||||
3,000 | Japan Tobacco, Inc. | 110,141 | ||||||
1,100 | Jeronimo Martins SGPS SA | �� | 14,314 | |||||
1,200 | Kao Corporation | 61,667 | ||||||
100 | Kerry Group plc | 8,274 | ||||||
1,400 | Kimberly-Clark Corporation | 178,220 | ||||||
7,800 | Koninklijke Ahold NV | 164,530 | ||||||
200 | KOSE Corporation | 18,492 | ||||||
2,450 | Lancaster Colony Corporation | 282,877 | ||||||
1,000 | Marks and Spencer Group plc | 6,658 | ||||||
4,950 | Molson Coors Brewing Company | 464,904 | ||||||
3,150 | Mondelez International, Inc. | 141,246 | ||||||
9,979 | Monster Beverage Corporationa | 1,486,472 | ||||||
1,700 | Nestle SA | 126,200 | ||||||
1,000 | Nippon Meat Packers, Inc. | 19,600 | ||||||
2,000 | Nisshin Oillio Group, Ltd. | 8,147 | ||||||
3,520 | PepsiCo, Inc. | 351,718 | ||||||
2,291 | Philip Morris International, Inc. | 201,402 | ||||||
390 | PriceSmart, Inc. | 32,366 | ||||||
300 | Royal Unibrew AS | 12,192 | ||||||
7,752 | SpartanNash Company | 167,753 | ||||||
700 | Suedzucker AG | 13,874 | ||||||
300 | Sugi Holdings Company, Ltd. | 16,552 | ||||||
100 | Sundrug Company, Ltd. | 6,430 | ||||||
400 | Svenska Cellulosa AB SCA | 11,592 | ||||||
1,800 | Swedish Match AB | 63,607 | ||||||
1,120 | Tootsie Roll Industries, Inc. | 35,381 | ||||||
2,700 | Tyson Foods, Inc. | 143,991 | ||||||
13,016 | United Natural Foods, Inc.a | 512,310 | ||||||
1,900 | Universal Corporation | 106,552 | ||||||
9,870 | WhiteWave Foods Companya | 384,042 | ||||||
|
| |||||||
Total | 15,822,788 | |||||||
|
| |||||||
Energy (6.6%) | ||||||||
12,635 | Archrock, Inc. | 95,015 | ||||||
11,476 | Atwood Oceanics, Inc. | 117,399 | ||||||
300 | Azrieli Group, Ltd. | 11,176 | ||||||
65,340 | Baker Hughes, Inc. | 3,015,441 | ||||||
9,925 | Basic Energy Services, Inc.a | 26,599 | ||||||
14,380 | Bonanza Creek Energy, Inc.a | 75,783 | ||||||
19,000 | BP plc | 98,738 | ||||||
3,197 | Bristow Group, Inc. | 82,802 | ||||||
27,281 | Callon Petroleum Companya | 227,524 | ||||||
54,130 | Cameron International Corporationa | 3,421,016 | ||||||
90,950 | Canadian Natural Resources, Ltd. | 1,985,439 | ||||||
74,190 | Chevron Corporation | 6,674,132 | ||||||
2,430 | Cimarex Energy Company | 217,193 | ||||||
1,297 | Clayton Williams Energy, Inc.a | 38,352 | ||||||
294,556 | Cobalt International Energy, Inc.a | 1,590,602 | ||||||
2,740 | Columbia Pipeline Group, Inc. | 54,800 | ||||||
25,237 | Concho Resources, Inc.a | 2,343,508 | ||||||
9,225 | Continental Resources, Inc.a | 211,990 | ||||||
5,220 | Delek US Holdings, Inc. | 128,412 | ||||||
75,095 | Denbury Resources, Inc. | 151,692 | ||||||
3,100 | Devon Energy Corporation | 99,200 | ||||||
7,250 | Diamond Offshore Drilling, Inc. | 152,975 | ||||||
12,766 | Diamondback Energy, Inc.a | 854,045 | ||||||
850 | Dril-Quip, Inc.a | 50,345 | ||||||
18,840 | Ensco plc | 289,948 | ||||||
78,116 | EOG Resources, Inc. | 5,529,832 | ||||||
8,880 | EP Energy Corporationa | 38,894 | ||||||
86,781 | EQT Corporation | 4,523,894 | ||||||
34,150 | Exxon Mobil Corporation | 2,661,992 | ||||||
2,200 | Forum Energy Technologies, Inc.a | 27,412 | ||||||
4,900 | Frank’s International NV | 81,781 | ||||||
2,650 | Green Plains, Inc. | 60,685 | ||||||
4,080 | Gulfport Energy Corporationa | 100,246 | ||||||
32,300 | Halliburton Company | 1,099,492 | ||||||
3,650 | Helix Energy Solutions Group, Inc.a | 19,199 | ||||||
7,850 | Helmerich & Payne, Inc. | 420,367 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (55.6%) | Value | ||||||
Energy (6.6%) - continued | ||||||||
13,829 | HollyFrontier Corporation | $ | 551,639 | |||||
175,773 | Marathon Oil Corporation | 2,212,982 | ||||||
101,800 | Marathon Petroleum Corporation | 5,277,312 | ||||||
18,280 | Nabors Industries, Ltd. | 155,563 | ||||||
2,190 | National Oilwell Varco, Inc. | 73,343 | ||||||
24,950 | Noble Corporation | 263,223 | ||||||
1,635 | Noble Energy, Inc. | 53,841 | ||||||
108,604 | Oasis Petroleum, Inc.a | 800,411 | ||||||
4,575 | Oceaneering International, Inc. | 171,654 | ||||||
1,390 | Oil States International, Inc.a | 37,878 | ||||||
600 | OMV AG | 17,031 | ||||||
69,850 | Parsley Energy, Inc.a | 1,288,732 | ||||||
54,950 | Patterson-UTI Energy, Inc. | 828,646 | ||||||
2,520 | PBF Energy, Inc. | 92,761 | ||||||
206,150 | Petroleo Brasileiro SA ADRa | 886,445 | ||||||
8,280 | Pioneer Energy Services Corporationa | 17,968 | ||||||
135,250 | Rowan Companies plc | 2,292,487 | ||||||
400 | Royal Dutch Shell plc | 9,123 | ||||||
1,000 | Royal Dutch Shell plc, Class B | 22,791 | ||||||
13,020 | RPC, Inc. | 155,589 | ||||||
29,550 | Schlumberger, Ltd. | 2,061,112 | ||||||
1,600 | SemGroup Corporation | 46,176 | ||||||
89,860 | Southwestern Energy Companya | 638,905 | ||||||
6,890 | Spectra Energy Corporation | 164,947 | ||||||
3,201 | Statoil ASA | 44,644 | ||||||
146,780 | Suncor Energy, Inc. ADR | 3,786,924 | ||||||
8,560 | Superior Energy Services, Inc. | 115,303 | ||||||
19,060 | Teekay Tankers, Ltd. | 131,133 | ||||||
5,667 | Tesco Corporation | 41,029 | ||||||
630 | Tesoro Corporation | 66,383 | ||||||
11,140 | TETRA Technologies, Inc.a | 83,773 | ||||||
3,000 | TonenGeneral Sekiyu KK | 25,326 | ||||||
31,916 | U.S. Silica Holdings, Inc. | 597,787 | ||||||
448,056 | Weatherford International, Ltd.a | 3,759,190 | ||||||
3,518 | Western Refining, Inc. | 125,311 | ||||||
1,325 | World Fuel Services Corporation | 50,960 | ||||||
12,330 | WPX Energy, Inc.a | 70,774 | ||||||
|
| |||||||
Total | 63,597,016 | |||||||
|
| |||||||
Financials (7.6%) | ||||||||
12,800 | Aberdeen Asset Management plc | 54,544 | ||||||
1,380 | ACE, Ltd. | 161,253 | ||||||
500 | AEON Financial Service Company, Ltd. | 11,169 | ||||||
12,943 | Affiliated Managers Group, Inc.a | 2,067,774 | ||||||
2,505 | Alexandria Real Estate Equities, Inc. | 226,352 | ||||||
2,000 | Allianz SE | 352,558 | ||||||
12,860 | Allied World Assurance Company Holdings AG | 478,263 | ||||||
9,590 | American Assets Trust, Inc. | 367,777 | ||||||
11,530 | American Campus Communities, Inc. | 476,650 | ||||||
11,650 | American Equity Investment Life Holding Company | 279,949 | ||||||
10,155 | American Financial Group, Inc. | 731,972 | ||||||
3,440 | American International Group, Inc. | 213,177 | ||||||
17,941 | Ameris Bancorp | 609,815 | ||||||
1,580 | AMERISAFE, Inc. | 80,422 | ||||||
25,860 | Anworth Mortgage Asset Corporation | 112,491 | ||||||
1,450 | Apartment Investment & Management Company | 58,043 | ||||||
8,216 | Argo Group International Holdings, Ltd. | 491,645 | ||||||
9,518 | Arthur J. Gallagher & Company | 389,667 | ||||||
2,010 | Ashford Hospitality Prime, Inc. | 29,145 | ||||||
8,345 | Aspen Insurance Holdings, Ltd. | 403,063 | ||||||
1,670 | Associated Banc-Corp | 31,312 | ||||||
47,470 | Assured Guaranty, Ltd. | 1,254,632 | ||||||
5,500 | Australia & New Zealand Banking Group, Ltd. | 110,989 | ||||||
20,200 | Banco Santander SA | 99,372 | ||||||
2,130 | BancorpSouth, Inc. | 51,099 | ||||||
9,100 | Bank Hapoalim, Ltd. | 46,974 | ||||||
125,020 | Bank of America Corporation | 2,104,087 | ||||||
10,150 | Bank of New York Mellon Corporation | 418,383 | ||||||
2,400 | Bank of Queensland, Ltd. | 24,210 | ||||||
22,722 | Bank of the Ozarks, Inc. | 1,123,830 | ||||||
16,000 | Bank of Yokohama, Ltd. | 98,074 | ||||||
2,110 | BankFinancial Corporation | 26,649 | ||||||
26,000 | BB&T Corporation | 983,060 | ||||||
21,847 | BBCN Bancorp, Inc. | 376,205 | ||||||
5,700 | BinckBank NV | 49,125 | ||||||
6,150 | Blackstone Group, LP | 179,826 | ||||||
200 | Bolsas y Mercados Espanoles SA | 6,740 | ||||||
4,800 | Boston Private Financial Holdings, Inc. | 54,432 | ||||||
7,350 | Brandywine Realty Trust | 100,401 | ||||||
1,700 | British Land Company plc | 19,671 | ||||||
17,997 | Brixmor Property Group, Inc. | 464,683 | ||||||
8,630 | Brookline Bancorp, Inc. | 99,245 | ||||||
13,160 | Brown & Brown, Inc. | 422,436 | ||||||
4,900 | Camden Property Trust | 376,124 | ||||||
2,450 | Capital One Financial Corporation | 176,841 | ||||||
2,500 | Capital Shopping Centres Group plc | 11,680 | ||||||
7,700 | CapitaMall Trust | 10,448 | ||||||
7,750 | Cathay General Bancorp | 242,807 | ||||||
7,900 | CBRE Group, Inc.a | 273,182 | ||||||
18,023 | Cedar Realty Trust, Inc. | 127,603 | ||||||
5,050 | Charles Schwab Corporation | 166,296 | ||||||
1,000 | Chatham Lodging Trust | 20,480 | ||||||
2,000 | Chiba Bank, Ltd. | 14,192 | ||||||
55,681 | Citigroup, Inc. | 2,881,492 | ||||||
3,220 | Clifton Bancorp, Inc. | 46,175 | ||||||
43,750 | CNO Financial Group, Inc. | 835,187 | ||||||
2,400 | CNP Assurances | 32,375 | ||||||
45,866 | CoBiz Financial, Inc. | 615,522 | ||||||
4,961 | Columbia Banking System, Inc. | 161,282 | ||||||
4,100 | Comerica, Inc. | 171,503 | ||||||
1,590 | Commerce Bancshares, Inc. | 67,639 | ||||||
1,630 | Corporate Office Properties Trust | 35,583 | ||||||
800 | Daiwa House Industry Company, Ltd. | 22,997 | ||||||
100 | Derwent London plc | 5,409 | ||||||
10,900 | DEXUS Property Group | 59,123 | ||||||
5,350 | Digital Realty Trust, Inc. | 404,567 | ||||||
5,200 | Direct Line Insurance Group plc | 31,170 | ||||||
2,100 | Douglas Emmett, Inc. | 65,478 | ||||||
22,650 | Duke Realty Corporation | 476,103 | ||||||
4,738 | East West Bancorp, Inc. | 196,911 | ||||||
960 | Education Realty Trust, Inc. | 36,365 | ||||||
5,437 | Employers Holdings, Inc. | 148,430 | ||||||
8,830 | Equity One, Inc. | 239,734 | ||||||
27,499 | Essent Group, Ltd.a | 601,953 | ||||||
16,555 | EverBank Financial Corporation | 264,549 | ||||||
16,183 | Evercore Partners, Inc. | 875,015 | ||||||
3,920 | Extra Space Storage, Inc. | 345,783 | ||||||
13,300 | F.N.B. Corporation | 177,422 | ||||||
2,650 | FelCor Lodging Trust, Inc. | 19,345 | ||||||
49,140 | Fifth Third Bancorp | 987,714 | ||||||
13,010 | First Commonwealth Financial Corporation | 118,001 | ||||||
480 | First Defiance Financial Corporation | 18,134 | ||||||
1,070 | First Financial Corporation | 36,348 | ||||||
5,740 | First Horizon National Corporation | 83,345 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
3
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (55.6%) | Value | ||||||
Financials (7.6%) - continued | ||||||||
6,500 | First Industrial Realty Trust, Inc. | $ | 143,845 | |||||
710 | First Interstate BancSystem, Inc. | 20,640 | ||||||
16,730 | First Midwest Bancorp, Inc. | 308,334 | ||||||
840 | First NBC Bank Holding Companya | 31,408 | ||||||
8,298 | First Potomac Realty Trust | 94,597 | ||||||
33,188 | First Republic Bank | 2,192,399 | ||||||
5,800 | FlexiGroup, Ltd. | 12,658 | ||||||
4,690 | Franklin Street Properties Corporation | 48,541 | ||||||
6,900 | Frasers Centrepoint Trust | 8,968 | ||||||
16,000 | Fukuoka Financial Group, Inc. | 79,338 | ||||||
6,373 | Genworth Financial, Inc.a | 23,771 | ||||||
620 | German American Bancorp, Inc. | 20,658 | ||||||
1,550 | Getty Realty Corporation | 26,582 | ||||||
4,381 | Glacier Bancorp, Inc. | 116,228 | ||||||
2,890 | Great Western Bancorp, Inc. | 83,868 | ||||||
8,455 | Green Bancorp, Inc.a | 88,608 | ||||||
900 | Hamborner REIT AG | 9,403 | ||||||
1,200 | Hammerson plc | 10,608 | ||||||
1,230 | Hancock Holding Company | 30,959 | ||||||
2,000 | Hang Seng Bank, Ltd. | 37,907 | ||||||
56,222 | Hanmi Financial Corporation | 1,333,586 | ||||||
900 | Hannover Rueckversicherung SE | 102,771 | ||||||
4,030 | Hanover Insurance Group, Inc. | 327,800 | ||||||
28,830 | Hartford Financial Services Group, Inc. | 1,252,952 | ||||||
7,109 | Hatteras Financial Corporation | 93,483 | ||||||
450 | HCI Group, Inc. | 15,683 | ||||||
4,000 | Henderson Group plc | 18,180 | ||||||
1,000 | Henderson Land Development Company, Ltd. | 6,100 | ||||||
4,120 | HFF, Inc. | 128,008 | ||||||
2,650 | Highwoods Properties, Inc. | 115,540 | ||||||
4,000 | Hokuhoku Financial Group, Inc. | 8,154 | ||||||
5,092 | Home BancShares, Inc. | 206,328 | ||||||
1,160 | Hometrust Bancshares, Inc.a | 23,490 | ||||||
15,500 | Horace Mann Educators Corporation | 514,290 | ||||||
27,598 | Host Hotels & Resorts, Inc. | 423,353 | ||||||
13,984 | Houlihan Lokey, Inc. | 366,521 | ||||||
4,940 | Hudson Pacific Properties, Inc. | 139,012 | ||||||
2,100 | Hufvudstaden AB | 29,687 | ||||||
155,060 | Huntington Bancshares, Inc. | 1,714,964 | ||||||
16,000 | Hysan Development Company, Ltd. | 65,371 | ||||||
800 | IG Group Holdings plc | 9,458 | ||||||
2,900 | ING Groep NV | 39,237 | ||||||
2,580 | Inland Real Estate Corporation | 27,400 | ||||||
18,319 | Intercontinental Exchange, Inc. | 4,694,427 | ||||||
6,900 | Intermediate Capital Group plc | 63,608 | ||||||
8,720 | Invesco, Ltd. | 291,946 | ||||||
4,700 | Investa Office Fund | 13,605 | ||||||
10,100 | Investec plc | 71,216 | ||||||
28,140 | Investors Bancorp, Inc. | 350,062 | ||||||
48,583 | J.P. Morgan Chase & Company | 3,207,935 | ||||||
37,190 | Janus Capital Group, Inc. | 524,007 | ||||||
1,650 | Kearny Financial Corporation | 20,906 | ||||||
9,242 | Kennedy-Wilson Holdings, Inc. | 222,547 | ||||||
116,340 | KeyCorp | 1,534,525 | ||||||
1,274 | Kilroy Realty Corporation | 80,619 | ||||||
3,240 | Lamar Advertising Company | 194,335 | ||||||
3,301 | LaSalle Hotel Properties | 83,053 | ||||||
4,924 | Lazard, Ltd. | 221,629 | ||||||
4,170 | Lexington Realty Trust | 33,360 | ||||||
1,180 | Liberty Property Trust | 36,639 | ||||||
1,434 | Lincoln National Corporation | 72,073 | ||||||
11,000 | Link REIT | 65,581 | ||||||
4,500 | M&T Bank Corporation | 545,310 | ||||||
100 | Macquarie Group, Ltd. | 5,982 | ||||||
7,180 | MetLife, Inc. | 346,148 | ||||||
13,800 | Mitsubishi UFJ Financial Group, Inc. | 85,481 | ||||||
6,670 | Monmouth Real Estate Investment Corporation | 69,768 | ||||||
22,790 | Morgan Stanley | 724,950 | ||||||
5,680 | MSCI, Inc. | 409,698 | ||||||
200 | Muenchener Rueckversicherungs-Gesellschaft AG | 39,848 | ||||||
14,700 | Nasdaq, Inc. | 855,099 | ||||||
4,000 | National Interstate Corporation | 106,800 | ||||||
21,588 | Navient Corporation | 247,183 | ||||||
1,390 | Navigators Group, Inc.a | 119,248 | ||||||
34,000 | New World Development Company, Ltd. | 33,386 | ||||||
10,000 | Northern Trust Corporation | 720,900 | ||||||
18,940 | NorthStar Asset Management Corporation, Inc. | 229,932 | ||||||
3,000 | Ogaki Kyoritsu Bank, Ltd. | 12,095 | ||||||
2,700 | Old Mutual plc | 7,103 | ||||||
850 | One Liberty Properties, Inc. | 18,241 | ||||||
9,280 | Oritani Financial Corporation | 153,120 | ||||||
32,519 | PacWest Bancorp | 1,401,569 | ||||||
14,960 | Parkway Properties, Inc. | 233,825 | ||||||
18,193 | Pebblebrook Hotel Trust | 509,768 | ||||||
2,560 | PennyMac Financial Services, Inc.a | 39,322 | ||||||
1,260 | Physicians Realty Trust | 21,244 | ||||||
2,360 | Popular, Inc. | 66,882 | ||||||
2,710 | Post Properties, Inc. | 160,324 | ||||||
1,987 | Potlatch Corporation | 60,087 | ||||||
2,600 | Poundland Group plc | 7,961 | ||||||
15,750 | Primerica, Inc. | 743,873 | ||||||
660 | PrivateBancorp, Inc. | 27,073 | ||||||
10,900 | Progressive Corporation | 346,620 | ||||||
11,010 | Provident Financial Services, Inc. | 221,851 | ||||||
15,540 | Radian Group, Inc. | 208,081 | ||||||
13,560 | Ramco-Gershenson Properties Trust | 225,232 | ||||||
15,808 | Raymond James Financial, Inc. | 916,390 | ||||||
2,720 | RE/MAX Holdings, Inc. | 101,456 | ||||||
4,405 | Realogy Holdings Corporationa | 161,531 | ||||||
8,710 | Renasant Corporation | 299,711 | ||||||
1,900 | Resona Holdings, Inc. | 9,227 | ||||||
2,130 | Rouse Properties, Inc. | 31,013 | ||||||
1,115 | Safeguard Scientifics, Inc.a | 16,179 | ||||||
393 | Safety Insurance Group, Inc. | 22,157 | ||||||
200 | Sampo Oyj | 10,156 | ||||||
4,661 | Sandy Spring Bancorp, Inc. | 125,661 | ||||||
1,300 | Schroders plc | 56,939 | ||||||
1,250 | Seacoast Banking Corporation of Floridaa | 18,725 | ||||||
4,110 | Selective Insurance Group, Inc. | 138,014 | ||||||
1,170 | Sierra Bancorp | 20,651 | ||||||
3,750 | Silver Bay Realty Trust Corporation REIT | 58,725 | ||||||
173,210 | SLM Corporationa | 1,129,329 | ||||||
200 | Sompo Japan Nipponkoa Holdings, Inc. | 6,567 | ||||||
7,430 | Spirit Realty Captial, Inc. | 74,449 | ||||||
5,870 | Starwood Property Trust, Inc. | 120,687 | ||||||
2,834 | State Auto Financial Corporation | 58,352 | ||||||
35,058 | Stifel Financial Corporationa | 1,485,057 | ||||||
27,100 | Stockland | 80,446 | ||||||
3,770 | Store Capital Corporation | 87,464 | ||||||
11,000 | Sumitomo Mitsui Trust Holdings, Inc. | 41,661 | ||||||
7,781 | Summit Hotel Properties, Inc. | 92,983 | ||||||
5,970 | SunTrust Banks, Inc. | 255,755 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
4
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (55.6%) | Value | ||||||
Financials (7.6%) - continued | ||||||||
10,229 | SVB Financial Groupa | $ | 1,216,228 | |||||
2,100 | Swiss Re AG | 205,099 | ||||||
4,600 | Synchrony Financiala | 139,886 | ||||||
51,590 | Synovus Financial Corporation | 1,670,484 | ||||||
300 | Talanx AG | 9,226 | ||||||
29,880 | Talmer Bancorp, Inc. | 541,127 | ||||||
42,800 | TCF Financial Corporation | 604,336 | ||||||
21,349 | TD Ameritrade Holding Corporation | 741,024 | ||||||
23,473 | Terreno Realty Corporation | 530,959 | ||||||
1,150 | Territorial Bancorp, Inc. | 31,901 | ||||||
200 | Tokio Marine Holdings, Inc. | 7,725 | ||||||
1,870 | TriCo Bancshares | 51,313 | ||||||
5,220 | TrustCo Bank Corporation | 32,051 | ||||||
2,100 | U.S. Bancorp | 89,607 | ||||||
4,000 | UBS Group AG | 77,598 | ||||||
2,245 | UMH Properties, Inc. | 22,719 | ||||||
1,480 | Union Bankshares Corporation | 37,355 | ||||||
960 | United Community Banks, Inc. | 18,710 | ||||||
6,100 | United Overseas Bank, Ltd. | 84,100 | ||||||
1,110 | Urstadt Biddle Properties, Inc. | 21,356 | ||||||
2,754 | W.R. Berkley Corporation | 150,781 | ||||||
1,200 | Wallenstam AB | 9,645 | ||||||
510 | Webster Financial Corporation | 18,967 | ||||||
12,050 | Wells Fargo & Company | 655,038 | ||||||
21,368 | Western Alliance Bancorpa | 766,256 | ||||||
3,210 | Western Asset Mortgage Capital Corporation | 32,806 | ||||||
1,810 | Whitestone REIT | 21,738 | ||||||
11,800 | Wing Tai Holdings, Ltd. | 14,576 | ||||||
1,409 | Wintrust Financial Corporation | 68,365 | ||||||
1,545 | WSFS Financial Corporation | 49,996 | ||||||
4,937 | XL Group plc | 193,432 | ||||||
65,020 | Zions Bancorporation | 1,775,046 | ||||||
|
| |||||||
Total | 73,666,971 | |||||||
|
| |||||||
Health Care (8.3%) | ||||||||
97,380 | Abbott Laboratories | 4,373,336 | ||||||
12,100 | ABIOMED, Inc.a | 1,092,388 | ||||||
22,769 | Acadia Healthcare Company, Inc.a | 1,422,152 | ||||||
1,900 | Acceleron Pharma, Inc.a | 92,644 | ||||||
1,300 | Aceto Corporation | 35,074 | ||||||
37,510 | Acorda Therapeutics, Inc.a | 1,604,678 | ||||||
100 | Actelion, Ltd. | 13,894 | ||||||
13,000 | Aetna, Inc. | 1,405,560 | ||||||
19,350 | Affymetrix, Inc.a | 195,241 | ||||||
40,124 | Akorn, Inc.a | 1,497,026 | ||||||
4,160 | Albany Molecular Research, Inc.a | 82,576 | ||||||
20,598 | Align Technology, Inc.a | 1,356,378 | ||||||
20,524 | Allergan plca | 6,413,750 | ||||||
5,411 | Allscripts Healthcare Solutions, Inc.a | 83,221 | ||||||
9,847 | AmerisourceBergen Corporation | 1,021,232 | ||||||
2,270 | Amgen, Inc. | 368,489 | ||||||
20,568 | AMN Healthcare Services, Inc.a | 638,636 | ||||||
2,100 | AmSurg Corporationa | 159,600 | ||||||
3,058 | Anacor Pharmaceuticals, Inc.a | 345,462 | ||||||
6,241 | Analogic Corporation | 515,507 | ||||||
1,000 | Astellas Pharmaceutical, Inc. | 14,236 | ||||||
6,904 | Asterias Biotherapeutics, Inc.a | 27,133 | ||||||
316 | Atrion Corporation | 120,459 | ||||||
4,118 | Baxalta, Inc. | 160,726 | ||||||
6,832 | BioMarin Pharmaceutical, Inc.a | 715,720 | ||||||
570 | Bio-Rad Laboratories, Inc.a | 79,036 | ||||||
4,108 | C.R. Bard, Inc. | 778,220 | ||||||
11,640 | Cambrex Corporationa | 548,128 | ||||||
1,200 | Cardinal Health, Inc. | 107,124 | ||||||
32,901 | Cardiovascular Systems, Inc.a | 497,463 | ||||||
22,022 | Centene Corporationa | 1,449,268 | ||||||
73,288 | Cerner Corporationa | 4,409,739 | ||||||
1,550 | CONMED Corporation | 68,277 | ||||||
1,500 | Cross Country Healthcare, Inc.a | 24,585 | ||||||
300 | CSL, Ltd. | 22,872 | ||||||
21,810 | DENTSPLY International, Inc. | 1,327,138 | ||||||
75,143 | Depomed, Inc.a | 1,362,343 | ||||||
16,030 | Edwards Lifesciences Corporationa | 1,266,049 | ||||||
10,500 | Ensign Group, Inc. | 237,615 | ||||||
29,121 | Envision Healthcare Holdings, Inc.a | 756,272 | ||||||
1,500 | Essilor International SA | 186,955 | ||||||
11,000 | EXACT Sciences Corporationa | 101,530 | ||||||
51,095 | ExamWorks Group, Inc.a | 1,359,127 | ||||||
2,100 | Express Scripts Holding Companya | 183,561 | ||||||
100 | Fresenius Medical Care AG & Company KGaA | 8,403 | ||||||
100 | Gerresheimer AG | 7,814 | ||||||
53,208 | Gilead Sciences, Inc. | 5,384,118 | ||||||
4,730 | Globus Medical, Inc.a | 131,589 | ||||||
13,070 | Greatbatch, Inc.a | 686,175 | ||||||
9,200 | HCA Holdings, Inc.a | 622,196 | ||||||
3,490 | HealthSouth Corporation | 121,487 | ||||||
2,810 | Healthways, Inc.a | 36,165 | ||||||
1,600 | Hikma Pharmaceuticals plc | 54,239 | ||||||
3,300 | Hill-Rom Holdings, Inc. | 158,598 | ||||||
20,800 | Hologic, Inc.a | 804,752 | ||||||
1,170 | ICON plca | 90,909 | ||||||
26,361 | Impax Laboratories, Inc.a | 1,127,196 | ||||||
20,500 | Inogen, Inc.a | 821,845 | ||||||
19,566 | Intersect ENT, Inc.a | 440,235 | ||||||
48,428 | Ironwood Pharmaceuticals, Inc.a | 561,281 | ||||||
500 | Kaken Pharmaceutical Company, Ltd. | 34,167 | ||||||
12,350 | Kindred Healthcare, Inc. | 147,088 | ||||||
3,789 | LivaNova plca | 224,953 | ||||||
200 | Lonza Group AG | 32,527 | ||||||
2,700 | Magellan Health Services, Inc.a | 166,482 | ||||||
4,054 | Medtronic, Inc. | 311,834 | ||||||
9,780 | Merck & Company, Inc. | 516,580 | ||||||
2,208 | Mettler-Toledo International, Inc.a | 748,799 | ||||||
83,133 | Mylan NVa | 4,495,001 | ||||||
2,128 | National Healthcare Corporation | 131,298 | ||||||
670 | Neogen Corporationa | 37,868 | ||||||
15,202 | �� | Neurocrine Biosciences, Inc.a | 859,977 | |||||
1,400 | Novartis AG | 120,427 | ||||||
1,600 | Novo Nordisk AS | 92,637 | ||||||
36,771 | NuVasive, Inc.a | 1,989,679 | ||||||
3,420 | NxStage Medical, Inc.a | 74,932 | ||||||
300 | Paramount Bed Holdings Company, Ltd. | 10,644 | ||||||
4,240 | PerkinElmer, Inc. | 227,137 | ||||||
7,810 | Perrigo Company plc | 1,130,107 | ||||||
64,220 | Pfizer, Inc. | 2,073,022 | ||||||
4,810 | PharMerica Corporationa | 168,350 | ||||||
2,680 | Progenics Pharmaceuticals, Inc.a | 16,428 | ||||||
1,600 | Prothena Corporation plca | 108,976 | ||||||
1,550 | Providence Service Corporationa | 72,726 | ||||||
1,600 | Quality Systems, Inc. | 25,792 | ||||||
1,610 | Quest Diagnostics, Inc. | 114,535 | ||||||
5,785 | Quintiles Transnational Holdings, Inc.a | 397,198 | ||||||
300 | Recordati SPA | 7,827 | ||||||
4,050 | Roche Holding AG ADR | 139,604 | ||||||
1,190 | Sagent Pharmaceuticals, Inc.a | 18,933 | ||||||
1,000 | Sanofi | 85,222 | ||||||
400 | Suzuken Company, Ltd. | 15,201 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
5
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (55.6%) | Value | ||||||
| Health Care (8.3%) - continued |
| ||||||
29,648 | Team Health Holdings, Inc.a | $ | 1,301,251 | |||||
31,937 | Teleflex, Inc. | 4,198,119 | ||||||
5,293 | Triple-S Management Corporationa | 126,556 | ||||||
10,823 | UnitedHealth Group, Inc. | 1,273,218 | ||||||
14,624 | Universal Health Services, Inc. | 1,747,422 | ||||||
2,420 | Vanda Pharmaceuticals, Inc.a | 22,530 | ||||||
2,360 | VCA Antech, Inc.a | 129,800 | ||||||
48,600 | Veeva Systems, Inc.a | 1,402,110 | ||||||
35,766 | Vertex Pharmaceuticals, Inc.a | 4,500,436 | ||||||
4,450 | Waters Corporationa | 598,881 | ||||||
3,187 | Wellcare Health Plans, Inc.a | 249,255 | ||||||
5,190 | West Pharmaceutical Services, Inc. | 312,542 | ||||||
8,180 | Zoetis, Inc. | 391,986 | ||||||
|
| |||||||
Total | 80,427,479 | |||||||
|
| |||||||
| Industrials (6.2%) |
| ||||||
15,970 | 3M Company | 2,405,721 | ||||||
1,970 | A.O. Smith Corporation | 150,922 | ||||||
500 | Aalberts Industries NV | 17,228 | ||||||
3,050 | AAR Corporation | 80,184 | ||||||
8,065 | ABM Industries, Inc. | 229,611 | ||||||
600 | Adecco SA | 41,066 | ||||||
23,600 | ADT Corporation | 778,328 | ||||||
7,060 | AECOMa | 212,012 | ||||||
5,664 | Aegion Corporationa | 109,372 | �� | |||||
8,340 | AGCO Corporation | 378,553 | ||||||
1,000 | Aida Engineering, Ltd. | 10,307 | ||||||
11,400 | Air New Zealand, Ltd. | 22,992 | ||||||
600 | Airbus Group NV | 40,433 | ||||||
2,240 | Allison Transmission Holdings, Inc. | 57,994 | ||||||
900 | Amada Holdings Company, Ltd. | 8,588 | ||||||
1,850 | AMETEK, Inc. | 99,141 | ||||||
200 | Andritz AG | 9,734 | ||||||
1,500 | Applied Industrial Technologies, Inc. | 60,735 | ||||||
5,000 | Asahi Glass Company, Ltd. | 28,644 | ||||||
2,811 | Astec Industries, Inc. | 114,408 | ||||||
300 | Atlas Copco Aktiebolag | 7,357 | ||||||
9,850 | AZZ, Inc. | 547,364 | ||||||
10,076 | B/E Aerospace, Inc. | 426,920 | ||||||
6,300 | BAE Systems plc | 46,384 | ||||||
4,837 | Beacon Roofing Supply, Inc.a | 199,188 | ||||||
10,910 | Boeing Company | 1,577,477 | ||||||
3,100 | Bollore SA | 14,445 | ||||||
1,510 | Brady Corporation | 34,700 | ||||||
1,400 | Briggs & Stratton Corporation | 24,220 | ||||||
6,610 | Brink’s Company | 190,765 | ||||||
11,800 | BWX Technologies, Inc. | 374,886 | ||||||
8,110 | Caterpillar, Inc. | 551,156 | ||||||
3,000 | Central Glass Company, Ltd. | 13,760 | ||||||
400 | Central Japan Railway Company | 71,014 | ||||||
2,329 | CIRCOR International, Inc. | 98,167 | ||||||
26,710 | CLARCOR, Inc. | 1,326,953 | ||||||
5,052 | Comfort Systems USA, Inc. | 143,578 | ||||||
500 | Compagnie de Saint-Gobain | 21,668 | ||||||
10,260 | Copart, Inc.a | 389,983 | ||||||
5,090 | Corporate Executive Board Company | 312,475 | ||||||
300 | Croda International plc | 13,442 | ||||||
8,468 | CSX Corporation | 219,745 | ||||||
2,100 | CTT-Correios de Portugal SA | 20,183 | ||||||
1,283 | Cubic Corporation | 60,622 | ||||||
10,550 | Curtiss-Wright Corporation | 722,675 | ||||||
1,000 | Dai Nippon Printing Company, Ltd. | 9,889 | ||||||
9,660 | Danaher Corporation | 897,221 | ||||||
1,300 | Dart Group plc | 11,278 | ||||||
101,500 | Delta Air Lines, Inc. | 5,145,035 | ||||||
900 | Deutsche Post AG | 25,162 | ||||||
4,580 | DigitalGlobe, Inc.a | 71,723 | ||||||
5,830 | Donaldson Company, Inc. | 167,088 | ||||||
400 | DSV AS | 15,745 | ||||||
100 | East Japan Railway Company | 9,417 | ||||||
200 | Elbit Systems, Ltd. | 17,607 | ||||||
28,254 | EMCOR Group, Inc. | 1,357,322 | ||||||
6,025 | Equifax, Inc. | 671,004 | ||||||
3,879 | ESCO Technologies, Inc. | 140,187 | ||||||
13,000 | Expeditors International of Washington, Inc. | 586,300 | ||||||
9,921 | Federal Signal Corporation | 157,248 | ||||||
1,300 | Ferrovial SA | 29,397 | ||||||
2,630 | Flowserve Corporation | 110,670 | ||||||
26,997 | Fortune Brands Home and Security, Inc. | 1,498,333 | ||||||
3,207 | Franklin Electric Company, Inc. | 86,685 | ||||||
23,774 | FTI Consulting, Inc.a | 824,007 | ||||||
2,510 | G & K Services, Inc. | 157,879 | ||||||
859 | Galliford Try plc | 19,302 | ||||||
200 | GEA Group AG | 8,080 | ||||||
5,331 | Gibraltar Industries, Inc.a | 135,621 | ||||||
31,704 | Granite Construction, Inc. | 1,360,419 | ||||||
11,734 | H&E Equipment Services, Inc. | 205,110 | ||||||
1,000 | Hankyu Hanshin Holdings, Inc. | 6,500 | ||||||
950 | Hawaiian Holdings, Inc.a | 33,563 | ||||||
24,210 | Healthcare Services Group, Inc. | 844,203 | ||||||
15,650 | Heico Corporation | 850,734 | ||||||
6,600 | Hexcel Corporation | 306,570 | ||||||
12,944 | HNI Corporation | 466,761 | ||||||
100 | Hochtief AG | 9,275 | ||||||
2,515 | Honeywell International, Inc. | 260,479 | ||||||
200 | Hoshizaki Electric Company, Ltd. | 12,433 | ||||||
2,508 | Hub Group, Inc.a | 82,639 | ||||||
6,320 | Huntington Ingalls Industries, Inc. | 801,692 | ||||||
29,938 | Huron Consulting Group, Inc.a | 1,778,317 | ||||||
500 | IBIDEN Company, Ltd. | 7,168 | ||||||
870 | Illinois Tool Works, Inc. | 80,632 | ||||||
700 | Inaba Denki Sangyo Company, Ltd. | 22,366 | ||||||
3,200 | Ingersoll-Rand plc | 176,928 | ||||||
5,170 | Insperity, Inc. | 248,935 | ||||||
2,100 | Intrum Justitia AB | 71,458 | ||||||
8,100 | ITOCHU Corporation | 95,810 | ||||||
400 | Jardine Matheson Holdings, Ltd. | 19,371 | ||||||
10,754 | JB Hunt Transport Services, Inc. | 788,913 | ||||||
779 | John Bean Technologies Corporation | 38,818 | ||||||
10,100 | Joy Global, Inc. | 127,361 | ||||||
100 | Jungheinrich AG | 8,247 | ||||||
2,946 | Kaman Corporation | 120,226 | ||||||
3,930 | KAR Auction Services, Inc. | 145,528 | ||||||
5,061 | Kforce, Inc. | 127,942 | ||||||
3,000 | KITZ Corporation | 13,475 | ||||||
2,000 | KONE Oyj | 84,683 | ||||||
700 | Koninklijke Boskalis Westminster NV | 28,555 | ||||||
14,970 | Korn/Ferry International | 496,705 | ||||||
2,620 | Landstar System, Inc. | 153,663 | ||||||
1,000 | Lincoln Electric Holdings, Inc. | 51,890 | ||||||
2,900 | Lockheed Martin Corporation | 629,735 | ||||||
11,850 | Manpower, Inc. | 998,836 | ||||||
23,950 | Masco Corporation | 677,785 | ||||||
4,760 | McGrath Rentcorp | 119,904 | ||||||
4,201 | Meggitt plc | 23,195 | ||||||
200 | MEITEC Corporation | 6,849 | ||||||
11,810 | Meritor, Inc.a | 98,613 | ||||||
8,433 | Middleby Corporationa | 909,668 | ||||||
6,998 | Mine Safety Appliances Company | 304,203 | ||||||
1,200 | MIRAIT Holdings Corporation | 9,887 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
6
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (55.6%) | Value | ||||||
| Industrials (6.2%) - continued |
| ||||||
1,000 | Mitsuboshi Belting, Ltd. | $ | 7,972 | |||||
7,700 | Mueller Water Products, Inc. | 66,220 | ||||||
8,469 | Navigant Consulting, Inc.a | 136,012 | ||||||
13,263 | Nielsen Holdings plc | 618,056 | ||||||
1,300 | Nikkon Holdings Company, Ltd. | 25,911 | ||||||
2,000 | Nippon Express Company, Ltd. | 9,398 | ||||||
2,100 | Nitto Kogyo Corporation | 36,716 | ||||||
1,349 | Nordson Corporation | 86,538 | ||||||
29,385 | Norfolk Southern Corporation | 2,485,677 | ||||||
2,800 | Northrop Grumman Corporation | 528,668 | ||||||
1,000 | Obayashi Corporation | 9,227 | ||||||
9,190 | Old Dominion Freight Line, Inc.a | 542,853 | ||||||
28,877 | On Assignment, Inc.a | 1,298,021 | ||||||
18,075 | Oshkosh Corporation | 705,648 | ||||||
25,435 | PGT, Inc.a | 289,705 | ||||||
7,200 | PowerSecure International, Inc.a | 108,360 | ||||||
43,126 | Progressive Waste Solutions, Ltd. | 1,015,617 | ||||||
22,600 | Proto Labs, Inc.a | 1,439,394 | ||||||
1,550 | Quanex Building Products Corporation | 32,317 | ||||||
100 | Randstad Holding NV | 6,227 | ||||||
26,410 | Raven Industries, Inc. | 411,996 | ||||||
825 | RBC Bearings, Inc.a | 53,287 | ||||||
4,000 | Rentokil Initial plc | 9,385 | ||||||
3,860 | Resources Connection, Inc. | 63,072 | ||||||
2,360 | Rexnord Corporationa | 42,763 | ||||||
200 | Rieter Holding AG | 37,591 | ||||||
26,745 | Ritchie Brothers Auctioneers, Inc. | 644,822 | ||||||
800 | Rockwell Automation, Inc. | 82,088 | ||||||
3,550 | Rockwell Collins, Inc. | 327,665 | ||||||
5,108 | Roper Industries, Inc. | 969,447 | ||||||
915 | Ryder System, Inc. | 51,999 | ||||||
377 | Saft Groupe SA | 11,491 | ||||||
17,490 | Saia, Inc.a | 389,152 | ||||||
4,200 | SIG plc | 8,875 | ||||||
53,131 | Southwest Airlines Company | 2,287,821 | ||||||
4,410 | Spirit Aerosystems Holdings, Inc.a | 220,809 | ||||||
2,426 | Stericycle, Inc.a | 292,576 | ||||||
760 | Sun Hydraulics Corporation | 24,115 | ||||||
25,476 | Swift Transportation Companya | 352,078 | ||||||
700 | Teleperformance SA | 58,862 | ||||||
11,506 | Tennant Company | 647,328 | ||||||
2,040 | Tetra Tech, Inc. | 53,081 | ||||||
6,401 | Textron, Inc. | 268,906 | ||||||
100 | Thales SA | 7,485 | ||||||
300 | TKH Group NV | 12,182 | ||||||
2,000 | Toppan Printing Company, Ltd. | 18,426 | ||||||
6,530 | Toro Company | 477,147 | ||||||
200 | Travis Perkins plc | 5,802 | ||||||
3,522 | Triumph Group, Inc. | 139,999 | ||||||
680 | TrueBlue, Inc.a | 17,517 | ||||||
1,000 | Tsubakimoto Chain Company | 7,700 | ||||||
5,519 | Tyco International plc | 176,001 | ||||||
780 | UniFirst Corporation | 81,276 | ||||||
3,270 | United Continental Holdings, Inc.a | 187,371 | ||||||
1,750 | United Parcel Service, Inc. | 168,402 | ||||||
8,572 | United Rentals, Inc.a | 621,813 | ||||||
2,843 | Universal Forest Products, Inc. | 194,376 | ||||||
3,635 | Universal Truckload Services, Inc. | 51,035 | ||||||
100 | �� | Vestas Wind Systems AS | 6,984 | |||||
5,700 | WABCO Holdings, Inc.a | 582,882 | ||||||
19,996 | WageWorks, Inc.a | 907,219 | ||||||
22,790 | Waste Connections, Inc. | 1,283,533 | ||||||
3,002 | Watsco, Inc. | 351,624 | ||||||
1,770 | Wesco Aircraft Holdings, Inc.a | 21,187 | ||||||
3,680 | West Corporation | 79,378 | ||||||
409 | Woodward, Inc. | 20,311 | ||||||
2,000 | Xylem, Inc. | 73,000 | ||||||
1,190 | YRC Worldwide, Inc.a | 16,874 | ||||||
400 | Yuasa Trading Company, Ltd. | 9,881 | ||||||
|
| |||||||
Total | 60,400,495 | |||||||
|
| |||||||
| Information Technology (13.3%) |
| ||||||
23,019 | A10 Networks, Inc.a | 151,005 | ||||||
1,970 | Accenture plc | 205,865 | ||||||
17,845 | ACI Worldwide, Inc.a | 381,883 | ||||||
1,874 | Advanced Energy Industries, Inc.a | 52,903 | ||||||
24,329 | Agilent Technologies, Inc. | 1,017,195 | ||||||
14,660 | Akamai Technologies, Inc.a | 771,556 | ||||||
35,110 | Alibaba Group Holding, Ltd. ADRa | 2,853,390 | ||||||
4,400 | Alliance Data Systems Corporationa | 1,216,908 | ||||||
7,973 | Alphabet, Inc., Class Aa | 6,203,074 | ||||||
7,947 | Alphabet, Inc., Class Ca | 6,030,819 | ||||||
800 | Alps Electric Company, Ltd. | 21,694 | ||||||
13,502 | Ambarella, Inc.a | 752,601 | ||||||
10,420 | Amkor Technology, Inc.a | 63,354 | ||||||
30,745 | Amphenol Corporation | 1,605,811 | ||||||
200 | AMS AG | 6,686 | ||||||
1,300 | Analog Devices, Inc. | 71,916 | ||||||
7,008 | ANSYS, Inc.a | 648,240 | ||||||
103,044 | Apple, Inc.b | 10,846,411 | ||||||
46,584 | Applied Materials, Inc. | 869,723 | ||||||
19,090 | Arista Networks, Inc.a | 1,485,966 | ||||||
15,223 | Aspen Technology, Inc.a | 574,820 | ||||||
80 | AtoS | 6,716 | ||||||
3,400 | AVG Technologies NVa | 68,170 | ||||||
5,480 | Avnet, Inc. | 234,763 | ||||||
6,050 | AVX Corporation | 73,447 | ||||||
6,136 | Belden, Inc. | 292,564 | ||||||
1,620 | Benchmark Electronics, Inc.a | 33,485 | ||||||
2,740 | Black Knight Financial Services, Inc.a | 90,584 | ||||||
14,990 | Booz Allen Hamilton Holding Corporation | 462,442 | ||||||
16,340 | Broadridge Financial Solutions, Inc. | 877,948 | ||||||
69,858 | Brocade Communications Systems, Inc. | 641,296 | ||||||
10,814 | Brooks Automation, Inc. | 115,494 | ||||||
3,376 | Cabot Microelectronics Corporationa | 147,801 | ||||||
7,002 | CACI International, Inc.a | 649,646 | ||||||
1,000 | Cadence Design Systems, Inc.a | 20,810 | ||||||
1,200 | Canon, Inc. | 36,300 | ||||||
200 | Cap Gemini SA | 18,557 | ||||||
17,979 | Cardtronics, Inc.a | 604,993 | ||||||
17,399 | Cavium, Inc.a | 1,143,288 | ||||||
2,940 | CDK Global, Inc. | 139,562 | ||||||
12,040 | CDW Corporation | 506,162 | ||||||
1,600 | Check Point Software Technologies, Ltd.a | 130,208 | ||||||
25,200 | Ciena Corporationa | 521,388 | ||||||
71,000 | Cisco Systems, Inc. | 1,928,005 | ||||||
609 | Citrix Systems, Inc.a | 46,071 | ||||||
28,910 | Cognex Corporation | 976,291 | ||||||
6,650 | Cognizant Technology Solutions Corporationa | 399,133 | ||||||
3,780 | Coherent, Inc.a | 246,116 | ||||||
2,900 | Comtech Telecommunications Corporation | 58,261 | ||||||
7,460 | Convergys Corporation | 185,679 | ||||||
18,350 | CoreLogic, Inc.a | 621,331 | ||||||
8,410 | Cornerstone OnDemand, Inc.a | 290,397 | ||||||
34,070 | Criteo SA ADRa | 1,349,172 | ||||||
1,510 | Cvent, Inc.a | 52,714 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
7
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (55.6%) | Value | ||||||
| Information Technology (13.3%) - continued |
| ||||||
21,841 | Demandware, Inc.a | $ | 1,178,759 | |||||
900 | Dialog Semiconductor plca | 30,032 | ||||||
5,720 | DST Systems, Inc. | 652,423 | ||||||
400 | DTS Corporation | 9,105 | ||||||
15,850 | eBay, Inc.a | 435,558 | ||||||
6,163 | Electro Rent Corporation | 56,700 | ||||||
137,620 | EMC Corporation | 3,534,082 | ||||||
19,950 | Envestnet, Inc.a | 595,508 | ||||||
3,770 | EVERTEC, Inc. | 63,110 | ||||||
3,800 | ExlService Holdings, Inc.a | 170,734 | ||||||
6,162 | F5 Networks, Inc.a | 597,468 | ||||||
5,747 | Fabrineta | 136,894 | ||||||
106,910 | Facebook, Inc.a | 11,189,201 | ||||||
12,870 | FEI Company | 1,026,897 | ||||||
1,180 | FleetCor Technologies, Inc.a | 168,657 | ||||||
4,000 | FLIR Systems, Inc. | 112,280 | ||||||
25,282 | Fortinet, Inc.a | 788,040 | ||||||
4,000 | FUJIFILM Holdings NPV | 166,930 | ||||||
8,480 | Gartner, Inc.a | 769,136 | ||||||
6,560 | Glu Mobile, Inc.a | 15,941 | ||||||
36,702 | Guidewire Software, Inc.a | 2,207,992 | ||||||
3,400 | Harmonic, Inc.a | 13,838 | ||||||
1,000 | Hitachi Kokusai Electric, Inc. | 13,594 | ||||||
600 | Hoya Corporation | 24,536 | ||||||
3,897 | IAC/InterActiveCorporation | 234,015 | ||||||
11,088 | Imperva, Inc.a | 701,981 | ||||||
300 | Ingenico Group | 37,867 | ||||||
20,020 | Intel Corporation | 689,689 | ||||||
1,200 | IRESS, Ltd. | 8,688 | ||||||
700 | IT Holdings Corporation | 15,994 | ||||||
600 | ITOCHU Techno-Solutions Corporation | 11,955 | ||||||
9,579 | Ixiaa | 119,067 | ||||||
21,110 | Juniper Networks, Inc. | 582,636 | ||||||
300 | Kyocera Corporation | 13,932 | ||||||
620 | Leidos Holdings, Inc. | 34,881 | ||||||
2,200 | Liberty Tripadvisor Holdings, Inc.a | 66,748 | ||||||
1,406 | Littelfuse, Inc. | 150,456 | ||||||
300 | LogMeIn, Inc.a | 20,130 | ||||||
1,590 | Lumentum Holdings, Inc.a | 35,012 | ||||||
9,074 | Manhattan Associates, Inc.a | 600,427 | ||||||
7,955 | Marvell Technology Group, Ltd. | 70,163 | ||||||
25,930 | MasterCard, Inc. | 2,524,545 | ||||||
8,440 | Maxim Integrated Products, Inc. | 320,720 | ||||||
15,130 | Mentor Graphics Corporation | 278,695 | ||||||
2,800 | Methode Electronics, Inc. | 89,124 | ||||||
30,230 | Microsemi Corporationa | 985,196 | ||||||
154,490 | Microsoft Corporation | 8,571,105 | ||||||
19,759 | Monolithic Power Systems, Inc. | 1,258,846 | ||||||
460 | Morningstar, Inc. | 36,989 | ||||||
31,700 | Nanometrics, Inc.a | 479,938 | ||||||
24,530 | National Instruments Corporation | 703,766 | ||||||
1,700 | NEC Networks & System Integration Corporation | 30,064 | ||||||
1,100 | NetScout Systems, Inc.a | 33,770 | ||||||
5,790 | Newport Corporationa | 91,887 | ||||||
8,761 | Nice Systems, Ltd. ADR | 502,181 | ||||||
600 | NS Solutions Corporation | 13,671 | ||||||
87,139 | NVIDIA Corporation | 2,872,101 | ||||||
7,390 | NXP Semiconductors NVa | 622,608 | ||||||
5,220 | ON Semiconductor Corporationa | 51,156 | ||||||
8,150 | Oracle Corporation | 297,720 | ||||||
5,600 | Palo Alto Networks, Inc.a | 986,384 | ||||||
38,150 | Pandora Media, Inc.a | 511,592 | ||||||
5,350 | Parametric Technology Corporationa | 185,271 | ||||||
14,400 | Paylocity Holding Corporationa | 583,920 | ||||||
100,804 | PayPal Holdings, Inc.a | 3,649,105 | ||||||
9,876 | Plantronics, Inc. | 468,320 | ||||||
18,533 | Progress Software Corporationa | 444,792 | ||||||
31,116 | Proofpoint, Inc.a | 2,022,851 | ||||||
14,146 | QLIK Technologies, Inc.a | 447,862 | ||||||
4,700 | RealPage, Inc.a | 105,515 | ||||||
13,635 | Red Hat, Inc.a | 1,129,114 | ||||||
3,900 | Ruckus Wireless, Inc.a | 41,769 | ||||||
74,740 | Salesforce.com, Inc.a | 5,859,616 | ||||||
600 | SAP SE | 47,612 | ||||||
14,291 | ServiceNow, Inc.a | 1,237,029 | ||||||
2,400 | Shinko Electric Industries Company, Ltd. | 15,386 | ||||||
5,250 | �� | ShoreTel, Inc.a | 46,463 | |||||
5,350 | Symantec Corporation | 112,350 | ||||||
9,812 | Synopsys, Inc.a | 447,525 | ||||||
100 | TDK Corporation | 6,404 | ||||||
940 | Tech Data Corporationa | 62,397 | ||||||
44,881 | Teradyne, Inc. | 927,690 | ||||||
3,830 | Tessera Technologies, Inc. | 114,938 | ||||||
5,530 | Texas Instruments, Inc. | 303,099 | ||||||
4,622 | Tyler Technologies, Inc.a | 805,707 | ||||||
9,256 | Ultimate Software Group, Inc.a | 1,809,641 | ||||||
4,040 | Ultra Clean Holdings, Inc.a | 20,685 | ||||||
6,800 | Vantiv, Inc.a | 322,456 | ||||||
56,824 | Virtusa Corporationa | 2,349,104 | ||||||
101,660 | Visa, Inc. | 7,883,733 | ||||||
5,300 | Web.com Group, Inc.a | 106,053 | ||||||
9,210 | Xerox Corporation | 97,902 | ||||||
|
| |||||||
Total | 129,068,037 | |||||||
|
| |||||||
| Materials (1.9%) |
| ||||||
9,350 | Agnico Eagle Mines, Ltd. | 245,718 | ||||||
2,900 | Albemarle Corporation | 162,429 | ||||||
49,050 | Alcoa, Inc. | 484,124 | ||||||
2,576 | American Vanguard Corporation | 36,090 | ||||||
100 | Aurubis AG | 5,064 | ||||||
5,700 | Avery Dennison Corporation | 357,162 | ||||||
6,853 | Axalta Coating Systems, Ltd.a | 182,632 | ||||||
11,200 | Axiall Corporation | 172,480 | ||||||
6,580 | Balchem Corporation | 400,064 | ||||||
7,900 | Ball Corporation | 574,567 | ||||||
52,110 | Barrick Gold Corporation | 384,572 | ||||||
2,860 | Berry Plastics Group, Inc.a | 103,475 | ||||||
3,200 | BHP Billiton plc | 35,686 | ||||||
7,200 | BHP Billiton, Ltd. | 92,661 | ||||||
3,400 | BillerudKorsnas AB | 62,922 | ||||||
1,880 | Boise Cascade Companya | 47,996 | ||||||
2,900 | Boral, Ltd. | 12,399 | ||||||
700 | Buzzi Unicem SPA | 12,548 | ||||||
560 | Carpenter Technology Corporation | 16,951 | ||||||
5,877 | Celanese Corporation | 395,698 | ||||||
5,506 | CF Industries Holdings, Inc. | 224,700 | ||||||
44,944 | Chemtura Corporationa | 1,225,623 | ||||||
1,028 | Clearwater Paper Corporationa | 46,805 | ||||||
25,080 | Crown Holdings, Inc.a | 1,271,556 | ||||||
4,300 | Daicel Corporation | 63,992 | ||||||
3,390 | Dow Chemical Company | 174,517 | ||||||
2,000 | DOWA Holdings Company, Ltd.a | 14,380 | ||||||
1,900 | Eagle Materials, Inc. | 114,817 | ||||||
4,100 | Eastman Chemical Company | 276,791 | ||||||
36,190 | Eldorado Gold Corporation | 107,484 | ||||||
200 | Evonik Industries AG | 6,615 | ||||||
16,355 | FMC Corporation | 639,971 | ||||||
41,020 | Freeport-McMoRan, Inc. | 277,705 | ||||||
35,490 | Goldcorp, Inc. | 410,264 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
8
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (55.6%) | Value | ||||||
| Materials (1.9%) - continued | |||||||
6,430 | Graphic Packaging Holding Company | $ | 82,497 | |||||
800 | Hexpol AB | 8,578 | ||||||
1,200 | Hokuetsu Kishu Paper Company, Ltd. | 7,071 | ||||||
500 | Holmen AB | 15,444 | ||||||
34,640 | Horsehead Holding Corporationa | 71,012 | ||||||
790 | Innophos Holdings, Inc. | 22,894 | ||||||
2,937 | Innospec, Inc. | 159,508 | ||||||
23,960 | International Paper Company | 903,292 | ||||||
500 | JFE Holdings, Inc. | 7,851 | ||||||
1,937 | KapStone Paper and Packaging Corporation | 43,757 | ||||||
62,460 | Kinross Gold Corporationa | 113,677 | ||||||
910 | Koppers Holdings, Inc.a | 16,608 | ||||||
100 | LafargeHolcim, Ltd. | 5,008 | ||||||
2,420 | Martin Marietta Materials, Inc. | 330,524 | ||||||
1,374 | Minerals Technologies, Inc. | 63,012 | ||||||
1,300 | Mitsubishi Chemical Holdings Corporation | 8,248 | ||||||
1,000 | Mondi plc | 19,601 | ||||||
4,100 | Mosaic Company | 113,119 | ||||||
7,088 | Myers Industries, Inc. | 94,412 | ||||||
27,390 | Newmont Mining Corporation | 492,746 | ||||||
600 | Nippon Paint Holdings Company, Ltd. | 14,521 | ||||||
1,200 | Nippon Steel & Sumitomo Metal Corporation | 23,739 | ||||||
800 | Novozymes AS | 38,303 | ||||||
3,330 | Nucor Corporation | 134,199 | ||||||
2,000 | Oji Holdings Corporation | 8,038 | ||||||
7,390 | Olin Corporation | 127,551 | ||||||
29,710 | Owens-Illinois, Inc.a | 517,548 | ||||||
12,597 | Packaging Corporation of America | 794,241 | ||||||
45,453 | PolyOne Corporation | 1,443,587 | ||||||
250 | Quaker Chemical Corporation | 19,315 | ||||||
600 | Reliance Steel & Aluminum Company | 34,746 | ||||||
500 | Rio Tinto plc | 14,558 | ||||||
200 | Rio Tinto, Ltd. | 6,468 | ||||||
14,314 | Rock-Tenn Company | 653,005 | ||||||
3,370 | Royal Gold, Inc. | 122,904 | ||||||
3,500 | RPM International, Inc. | 154,210 | ||||||
1,880 | Schnitzer Steel Industries, Inc. | 27,016 | ||||||
3,200 | Scotts Miracle-Gro Company | 206,432 | ||||||
10,400 | Sealed Air Corporation | 463,840 | ||||||
1,200 | Silgan Holdings, Inc. | 64,464 | ||||||
15,860 | Silver Wheaton Corporation | 196,981 | ||||||
8,560 | Sonoco Products Company | 349,847 | ||||||
38,852 | Steel Dynamics, Inc. | 694,285 | ||||||
2,000 | Sumitomo Seika Chemicals Company, Ltd. | 12,169 | ||||||
27,710 | Teck Resources, Ltd. | 106,961 | ||||||
1,000 | Tosoh Corporation | 5,144 | ||||||
1,800 | UPM-Kymmene Oyj | 33,418 | ||||||
5,100 | Vulcan Materials Company | 484,347 | ||||||
1,120 | Westlake Chemical Corporation | 60,838 | ||||||
52,460 | Yamana Gold, Inc. | 97,576 | ||||||
1,863 | Yara International ASA | 80,124 | ||||||
|
| |||||||
Total | 18,209,692 | |||||||
|
| |||||||
| Telecommunications Services (0.3%) | |||||||
8,700 | BT Group plc | 60,409 | ||||||
2,300 | Elisa Oyj | 86,538 | ||||||
2,000 | Freenet AG | 67,490 | ||||||
30,900 | KCOM Group plc | 52,614 | ||||||
5,765 | Level 3 Communications, Inc.a | 313,385 | ||||||
5,300 | Orange SA | 88,647 | ||||||
29,485 | ORBCOMM, Inc.a | 213,471 | ||||||
1,100 | Proximus SA | 35,795 | ||||||
11,294 | SBA Communications Corporationa | 1,186,661 | ||||||
3,300 | StarHub, Ltd. | 8,588 | ||||||
40,600 | Telstra Corporation, Ltd. | 164,986 | ||||||
5,658 | Verizon Communications, Inc. | 261,513 | ||||||
900 | Vivendi SA | 19,329 | ||||||
17,350 | Vonage Holdings Corporationa | 99,589 | ||||||
|
| |||||||
Total | 2,659,015 | |||||||
|
| |||||||
| Utilities (0.7%) | |||||||
19,600 | A2A SPA | 26,540 | ||||||
1,280 | Ameren Corporation | 55,334 | ||||||
10,400 | American Electric Power Company, Inc. | 606,008 | ||||||
3,980 | American States Water Company | 166,961 | ||||||
18,950 | American Water Works Company, Inc. | 1,132,263 | ||||||
4,360 | Aqua America, Inc. | 129,928 | ||||||
1,940 | Artesian Resources Corporation | 53,738 | ||||||
1,020 | Atmos Energy Corporation | 64,301 | ||||||
4,480 | California Water Service Group | 104,250 | ||||||
2,500 | CLP Holdings, Ltd. | 21,190 | ||||||
6,050 | Edison International, Inc. | 358,221 | ||||||
17,000 | Electricidade de Portugal SA | 61,257 | ||||||
3,775 | FirstEnergy Corporation | 119,781 | ||||||
610 | IDACORP, Inc. | 41,480 | ||||||
9,625 | Laclede Group, Inc. | 571,821 | ||||||
830 | Middlesex Water Company | 22,028 | ||||||
1,830 | New Jersey Resources Corporation | 60,317 | ||||||
1,200 | NRG Yield, Inc. | 17,712 | ||||||
1,070 | OGE Energy Corporation | 28,130 | ||||||
2,410 | Otter Tail Corporation | 64,178 | ||||||
2,830 | Pacific Ethanol, Inc.a | 13,527 | ||||||
8,390 | PG&E Corporation | 446,264 | ||||||
2,101 | PNM Resources, Inc. | 64,228 | ||||||
12,950 | Public Service Enterprise Group, Inc. | 501,036 | ||||||
9,700 | Redes Energeticas Nacionais SGPS SA | 29,304 | ||||||
2,350 | Renewable Energy Group, Inc.a | 21,832 | ||||||
13,700 | Southern Company | 641,023 | ||||||
3,140 | Southwest Gas Corporation | 173,202 | ||||||
7,810 | Talen Energy Corporationa | 48,656 | ||||||
2,000 | Toho Gas Company, Ltd. | 12,916 | ||||||
4,200 | United Utilities Group plc | 57,831 | ||||||
6,430 | Vectren Corporation | 272,761 | ||||||
3,520 | Westar Energy, Inc. | 149,283 | ||||||
16,200 | Wisconsin Energy Corporation | 831,222 | ||||||
|
| |||||||
Total | 6,968,523 | |||||||
|
| |||||||
Total Common Stock (cost $493,493,453) | 538,373,644 | |||||||
|
| |||||||
Registered Investment Companies (32.5%) | ||||||||
| Affiliated Equity Holdings (28.2%) | |||||||
3,449,494 | Thrivent Large Cap Stock Portfolio | 40,107,608 | ||||||
2,929,577 | Thrivent Large Cap Value Portfolio | 45,459,708 | ||||||
2,971,037 | Thrivent Mid Cap Stock Portfolio | 49,700,986 | ||||||
11,767,231 | Thrivent Partner Worldwide Allocation Portfolio | 105,949,793 | ||||||
1,990,971 | Thrivent Small Cap Stock Portfolio | 30,912,419 | ||||||
|
| |||||||
Total | 272,130,514 | |||||||
|
| |||||||
| Affiliated Fixed Income Holdings (2.6%) | |||||||
1,670,643 | Thrivent High Yield Portfolio | 7,480,973 | ||||||
451,985 | Thrivent Income Portfolio | 4,443,283 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
9
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (32.5%) | Value | ||||||
| Affiliated Fixed Income Holdings (2.6%) - continued | |||||||
920,880 | Thrivent Limited Maturity Bond Portfolio | $ | 8,953,804 | |||||
462,991 | Thrivent Opportunity Income Plus Portfolio | 4,541,113 | ||||||
|
| |||||||
Total | 25,419,173 | |||||||
|
| |||||||
| Equity Funds/ETFs (1.7%) | |||||||
5,150 | iShares MSCI EAFE Index Fund | 302,562 | ||||||
21,755 | iShares Russell 2000 Growth Index Fund | 3,032,865 | ||||||
15,056 | iShares Russell 2000 Index Fund | 1,693,951 | ||||||
6,980 | Market Vectors Oil Service ETF | 184,621 | ||||||
141,420 | SPDR Euro Stoxx 50 ETF | 4,869,091 | ||||||
24,024 | SPDR S&P 500 ETF Trust | 4,898,253 | ||||||
13,200 | SPDR S&P Biotech ETF | 925,056 | ||||||
1,440 | SPDR S&P MidCap 400 ETF Trust | 365,890 | ||||||
995 | SPDR S&P Oil & Gas Equipment & Services ETF | 17,452 | ||||||
14,320 | SPDR S&P Oil & Gas Exploration & Production ETF | 432,750 | ||||||
|
| |||||||
Total | 16,722,491 | |||||||
|
| |||||||
Total Registered Investment Companies (cost $317,047,103) | 314,272,178 | |||||||
|
| |||||||
Principal Amount | Long-Term Fixed Income (2.5%) | |||||||
| Asset-Backed Securities (0.1%) | |||||||
Renaissance Home Equity Loan Trust | ||||||||
$ | 650,000 | 6.011%, 5/25/2036c | 452,150 | |||||
|
| |||||||
Total | 452,150 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (<0.1%) | |||||||
MASTR Alternative Loans Trust | ||||||||
32,174 | 0.872%, 12/25/2035d | 16,107 | ||||||
Residential Asset Securitization Trust | ||||||||
47,404 | 0.802%, 8/25/2037d | 14,086 | ||||||
Sequoia Mortgage Trust | ||||||||
132,487 | 2.822%, 9/20/2046 | 105,995 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
59,119 | 2.408%, 9/25/2036 | 53,307 | ||||||
86,983 | 2.431%, 10/25/2036 | 77,749 | ||||||
|
| |||||||
Total | 267,244 | |||||||
|
| |||||||
| Mortgage-Backed Securities (1.3%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
875,000 | 3.000%, 1/1/2031e | 901,665 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
875,000 | 4.000%, 1/1/2046e | 924,338 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
900,000 | 3.500%, 1/1/2030e | 942,504 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
5,975,000 | 3.500%, 1/1/2046e | 6,164,546 | ||||||
1,825,000 | 4.000%, 1/1/2046e | 1,931,164 | ||||||
1,575,000 | 4.500%, 1/1/2046e | 1,700,803 | ||||||
|
| |||||||
Total | 12,565,020 | |||||||
|
| |||||||
| U.S. Government and Agencies (1.1%) | |||||||
Tennessee Valley Authority | ||||||||
165,000 | 5.250%, 9/15/2039 | 198,313 | ||||||
U.S. Treasury Notes | ||||||||
225,000 | 0.625%, 10/15/2016 | 224,789 | ||||||
400,000 | 0.875%, 11/15/2017 | 398,609 | ||||||
825,000 | 1.500%, 10/31/2019 | 822,422 | ||||||
1,425,000 | 1.875%, 6/30/2020 | 1,434,963 | ||||||
665,000 | 1.375%, 9/30/2020 | 653,518 | ||||||
250,000 | 2.125%, 9/30/2021 | 252,637 | ||||||
250,000 | 1.625%, 8/15/2022 | 243,506 | ||||||
2,100,000 | 2.250%, 11/15/2024 | 2,098,933 | ||||||
2,800,000 | 3.625%, 2/15/2044 | 3,149,782 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
1,337,570 | 0.125%, 4/15/2018 | 1,334,992 | ||||||
|
| |||||||
Total | 10,812,464 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $23,880,258) | 24,096,878 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (10.7%)f | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
11,300,000 | 0.100%, 1/4/2016 | 11,299,906 | ||||||
5,000,000 | 0.100%, 1/5/2016 | 4,999,944 | ||||||
500,000 | 0.105%, 1/6/2016 | 499,993 | ||||||
5,000,000 | 0.115%, 1/8/2016 | 4,999,888 | ||||||
4,000,000 | 0.110%, 1/11/2016 | �� | 3,999,878 | |||||
3,000,000 | 0.100%, 1/12/2016 | 2,999,908 | ||||||
6,000,000 | 0.110%, 1/13/2016 | 5,999,780 | ||||||
4,000,000 | 0.130%, 1/15/2016 | 3,999,798 | ||||||
1,000,000 | 0.140%, 1/19/2016 | 999,930 | ||||||
2,000,000 | 0.250%, 1/26/2016 | 1,999,653 | ||||||
8,000,000 | 0.250%, 2/12/2016 | 7,997,667 | ||||||
8,000,000 | 0.260%, 2/19/2016 | 7,997,169 | ||||||
1,000,000 | 0.340%, 3/9/2016 | 999,358 | ||||||
2,000,000 | 0.355%, 3/14/2016 | 1,998,560 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
100,000 | 0.105%, 1/6/2016 | 99,999 | ||||||
3,700,000 | 0.230%, 1/27/2016b | 3,699,385 | ||||||
4,000,000 | 0.200%, 2/17/2016b | 3,998,955 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
3,250,000 | 0.100%, 1/8/2016b | 3,249,937 | ||||||
Thrivent Cash Management Trust | ||||||||
31,326,929 | 0.220% | 31,326,929 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 103,166,637 | |||||||
|
| |||||||
Total Investments (cost $937,587,451) 101.3% | $ | 979,909,337 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (1.3%) | (12,350,814 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 967,558,523 | ||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
10
Table of Contents
AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
a | Non-income producing security. |
b | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
c | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
e | Denotes investments purchased on a when-issued or delayed delivery basis. |
f | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
TIPS | - | Treasury Inflation Protected Security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
11
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (1.3%)a | Value | ||||||
Basic Materials (0.1%) | ||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan | ||||||||
$ | 763,717 | 3.750%, 2/1/2020 | $ | 755,553 | ||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
1,016,111 | 4.250%, 6/30/2019 | 750,754 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
1,347,903 | 3.750%, 12/15/2020 | 1,290,617 | ||||||
NewPage Corporation, Term Loan | ||||||||
1,365,000 | 9.500%, 2/11/2021 | 487,141 | ||||||
Tronox Pigments BV, Term Loan | ||||||||
456,818 | 4.500%, 3/19/2020 | 403,142 | ||||||
Wausau Paper Corporation, Term Loan | ||||||||
786,110 | 6.500%, 7/30/2020 | 780,214 | ||||||
|
| |||||||
Total | 4,467,421 | |||||||
|
| |||||||
Capital Goods (<0.1%) | ||||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
1,048,756 | 3.750%, 10/9/2019 | 1,013,360 | ||||||
Silver II Borrower, Term Loan | ||||||||
438,294 | 4.000%, 12/13/2019 | 369,701 | ||||||
|
| |||||||
Total | 1,383,061 | |||||||
|
| |||||||
Communications Services (0.6%) | ||||||||
Altice U.S. Finance I Corporation, Term Loan | ||||||||
566,607 | 4.250%, 2/14/2019 | 556,929 | ||||||
Birch Communication Inc., Term Loan | ||||||||
1,404,688 | 7.750%, 7/17/2020 | 1,341,477 | ||||||
Cengage Learning Acquisitions, Term Loan | ||||||||
2,520,396 | 7.000%, 3/31/2020 | 2,451,085 | ||||||
Fairpoint Communications, Term Loan | ||||||||
1,191,312 | 7.500%, 2/14/2019 | 1,181,186 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
726,392 | 4.500%, 5/29/2020 | 711,261 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
1,418,877 | 5.250%, 6/26/2019 | 1,408,676 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
400,000 | 8.250%, 5/6/2022 | 348,000 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
724,624 | 5.250%, 8/14/2020 | 699,262 | ||||||
220,520 | 9.750%, 2/12/2021 | 213,353 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
1,417,851 | 3.750%, 6/30/2019 | 1,337,842 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
1,555,000 | 4.000%, 1/15/2020 | 1,548,609 | ||||||
Liberty Cablevision of Puerto Rico, LLC, Term Loan | ||||||||
2,765,000 | 4.500%, 1/7/2022 | 2,671,681 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
1,063,446 | 4.000%, 4/13/2020 | 1,033,138 | ||||||
39,215 | 8.000%, 4/12/2021 | 37,769 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
1,221,564 | 4.750%, 3/22/2019 | 1,192,039 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
68,571 | 10.000%, 7/22/2020 | 64,114 | ||||||
NEP/NCP Holdco, Inc., Term Loan | ||||||||
1,789,790 | 4.250%, 1/22/2020 | 1,668,980 | ||||||
NTelos, Inc., Term Loan | ||||||||
357,975 | 5.750%, 11/9/2019 | 354,395 | ||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||
537,300 | 3.250%, 6/10/2022 | 523,363 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
950,131 | 4.000%, 4/23/2019 | 687,258 | ||||||
TNS, Inc., Term Loan | ||||||||
443,568 | 5.000%, 2/14/2020 | 435,805 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
1,654,320 | 4.000%, 3/1/2020 | 1,616,270 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
1,013,348 | 3.500%, 6/30/2023 | 991,024 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
1,585,420 | 4.500%, 4/1/2019 | 1,525,475 | ||||||
XO Communications, LLC, Term Loan | ||||||||
294,750 | 4.250%, 3/20/2021 | 287,234 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
895,581 | 4.250%, 3/1/2020 | 881,306 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
1,447,324 | 3.750%, 5/6/2021 | 1,421,214 | ||||||
|
| |||||||
Total | 27,188,745 | |||||||
|
| |||||||
Consumer Cyclical (0.2%) | ||||||||
Amaya BV, Term Loan | ||||||||
1,557,871 | 5.000%, 8/1/2021 | 1,456,609 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
838,516 | 4.250%, 8/13/2021 | 826,986 | ||||||
Ceridian HCM Holding, Inc., Term Loan | ||||||||
345,508 | 4.500%, 9/15/2020 | 292,386 | ||||||
Golden Nugget, Inc., Delayed Draw | ||||||||
142,410 | 5.500%, 11/21/2019 | 140,986 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
332,290 | 5.500%, 11/21/2019 | 328,967 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
476,373 | 5.250%, 5/6/2021 | 467,293 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
360,750 | 6.000%, 5/22/2018 | 353,806 | ||||||
Las Vegas Sands, LLC, Term Loan | ||||||||
1,513,888 | 3.250%, 12/19/2020 | 1,496,857 | ||||||
Marina District Finance Company, Inc., Term Loan | ||||||||
2,022,292 | 6.500%, 8/15/2018 | 2,017,236 | ||||||
MGM Resorts International, Term Loan | ||||||||
756,600 | 3.500%, 12/20/2019 | 745,251 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
12
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (1.3%)a | Value | ||||||
Consumer Cyclical (0.2%) - continued | ||||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
$ | 1,680,012 | 5.500%, 6/15/2018 | $ | 1,639,810 | ||||
Rite Aid Corporation, Term Loan | ||||||||
365,000 | 5.750%, 8/21/2020 | 365,182 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
1,324,512 | 5.000%, 6/20/2019 | 1,229,585 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
407,719 | 6.000%, 10/18/2020 | 372,044 | ||||||
277,895 | 6.000%, 10/1/2021 | 252,487 | ||||||
|
| |||||||
Total | 11,985,485 | |||||||
|
| |||||||
Consumer Non-Cyclical (0.1%) | ||||||||
Albertson’s, Inc., Term Loan | ||||||||
1,071,041 | 5.500%, 3/21/2019 | 1,066,489 | ||||||
Albertson’s, LLC, Term Loan | ||||||||
680,000 | 0.000%, 12/22/2022b,c | 675,240 | ||||||
Catalina Marketing Corporation, Term Loan | ||||||||
300,425 | 4.500%, 4/9/2021 | 238,838 | ||||||
Endo Luxembourg Finance I Co Sarl, Term Loan | ||||||||
735,000 | 3.750%, 9/26/2022 | 724,284 | ||||||
Ortho-Clinical Diagnostics, Inc., Term Loan | ||||||||
1,980,743 | 4.750%, 6/30/2021 | 1,671,252 | ||||||
Supervalu, Inc., Term Loan | ||||||||
1,098,274 | 4.500%, 3/21/2019 | 1,082,030 | ||||||
|
| |||||||
Total | 5,458,133 | |||||||
|
| |||||||
Energy (0.1%) | ||||||||
Arch Coal, Inc., Term Loan | ||||||||
3,154,175 | 6.250%, 5/16/2018 | 1,388,720 | ||||||
Energy Solutions, LLC, Term Loan | ||||||||
567,404 | 6.750%, 5/29/2020 | 425,553 | ||||||
Expro Holdings UK 2, Ltd., Term Loan | ||||||||
444,375 | 5.750%, 9/2/2021 | 295,141 | ||||||
Fieldwood Energy, LLC, Term Loan | ||||||||
96,059 | 8.375%, 9/30/2020 | 14,409 | ||||||
Houston Fuel Oil Terminal, LLC, Term Loan | ||||||||
943,062 | 4.250%, 8/19/2021 | 867,618 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
410,713 | 4.750%, 11/8/2019 | 375,802 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
979,875 | 0.000%, 3/28/2019d | 196,788 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
482,625 | 4.500%, 6/3/2018 | 206,322 | ||||||
Targa Resources Partners, LP, Term Loan | ||||||||
111,628 | 5.750%, 2/27/2022 | 108,000 | ||||||
|
| |||||||
Total | 3,878,353 | |||||||
|
| |||||||
Financials (0.1%) | ||||||||
DJO Finance, LLC, Term Loan | ||||||||
548,625 | 4.250%, 6/7/2020 | 532,336 | ||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
712,500 | 6.000%, 8/4/2019 | 678,656 | ||||||
MoneyGram International, Inc., Term Loan | ||||||||
953,050 | 4.250%, 3/27/2020 | 868,067 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
1,440,450 | 4.000%, 10/15/2019 | 1,415,242 | ||||||
|
| |||||||
Total | 3,494,301 | |||||||
|
| |||||||
Technology (0.1%) | ||||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||
600,000 | 0.000%, 11/13/2022b,c | 592,878 | ||||||
First Data Corporation, Term Loan | ||||||||
1,540,000 | 3.918%, 3/23/2018 | 1,517,963 | ||||||
640,000 | 3.918%, 9/24/2018 | 630,400 | ||||||
100,000 | 4.168%, 7/8/2022 | 98,475 | ||||||
Infor US, Inc., Term Loan | ||||||||
889,854 | 3.750%, 6/3/2020 | 833,500 | ||||||
Merrill Communications, LLC, Term Loan | ||||||||
22,492 | 6.250%, 6/1/2022 | 19,118 | ||||||
SS&C European Holdings SARL, Term Loan | ||||||||
289,238 | 4.007%, 7/8/2022 | 286,707 | ||||||
42,566 | 4.018%, 7/8/2022 | 42,193 | ||||||
|
| |||||||
Total | 4,021,234 | |||||||
|
| |||||||
Transportation (<0.1%) | ||||||||
OSG Bulk Ships, Inc., Term Loan | ||||||||
738,750 | 5.250%, 8/5/2019 | 707,353 | ||||||
United Airlines, Inc., Term Loan | ||||||||
598,088 | 3.250%, 4/1/2019 | 592,747 | ||||||
50,375 | 3.500%, 9/15/2021 | 50,022 | ||||||
|
| |||||||
Total | 1,350,122 | |||||||
|
| |||||||
Utilities (<0.1%) | ||||||||
Calpine Corporation, Term Loan | ||||||||
1,238,400 | 4.000%, 10/9/2019 | 1,204,344 | ||||||
Intergen NV, Term Loan | ||||||||
477,750 | 5.500%, 6/15/2020 | 430,572 | ||||||
|
| |||||||
Total | 1,634,916 | |||||||
|
| |||||||
Total Bank Loans (cost $71,557,760) | 64,861,771 | |||||||
|
| |||||||
Shares | Common Stock (41.8%) | |||||||
Consumer Discretionary (6.3%) | ||||||||
115,167 | Aaron’s, Inc. | 2,578,589 | ||||||
3,200 | Aisan Industry Company, Ltd. | 32,860 | ||||||
900 | Aisin Seiki Company, Ltd. | 38,735 | ||||||
51,212 | Amazon.com, Inc.e | 34,613,679 | ||||||
11,890 | American Axle & Manufacturing Holdings, Inc.e | 225,197 | ||||||
19,506 | American Public Education, Inc.e | 363,007 | ||||||
25,640 | Ascena Retail Group, Inc.e | 252,554 | ||||||
17,010 | AutoZone, Inc.e | 12,619,889 | ||||||
25,250 | Barnes & Noble, Inc. | 219,927 | ||||||
500 | Bayerische Motoren Werke AG | 41,833 | ||||||
40,400 | Bed Bath & Beyond, Inc.e | 1,949,300 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
13
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (41.8%) | Value | ||||||
| Consumer Discretionary (6.3%) - continued | |||||||
4,800 | Berkeley Group Holdings plc | $ | 260,946 | |||||
41,080 | Big Lots, Inc. | 1,583,223 | ||||||
34,790 | Bloomin’ Brands, Inc. | 587,603 | ||||||
6,020 | Bob Evans Farms, Inc. | 233,877 | ||||||
21,140 | Boyd Gaming Corporatione | 420,052 | ||||||
1,000 | Brembo SPA | 48,313 | ||||||
2,700 | Bridgestone Corporation | 92,614 | ||||||
67,554 | Brunswick Corporation | 3,412,153 | ||||||
49,071 | Burlington Stores, Inc.e | 2,105,146 | ||||||
66,580 | Caleres, Inc. | 1,785,676 | ||||||
18,550 | Callaway Golf Company | 174,741 | ||||||
7,000 | Calsonic Kansei Corporation | 61,712 | ||||||
26,965 | Cedar Fair, LP | 1,505,726 | ||||||
22,750 | Cheesecake Factory, Inc. | 1,049,002 | ||||||
38,980 | Chegg, Inc.e,f | 262,335 | ||||||
42,300 | Children’s Place, Inc. | 2,334,960 | ||||||
8,440 | Choice Hotels International, Inc. | 425,460 | ||||||
12,270 | Chuy’s Holdings, Inc.e | 384,542 | ||||||
3,500 | Cineworld Group plc | 29,018 | ||||||
337,496 | Comcast Corporation | 19,044,899 | ||||||
1,900 | Compass Group plc | 32,924 | ||||||
100 | Continental AG | 24,191 | ||||||
72,898 | Core-Mark Holding Company, Inc. | 5,973,262 | ||||||
30,482 | CSS Industries, Inc. | 865,079 | ||||||
39,054 | Culp, Inc. | 994,705 | ||||||
900 | Daimler AG | 75,199 | ||||||
25,580 | Dana Holding Corporation | 353,004 | ||||||
22,300 | Debenhams plc | 24,043 | ||||||
52,184 | Delphi Automotive plc | 4,473,734 | ||||||
4,300 | Denso Corporation | 205,478 | ||||||
103,013 | Discovery Communications, Inc., Class Ae,f | 2,748,387 | ||||||
36,600 | DISH Network Corporatione | 2,092,788 | ||||||
20,470 | Dollar General Corporation | 1,471,179 | ||||||
55,670 | Dollar Tree, Inc.e | 4,298,837 | ||||||
23,280 | Domino’s Pizza, Inc. | 2,589,900 | ||||||
6,571 | Dorman Products, Inc.e | 311,925 | ||||||
16,828 | Drew Industries, Inc. | 1,024,657 | ||||||
45,300 | DSW, Inc. | 1,080,858 | ||||||
17,800 | EDION Corporationf | 134,401 | ||||||
2,100 | Electrolux AB | 50,668 | ||||||
39,105 | Ethan Allen Interiors, Inc. | 1,087,901 | ||||||
2,900 | Eutelsat Communications | 86,828 | ||||||
19,224 | Expedia, Inc. | 2,389,543 | ||||||
88,220 | Finish Line, Inc. | 1,595,018 | ||||||
90,450 | Ford Motor Company | 1,274,440 | ||||||
16,989 | Fossil, Inc.e,f | 621,118 | ||||||
36,849 | Fred’s, Inc. | 603,218 | ||||||
87,518 | G-III Apparel Group, Ltd.e | 3,873,547 | ||||||
6,500 | GKN plc | 29,496 | ||||||
11,120 | Gray Television, Inc.e | 181,256 | ||||||
12,000 | Gunze, Ltd. | 35,148 | ||||||
7,200 | Hakuhodo Dy Holdings, Inc. | 77,901 | ||||||
79,618 | Harley-Davidson, Inc. | 3,613,861 | ||||||
30,906 | Harman International Industries, Inc. | 2,911,654 | ||||||
50,840 | Haverty Furniture Companies, Inc. | 1,090,010 | ||||||
8,450 | Hilton Worldwide Holdings, Inc. | 180,830 | ||||||
148,720 | Home Depot, Inc. | 19,668,220 | ||||||
63,880 | Houghton Mifflin Harcourt Companye | 1,391,306 | ||||||
300 | Hugo Boss AG | 24,753 | ||||||
12,900 | Inchcape plc | 148,837 | ||||||
5,900 | Informa plc | 53,321 | ||||||
2,000 | Intertek Group plc | 81,814 | ||||||
20,640 | Interval Leisure Group, Inc.f | 322,190 | ||||||
8,360 | iRobot Corporatione,f | 295,944 | ||||||
3,400 | Isuzu Motors, Ltd. | 36,627 | ||||||
42,800 | ITV plc | 174,255 | ||||||
33,860 | Jack in the Box, Inc. | 2,597,401 | ||||||
108,609 | Jarden Corporatione | 6,203,746 | ||||||
50,077 | Kate Spade & Companye | 889,868 | ||||||
73,350 | Krispy Kreme Doughnuts, Inc.e | 1,105,385 | ||||||
146,367 | Las Vegas Sands Corporation | 6,416,729 | ||||||
43,803 | La-Z-Boy, Inc. | 1,069,669 | ||||||
22,870 | Lear Corporation | 2,809,122 | ||||||
25,400 | Liberty Interactive Corporatione | 693,928 | ||||||
23,630 | Liberty Media Corporation, Class Ae | 927,478 | ||||||
39,669 | Limited Brands, Inc. | 3,801,084 | ||||||
10,661 | Lithia Motors, Inc. | 1,137,209 | ||||||
77,550 | LKQ Corporatione | 2,297,807 | ||||||
21,100 | Lookers plc | 57,491 | ||||||
102,160 | Lowe’s Companies, Inc. | 7,768,246 | ||||||
19,580 | Macy’s, Inc. | 684,908 | ||||||
54,902 | MDC Partners, Inc. | 1,192,471 | ||||||
21,191 | Meritage Homes Corporatione | 720,282 | ||||||
1,000 | Mitsuba Corporation | 15,460 | ||||||
6,550 | Movado Group, Inc. | 168,401 | ||||||
86,875 | National CineMedia, Inc. | 1,364,806 | ||||||
20,900 | Nautilus, Inc.e | 349,448 | ||||||
23,587 | New Media Investment Group, Inc. | 459,003 | ||||||
321,840 | NIKE, Inc. | 20,115,000 | ||||||
6,200 | NOK Corporation | 144,837 | ||||||
63,227 | Nord Anglia Education, Inc.e | 1,282,244 | ||||||
172,650 | Nutrisystem, Inc. | 3,736,146 | ||||||
20,747 | O’Reilly Automotive, Inc.e | 5,257,705 | ||||||
53,445 | Oxford Industries, Inc. | 3,410,860 | ||||||
300 | Paddy Power plc | 40,067 | ||||||
5,000 | PanaHome Corporation | 37,774 | ||||||
42,580 | Papa John’s International, Inc. | 2,378,945 | ||||||
117,354 | Papa Murphy’s Holdings, Inc.e,f | 1,321,406 | ||||||
13,100 | Persimmon plc | 390,819 | ||||||
24,731 | Pier 1 Imports, Inc. | 125,881 | ||||||
1,200 | ProSiebenSat.1 Media AG | 60,542 | ||||||
8,460 | Pulte Group, Inc. | 150,757 | ||||||
37,554 | PVH Corporation | 2,765,852 | ||||||
10,402 | Ralph Lauren Corporation | 1,159,615 | ||||||
15,389 | Red Robin Gourmet Burgers, Inc.e | 950,117 | ||||||
200 | Renault SA | 20,019 | ||||||
28,030 | Rent-A-Center, Inc. | 419,609 | ||||||
14,810 | Restoration Hardware Holdings, Inc.e | 1,176,655 | ||||||
93,104 | Ross Stores, Inc. | 5,009,926 | ||||||
34,810 | Ruby Tuesday, Inc.e | 191,803 | ||||||
30,990 | Ruth’s Hospitality Group, Inc. | 493,361 | ||||||
879 | Schibsted ASA | 28,899 | ||||||
20,400 | Scripps Networks Interactive, Inc. | 1,126,284 | ||||||
3,200 | Sekisui House, Ltd. | 53,804 | ||||||
32,530 | Service Corporation International | 846,431 | ||||||
3,300 | SHOWA Corporation | 30,619 | ||||||
13,690 | Signet Jewelers, Ltd. | 1,693,316 | ||||||
29,109 | Skechers USA, Inc.e | 879,383 | ||||||
4,800 | Sports Direct International plce | 40,791 | ||||||
57,377 | Sportsman’s Warehouse Holdings, Inc.e | 740,163 | ||||||
1,500 | Stanley Electric Company, Ltd. | 32,906 | ||||||
244,930 | Staples, Inc. | 2,319,487 | ||||||
8,900 | Star Entertainment Group, Ltd. | 32,658 | ||||||
335,990 | Starbucks Corporation | 20,169,480 | ||||||
52,410 | Starwood Hotels & Resorts Worldwide, Inc. | 3,630,965 | ||||||
52,184 | Stein Mart, Inc. | 351,198 | ||||||
10,500 | Sumitomo Forestry Company, Ltd. | 141,678 | ||||||
5,100 | Sumitomo Rubber Industries, Ltd. | 66,317 | ||||||
5,000 | Takashimaya Company, Ltd. | 45,027 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
14
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (41.8%) | Value | ||||||
| Consumer Discretionary (6.3%) - continued | |||||||
1,100 | Tamron Company, Ltd. | $ | 20,294 | |||||
56,500 | Target Corporation | 4,102,465 | ||||||
10,500 | Tatts Group, Ltd. | 33,336 | ||||||
49,900 | Taylor Wimpey plc | 149,170 | ||||||
31,466 | Tenneco, Inc.e | 1,444,604 | ||||||
70,460 | Time, Inc. | 1,104,108 | ||||||
79,947 | Toll Brothers, Inc.e | 2,662,235 | ||||||
18,770 | Tower International, Inc. | 536,259 | ||||||
26,950 | TransUnione | 743,012 | ||||||
144,200 | Tuesday Morning Corporatione | 937,300 | ||||||
12,000 | UBM plc | 93,005 | ||||||
10,402 | Ulta Salon Cosmetics & Fragrance, Inc.e | 1,924,370 | ||||||
13,662 | Under Armour, Inc.e,f | 1,101,294 | ||||||
17,510 | Vail Resorts, Inc. | 2,241,105 | ||||||
906 | Valora Holding AG | 188,488 | ||||||
23,750 | Vera Bradley, Inc.e | 374,300 | ||||||
20,016 | VF Corporation | 1,245,996 | ||||||
5,000 | Wacoal Holdings Corporation | 59,793 | ||||||
8,500 | WH Smith plc | 220,865 | ||||||
8,890 | Winnebago Industries, Inc. | 176,911 | ||||||
5,700 | Wolters Kluwer NV | 191,427 | ||||||
7,800 | WPP plc | 179,415 | ||||||
22,050 | Wyndham Worldwide Corporation | 1,601,933 | ||||||
1,500 | Yokohama Rubber Company, Ltd. | 23,037 | ||||||
27,570 | Yum! Brands, Inc. | 2,013,988 | ||||||
45,450 | Zoe’s Kitchen, Inc.e,f | 1,271,691 | ||||||
|
| |||||||
Total | 309,651,512 | |||||||
|
| |||||||
| Consumer Staples (1.4%) | |||||||
1,800 | AarhusKarlshamn AB | 133,342 | ||||||
89,450 | Altria Group, Inc. | 5,206,884 | ||||||
146,690 | Aramark | 4,730,752 | ||||||
19,770 | Archer-Daniels-Midland Company | 725,164 | ||||||
68,860 | Avon Products, Inc. | 278,883 | ||||||
4,900 | Axfood AB | 84,869 | ||||||
1,115 | Bakkafrost PF | 32,849 | ||||||
55,700 | Blue Buffalo Pet Products, Inc.e,f | 1,042,147 | ||||||
6,106 | Boston Beer Company, Inc.e,f | 1,232,862 | ||||||
500 | British American Tobacco plc | 27,767 | ||||||
4,173 | Britvic plc | 44,711 | ||||||
13,440 | Brown-Forman Corporation | 1,334,323 | ||||||
44,600 | Campbell Soup Company | 2,343,730 | ||||||
1,300 | Carrefour SA | 37,518 | ||||||
33,240 | Casey’s General Stores, Inc. | 4,003,758 | ||||||
154,790 | Coca-Cola Company | 6,649,778 | ||||||
8,900 | Coca-Cola HBC AGe | 189,532 | ||||||
80,600 | CVS Health Corporation | 7,880,262 | ||||||
227,330 | Flowers Foods, Inc. | 4,885,322 | ||||||
17,556 | Hain Celestial Group, Inc.e | 709,087 | ||||||
1,900 | Henkel AG & Company KGaA | 181,741 | ||||||
15,500 | Imperial Tobacco Group plc | 818,678 | ||||||
3,660 | Ingles Markets, Inc. | 161,333 | ||||||
16,400 | Ingredion, Inc. | 1,571,776 | ||||||
10,400 | Japan Tobacco, Inc. | 381,823 | ||||||
3,700 | Jeronimo Martins SGPS SA | 48,146 | ||||||
4,000 | Kao Corporation | 205,555 | ||||||
300 | Kerry Group plc | 24,822 | ||||||
21,470 | Kimberly-Clark Corporation | 2,733,131 | ||||||
26,500 | Koninklijke Ahold NV | 558,979 | ||||||
600 | KOSE Corporation | 55,477 | ||||||
11,810 | Lancaster Colony Corporation | 1,363,583 | ||||||
3,600 | Marks and Spencer Group plc | 23,970 | ||||||
14,650 | Molson Coors Brewing Company | 1,375,928 | ||||||
11,200 | Mondelez International, Inc. | 502,208 | ||||||
30,008 | Monster Beverage Corporatione | 4,469,992 | ||||||
5,600 | Nestle SA | 415,717 | ||||||
4,000 | Nippon Meat Packers, Inc. | 78,399 | ||||||
6,500 | Nisshin Oillio Group, Ltd. | 26,479 | ||||||
12,460 | PepsiCo, Inc. | 1,245,003 | ||||||
35,916 | Philip Morris International, Inc. | 3,157,376 | ||||||
1,880 | PriceSmart, Inc. | 156,021 | ||||||
1,000 | Royal Unibrew AS | 40,642 | ||||||
61,169 | SpartanNash Company | 1,323,697 | ||||||
2,200 | Suedzucker AG | 43,605 | ||||||
1,300 | Sugi Holdings Company, Ltd. | 71,725 | ||||||
500 | Sundrug Company, Ltd. | 32,148 | ||||||
1,400 | Svenska Cellulosa AB SCA | 40,572 | ||||||
6,200 | Swedish Match AB | 219,092 | ||||||
5,430 | Tootsie Roll Industries, Inc. | 171,534 | ||||||
9,590 | Tyson Foods, Inc. | 511,435 | ||||||
39,064 | United Natural Foods, Inc.e | 1,537,559 | ||||||
17,490 | Universal Corporationf | 980,839 | ||||||
31,310 | WhiteWave Foods Companye | 1,218,272 | ||||||
|
| |||||||
Total | 67,320,797 | |||||||
|
| |||||||
| Energy (5.2%) | |||||||
91,252 | Archrock, Inc. | 686,215 | ||||||
83,514 | Atwood Oceanics, Inc.f | 854,348 | ||||||
800 | Azrieli Group, Ltd. | 29,802 | ||||||
245,260 | Baker Hughes, Inc. | 11,318,749 | ||||||
91,758 | Basic Energy Services, Inc.e,f | 245,911 | ||||||
132,840 | Bonanza Creek Energy, Inc.e,f | 700,067 | ||||||
64,200 | BP plc | 333,629 | ||||||
22,468 | Bristow Group, Inc. | 581,921 | ||||||
101,851 | Callon Petroleum Companye | 849,437 | ||||||
245,460 | Cameron International Corporatione | 15,513,072 | ||||||
341,150 | Canadian Natural Resources, Ltd. | 7,447,305 | ||||||
337,900 | Chevron Corporation | 30,397,484 | ||||||
7,245 | Cimarex Energy Company | 647,558 | ||||||
11,979 | Clayton Williams Energy, Inc.e,f | 354,219 | ||||||
1,105,474 | Cobalt International Energy, Inc.e | 5,969,560 | ||||||
43,510 | Columbia Pipeline Group, Inc. | 870,200 | ||||||
89,894 | Concho Resources, Inc.e | 8,347,557 | ||||||
27,350 | Continental Resources, Inc.e | 628,503 | ||||||
25,180 | Delek US Holdings, Inc. | 619,428 | ||||||
550,720 | Denbury Resources, Inc.f | 1,112,454 | ||||||
49,700 | Devon Energy Corporation | 1,590,400 | ||||||
34,960 | Diamond Offshore Drilling, Inc.f | 737,656 | ||||||
32,853 | Diamondback Energy, Inc.e | 2,197,866 | ||||||
2,600 | Dril-Quip, Inc.e | 153,998 | ||||||
88,100 | Ensco plc | 1,355,859 | ||||||
312,272 | EOG Resources, Inc. | 22,105,735 | ||||||
42,830 | EP Energy Corporatione,f | 187,595 | ||||||
346,611 | EQT Corporation | 18,068,831 | ||||||
121,100 | Exxon Mobil Corporation | 9,439,745 | ||||||
10,500 | Forum Energy Technologies, Inc.e | 130,830 | ||||||
17,400 | Frank’s International NV | 290,406 | ||||||
9,500 | Green Plains, Inc. | 217,550 | ||||||
19,700 | Gulfport Energy Corporatione | 484,029 | ||||||
114,700 | Halliburton Company | 3,904,388 | ||||||
10,900 | Helix Energy Solutions Group, Inc.e | 57,334 | ||||||
23,570 | Helmerich & Payne, Inc.f | 1,262,174 | ||||||
51,889 | HollyFrontier Corporation | 2,069,852 | ||||||
760,908 | Marathon Oil Corporation | 9,579,832 | ||||||
382,100 | Marathon Petroleum Corporation | 19,808,064 | ||||||
88,130 | Nabors Industries, Ltd. | 749,986 | ||||||
8,170 | National Oilwell Varco, Inc. | 273,613 | ||||||
133,230 | Noble Corporation | 1,405,577 | ||||||
7,880 | Noble Energy, Inc. | 259,488 | ||||||
380,168 | Oasis Petroleum, Inc.e,f | 2,801,838 | ||||||
19,170 | Oceaneering International, Inc. | 719,258 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
15
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (41.8%) | Value | ||||||
| Energy (5.2%) - continued | |||||||
4,165 | Oil States International, Inc.e | $ | 113,496 | |||||
2,200 | OMV AG | 62,448 | ||||||
186,383 | Parsley Energy, Inc.e | 3,438,766 | ||||||
164,770 | Patterson-UTI Energy, Inc. | 2,484,732 | ||||||
12,140 | PBF Energy, Inc. | 446,873 | ||||||
773,700 | Petroleo Brasileiro SA ADRe,f | 3,326,910 | ||||||
76,530 | Pioneer Energy Services Corporatione | 166,070 | ||||||
517,700 | Rowan Companies plc | 8,775,015 | ||||||
1,300 | Royal Dutch Shell plc | 29,649 | ||||||
3,327 | Royal Dutch Shell plc, Class B | 75,826 | ||||||
41,310 | RPC, Inc.f | 493,655 | ||||||
110,830 | Schlumberger, Ltd. | 7,730,393 | ||||||
7,617 | SemGroup Corporation | 219,827 | ||||||
396,700 | Southwestern Energy Companye,f | 2,820,537 | ||||||
24,440 | Spectra Energy Corporation | 585,094 | ||||||
10,825 | Statoil ASA | 150,974 | ||||||
550,910 | Suncor Energy, Inc. ADR | 14,213,478 | ||||||
31,360 | Superior Energy Services, Inc. | 422,419 | ||||||
176,021 | Teekay Tankers, Ltd. | 1,211,024 | ||||||
52,394 | Tesco Corporation | 379,333 | ||||||
1,900 | Tesoro Corporation | 200,203 | ||||||
103,010 | TETRA Technologies, Inc.e | 774,635 | ||||||
10,000 | TonenGeneral Sekiyu KK | 84,420 | ||||||
77,778 | U.S. Silica Holdings, Inc.f | 1,456,782 | ||||||
1,876,770 | Weatherford International, Ltd.e | 15,746,100 | ||||||
20,975 | Western Refining, Inc. | 747,130 | ||||||
3,950 | World Fuel Services Corporation | 151,917 | ||||||
86,970 | WPX Energy, Inc.e | 499,208 | ||||||
|
| |||||||
Total | 254,166,237 | |||||||
|
| |||||||
| Financials (6.7%) | |||||||
43,400 | Aberdeen Asset Management plc | 184,938 | ||||||
22,150 | ACE, Ltd. | 2,588,227 | ||||||
1,700 | AEON Financial Service Company, Ltd. | 37,976 | ||||||
39,632 | Affiliated Managers Group, Inc.e | 6,331,608 | ||||||
14,160 | Alexandria Real Estate Equities, Inc. | 1,279,498 | ||||||
6,600 | Allianz SE | 1,163,441 | ||||||
44,040 | Allied World Assurance Company Holdings AG | 1,637,848 | ||||||
30,420 | American Assets Trust, Inc. | 1,166,607 | ||||||
53,170 | American Campus Communities, Inc. | 2,198,048 | ||||||
66,880 | American Equity Investment Life Holding Company | 1,607,126 | ||||||
66,140 | American Financial Group, Inc. | 4,767,371 | ||||||
43,010 | American International Group, Inc. | 2,665,330 | ||||||
44,887 | Ameris Bancorp | 1,525,709 | ||||||
5,610 | AMERISAFE, Inc. | 285,549 | ||||||
239,010 | Anworth Mortgage Asset Corporation | 1,039,693 | ||||||
13,440 | Apartment Investment & Management Company | 538,003 | ||||||
27,123 | Argo Group International Holdings, Ltd. | 1,623,040 | ||||||
50,356 | Arthur J. Gallagher & Company | 2,061,575 | ||||||
18,600 | Ashford Hospitality Prime, Inc. | 269,700 | ||||||
49,670 | Aspen Insurance Holdings, Ltd. | 2,399,061 | ||||||
15,440 | Associated Banc-Corp | 289,500 | ||||||
145,960 | Assured Guaranty, Ltd. | 3,857,723 | ||||||
18,500 | Australia & New Zealand Banking Group, Ltd. | 373,325 | ||||||
68,300 | Banco Santander SA | 335,995 | ||||||
10,230 | BancorpSouth, Inc. | 245,418 | ||||||
30,700 | Bank Hapoalim, Ltd. | 158,474 | ||||||
755,670 | Bank of America Corporation | 12,717,926 | ||||||
36,150 | Bank of New York Mellon Corporation | 1,490,103 | ||||||
8,024 | Bank of Queensland, Ltd. | 80,943 | ||||||
50,852 | Bank of the Ozarks, Inc. | 2,515,140 | ||||||
54,000 | Bank of Yokohama, Ltd. | 330,999 | ||||||
19,520 | BankFinancial Corporation | 246,538 | ||||||
92,350 | BB&T Corporation | 3,491,753 | ||||||
99,789 | BBCN Bancorp, Inc. | 1,718,367 | ||||||
18,900 | BinckBank NV | 162,888 | ||||||
99,550 | Blackstone Group, LP | 2,910,842 | ||||||
700 | Bolsas y Mercados Espanoles SA | 23,590 | ||||||
17,000 | Boston Private Financial Holdings, Inc. | 192,780 | ||||||
57,410 | Brandywine Realty Trust | 784,221 | ||||||
5,900 | British Land Company plc | 68,269 | ||||||
58,789 | Brixmor Property Group, Inc. | 1,517,932 | ||||||
79,800 | Brookline Bancorp, Inc. | 917,700 | ||||||
56,650 | Brown & Brown, Inc. | 1,818,465 | ||||||
14,500 | Camden Property Trust | 1,113,020 | ||||||
39,500 | Capital One Financial Corporation | 2,851,110 | ||||||
8,415 | Capital Shopping Centres Group plc | 39,314 | ||||||
25,200 | CapitaMall Trust | 34,194 | ||||||
52,440 | Cathay General Bancorp | 1,642,945 | ||||||
28,020 | CBRE Group, Inc.e | 968,932 | ||||||
166,466 | Cedar Realty Trust, Inc. | 1,178,579 | ||||||
81,400 | Charles Schwab Corporation | 2,680,502 | ||||||
9,240 | Chatham Lodging Trust | 189,235 | ||||||
7,000 | Chiba Bank, Ltd. | 49,674 | ||||||
318,197 | Citigroup, Inc. | 16,466,695 | ||||||
29,780 | Clifton Bancorp, Inc. | 427,045 | ||||||
138,780 | CNO Financial Group, Inc. | 2,649,310 | ||||||
8,000 | CNP Assurances | 107,915 | ||||||
279,922 | CoBiz Financial, Inc. | 3,756,553 | ||||||
45,892 | Columbia Banking System, Inc. | 1,491,949 | ||||||
66,300 | Comerica, Inc. | 2,773,329 | ||||||
10,950 | Commerce Bancshares, Inc. | 465,813 | ||||||
15,100 | Corporate Office Properties Trust | 329,633 | ||||||
2,900 | Daiwa House Industry Company, Ltd. | 83,364 | ||||||
500 | Derwent London plc | 27,044 | ||||||
36,700 | DEXUS Property Group | 199,067 | ||||||
15,850 | Digital Realty Trust, Inc. | 1,198,577 | ||||||
17,408 | Direct Line Insurance Group plc | 104,346 | ||||||
19,410 | Douglas Emmett, Inc. | 605,204 | ||||||
67,050 | Duke Realty Corporation | 1,409,391 | ||||||
43,803 | East West Bancorp, Inc. | 1,820,453 | ||||||
8,950 | Education Realty Trust, Inc. | 339,026 | ||||||
50,274 | Employers Holdings, Inc. | 1,372,480 | ||||||
53,700 | Equity One, Inc. | 1,457,955 | ||||||
61,902 | Essent Group, Ltd.e | 1,355,035 | ||||||
107,510 | EverBank Financial Corporation | 1,718,010 | ||||||
34,627 | Evercore Partners, Inc. | 1,872,282 | ||||||
12,440 | Extra Space Storage, Inc. | 1,097,332 | ||||||
85,430 | F.N.B. Corporation | 1,139,636 | ||||||
24,540 | FelCor Lodging Trust, Inc. | 179,142 | ||||||
185,430 | Fifth Third Bancorp | 3,727,143 | ||||||
120,270 | First Commonwealth Financial Corporation | 1,090,849 | ||||||
4,510 | First Defiance Financial Corporation | 170,388 | ||||||
9,890 | First Financial Corporation | 335,963 | ||||||
27,670 | First Horizon National Corporation | 401,768 | ||||||
49,110 | First Industrial Realty Trust, Inc. | 1,086,804 | ||||||
6,580 | First Interstate BancSystem, Inc. | 191,281 | ||||||
113,460 | First Midwest Bancorp, Inc. | 2,091,068 | ||||||
7,770 | First NBC Bank Holding Companye | 290,520 | ||||||
76,748 | First Potomac Realty Trust | 874,927 | ||||||
99,171 | First Republic Bank | 6,551,236 | ||||||
19,200 | FlexiGroup, Ltd.f | 41,903 | ||||||
43,350 | Franklin Street Properties Corporation | 448,672 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
16
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (41.8%) | Value | ||||||
| Financials (6.7%) - continued | |||||||
23,000 | Frasers Centrepoint Trust | $ | 29,894 | |||||
53,000 | Fukuoka Financial Group, Inc. | 262,807 | ||||||
30,669 | Genworth Financial, Inc.e | 114,395 | ||||||
5,770 | German American Bancorp, Inc. | 192,256 | ||||||
14,400 | Getty Realty Corporation | 246,960 | ||||||
40,499 | Glacier Bancorp, Inc. | 1,074,438 | ||||||
26,750 | Great Western Bancorp, Inc. | 776,285 | ||||||
78,197 | Green Bancorp, Inc.e | 819,505 | ||||||
3,099 | Hamborner REIT AG | 32,379 | ||||||
4,300 | Hammerson plc | 38,014 | ||||||
11,400 | Hancock Holding Company | 286,938 | ||||||
6,700 | Hang Seng Bank, Ltd. | 126,987 | ||||||
163,563 | Hanmi Financial Corporation | 3,879,714 | ||||||
3,100 | Hannover Rueckversicherung SE | 353,989 | ||||||
19,440 | Hanover Insurance Group, Inc. | 1,581,250 | ||||||
114,160 | Hartford Financial Services Group, Inc. | 4,961,394 | ||||||
65,688 | Hatteras Financial Corporation | 863,797 | ||||||
4,190 | HCI Group, Inc.f | 146,022 | ||||||
13,500 | Henderson Group plc | 61,358 | ||||||
5,000 | Henderson Land Development Company, Ltd. | 30,500 | ||||||
17,020 | HFF, Inc. | 528,811 | ||||||
9,400 | Highwoods Properties, Inc. | 409,840 | ||||||
12,000 | Hokuhoku Financial Group, Inc. | 24,463 | ||||||
47,014 | Home BancShares, Inc. | 1,905,007 | ||||||
10,770 | Hometrust Bancshares, Inc.e | 218,093 | ||||||
49,190 | Horace Mann Educators Corporation | 1,632,124 | ||||||
81,695 | Host Hotels & Resorts, Inc. | 1,253,201 | ||||||
35,094 | Houlihan Lokey, Inc. | 919,814 | ||||||
27,280 | Hudson Pacific Properties, Inc. | 767,659 | ||||||
7,000 | Hufvudstaden AB | 98,956 | ||||||
531,870 | Huntington Bancshares, Inc. | 5,882,482 | ||||||
53,000 | Hysan Development Company, Ltd. | 216,540 | ||||||
1,879 | IG Group Holdings plc | 22,215 | ||||||
9,800 | ING Groep NV | 132,595 | ||||||
23,840 | Inland Real Estate Corporation | 253,181 | ||||||
69,309 | Intercontinental Exchange, Inc. | 17,761,124 | ||||||
23,571 | Intermediate Capital Group plc | 217,292 | ||||||
116,040 | Invesco, Ltd. | 3,885,019 | ||||||
15,600 | Investa Office Fund | 45,159 | ||||||
33,900 | Investec plc | 239,030 | ||||||
142,470 | Investors Bancorp, Inc. | 1,772,327 | ||||||
163,260 | J.P. Morgan Chase & Company | 10,780,058 | ||||||
117,990 | Janus Capital Group, Inc. | 1,662,479 | ||||||
15,250 | Kearny Financial Corporation | 193,218 | ||||||
19,801 | Kennedy-Wilson Holdings, Inc. | 476,808 | ||||||
429,740 | KeyCorp | 5,668,271 | ||||||
11,720 | Kilroy Realty Corporation | 741,642 | ||||||
23,560 | Lamar Advertising Company | 1,413,129 | ||||||
30,497 | LaSalle Hotel Properties | 767,305 | ||||||
14,799 | Lazard, Ltd. | 666,103 | ||||||
38,560 | Lexington Realty Trust | 308,480 | ||||||
10,980 | Liberty Property Trust | 340,929 | ||||||
6,879 | Lincoln National Corporation | 345,739 | ||||||
36,500 | Link REIT | 217,609 | ||||||
13,350 | M&T Bank Corporation | 1,617,753 | ||||||
500 | Macquarie Group, Ltd. | 29,911 | ||||||
115,240 | MetLife, Inc. | 5,555,720 | ||||||
46,800 | Mitsubishi UFJ Financial Group, Inc. | 289,891 | ||||||
61,660 | Monmouth Real Estate Investment Corporationf | 644,964 | ||||||
177,700 | Morgan Stanley | 5,652,637 | ||||||
20,170 | MSCI, Inc. | 1,454,862 | ||||||
400 | Muenchener Rueckversicherungs-Gesellschaft AG | 79,695 | ||||||
43,475 | Nasdaq, Inc. | 2,528,941 | ||||||
37,019 | National Interstate Corporation | 988,407 | ||||||
104,001 | Navient Corporation | 1,190,811 | ||||||
5,800 | Navigators Group, Inc.e | 497,582 | ||||||
115,000 | New World Development Company, Ltd. | 112,923 | ||||||
29,600 | Northern Trust Corporation | 2,133,864 | ||||||
83,590 | NorthStar Asset Management Corporation, Inc. | 1,014,783 | ||||||
8,000 | Ogaki Kyoritsu Bank, Ltd. | 32,254 | ||||||
9,300 | Old Mutual plc | 24,465 | ||||||
7,890 | One Liberty Properties, Inc. | 169,319 | ||||||
63,850 | Oritani Financial Corporation | 1,053,525 | ||||||
83,395 | PacWest Bancorp | 3,594,324 | ||||||
47,470 | Parkway Properties, Inc. | 741,956 | ||||||
48,201 | Pebblebrook Hotel Trust | 1,350,592 | ||||||
23,710 | PennyMac Financial Services, Inc.e | 364,186 | ||||||
11,720 | Physicians Realty Trust | 197,599 | ||||||
14,390 | Popular, Inc. | 407,813 | ||||||
16,630 | Post Properties, Inc. | 983,831 | ||||||
18,435 | Potlatch Corporation | 557,474 | ||||||
8,900 | Poundland Group plc | 27,251 | ||||||
49,970 | Primerica, Inc.f | 2,360,083 | ||||||
6,130 | PrivateBancorp, Inc. | 251,453 | ||||||
38,640 | Progressive Corporation | 1,228,752 | ||||||
75,710 | Provident Financial Services, Inc. | 1,525,556 | ||||||
74,900 | Radian Group, Inc. | 1,002,911 | ||||||
97,140 | Ramco-Gershenson Properties Trust | 1,613,495 | ||||||
59,913 | Raymond James Financial, Inc. | 3,473,157 | ||||||
25,140 | RE/MAX Holdings, Inc. | 937,722 | ||||||
33,650 | Realogy Holdings Corporatione | 1,233,946 | ||||||
27,640 | Renasant Corporation | 951,092 | ||||||
6,200 | Resona Holdings, Inc. | 30,109 | ||||||
19,690 | Rouse Properties, Inc. | 286,686 | ||||||
10,277 | Safeguard Scientifics, Inc.e | 149,119 | ||||||
3,567 | Safety Insurance Group, Inc. | 201,107 | ||||||
700 | Sampo Oyj | 35,548 | ||||||
43,043 | Sandy Spring Bancorp, Inc. | 1,160,439 | ||||||
4,500 | Schroders plc | 197,097 | ||||||
11,600 | Seacoast Banking Corporation of Floridae | 173,768 | ||||||
23,080 | Selective Insurance Group, Inc. | 775,026 | ||||||
10,830 | Sierra Bancorp | 191,150 | ||||||
34,670 | Silver Bay Realty Trust Corporation REIT | 542,932 | ||||||
448,940 | SLM Corporatione | 2,927,089 | ||||||
900 | Sompo Japan Nipponkoa Holdings, Inc. | 29,551 | ||||||
68,700 | Spirit Realty Captial, Inc. | 688,374 | ||||||
54,160 | Starwood Property Trust, Inc. | 1,113,530 | ||||||
26,269 | State Auto Financial Corporation | 540,879 | ||||||
88,899 | Stifel Financial Corporatione | 3,765,762 | ||||||
90,620 | Stockland | 269,004 | ||||||
34,920 | Store Capital Corporation | 810,144 | ||||||
36,000 | Sumitomo Mitsui Trust Holdings, Inc. | 136,344 | ||||||
27,563 | Summit Hotel Properties, Inc. | 329,378 | ||||||
21,200 | SunTrust Banks, Inc. | 908,208 | ||||||
44,359 | SVB Financial Groupe | 5,274,285 | ||||||
7,100 | Swiss Re AG | 693,431 | ||||||
74,300 | Synchrony Financiale | 2,259,463 | ||||||
186,580 | Synovus Financial Corporation | 6,041,460 | ||||||
1,000 | Talanx AG | 30,755 | ||||||
106,920 | Talmer Bancorp, Inc. | 1,936,321 | ||||||
249,260 | TCF Financial Corporation | 3,519,551 | ||||||
64,074 | TD Ameritrade Holding Corporation | 2,224,009 | ||||||
84,701 | Terreno Realty Corporation | 1,915,937 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
17
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (41.8%) | Value | ||||||
| Financials (6.7%) - continued | |||||||
10,710 | Territorial Bancorp, Inc. | $ | 297,095 | |||||
700 | Tokio Marine Holdings, Inc. | 27,037 | ||||||
17,315 | TriCo Bancshares | 475,124 | ||||||
48,320 | TrustCo Bank Corporation | 296,685 | ||||||
7,600 | U.S. Bancorp | 324,292 | ||||||
13,600 | UBS Group AG | 263,833 | ||||||
20,764 | UMH Properties, Inc. | 210,132 | ||||||
7,130 | Union Bankshares Corporation | 179,961 | ||||||
8,900 | United Community Banks, Inc. | 173,461 | ||||||
20,314 | United Overseas Bank, Ltd. | 280,065 | ||||||
10,320 | Urstadt Biddle Properties, Inc. | 198,557 | ||||||
13,251 | W.R. Berkley Corporation | 725,492 | ||||||
3,800 | Wallenstam AB | 30,543 | ||||||
4,640 | Webster Financial Corporation | 172,562 | ||||||
42,700 | Wells Fargo & Company | 2,321,172 | ||||||
73,076 | Western Alliance Bancorpe | 2,620,505 | ||||||
29,670 | Western Asset Mortgage Capital Corporationf | 303,227 | ||||||
16,750 | Whitestone REIT | 201,167 | ||||||
39,800 | Wing Tai Holdings, Ltd. | 49,164 | ||||||
12,970 | Wintrust Financial Corporation | 629,304 | ||||||
14,323 | WSFS Financial Corporation | 463,492 | ||||||
23,800 | XL Group plc | 932,484 | ||||||
319,705 | Zions Bancorporation | 8,727,946 | ||||||
|
| |||||||
Total | 328,696,692 | |||||||
|
| |||||||
| Health Care (5.8%) | |||||||
327,152 | Abbott Laboratories | 14,692,396 | ||||||
25,924 | ABIOMED, Inc.e | 2,340,419 | ||||||
48,896 | Acadia Healthcare Company, Inc.e | 3,054,044 | ||||||
6,850 | Acceleron Pharma, Inc.e | 334,006 | ||||||
12,090 | Aceto Corporation | 326,188 | ||||||
110,970 | Acorda Therapeutics, Inc.e | 4,747,297 | ||||||
400 | Actelion, Ltd. | 55,577 | ||||||
46,150 | Aetna, Inc. | 4,989,738 | ||||||
68,600 | Affymetrix, Inc.e | 692,174 | ||||||
99,278 | Akorn, Inc.e | 3,704,062 | ||||||
20,520 | Albany Molecular Research, Inc.e | 407,322 | ||||||
53,402 | Align Technology, Inc.e | 3,516,522 | ||||||
69,186 | Allergan plce | 21,620,625 | ||||||
26,103 | Allscripts Healthcare Solutions, Inc.e | 401,464 | ||||||
29,561 | AmerisourceBergen Corporation | 3,065,771 | ||||||
27,240 | Amgen, Inc. | 4,421,869 | ||||||
64,264 | AMN Healthcare Services, Inc.e | 1,995,397 | ||||||
7,600 | AmSurg Corporatione | 577,600 | ||||||
6,541 | Anacor Pharmaceuticals, Inc.e | 738,937 | ||||||
26,870 | Analogic Corporation | 2,219,462 | ||||||
3,500 | Astellas Pharmaceutical, Inc. | 49,825 | ||||||
63,783 | Asterias Biotherapeutics, Inc.e,f | 250,667 | ||||||
2,844 | Atrion Corporation | 1,084,133 | ||||||
65,016 | Baxalta, Inc. | 2,537,574 | ||||||
200 | Bayer AG | 24,978 | ||||||
20,554 | BioMarin Pharmaceutical, Inc.e | 2,153,237 | ||||||
2,790 | Bio-Rad Laboratories, Inc.e | 386,861 | ||||||
12,237 | C.R. Bard, Inc. | 2,318,177 | ||||||
41,260 | Cambrex Corporatione | 1,942,933 | ||||||
4,200 | Cardinal Health, Inc. | 374,934 | ||||||
70,582 | Cardiovascular Systems, Inc.e | 1,067,200 | ||||||
54,454 | Centene Corporatione | 3,583,618 | ||||||
246,746 | Cerner Corporatione | 14,846,707 | ||||||
10,160 | CONMED Corporation | 447,548 | ||||||
13,870 | Cross Country Healthcare, Inc.e | 227,329 | ||||||
800 | CSL, Ltd. | 60,992 | ||||||
107,520 | DENTSPLY International, Inc. | 6,542,592 | ||||||
187,544 | Depomed, Inc.e,f | 3,400,173 | ||||||
58,560 | Edwards Lifesciences Corporatione | 4,625,069 | ||||||
54,720 | Ensign Group, Inc. | 1,238,314 | ||||||
87,405 | Envision Healthcare Holdings, Inc.e | 2,269,908 | ||||||
4,900 | Essilor International SA | 610,720 | ||||||
22,700 | EXACT Sciences Corporatione,f | 209,521 | ||||||
117,994 | ExamWorks Group, Inc.e | 3,138,640 | ||||||
33,300 | Express Scripts Holding Companye | 2,910,753 | ||||||
400 | Fresenius Medical Care AG & Company KGaA | 33,614 | ||||||
400 | Gerresheimer AG | 31,257 | ||||||
178,635 | Gilead Sciences, Inc. | 18,076,076 | ||||||
22,780 | Globus Medical, Inc.e | 633,740 | ||||||
42,030 | Greatbatch, Inc.e | 2,206,575 | ||||||
32,610 | HCA Holdings, Inc.e | 2,205,414 | ||||||
16,830 | HealthSouth Corporation | 585,852 | ||||||
26,030 | Healthways, Inc.e | 335,006 | ||||||
5,600 | Hikma Pharmaceuticals plc | 189,838 | ||||||
11,900 | Hill-Rom Holdings, Inc. | 571,914 | ||||||
61,550 | Hologic, Inc.e | 2,381,369 | ||||||
3,810 | ICON plce | 296,037 | ||||||
56,629 | �� | Impax Laboratories, Inc.e | 2,421,456 | |||||
44,000 | Inogen, Inc.e | 1,763,960 | ||||||
42,017 | Intersect ENT, Inc.e | 945,383 | ||||||
109,126 | Ironwood Pharmaceuticals, Inc.e | 1,264,770 | ||||||
1,800 | Kaken Pharmaceutical Company, Ltd. | 123,000 | ||||||
59,540 | Kindred Healthcare, Inc. | 709,121 | ||||||
8,178 | LivaNova plce | 485,528 | ||||||
700 | Lonza Group AG | 113,844 | ||||||
9,600 | Magellan Health Services, Inc.e | 591,936 | ||||||
65,278 | Medtronic, Inc. | 5,021,184 | ||||||
156,690 | Merck & Company, Inc. | 8,276,366 | ||||||
6,638 | Mettler-Toledo International, Inc.e | 2,251,145 | ||||||
273,176 | Mylan NVe | 14,770,626 | ||||||
19,634 | National Healthcare Corporation | 1,211,418 | ||||||
3,240 | Neogen Corporatione | 183,125 | ||||||
38,684 | Neurocrine Biosciences, Inc.e | 2,188,354 | ||||||
4,800 | Novartis AG | 412,893 | ||||||
5,400 | Novo Nordisk AS | 312,650 | ||||||
93,013 | NuVasive, Inc.e | 5,032,933 | ||||||
21,680 | NxStage Medical, Inc.e | 475,009 | ||||||
700 | Paramount Bed Holdings Company, Ltd. | 24,837 | ||||||
17,850 | PerkinElmer, Inc. | 956,225 | ||||||
23,450 | Perrigo Company plc | 3,393,215 | ||||||
329,060 | Pfizer, Inc. | 10,622,057 | ||||||
19,860 | PharMerica Corporatione | 695,100 | ||||||
24,830 | Progenics Pharmaceuticals, Inc.e | 152,208 | ||||||
3,500 | Prothena Corporation plce | 238,385 | ||||||
5,600 | Providence Service Corporatione | 262,752 | ||||||
14,810 | Quality Systems, Inc. | 238,737 | ||||||
5,680 | Quest Diagnostics, Inc. | 404,075 | ||||||
32,870 | Quintiles Transnational Holdings, Inc.e | 2,256,854 | ||||||
1,300 | Recordati SPA | 33,918 | ||||||
65,300 | Roche Holding AG ADR | 2,250,891 | ||||||
11,070 | Sagent Pharmaceuticals, Inc.e | 176,124 | ||||||
3,400 | Sanofi | 289,756 | ||||||
1,600 | Suzuken Company, Ltd. | 60,803 | ||||||
73,511 | Team Health Holdings, Inc.e | 3,226,398 | ||||||
88,205 | Teleflex, Inc. | 11,594,547 | ||||||
48,993 | Triple-S Management Corporatione | 1,171,423 | ||||||
59,886 | UnitedHealth Group, Inc. | 7,044,989 | ||||||
43,687 | Universal Health Services, Inc. | 5,220,160 | ||||||
22,370 | Vanda Pharmaceuticals, Inc.e,f | 208,265 | ||||||
11,390 | VCA Antech, Inc.e | 626,450 | ||||||
104,300 | Veeva Systems, Inc.e,f | 3,009,055 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
18
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (41.8%) | Value | ||||||
| Health Care (5.8%) - continued | |||||||
119,124 | Vertex Pharmaceuticals, Inc.e | $ | 14,989,373 | |||||
13,200 | Waters Corporatione | 1,776,456 | ||||||
21,700 | Wellcare Health Plans, Inc.e | 1,697,157 | ||||||
25,010 | West Pharmaceutical Services, Inc. | 1,506,102 | ||||||
25,400 | Zoetis, Inc. | 1,217,168 | ||||||
|
| |||||||
Total | 281,648,146 | |||||||
|
| |||||||
| Industrials (4.6%) | |||||||
53,730 | 3M Company | 8,093,887 | ||||||
6,960 | A.O. Smith Corporation | 533,206 | ||||||
1,600 | Aalberts Industries NV | 55,129 | ||||||
7,850 | AAR Corporation | 206,377 | ||||||
38,870 | ABM Industries, Inc. | 1,106,629 | ||||||
2,000 | Adecco SA | 136,885 | ||||||
69,800 | ADT Corporationf | 2,302,004 | ||||||
42,100 | AECOMe | 1,264,263 | ||||||
52,416 | Aegion Corporatione | 1,012,153 | ||||||
25,900 | AGCO Corporationf | 1,175,601 | ||||||
3,000 | Aida Engineering, Ltd. | 30,920 | ||||||
38,213 | Air New Zealand, Ltd. | 77,071 | ||||||
1,900 | Airbus Group NV | 128,037 | ||||||
7,970 | Allison Transmission Holdings, Inc. | 206,343 | ||||||
3,300 | Amada Holdings Company, Ltd. | 31,491 | ||||||
6,550 | AMETEK, Inc. | 351,014 | ||||||
900 | Andritz AG | 43,802 | ||||||
5,320 | Applied Industrial Technologies, Inc. | 215,407 | ||||||
17,000 | Asahi Glass Company, Ltd. | 97,390 | ||||||
26,028 | Astec Industries, Inc. | 1,059,340 | ||||||
1,100 | Atlas Copco Aktiebolag | 26,977 | ||||||
31,270 | AZZ, Inc. | 1,737,674 | ||||||
30,246 | B/E Aerospace, Inc. | 1,281,523 | ||||||
21,100 | BAE Systems plc | 155,350 | ||||||
44,670 | Beacon Roofing Supply, Inc.e | 1,839,511 | ||||||
62,560 | Boeing Company | 9,045,550 | ||||||
10,600 | Bollore SA | 49,392 | ||||||
7,320 | Brady Corporation | 168,214 | ||||||
12,990 | Briggs & Stratton Corporation | 224,727 | ||||||
27,870 | Brink’s Company | 804,328 | ||||||
37,430 | BWX Technologies, Inc. | 1,189,151 | ||||||
28,730 | Caterpillar, Inc. | 1,952,491 | ||||||
8,900 | Central Glass Company, Ltd. | 40,820 | ||||||
1,500 | Central Japan Railway Company | 266,301 | ||||||
21,522 | CIRCOR International, Inc. | 907,152 | ||||||
73,480 | CLARCOR, Inc. | 3,650,486 | ||||||
46,638 | Comfort Systems USA, Inc. | 1,325,452 | ||||||
1,900 | Compagnie de Saint-Gobain | 82,337 | ||||||
46,670 | Copart, Inc.e | 1,773,927 | ||||||
22,910 | Corporate Executive Board Company | 1,406,445 | ||||||
1,100 | Croda International plc | 49,286 | ||||||
135,750 | CSX Corporation | 3,522,713 | ||||||
7,100 | CTT-Correios de Portugal SA | 68,237 | ||||||
11,877 | Cubic Corporation | 561,188 | ||||||
33,480 | Curtiss-Wright Corporation | 2,293,380 | ||||||
4,000 | Dai Nippon Printing Company, Ltd. | 39,555 | ||||||
34,250 | Danaher Corporation | 3,181,140 | ||||||
4,362 | Dart Group plc | 37,843 | ||||||
345,750 | Delta Air Lines, Inc. | 17,526,068 | ||||||
3,100 | Deutsche Post AG | 86,670 | ||||||
22,080 | DigitalGlobe, Inc.e | 345,773 | ||||||
32,640 | Donaldson Company, Inc. | 935,462 | ||||||
1,600 | DSV AS | 62,982 | ||||||
400 | East Japan Railway Company | 37,666 | ||||||
800 | Elbit Systems, Ltd. | 70,428 | ||||||
95,864 | EMCOR Group, Inc. | 4,605,307 | ||||||
17,850 | Equifax, Inc. | 1,987,955 | ||||||
35,770 | ESCO Technologies, Inc. | 1,292,728 | ||||||
46,300 | Expeditors International of Washington, Inc. | 2,088,130 | ||||||
47,518 | Federal Signal Corporation | 753,160 | ||||||
4,600 | Ferrovial SA | 104,021 | ||||||
12,650 | Flowserve Corporation | 532,312 | ||||||
100 | Flughafen Zuerich AG | 75,031 | ||||||
81,010 | Fortune Brands Home and Security, Inc. | 4,496,055 | ||||||
29,716 | Franklin Electric Company, Inc. | 803,223 | ||||||
59,584 | FTI Consulting, Inc.e | 2,065,181 | ||||||
23,196 | G & K Services, Inc. | 1,459,028 | ||||||
2,961 | Galliford Try plc | 66,533 | ||||||
700 | GEA Group AG | 28,281 | ||||||
49,224 | Gibraltar Industries, Inc.e | 1,252,259 | ||||||
91,283 | Granite Construction, Inc. | 3,916,954 | ||||||
25,020 | H&E Equipment Services, Inc. | 437,350 | ||||||
4,000 | Hankyu Hanshin Holdings, Inc. | 26,000 | ||||||
8,780 | Hawaiian Holdings, Inc.e | 310,197 | ||||||
51,851 | Healthcare Services Group, Inc. | 1,808,044 | ||||||
45,616 | Heico Corporation | 2,479,686 | ||||||
35,410 | Hexcel Corporation | 1,644,795 | ||||||
42,736 | HNI Corporation | 1,541,060 | ||||||
600 | Hochtief AG | 55,649 | ||||||
39,372 | Honeywell International, Inc. | 4,077,758 | ||||||
500 | Hoshizaki Electric Company, Ltd. | 31,083 | ||||||
19,384 | Hub Group, Inc.e | 638,703 | ||||||
21,090 | Huntington Ingalls Industries, Inc. | 2,675,267 | ||||||
70,346 | Huron Consulting Group, Inc.e | 4,178,552 | ||||||
1,900 | IBIDEN Company, Ltd. | 27,239 | ||||||
3,070 | Illinois Tool Works, Inc. | 284,528 | ||||||
2,100 | Inaba Denki Sangyo Company, Ltd. | 67,097 | ||||||
50,850 | Ingersoll-Rand plc | 2,811,497 | ||||||
26,360 | Insperity, Inc. | 1,269,234 | ||||||
7,200 | Intrum Justitia AB | 244,999 | ||||||
27,000 | ITOCHU Corporation | 319,368 | ||||||
1,307 | Jardine Matheson Holdings, Ltd. | 63,295 | ||||||
32,313 | JB Hunt Transport Services, Inc. | 2,370,482 | ||||||
7,193 | John Bean Technologies Corporation | 358,427 | ||||||
48,680 | Joy Global, Inc.f | 613,855 | ||||||
500 | Jungheinrich AG | 41,237 | ||||||
27,253 | Kaman Corporation | 1,112,195 | ||||||
18,980 | KAR Auction Services, Inc. | 702,829 | ||||||
2,000 | Keisei Electric Railway Company, Ltd. | 25,517 | ||||||
46,814 | Kforce, Inc. | 1,183,458 | ||||||
10,000 | KITZ Corporation | 44,918 | ||||||
6,800 | KONE Oyj | 287,921 | ||||||
2,200 | Koninklijke Boskalis Westminster NV | 89,743 | ||||||
74,860 | Korn/Ferry International | 2,483,855 | ||||||
19,409 | Landstar System, Inc. | 1,138,338 | ||||||
4,800 | Lincoln Electric Holdings, Inc. | 249,072 | ||||||
10,300 | Lockheed Martin Corporation | 2,236,645 | ||||||
35,560 | Manpower, Inc. | 2,997,352 | ||||||
70,850 | Masco Corporation | 2,005,055 | ||||||
43,921 | McGrath Rentcorp | 1,106,370 | ||||||
14,216 | Meggitt plc | 78,491 | ||||||
800 | MEITEC Corporation | 27,395 | ||||||
78,810 | Meritor, Inc.e | 658,063 | ||||||
18,008 | Middleby Corporatione | 1,942,523 | ||||||
22,201 | Mine Safety Appliances Company | 965,077 | ||||||
3,900 | MIRAIT Holdings Corporation | 32,132 | ||||||
4,000 | Mitsuboshi Belting, Ltd. | 31,888 | ||||||
36,900 | Mueller Water Products, Inc. | 317,340 | ||||||
78,267 | Navigant Consulting, Inc.e | 1,256,968 | ||||||
42,374 | Nielsen Holdings plc | 1,974,628 | ||||||
4,200 | Nikkon Holdings Company, Ltd. | 83,713 | ||||||
7,000 | Nippon Express Company, Ltd. | 32,895 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
19
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (41.8%) | Value | ||||||
| Industrials (4.6%) - continued | |||||||
7,000 | Nitto Kogyo Corporation | $ | 122,387 | |||||
12,536 | Nordson Corporation | 804,184 | ||||||
111,121 | Norfolk Southern Corporation | 9,399,725 | ||||||
10,050 | Northrop Grumman Corporation | 1,897,541 | ||||||
4,000 | Obayashi Corporation | 36,909 | ||||||
27,617 | Old Dominion Freight Line, Inc.e | 1,631,336 | ||||||
84,626 | On Assignment, Inc.e | 3,803,939 | ||||||
53,516 | Oshkosh Corporation | 2,089,265 | ||||||
57,492 | PGT, Inc.e | 654,834 | ||||||
25,500 | PowerSecure International, Inc.e | 383,775 | ||||||
136,802 | Progressive Waste Solutions, Ltd. | 3,221,687 | ||||||
51,116 | Proto Labs, Inc.e,f | 3,255,578 | ||||||
14,330 | Quanex Building Products Corporation | 298,781 | ||||||
400 | Randstad Holding NV | 24,909 | ||||||
83,780 | Raven Industries, Inc. | 1,306,968 | ||||||
7,603 | RBC Bearings, Inc.e | 491,078 | ||||||
13,500 | Rentokil Initial plc | 31,674 | ||||||
13,710 | Resources Connection, Inc. | 224,021 | ||||||
11,380 | Rexnord Corporatione | 206,206 | ||||||
474 | Rieter Holding AG | 89,091 | ||||||
69,868 | Ritchie Brothers Auctioneers, Inc.f | 1,684,517 | ||||||
13,000 | Rockwell Automation, Inc. | 1,333,930 | ||||||
10,680 | Rockwell Collins, Inc. | 985,764 | ||||||
15,372 | Roper Industries, Inc. | 2,917,452 | ||||||
4,400 | Ryder System, Inc. | 250,052 | ||||||
1,348 | Saft Groupe SA | 41,086 | ||||||
39,613 | Saia, Inc.e | 881,389 | ||||||
100 | Schindler Holding AG | 16,730 | ||||||
14,300 | SIG plc | 30,219 | ||||||
158,361 | Southwest Airlines Company | 6,819,025 | ||||||
20,820 | Spirit Aerosystems Holdings, Inc.e | 1,042,457 | ||||||
7,238 | Stericycle, Inc.e | 872,903 | ||||||
7,017 | Sun Hydraulics Corporation | 222,649 | ||||||
57,165 | Swift Transportation Companye,f | 790,020 | ||||||
2,200 | Teleperformance SA | 184,993 | ||||||
36,510 | Tennant Company | 2,054,053 | ||||||
13,190 | Tetra Tech, Inc. | 343,204 | ||||||
30,879 | Textron, Inc. | 1,297,227 | ||||||
600 | Thales SA | 44,910 | ||||||
1,200 | TKH Group NV | 48,729 | ||||||
7,000 | Toppan Printing Company, Ltd. | 64,492 | ||||||
29,520 | Toro Company | 2,157,026 | ||||||
1,000 | Travis Perkins plc | 29,011 | ||||||
17,007 | Triumph Group, Inc. | 676,028 | ||||||
6,290 | TrueBlue, Inc.e | 162,030 | ||||||
2,600 | Tsubakimoto Chain Company | 20,020 | ||||||
26,563 | Tyco International plc | 847,094 | ||||||
3,790 | UniFirst Corporation | 394,918 | ||||||
11,610 | United Continental Holdings, Inc.e | 665,253 | ||||||
29,100 | United Parcel Service, Inc. | 2,800,293 | ||||||
25,739 | United Rentals, Inc.e | 1,867,107 | ||||||
23,906 | Universal Forest Products, Inc. | 1,634,453 | ||||||
33,649 | Universal Truckload Services, Inc. | 472,432 | ||||||
500 | Vestas Wind Systems AS | 34,919 | ||||||
16,900 | WABCO Holdings, Inc.e | 1,728,194 | ||||||
42,403 | WageWorks, Inc.e | 1,923,824 | ||||||
68,410 | Waste Connections, Inc. | 3,852,851 | ||||||
6,339 | Watsco, Inc. | 742,487 | ||||||
16,350 | Wesco Aircraft Holdings, Inc.e | 195,710 | ||||||
17,710 | West Corporation | 382,005 | ||||||
3,695 | Woodward, Inc. | 183,494 | ||||||
9,670 | Xylem, Inc. | 352,955 | ||||||
11,000 | YRC Worldwide, Inc.e | 155,980 | ||||||
900 | Yuasa Trading Company, Ltd. | 22,233 | ||||||
|
| |||||||
Total | 225,039,095 | |||||||
|
| |||||||
| Information Technology (9.3%) | |||||||
37,582 | A10 Networks, Inc.e | 246,538 | ||||||
6,980 | Accenture plc | 729,410 | ||||||
116,800 | ACI Worldwide, Inc.e | 2,499,520 | ||||||
17,286 | Advanced Energy Industries, Inc.e | 487,984 | ||||||
73,050 | Agilent Technologies, Inc. | 3,054,220 | ||||||
44,030 | Akamai Technologies, Inc.e | 2,317,299 | ||||||
117,870 | Alibaba Group Holding, Ltd. ADRe | 9,579,295 | ||||||
13,100 | Alliance Data Systems Corporatione | 3,623,067 | ||||||
27,443 | Alphabet, Inc., Class Ae | 21,350,928 | ||||||
31,387 | Alphabet, Inc., Class Ce | 23,818,967 | ||||||
2,700 | Alps Electric Company, Ltd. | 73,219 | ||||||
29,033 | Ambarella, Inc.e,f | 1,618,299 | ||||||
50,220 | Amkor Technology, Inc.e | 305,338 | ||||||
92,284 | Amphenol Corporation | 4,819,993 | ||||||
900 | AMS AG | 30,086 | ||||||
4,800 | Analog Devices, Inc. | 265,536 | ||||||
21,001 | ANSYS, Inc.e | 1,942,592 | ||||||
348,746 | Apple, Inc.g | 36,709,004 | ||||||
137,852 | Applied Materials, Inc. | 2,573,697 | ||||||
49,550 | Arista Networks, Inc.e,f | 3,856,972 | ||||||
32,830 | Aspen Technology, Inc.e | 1,239,661 | ||||||
400 | AtoS | 33,581 | ||||||
12,250 | AVG Technologies NVe | 245,613 | ||||||
24,170 | Avnet, Inc. | 1,035,443 | ||||||
29,170 | AVX Corporation | 354,124 | ||||||
42,493 | Belden, Inc. | 2,026,066 | ||||||
7,840 | Benchmark Electronics, Inc.e | 162,053 | ||||||
9,740 | Black Knight Financial Services, Inc.e | 322,004 | ||||||
47,580 | Booz Allen Hamilton Holding Corporation | 1,467,843 | ||||||
51,830 | Broadridge Financial Solutions, Inc. | 2,784,826 | ||||||
329,683 | Brocade Communications Systems, Inc. | 3,026,490 | ||||||
99,978 | Brooks Automation, Inc. | 1,067,765 | ||||||
31,152 | Cabot Microelectronics Corporatione | 1,363,835 | ||||||
25,677 | CACI International, Inc.e | 2,382,312 | ||||||
9,170 | Cadence Design Systems, Inc.e | 190,828 | ||||||
3,800 | Canon, Inc. | 114,950 | ||||||
600 | Cap Gemini SA | 55,672 | ||||||
40,611 | Cardtronics, Inc.e | 1,366,560 | ||||||
37,331 | Cavium, Inc.e | 2,453,020 | ||||||
10,420 | CDK Global, Inc. | 494,637 | ||||||
66,300 | CDW Corporation | 2,787,252 | ||||||
5,400 | Check Point Software Technologies, Ltd.e,f | 439,452 | ||||||
75,631 | Ciena Corporatione | 1,564,805 | ||||||
546,690 | Cisco Systems, Inc. | 14,845,367 | ||||||
2,896 | Citrix Systems, Inc.e | 219,082 | ||||||
77,325 | Cognex Corporation | 2,611,265 | ||||||
23,550 | Cognizant Technology Solutions Corporatione | 1,413,471 | ||||||
18,260 | Coherent, Inc.e | 1,188,909 | ||||||
10,500 | Comtech Telecommunications Corporation | 210,945 | ||||||
35,940 | Convergys Corporation | 894,547 | ||||||
83,720 | CoreLogic, Inc.e | 2,834,759 | ||||||
17,920 | Cornerstone OnDemand, Inc.e | 618,778 | ||||||
86,990 | Criteo SA ADRe | 3,444,804 | ||||||
13,970 | Cvent, Inc.e | 487,693 | ||||||
50,324 | Demandware, Inc.e,f | 2,715,986 | ||||||
3,000 | Dialog Semiconductor plce | 100,106 | ||||||
14,392 | DST Systems, Inc. | 1,641,552 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
20
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (41.8%) | Value | ||||||
| Information Technology (9.3%) - continued | |||||||
1,300 | DTS Corporation | $ | 29,593 | |||||
56,250 | eBay, Inc.e | 1,545,750 | ||||||
56,637 | Electro Rent Corporation | 521,060 | ||||||
556,240 | EMC Corporation | 14,284,243 | ||||||
48,850 | Envestnet, Inc.e | 1,458,173 | ||||||
18,190 | EVERTEC, Inc. | 304,501 | ||||||
15,640 | ExlService Holdings, Inc.e | 702,705 | ||||||
19,270 | F5 Networks, Inc.e | 1,868,419 | ||||||
53,132 | Fabrinete | 1,265,604 | ||||||
361,820 | Facebook, Inc.e | 37,868,081 | ||||||
34,450 | FEI Company | 2,748,765 | ||||||
4,170 | FleetCor Technologies, Inc.e | 596,018 | ||||||
19,420 | FLIR Systems, Inc. | 545,119 | ||||||
75,871 | Fortinet, Inc.e | 2,364,899 | ||||||
13,500 | FUJIFILM Holdings NPV | 563,389 | ||||||
25,466 | Gartner, Inc.e | 2,309,766 | ||||||
60,600 | Glu Mobile, Inc.e | 147,258 | ||||||
93,617 | Guidewire Software, Inc.e | 5,631,999 | ||||||
31,420 | Harmonic, Inc.e | 127,879 | ||||||
3,000 | Hitachi Kokusai Electric, Inc. | 40,783 | ||||||
2,100 | Hoya Corporation | 85,874 | ||||||
11,720 | IAC/InterActiveCorporation | 703,786 | ||||||
33,279 | Imperva, Inc.e | 2,106,893 | ||||||
1,200 | Ingenico Group | 151,466 | ||||||
120,810 | Intel Corporation | 4,161,904 | ||||||
4,000 | IRESS, Ltd. | 28,961 | ||||||
2,400 | IT Holdings Corporation | 54,837 | ||||||
1,600 | ITOCHU Techno-Solutions Corporation | 31,879 | ||||||
88,573 | Ixiae | 1,100,962 | ||||||
62,477 | Juniper Networks, Inc. | 1,724,365 | ||||||
1,000 | Kyocera Corporation | 46,441 | ||||||
3,030 | Leidos Holdings, Inc. | 170,468 | ||||||
10,600 | Liberty Tripadvisor Holdings, Inc.e | 321,604 | ||||||
13,075 | Littelfuse, Inc. | 1,399,156 | ||||||
2,710 | LogMeIn, Inc.e | 181,841 | ||||||
14,740 | Lumentum Holdings, Inc.e | 324,575 | ||||||
20,794 | Manhattan Associates, Inc.e | 1,375,939 | ||||||
38,330 | Marvell Technology Group, Ltd. | 338,071 | ||||||
87,300 | MasterCard, Inc. | 8,499,528 | ||||||
40,646 | Maxim Integrated Products, Inc. | 1,544,548 | ||||||
72,320 | Mentor Graphics Corporation | 1,332,134 | ||||||
25,898 | Methode Electronics, Inc. | 824,333 | ||||||
102,080 | Microsemi Corporatione | 3,326,787 | ||||||
649,230 | Microsoft Corporation | 36,019,280 | ||||||
53,691 | Monolithic Power Systems, Inc. | 3,420,654 | ||||||
2,230 | Morningstar, Inc. | 179,314 | ||||||
68,000 | Nanometrics, Inc.e | 1,029,520 | ||||||
77,830 | National Instruments Corporation | 2,232,943 | ||||||
5,500 | NEC Networks & System Integration Corporation | 97,266 | ||||||
5,330 | NetScout Systems, Inc.e | 163,631 | ||||||
33,625 | Newport Corporatione | 533,629 | ||||||
26,326 | Nice Systems, Ltd. ADRf | 1,509,006 | ||||||
2,000 | NS Solutions Corporation | 45,571 | ||||||
275,336 | NVIDIA Corporation | 9,075,075 | ||||||
22,186 | NXP Semiconductors NVe | 1,869,171 | ||||||
33,430 | ON Semiconductor Corporatione | 327,614 | ||||||
130,750 | Oracle Corporation | 4,776,297 | ||||||
16,900 | Palo Alto Networks, Inc.e | 2,976,766 | ||||||
114,480 | Pandora Media, Inc.e | 1,535,177 | ||||||
25,820 | Parametric Technology Corporatione | 894,147 | ||||||
31,100 | Paylocity Holding Corporatione | 1,261,105 | ||||||
334,838 | PayPal Holdings, Inc.e | 12,121,136 | ||||||
31,354 | Plantronics, Inc. | 1,486,807 | ||||||
83,944 | Progress Software Corporatione | 2,014,656 | ||||||
66,855 | Proofpoint, Inc.e | 4,346,244 | ||||||
42,467 | QLIK Technologies, Inc.e | 1,344,505 | ||||||
22,690 | RealPage, Inc.e | 509,391 | ||||||
43,680 | Red Hat, Inc.e | 3,617,141 | ||||||
35,970 | Ruckus Wireless, Inc.e | 385,239 | ||||||
254,540 | Salesforce.com, Inc.e | 19,955,936 | ||||||
2,000 | SAP SE | 158,707 | ||||||
42,918 | ServiceNow, Inc.e | 3,714,982 | ||||||
8,300 | Shinko Electric Industries Company, Ltd. | 53,210 | ||||||
48,540 | ShoreTel, Inc.e | 429,579 | ||||||
19,000 | Symantec Corporation | 399,000 | ||||||
29,444 | Synopsys, Inc.e | 1,342,941 | ||||||
400 | TDK Corporation | 25,618 | ||||||
4,550 | Tech Data Corporatione | 302,029 | ||||||
174,074 | Teradyne, Inc. | 3,598,110 | ||||||
18,450 | Tessera Technologies, Inc. | 553,684 | ||||||
88,950 | Texas Instruments, Inc. | 4,875,349 | ||||||
10,900 | Tyler Technologies, Inc.e | 1,900,088 | ||||||
100 | U-Blox AGe | 21,284 | ||||||
24,187 | Ultimate Software Group, Inc.e | 4,728,800 | ||||||
37,340 | Ultra Clean Holdings, Inc.e | 191,181 | ||||||
24,100 | Vantiv, Inc.e | 1,142,822 | ||||||
146,395 | Virtusa Corporatione | 6,051,969 | ||||||
341,780 | Visa, Inc. | 26,505,039 | ||||||
33,490 | Web.com Group, Inc.e | 670,135 | ||||||
36,790 | Xerox Corporation | 391,078 | ||||||
|
| |||||||
Total | 455,651,202 | |||||||
|
| |||||||
| Materials (1.6%) | |||||||
35,100 | Agnico Eagle Mines, Ltd. | 922,428 | ||||||
47,657 | Albemarle Corporation | 2,669,269 | ||||||
183,750 | Alcoa, Inc. | 1,813,612 | ||||||
23,763 | American Vanguard Corporation | 332,920 | ||||||
400 | Aurubis AG | 20,255 | ||||||
21,100 | Avery Dennison Corporation | 1,322,126 | ||||||
32,991 | Axalta Coating Systems, Ltd.e | 879,210 | ||||||
53,800 | Axiall Corporation | 828,520 | ||||||
20,880 | Balchem Corporation | 1,269,504 | ||||||
29,350 | Ball Corporation | 2,134,625 | ||||||
195,600 | Barrick Gold Corporation | 1,443,528 | ||||||
10,140 | Berry Plastics Group, Inc.e | 366,865 | ||||||
10,900 | BHP Billiton plc | 121,556 | ||||||
24,500 | BHP Billiton, Ltd. | 315,304 | ||||||
11,500 | BillerudKorsnas AB | 212,826 | ||||||
12,300 | Boise Cascade Companye | 314,019 | ||||||
9,700 | Boral, Ltd. | 41,473 | ||||||
2,500 | Buzzi Unicem SPA | 44,813 | ||||||
5,220 | Carpenter Technology Corporation | 158,009 | ||||||
17,697 | Celanese Corporation | 1,191,539 | ||||||
26,517 | CF Industries Holdings, Inc. | 1,082,159 | ||||||
123,520 | Chemtura Corporatione | 3,368,390 | ||||||
9,442 | Clearwater Paper Corporatione | 429,894 | ||||||
109,520 | Crown Holdings, Inc.e | 5,552,664 | ||||||
14,400 | Daicel Corporation | 214,299 | ||||||
54,630 | Dow Chemical Company | 2,812,352 | ||||||
5,000 | DOWA Holdings Company, Ltd.e | 35,951 | ||||||
7,150 | Eagle Materials, Inc. | 432,074 | ||||||
14,700 | Eastman Chemical Company | 992,397 | ||||||
135,850 | Eldorado Gold Corporation | 403,475 | ||||||
800 | Evonik Industries AG | 26,462 | ||||||
49,093 | FMC Corporation | 1,921,009 | ||||||
153,920 | Freeport-McMoRan, Inc. | 1,042,038 | ||||||
100 | Givaudan SA | 181,496 | ||||||
133,200 | Goldcorp, Inc. | 1,539,792 | ||||||
31,000 | Graphic Packaging Holding Company | 397,730 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
21
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (41.8%) | Value | ||||||
| Materials (1.6%) - continued | |||||||
2,900 | Hexpol AB | $ | 31,094 | |||||
4,100 | Hokuetsu Kishu Paper Company, Ltd. | 24,161 | ||||||
1,500 | Holmen AB | 46,331 | ||||||
109,890 | Horsehead Holding Corporatione,f | 225,275 | ||||||
7,340 | Innophos Holdings, Inc. | 212,713 | ||||||
27,093 | Innospec, Inc. | 1,471,421 | ||||||
89,950 | International Paper Company | 3,391,115 | ||||||
1,800 | JFE Holdings, Inc. | 28,264 | ||||||
9,320 | KapStone Paper and Packaging Corporation | 210,539 | ||||||
234,450 | Kinross Gold Corporatione | 426,699 | ||||||
8,350 | Koppers Holdings, Inc.e | 152,388 | ||||||
500 | LafargeHolcim, Ltd. | 25,037 | ||||||
100 | Linde AG | 14,446 | ||||||
9,100 | Martin Marietta Materials, Inc. | 1,242,878 | ||||||
12,650 | Minerals Technologies, Inc. | 580,129 | ||||||
4,600 | Mitsubishi Chemical Holdings Corporation | 29,186 | ||||||
3,400 | Mondi plc | 66,643 | ||||||
65,900 | Mosaic Company | 1,818,181 | ||||||
65,565 | Myers Industries, Inc. | 873,326 | ||||||
107,860 | Newmont Mining Corporation | 1,940,401 | ||||||
1,900 | Nippon Paint Holdings Company, Ltd. | 45,984 | ||||||
4,100 | Nippon Steel & Sumitomo Metal Corporation | 81,108 | ||||||
2,800 | Novozymes AS | 134,061 | ||||||
53,100 | Nucor Corporation | 2,139,930 | ||||||
5,000 | Oji Holdings Corporation | 20,095 | ||||||
35,640 | Olin Corporation | 615,146 | ||||||
97,300 | Owens-Illinois, Inc.e | 1,694,966 | ||||||
53,400 | Packaging Corporation of America | 3,366,870 | ||||||
124,235 | PolyOne Corporation | 3,945,704 | ||||||
2,310 | Quaker Chemical Corporation | 178,471 | ||||||
5,580 | Reliance Steel & Aluminum Company | 323,138 | ||||||
2,000 | Rio Tinto plc | 58,231 | ||||||
800 | Rio Tinto, Ltd. | 25,872 | ||||||
53,555 | Rock-Tenn Company | 2,443,179 | ||||||
12,650 | Royal Gold, Inc. | 461,346 | ||||||
12,500 | RPM International, Inc. | 550,750 | ||||||
17,390 | Schnitzer Steel Industries, Inc. | 249,894 | ||||||
15,500 | Scotts Miracle-Gro Company | 999,905 | ||||||
38,850 | Sealed Air Corporation | 1,732,710 | ||||||
4,300 | Silgan Holdings, Inc. | 230,996 | ||||||
59,550 | Silver Wheaton Corporation | 739,611 | ||||||
41,290 | Sonoco Products Company | 1,687,522 | ||||||
124,972 | Steel Dynamics, Inc. | 2,233,250 | ||||||
5,000 | Sumitomo Seika Chemicals Company, Ltd. | 30,421 | ||||||
104,000 | Teck Resources, Ltd.f | 401,440 | ||||||
5,000 | Tosoh Corporation | 25,720 | ||||||
6,100 | UPM-Kymmene Oyj | 113,249 | ||||||
19,150 | Vulcan Materials Company | 1,818,675 | ||||||
3,970 | Westlake Chemical Corporation | 215,650 | ||||||
196,900 | Yamana Gold, Inc. | 366,234 | ||||||
6,301 | Yara International ASA | 270,995 | ||||||
|
| |||||||
Total | 76,845,933 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) | |||||||
29,161 | BT Group plc | 202,483 | ||||||
7,800 | Elisa Oyj | 293,475 | ||||||
7,000 | Freenet AG | 236,215 | ||||||
106,322 | KCOM Group plc | 181,036 | ||||||
17,317 | Level 3 Communications, Inc.e | 941,352 | ||||||
17,900 | Orange SA | 299,392 | ||||||
63,262 | ORBCOMM, Inc.e | 458,017 | ||||||
3,500 | Proximus SA | 113,894 | ||||||
33,946 | SBA Communications Corporatione | 3,566,706 | ||||||
11,200 | StarHub, Ltd. | 29,147 | ||||||
137,400 | Telstra Corporation, Ltd. | 558,351 | ||||||
90,629 | Verizon Communications, Inc. | 4,188,872 | ||||||
3,000 | Vivendi SA | 64,432 | ||||||
61,550 | Vonage Holdings Corporatione | 353,297 | ||||||
|
| |||||||
Total | 11,486,669 | |||||||
|
| |||||||
| Utilities (0.7%) | |||||||
66,000 | A2A SPA | 89,368 | ||||||
6,180 | Ameren Corporation | 267,161 | ||||||
36,900 | American Electric Power Company, Inc. | 2,150,163 | ||||||
28,920 | American States Water Company | 1,213,194 | ||||||
102,510 | American Water Works Company, Inc. | 6,124,972 | ||||||
21,010 | Aqua America, Inc. | 626,098 | ||||||
17,960 | Artesian Resources Corporation | 497,492 | ||||||
3,590 | Atmos Energy Corporation | 226,314 | ||||||
35,120 | California Water Service Group | 817,242 | ||||||
8,000 | CLP Holdings, Ltd. | 67,808 | ||||||
21,650 | Edison International, Inc. | 1,281,896 | ||||||
57,300 | Electricidade de Portugal SA | 206,473 | ||||||
18,171 | FirstEnergy Corporation | 576,566 | ||||||
2,930 | IDACORP, Inc. | 199,240 | ||||||
30,533 | Laclede Group, Inc. | 1,813,966 | ||||||
7,670 | Middlesex Water Company | 203,562 | ||||||
8,810 | New Jersey Resources Corporation | 290,378 | ||||||
10,900 | NRG Yield, Inc.f | 160,884 | ||||||
5,170 | OGE Energy Corporation | 135,919 | ||||||
22,290 | Otter Tail Corporation | 593,583 | ||||||
26,140 | Pacific Ethanol, Inc.e,f | 124,949 | ||||||
134,740 | PG&E Corporation | 7,166,821 | ||||||
19,396 | PNM Resources, Inc. | 592,936 | ||||||
38,400 | Public Service Enterprise Group, Inc. | 1,485,696 | ||||||
32,600 | Redes Energeticas Nacionais SGPS SA | 98,487 | ||||||
21,740 | Renewable Energy Group, Inc.e | 201,965 | ||||||
48,800 | Southern Company | 2,283,352 | ||||||
29,034 | Southwest Gas Corporation | 1,601,515 | ||||||
55,900 | Talen Energy Corporatione | 348,257 | ||||||
5,000 | Toho Gas Company, Ltd. | 32,291 | ||||||
14,400 | United Utilities Group plc | 198,279 | ||||||
30,990 | Vectren Corporation | 1,314,596 | ||||||
14,900 | Westar Energy, Inc. | 631,909 | ||||||
57,450 | Wisconsin Energy Corporation | 2,947,759 | ||||||
|
| |||||||
Total | 36,571,091 | |||||||
|
| |||||||
Total Common Stock (cost $1,905,204,349) | 2,047,077,374 | |||||||
|
| |||||||
Shares | Registered Investment Companies (36.3%) | Value | ||||||
| Affiliated Equity Holdings (28.6%) | |||||||
24,425,365 | Thrivent Large Cap Stock Portfolio | 283,996,164 | ||||||
20,124,267 | Thrivent Large Cap Value Portfolio | 312,278,320 | ||||||
16,750,392 | Thrivent Mid Cap Stock Portfolio | 280,208,930 | ||||||
48,917,066 | Thrivent Partner Worldwide Allocation Portfolio | 440,439,482 | ||||||
5,277,294 | Thrivent Small Cap Stock Portfolio | 81,936,849 | ||||||
|
| |||||||
Total | 1,398,859,745 | |||||||
|
| |||||||
| Affiliated Fixed Income Holdings (5.7%) | |||||||
10,271,632 | Thrivent High Yield Portfolio | 45,995,339 | ||||||
14,694,354 | Thrivent Income Portfolio | 144,454,320 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
22
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (36.3%) | Value | ||||||
| Affiliated Fixed Income Holdings (5.7%)- continued | |||||||
9,308,662 | Thrivent Limited Maturity Bond Portfolio | $ | 90,509,050 | |||||
|
| |||||||
Total | 280,958,709 | |||||||
|
| |||||||
| Equity Funds/ETFs (1.1%) | |||||||
10,220 | iShares MSCI EAFE Index Fund | 600,425 | ||||||
25,911 | iShares Russell 2000 Growth Index Fundf | 3,612,252 | ||||||
51,228 | iShares Russell 2000 Index Fundf | 5,763,662 | ||||||
22,140 | Market Vectors Oil Service ETFf | 585,603 | ||||||
475,230 | SPDR Euro Stoxx 50 ETF | 16,362,169 | ||||||
108,738 | SPDR S&P 500 ETF Trustf | 22,170,591 | ||||||
28,400 | SPDR S&P Biotech ETF | 1,990,272 | ||||||
6,780 | SPDR S&P MidCap 400 ETF Trust | 1,722,730 | ||||||
3,157 | SPDR S&P Oil & Gas Equipment & Services ETF | 55,374 | ||||||
45,430 | SPDR S&P Oil & Gas Exploration & Production ETFf | 1,372,895 | ||||||
|
| |||||||
Total | 54,235,973 | |||||||
|
| |||||||
| Fixed Income Funds/ETFs (0.9%) | |||||||
35,000 | iShares Barclays 1-3 Year Credit Bond Fund | 3,661,000 | ||||||
273,700 | iShares iBoxx $ High Yield Corporate Bond ETF | 22,054,746 | ||||||
161,800 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 18,446,818 | ||||||
|
| |||||||
Total | 44,162,564 | |||||||
|
| |||||||
Total Registered Investment Companies (cost $1,663,929,010) | 1,778,216,991 | |||||||
|
| |||||||
Principal Amount | Long-Term Fixed Income (13.8%) | |||||||
| Asset-Backed Securities (0.5%) | |||||||
Access Group, Inc. | ||||||||
407,656 | 0.922%, 2/25/2036h,i | 397,342 | ||||||
Ares CLO, Ltd. | ||||||||
1,275,000 | 1.611%, 10/12/2023*,i | 1,268,851 | ||||||
750,000 | 1.842%, 11/15/2025*,i | 743,131 | ||||||
BA Credit Card Trust | ||||||||
650,000 | 0.711%, 6/15/2021i | 648,876 | ||||||
Betony CLO, Ltd. | ||||||||
350,000 | 1.831%, 4/15/2027*,i | 346,206 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
800,000 | 0.711%, 1/18/2022i | 795,789 | ||||||
Chase Issuance Trust | ||||||||
500,000 | 1.590%, 2/18/2020 | 499,930 | ||||||
375,000 | 1.620%, 7/15/2020 | 373,725 | ||||||
Chesapeake Funding, LLC | ||||||||
248,301 | 0.719%, 1/7/2025h,i | 248,193 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
525,582 | 5.530%, 4/25/2047 | 572,534 | ||||||
DRB Prime Student Loan Trust | ||||||||
1,000,000 | 3.200%, 1/25/2040* | 971,500 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
316,827 | 3.200%, 10/1/2025*,i | 316,910 | ||||||
Enterprise Fleet Financing, LLC | ||||||||
69,345 | 1.060%, 3/20/2019h | 69,246 | ||||||
509,460 | 0.870%, 9/20/2019h | 507,849 | ||||||
FirstEnergy Ohio PIRB Special Purpose Trust | ||||||||
203,944 | 0.679%, 1/15/2019 | 203,684 | ||||||
Ford Credit Auto Owner Trust | ||||||||
485,000 | 2.260%, 11/15/2025h | 488,912 | ||||||
Golden Credit Card Trust | ||||||||
250,000 | 0.761%, 9/15/2018h,i | 249,869 | ||||||
GoldenTree Loan Opportunities IX, Ltd. | ||||||||
400,000 | 1.804%, 10/29/2026*,i | 395,589 | ||||||
Golub Capital Partners CLO 23M, Ltd. | ||||||||
350,000 | 1.771%, 5/5/2027*,i | 345,806 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
1,425,000 | 3.176%, 8/15/2045 | 1,446,709 | ||||||
1,425,000 | 3.246%, 12/15/2047 | 1,423,864 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
961,428 | 0.572%, 2/25/2037i | 528,629 | ||||||
OZLM VIII, Ltd. | ||||||||
385,000 | 1.755%, 10/17/2026*,i | 380,588 | ||||||
Pretium Mortgage Credit Partners, LLC | ||||||||
2,250,000 | 4.375%, 11/27/2030* | 2,242,414 | ||||||
Race Point IX CLO, Ltd. | ||||||||
900,000 | 1.831%, 4/15/2027*,i | 894,694 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
1,217,638 | 5.746%, 5/25/2036j | 838,860 | ||||||
2,800,000 | 6.011%, 5/25/2036j | 1,947,725 | ||||||
1,210,207 | 5.580%, 11/25/2036j | 631,447 | ||||||
SLM Student Loan Trust | ||||||||
497,395 | 0.931%, 7/15/2022h,i | 495,392 | ||||||
752,617 | 0.931%, 8/15/2022h,i | 750,457 | ||||||
476,799 | 0.720%, 4/25/2023h,i | 476,091 | ||||||
450,000 | 1.381%, 5/17/2027h,i | 446,493 | ||||||
U.S. Small Business Administration | ||||||||
525,660 | 3.191%, 3/10/2024 | 545,913 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
478,514 | 3.500%, 2/25/2055*,j | 472,039 | ||||||
Volvo Financial Equipment, LLC | ||||||||
126,683 | 0.740%, 3/15/2017h | 126,619 | ||||||
991,008 | 0.820%, 4/16/2018h | 988,144 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
650,000 | 0.910%, 3/16/2020 | 649,478 | ||||||
World Omni Master Owner Trust | ||||||||
540,000 | 0.681%, 2/15/2018h,i | 539,908 | ||||||
|
| |||||||
Total | 25,269,406 | |||||||
|
| |||||||
| Basic Materials (0.1%) | |||||||
Albemarle Corporation | ||||||||
105,000 | 3.000%, 12/1/2019 | 102,990 | ||||||
ArcelorMittal SA | ||||||||
670,000 | 6.500%, 3/1/2021f | 539,276 | ||||||
Corporacion Nacional del Cobre de Chile | ||||||||
280,000 | 4.500%, 9/16/2025f,h | 263,672 | ||||||
First Quantum Minerals, Ltd. | ||||||||
355,000 | 6.750%, 2/15/2020h | 228,975 | ||||||
355,000 | 7.000%, 2/15/2021h | 222,762 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
24
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | ||||||
| Basic Materials (0.1%) - continued | |||||||
Freeport-McMoRan, Inc. | ||||||||
$ | 614,000 | 2.375%, 3/15/2018 | $ | 478,920 | ||||
222,000 | 3.875%, 3/15/2023 | 126,540 | ||||||
Georgia-Pacific, LLC | ||||||||
245,000 | 2.539%, 11/15/2019h | 243,591 | ||||||
Glencore Funding, LLC | ||||||||
180,000 | 1.377%, 4/16/2018h,i | 151,885 | ||||||
Packaging Corporation of America | ||||||||
370,000 | 4.500%, 11/1/2023 | 388,509 | ||||||
Sappi Papier Holding GmbH | ||||||||
375,000 | 6.625%, 4/15/2021h | 378,750 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
278,000 | 2.700%, 10/25/2017h | 254,370 | ||||||
Yamana Gold, Inc. | ||||||||
325,000 | 4.950%, 7/15/2024 | 275,594 | ||||||
|
| |||||||
Total | 3,655,834 | |||||||
|
| |||||||
| Capital Goods (0.2%) | |||||||
Ball Corporation | ||||||||
560,000 | 4.375%, 12/15/2020 | 568,750 | ||||||
Building Materials Corporation of America | ||||||||
660,000 | 6.000%, 10/15/2025h | 673,200 | ||||||
Case New Holland, Inc. | ||||||||
450,000 | 7.875%, 12/1/2017 | 475,875 | ||||||
Crown Americas Capital Corporation IV | ||||||||
670,000 | 4.500%, 1/15/2023 | 654,925 | ||||||
General Electric Company | ||||||||
607,000 | 4.200%, 12/15/2049k | 603,965 | ||||||
L-3 Communications Corporation | ||||||||
384,000 | 1.500%, 5/28/2017 | 379,243 | ||||||
Lockheed Martin Corporation | ||||||||
165,000 | 1.850%, 11/23/2018 | 164,708 | ||||||
224,000 | 2.500%, 11/23/2020 | 222,672 | ||||||
448,000 | 4.500%, 5/15/2036 | 453,553 | ||||||
Martin Marietta Materials, Inc. | ||||||||
230,000 | 1.703%, 6/30/2017i | 228,400 | ||||||
Northrop Grumman Corporation | ||||||||
350,000 | 3.850%, 4/15/2045 | 314,505 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
450,000 | 5.000%, 1/15/2022h | 439,875 | ||||||
Pentair Finance SA | ||||||||
295,000 | 2.900%, 9/15/2018 | 293,680 | ||||||
155,000 | 3.625%, 9/15/2020 | 154,847 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
629,634 | 5.750%, 10/15/2020 | 640,457 | ||||||
Roper Industries, Inc. | ||||||||
601,000 | 2.050%, 10/1/2018 | 597,105 | ||||||
Textron, Inc. | ||||||||
150,000 | 5.600%, 12/1/2017 | 159,431 | ||||||
400,000 | 7.250%, 10/1/2019 | 455,118 | ||||||
185,000 | 5.950%, 9/21/2021 | 207,023 | ||||||
United Rentals North America, Inc. | ||||||||
670,000 | 5.500%, 7/15/2025 | 649,900 | ||||||
Waste Management, Inc. | ||||||||
90,000 | 3.125%, 3/1/2025 | 87,590 | ||||||
|
| |||||||
Total | 8,424,822 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.8%) | |||||||
Alm Loan Funding CLO | ||||||||
385,000 | 1.745%, 10/17/2026*,i | 380,747 | ||||||
Apidos CLO XVIII | ||||||||
375,000 | 1.732%, 7/22/2026*,i | 372,034 | ||||||
Babson CLO, Ltd. | ||||||||
385,000 | 1.707%, 10/17/2026*,i | 379,238 | ||||||
Birchwood Park CLO, Ltd. | ||||||||
385,000 | 1.761%, 7/15/2026*,i | 380,851 | ||||||
BlueMountain CLO, Ltd. | ||||||||
385,000 | 1.801%, 10/15/2026*,i | 381,529 | ||||||
Carlyle Global Market Strategies CLO, Ltd. | ||||||||
385,000 | 1.617%, 7/20/2023*,i | 383,216 | ||||||
400,000 | 1.821%, 10/15/2026*,i | 397,006 | ||||||
Cent CLO 16, LP | ||||||||
385,000 | 1.579%, 8/1/2024*,i | 383,496 | ||||||
Cent CLO 22, Ltd. | ||||||||
400,000 | 1.824%, 11/7/2026*,i | 395,197 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
417,628 | 5.500%, 11/25/2035 | 399,212 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
1,442,488 | 5.750%, 4/25/2037 | 1,237,419 | ||||||
Countrywide Alternative Loan Trust | ||||||||
559,724 | 2.609%, 10/25/2035 | 491,994 | ||||||
393,805 | 6.500%, 8/25/2036 | 296,729 | ||||||
275,508 | 6.000%, 1/25/2037 | 253,196 | ||||||
1,313,534 | 5.500%, 5/25/2037 | 1,114,606 | ||||||
1,194,622 | 7.000%, 10/25/2037 | 837,897 | ||||||
Countrywide Home Loans, Inc. | ||||||||
511,984 | 5.750%, 4/25/2037 | 468,364 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
144,978 | 5.500%, 10/25/2021 | 140,337 | ||||||
404,551 | 6.000%, 10/25/2021 | 358,572 | ||||||
Dryden 34 Senior Loan Fund CLO | ||||||||
385,000 | 1.751%, 10/15/2026*,i | 380,745 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
1,450,907 | 3.000%, 2/15/2033l | 178,512 | ||||||
Federal National Mortgage Association | ||||||||
2,964,241 | 3.500%, 1/25/2033l | 399,161 | ||||||
Galaxy XX CLO, Ltd. | ||||||||
1,200,000 | 1.731%, 7/20/2027*,i | 1,184,727 | ||||||
Golub Capital Partners CLO 22B, Ltd. | ||||||||
725,000 | 1.813%, 2/20/2027*,i | 716,574 | ||||||
HomeBanc Mortgage Trust | ||||||||
2,219,483 | 2.229%, 4/25/2037 | 1,673,170 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
129,287 | 2.691%, 10/25/2036 | 116,331 | ||||||
1,294,493 | 0.802%, 1/25/2037i | 793,381 | ||||||
1,487,557 | 6.250%, 8/25/2037 | 1,153,207 | ||||||
Limerock CLO III, LLC | ||||||||
1,150,000 | 1.817%, 10/20/2026*,i | 1,141,627 | ||||||
Madison Park Funding XIV CLO, Ltd. | ||||||||
425,000 | 1.767%, 7/20/2026*,i | 420,873 | ||||||
Madison Park Funding, Ltd. | ||||||||
1,100,000 | 1.652%, 8/15/2022*,i | 1,095,354 | ||||||
Magnetite XII, Ltd. | ||||||||
1,200,000 | 1.821%, 4/15/2027*,i | 1,186,651 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
25
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | ||||||
Collateralized Mortgage Obligations (0.8%) - continued | ||||||||
MASTR Alternative Loans Trust | ||||||||
$ | 327,621 | 6.500%, 7/25/2034 | $ | 335,299 | ||||
788,246 | 0.872%, 12/25/2035i | 394,608 | ||||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
319,469 | 6.000%, 3/25/2037 | 287,636 | ||||||
Mountain View CLO, Ltd. | ||||||||
1,200,000 | 1.739%, 7/15/2027*,i | 1,175,056 | ||||||
Neuberger Berman CLO, Ltd. | ||||||||
300,000 | 1.804%, 8/4/2025*,i | 296,495 | ||||||
NZCG Funding CLO, Ltd. | ||||||||
1,200,000 | 1.873%, 4/27/2027*,i | 1,188,589 | ||||||
Octagon Investment Partners XX CLO, Ltd. | ||||||||
385,000 | 1.796%, 8/12/2026*,i | 379,987 | ||||||
OHA Loan Funding, Ltd. | ||||||||
1,150,000 | 1.817%, 10/20/2026*,i | 1,138,114 | ||||||
Residential Asset Securitization Trust | ||||||||
1,185,093 | 0.802%, 8/25/2037i | 352,140 | ||||||
Sequoia Mortgage Trust | ||||||||
794,923 | 2.822%, 9/20/2046 | 635,971 | ||||||
Shackleton VII CLO, Ltd. | ||||||||
1,200,000 | 1.861%, 4/15/2027*,i | 1,194,463 | ||||||
Symphony CLO XV, Ltd. | ||||||||
1,150,000 | 1.765%, 10/17/2026*,i | 1,134,977 | ||||||
Symphony CLO VIII, Ltd. | ||||||||
376,673 | 1.419%, 1/9/2023*,i | 375,259 | ||||||
TBW Mortgage-Backed Trust | ||||||||
3,442,046 | 5.965%, 7/25/2037 | 2,356,801 | ||||||
Voya CLO 3, Ltd. | ||||||||
385,000 | 1.740%, 7/25/2026*,i | 380,759 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
214,979 | 2.408%, 9/25/2036 | 193,844 | ||||||
426,217 | 2.431%, 10/25/2036 | 380,971 | ||||||
2,959,799 | 2.176%, 11/25/2036 | 2,564,211 | ||||||
|
| |||||||
Total | 34,257,133 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities (0.5%) | ||||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
780,000 | 1.326%, 6/8/2030h,i | 779,053 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
2,800,000 | 5.542%, 1/15/2049 | 2,862,833 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
1,700,000 | 5.509%, 9/15/2039 | 1,731,787 | ||||||
Federal National Mortgage Association | ||||||||
358,139 | 1.272%, 1/25/2017 | 358,153 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
1,750,000 | 5.867%, 12/10/2049 | 1,817,926 | ||||||
GS Mortgage Securities Trust | ||||||||
2,450,000 | 3.666%, 9/10/2047 | 2,512,071 | ||||||
1,650,000 | 3.506%, 10/10/2048 | 1,650,345 | ||||||
1,825,000 | 3.734%, 11/10/2048 | 1,859,974 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
850,000 | 1.281%, 12/15/2028h,i | 849,963 | ||||||
1,300,000 | 5.695%, 2/12/2049 | 1,339,569 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
1,175,000 | 3.231%, 1/15/2048 | 1,166,510 | ||||||
1,650,000 | 3.598%, 11/15/2048 | 1,659,600 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
1,650,000 | 3.635%, 10/15/2028 | 1,663,439 | ||||||
1,750,000 | 3.753%, 12/15/2047 | 1,780,173 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
900,000 | 5.406%, 3/15/2044 | 923,815 | ||||||
SCG Trust | ||||||||
425,000 | 1.731%, 11/15/2026h,i | 426,341 | ||||||
UBS Commercial Mortgage Trust | ||||||||
2,150,000 | 3.400%, 5/10/2045 | 2,189,352 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
1,200,000 | 2.870%, 11/15/2045 | 1,188,474 | ||||||
|
| |||||||
Total | 26,759,378 | |||||||
|
| |||||||
Communications Services (0.5%) | ||||||||
21st Century Fox America, Inc. | ||||||||
460,000 | 6.900%, 3/1/2019 | 522,485 | ||||||
AMC Networks, Inc. | ||||||||
630,000 | 4.750%, 12/15/2022 | 630,000 | ||||||
America Movil SAB de CV | ||||||||
425,000 | 1.502%, 9/12/2016i | 424,994 | ||||||
288,000 | 5.000%, 10/16/2019 | 311,090 | ||||||
American Tower Corporation | ||||||||
50,000 | 2.800%, 6/1/2020 | 49,425 | ||||||
595,000 | 3.450%, 9/15/2021 | 597,917 | ||||||
AT&T, Inc. | ||||||||
165,000 | 1.533%, 6/30/2020i | 163,820 | ||||||
349,000 | 3.875%, 8/15/2021 | 360,053 | ||||||
275,000 | 3.000%, 6/30/2022 | 268,405 | ||||||
355,000 | 5.550%, 8/15/2041 | 356,729 | ||||||
275,000 | 4.750%, 5/15/2046 | 251,789 | ||||||
British Sky Broadcasting Group plc | ||||||||
320,000 | 2.625%, 9/16/2019h | 318,522 | ||||||
CBS Corporation | ||||||||
241,000 | 4.000%, 1/15/2026 | 235,008 | ||||||
CCO Holdings, LLC | ||||||||
630,000 | 7.375%, 6/1/2020 | 655,987 | ||||||
CCO Safari II, LLC | ||||||||
452,000 | 6.834%, 10/23/2055h | 445,327 | ||||||
288,000 | 3.579%, 7/23/2020h | 286,275 | ||||||
168,000 | 4.908%, 7/23/2025h | 167,836 | ||||||
CenturyLink, Inc. | ||||||||
500,000 | 6.450%, 6/15/2021 | 487,500 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
450,000 | 6.500%, 11/15/2022 | 438,750 | ||||||
Columbus International, Inc. | ||||||||
355,000 | 7.375%, 3/30/2021h | 351,450 | ||||||
Comcast Corporation | ||||||||
960,000 | 4.400%, 8/15/2035 | 965,720 | ||||||
140,000 | 4.650%, 7/15/2042 | 142,464 | ||||||
677,000 | 4.750%, 3/1/2044 | 703,205 | ||||||
Cox Communications, Inc. | ||||||||
184,000 | 9.375%, 1/15/2019h | 213,188 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
25
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | ||||||
| Communications Services (0.5%) - continued | |||||||
Crown Castle International Corporation | ||||||||
$595,000 | 5.250%, 1/15/2023 | $ | 625,494 | |||||
Crown Castle Towers, LLC | ||||||||
100,000 | 4.174%, 8/15/2017h | 102,253 | ||||||
Digicel, Ltd. | ||||||||
670,000 | 6.000%, 4/15/2021h | 564,475 | ||||||
DIRECTV Holdings, LLC | ||||||||
212,000 | 5.875%, 10/1/2019 | 236,620 | ||||||
784,000 | 6.350%, 3/15/2040 | 841,853 | ||||||
450,000 | 5.150%, 3/15/2042 | 419,552 | ||||||
FairPoint Communications, Inc. | ||||||||
600,000 | 8.750%, 8/15/2019h | 591,000 | ||||||
Frontier Communications Corporation | ||||||||
430,000 | 8.875%, 9/15/2020h | 435,375 | ||||||
Hughes Satellite Systems Corporation | ||||||||
567,000 | 6.500%, 6/15/2019 | 610,942 | ||||||
Intelsat Jackson Holdings SA | ||||||||
630,000 | 7.250%, 4/1/2019 | 578,025 | ||||||
Level 3 Communications, Inc. | ||||||||
295,000 | 5.375%, 1/15/2024h | 296,475 | ||||||
McGraw Hill Financial, Inc. | ||||||||
448,000 | 3.300%, 8/14/2020 | 451,828 | ||||||
McGraw-Hill Global Education Holdings, LLC | ||||||||
450,000 | 9.750%, 4/1/2021 | 477,000 | ||||||
Numericable-SFR | ||||||||
670,000 | 6.000%, 5/15/2022h | 649,900 | ||||||
SES Global Americas Holdings GP | ||||||||
365,000 | 2.500%, 3/25/2019h | 359,960 | ||||||
Sprint Corporation | ||||||||
640,000 | 7.625%, 2/15/2025 | 467,200 | ||||||
Telefonica Emisiones SAU | ||||||||
244,000 | 3.192%, 4/27/2018 | 248,734 | ||||||
Time Warner Entertainment Company, LP | ||||||||
459,000 | 8.375%, 3/15/2023 | 563,693 | ||||||
Time Warner, Inc. | ||||||||
968,000 | 3.600%, 7/15/2025 | 942,328 | ||||||
265,000 | 6.250%, 3/29/2041 | 294,302 | ||||||
T-Mobile USA, Inc. | ||||||||
670,000 | 6.125%, 1/15/2022 | 688,425 | ||||||
Unitymedia Hessen GmbH & Company KG | ||||||||
385,000 | 5.500%, 1/15/2023h | 384,037 | ||||||
Univision Communications, Inc. | ||||||||
450,000 | 5.125%, 5/15/2023h | 433,125 | ||||||
200,000 | 5.125%, 2/15/2025h | 190,000 | ||||||
UPCB Finance V, Ltd. | ||||||||
567,000 | 7.250%, 11/15/2021h | 602,437 | ||||||
Verizon Communications, Inc. | ||||||||
540,000 | 4.672%, 3/15/2055 | 468,829 | ||||||
350,000 | 1.296%, 6/17/2019i | 347,627 | ||||||
1,025,000 | 3.000%, 11/1/2021 | 1,022,119 | ||||||
1,008,000 | 5.150%, 9/15/2023 | 1,108,121 | ||||||
78,000 | 5.050%, 3/15/2034 | 77,713 | ||||||
319,000 | 4.272%, 1/15/2036 | 287,993 | ||||||
423,000 | 4.522%, 9/15/2048 | 378,288 | ||||||
|
| |||||||
Total | 25,093,662 | |||||||
|
| |||||||
| Consumer Cyclical (0.3%) | |||||||
Automatic Data Processing, Inc. | ||||||||
100,000 | 3.375%, 9/15/2025 | 101,942 | ||||||
Cinemark USA, Inc. | ||||||||
630,000 | 4.875%, 6/1/2023 | 614,250 | ||||||
CVS Health Corporation | ||||||||
110,000 | 2.250%, 8/12/2019 | 109,855 | ||||||
870,000 | 4.875%, 7/20/2035 | 898,267 | ||||||
188,000 | 6.125%, 9/15/2039 | 219,525 | ||||||
Delphi Automotive plc | ||||||||
560,000 | 3.150%, 11/19/2020 | 559,276 | ||||||
Ford Motor Company | ||||||||
205,000 | 7.450%, 7/16/2031 | 252,973 | ||||||
Ford Motor Credit Company, LLC | ||||||||
1,036,000 | 5.000%, 5/15/2018 | 1,088,209 | ||||||
350,000 | 2.597%, 11/4/2019 | 343,643 | ||||||
General Motors Company | ||||||||
539,000 | 6.250%, 10/2/2043 | 569,473 | ||||||
General Motors Financial Company, Inc. | ||||||||
630,000 | 3.250%, 5/15/2018 | 633,154 | ||||||
332,000 | 3.700%, 11/24/2020 | 332,898 | ||||||
385,000 | 4.300%, 7/13/2025 | 373,331 | ||||||
Hilton Worldwide Finance, LLC | ||||||||
670,000 | 5.625%, 10/15/2021 | 694,287 | ||||||
Home Depot, Inc. | ||||||||
184,000 | 2.625%, 6/1/2022 | 183,808 | ||||||
Hyundai Capital America | ||||||||
336,000 | 2.400%, 10/30/2018h | 334,958 | ||||||
336,000 | 3.000%, 10/30/2020h | 334,396 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
630,000 | 5.625%, 2/1/2023h | 636,300 | ||||||
KB Home | ||||||||
503,000 | 4.750%, 5/15/2019 | 487,910 | ||||||
L Brands, Inc. | ||||||||
630,000 | 5.625%, 2/15/2022 | 669,375 | ||||||
Lennar Corporation | ||||||||
630,000 | 4.125%, 12/1/2018 | 633,150 | ||||||
660,000 | 4.875%, 12/15/2023 | 656,700 | ||||||
Live Nation Entertainment, Inc. | ||||||||
200,000 | 5.375%, 6/15/2022h | 197,000 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
102,000 | 4.375%, 9/1/2023 | 101,599 | ||||||
McDonald’s Corporation | ||||||||
335,000 | 2.750%, 12/9/2020 | 334,769 | ||||||
MGM Resorts International | ||||||||
670,000 | 6.000%, 3/15/2023f | 664,975 | ||||||
Six Flags Entertainment Corporation | ||||||||
450,000 | 5.250%, 1/15/2021h | 455,625 | ||||||
Toll Brothers Finance Corporation | ||||||||
100,000 | 8.910%, 10/15/2017 | 111,500 | ||||||
186,000 | 4.000%, 12/31/2018 | 189,720 | ||||||
|
| |||||||
Total | 12,782,868 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.4%) | |||||||
AbbVie, Inc. | ||||||||
315,000 | 2.500%, 5/14/2020 | 311,833 | ||||||
220,000 | 3.600%, 5/14/2025 | 217,126 | ||||||
Actavis Funding SCS | ||||||||
265,000 | 4.550%, 3/15/2035 | 257,542 | ||||||
277,000 | 4.850%, 6/15/2044 | 274,069 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
26
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | ||||||
Consumer Non-Cyclical (0.4%) - continued | ||||||||
Altria Group, Inc. | ||||||||
$925,000 | 2.850%, 8/9/2022 | $ | 901,765 | |||||
Amgen, Inc. | ||||||||
150,000 | 2.125%, 5/1/2020 | 147,954 | ||||||
370,000 | 2.700%, 5/1/2022 | 359,048 | ||||||
300,000 | 3.125%, 5/1/2025 | 284,991 | ||||||
B&G Foods, Inc. | ||||||||
480,000 | 4.625%, 6/1/2021 | 475,200 | ||||||
BAT International Finance plc | ||||||||
220,000 | 1.022%, 6/15/2018h,i | 219,702 | ||||||
Becton, Dickinson and Company | ||||||||
577,000 | 6.375%, 8/1/2019 | 651,341 | ||||||
Biogen, Inc. | ||||||||
210,000 | 3.625%, 9/15/2022 | 212,326 | ||||||
Boston Scientific Corporation | ||||||||
200,000 | 6.000%, 1/15/2020 | 222,082 | ||||||
350,000 | 4.125%, 10/1/2023 | 354,131 | ||||||
325,000 | 3.850%, 5/15/2025 | 319,783 | ||||||
Bunge Limited Finance Corporation | ||||||||
282,000 | 8.500%, 6/15/2019 | 326,381 | ||||||
305,000 | 3.500%, 11/24/2020 | 303,302 | ||||||
Cardinal Health, Inc. | ||||||||
120,000 | 1.950%, 6/15/2018 | 119,688 | ||||||
138,000 | 4.900%, 9/15/2045 | 139,801 | ||||||
Celgene Corporation | ||||||||
495,000 | 2.875%, 8/15/2020 | 491,269 | ||||||
120,000 | 3.550%, 8/15/2022 | 121,167 | ||||||
495,000 | 5.000%, 8/15/2045 | 496,925 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
630,000 | 7.125%, 7/15/2020 | 627,637 | ||||||
Church & Dwight Company, Inc. | ||||||||
140,000 | 2.450%, 12/15/2019 | 139,269 | ||||||
Cigna Corporation | ||||||||
265,000 | 5.375%, 2/15/2042 | 290,532 | ||||||
EMD Finance, LLC | ||||||||
235,000 | 0.876%, 3/17/2017h,i | 234,279 | ||||||
280,000 | 2.950%, 3/19/2022h | 270,158 | ||||||
Forest Laboratories, Inc. | ||||||||
425,000 | 4.375%, 2/1/2019h | 445,220 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
630,000 | 5.875%, 1/31/2022h | 674,100 | ||||||
Gilead Sciences, Inc. | ||||||||
120,000 | 2.550%, 9/1/2020 | 119,954 | ||||||
Grifols Worldwide Operations, Ltd. | ||||||||
450,000 | 5.250%, 4/1/2022 | 452,250 | ||||||
H. J. Heinz Company | ||||||||
350,000 | 3.500%, 7/15/2022h | 352,413 | ||||||
HCA, Inc. | ||||||||
670,000 | 3.750%, 3/15/2019 | 675,025 | ||||||
Imperial Tobacco Finance plc | ||||||||
450,000 | 2.950%, 7/21/2020h | 450,882 | ||||||
JBS USA, LLC | ||||||||
670,000 | 5.750%, 6/15/2025h | 582,900 | ||||||
JM Smucker Company | ||||||||
320,000 | 4.375%, 3/15/2045 | 311,539 | ||||||
Kraft Foods Group, Inc. | ||||||||
360,000 | 5.000%, 6/4/2042 | 362,481 | ||||||
Laboratory Corporation of America Holdings | ||||||||
165,000 | 2.625%, 2/1/2020 | 162,897 | ||||||
350,000 | 4.700%, 2/1/2045 | 319,780 | ||||||
McKesson Corporation | ||||||||
448,000 | 3.796%, 3/15/2024 | 450,342 | ||||||
225,000 | 4.883%, 3/15/2044 | 224,888 | ||||||
Mead Johnson Nutrition Company | ||||||||
200,000 | 3.000%, 11/15/2020 | 199,940 | ||||||
Medco Health Solutions, Inc. | ||||||||
176,000 | 7.125%, 3/15/2018 | 194,557 | ||||||
Medtronic plc | ||||||||
1,085,000 | 4.375%, 3/15/2035 | 1,096,764 | ||||||
Merck & Company, Inc. | ||||||||
175,000 | 0.716%, 2/10/2020i | 173,925 | ||||||
88,000 | 3.700%, 2/10/2045 | 81,264 | ||||||
Mondelez International, Inc. | ||||||||
247,000 | 0.849%, 2/1/2019i | 242,661 | ||||||
Mylan NV | ||||||||
450,000 | 3.000%, 12/15/2018h | 449,007 | ||||||
175,000 | 3.750%, 12/15/2020h | 175,183 | ||||||
Pfizer, Inc. | ||||||||
270,000 | 5.800%, 8/12/2023 | 315,736 | ||||||
Reynolds American, Inc. | ||||||||
235,000 | 2.300%, 8/21/2017h | 236,829 | ||||||
672,000 | 5.700%, 8/15/2035 | 736,390 | ||||||
Roche Holdings, Inc. | ||||||||
336,000 | 4.000%, 11/28/2044h | 340,613 | ||||||
SABMiller Holdings, Inc. | ||||||||
184,000 | 3.750%, 1/15/2022h | 189,241 | ||||||
184,000 | 4.950%, 1/15/2042h | 186,886 | ||||||
Safeway, Inc. | ||||||||
10,000 | 3.400%, 12/1/2016 | 9,900 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
300,000 | 6.375%, 11/15/2020 | 318,750 | ||||||
Spectrum Brands, Inc. | ||||||||
300,000 | 5.750%, 7/15/2025h | 307,500 | ||||||
Tenet Healthcare Corporation | ||||||||
670,000 | 8.125%, 4/1/2022 | 668,325 | ||||||
Teva Pharmaceutical Finance Company BV | ||||||||
336,000 | 2.950%, 12/18/2022 | 321,669 | ||||||
TreeHouse Foods, Inc. | ||||||||
450,000 | 4.875%, 3/15/2022f | 428,625 | ||||||
UnitedHealth Group, Inc. | ||||||||
360,000 | 4.625%, 7/15/2035 | 373,722 | ||||||
WM Wrigley Jr. Company | ||||||||
165,000 | 2.000%, 10/20/2017h | 165,267 | ||||||
Zoetis, Inc. | ||||||||
448,000 | 3.450%, 11/13/2020 | 448,522 | ||||||
|
| |||||||
Total | 22,015,248 | |||||||
|
| |||||||
Energy (0.3%) | ||||||||
Anadarko Petroleum Corporation | ||||||||
450,000 | 6.200%, 3/15/2040 | 414,021 | ||||||
Antero Resources Corporation | ||||||||
500,000 | 5.625%, 6/1/2023h | 390,000 | ||||||
Boardwalk Pipelines, Ltd. | ||||||||
310,000 | 5.875%, 11/15/2016 | 313,006 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
27
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | ||||||
Energy (0.3%) - continued | ||||||||
BP Capital Markets plc | ||||||||
$452,000 | 3.062%, 3/17/2022 | $ | 442,907 | |||||
315,000 | 3.535%, 11/4/2024 | 306,378 | ||||||
Buckeye Partners, LP | ||||||||
288,000 | 2.650%, 11/15/2018 | 277,068 | ||||||
Cameron International Corporation | ||||||||
280,000 | 4.000%, 12/15/2023 | 281,244 | ||||||
250,000 | 3.700%, 6/15/2024 | 244,202 | ||||||
Canadian Natural Resources, Ltd. | ||||||||
585,000 | 3.450%, 11/15/2021 | 551,291 | ||||||
175,000 | 6.250%, 3/15/2038 | 159,282 | ||||||
CNOOC Nexen Finance | ||||||||
345,000 | 1.625%, 4/30/2017 | 343,004 | ||||||
CNPC General Capital, Ltd. | ||||||||
192,000 | 2.750%, 4/19/2017h | 194,026 | ||||||
Columbia Pipeline Group, Inc. | ||||||||
450,000 | 2.450%, 6/1/2018h | 439,973 | ||||||
Concho Resources, Inc. | ||||||||
629,634 | 5.500%, 10/1/2022 | 572,967 | ||||||
Crestwood Midstream Partners, LP | ||||||||
400,000 | 6.125%, 3/1/2022 | 278,000 | ||||||
Devon Energy Corporation | ||||||||
340,000 | 3.250%, 5/15/2022f | 289,013 | ||||||
224,000 | 5.850%, 12/15/2025f | 217,850 | ||||||
Enbridge Energy Partners, LP | ||||||||
560,000 | 4.375%, 10/15/2020 | 546,291 | ||||||
Enbridge, Inc. | ||||||||
245,000 | 0.866%, 6/2/2017i | 239,959 | ||||||
Energy Transfer Partners, LP | ||||||||
914,000 | 4.650%, 6/1/2021 | 858,105 | ||||||
265,000 | 4.900%, 3/15/2035 | 192,684 | ||||||
Enterprise Products Operating, LLC | ||||||||
300,000 | 5.250%, 1/31/2020 | 315,938 | ||||||
172,000 | 5.100%, 2/15/2045 | 144,074 | ||||||
EQT Corporation | ||||||||
162,000 | 5.150%, 3/1/2018 | 168,565 | ||||||
118,000 | 8.125%, 6/1/2019 | 127,462 | ||||||
250,000 | 4.875%, 11/15/2021 | 238,017 | ||||||
Halliburton Company | ||||||||
335,000 | 4.850%, 11/15/2035 | 329,091 | ||||||
335,000 | 5.000%, 11/15/2045 | 331,162 | ||||||
Kinder Morgan, Inc. | ||||||||
242,000 | 5.300%, 12/1/2034 | 190,706 | ||||||
225,000 | 5.550%, 6/1/2045 | 175,642 | ||||||
Magellan Midstream Partners, LP | ||||||||
90,000 | 4.200%, 3/15/2045 | 65,542 | ||||||
Marathon Oil Corporation | ||||||||
460,000 | 2.700%, 6/1/2020 | 405,602 | ||||||
Marathon Petroleum Corporation | ||||||||
165,000 | 3.400%, 12/15/2020 | 162,044 | ||||||
176,000 | 4.750%, 9/15/2044 | 143,862 | ||||||
MEG Energy Corporation | ||||||||
630,000 | 6.500%, 3/15/2021h | 441,000 | ||||||
Noble Energy, Inc. | ||||||||
390,000 | 5.625%, 5/1/2021 | 381,493 | ||||||
Petrobras International Finance Company | ||||||||
550,000 | 5.750%, 1/20/2020 | 431,750 | ||||||
Petroleos Mexicanos | ||||||||
175,000 | 3.500%, 1/30/2023 | 152,687 | ||||||
199,500 | 2.378%, 4/15/2025 | 199,169 | ||||||
Pioneer Natural Resources Company | ||||||||
121,000 | 3.450%, 1/15/2021 | 111,726 | ||||||
225,000 | 4.450%, 1/15/2026 | 202,593 | ||||||
Regency Energy Partners, LP | ||||||||
670,000 | 5.000%, 10/1/2022 | 593,538 | ||||||
Sabine Pass Liquefaction, LLC | ||||||||
670,000 | 5.625%, 3/1/2025h | 566,987 | ||||||
Schlumberger Holdings Corporation | ||||||||
165,000 | 3.000%, 12/21/2020h | 162,868 | ||||||
448,000 | 4.000%, 12/21/2025h | 442,077 | ||||||
Shell International Finance BV | ||||||||
165,000 | 0.806%, 5/11/2020i | 162,583 | ||||||
Suncor Energy, Inc. | ||||||||
270,000 | 3.600%, 12/1/2024 | 254,307 | ||||||
Sunoco Logistics Partners | ||||||||
Operations, LP | ||||||||
760,000 | 4.400%, 4/1/2021 | 736,494 | ||||||
|
| |||||||
Total | 15,188,250 | |||||||
|
| |||||||
Financials (1.1%) | ||||||||
Abbey National Treasury Services plc | ||||||||
132,000 | 3.050%, 8/23/2018 | 135,444 | ||||||
ABN AMRO Bank NV | ||||||||
450,000 | 4.750%, 7/28/2025h | 448,515 | ||||||
ACE INA Holdings, Inc. | ||||||||
448,000 | 2.300%, 11/3/2020 | 444,778 | ||||||
335,000 | 4.350%, 11/3/2045 | 340,404 | ||||||
AerCap Ireland Capital, Ltd. | ||||||||
650,000 | 5.000%, 10/1/2021 | 669,500 | ||||||
Air Lease Corporation | ||||||||
220,000 | 2.125%, 1/15/2018 | 216,150 | ||||||
90,000 | 2.625%, 9/4/2018 | 88,961 | ||||||
Ally Financial, Inc. | ||||||||
440,000 | 3.750%, 11/18/2019 | 433,950 | ||||||
225,000 | 4.125%, 3/30/2020 | 223,875 | ||||||
American Express Credit Corporation | ||||||||
350,000 | 1.083%, 3/18/2019i | 345,914 | ||||||
American International Group, Inc. | ||||||||
145,000 | 2.300%, 7/16/2019 | 143,772 | ||||||
350,000 | 3.875%, 1/15/2035 | 308,711 | ||||||
Avalonbay Communities, Inc. | ||||||||
500,000 | 3.500%, 11/15/2025 | 495,174 | ||||||
Aviation Capital Group Corporation | ||||||||
132,000 | 3.875%, 9/27/2016h | 132,990 | ||||||
Banco Santander Chile | ||||||||
435,000 | 1.221%, 4/11/2017h,i | 429,563 | ||||||
Bank of America Corporation | ||||||||
370,000 | 1.656%, 3/22/2018i | 371,187 | ||||||
295,000 | 1.196%, 4/1/2019i | 293,701 | ||||||
350,000 | 2.625%, 10/19/2020 | 345,597 | ||||||
995,000 | 3.300%, 1/11/2023 | 979,403 | ||||||
150,000 | 4.000%, 4/1/2024 | 153,407 | ||||||
250,000 | 4.000%, 1/22/2025 | 244,732 | ||||||
360,000 | 3.875%, 8/1/2025 | 365,446 | ||||||
201,000 | 5.875%, 2/7/2042 | 234,583 | ||||||
573,000 | 8.000%, 12/29/2049k | 583,027 | ||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||
145,000 | 2.850%, 9/8/2021h | 144,425 | ||||||
Barclays Bank plc | ||||||||
280,000 | 10.179%, 6/12/2021h | 362,711 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
28
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | ||||||
Financials (1.1%) - continued | ||||||||
Barclays plc | ||||||||
$264,000 | 2.750%, 11/8/2019 | $ | 263,036 | |||||
448,000 | 3.650%, 3/16/2025 | 430,539 | ||||||
BB&T Corporation | ||||||||
150,000 | 1.036%, 1/15/2020i | 148,705 | ||||||
BBVA Banco Continental SA | ||||||||
350,000 | 2.250%, 7/29/2016h | 350,875 | ||||||
BioMed Realty, LP | ||||||||
282,000 | 2.625%, 5/1/2019 | 274,013 | ||||||
BPCE SA | ||||||||
258,000 | 5.700%, 10/22/2023h | 270,886 | ||||||
360,000 | 4.500%, 3/15/2025h | 345,346 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
210,000 | 0.989%, 1/29/2018h,i | 209,589 | ||||||
Capital One Financial Corporation | ||||||||
321,000 | 6.150%, 9/1/2016 | 330,754 | ||||||
235,000 | 2.450%, 4/24/2019 | 235,429 | ||||||
CIT Group, Inc. | ||||||||
450,000 | 5.000%, 8/15/2022 | 462,096 | ||||||
Citigroup, Inc. | ||||||||
245,000 | 1.088%, 4/8/2019i | 243,366 | ||||||
368,000 | 2.650%, 10/26/2020 | 365,025 | ||||||
244,000 | 4.050%, 7/30/2022 | 249,579 | ||||||
685,000 | 4.400%, 6/10/2025 | 691,855 | ||||||
450,000 | 4.650%, 7/30/2045 | 456,659 | ||||||
Citizens Bank NA | ||||||||
625,000 | 2.300%, 12/3/2018 | 624,262 | ||||||
CoBank ACB | ||||||||
120,000 | 1.112%, 6/15/2022*,i | 113,569 | ||||||
Compass Bank | ||||||||
30,000 | 2.750%, 9/29/2019 | 29,700 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
228,000 | 3.950%, 11/9/2022 | 230,787 | ||||||
Credit Agricole SA | ||||||||
290,000 | 1.121%, 4/15/2019h,i | 288,347 | ||||||
360,000 | 2.750%, 6/10/2020h | 361,931 | ||||||
Credit Suisse AG | ||||||||
231,000 | 5.400%, 1/14/2020 | 252,925 | ||||||
Credit Suisse Group Funding, Ltd. | ||||||||
672,000 | 2.750%, 3/26/2020h | 665,630 | ||||||
448,000 | 3.750%, 3/26/2025h | 433,343 | ||||||
CyrusOne, LP | ||||||||
630,000 | 6.375%, 11/15/2022 | 648,900 | ||||||
Digital Delta Holdings, LLC | ||||||||
280,000 | 3.400%, 10/1/2020h | 280,307 | ||||||
Discover Bank | ||||||||
510,000 | 8.700%, 11/18/2019 | 603,346 | ||||||
Discover Financial Services | ||||||||
188,000 | 6.450%, 6/12/2017 | 198,627 | ||||||
Duke Realty, LP | ||||||||
88,000 | 3.875%, 2/15/2021 | 89,727 | ||||||
264,000 | 4.375%, 6/15/2022 | 272,049 | ||||||
ERP Operating, LP | ||||||||
90,000 | 3.375%, 6/1/2025 | 88,995 | ||||||
European Investment Bank | ||||||||
445,000 | 1.875%, 3/15/2019 | 448,299 | ||||||
Fifth Third Bancorp | ||||||||
286,000 | 5.450%, 1/15/2017 | 296,493 | ||||||
148,000 | 2.875%, 7/27/2020 | 147,836 | ||||||
145,000 | 2.875%, 10/1/2021 | 144,416 | ||||||
GE Capital International Funding Company | ||||||||
919,000 | 4.418%, 11/15/2035h | 937,823 | ||||||
Genworth Financial, Inc. | ||||||||
248,000 | 7.700%, 6/15/2020f | 233,120 | ||||||
Goldman Sachs Group, Inc. | ||||||||
390,000 | 1.522%, 4/30/2018i | 391,771 | ||||||
205,000 | 1.462%, 11/15/2018i | 205,833 | ||||||
624,000 | 5.375%, 3/15/2020 | 685,491 | ||||||
210,000 | 1.476%, 4/23/2020i | 210,311 | ||||||
896,000 | 5.250%, 7/27/2021 | 990,636 | ||||||
450,000 | 3.500%, 1/23/2025 | 442,266 | ||||||
400,000 | 4.800%, 7/8/2044 | 397,681 | ||||||
184,000 | 5.150%, 5/22/2045 | 178,735 | ||||||
390,000 | 4.750%, 10/21/2045 | 387,417 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
544,000 | 5.125%, 4/15/2022 | 597,428 | ||||||
HBOS plc | ||||||||
288,000 | 6.750%, 5/21/2018h | 314,108 | ||||||
HCP, Inc. | ||||||||
705,000 | 4.000%, 12/1/2022 | 701,741 | ||||||
176,000 | 3.400%, 2/1/2025 | 163,941 | ||||||
HSBC Bank plc | ||||||||
495,000 | 1.002%, 5/15/2018h,i | 493,097 | ||||||
HSBC Holdings plc | ||||||||
815,000 | 6.375%, 12/29/2049k | 813,981 | ||||||
Huntington Bancshares, Inc. | ||||||||
66,000 | 2.600%, 8/2/2018 | 66,076 | ||||||
Huntington National Bank | ||||||||
250,000 | 2.200%, 11/6/2018 | 249,309 | ||||||
Hutchison Whampoa International 14, Ltd. | ||||||||
275,000 | 3.625%, 10/31/2024h | 272,850 | ||||||
Icahn Enterprises, LP | ||||||||
625,000 | 6.000%, 8/1/2020 | 630,250 | ||||||
ING Bank NV | ||||||||
335,000 | 4.125%, 11/21/2023 | 341,202 | ||||||
ING Capital Funding Trust III | ||||||||
265,000 | 4.207%, 12/29/2049i,k | 264,338 | ||||||
International Lease Finance Corporation | ||||||||
383,000 | 2.462%, 6/15/2016i | 382,042 | ||||||
Intesa Sanpaolo SPA | ||||||||
450,000 | 5.250%, 1/12/2024 | 481,628 | ||||||
J.P. Morgan Chase & Company | ||||||||
326,000 | 6.300%, 4/23/2019 | 365,544 | ||||||
165,000 | 2.250%, 1/23/2020 | 162,324 | ||||||
560,000 | 4.500%, 1/24/2022 | 604,019 | ||||||
336,000 | 3.200%, 1/25/2023 | 334,903 | ||||||
352,000 | 3.625%, 5/13/2024 | 357,216 | ||||||
690,000 | 3.125%, 1/23/2025 | 671,233 | ||||||
582,000 | 7.900%, 4/29/2049k | 592,476 | ||||||
KeyCorp | ||||||||
300,000 | 2.900%, 9/15/2020 | 298,872 | ||||||
Liberty Mutual Group, Inc. | ||||||||
445,000 | 4.950%, 5/1/2022h | 471,693 | ||||||
Liberty Property, LP | ||||||||
618,000 | 3.750%, 4/1/2025 | 596,293 | ||||||
Lloyds Bank plc | ||||||||
235,000 | 1.038%, 3/16/2018i | 233,756 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
29
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | ||||||
Financials (1.1%) - continued | ||||||||
Merrill Lynch & Company, Inc. | ||||||||
$ | 610,000 | 6.050%, 5/16/2016 | $ | 620,060 | ||||
225,000 | 6.400%, 8/28/2017 | 241,020 | ||||||
MetLife, Inc. | ||||||||
355,000 | 4.050%, 3/1/2045 | 329,437 | ||||||
Mizuho Bank, Ltd. | ||||||||
282,000 | 1.850%, 3/21/2018h | 280,483 | ||||||
Morgan Stanley | ||||||||
1,018,000 | 6.625%, 4/1/2018 | 1,116,268 | ||||||
260,000 | 1.600%, 4/25/2018i | 262,777 | ||||||
210,000 | 1.463%, 1/27/2020i | 210,449 | ||||||
155,000 | 4.875%, 11/1/2022 | 164,494 | ||||||
275,000 | 4.000%, 7/23/2025 | 283,188 | ||||||
540,000 | 4.350%, 9/8/2026 | 541,765 | ||||||
220,000 | 4.300%, 1/27/2045 | 209,904 | ||||||
560,000 | 5.550%, 12/29/2049k | 560,000 | ||||||
MPT Operating Partnership, LP | ||||||||
450,000 | 5.500%, 5/1/2024 | 447,750 | ||||||
National City Corporation | ||||||||
288,000 | 6.875%, 5/15/2019 | 325,360 | ||||||
Prudential Financial, Inc. | ||||||||
145,000 | 2.350%, 8/15/2019 | 144,314 | ||||||
Quicken Loans, Inc. | ||||||||
450,000 | 5.750%, 5/1/2025h | 428,625 | ||||||
Realty Income Corporation | ||||||||
58,000 | 2.000%, 1/31/2018 | 58,033 | ||||||
Regions Bank | ||||||||
250,000 | 7.500%, 5/15/2018 | 277,785 | ||||||
Regions Financial Corporation | ||||||||
250,000 | 2.250%, 9/14/2018 | 249,737 | ||||||
Reinsurance Group of America, Inc. | ||||||||
105,000 | 5.625%, 3/15/2017 | 109,427 | ||||||
252,000 | 5.000%, 6/1/2021 | 271,691 | ||||||
Reliance Standard Life Global Funding II | ||||||||
230,000 | 2.500%, 4/24/2019h | 229,096 | ||||||
Royal Bank of Scotland Group plc | ||||||||
295,000 | 1.543%, 3/31/2017i | 294,425 | ||||||
650,000 | 7.500%, 12/29/2049k | 676,813 | ||||||
Santander Holdings USA, Inc. | ||||||||
276,000 | 2.650%, 4/17/2020 | 270,775 | ||||||
Santander UK Group Holdings plc | ||||||||
380,000 | 2.875%, 10/16/2020 | 377,420 | ||||||
325,000 | 4.750%, 9/15/2025f,h | 320,712 | ||||||
Simon Property Group, LP | ||||||||
100,000 | 10.350%, 4/1/2019 | 122,715 | ||||||
150,000 | 2.500%, 9/1/2020 | 150,116 | ||||||
400,000 | 2.750%, 2/1/2023 | 390,873 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
365,000 | 2.375%, 3/25/2019h | 366,679 | ||||||
State Street Corporation | ||||||||
233,000 | 1.264%, 8/18/2020i | 233,024 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
250,000 | 0.897%, 1/16/2018i | 249,142 | ||||||
Svenska Handelsbanken AB | ||||||||
330,000 | 1.016%, 6/17/2019i | 326,978 | ||||||
Synchrony Financial | ||||||||
155,000 | 3.000%, 8/15/2019 | 154,785 | ||||||
140,000 | 1.564%, 2/3/2020i | 137,788 | ||||||
670,000 | 3.750%, 8/15/2021 | 669,267 | ||||||
Toronto-Dominion Bank | ||||||||
165,000 | 1.432%, 12/14/2020i | 164,961 | ||||||
UBS Group Funding Jersey, Ltd. | ||||||||
560,000 | 2.950%, 9/24/2020h | 554,772 | ||||||
336,000 | 4.125%, 9/24/2025h | 335,652 | ||||||
UnitedHealth Group, Inc. | ||||||||
100,000 | 3.350%, 7/15/2022 | 102,284 | ||||||
USB Realty Corporation | ||||||||
140,000 | 1.468%, 12/29/2049h,i,k | 126,000 | ||||||
Voya Financial, Inc. | ||||||||
344,000 | 2.900%, 2/15/2018 | 347,719 | ||||||
Wells Fargo & Company | ||||||||
210,000 | 1.002%, 1/30/2020i | 208,044 | ||||||
450,000 | 2.550%, 12/7/2020 | 447,788 | ||||||
1,317,000 | 3.450%, 2/13/2023 | 1,320,103 | ||||||
350,000 | 3.000%, 2/19/2025 | 340,431 | ||||||
Welltower, Inc. | ||||||||
58,000 | 2.250%, 3/15/2018 | 57,948 | ||||||
185,000 | 3.750%, 3/15/2023 | 181,666 | ||||||
165,000 | 4.000%, 6/1/2025 | 162,305 | ||||||
|
| |||||||
Total | 52,457,413 | |||||||
|
| |||||||
Foreign Government (<0.1%) | ||||||||
Eksportfinans ASA | ||||||||
111,000 | 5.500%, 5/25/2016 | 112,395 | ||||||
Export-Import Bank of Korea | ||||||||
205,000 | 2.250%, 1/21/2020 | 201,853 | ||||||
Kommunalbanken AS | ||||||||
335,000 | 1.500%, 10/22/2019h | 330,885 | ||||||
|
| |||||||
Total | 645,133 | |||||||
|
| |||||||
Mortgage-Backed Securities (4.7%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
15,800,000 | 3.000%, 1/1/2031c | 16,281,483 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
12,300,000 | 4.000%, 1/1/2046c | 12,993,555 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
17,300,000 | 3.500%, 1/1/2030c | 18,117,027 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
2,031,752 | 1.728%, 7/1/2043i | 2,065,814 | ||||||
520,950 | 2.016%, 7/1/2043i | 534,595 | ||||||
494,337 | 2.069%, 8/1/2043i | 507,653 | ||||||
94,375,000 | 3.500%, 1/1/2046c | 97,368,877 | ||||||
44,000,000 | 4.000%, 1/1/2046c | 46,559,564 | ||||||
33,339,000 | 4.500%, 1/1/2046c | �� | 36,001,953 | |||||
|
| |||||||
Total | 230,430,521 | |||||||
|
| |||||||
Technology (0.2%) | ||||||||
Amphenol Corporation | ||||||||
188,000 | 2.550%, 1/30/2019 | 188,033 | ||||||
Apple, Inc. | ||||||||
165,000 | 0.659%, 5/6/2020i | 163,756 | ||||||
784,000 | 3.200%, 5/13/2025 | 793,489 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
30
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | ||||||
Technology (0.2%) - continued | ||||||||
$ | 784,000 | 3.450%, 2/9/2045 | $ | 674,991 | ||||
Baidu, Inc. | ||||||||
525,000 | 2.750%, 6/9/2019 | 520,431 | ||||||
Cisco Systems, Inc. | ||||||||
220,000 | 0.914%, 3/1/2019i | 219,803 | ||||||
CommScope Technologies Finance, LLC | ||||||||
465,000 | 6.000%, 6/15/2025h | 447,562 | ||||||
Denali Borrower, LLC | ||||||||
670,000 | 5.625%, 10/15/2020h | 701,825 | ||||||
Equinix, Inc. | ||||||||
450,000 | 5.750%, 1/1/2025 | 460,125 | ||||||
Fidelity National Information Services, Inc. | ||||||||
200,000 | 2.850%, 10/15/2018 | 200,706 | ||||||
338,000 | 3.625%, 10/15/2020 | 342,403 | ||||||
First Data Corporation | ||||||||
450,000 | 5.375%, 8/15/2023h | 452,250 | ||||||
Freescale Semiconductor, Inc. | ||||||||
670,000 | 6.000%, 1/15/2022h | 701,825 | ||||||
Hewlett Packard Enterprise Company | ||||||||
280,000 | 2.450%, 10/5/2017h | 279,763 | ||||||
140,000 | 2.850%, 10/5/2018h | 139,922 | ||||||
140,000 | 4.400%, 10/15/2022h | 139,463 | ||||||
IMS Health, Inc. | ||||||||
863,000 | 6.000%, 11/1/2020h | 888,890 | ||||||
Intel Corporation | ||||||||
85,000 | 3.100%, 7/29/2022 | 86,676 | ||||||
180,000 | 3.700%, 7/29/2025 | 186,184 | ||||||
Iron Mountain, Inc. | ||||||||
290,000 | 6.000%, 8/15/2023 | 300,150 | ||||||
Microsoft Corporation | ||||||||
700,000 | 4.750%, 11/3/2055 | 725,057 | ||||||
700,000 | 4.200%, 11/3/2035 | 714,811 | ||||||
Oracle Corporation | ||||||||
150,000 | 2.500%, 5/15/2022 | 147,227 | ||||||
460,000 | 2.950%, 5/15/2025 | 448,127 | ||||||
Plantronics, Inc. | ||||||||
670,000 | 5.500%, 5/31/2023h | 666,650 | ||||||
Qualcomm, Inc. | ||||||||
575,000 | 3.000%, 5/20/2022 | 569,237 | ||||||
Seagate HDD Cayman | ||||||||
368,000 | 4.875%, 6/1/2027h | 282,389 | ||||||
|
| |||||||
Total | 11,441,745 | |||||||
|
| |||||||
Transportation (0.1%) | ||||||||
Air Canada Pass Through Trust | ||||||||
140,000 | 3.875%, 3/15/2023h | 135,800 | ||||||
American Airlines Pass Through Trust | ||||||||
289,035 | 3.375%, 5/1/2027 | 278,919 | ||||||
Avis Budget Car Rental, LLC | ||||||||
665,000 | 5.125%, 6/1/2022h | 656,688 | ||||||
Burlington Northern Santa Fe, LLC | ||||||||
350,000 | 5.050%, 3/1/2041 | 362,144 | ||||||
Canadian Pacific Railway Company | ||||||||
65,000 | 7.125%, 10/15/2031 | 80,490 | ||||||
150,000 | 4.800%, 8/1/2045 | 145,990 | ||||||
Continental Airlines, Inc. | ||||||||
144,697 | 4.150%, 4/11/2024 | 148,459 | ||||||
CSX Corporation | ||||||||
115,000 | 3.700%, 11/1/2023 | 117,565 | ||||||
Delta Air Lines, Inc. | ||||||||
81,528 | 4.950%, 5/23/2019 | 85,604 | ||||||
23,467 | 4.750%, 5/7/2020 | 24,758 | ||||||
ERAC USA Finance, LLC | ||||||||
67,000 | 2.800%, 11/1/2018h | 67,435 | ||||||
FedEx Corporation | ||||||||
450,000 | 3.900%, 2/1/2035 | 409,631 | ||||||
J.B. Hunt Transport Services, Inc. | ||||||||
135,000 | 3.300%, 8/15/2022 | 133,698 | ||||||
Southwest Airlines Company | ||||||||
285,000 | 2.750%, 11/6/2019 | 287,209 | ||||||
Virgin Australia Holdings, Ltd. | ||||||||
80,829 | 5.000%, 10/23/2023h | 83,455 | ||||||
XPO Logistics, Inc. | ||||||||
225,000 | 6.500%, 6/15/2022h | 208,125 | ||||||
|
| |||||||
Total | 3,225,970 | |||||||
|
| |||||||
U.S. Government and Agencies (3.8%) | ||||||||
Federal National Mortgage Association | ||||||||
405,000 | 6.250%, 5/15/2029 | 549,088 | ||||||
Tennessee Valley Authority | ||||||||
390,000 | 5.250%, 9/15/2039 | 468,739 | ||||||
U.S. Treasury Bonds | ||||||||
4,150,000 | 6.500%, 11/15/2026 | 5,806,597 | ||||||
2,900,000 | 5.250%, 11/15/2028 | 3,788,917 | ||||||
2,050,000 | 4.375%, 5/15/2040 | 2,579,476 | ||||||
34,845,000 | 3.000%, 5/15/2042 | 35,060,063 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
1,725,551 | 0.125%, 4/15/2019 | 1,715,419 | ||||||
100,942 | 2.375%, 1/15/2025 | 114,756 | ||||||
66,025 | 2.125%, 2/15/2040 | 77,735 | ||||||
578,919 | 0.750%, 2/15/2042 | 508,590 | ||||||
U.S. Treasury Notes | ||||||||
10,000,000 | 0.250%, 2/29/2016 | 9,999,220 | ||||||
385,000 | 0.875%, 11/15/2017 | 383,661 | ||||||
8,415,000 | 1.500%, 10/31/2019 | 8,388,703 | ||||||
23,330,000 | 1.875%, 6/30/2020 | 23,493,123 | ||||||
4,070,000 | 1.375%, 9/30/2020 | 3,999,727 | ||||||
2,000,000 | 2.125%, 6/30/2022 | 2,010,312 | ||||||
1,015,000 | 1.625%, 8/15/2022 | 988,633 | ||||||
7,435,000 | 2.250%, 11/15/2024 | 7,431,223 | ||||||
14,300,000 | 3.625%, 2/15/2044 | 16,086,385 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
29,838,100 | 0.125%, 4/15/2018 | 29,780,602 | ||||||
614,741 | 0.125%, 1/15/2022 | 595,715 | ||||||
36,296,192 | 0.125%, 1/15/2023 | 34,800,390 | ||||||
|
| |||||||
Total | 188,627,074 | |||||||
|
| |||||||
Utilities (0.3%) | ||||||||
AES Corporation | ||||||||
630,000 | 7.375%, 7/1/2021 | 642,600 | ||||||
American Electric Power Company, Inc. | ||||||||
718,000 | 2.950%, 12/15/2022 | 709,194 | ||||||
Arizona Public Service Company | ||||||||
180,000 | 2.200%, 1/15/2020 | 178,307 | ||||||
Berkshire Hathaway Energy Company | ||||||||
132,000 | 2.400%, 2/1/2020 | 130,769 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
31
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (13.8%) | Value | ||||||
| Utilities (0.3%) - continued | |||||||
Calpine Corporation | ||||||||
$ | 670,000 | 5.375%, 1/15/2023 | $ | 601,325 | ||||
Commonwealth Edison Company | ||||||||
355,000 | 3.700%, 3/1/2045 | 319,306 | ||||||
280,000 | 4.350%, 11/15/2045 | 281,841 | ||||||
Consolidated Edison Company of New York, Inc. | ||||||||
168,000 | 4.500%, 12/1/2045 | 170,063 | ||||||
Covanta Holding Corporation | ||||||||
350,000 | 7.250%, 12/1/2020 | 362,031 | ||||||
DCP Midstream Operating, LP | ||||||||
185,000 | 3.875%, 3/15/2023 | 139,644 | ||||||
DCP Midstream, LLC | ||||||||
298,000 | 4.750%, 9/30/2021h | 231,733 | ||||||
DTE Electric Company | ||||||||
265,000 | 3.700%, 3/15/2045 | 243,490 | ||||||
DTE Energy Company | ||||||||
70,000 | 2.400%, 12/1/2019 | 69,703 | ||||||
Duke Energy Carolinas, LLC | ||||||||
172,000 | 3.750%, 6/1/2045 | 159,298 | ||||||
Duke Energy Corporation | ||||||||
468,000 | 2.100%, 6/15/2018 | 468,641 | ||||||
Dynegy, Inc. | ||||||||
680,000 | 6.750%, 11/1/2019 | 639,200 | ||||||
EDP Finance BV | ||||||||
682,000 | 4.125%, 1/15/2020h | 683,569 | ||||||
Enel Finance International NV | ||||||||
84,000 | 6.250%, 9/15/2017h | 89,505 | ||||||
Energy Transfer Equity, LP | ||||||||
670,000 | 5.500%, 6/1/2027 | 509,200 | ||||||
Eversource Energy | ||||||||
150,000 | 1.600%, 1/15/2018 | 148,415 | ||||||
Exelon Generation Company, LLC | ||||||||
300,000 | 5.200%, 10/1/2019 | 323,186 | ||||||
135,000 | 2.950%, 1/15/2020 | 134,515 | ||||||
ITC Holdings Corporation | ||||||||
67,000 | 4.050%, 7/1/2023 | 68,831 | ||||||
265,000 | 5.300%, 7/1/2043 | 271,354 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
340,000 | 3.500%, 3/1/2021 | 304,258 | ||||||
MidAmerican Energy Holdings Company | ||||||||
205,000 | 6.500%, 9/15/2037 | 249,491 | ||||||
Monongahela Power Company | ||||||||
275,000 | 5.400%, 12/15/2043h | 306,135 | ||||||
MPLX LP | ||||||||
665,000 | 4.875%, 12/1/2024h | 596,838 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
400,000 | 2.300%, 11/1/2020 | 396,126 | ||||||
NiSource Finance Corporation | ||||||||
615,000 | 5.650%, 2/1/2045 | 706,864 | ||||||
Northern States Power Company | ||||||||
410,000 | 4.125%, 5/15/2044 | 407,077 | ||||||
NRG Energy, Inc. | ||||||||
630,000 | 6.625%, 3/15/2023 | 546,525 | ||||||
Oncor Electric Delivery Company, LLC | ||||||||
258,000 | 3.750%, 4/1/2045 | 214,432 | ||||||
Pacific Gas & Electric Company | ||||||||
347,000 | 5.625%, 11/30/2017 | 370,916 | ||||||
336,000 | 4.250%, 3/15/2046 | 325,580 | ||||||
PG&E Corporation | ||||||||
140,000 | 2.400%, 3/1/2019 | 139,701 | ||||||
PPL Capital Funding, Inc. | ||||||||
144,000 | 3.500%, 12/1/2022 | 145,068 | ||||||
515,000 | 5.000%, 3/15/2044 | 530,980 | ||||||
Sempra Energy | ||||||||
365,000 | 6.150%, 6/15/2018 | 398,391 | ||||||
170,000 | 2.400%, 3/15/2020 | 166,615 | ||||||
Southern California Edison Company | ||||||||
100,000 | 2.400%, 2/1/2022 | 98,062 | ||||||
Southwestern Electric Power Company | ||||||||
180,000 | 3.900%, 4/1/2045 | 157,613 | ||||||
TransAlta Corporation | ||||||||
336,000 | 1.900%, 6/3/2017 | 326,321 | ||||||
Williams Companies, Inc. | ||||||||
192,000 | 7.875%, 9/1/2021 | 172,802 | ||||||
|
| |||||||
Total | 14,135,515 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $677,640,086) | 674,409,972 | |||||||
|
| |||||||
Shares | Collateral Held for Securities Loaned (1.6%) | |||||||
80,456,520 | Thrivent Cash Management Trust | 80,456,520 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $80,456,520) | 80,456,520 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (11.4%)m | |||||||
Federal Agricultural Mortgage Corporation Discount Notes | ||||||||
5,000,000 | 0.170%, 1/4/2016 | 4,999,929 | ||||||
Federal Farm Credit Discount Notes | ||||||||
1,500,000 | 0.190%, 2/2/2016 | 1,499,747 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
35,855,000 | 0.099%, 1/4/2016 | 35,854,705 | ||||||
15,000,000 | 0.100%, 1/5/2016 | 14,999,833 | ||||||
33,700,000 | 0.102%, 1/6/2016 | 33,699,522 | ||||||
38,400,000 | 0.103%, 1/8/2016 | 38,399,228 | ||||||
15,000,000 | 0.105%, 1/11/2016 | 14,999,563 | ||||||
4,700,000 | 0.100%, 1/12/2016 | 4,699,856 | ||||||
23,800,000 | 0.159%, 1/13/2016 | 23,798,737 | ||||||
11,500,000 | 0.113%, 1/15/2016 | 11,499,493 | ||||||
12,900,000 | 0.181%, 1/20/2016 | 12,898,766 | ||||||
24,905,000 | 0.118%, 1/21/2016 | 24,903,365 | ||||||
20,000,000 | 0.116%, 1/22/2016 | 19,998,644 | ||||||
14,200,000 | 0.251%, 1/26/2016 | 14,197,528 | ||||||
3,000,000 | 0.250%, 1/27/2016 | 2,999,458 | ||||||
2,000,000 | 0.250%, 1/29/2016 | 1,999,611 | ||||||
33,230,000 | 0.206%, 2/3/2016 | 33,223,732 | ||||||
7,000,000 | 0.206%, 2/5/2016 | 6,998,600 | ||||||
11,000,000 | 0.250%, 2/12/2016 | 10,996,792 | ||||||
14,583,000 | 0.260%, 2/19/2016 | 14,577,839 | ||||||
20,739,000 | 0.276%, 2/24/2016 | 20,730,421 | ||||||
2,504,000 | 0.350%, 3/11/2016 | 2,502,296 | ||||||
3,000,000 | 0.355%, 3/14/2016 | 2,997,840 | ||||||
25,000,000 | 0.365%, 3/16/2016 | 24,980,990 | ||||||
6,000,000 | 0.310%, 3/18/2016 | 5,996,022 | ||||||
8,000,000 | 0.370%, 3/21/2016 | 7,993,422 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
32
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares or Principal Amount | Short-Term Investments (11.4%)m | Value | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
1,000,000 | 0.105%, 1/6/2016g | $ | 999,985 | |||||
7,600,000 | 0.230%, 1/27/2016g | 7,598,738 | ||||||
26,000,000 | 0.200%, 2/17/2016g | 25,993,211 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
3,500,000 | 0.070%, 1/8/2016 | 3,499,952 | ||||||
5,000,000 | 0.230%, 1/25/2016g | 4,999,233 | ||||||
3,000,000 | 0.064%, 1/27/2016g,n | 2,999,861 | ||||||
5,900,000 | 0.180%, 2/8/2016g | 5,898,879 | ||||||
3,500,000 | 0.200%, 2/16/2016g | 3,499,106 | ||||||
Thrivent Cash Management Trust | ||||||||
108,913,011 | 0.220% | 108,913,011 | ||||||
U.S. Treasury Bills | ||||||||
100,000 | 0.205%, 2/25/2016n | 99,969 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 556,947,884 | |||||||
|
| |||||||
Total Investments (cost $4,955,735,609) 106.2% | $ | 5,201,970,512 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (6.2%) | (303,891,893 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 4,898,078,619 | ||||||
|
|
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | All or a portion of the loan is unfunded. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Defaulted security. Interest is not being accrued. |
e | Non-income producing security. |
f | All or a portion of the security is on loan. |
g | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
h | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $44,910,732 or 0.9% of total net assets. |
i | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
j | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
k | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
l | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
m | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
n | At December 31, 2015, $199,964 of investments were segregated to cover exposure to a counterparty for margin on open mortgage-backed security transactions. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Moderately Aggressive Allocation Portfolio as of December 31, 2015 was $25,334,861 or 0.5% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
Alm Loan Funding CLO, 10/17/2026 | 7/31/2014 | $ | 384,808 | |||||
Apidos CLO XVIII, 7/22/2026 | 6/25/2014 | 374,062 | ||||||
Ares CLO, Ltd., 11/15/2025 | 11/26/2014 | 750,000 | ||||||
Ares CLO, Ltd., 10/12/2023 | 5/15/2015 | 1,275,000 | ||||||
Babson CLO, Ltd., 10/17/2026 | 8/15/2014 | 384,808 | ||||||
Betony CLO, Ltd., 4/15/2027 | 2/25/2015 | 350,000 | ||||||
Birchwood Park CLO, Ltd., 7/15/2026 | 7/31/2014 | 385,000 | ||||||
BlueMountain CLO, Ltd., 10/15/2026 | 8/27/2014 | 384,611 | ||||||
Carlyle Global Market Strategies CLO, Ltd., 10/15/2026 | 9/19/2014 | 400,000 | ||||||
Carlyle Global Market Strategies CLO, Ltd., 7/20/2023 | 7/3/2014 | 385,000 | ||||||
Cent CLO 16, LP, 8/1/2024 | 9/5/2014 | 385,000 | ||||||
Cent CLO 22, Ltd., 11/7/2026 | 9/19/2014 | 400,000 | ||||||
CoBank ACB, 6/15/2022 | 10/18/2013 | 116,000 | ||||||
DRB Prime Student Loan Trust, 1/25/2040 | 12/4/2015 | 975,205 | ||||||
Dryden 34 Senior Loan Fund CLO, 10/15/2026 | 7/21/2014 | 385,000 | ||||||
Edlinc Student Loan Funding Trust, 10/1/2025 | 2/28/2013 | 319,071 | ||||||
Galaxy XX CLO, Ltd., 7/20/2027 | 5/20/2015 | 1,200,000 | ||||||
GoldenTree Loan Opportunities IX, Ltd., 10/29/2026 | 10/3/2014 | 399,600 | ||||||
Golub Capital Partners CLO 22B, Ltd., 2/20/2027 | 2/6/2015 | 721,303 | ||||||
Golub Capital Partners CLO 23M, Ltd., 5/5/2027 | 5/18/2015 | 349,125 | ||||||
Limerock CLO III, LLC, 10/20/2026 | 10/16/2014 | 1,150,000 | ||||||
Madison Park Funding XIV CLO, Ltd., 7/20/2026 | 7/3/2014 | 424,490 | ||||||
Madison Park Funding, Ltd., 8/15/2022 | 5/8/2015 | 1,100,000 | ||||||
Magnetite XII, Ltd., 4/15/2027 | 2/6/2015 | 1,200,000 | ||||||
Mountain View CLO, Ltd., 7/15/2027 | 5/13/2015 | 1,196,892 | ||||||
Neuberger Berman CLO, Ltd., 8/4/2025 | 6/19/2014 | 300,000 | ||||||
NZCG Funding CLO, Ltd., 4/27/2027 | 3/27/2015 | 1,200,000 | ||||||
Octagon Investment Partners XX CLO, Ltd., 8/12/2026 | 7/10/2014 | 385,000 | ||||||
OHA Loan Funding, Ltd., 10/20/2026 | 11/6/2014 | 1,147,125 | ||||||
OZLM VIII, Ltd., 10/17/2026 | 8/7/2014 | 382,805 | ||||||
Pretium Mortgage Credit Partners, LLC, 11/27/2030 | 11/6/2015 | 2,247,869 | ||||||
Race Point IX CLO, Ltd., 4/15/2027 | 2/13/2015 | 900,000 | ||||||
Shackleton VII CLO, Ltd., 4/15/2027 | 3/27/2015 | 1,200,000 | ||||||
Symphony CLO XV, Ltd., 10/17/2026 | 10/17/2014 | 1,141,375 | ||||||
Symphony CLO VIII, Ltd., 1/9/2023 | 9/15/2014 | 376,673 | ||||||
Vericrest Opportunity Loan Transferee, 2/25/2055 | 2/25/2015 | 478,010 | ||||||
Voya CLO 3, Ltd., 7/25/2026 | 7/10/2014 | 384,422 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
33
Table of Contents
MODERATELY AGGRESSIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Moderately Aggressive Allocation Portfolio as of December 31, 2015:
Securities Lending Transactions | ||||
Taxable Debt Security | $ | 2,903,163 | ||
Common Stock | 75,316,256 | |||
|
| |||
Total lending | $ | 78,219,419 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 80,456,520 | ||
|
| |||
Net amounts due to counterparty | $ | 2,237,101 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
CLO | - | Collateralized Loan Obligation | ||
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
TIPS | - | Treasury Inflation Protected Security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
34
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (2.7%)a | Value | ||||||
| Basic Materials (0.2%) | |||||||
Alpha Natural Resources, Inc., Term Loan | ||||||||
$ | 4,204,724 | 3.500%, 5/22/2020 | $ | 1,811,521 | ||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
2,148,349 | 4.250%, 6/30/2019 | 1,587,308 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
3,803,205 | 3.750%, 12/15/2020 | 3,641,569 | ||||||
NewPage Corporation, Term Loan | ||||||||
7,800,000 | 9.500%, 2/11/2021 | 2,783,664 | ||||||
Tronox Pigments BV, Term Loan | ||||||||
6,115,296 | 4.500%, 3/19/2020 | 5,396,749 | ||||||
Wausau Paper Corporation, Term Loan | ||||||||
5,306,243 | 6.500%, 7/30/2020 | 5,266,446 | ||||||
|
| |||||||
Total | 20,487,257 | |||||||
|
| |||||||
| Capital Goods (<0.1%) | |||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
2,223,923 | 3.750%, 10/9/2019 | 2,148,866 | ||||||
Silver II Borrower, Term Loan | ||||||||
1,529,557 | 4.000%, 12/13/2019 | 1,290,181 | ||||||
|
| |||||||
Total | 3,439,047 | |||||||
|
| |||||||
| Communications Services (1.0%) | |||||||
Altice U.S. Finance I Corporation, Term Loan | ||||||||
1,985,427 | 4.250%, 2/14/2019 | 1,951,516 | ||||||
Birch Communication Inc., Term Loan | ||||||||
7,871,094 | 7.750%, 7/17/2020 | 7,516,895 | ||||||
Cengage Learning Acquisitions, Term Loan | ||||||||
5,810,378 | 7.000%, 3/31/2020 | 5,650,593 | ||||||
Fairpoint Communications, Term Loan | ||||||||
4,162,300 | 7.500%, 2/14/2019 | 4,126,921 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
2,544,810 | 4.500%, 5/29/2020 | 2,491,802 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
4,626,240 | 5.250%, 6/26/2019 | 4,592,977 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
2,650,000 | 8.250%, 5/6/2022 | 2,305,500 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
3,371,076 | 5.250%, 8/14/2020 | 3,253,088 | ||||||
890,900 | 9.750%, 2/12/2021 | 861,946 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
4,394,236 | 3.750%, 6/30/2019 | 4,146,269 | ||||||
Liberty Cablevision of Puerto Rico, LLC, Term Loan | ||||||||
4,380,000 | 4.500%, 1/7/2022 | 4,232,175 | ||||||
1,000,000 | 7.750%, 7/7/2023 | 940,000 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
7,261,244 | 4.000%, 4/13/2020 | 7,054,298 | ||||||
135,988 | 8.000%, 4/12/2021 | 130,974 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
4,388,716 | 4.750%, 3/22/2019 | 4,282,641 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
242,857 | 10.000%, 7/22/2020 | 227,072 | ||||||
NEP/NCP Holdco, Inc., Term Loan | ||||||||
9,182,402 | 4.250%, 1/22/2020 | 8,562,590 | ||||||
NTelos, Inc., Term Loan | ||||||||
1,233,563 | 5.750%, 11/9/2019 | 1,221,227 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
3,315,763 | 4.000%, 4/23/2019 | 2,398,391 | ||||||
TNS, Inc., Term Loan | ||||||||
3,438,374 | 5.000%, 2/14/2020 | 3,378,202 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
3,725,664 | 4.000%, 3/1/2020 | 3,639,974 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
5,544,105 | 4.500%, 4/1/2019 | 5,334,482 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
3,596,033 | 4.250%, 3/1/2020 | 3,538,712 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
6,388,573 | 3.750%, 5/6/2021 | 6,273,323 | ||||||
|
| |||||||
Total | 88,111,568 | |||||||
|
| |||||||
| Consumer Cyclical (0.5%) | |||||||
Amaya BV, Term Loan | ||||||||
8,816,403 | 5.000%, 8/1/2021 | 8,243,337 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
1,754,092 | 4.250%, 8/13/2021 | 1,729,973 | ||||||
Ceridian HCM Holding, Inc., Term Loan | ||||||||
2,469,098 | 4.500%, 9/15/2020 | 2,089,474 | ||||||
Golden Nugget, Inc., Delayed Draw | ||||||||
499,140 | 5.500%, 11/21/2019 | 494,149 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
1,164,660 | 5.500%, 11/21/2019 | 1,153,013 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
3,155,970 | 5.250%, 5/6/2021 | 3,095,817 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
3,880,500 | 6.000%, 5/22/2018 | 3,805,800 | ||||||
Marina District Finance Company, Inc., Term Loan | ||||||||
1,733,846 | 6.500%, 8/15/2018 | 1,729,511 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
8,439,221 | 5.500%, 6/15/2018 | 8,237,271 | ||||||
Rite Aid Corporation, Term Loan | ||||||||
1,285,000 | 5.750%, 8/21/2020 | 1,285,643 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
6,089,825 | 5.000%, 6/20/2019 | 5,653,367 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
7,875,123 | 6.000%, 10/18/2020 | 7,186,050 | ||||||
1,841,053 | 6.000%, 10/1/2021 | 1,672,725 | ||||||
|
| |||||||
Total | 46,376,130 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.3%) | |||||||
Albertson’s, Inc., Term Loan | ||||||||
6,860,145 | 5.500%, 3/21/2019 | 6,830,990 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
35
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (2.7%)a | Value | ||||||
| Consumer Non-Cyclical (0.3%) - continued | |||||||
Albertson’s, LLC, Term Loan | ||||||||
$ | 850,000 | 0.000%, 12/22/2022b,c | $ | 844,050 | ||||
Catalina Marketing Corporation, Term Loan | ||||||||
3,841,500 | 4.500%, 4/9/2021 | 3,053,993 | ||||||
JBS USA, LLC, Term Loan | ||||||||
925,000 | 4.000%, 10/30/2022 | 921,531 | ||||||
Ortho-Clinical Diagnostics, Inc., Term Loan | ||||||||
10,309,017 | 4.750%, 6/30/2021 | 8,698,233 | ||||||
Sterigenics-Nordion Holdings, LLC, Term Loan | ||||||||
912,713 | 4.250%, 5/16/2022 | 885,331 | ||||||
Supervalu, Inc., Term Loan | ||||||||
8,050,007 | 4.500%, 3/21/2019 | 7,930,947 | ||||||
|
| |||||||
Total | 29,165,075 | |||||||
|
| |||||||
| Energy (0.2%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
3,415,842 | 6.250%, 5/16/2018 | 1,503,927 | ||||||
Energy Solutions, LLC, Term Loan | ||||||||
6,213,304 | 6.750%, 5/29/2020 | 4,659,978 | ||||||
Expro Holdings UK 2, Ltd., Term Loan | ||||||||
2,962,500 | 5.750%, 9/2/2021 | 1,967,604 | ||||||
Fieldwood Energy, LLC, Term Loan | ||||||||
2,052,773 | 3.875%, 10/1/2018 | 1,334,303 | ||||||
660,000 | 8.375%, 9/30/2020 | 99,000 | ||||||
Houston Fuel Oil Terminal, LLC, Term Loan | ||||||||
3,683,375 | 4.250%, 8/19/2021 | 3,388,705 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
1,434,183 | 4.750%, 11/8/2019 | 1,312,277 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
3,300,375 | 0.000%, 3/28/2019d | 662,814 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
2,364,375 | 4.500%, 6/3/2018 | 1,010,770 | ||||||
Targa Resources Partners, LP, Term Loan | ||||||||
269,767 | 5.750%, 2/27/2022 | 261,000 | ||||||
|
| |||||||
Total | 16,200,378 | |||||||
|
| |||||||
| Financials (0.2%) | |||||||
DJO Finance, LLC, Term Loan | ||||||||
1,451,363 | 4.250%, 6/7/2020 | 1,408,272 | ||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
4,378,125 | 7.000%, 5/22/2018 | 4,228,524 | ||||||
475,000 | 6.000%, 8/4/2019 | 452,438 | ||||||
MoneyGram International, Inc., Term Loan | ||||||||
3,350,262 | 4.250%, 3/27/2020 | 3,051,520 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
3,550,200 | 4.000%, 10/15/2019 | 3,488,071 | ||||||
|
| |||||||
Total | 12,628,825 | |||||||
|
| |||||||
| Technology (0.2%) | |||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||
3,500,000 | 0.000%, 11/13/2022b,c | 3,458,455 | ||||||
First Data Corporation, Term Loan | ||||||||
7,025,000 | 3.918%, 3/23/2018 | 6,924,472 | ||||||
1,355,000 | 3.918%, 9/24/2018 | 1,334,675 | ||||||
500,000 | 4.168%, 7/8/2022 | 492,375 | ||||||
Infor US, Inc., Term Loan | ||||||||
1,324,215 | 3.750%, 6/3/2020 | 1,240,353 | ||||||
Merrill Communications, LLC, Term Loan | ||||||||
5,762 | 6.250%, 6/1/2022 | 4,897 | ||||||
|
| |||||||
Total | 13,455,227 | |||||||
|
| |||||||
| Transportation (0.1%) | |||||||
OSG Bulk Ships, Inc., Term Loan | ||||||||
4,860,975 | 5.250%, 8/5/2019 | 4,654,383 | ||||||
|
| |||||||
Total | 4,654,383 | |||||||
|
| |||||||
| Utilities (<0.1%) | |||||||
Intergen NV, Term Loan | ||||||||
1,677,000 | 5.500%, 6/15/2020 | 1,511,396 | ||||||
|
| |||||||
Total | 1,511,396 | |||||||
|
| |||||||
Total Bank Loans (cost $264,750,564) | 236,029,286 | |||||||
|
| |||||||
Shares | Common Stock (34.2%) | |||||||
| Consumer Discretionary (5.1%) | |||||||
174,462 | Aaron’s, Inc. | 3,906,204 | ||||||
8,600 | Aisan Industry Company, Ltd. | 88,311 | ||||||
2,400 | Aisin Seiki Company, Ltd. | 103,292 | ||||||
69,742 | Amazon.com, Inc.e | 47,137,920 | ||||||
20,850 | American Axle & Manufacturing Holdings, Inc.e | 394,899 | ||||||
34,204 | American Public Education, Inc.e | 636,536 | ||||||
31,300 | Ascena Retail Group, Inc.e | 308,305 | ||||||
23,110 | AutoZone, Inc.e | 17,145,540 | ||||||
34,800 | Barnes & Noble, Inc. | 303,108 | ||||||
1,200 | Bayerische Motoren Werke AG | 100,399 | ||||||
52,790 | Bed Bath & Beyond, Inc.e | 2,547,118 | ||||||
12,800 | Berkeley Group Holdings plc | 695,857 | ||||||
58,600 | Big Lots, Inc. | 2,258,444 | ||||||
42,470 | Bloomin’ Brands, Inc. | 717,318 | ||||||
10,560 | Bob Evans Farms, Inc. | 410,256 | ||||||
32,820 | Boyd Gaming Corporatione | 652,133 | ||||||
2,600 | Brembo SPA | 125,614 | ||||||
7,200 | Bridgestone Corporation | 246,970 | ||||||
83,919 | Brunswick Corporation | 4,238,749 | ||||||
50,596 | Burlington Stores, Inc.e | 2,170,568 | ||||||
91,490 | Caleres, Inc. | 2,453,762 | ||||||
32,520 | Callaway Golf Company | 306,338 | ||||||
18,000 | Calsonic Kansei Corporation | 158,689 | ||||||
21,109 | Cedar Fair, LP | 1,178,727 | ||||||
40,310 | Cheesecake Factory, Inc. | 1,858,694 | ||||||
68,330 | Chegg, Inc.e,f | 459,861 | ||||||
64,810 | Children’s Place, Inc. | 3,577,512 | ||||||
10,300 | Choice Hotels International, Inc. | 519,223 | ||||||
21,510 | Chuy’s Holdings, Inc.e | 674,123 | ||||||
9,300 | Cineworld Group plc | 77,105 | ||||||
562,784 | Comcast Corporation | 31,757,901 | ||||||
5,100 | Compass Group plc | 88,374 | ||||||
300 | Continental AG | 72,573 | ||||||
66,422 | Core-Mark Holding Company, Inc. | 5,442,619 | ||||||
53,440 | CSS Industries, Inc. | 1,516,627 | ||||||
68,463 | Culp, Inc. | 1,743,753 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
36
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (34.2%) | Value | ||||||
| Consumer Discretionary (5.1%) - continued | |||||||
2,500 | Daimler AG | $ | 208,886 | |||||
31,230 | Dana Holding Corporation | 430,974 | ||||||
59,600 | Debenhams plc | 64,259 | ||||||
99,601 | Delphi Automotive plc | 8,538,794 | ||||||
11,500 | Denso Corporation | 549,533 | ||||||
201,022 | Discovery Communications, Inc., Class Ae,f | 5,363,267 | ||||||
64,840 | DISH Network Corporatione | 3,707,551 | ||||||
28,260 | Dollar General Corporation | 2,031,046 | ||||||
75,543 | Dollar Tree, Inc.e | 5,833,430 | ||||||
31,610 | Domino’s Pizza, Inc. | 3,516,613 | ||||||
11,522 | Dorman Products, Inc.e | 546,949 | ||||||
29,509 | Drew Industries, Inc. | 1,796,803 | ||||||
55,310 | DSW, Inc. | 1,319,697 | ||||||
47,700 | EDION Corporationf | 360,164 | ||||||
5,400 | Electrolux AB | 130,288 | ||||||
68,555 | Ethan Allen Interiors, Inc. | 1,907,200 | ||||||
7,700 | Eutelsat Communications | 230,543 | ||||||
25,305 | Expedia, Inc. | 3,145,412 | ||||||
127,600 | Finish Line, Inc. | 2,307,008 | ||||||
124,950 | Ford Motor Company | 1,760,546 | ||||||
20,733 | Fossil, Inc.e,f | 757,999 | ||||||
64,599 | Fred’s, Inc. | 1,057,486 | ||||||
82,805 | G-III Apparel Group, Ltd.e | 3,664,949 | ||||||
17,400 | GKN plc | 78,959 | ||||||
19,490 | Gray Television, Inc.e | 317,687 | ||||||
34,000 | Gunze, Ltd. | 99,587 | ||||||
19,200 | Hakuhodo Dy Holdings, Inc. | 207,735 | ||||||
177,148 | Harley-Davidson, Inc. | 8,040,748 | ||||||
41,956 | Harman International Industries, Inc. | 3,952,675 | ||||||
89,121 | Haverty Furniture Companies, Inc. | 1,910,754 | ||||||
11,700 | Hilton Worldwide Holdings, Inc. | 250,380 | ||||||
201,800 | Home Depot, Inc. | 26,688,050 | ||||||
50,000 | Houghton Mifflin Harcourt Companye | 1,089,000 | ||||||
1,000 | Hugo Boss AG | 82,510 | ||||||
34,500 | Inchcape plc | 398,052 | ||||||
15,900 | Informa plc | 143,696 | ||||||
5,500 | Intertek Group plc | 224,987 | ||||||
36,189 | Interval Leisure Group, Inc.f | 564,910 | ||||||
14,660 | iRobot Corporatione,f | 518,964 | ||||||
9,200 | Isuzu Motors, Ltd. | 99,108 | ||||||
113,900 | ITV plc | 463,730 | ||||||
43,900 | Jack in the Box, Inc. | 3,367,569 | ||||||
147,376 | Jarden Corporatione | 8,418,117 | ||||||
51,559 | Kate Spade & Companye | 916,203 | ||||||
128,580 | Krispy Kreme Doughnuts, Inc.e | 1,937,701 | ||||||
198,775 | Las Vegas Sands Corporation | 8,714,296 | ||||||
56,880 | La-Z-Boy, Inc. | 1,389,010 | ||||||
32,390 | Lear Corporation | 3,978,464 | ||||||
35,000 | Liberty Interactive Corporatione | 956,200 | ||||||
32,630 | Liberty Media Corporation, Class Ae | 1,280,728 | ||||||
53,848 | Limited Brands, Inc. | 5,159,715 | ||||||
11,031 | Lithia Motors, Inc. | 1,176,677 | ||||||
109,580 | LKQ Corporatione | 3,246,855 | ||||||
56,300 | Lookers plc | 153,399 | ||||||
223,280 | Lowe’s Companies, Inc. | 16,978,211 | ||||||
27,030 | Macy’s, Inc. | 945,509 | ||||||
42,707 | MDC Partners, Inc.f | 927,596 | ||||||
37,144 | Meritage Homes Corporatione | 1,262,525 | ||||||
2,800 | Mitsuba Corporation | 43,288 | ||||||
11,480 | Movado Group, Inc. | 295,151 | ||||||
152,294 | National CineMedia, Inc. | 2,392,539 | ||||||
28,900 | Nautilus, Inc.e | 483,208 | ||||||
41,362 | New Media Investment Group, Inc. | 804,905 | ||||||
437,020 | NIKE, Inc. | 27,313,750 | ||||||
16,300 | NOK Corporation | 380,782 | ||||||
65,138 | Nord Anglia Education, Inc.e | 1,320,999 | ||||||
156,850 | Nutrisystem, Inc. | 3,394,234 | ||||||
28,171 | O’Reilly Automotive, Inc.e | 7,139,095 | ||||||
49,601 | Oxford Industries, Inc. | 3,165,536 | ||||||
800 | Paddy Power plc | 106,846 | ||||||
14,000 | PanaHome Corporation | 105,767 | ||||||
38,210 | Papa John’s International, Inc. | 2,134,793 | ||||||
120,737 | Papa Murphy’s Holdings, Inc.e,f | 1,359,499 | ||||||
34,900 | Persimmon plc | 1,041,190 | ||||||
43,369 | Pier 1 Imports, Inc.f | 220,748 | ||||||
3,300 | ProSiebenSat.1 Media AG | 166,490 | ||||||
10,330 | Pulte Group, Inc. | 184,081 | ||||||
51,118 | PVH Corporation | 3,764,841 | ||||||
14,122 | Ralph Lauren Corporation | 1,574,321 | ||||||
18,086 | Red Robin Gourmet Burgers, Inc.e | 1,116,630 | ||||||
700 | Renault SA | 70,067 | ||||||
49,150 | Rent-A-Center, Inc. | 735,776 | ||||||
15,225 | Restoration Hardware Holdings, Inc.e | 1,209,626 | ||||||
126,328 | Ross Stores, Inc. | 6,797,710 | ||||||
61,030 | Ruby Tuesday, Inc.e | 336,275 | ||||||
54,340 | Ruth’s Hospitality Group, Inc. | 865,093 | ||||||
2,339 | Schibsted ASA | 76,898 | ||||||
36,170 | Scripps Networks Interactive, Inc. | 1,996,946 | ||||||
8,500 | Sekisui House, Ltd. | 142,917 | ||||||
44,930 | Service Corporation International | 1,169,079 | ||||||
9,000 | SHOWA Corporation | 83,508 | ||||||
18,600 | Signet Jewelers, Ltd. | 2,300,634 | ||||||
29,829 | Skechers USA, Inc.e | 901,134 | ||||||
12,800 | Sports Direct International plce | 108,776 | ||||||
100,573 | Sportsman’s Warehouse Holdings, Inc.e | 1,297,392 | ||||||
4,000 | Stanley Electric Company, Ltd. | 87,750 | ||||||
305,770 | Staples, Inc. | 2,895,642 | ||||||
24,100 | Star Entertainment Group, Ltd. | 88,433 | ||||||
456,220 | Starbucks Corporation | 27,386,887 | ||||||
71,145 | Starwood Hotels & Resorts Worldwide, Inc. | 4,928,926 | ||||||
91,484 | Stein Mart, Inc. | 615,687 | ||||||
27,700 | Sumitomo Forestry Company, Ltd. | 373,759 | ||||||
13,800 | Sumitomo Rubber Industries, Ltd. | 179,447 | ||||||
14,000 | Takashimaya Company, Ltd. | 126,077 | ||||||
3,800 | Tamron Company, Ltd. | 70,106 | ||||||
78,000 | Target Corporation | 5,663,580 | ||||||
28,000 | Tatts Group, Ltd. | 88,897 | ||||||
132,900 | Taylor Wimpey plc | 397,289 | ||||||
32,374 | Tenneco, Inc.e | 1,486,290 | ||||||
117,930 | Time, Inc. | 1,847,963 | ||||||
126,444 | Toll Brothers, Inc.e | 4,210,585 | ||||||
29,090 | Tower International, Inc. | 831,101 | ||||||
21,090 | TransUnione | 581,451 | ||||||
112,873 | Tuesday Morning Corporatione | 733,675 | ||||||
32,400 | UBM plc | 251,114 | ||||||
14,122 | Ulta Salon Cosmetics & Fragrance, Inc.e | 2,612,570 | ||||||
18,563 | Under Armour, Inc.e,f | 1,496,363 | ||||||
17,909 | Vail Resorts, Inc. | 2,292,173 | ||||||
2,453 | Valora Holding AG | 510,333 | ||||||
41,640 | Vera Bradley, Inc.e | 656,246 | ||||||
27,162 | VF Corporation | 1,690,835 | ||||||
12,000 | Wacoal Holdings Corporation | 143,502 | ||||||
22,900 | WH Smith plc | 595,035 | ||||||
15,580 | Winnebago Industries, Inc. | 310,042 | ||||||
15,400 | Wolters Kluwer NV | 517,189 | ||||||
21,100 | WPP plc | 485,340 | ||||||
30,550 | Wyndham Worldwide Corporation | 2,219,458 | ||||||
4,100 | Yokohama Rubber Company, Ltd. | 62,967 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
37
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (34.2%) | Value | ||||||
| Consumer Discretionary (5.1%) - continued | |||||||
38,070 | Yum! Brands, Inc. | $ | 2,781,014 | |||||
43,790 | Zoe’s Kitchen, Inc.e,f | 1,225,244 | ||||||
|
| |||||||
Total | 438,286,620 | |||||||
|
| |||||||
| Consumer Staples (1.2%) | |||||||
4,600 | AarhusKarlshamn AB | 340,763 | ||||||
123,550 | Altria Group, Inc. | 7,191,846 | ||||||
219,380 | Aramark | 7,075,005 | ||||||
27,300 | Archer-Daniels-Midland Company | 1,001,364 | ||||||
84,080 | Avon Products, Inc. | 340,524 | ||||||
13,900 | Axfood AB | 240,751 | ||||||
2,968 | Bakkafrost PF | 87,439 | ||||||
57,300 | Blue Buffalo Pet Products, Inc.e,f | 1,072,083 | ||||||
6,264 | Boston Beer Company, Inc.e,f | 1,264,764 | ||||||
1,500 | British American Tobacco plc | 83,302 | ||||||
11,198 | Britvic plc | 119,978 | ||||||
18,570 | Brown-Forman Corporation | 1,843,630 | ||||||
61,700 | Campbell Soup Company | 3,242,335 | ||||||
3,500 | Carrefour SA | 101,009 | ||||||
30,340 | Casey’s General Stores, Inc. | 3,654,453 | ||||||
213,750 | Coca-Cola Company | 9,182,700 | ||||||
24,000 | Coca-Cola HBC AGe | 511,099 | ||||||
179,510 | CVS Health Corporation | 17,550,693 | ||||||
340,260 | Flowers Foods, Inc. | 7,312,187 | ||||||
23,820 | Hain Celestial Group, Inc.e | 962,090 | ||||||
5,100 | Henkel AG & Company KGaA | 487,831 | ||||||
41,300 | Imperial Tobacco Group plc | 2,181,382 | ||||||
4,470 | Ingles Markets, Inc. | 197,038 | ||||||
29,020 | Ingredion, Inc. | 2,781,277 | ||||||
27,700 | Japan Tobacco, Inc. | 1,016,971 | ||||||
10,000 | Jeronimo Martins SGPS SA | 130,125 | ||||||
10,500 | Kao Corporation | 539,582 | ||||||
1,100 | Kerry Group plc | 91,014 | ||||||
47,670 | Kimberly-Clark Corporation | 6,068,391 | ||||||
70,600 | Koninklijke Ahold NV | 1,489,205 | ||||||
1,600 | KOSE Corporation | 147,937 | ||||||
14,420 | Lancaster Colony Corporation | 1,664,933 | ||||||
9,800 | Marks and Spencer Group plc | 65,251 | ||||||
25,930 | Molson Coors Brewing Company | 2,435,346 | ||||||
15,450 | Mondelez International, Inc. | 692,778 | ||||||
40,710 | Monster Beverage Corporatione | 6,064,162 | ||||||
14,900 | Nestle SA | 1,106,105 | ||||||
11,000 | Nippon Meat Packers, Inc. | 215,599 | ||||||
19,200 | Nisshin Oillio Group, Ltd. | 78,214 | ||||||
17,210 | PepsiCo, Inc. | 1,719,623 | ||||||
79,866 | Philip Morris International, Inc. | 7,021,020 | ||||||
2,300 | PriceSmart, Inc. | 190,877 | ||||||
2,600 | Royal Unibrew AS | 105,668 | ||||||
101,113 | SpartanNash Company | 2,188,085 | ||||||
5,700 | Suedzucker AG | 112,977 | ||||||
3,400 | Sugi Holdings Company, Ltd. | 187,587 | ||||||
1,300 | Sundrug Company, Ltd. | 83,586 | ||||||
3,900 | Svenska Cellulosa AB SCA | 113,022 | ||||||
16,500 | Swedish Match AB | 583,067 | ||||||
6,630 | Tootsie Roll Industries, Inc.f | 209,442 | ||||||
13,240 | Tyson Foods, Inc. | 706,089 | ||||||
52,998 | United Natural Foods, Inc.e | 2,086,001 | ||||||
30,650 | Universal Corporationf | 1,718,852 | ||||||
24,500 | WhiteWave Foods Companye | 953,295 | ||||||
|
| |||||||
Total | 108,610,347 | |||||||
|
| |||||||
| Energy (4.1%) | |||||||
145,090 | Archrock, Inc. | 1,091,077 | ||||||
141,189 | Atwood Oceanics, Inc.f | 1,444,363 | ||||||
1,900 | Azrieli Group, Ltd. | 70,780 | ||||||
309,060 | Baker Hughes, Inc. | 14,263,119 | ||||||
160,858 | Basic Energy Services, Inc.e,f | 431,099 | ||||||
232,880 | Bonanza Creek Energy, Inc.e,f | 1,227,278 | ||||||
171,000 | BP plc | 888,638 | ||||||
35,279 | Bristow Group, Inc. | 913,726 | ||||||
102,286 | Callon Petroleum Companye | 853,065 | ||||||
362,270 | Cameron International Corporatione | 22,895,464 | ||||||
429,880 | Canadian Natural Resources, Ltd. | 9,384,280 | ||||||
498,580 | Chevron Corporation | 44,852,257 | ||||||
12,830 | Cimarex Energy Company | 1,146,745 | ||||||
21,002 | Clayton Williams Energy, Inc.e,f | 621,029 | ||||||
1,393,031 | Cobalt International Energy, Inc.e | 7,522,367 | ||||||
96,790 | Columbia Pipeline Group, Inc. | 1,935,800 | ||||||
115,152 | Concho Resources, Inc.e | 10,693,015 | ||||||
48,475 | Continental Resources, Inc.e | 1,113,955 | ||||||
30,740 | Delek US Holdings, Inc. | 756,204 | ||||||
882,410 | Denbury Resources, Inc.f | 1,782,468 | ||||||
110,600 | Devon Energy Corporation | 3,539,200 | ||||||
42,680 | Diamond Offshore Drilling, Inc.f | 900,548 | ||||||
40,006 | Diamondback Energy, Inc.e | 2,676,401 | ||||||
4,610 | Dril-Quip, Inc.e | 273,050 | ||||||
109,940 | Ensco plc | 1,691,977 | ||||||
444,114 | EOG Resources, Inc. | 31,438,830 | ||||||
52,290 | EP Energy Corporatione,f | 229,030 | ||||||
492,211 | EQT Corporation | 25,658,959 | ||||||
167,230 | Exxon Mobil Corporation | 13,035,579 | ||||||
12,900 | Forum Energy Technologies, Inc.e | 160,734 | ||||||
24,100 | Frank’s International NV | 402,229 | ||||||
13,100 | Green Plains, Inc. | 299,990 | ||||||
24,060 | Gulfport Energy Corporatione | 591,154 | ||||||
158,350 | Halliburton Company | 5,390,234 | ||||||
19,320 | Helix Energy Solutions Group, Inc.e | 101,623 | ||||||
31,990 | Helmerich & Payne, Inc.f | 1,713,064 | ||||||
68,842 | HollyFrontier Corporation | 2,746,107 | ||||||
1,082,501 | Marathon Oil Corporation | 13,628,688 | ||||||
481,490 | Marathon Petroleum Corporation | 24,960,442 | ||||||
107,590 | Nabors Industries, Ltd. | 915,591 | ||||||
12,120 | National Oilwell Varco, Inc. | 405,899 | ||||||
177,080 | Noble Corporation | 1,868,194 | ||||||
9,620 | Noble Energy, Inc. | 316,787 | ||||||
470,800 | Oasis Petroleum, Inc.e,f | 3,469,796 | ||||||
25,990 | Oceaneering International, Inc. | 975,145 | ||||||
7,380 | Oil States International, Inc.e | 201,105 | ||||||
5,900 | OMV AG | 167,474 | ||||||
201,528 | Parsley Energy, Inc.e | 3,718,192 | ||||||
227,320 | Patterson-UTI Energy, Inc. | 3,427,986 | ||||||
14,830 | PBF Energy, Inc. | 545,892 | ||||||
974,958 | Petroleo Brasileiro SA ADRe,f | 4,192,319 | ||||||
134,170 | Pioneer Energy Services Corporatione | 291,149 | ||||||
665,760 | Rowan Companies plc | 11,284,632 | ||||||
3,600 | Royal Dutch Shell plc | 82,106 | ||||||
8,672 | Royal Dutch Shell plc, Class B | 197,644 | ||||||
32,330 | RPC, Inc.f | 386,344 | ||||||
139,650 | Schlumberger, Ltd. | 9,740,588 | ||||||
9,400 | SemGroup Corporation | 271,284 | ||||||
574,800 | Southwestern Energy Companye,f | 4,086,828 | ||||||
33,750 | Spectra Energy Corporation | 807,975 | ||||||
28,801 | Statoil ASA | 401,681 | ||||||
694,210 | Suncor Energy, Inc. ADR | 17,910,618 | ||||||
46,930 | Superior Energy Services, Inc. | 632,147 | ||||||
308,582 | Teekay Tankers, Ltd. | 2,123,044 | ||||||
91,845 | Tesco Corporation | 664,958 | ||||||
3,340 | Tesoro Corporation | 351,936 | ||||||
180,580 | TETRA Technologies, Inc.e | 1,357,962 | ||||||
28,000 | TonenGeneral Sekiyu KK | 236,376 | ||||||
88,714 | U.S. Silica Holdings, Inc.f | 1,661,613 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
38
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (34.2%) | Value | ||||||
| Energy (4.1%) - continued | |||||||
2,733,476 | Weatherford International, Ltd.e | $ | 22,933,864 | |||||
29,993 | Western Refining, Inc. | 1,068,351 | ||||||
6,970 | World Fuel Services Corporation | 268,066 | ||||||
136,820 | WPX Energy, Inc.e | 785,347 | ||||||
|
| |||||||
Total | 351,073,461 | |||||||
|
| |||||||
| Financials (5.9%) | |||||||
115,500 | Aberdeen Asset Management plc | 492,174 | ||||||
49,400 | ACE, Ltd. | 5,772,390 | ||||||
4,600 | AEON Financial Service Company, Ltd. | 102,758 | ||||||
45,961 | Affiliated Managers Group, Inc.e | 7,342,729 | ||||||
21,600 | Alexandria Real Estate Equities, Inc. | 1,951,776 | ||||||
17,600 | Allianz SE | 3,102,510 | ||||||
38,580 | Allied World Assurance Company Holdings AG | 1,434,790 | ||||||
23,810 | American Assets Trust, Inc. | 913,114 | ||||||
65,930 | American Campus Communities, Inc. | 2,725,546 | ||||||
98,220 | American Equity Investment Life Holding Company | 2,360,227 | ||||||
101,600 | American Financial Group, Inc. | 7,323,328 | ||||||
92,700 | American International Group, Inc. | 5,744,619 | ||||||
41,450 | Ameris Bancorp | 1,408,886 | ||||||
7,750 | AMERISAFE, Inc. | 394,475 | ||||||
419,000 | Anworth Mortgage Asset Corporation | 1,822,650 | ||||||
23,560 | Apartment Investment & Management Company | 943,107 | ||||||
22,555 | Argo Group International Holdings, Ltd. | 1,349,691 | ||||||
66,509 | Arthur J. Gallagher & Company | 2,722,878 | ||||||
32,620 | Ashford Hospitality Prime, Inc. | 472,990 | ||||||
71,140 | Aspen Insurance Holdings, Ltd. | 3,436,062 | ||||||
27,070 | Associated Banc-Corp | 507,562 | ||||||
177,720 | Assured Guaranty, Ltd. | 4,697,140 | ||||||
49,300 | Australia & New Zealand Banking Group, Ltd. | 994,862 | ||||||
181,900 | Banco Santander SA | 894,838 | ||||||
12,490 | BancorpSouth, Inc. | 299,635 | ||||||
81,600 | Bank Hapoalim, Ltd. | 421,220 | ||||||
1,382,720 | Bank of America Corporation | 23,271,178 | ||||||
49,900 | Bank of New York Mellon Corporation | 2,056,878 | ||||||
21,264 | Bank of Queensland, Ltd. | 214,503 | ||||||
52,365 | Bank of the Ozarks, Inc. | 2,589,973 | ||||||
146,000 | Bank of Yokohama, Ltd. | 894,922 | ||||||
34,220 | BankFinancial Corporation | 432,199 | ||||||
127,550 | BB&T Corporation | 4,822,665 | ||||||
123,026 | BBCN Bancorp, Inc. | 2,118,508 | ||||||
51,100 | BinckBank NV | 440,400 | ||||||
221,650 | Blackstone Group, LP | 6,481,046 | ||||||
2,000 | Bolsas y Mercados Espanoles SA | 67,399 | ||||||
23,550 | Boston Private Financial Holdings, Inc. | 267,057 | ||||||
94,590 | Brandywine Realty Trust | 1,292,099 | ||||||
15,700 | British Land Company plc | 181,664 | ||||||
96,276 | Brixmor Property Group, Inc. | 2,485,846 | ||||||
139,910 | Brookline Bancorp, Inc. | 1,608,965 | ||||||
72,190 | Brown & Brown, Inc. | 2,317,299 | ||||||
25,680 | Camden Property Trust | 1,971,197 | ||||||
88,100 | Capital One Financial Corporation | 6,359,058 | ||||||
22,586 | Capital Shopping Centres Group plc | 105,521 | ||||||
68,900 | CapitaMall Trust | 93,490 | ||||||
80,800 | Cathay General Bancorp | 2,531,464 | ||||||
38,700 | CBRE Group, Inc.e | 1,338,246 | ||||||
291,831 | Cedar Realty Trust, Inc. | 2,066,163 | ||||||
181,450 | Charles Schwab Corporation | 5,975,148 | ||||||
16,200 | Chatham Lodging Trust | 331,776 | ||||||
21,000 | Chiba Bank, Ltd. | 149,021 | ||||||
576,137 | Citigroup, Inc. | 29,815,090 | ||||||
52,200 | Clifton Bancorp, Inc. | 748,548 | ||||||
108,630 | CNO Financial Group, Inc. | 2,073,747 | ||||||
21,500 | CNP Assurances | 290,022 | ||||||
417,712 | CoBiz Financial, Inc. | 5,605,695 | ||||||
80,453 | Columbia Banking System, Inc. | 2,615,527 | ||||||
147,550 | Comerica, Inc. | 6,172,016 | ||||||
17,010 | Commerce Bancshares, Inc. | 723,605 | ||||||
26,470 | Corporate Office Properties Trust | 577,840 | ||||||
7,700 | Daiwa House Industry Company, Ltd. | 221,347 | ||||||
1,300 | Derwent London plc | 70,314 | ||||||
97,600 | DEXUS Property Group | 529,398 | ||||||
28,070 | Digital Realty Trust, Inc. | 2,122,653 | ||||||
46,375 | Direct Line Insurance Group plc | 277,979 | ||||||
34,031 | Douglas Emmett, Inc. | 1,061,087 | ||||||
118,790 | Duke Realty Corporation | 2,496,966 | ||||||
76,795 | East West Bancorp, Inc. | 3,191,600 | ||||||
15,690 | Education Realty Trust, Inc. | 594,337 | ||||||
88,138 | Employers Holdings, Inc. | 2,406,167 | ||||||
77,920 | Equity One, Inc. | 2,115,528 | ||||||
63,737 | Essent Group, Ltd.e | 1,395,203 | ||||||
162,110 | EverBank Financial Corporation | 2,590,518 | ||||||
35,672 | Evercore Partners, Inc. | 1,928,785 | ||||||
9,730 | Extra Space Storage, Inc. | 858,283 | ||||||
137,200 | F.N.B. Corporation | 1,830,248 | ||||||
43,020 | FelCor Lodging Trust, Inc. | 314,046 | ||||||
249,380 | Fifth Third Bancorp | 5,012,538 | ||||||
210,850 | First Commonwealth Financial Corporation | 1,912,409 | ||||||
7,910 | First Defiance Financial Corporation | 298,840 | ||||||
17,340 | First Financial Corporation | 589,040 | ||||||
33,790 | First Horizon National Corporation | 490,631 | ||||||
79,770 | First Industrial Realty Trust, Inc. | 1,765,310 | ||||||
11,540 | First Interstate BancSystem, Inc. | 335,468 | ||||||
181,390 | First Midwest Bancorp, Inc. | 3,343,018 | ||||||
13,610 | First NBC Bank Holding Companye | 508,878 | ||||||
134,549 | First Potomac Realty Trust | 1,533,859 | ||||||
148,735 | First Republic Bank | 9,825,434 | ||||||
51,800 | FlexiGroup, Ltd.f | 113,050 | ||||||
75,990 | Franklin Street Properties Corporation | 786,497 | ||||||
61,900 | Frasers Centrepoint Trust | 80,453 | ||||||
144,000 | Fukuoka Financial Group, Inc. | 714,041 | ||||||
37,441 | Genworth Financial, Inc.e | 139,655 | ||||||
10,120 | German American Bancorp, Inc. | 337,198 | ||||||
25,250 | Getty Realty Corporation | 433,038 | ||||||
70,998 | Glacier Bancorp, Inc. | 1,883,577 | ||||||
46,890 | Great Western Bancorp, Inc. | 1,360,748 | ||||||
137,090 | Green Bancorp, Inc.e | 1,436,703 | ||||||
8,533 | Hamborner REIT AG | 89,153 | ||||||
11,600 | Hammerson plc | 102,549 | ||||||
19,990 | Hancock Holding Company | 503,148 | ||||||
17,800 | Hang Seng Bank, Ltd. | 337,370 | ||||||
136,756 | Hanmi Financial Corporation | 3,243,852 | ||||||
8,100 | Hannover Rueckversicherung SE | 924,940 | ||||||
23,740 | Hanover Insurance Group, Inc. | 1,931,012 | ||||||
150,500 | Hartford Financial Services Group, Inc. | 6,540,730 | ||||||
115,158 | Hatteras Financial Corporation | 1,514,328 | ||||||
7,350 | HCI Group, Inc.f | 256,148 | ||||||
36,100 | Henderson Group plc | 164,076 | ||||||
12,400 | Henderson Land Development Company, Ltd. | 75,640 | ||||||
22,060 | HFF, Inc. | 685,404 | ||||||
12,950 | Highwoods Properties, Inc. | 564,620 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
39
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (34.2%) | Value | ||||||
| Financials (5.9%) - continued | |||||||
34,000 | Hokuhoku Financial Group, Inc. | $ | 69,310 | |||||
82,408 | Home BancShares, Inc. | 3,339,172 | ||||||
18,890 | Hometrust Bancshares, Inc.e | 382,523 | ||||||
38,491 | Horace Mann Educators Corporation | 1,277,131 | ||||||
144,686 | Host Hotels & Resorts, Inc. | 2,219,483 | ||||||
31,766 | Houlihan Lokey, Inc. | 832,587 | ||||||
37,110 | Hudson Pacific Properties, Inc. | 1,044,275 | ||||||
18,900 | Hufvudstaden AB | 267,182 | ||||||
809,928 | Huntington Bancshares, Inc. | 8,957,804 | ||||||
141,000 | Hysan Development Company, Ltd. | 576,079 | ||||||
6,907 | IG Group Holdings plc | 81,659 | ||||||
26,200 | ING Groep NV | 354,489 | ||||||
41,790 | Inland Real Estate Corporation | 443,810 | ||||||
104,023 | Intercontinental Exchange, Inc. | 26,656,934 | ||||||
62,527 | Intermediate Capital Group plc | 576,412 | ||||||
252,600 | Invesco, Ltd. | 8,457,048 | ||||||
42,000 | Investa Office Fund | 121,581 | ||||||
91,200 | Investec plc | 643,055 | ||||||
222,550 | Investors Bancorp, Inc. | 2,768,522 | ||||||
221,748 | J.P. Morgan Chase & Company | 14,642,020 | ||||||
92,350 | Janus Capital Group, Inc. | 1,301,211 | ||||||
26,730 | Kearny Financial Corporation | 338,669 | ||||||
20,384 | Kennedy-Wilson Holdings, Inc. | 490,847 | ||||||
611,970 | KeyCorp | 8,071,884 | ||||||
20,540 | Kilroy Realty Corporation | 1,299,771 | ||||||
37,540 | Lamar Advertising Company | 2,251,649 | ||||||
53,457 | LaSalle Hotel Properties | 1,344,978 | ||||||
20,084 | Lazard, Ltd. | 903,981 | ||||||
67,610 | Lexington Realty Trust | 540,880 | ||||||
19,250 | Liberty Property Trust | 597,713 | ||||||
8,390 | Lincoln National Corporation | 421,681 | ||||||
97,500 | Link REIT | 581,284 | ||||||
23,710 | M&T Bank Corporation | 2,873,178 | ||||||
1,300 | Macquarie Group, Ltd. | 77,770 | ||||||
256,520 | MetLife, Inc. | 12,366,829 | ||||||
124,700 | Mitsubishi UFJ Financial Group, Inc. | 772,423 | ||||||
108,100 | Monmouth Real Estate Investment Corporationf | 1,130,726 | ||||||
350,350 | Morgan Stanley | 11,144,633 | ||||||
27,860 | MSCI, Inc. | 2,009,542 | ||||||
1,100 | Muenchener Rueckversicherungs-Gesellschaft AG | 219,162 | ||||||
77,035 | Nasdaq, Inc. | 4,481,126 | ||||||
64,894 | National Interstate Corporation | 1,732,670 | ||||||
126,967 | Navient Corporation | 1,453,772 | ||||||
7,510 | Navigators Group, Inc.e | 644,283 | ||||||
306,000 | New World Development Company, Ltd.f | 300,473 | ||||||
52,430 | Northern Trust Corporation | 3,779,679 | ||||||
105,510 | NorthStar Asset Management Corporation, Inc. | 1,280,891 | ||||||
23,000 | Ogaki Kyoritsu Bank, Ltd. | 92,730 | ||||||
24,600 | Old Mutual plc | 64,715 | ||||||
13,840 | One Liberty Properties, Inc. | 297,006 | ||||||
106,720 | Oritani Financial Corporation | 1,760,880 | ||||||
75,493 | PacWest Bancorp | 3,253,748 | ||||||
37,150 | Parkway Properties, Inc. | 580,655 | ||||||
50,196 | Pebblebrook Hotel Trust | 1,406,492 | ||||||
41,570 | PennyMac Financial Services, Inc.e | 638,515 | ||||||
20,550 | Physicians Realty Trust | 346,473 | ||||||
20,860 | Popular, Inc. | 591,172 | ||||||
24,220 | Post Properties, Inc. | 1,432,855 | ||||||
32,325 | Potlatch Corporation | 977,508 | ||||||
23,800 | Poundland Group plc | 72,874 | ||||||
39,110 | Primerica, Inc.f | 1,847,165 | ||||||
10,740 | PrivateBancorp, Inc. | 440,555 | ||||||
53,360 | Progressive Corporation | 1,696,848 | ||||||
117,620 | Provident Financial Services, Inc. | 2,370,043 | ||||||
91,450 | Radian Group, Inc. | 1,224,515 | ||||||
163,760 | Ramco-Gershenson Properties Trust | 2,720,054 | ||||||
87,497 | Raymond James Financial, Inc. | 5,072,201 | ||||||
44,070 | RE/MAX Holdings, Inc. | 1,643,811 | ||||||
54,900 | Realogy Holdings Corporatione | 2,013,183 | ||||||
21,640 | Renasant Corporation | 744,632 | ||||||
16,500 | Resona Holdings, Inc. | 80,128 | ||||||
34,520 | Rouse Properties, Inc. | 502,611 | ||||||
18,010 | Safeguard Scientifics, Inc.e | 261,325 | ||||||
6,247 | Safety Insurance Group, Inc. | 352,206 | ||||||
1,900 | Sampo Oyj | 96,487 | ||||||
75,453 | Sandy Spring Bancorp, Inc. | 2,034,213 | ||||||
11,700 | Schroders plc | 512,451 | ||||||
20,340 | Seacoast Banking Corporation of Floridae | 304,693 | ||||||
31,770 | Selective Insurance Group, Inc. | 1,066,837 | ||||||
18,980 | Sierra Bancorp | 334,997 | ||||||
60,780 | Silver Bay Realty Trust Corporation REIT | 951,815 | ||||||
553,090 | SLM Corporatione | 3,606,147 | ||||||
2,500 | Sompo Japan Nipponkoa Holdings, Inc. | 82,087 | ||||||
120,450 | Spirit Realty Captial, Inc. | 1,206,909 | ||||||
94,950 | Starwood Property Trust, Inc. | 1,952,172 | ||||||
46,052 | State Auto Financial Corporation | 948,211 | ||||||
81,083 | Stifel Financial Corporatione | 3,434,676 | ||||||
243,627 | Stockland | 723,202 | ||||||
61,220 | Store Capital Corporation | 1,420,304 | ||||||
97,000 | Sumitomo Mitsui Trust Holdings, Inc. | 367,371 | ||||||
38,056 | Summit Hotel Properties, Inc. | 454,769 | ||||||
29,270 | SunTrust Banks, Inc. | 1,253,927 | ||||||
64,127 | SVB Financial Groupe | 7,624,700 | ||||||
18,800 | Swiss Re AG | 1,836,127 | ||||||
165,250 | Synchrony Financiale | 5,025,253 | ||||||
176,200 | Synovus Financial Corporation | 5,705,356 | ||||||
2,800 | Talanx AG | 86,113 | ||||||
100,760 | Talmer Bancorp, Inc. | 1,824,764 | ||||||
380,080 | TCF Financial Corporation | 5,366,730 | ||||||
86,954 | TD Ameritrade Holding Corporation | 3,018,173 | ||||||
81,466 | Terreno Realty Corporation | 1,842,761 | ||||||
18,780 | Territorial Bancorp, Inc. | 520,957 | ||||||
2,000 | Tokio Marine Holdings, Inc. | 77,249 | ||||||
30,350 | TriCo Bancshares | 832,804 | ||||||
84,710 | TrustCo Bank Corporation | 520,119 | ||||||
10,500 | U.S. Bancorp | 448,035 | ||||||
36,100 | UBS Group AG | 700,321 | ||||||
36,408 | UMH Properties, Inc. | 368,449 | ||||||
8,710 | Union Bankshares Corporation | 219,840 | ||||||
15,610 | United Community Banks, Inc. | 304,239 | ||||||
55,319 | United Overseas Bank, Ltd. | 762,673 | ||||||
18,100 | Urstadt Biddle Properties, Inc. | 348,244 | ||||||
16,184 | W.R. Berkley Corporation | 886,074 | ||||||
11,200 | Wallenstam AB | 90,021 | ||||||
8,120 | Webster Financial Corporation | 301,983 | ||||||
59,000 | Wells Fargo & Company | 3,207,240 | ||||||
87,610 | Western Alliance Bancorpe | 3,141,695 | ||||||
52,000 | Western Asset Mortgage Capital Corporationf | 531,440 | ||||||
29,360 | Whitestone REIT | 352,614 | ||||||
106,100 | Wing Tai Holdings, Ltd. | 131,062 | ||||||
22,729 | Wintrust Financial Corporation | 1,102,811 | ||||||
25,109 | WSFS Financial Corporation | 812,527 | ||||||
29,060 | XL Group plc | 1,138,571 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
40
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (34.2%) | Value | ||||||
| Financials (5.9%) - continued |
| ||||||
550,723 | Zions Bancorporation | $ | 15,034,738 | |||||
|
| |||||||
Total | 508,078,178 | |||||||
|
| |||||||
| Health Care (4.6%) |
| ||||||
444,078 | Abbott Laboratories | 19,943,543 | ||||||
26,636 | ABIOMED, Inc.e | 2,404,698 | ||||||
50,318 | Acadia Healthcare Company, Inc.e | 3,142,862 | ||||||
9,500 | Acceleron Pharma, Inc.e | 463,220 | ||||||
21,200 | Aceto Corporation | 571,976 | ||||||
141,780 | Acorda Therapeutics, Inc.e | 6,065,348 | ||||||
1,100 | Actelion, Ltd. | 152,838 | ||||||
63,750 | Aetna, Inc. | 6,892,650 | ||||||
94,750 | Affymetrix, Inc.e | 956,028 | ||||||
93,520 | Akorn, Inc.e | 3,489,231 | ||||||
31,810 | Albany Molecular Research, Inc.e,f | 631,429 | ||||||
49,151 | Align Technology, Inc.e | 3,236,593 | ||||||
93,978 | Allergan plce | 29,368,125 | ||||||
31,863 | Allscripts Healthcare Solutions, Inc.e | 490,053 | ||||||
40,138 | AmerisourceBergen Corporation | 4,162,712 | ||||||
58,310 | Amgen, Inc. | 9,465,462 | ||||||
71,685 | AMN Healthcare Services, Inc.e | 2,225,819 | ||||||
10,500 | AmSurg Corporatione | 798,000 | ||||||
6,787 | Anacor Pharmaceuticals, Inc.e | 766,727 | ||||||
31,435 | Analogic Corporation | 2,596,531 | ||||||
9,100 | Astellas Pharmaceutical, Inc. | 129,545 | ||||||
111,810 | Asterias Biotherapeutics, Inc.e,f | 439,413 | ||||||
4,989 | Atrion Corporation | 1,901,807 | ||||||
144,624 | Baxalta, Inc. | 5,644,675 | ||||||
600 | Bayer AG | 74,935 | ||||||
27,876 | BioMarin Pharmaceutical, Inc.e | 2,920,290 | ||||||
3,400 | Bio-Rad Laboratories, Inc.e | 471,444 | ||||||
21,691 | C.R. Bard, Inc. | 4,109,143 | ||||||
56,970 | Cambrex Corporatione | 2,682,717 | ||||||
5,800 | Cardinal Health, Inc. | 517,766 | ||||||
72,585 | Cardiovascular Systems, Inc.e | 1,097,485 | ||||||
62,530 | Centene Corporatione | 4,115,099 | ||||||
335,085 | Cerner Corporatione | 20,162,064 | ||||||
15,360 | CONMED Corporation | 676,608 | ||||||
24,310 | Cross Country Healthcare, Inc.e | 398,441 | ||||||
2,000 | CSL, Ltd. | 152,479 | ||||||
152,830 | DENTSPLY International, Inc. | 9,299,705 | ||||||
172,953 | Depomed, Inc.e,f | 3,135,638 | ||||||
84,460 | Edwards Lifesciences Corporatione | 6,670,651 | ||||||
78,406 | Ensign Group, Inc. | 1,774,328 | ||||||
118,594 | Envision Healthcare Holdings, Inc.e | 3,079,886 | ||||||
13,200 | Essilor International SA | 1,645,204 | ||||||
23,400 | EXACT Sciences Corporatione,f | 215,982 | ||||||
115,011 | ExamWorks Group, Inc.e | 3,059,293 | ||||||
74,200 | Express Scripts Holding Companye | 6,485,822 | ||||||
1,000 | Fresenius Medical Care AG & Company KGaA | 84,035 | ||||||
1,100 | Gerresheimer AG | 85,956 | ||||||
242,511 | Gilead Sciences, Inc. | 24,539,688 | ||||||
27,810 | Globus Medical, Inc.e | 773,674 | ||||||
35,490 | Greatbatch, Inc.e | 1,863,225 | ||||||
45,030 | HCA Holdings, Inc.e | 3,045,379 | ||||||
20,550 | HealthSouth Corporation | 715,346 | ||||||
45,640 | Healthways, Inc.e | 587,387 | ||||||
14,600 | Hikma Pharmaceuticals plc | 494,935 | ||||||
16,500 | Hill-Rom Holdings, Inc. | 792,990 | ||||||
109,040 | Hologic, Inc.e | 4,218,758 | ||||||
10,083 | ICON plce | 783,449 | ||||||
58,305 | Impax Laboratories, Inc.e | 2,493,122 | ||||||
45,300 | Inogen, Inc.e | 1,816,077 | ||||||
43,209 | Intersect ENT, Inc.e | 972,203 | ||||||
112,266 | Ironwood Pharmaceuticals, Inc.e | 1,301,163 | ||||||
5,000 | Kaken Pharmaceutical Company, Ltd. | 341,666 | ||||||
72,700 | Kindred Healthcare, Inc. | 865,857 | ||||||
8,362 | LivaNova plce | 496,452 | ||||||
2,000 | Lonza Group AG | 325,270 | ||||||
13,300 | Magellan Health Services, Inc.e | 820,078 | ||||||
145,194 | Medtronic, Inc. | 11,168,322 | ||||||
348,720 | Merck & Company, Inc. | 18,419,390 | ||||||
9,013 | Mettler-Toledo International, Inc.e | 3,056,579 | ||||||
370,753 | Mylan NVe | 20,046,615 | ||||||
34,418 | National Healthcare Corporation | 2,123,591 | ||||||
3,950 | Neogen Corporatione | 223,254 | ||||||
35,576 | Neurocrine Biosciences, Inc.e | 2,012,534 | ||||||
13,000 | Novartis AG | 1,118,251 | ||||||
14,400 | Novo Nordisk AS | 833,734 | ||||||
84,639 | NuVasive, Inc.e | 4,579,816 | ||||||
32,240 | NxStage Medical, Inc.e | 706,378 | ||||||
2,700 | Paramount Bed Holdings Company, Ltd. | 95,800 | ||||||
22,960 | PerkinElmer, Inc. | 1,229,967 | ||||||
31,828 | Perrigo Company plc | 4,605,512 | ||||||
564,240 | Pfizer, Inc. | 18,213,667 | ||||||
25,810 | PharMerica Corporatione | 903,350 | ||||||
43,520 | Progenics Pharmaceuticals, Inc.e | 266,778 | ||||||
3,600 | Prothena Corporation plce | 245,196 | ||||||
7,750 | Providence Service Corporatione | 363,630 | ||||||
25,970 | Quality Systems, Inc. | 418,636 | ||||||
7,840 | Quest Diagnostics, Inc. | 557,738 | ||||||
48,590 | Quintiles Transnational Holdings, Inc.e | 3,336,189 | ||||||
3,500 | Recordati SPA | 91,318 | ||||||
145,400 | Roche Holding AG ADR | 5,011,938 | ||||||
19,410 | Sagent Pharmaceuticals, Inc.e | 308,813 | ||||||
9,200 | Sanofi | 784,044 | ||||||
4,400 | Suzuken Company, Ltd. | 167,210 | ||||||
87,093 | Team Health Holdings, Inc.e | 3,822,512 | ||||||
90,204 | Teleflex, Inc. | 11,857,316 | ||||||
85,892 | Triple-S Management Corporatione | 2,053,678 | ||||||
106,076 | UnitedHealth Group, Inc. | 12,478,781 | ||||||
67,147 | Universal Health Services, Inc. | 8,023,395 | ||||||
39,220 | Vanda Pharmaceuticals, Inc.e,f | 365,138 | ||||||
13,910 | VCA Antech, Inc.e | 765,050 | ||||||
107,300 | Veeva Systems, Inc.e,f | 3,095,605 | ||||||
161,784 | Vertex Pharmaceuticals, Inc.e | 20,357,281 | ||||||
23,410 | Waters Corporatione | 3,150,518 | ||||||
33,539 | Wellcare Health Plans, Inc.e | 2,623,085 | ||||||
30,530 | West Pharmaceutical Services, Inc. | 1,838,517 | ||||||
34,600 | Zoetis, Inc. | 1,658,032 | ||||||
|
| |||||||
Total | 399,078,133 | |||||||
|
| |||||||
| Industrials (3.7%) |
| ||||||
72,930 | 3M Company | 10,986,175 | ||||||
9,610 | A.O. Smith Corporation | 736,222 | ||||||
4,100 | Aalberts Industries NV | 141,269 | ||||||
10,800 | AAR Corporation | 283,932 | ||||||
47,460 | ABM Industries, Inc. | 1,351,186 | ||||||
5,500 | Adecco SA | 376,435 | ||||||
123,620 | ADT Corporationf | 4,076,988 | ||||||
60,360 | AECOMe | 1,812,611 | ||||||
91,897 | Aegion Corporatione | 1,774,531 | ||||||
44,190 | AGCO Corporationf | 2,005,784 | ||||||
8,700 | Aida Engineering, Ltd. | 89,669 | ||||||
102,839 | Air New Zealand, Ltd. | 207,413 | ||||||
5,000 | Airbus Group NV | 336,939 | ||||||
11,010 | Allison Transmission Holdings, Inc. | 285,049 | ||||||
8,900 | Amada Holdings Company, Ltd. | 84,930 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
41
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (34.2%) | Value | ||||||
| Industrials (3.7%) - continued |
| ||||||
9,040 | AMETEK, Inc. | $ | 484,454 | |||||
2,500 | Andritz AG | 121,671 | ||||||
7,340 | Applied Industrial Technologies, Inc. | 297,197 | ||||||
47,000 | Asahi Glass Company, Ltd. | 269,256 | ||||||
45,632 | Astec Industries, Inc. | 1,857,222 | ||||||
3,000 | Atlas Copco Aktiebolag | 73,574 | ||||||
24,470 | AZZ, Inc. | 1,359,798 | ||||||
41,053 | B/E Aerospace, Inc. | 1,739,416 | ||||||
56,000 | BAE Systems plc | 412,303 | ||||||
78,318 | Beacon Roofing Supply, Inc.e | 3,225,135 | ||||||
111,870 | Boeing Company | 16,175,283 | ||||||
28,200 | Bollore SA | 131,402 | ||||||
8,940 | Brady Corporation | 205,441 | ||||||
22,780 | Briggs & Stratton Corporation | 394,094 | ||||||
36,000 | Brink’s Company | 1,038,960 | ||||||
29,300 | BWX Technologies, Inc. | 930,861 | ||||||
39,680 | Caterpillar, Inc. | 2,696,653 | ||||||
23,200 | Central Glass Company, Ltd. | 106,408 | ||||||
3,800 | Central Japan Railway Company | 674,629 | ||||||
37,733 | CIRCOR International, Inc. | 1,590,446 | ||||||
63,150 | CLARCOR, Inc. | 3,137,292 | ||||||
81,744 | Comfort Systems USA, Inc. | 2,323,164 | ||||||
5,200 | Compagnie de Saint-Gobain | 225,345 | ||||||
58,190 | Copart, Inc.e | 2,211,802 | ||||||
28,710 | Corporate Executive Board Company | 1,762,507 | ||||||
3,000 | Croda International plc | 134,416 | ||||||
301,950 | CSX Corporation | 7,835,603 | ||||||
19,100 | CTT-Correios de Portugal SA | 183,568 | ||||||
20,817 | Cubic Corporation | 983,603 | ||||||
26,210 | Curtiss-Wright Corporation | 1,795,385 | ||||||
12,000 | Dai Nippon Printing Company, Ltd. | 118,664 | ||||||
47,300 | Danaher Corporation | 4,393,224 | ||||||
11,788 | Dart Group plc | 102,269 | ||||||
471,850 | Delta Air Lines, Inc. | 23,918,076 | ||||||
8,300 | Deutsche Post AG | 232,051 | ||||||
26,960 | DigitalGlobe, Inc.e | 422,194 | ||||||
44,900 | Donaldson Company, Inc. | 1,286,834 | ||||||
4,400 | DSV AS | 173,200 | ||||||
1,100 | East Japan Railway Company | 103,583 | ||||||
2,100 | Elbit Systems, Ltd. | 184,874 | ||||||
83,021 | EMCOR Group, Inc. | 3,988,329 | ||||||
31,625 | Equifax, Inc. | 3,522,076 | ||||||
62,709 | ESCO Technologies, Inc. | 2,266,303 | ||||||
64,000 | Expeditors International of Washington, Inc. | 2,886,400 | ||||||
73,134 | Federal Signal Corporation | 1,159,174 | ||||||
12,400 | Ferrovial SA | 280,405 | ||||||
15,440 | Flowserve Corporation | 649,715 | ||||||
300 | Flughafen Zuerich AG | 225,094 | ||||||
109,939 | Fortune Brands Home and Security, Inc. | 6,101,615 | ||||||
52,104 | Franklin Electric Company, Inc. | 1,408,371 | ||||||
54,741 | FTI Consulting, Inc.e | 1,897,323 | ||||||
40,653 | G & K Services, Inc. | 2,557,074 | ||||||
8,025 | Galliford Try plc | 180,320 | ||||||
1,900 | GEA Group AG | 76,762 | ||||||
100 | Georg Fischer AG | 67,890 | ||||||
86,288 | Gibraltar Industries, Inc.e | 2,195,167 | ||||||
76,605 | Granite Construction, Inc. | 3,287,121 | ||||||
25,732 | H&E Equipment Services, Inc. | 449,795 | ||||||
13,000 | Hankyu Hanshin Holdings, Inc. | 84,499 | ||||||
15,400 | Hawaiian Holdings, Inc.e | 544,082 | ||||||
53,392 | Healthcare Services Group, Inc. | 1,861,779 | ||||||
50,603 | Heico Corporation | 2,750,779 | ||||||
47,280 | Hexcel Corporation | 2,196,156 | ||||||
35,588 | HNI Corporation | 1,283,303 | ||||||
1,600 | Hochtief AG | 148,397 | ||||||
87,572 | Honeywell International, Inc. | 9,069,832 | ||||||
1,400 | Hoshizaki Electric Company, Ltd. | 87,031 | ||||||
31,809 | Hub Group, Inc.e | 1,048,107 | ||||||
33,860 | Huntington Ingalls Industries, Inc. | 4,295,141 | ||||||
67,774 | Huron Consulting Group, Inc.e | 4,025,776 | ||||||
5,200 | IBIDEN Company, Ltd.f | 74,549 | ||||||
4,240 | Illinois Tool Works, Inc. | 392,963 | ||||||
6,000 | Inaba Denki Sangyo Company, Ltd. | 191,707 | ||||||
113,050 | Ingersoll-Rand plc | 6,250,535 | ||||||
36,080 | Insperity, Inc. | 1,737,252 | ||||||
19,000 | Intrum Justitia AB | 646,526 | ||||||
72,500 | ITOCHU Corporation | 857,563 | ||||||
3,709 | Jardine Matheson Holdings, Ltd. | 179,618 | ||||||
43,864 | JB Hunt Transport Services, Inc. | 3,217,863 | ||||||
12,606 | John Bean Technologies Corporation | 628,157 | ||||||
59,430 | Joy Global, Inc.f | 749,412 | ||||||
1,100 | Jungheinrich AG | 90,722 | ||||||
47,780 | Kaman Corporation | 1,949,902 | ||||||
23,170 | KAR Auction Services, Inc. | 857,985 | ||||||
6,000 | Keisei Electric Railway Company, Ltd. | 76,550 | ||||||
82,083 | Kforce, Inc. | 2,075,058 | ||||||
26,900 | KITZ Corporation | 120,830 | ||||||
18,100 | KONE Oyj | 766,377 | ||||||
5,900 | Koninklijke Boskalis Westminster NV | 240,675 | ||||||
105,770 | Korn/Ferry International | 3,509,449 | ||||||
31,233 | Landstar System, Inc. | 1,831,815 | ||||||
6,000 | Lincoln Electric Holdings, Inc. | 311,340 | ||||||
14,250 | Lockheed Martin Corporation | 3,094,387 | ||||||
48,270 | Manpower, Inc. | 4,068,678 | ||||||
125,450 | Masco Corporation | 3,550,235 | ||||||
76,982 | McGrath Rentcorp | 1,939,177 | ||||||
37,853 | Meggitt plc | 208,997 | ||||||
2,300 | MEITEC Corporation | 78,761 | ||||||
120,620 | Meritor, Inc.e | 1,007,177 | ||||||
18,538 | Middleby Corporatione | 1,999,694 | ||||||
17,372 | Mine Safety Appliances Company | 755,161 | ||||||
10,600 | MIRAIT Holdings Corporation | 87,332 | ||||||
12,000 | Mitsuboshi Belting, Ltd. | 95,663 | ||||||
45,100 | Mueller Water Products, Inc. | 387,860 | ||||||
137,219 | Navigant Consulting, Inc.e | 2,203,737 | ||||||
57,902 | Nielsen Holdings plc | 2,698,233 | ||||||
11,500 | Nikkon Holdings Company, Ltd. | 229,215 | ||||||
18,000 | Nippon Express Company, Ltd. | 84,586 | ||||||
18,900 | Nitto Kogyo Corporation | 330,444 | ||||||
21,977 | Nordson Corporation | 1,409,825 | ||||||
163,450 | Norfolk Southern Corporation | 13,826,236 | ||||||
13,850 | Northrop Grumman Corporation | 2,615,019 | ||||||
10,000 | Obayashi Corporation | 92,272 | ||||||
37,470 | Old Dominion Freight Line, Inc.e | 2,213,353 | ||||||
107,128 | On Assignment, Inc.e | 4,815,404 | ||||||
94,788 | Oshkosh Corporation | 3,700,524 | ||||||
59,266 | PGT, Inc.e | 675,040 | ||||||
35,300 | PowerSecure International, Inc.e | 531,265 | ||||||
107,086 | Progressive Waste Solutions, Ltd. | 2,521,875 | ||||||
50,684 | Proto Labs, Inc.e,f | 3,228,064 | ||||||
25,130 | Quanex Building Products Corporation | 523,961 | ||||||
1,200 | Randstad Holding NV | 74,726 | ||||||
65,570 | Raven Industries, Inc. | 1,022,892 | ||||||
13,323 | RBC Bearings, Inc.e | 860,533 | ||||||
36,300 | Rentokil Initial plc | 85,169 | ||||||
18,930 | Resources Connection, Inc. | 309,316 | ||||||
13,900 | Rexnord Corporatione | 251,868 | ||||||
1,055 | Rieter Holding AG | 198,294 | ||||||
62,325 | Ritchie Brothers Auctioneers, Inc.f | 1,502,656 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
42
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (34.2%) | Value | ||||||
| Industrials (3.7%) - continued |
| ||||||
29,100 | Rockwell Automation, Inc. | $ | 2,985,951 | |||||
14,490 | Rockwell Collins, Inc. | 1,337,427 | ||||||
20,856 | Roper Industries, Inc. | 3,958,260 | ||||||
5,370 | Ryder System, Inc. | 305,177 | ||||||
3,560 | Saft Groupe SA | 108,505 | ||||||
40,788 | Saia, Inc.e | 907,533 | ||||||
500 | Schindler Holding AG | 83,649 | ||||||
38,100 | SIG plc | 80,513 | ||||||
247,170 | Southwest Airlines Company | 10,643,140 | ||||||
28,330 | Spirit Aerosystems Holdings, Inc.e | 1,418,483 | ||||||
9,816 | Stericycle, Inc.e | 1,183,810 | ||||||
12,284 | Sun Hydraulics Corporation | 389,771 | ||||||
58,849 | Swift Transportation Companye,f | 813,293 | ||||||
6,000 | Teleperformance SA | 504,527 | ||||||
28,575 | Tennant Company | 1,607,629 | ||||||
19,840 | Tetra Tech, Inc. | 516,237 | ||||||
37,703 | Textron, Inc. | 1,583,903 | ||||||
1,700 | Thales SA | 127,245 | ||||||
3,200 | TKH Group NV | 129,944 | ||||||
18,000 | Toppan Printing Company, Ltd. | 165,837 | ||||||
37,160 | Toro Company | 2,715,281 | ||||||
2,600 | Travis Perkins plc | 75,428 | ||||||
20,760 | Triumph Group, Inc. | 825,210 | ||||||
11,020 | TrueBlue, Inc.e | 283,875 | ||||||
9,700 | Tsubakimoto Chain Company | 74,689 | ||||||
32,436 | Tyco International plc | 1,034,384 | ||||||
4,620 | UniFirst Corporation | 481,404 | ||||||
16,030 | United Continental Holdings, Inc.e | 918,519 | ||||||
64,800 | United Parcel Service, Inc. | 6,235,704 | ||||||
34,934 | United Rentals, Inc.e | 2,534,112 | ||||||
40,575 | Universal Forest Products, Inc. | 2,774,113 | ||||||
58,983 | Universal Truckload Services, Inc. | 828,121 | ||||||
1,400 | Vestas Wind Systems AS | 97,774 | ||||||
29,910 | WABCO Holdings, Inc.e | 3,058,597 | ||||||
43,724 | WageWorks, Inc.e | 1,983,758 | ||||||
92,820 | Waste Connections, Inc. | 5,227,622 | ||||||
6,585 | Watsco, Inc. | 771,301 | ||||||
28,660 | Wesco Aircraft Holdings, Inc.e | 343,060 | ||||||
21,620 | West Corporation | 466,343 | ||||||
6,475 | Woodward, Inc. | 321,549 | ||||||
11,810 | Xylem, Inc. | 431,065 | ||||||
19,300 | YRC Worldwide, Inc.e | 273,674 | ||||||
3,500 | Yuasa Trading Company, Ltd. | 86,462 | ||||||
|
| |||||||
Total | 321,182,162 | |||||||
|
| |||||||
| Information Technology (7.4%) |
| ||||||
38,751 | A10 Networks, Inc.e | 254,207 | ||||||
9,630 | Accenture plc | 1,006,335 | ||||||
182,435 | ACI Worldwide, Inc.e | 3,904,109 | ||||||
30,303 | Advanced Energy Industries, Inc.e | 855,454 | ||||||
99,140 | Agilent Technologies, Inc. | 4,145,043 | ||||||
59,750 | Akamai Technologies, Inc.e | 3,144,642 | ||||||
154,890 | Alibaba Group Holding, Ltd. ADRe,f | 12,587,910 | ||||||
23,260 | Alliance Data Systems Corporatione | 6,433,018 | ||||||
37,264 | Alphabet, Inc., Class Ae | 28,991,765 | ||||||
46,959 | Alphabet, Inc., Class Ce | 35,636,246 | ||||||
7,400 | Alps Electric Company, Ltd. | 200,673 | ||||||
29,802 | Ambarella, Inc.e,f | 1,661,163 | ||||||
61,320 | Amkor Technology, Inc.e | 372,826 | ||||||
125,217 | Amphenol Corporation | 6,540,084 | ||||||
2,400 | AMS AG | 80,229 | ||||||
6,600 | Analog Devices, Inc. | 365,112 | ||||||
28,501 | ANSYS, Inc.e | 2,636,342 | ||||||
474,599 | Apple, Inc. | 49,956,291 | ||||||
244,111 | Applied Materials, Inc. | 4,557,552 | ||||||
44,530 | Arista Networks, Inc.e,f | 3,466,215 | ||||||
33,776 | Aspen Technology, Inc.e | 1,275,382 | ||||||
1,200 | AtoS | 100,744 | ||||||
16,950 | AVG Technologies NVe | 339,848 | ||||||
30,530 | Avnet, Inc. | 1,307,905 | ||||||
35,620 | AVX Corporation | 432,427 | ||||||
66,163 | Belden, Inc. | 3,154,652 | ||||||
9,570 | Benchmark Electronics, Inc.e | 197,812 | ||||||
13,450 | Black Knight Financial Services, Inc.e | 444,657 | ||||||
37,230 | Booz Allen Hamilton Holding Corporation | 1,148,546 | ||||||
40,570 | Broadridge Financial Solutions, Inc. | 2,179,826 | ||||||
457,449 | Brocade Communications Systems, Inc. | 4,199,382 | ||||||
175,275 | Brooks Automation, Inc. | 1,871,937 | ||||||
54,612 | Cabot Microelectronics Corporatione | 2,390,913 | ||||||
24,577 | CACI International, Inc.e | 2,280,254 | ||||||
16,080 | Cadence Design Systems, Inc.e | 334,625 | ||||||
10,000 | Canon, Inc. | 302,500 | ||||||
1,500 | Cap Gemini SA | 139,179 | ||||||
41,808 | Cardtronics, Inc.e | 1,406,839 | ||||||
38,358 | Cavium, Inc.e | 2,520,504 | ||||||
14,400 | CDK Global, Inc. | 683,568 | ||||||
98,710 | CDW Corporation | 4,149,768 | ||||||
14,350 | Check Point Software Technologies, Ltd.e,f | 1,167,803 | ||||||
102,627 | Ciena Corporatione | 2,123,353 | ||||||
1,074,570 | Cisco Systems, Inc. | 29,179,948 | ||||||
3,533 | Citrix Systems, Inc.e | 267,271 | ||||||
85,039 | Cognex Corporation | 2,871,767 | ||||||
32,550 | Cognizant Technology Solutions Corporatione | 1,953,651 | ||||||
22,290 | Coherent, Inc.e | 1,451,302 | ||||||
14,500 | Comtech Telecommunications Corporation | 291,305 | ||||||
43,880 | Convergys Corporation | 1,092,173 | ||||||
114,190 | CoreLogic, Inc.e | 3,866,473 | ||||||
18,540 | Cornerstone OnDemand, Inc.e | 640,186 | ||||||
93,380 | Criteo SA ADRe | 3,697,848 | ||||||
24,490 | Cvent, Inc.e | 854,946 | ||||||
55,733 | Demandware, Inc.e,f | 3,007,910 | ||||||
8,100 | Dialog Semiconductor plce | 270,287 | ||||||
13,056 | DST Systems, Inc. | 1,489,167 | ||||||
3,600 | DTS Corporation | 81,949 | ||||||
77,650 | eBay, Inc.e | 2,133,822 | ||||||
99,300 | Electro Rent Corporation | 913,560 | ||||||
857,320 | EMC Corporation | 22,015,978 | ||||||
45,780 | Envestnet, Inc.e | 1,366,533 | ||||||
22,210 | EVERTEC, Inc. | 371,795 | ||||||
20,260 | ExlService Holdings, Inc.e | 910,282 | ||||||
26,250 | F5 Networks, Inc.e | 2,545,200 | ||||||
93,157 | Fabrinete | 2,219,000 | ||||||
492,490 | Facebook, Inc.e | 51,544,003 | ||||||
30,250 | FEI Company | 2,413,647 | ||||||
5,760 | FleetCor Technologies, Inc.e | 823,277 | ||||||
23,800 | FLIR Systems, Inc. | 668,066 | ||||||
102,949 | Fortinet, Inc.e | 3,208,920 | ||||||
35,900 | FUJIFILM Holdings NPV | 1,498,197 | ||||||
34,544 | Gartner, Inc.e | 3,133,141 | ||||||
106,230 | Glu Mobile, Inc.e | 258,139 | ||||||
92,138 | Guidewire Software, Inc.e | 5,543,022 | ||||||
55,080 | Harmonic, Inc.e | 224,176 | ||||||
7,000 | Hitachi Kokusai Electric, Inc. | 95,160 | ||||||
5,600 | Hoya Corporation | 228,998 | ||||||
15,921 | IAC/InterActiveCorporation | 956,056 | ||||||
45,160 | Imperva, Inc.e | 2,859,080 | ||||||
3,400 | Ingenico Group | 429,154 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
43
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (34.2%) | Value | ||||||
| Information Technology (7.4%) - continued |
| ||||||
220,860 | Intel Corporation | $ | 7,608,627 | |||||
10,900 | IRESS, Ltd. | 78,919 | ||||||
6,300 | IT Holdings Corporation | 143,948 | ||||||
5,200 | ITOCHU Techno-Solutions Corporation | 103,607 | ||||||
155,275 | Ixiae | 1,930,068 | ||||||
110,634 | Juniper Networks, Inc. | 3,053,498 | ||||||
2,700 | Kyocera Corporation | 125,389 | ||||||
3,700 | Leidos Holdings, Inc. | 208,162 | ||||||
12,900 | Liberty Tripadvisor Holdings, Inc.e | 391,386 | ||||||
22,934 | Littelfuse, Inc. | 2,454,167 | ||||||
4,750 | LogMeIn, Inc.e | 318,725 | ||||||
25,840 | Lumentum Holdings, Inc.e | 568,997 | ||||||
21,348 | Manhattan Associates, Inc.e | 1,412,597 | ||||||
46,800 | Marvell Technology Group, Ltd. | 412,776 | ||||||
118,680 | MasterCard, Inc. | 11,554,685 | ||||||
49,630 | Maxim Integrated Products, Inc. | 1,885,940 | ||||||
100,530 | Mentor Graphics Corporation | 1,851,763 | ||||||
45,407 | Methode Electronics, Inc. | 1,445,305 | ||||||
91,280 | Microsemi Corporatione | 2,974,815 | ||||||
1,019,720 | Microsoft Corporation | 56,574,066 | ||||||
64,386 | Monolithic Power Systems, Inc. | 4,102,032 | ||||||
2,720 | Morningstar, Inc. | 218,715 | ||||||
69,900 | Nanometrics, Inc.e | 1,058,286 | ||||||
60,920 | National Instruments Corporation | 1,747,795 | ||||||
14,900 | NEC Networks & System Integration Corporation | 263,502 | ||||||
6,510 | NetScout Systems, Inc.e | 199,857 | ||||||
54,218 | Newport Corporatione | 860,440 | ||||||
35,726 | Nice Systems, Ltd. ADRf | 2,047,814 | ||||||
5,000 | NS Solutions Corporation | 113,929 | ||||||
446,064 | NVIDIA Corporation | 14,702,269 | ||||||
30,105 | NXP Semiconductors NVe | 2,536,346 | ||||||
50,020 | ON Semiconductor Corporatione | 490,196 | ||||||
291,000 | Oracle Corporation | 10,630,230 | ||||||
22,940 | Palo Alto Networks, Inc.e | 4,040,652 | ||||||
155,310 | Pandora Media, Inc.e | 2,082,707 | ||||||
31,530 | Parametric Technology Corporatione | 1,091,884 | ||||||
31,900 | Paylocity Holding Corporatione | 1,293,545 | ||||||
467,914 | PayPal Holdings, Inc.e | 16,938,487 | ||||||
24,536 | Plantronics, Inc. | 1,163,497 | ||||||
147,937 | Progress Software Corporatione | 3,550,488 | ||||||
68,789 | Proofpoint, Inc.e | 4,471,973 | ||||||
57,629 | QLIK Technologies, Inc.e | 1,824,534 | ||||||
27,700 | RealPage, Inc.e | 621,865 | ||||||
72,100 | Red Hat, Inc.e | 5,970,601 | ||||||
63,060 | Ruckus Wireless, Inc.e | 675,373 | ||||||
346,980 | Salesforce.com, Inc.e | 27,203,232 | ||||||
5,200 | SAP SE | 412,639 | ||||||
58,245 | ServiceNow, Inc.e | 5,041,687 | ||||||
22,200 | Shinko Electric Industries Company, Ltd. | 142,321 | ||||||
85,100 | ShoreTel, Inc.e | 753,135 | ||||||
26,250 | Symantec Corporation | 551,250 | ||||||
39,958 | Synopsys, Inc.e | 1,822,484 | ||||||
1,200 | TDK Corporation | 76,853 | ||||||
5,560 | Tech Data Corporatione | 369,073 | ||||||
268,977 | Teradyne, Inc. | 5,559,755 | ||||||
22,520 | Tessera Technologies, Inc. | 675,825 | ||||||
197,870 | Texas Instruments, Inc. | 10,845,255 | ||||||
11,226 | Tyler Technologies, Inc.e | 1,956,916 | ||||||
300 | U-Blox AGe | 63,852 | ||||||
29,145 | Ultimate Software Group, Inc.e | 5,698,139 | ||||||
65,470 | Ultra Clean Holdings, Inc.e | 335,206 | ||||||
33,400 | Vantiv, Inc.e | 1,583,828 | ||||||
131,836 | Virtusa Corporatione | 5,450,100 | ||||||
463,930 | Visa, Inc. | 35,977,772 | ||||||
55,100 | Web.com Group, Inc.e | 1,102,551 | ||||||
48,220 | Xerox Corporation | 512,579 | ||||||
|
| |||||||
Total | 642,251,938 | |||||||
|
| |||||||
| Materials (1.3%) |
| ||||||
44,230 | Agnico Eagle Mines, Ltd. | 1,162,364 | ||||||
106,500 | Albemarle Corporation | 5,965,065 | ||||||
231,540 | Alcoa, Inc. | 2,285,300 | ||||||
41,654 | American Vanguard Corporation | 583,573 | ||||||
1,100 | Aurubis AG | 55,700 | ||||||
26,580 | Avery Dennison Corporation | 1,665,503 | ||||||
40,282 | Axalta Coating Systems, Ltd.e | 1,073,515 | ||||||
65,700 | Axiall Corporation | 1,011,780 | ||||||
16,340 | Balchem Corporation | 993,472 | ||||||
36,980 | Ball Corporation | 2,689,555 | ||||||
246,470 | Barrick Gold Corporation | 1,818,949 | ||||||
14,000 | Berry Plastics Group, Inc.e | 506,520 | ||||||
29,100 | BHP Billiton plc | 324,520 | ||||||
65,400 | BHP Billiton, Ltd. | 841,667 | ||||||
30,600 | BillerudKorsnas AB | 566,302 | ||||||
18,580 | Boise Cascade Companye | 474,347 | ||||||
25,800 | Boral, Ltd. | 110,309 | ||||||
6,500 | Buzzi Unicem SPA | 116,515 | ||||||
9,160 | Carpenter Technology Corporation | 277,273 | ||||||
24,027 | Celanese Corporation | 1,617,738 | ||||||
32,369 | CF Industries Holdings, Inc. | 1,320,979 | ||||||
108,414 | Chemtura Corporatione | 2,956,450 | ||||||
16,541 | Clearwater Paper Corporatione | 753,112 | ||||||
143,520 | Crown Holdings, Inc.e | 7,276,464 | ||||||
38,700 | Daicel Corporation | 575,930 | ||||||
121,600 | Dow Chemical Company | 6,259,968 | ||||||
15,000 | DOWA Holdings Company, Ltd.e | 107,852 | ||||||
9,000 | Eagle Materials, Inc. | 543,870 | ||||||
20,350 | Eastman Chemical Company | 1,373,828 | ||||||
171,180 | Eldorado Gold Corporation | 508,405 | ||||||
2,300 | Evonik Industries AG | 76,077 | ||||||
66,636 | FMC Corporation | 2,607,467 | ||||||
193,960 | Freeport-McMoRan, Inc. | 1,313,109 | ||||||
100 | Givaudan SA | 181,496 | ||||||
167,840 | Goldcorp, Inc. | 1,940,230 | ||||||
37,850 | Graphic Packaging Holding Company | 485,615 | ||||||
7,800 | Hexpol AB | 83,633 | ||||||
11,500 | Hokuetsu Kishu Paper Company, Ltd. | 67,768 | ||||||
4,700 | Holmen AB | 145,170 | ||||||
86,020 | Horsehead Holding Corporatione,f | 176,341 | ||||||
12,870 | Innophos Holdings, Inc. | 372,973 | ||||||
47,498 | Innospec, Inc. | 2,579,616 | ||||||
113,340 | International Paper Company | 4,272,918 | ||||||
4,900 | JFE Holdings, Inc. | 76,942 | ||||||
11,380 | KapStone Paper and Packaging Corporation | 257,074 | ||||||
295,430 | Kinross Gold Corporatione | 537,683 | ||||||
14,630 | Koppers Holdings, Inc.e | 266,997 | ||||||
1,300 | LafargeHolcim, Ltd. | 65,097 | ||||||
400 | Linde AG | 57,784 | ||||||
11,460 | Martin Marietta Materials, Inc. | 1,565,207 | ||||||
22,175 | Minerals Technologies, Inc. | 1,016,945 | ||||||
12,300 | Mitsubishi Chemical Holdings Corporation | 78,040 | ||||||
8,800 | Mondi plc | 172,487 | ||||||
146,700 | Mosaic Company | 4,047,453 | ||||||
114,947 | Myers Industries, Inc. | 1,531,094 | ||||||
134,900 | Newmont Mining Corporation | 2,426,851 | ||||||
5,300 | Nippon Paint Holdings Company, Ltd. | 128,271 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
44
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (34.2%) | Value | ||||||
| Materials (1.3%) - continued | |||||||
11,000 | Nippon Steel & Sumitomo Metal Corporation | $ | 217,606 | |||||
7,600 | Novozymes AS | 363,880 | ||||||
118,270 | Nucor Corporation | 4,766,281 | ||||||
18,000 | Oji Holdings Corporation | 72,342 | ||||||
43,520 | Olin Corporation | 751,155 | ||||||
149,840 | Owens-Illinois, Inc.e | 2,610,213 | ||||||
66,704 | Packaging Corporation of America | 4,205,687 | ||||||
114,369 | PolyOne Corporation | 3,632,359 | ||||||
4,060 | Quaker Chemical Corporation | 313,676 | ||||||
9,790 | Reliance Steel & Aluminum Company | 566,939 | ||||||
5,300 | Rio Tinto plc | 154,312 | ||||||
2,300 | Rio Tinto, Ltd. | 74,381 | ||||||
67,479 | Rock-Tenn Company | 3,078,392 | ||||||
15,940 | Royal Gold, Inc. | 581,332 | ||||||
17,300 | RPM International, Inc. | 762,238 | ||||||
30,490 | Schnitzer Steel Industries, Inc. | 438,141 | ||||||
18,800 | Scotts Miracle-Gro Company | 1,212,788 | ||||||
48,950 | Sealed Air Corporation | 2,183,170 | ||||||
5,950 | Silgan Holdings, Inc. | 319,634 | ||||||
75,030 | Silver Wheaton Corporation | 931,873 | ||||||
50,420 | Sonoco Products Company | 2,060,665 | ||||||
207,103 | Steel Dynamics, Inc. | 3,700,931 | ||||||
15,000 | Sumitomo Seika Chemicals Company, Ltd. | 91,264 | ||||||
131,050 | Teck Resources, Ltd.f | 505,853 | ||||||
15,000 | Tosoh Corporation | 77,160 | ||||||
16,200 | UPM-Kymmene Oyj | 300,760 | ||||||
24,130 | Vulcan Materials Company | 2,291,626 | ||||||
5,480 | Westlake Chemical Corporation | 297,674 | ||||||
248,110 | Yamana Gold, Inc. | 461,485 | ||||||
16,772 | Yara International ASA | 721,335 | ||||||
|
| |||||||
Total | 110,092,315 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) | |||||||
78,411 | BT Group plc | 544,456 | ||||||
21,000 | Elisa Oyj | 790,126 | ||||||
18,700 | Freenet AG | 631,032 | ||||||
278,449 | KCOM Group plc | 474,118 | ||||||
23,497 | Level 3 Communications, Inc.e | 1,277,297 | ||||||
47,600 | Orange SA | 796,149 | ||||||
65,002 | ORBCOMM, Inc.e | 470,614 | ||||||
9,200 | Proximus SA | 299,378 | ||||||
46,082 | SBA Communications Corporatione | 4,841,836 | ||||||
30,000 | StarHub, Ltd. | 78,072 | ||||||
365,900 | Telstra Corporation, Ltd. | 1,486,904 | ||||||
201,506 | Verizon Communications, Inc. | 9,313,607 | ||||||
7,800 | Vivendi SA | 167,522 | ||||||
85,050 | Vonage Holdings Corporatione | 488,187 | ||||||
|
| |||||||
Total | 21,659,298 | |||||||
|
| |||||||
| Utilities (0.7%) | |||||||
175,600 | A2A SPA | 237,773 | ||||||
7,550 | Ameren Corporation | 326,386 | ||||||
50,950 | American Electric Power Company, Inc. | 2,968,856 | ||||||
46,090 | American States Water Company | 1,933,475 | ||||||
147,090 | American Water Works Company, Inc. | 8,788,628 | ||||||
25,650 | Aqua America, Inc. | 764,370 | ||||||
31,490 | Artesian Resources Corporation | 872,273 | ||||||
4,960 | Atmos Energy Corporation | 312,678 | ||||||
57,860 | California Water Service Group | 1,346,402 | ||||||
20,500 | CLP Holdings, Ltd. | 173,758 | ||||||
30,000 | Edison International, Inc. | 1,776,300 | ||||||
152,400 | Electricidade de Portugal SA | 549,152 | ||||||
22,178 | FirstEnergy Corporation | 703,708 | ||||||
3,580 | IDACORP, Inc. | 243,440 | ||||||
23,898 | Laclede Group, Inc. | 1,419,780 | ||||||
13,450 | Middlesex Water Company | 356,963 | ||||||
10,760 | New Jersey Resources Corporation | 354,650 | ||||||
19,100 | NRG Yield, Inc.f | 281,916 | ||||||
6,320 | OGE Energy Corporation | 166,153 | ||||||
39,090 | Otter Tail Corporation | 1,040,967 | ||||||
45,820 | Pacific Ethanol, Inc.e,f | 219,020 | ||||||
299,850 | PG&E Corporation | 15,949,021 | ||||||
34,000 | PNM Resources, Inc. | 1,039,380 | ||||||
68,010 | Public Service Enterprise Group, Inc. | 2,631,307 | ||||||
87,700 | Redes Energeticas Nacionais SGPS SA | 264,947 | ||||||
38,100 | Renewable Energy Group, Inc.e | 353,949 | ||||||
67,400 | Southern Company | 3,153,646 | ||||||
50,898 | Southwest Gas Corporation | 2,807,534 | ||||||
88,520 | Talen Energy Corporatione | 551,480 | ||||||
14,000 | Toho Gas Company, Ltd. | 90,415 | ||||||
38,100 | United Utilities Group plc | 524,614 | ||||||
37,840 | Vectren Corporation | 1,605,173 | ||||||
19,150 | Westar Energy, Inc. | 812,152 | ||||||
79,350 | Wisconsin Energy Corporation | 4,071,449 | ||||||
|
| |||||||
Total | 58,691,715 | |||||||
|
| |||||||
Total Common Stock (cost $2,788,843,693) | 2,959,004,167 | |||||||
|
| |||||||
Registered Investment Companies (30.5%) | ||||||||
| Affiliated Equity Holdings (17.3%) | |||||||
22,633,380 | Thrivent Large Cap Stock Portfolio | 263,160,569 | ||||||
27,999,217 | Thrivent Large Cap Value Portfolio | 434,477,853 | ||||||
13,836,768 | Thrivent Mid Cap Stock Portfolio | 231,468,373 | ||||||
55,766,496 | Thrivent Partner Worldwide Allocation Portfolio | 502,110,376 | ||||||
4,191,815 | Thrivent Small Cap Stock Portfolio | 65,083,371 | ||||||
|
| |||||||
Total | 1,496,300,542 | |||||||
|
| |||||||
| Affiliated Fixed Income Holdings (10.9%) | |||||||
33,504,358 | Thrivent High Yield Portfolio | 150,029,163 | ||||||
50,025,346 | Thrivent Income Portfolio | 491,779,169 | ||||||
31,116,627 | Thrivent Limited Maturity Bond Portfolio | 302,550,074 | ||||||
|
| |||||||
Total | 944,358,406 | |||||||
|
| |||||||
| Equity Funds/ETFs (0.7%) | |||||||
17,330 | iShares MSCI EAFE Index Fund | 1,018,137 | ||||||
25,871 | iShares Russell 2000 Growth Index Fundf | 3,606,676 | ||||||
45,371 | iShares Russell 2000 Index Fundf | 5,104,691 | ||||||
17,330 | Market Vectors Oil Service ETFf | 458,379 | ||||||
645,170 | SPDR Euro Stoxx 50 ETFf | 22,213,203 | ||||||
133,194 | SPDR S&P 500 ETF Trustf | 27,156,925 | ||||||
29,200 | SPDR S&P Biotech ETF | 2,046,336 | ||||||
8,230 | SPDR S&P MidCap 400 ETF Trust | 2,091,161 | ||||||
2,471 | SPDR S&P Oil & Gas Equipment & Services ETF | 43,341 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
45
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (30.5%) | Value | ||||||
| Equity Funds/ETFs (0.7%) - continued | |||||||
35,560 | SPDR S&P Oil & Gas Exploration & Production ETFf | $ | 1,074,623 | |||||
|
| |||||||
Total | 64,813,472 | |||||||
|
| |||||||
Fixed Income Funds/ETFs (1.6%) | ||||||||
123,000 | iShares Barclays 1-3 Year Credit Bond Fund | 12,865,800 | ||||||
943,700 | iShares iBoxx $ High Yield Corporate Bond ETFf | 76,043,346 | ||||||
392,650 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 44,766,027 | ||||||
|
| |||||||
Total | 133,675,173 | |||||||
|
| |||||||
Total Registered Investment Companies (cost $2,501,718,543) | 2,639,147,593 | |||||||
|
| |||||||
Principal Amount | Long-Term Fixed Income (26.7%) | |||||||
| Asset-Backed Securities (1.1%) | |||||||
Access Group, Inc. | ||||||||
878,028 | 0.922%, 2/25/2036g,h | 855,813 | ||||||
Ares CLO, Ltd. | ||||||||
4,400,000 | 1.611%, 10/12/2023*,h | 4,378,781 | ||||||
2,750,000 | 1.842%, 11/15/2025*,h | 2,724,812 | ||||||
BA Credit Card Trust | ||||||||
1,750,000 | 0.711%, 6/15/2021h | 1,746,974 | ||||||
Bayview Opportunity Master Fund Trust | ||||||||
1,378,278 | 3.228%, 7/28/2034*,i | 1,375,899 | ||||||
3,426,387 | 3.721%, 2/28/2035* | 3,422,724 | ||||||
1,946,884 | 3.721%, 7/28/2035g,i | 1,945,315 | ||||||
Betony CLO, Ltd. | ||||||||
1,260,000 | 1.831%, 4/15/2027*,h | 1,246,342 | ||||||
CAM Mortgage, LLC | ||||||||
2,365,851 | 3.500%, 7/15/2064*,i | 2,363,679 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
2,250,000 | 0.711%, 1/18/2022h | 2,238,156 | ||||||
Chase Issuance Trust | ||||||||
1,375,000 | 1.590%, 2/18/2020 | 1,374,808 | ||||||
2,525,000 | 1.620%, 7/15/2020 | 2,516,415 | ||||||
Chesapeake Funding, LLC | ||||||||
1,489,805 | 0.719%, 1/7/2025g,h | 1,489,160 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
1,051,163 | 5.530%, 4/25/2047 | 1,145,067 | ||||||
DRB Prime Student Loan Trust | ||||||||
1,405,813 | 3.170%, 7/25/2031* | 1,406,733 | ||||||
1,100,000 | 3.200%, 1/25/2040* | 1,068,650 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
87,879 | 3.200%, 10/1/2025*,h | 87,902 | ||||||
Enterprise Fleet Financing, LLC | ||||||||
1,081,782 | 1.060%, 3/20/2019g | 1,080,231 | ||||||
764,190 | 0.870%, 9/20/2019g | 761,774 | ||||||
FirstEnergy Ohio PIRB Special Purpose Trust | ||||||||
439,265 | 0.679%, 1/15/2019 | 438,705 | ||||||
Ford Credit Auto Owner Trust | ||||||||
1,350,000 | 2.260%, 11/15/2025g | 1,360,890 | ||||||
Golden Credit Card Trust | ||||||||
2,000,000 | 0.761%, 9/15/2018g,h | 1,998,948 | ||||||
GoldenTree Loan Opportunities IX, Ltd. | ||||||||
$1,400,000 | 1.804%, 10/29/2026*,h | 1,384,560 | ||||||
Golub Capital Partners CLO 23M, Ltd. | ||||||||
1,350,000 | 1.771%, 5/5/2027*,h | 1,333,825 | ||||||
Lehman XS Trust | ||||||||
6,186,899 | 5.440%, 8/25/2035i | 5,536,790 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
5,400,000 | 3.176%, 8/15/2045 | 5,482,267 | ||||||
5,400,000 | 3.246%, 12/15/2047 | 5,395,695 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
2,795,079 | 0.572%, 2/25/2037h | 1,536,837 | ||||||
OZLM VIII, Ltd. | ||||||||
1,400,000 | 1.755%, 10/17/2026*,h | 1,383,957 | ||||||
Pretium Mortgage Credit Partners, LLC | ||||||||
3,030,214 | 4.125%, 10/27/2030* | 3,002,907 | ||||||
Race Point IX CLO, Ltd. | ||||||||
3,260,000 | 1.831%, 4/15/2027*,h | 3,240,781 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
6,500,000 | 6.011%, 5/25/2036i | 4,521,504 | ||||||
3,630,622 | 5.580%, 11/25/2036i | 1,894,342 | ||||||
SLM Student Loan Trust | ||||||||
1,740,883 | 0.931%, 7/15/2022g,h | 1,733,871 | ||||||
293,328 | 0.931%, 8/15/2022g,h | 292,486 | ||||||
1,191,997 | 0.720%, 4/25/2023g,h | 1,190,226 | ||||||
125,000 | 1.381%, 5/17/2027g,h | 124,026 | ||||||
Sunset Mortgage Loan Company, LLC | ||||||||
3,159,655 | 4.459%, 9/16/2045*,i | 3,147,174 | ||||||
U.S. Residential Opportunity Fund III Trust | ||||||||
1,713,089 | 3.721%, 1/27/2035* | 1,701,959 | ||||||
U.S. Small Business Administration | ||||||||
922,210 | 3.191%, 3/10/2024 | 957,742 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
2,501,896 | 3.375%, 10/25/2058*,i | 2,458,385 | ||||||
4,090,966 | 3.500%, 6/26/2045g,i | 4,031,222 | ||||||
4,246,014 | 3.500%, 6/26/2045g | 4,181,421 | ||||||
3,279,793 | 3.625%, 7/25/2045g,i | 3,233,185 | ||||||
1,882,156 | 3.500%, 2/25/2055*,i | 1,856,687 | ||||||
Volvo Financial Equipment, LLC | ||||||||
272,855 | 0.740%, 3/15/2017g | 272,717 | ||||||
1,982,017 | 0.820%, 4/16/2018g | 1,976,289 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
1,400,000 | 0.910%, 3/16/2020 | 1,398,876 | ||||||
World Omni Master Owner Trust | ||||||||
150,000 | 0.681%, 2/15/2018g,h | 149,975 | ||||||
|
| |||||||
Total | 100,447,484 | |||||||
|
| |||||||
| Basic Materials (0.2%) | |||||||
Albemarle Corporation | ||||||||
395,000 | 3.000%, 12/1/2019 | 387,439 | ||||||
ArcelorMittal SA | ||||||||
1,425,000 | 6.500%, 3/1/2021f | 1,146,968 | ||||||
Corporacion Nacional del Cobre de Chile | ||||||||
1,525,000 | 4.500%, 9/16/2025f,g | 1,436,071 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
46
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
| Basic Materials (0.2%) - continued |
| ||||||
First Quantum Minerals, Ltd. | ||||||||
$ | 621,000 | 6.750%, 2/15/2020g | $ | 400,545 | ||||
621,000 | 7.000%, 2/15/2021g | 389,677 | ||||||
Freeport-McMoRan, Inc. | ||||||||
1,580,000 | 2.375%, 3/15/2018 | 1,232,400 | ||||||
960,000 | 3.550%, 3/1/2022 | 556,800 | ||||||
1,110,000 | 3.875%, 3/15/2023 | 632,700 | ||||||
Georgia-Pacific, LLC | ||||||||
920,000 | 2.539%, 11/15/2019g | 914,707 | ||||||
Glencore Funding, LLC | ||||||||
680,000 | 1.377%, 4/16/2018g,h | 573,786 | ||||||
Packaging Corporation of America | ||||||||
1,350,000 | 4.500%, 11/1/2023 | 1,417,534 | ||||||
Sappi Papier Holding GmbH | ||||||||
1,950,000 | 6.625%, 4/15/2021g | 1,969,500 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
1,520,000 | 2.700%, 10/25/2017g | 1,390,800 | ||||||
Yamana Gold, Inc. | ||||||||
1,285,000 | 4.950%, 7/15/2024 | 1,089,658 | ||||||
|
| |||||||
Total | 13,538,585 | |||||||
|
| |||||||
| Capital Goods (0.4%) |
| ||||||
Ball Corporation | ||||||||
1,415,000 | 4.375%, 12/15/2020 | 1,437,109 | ||||||
Building Materials Corporation of America | ||||||||
2,355,000 | 6.000%, 10/15/2025g | 2,402,100 | ||||||
Case New Holland, Inc. | ||||||||
1,500,000 | 7.875%, 12/1/2017 | 1,586,250 | ||||||
Crown Americas Capital Corporation IV | ||||||||
1,470,000 | 4.500%, 1/15/2023 | 1,436,925 | ||||||
General Electric Company | ||||||||
2,095,000 | 4.200%, 12/15/2049j | 2,084,525 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
2,300,000 | 5.000%, 11/15/2025g | 2,334,500 | ||||||
L-3 Communications Corporation | ||||||||
1,336,000 | 1.500%, 5/28/2017 | 1,319,448 | ||||||
Lockheed Martin Corporation | ||||||||
560,000 | 1.850%, 11/23/2018 | 559,010 | ||||||
772,000 | 2.500%, 11/23/2020 | 767,421 | ||||||
1,544,000 | 4.500%, 5/15/2036 | 1,563,140 | ||||||
Martin Marietta Materials, Inc. | ||||||||
960,000 | 1.703%, 6/30/2017h | 953,321 | ||||||
Northrop Grumman Corporation | ||||||||
1,310,000 | 3.850%, 4/15/2045 | 1,177,149 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
960,000 | 5.000%, 1/15/2022g | 938,400 | ||||||
1,500,000 | 5.875%, 8/15/2023g | 1,522,500 | ||||||
Pentair Finance SA | ||||||||
1,500,000 | 2.900%, 9/15/2018 | 1,493,286 | ||||||
590,000 | 3.625%, 9/15/2020 | 589,418 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
2,401,432 | 5.750%, 10/15/2020 | 2,442,713 | ||||||
Roper Industries, Inc. | ||||||||
2,070,000 | 2.050%, 10/1/2018 | 2,056,584 | ||||||
Textron, Inc. | ||||||||
785,000 | 5.600%, 12/1/2017 | 834,355 | ||||||
1,225,000 | 7.250%, 10/1/2019 | 1,393,798 | ||||||
685,000 | 5.950%, 9/21/2021 | 766,546 | ||||||
United Rentals North America, Inc. | ||||||||
2,320,000 | 5.500%, 7/15/2025 | 2,250,400 | ||||||
Waste Management, Inc. | ||||||||
310,000 | 3.125%, 3/1/2025 | 301,699 | ||||||
|
| |||||||
Total | 32,210,597 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.5%) |
| ||||||
Alm Loan Funding CLO | ||||||||
1,400,000 | 1.745%, 10/17/2026*,h | 1,384,534 | ||||||
Alternative Loan Trust | ||||||||
1,422,373 | 6.000%, 6/25/2036 | 1,294,363 | ||||||
Apidos CLO XVIII | ||||||||
1,400,000 | 1.732%, 7/22/2026*,h | 1,388,927 | ||||||
Babson CLO, Ltd. | ||||||||
1,400,000 | 1.707%, 10/17/2026*,h | 1,379,048 | ||||||
Birchwood Park CLO, Ltd. | ||||||||
1,400,000 | 1.761%, 7/15/2026*,h | 1,384,914 | ||||||
BlueMountain CLO, Ltd. | ||||||||
1,400,000 | 1.801%, 10/15/2026*,h | 1,387,378 | ||||||
Carlyle Global Market Strategies CLO, Ltd. | ||||||||
1,400,000 | 1.617%, 7/20/2023*,h | 1,393,511 | ||||||
1,400,000 | 1.821%, 10/15/2026*,h | 1,389,523 | ||||||
Cent CLO 16, LP | ||||||||
1,400,000 | 1.579%, 8/1/2024*,h | 1,394,529 | ||||||
Cent CLO 22, Ltd. | ||||||||
1,400,000 | 1.824%, 11/7/2026*,h | 1,383,190 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
974,465 | 5.500%, 11/25/2035 | 931,496 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
3,297,116 | 5.750%, 4/25/2037 | 2,828,388 | ||||||
Countrywide Alternative Loan Trust | ||||||||
2,117,216 | 2.609%, 10/25/2035 | 1,861,020 | ||||||
1,373,538 | 6.000%, 4/25/2036 | 1,216,576 | ||||||
642,853 | 6.000%, 1/25/2037 | 590,790 | ||||||
3,809,615 | 5.500%, 5/25/2037 | 3,232,668 | ||||||
3,460,888 | 7.000%, 10/25/2037 | 2,427,437 | ||||||
Countrywide Home Loans, Inc. | ||||||||
1,151,965 | 5.750%, 4/25/2037 | 1,053,819 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
338,282 | 5.500%, 10/25/2021 | 327,453 | ||||||
930,212 | 6.000%, 10/25/2021 | 824,490 | ||||||
Dryden 34 Senior Loan Fund CLO | ||||||||
1,400,000 | 1.751%, 10/15/2026*,h | 1,384,528 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
4,887,267 | 3.000%, 2/15/2033k | 601,302 | ||||||
Federal National Mortgage Association | ||||||||
10,071,275 | 3.500%, 1/25/2033k | 1,356,184 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
2,895,167 | 6.000%, 8/25/2036h | 2,354,844 | ||||||
Galaxy XX CLO, Ltd. | ||||||||
4,500,000 | 1.731%, 7/20/2027*,h | 4,442,725 | ||||||
Golub Capital Partners CLO 22B, Ltd. | ||||||||
2,700,000 | 1.813%, 2/20/2027*,h | 2,668,619 | ||||||
HomeBanc Mortgage Trust | ||||||||
1,843,603 | 2.229%, 4/25/2037 | 1,389,811 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
47
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
| Collateralized Mortgage Obligations (1.5%) - continued |
| ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
$ | 3,874,202 | 1.062%, 7/25/2045h | $ | 3,350,902 | ||||
J.P. Morgan Alternative Loan Trust | ||||||||
1,916,291 | 6.500%, 3/25/2036 | 1,657,805 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
662,549 | 2.696%, 6/25/2036 | 566,090 | ||||||
301,669 | 2.691%, 10/25/2036 | 271,440 | ||||||
3,582,971 | 0.802%, 1/25/2037h | 2,195,964 | ||||||
3,992,916 | 6.250%, 8/25/2037 | 3,095,450 | ||||||
Limerock CLO III, LLC | ||||||||
4,500,000 | 1.817%, 10/20/2026*,h | 4,467,236 | ||||||
Madison Park Funding XIV CLO, Ltd. | ||||||||
1,525,000 | 1.767%, 7/20/2026*,h | 1,510,193 | ||||||
Madison Park Funding, Ltd. | ||||||||
4,250,000 | 1.652%, 8/15/2022*,h | 4,232,050 | ||||||
Magnetite XII, Ltd. | ||||||||
4,425,000 | 1.821%, 4/15/2027*,h | 4,375,777 | ||||||
MASTR Alternative Loans Trust | ||||||||
760,926 | 6.500%, 7/25/2034 | 778,759 | ||||||
2,348,652 | 0.872%, 12/25/2035h | 1,175,769 | ||||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
745,428 | 6.000%, 3/25/2037 | 671,150 | ||||||
Mountain View CLO, Ltd. | ||||||||
4,525,000 | 1.739%, 7/15/2027*,h | 4,430,939 | ||||||
Neuberger Berman CLO, Ltd. | ||||||||
1,100,000 | 1.804%, 8/4/2025*,h | 1,087,147 | ||||||
NZCG Funding CLO, Ltd. | ||||||||
4,500,000 | 1.873%, 4/27/2027*,h | 4,457,208 | ||||||
Oak Hill Advisors Residential Loan Trust | ||||||||
2,268,627 | 3.475%, 1/25/2055*,i | 2,257,577 | ||||||
Octagon Investment Partners XX CLO, Ltd. | ||||||||
1,400,000 | 1.796%, 8/12/2026*,h | 1,381,771 | ||||||
OHA Loan Funding, Ltd. | ||||||||
4,500,000 | 1.817%, 10/20/2026*,h | 4,453,491 | ||||||
RALI Trust | ||||||||
8,650,676 | 0.602%, 11/25/2036h | 6,283,893 | ||||||
Residential Asset Securitization Trust | ||||||||
3,578,981 | 0.802%, 8/25/2037h | 1,063,463 | ||||||
Sequoia Mortgage Trust | ||||||||
3,179,691 | 2.822%, 9/20/2046 | 2,543,885 | ||||||
Shackleton VII CLO, Ltd. | ||||||||
4,500,000 | 1.861%, 4/15/2027*,h | 4,479,235 | ||||||
Symphony CLO XV, Ltd. | ||||||||
4,500,000 | 1.765%, 10/17/2026*,h | 4,441,216 | ||||||
Symphony CLO VIII, Ltd. | ||||||||
1,369,720 | 1.419%, 1/9/2023*,h | 1,364,577 | ||||||
Voya CLO 3, Ltd. | ||||||||
1,400,000 | 1.740%, 7/25/2026*,h | 1,384,579 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
300,971 | 2.408%, 9/25/2036 | 271,382 | ||||||
1,061,194 | 2.431%, 10/25/2036 | 948,541 | ||||||
2,959,799 | 2.176%, 11/25/2036 | 2,564,211 | ||||||
3,410,276 | 1.825%, 1/25/2037 | 2,870,580 | �� | |||||
|
| |||||||
Total | 117,904,347 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.1%) |
| ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
1,680,000 | 1.326%, 6/8/2030g,h | 1,677,960 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
7,200,000 | 5.542%, 1/15/2049 | 7,361,570 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
5,368,000 | 5.509%, 9/15/2039 | 5,468,373 | ||||||
Federal National Mortgage Association | ||||||||
813,953 | 1.272%, 1/25/2017 | 813,984 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
4,650,000 | 5.867%, 12/10/2049 | 4,830,488 | ||||||
GS Mortgage Securities Trust | ||||||||
6,600,000 | 3.666%, 9/10/2047 | 6,767,212 | ||||||
6,500,000 | 3.506%, 10/10/2048 | 6,501,358 | ||||||
6,225,000 | 3.734%, 11/10/2048 | 6,344,294 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
2,300,000 | 1.281%, 12/15/2028g,h | 2,299,900 | ||||||
2,750,000 | 3.507%, 5/15/2045 | 2,835,786 | ||||||
3,650,000 | 5.695%, 2/12/2049 | 3,761,098 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
4,500,000 | 3.231%, 1/15/2048 | 4,467,484 | ||||||
6,500,000 | 3.598%, 11/15/2048 | 6,537,817 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
6,525,000 | 3.635%, 10/15/2028 | 6,578,147 | ||||||
6,000,000 | 3.753%, 12/15/2047 | 6,103,451 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
6,580,000 | 5.406%, 3/15/2044 | 6,754,115 | ||||||
SCG Trust | ||||||||
1,150,000 | 1.731%, 11/15/2026g,h | 1,153,630 | ||||||
UBS Commercial Mortgage Trust | ||||||||
8,150,000 | 3.400%, 5/10/2045 | 8,299,171 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
4,000,000 | 3.617%, 9/15/2057 | 4,038,953 | ||||||
3,750,000 | 3.839%, 9/15/2058 | 3,848,785 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
2,000,000 | 2.870%, 11/15/2045 | 1,980,791 | ||||||
|
| |||||||
Total | 98,424,367 | |||||||
|
| |||||||
| Communications Services (1.0%) |
| ||||||
21st Century Fox America, Inc. | ||||||||
1,700,000 | 6.900%, 3/1/2019 | 1,930,921 | ||||||
AMC Networks, Inc. | ||||||||
1,100,000 | 4.750%, 12/15/2022 | 1,100,000 | ||||||
America Movil SAB de CV | ||||||||
1,125,000 | 1.502%, 9/12/2016h | 1,124,985 | ||||||
1,039,000 | 5.000%, 10/16/2019 | 1,122,302 | ||||||
American Tower Corporation | ||||||||
180,000 | 2.800%, 6/1/2020 | 177,928 | ||||||
2,010,000 | 3.450%, 9/15/2021 | 2,019,853 | ||||||
AT&T, Inc. | ||||||||
615,000 | 1.257%, 6/30/2020h | 610,603 | ||||||
1,212,000 | 3.875%, 8/15/2021 | 1,250,387 | ||||||
1,015,000 | 3.000%, 6/30/2022 | 990,659 | ||||||
1,300,000 | 5.550%, 8/15/2041 | 1,306,332 | ||||||
772,000 | 4.750%, 5/15/2046 | 706,840 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
48
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
| Communications Services (1.0%) - continued |
| ||||||
British Sky Broadcasting Group plc | ||||||||
$ | 1,130,000 | 2.625%, 9/16/2019g | $ | 1,124,779 | ||||
CBS Corporation | ||||||||
1,030,000 | 4.000%, 1/15/2026 | 1,004,393 | ||||||
CCO Holdings, LLC | ||||||||
1,100,000 | 7.375%, 6/1/2020 | 1,145,375 | ||||||
CCO Safari II, LLC | ||||||||
1,530,000 | 6.834%, 10/23/2055g | 1,507,411 | ||||||
920,000 | 3.579%, 7/23/2020g | 914,488 | ||||||
720,000 | 4.908%, 7/23/2025g | 719,299 | ||||||
CCOH Safari, LLC | ||||||||
1,300,000 | 5.750%, 2/15/2026g | 1,303,250 | ||||||
CenturyLink, Inc. | ||||||||
1,000,000 | 6.450%, 6/15/2021 | 975,000 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
2,570,000 | 6.500%, 11/15/2022 | 2,505,750 | ||||||
Columbus International, Inc. | ||||||||
1,470,000 | 7.375%, 3/30/2021g | 1,455,300 | ||||||
Comcast Corporation | ||||||||
3,265,000 | 4.400%, 8/15/2035 | 3,284,453 | ||||||
539,000 | 4.650%, 7/15/2042 | 548,486 | ||||||
2,253,000 | 4.750%, 3/1/2044 | 2,340,209 | ||||||
Cox Communications, Inc. | ||||||||
672,000 | 9.375%, 1/15/2019g | 778,601 | ||||||
1,475,000 | 3.850%, 2/1/2025g | 1,351,338 | ||||||
Crown Castle International Corporation | ||||||||
1,265,000 | 5.250%, 1/15/2023 | 1,329,831 | ||||||
Crown Castle Towers, LLC | ||||||||
540,000 | 4.174%, 8/15/2017g | 552,168 | ||||||
Digicel, Ltd. | ||||||||
1,490,000 | 6.000%, 4/15/2021g | 1,255,325 | ||||||
DIRECTV Holdings, LLC | ||||||||
707,000 | 5.875%, 10/1/2019 | 789,104 | ||||||
2,702,000 | 6.350%, 3/15/2040 | 2,901,386 | ||||||
1,527,000 | 5.150%, 3/15/2042 | 1,423,679 | ||||||
Frontier Communications Corporation | ||||||||
2,440,000 | 8.875%, 9/15/2020g | 2,470,500 | ||||||
Hughes Satellite Systems Corporation | ||||||||
2,290,000 | 6.500%, 6/15/2019 | 2,467,475 | ||||||
Intelsat Jackson Holdings SA | ||||||||
1,100,000 | 7.250%, 4/1/2019 | 1,009,250 | ||||||
1,270,000 | 7.250%, 10/15/2020 | 1,111,250 | ||||||
Level 3 Communications, Inc. | ||||||||
645,000 | 5.375%, 1/15/2024g | 648,225 | ||||||
McGraw Hill Financial, Inc. | ||||||||
1,544,000 | 3.300%, 8/14/2020 | 1,557,194 | ||||||
McGraw-Hill Global Education Holdings, LLC | ||||||||
1,500,000 | 9.750%, 4/1/2021 | 1,590,000 | ||||||
Numericable-SFR | ||||||||
2,320,000 | 6.000%, 5/15/2022g | 2,250,400 | ||||||
SES Global Americas Holdings GP | ||||||||
1,035,000 | 2.500%, 3/25/2019g | 1,020,710 | ||||||
Sprint Communications, Inc. | ||||||||
850,000 | 9.000%, 11/15/2018g | 894,625 | ||||||
Sprint Corporation | ||||||||
1,400,000 | 7.625%, 2/15/2025 | 1,022,000 | ||||||
Telefonica Emisiones SAU | ||||||||
1,110,000 | 3.192%, 4/27/2018 | 1,131,536 | ||||||
Time Warner Entertainment Company, LP | ||||||||
1,691,000 | 8.375%, 3/15/2023 | 2,076,699 | ||||||
Time Warner, Inc. | ||||||||
3,152,000 | 3.600%, 7/15/2025 | 3,068,406 | ||||||
975,000 | 6.250%, 3/29/2041 | 1,082,809 | ||||||
T-Mobile USA, Inc. | ||||||||
2,470,000 | 6.125%, 1/15/2022 | 2,537,925 | ||||||
Unitymedia Hessen GmbH & Company KG | ||||||||
725,000 | 5.500%, 1/15/2023g | 723,188 | ||||||
Univision Communications, Inc. | ||||||||
970,000 | 5.125%, 5/15/2023g | 933,625 | ||||||
650,000 | 5.125%, 2/15/2025g | 617,500 | ||||||
UPCB Finance V, Ltd. | ||||||||
990,000 | 7.250%, 11/15/2021g | 1,051,875 | ||||||
Verizon Communications, Inc. | ||||||||
2,450,000 | 4.672%, 3/15/2055 | 2,127,092 | ||||||
945,000 | 1.296%, 6/17/2019h | 938,592 | ||||||
2,485,000 | 3.000%, 11/1/2021 | 2,478,015 | ||||||
3,489,000 | 5.150%, 9/15/2023 | 3,835,548 | ||||||
650,000 | 5.050%, 3/15/2034 | 647,607 | ||||||
1,165,000 | 4.272%, 1/15/2036 | 1,051,760 | ||||||
1,455,000 | 4.522%, 9/15/2048 | 1,301,202 | ||||||
|
| |||||||
Total | 83,195,443 | |||||||
|
| |||||||
| Consumer Cyclical (0.5%) |
| ||||||
Automatic Data Processing, Inc. | ||||||||
500,000 | 3.375%, 9/15/2025 | 509,711 | ||||||
Cinemark USA, Inc. | ||||||||
1,900,000 | 4.875%, 6/1/2023 | 1,852,500 | ||||||
CVS Health Corporation | ||||||||
400,000 | 2.250%, 8/12/2019 | 399,474 | ||||||
2,900,000 | 4.875%, 7/20/2035 | 2,994,224 | ||||||
652,000 | 6.125%, 9/15/2039 | 761,331 | ||||||
Delphi Automotive plc | ||||||||
1,930,000 | 3.150%, 11/19/2020 | 1,927,504 | ||||||
Ford Motor Company | ||||||||
625,000 | 7.450%, 7/16/2031 | 771,258 | ||||||
Ford Motor Credit Company, LLC | ||||||||
2,024,000 | 5.000%, 5/15/2018 | 2,125,999 | ||||||
1,470,000 | 2.551%, 10/5/2018 | 1,459,561 | ||||||
1,350,000 | 2.597%, 11/4/2019 | 1,325,481 | ||||||
General Motors Company | ||||||||
1,401,000 | 6.250%, 10/2/2043 | 1,480,207 | ||||||
General Motors Financial Company, Inc. | ||||||||
1,100,000 | 3.250%, 5/15/2018 | 1,105,507 | ||||||
1,156,000 | 3.700%, 11/24/2020 | 1,159,127 | ||||||
1,630,000 | 4.300%, 7/13/2025 | 1,580,595 | ||||||
GLP Capital, LP | ||||||||
1,465,000 | 4.875%, 11/1/2020 | 1,435,700 | ||||||
Goodyear Tire & Rubber Company | ||||||||
1,550,000 | 5.125%, 11/15/2023 | 1,588,750 | ||||||
Hilton Worldwide Finance, LLC | ||||||||
1,465,000 | 5.625%, 10/15/2021 | 1,518,106 | ||||||
Home Depot, Inc. | ||||||||
676,000 | 2.625%, 6/1/2022 | 675,294 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
49
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MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
Consumer Cyclical (0.5%) - continued | ||||||||
Hyundai Capital America | ||||||||
$1,158,000 | 2.400%, 10/30/2018g | $ | 1,154,408 | |||||
1,158,000 | 3.000%, 10/30/2020g | 1,152,473 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
1,270,000 | 4.125%, 12/15/2018g | 1,276,350 | ||||||
1,100,000 | 5.625%, 2/1/2023g | 1,111,000 | ||||||
KB Home | ||||||||
1,815,000 | 4.750%, 5/15/2019 | 1,760,550 | ||||||
L Brands, Inc. | ||||||||
2,100,000 | 5.625%, 2/15/2022 | 2,231,250 | ||||||
Lennar Corporation | ||||||||
1,100,000 | 4.125%, 12/1/2018 | 1,105,500 | ||||||
1,445,000 | 4.875%, 12/15/2023 | 1,437,775 | ||||||
Live Nation Entertainment, Inc. | ||||||||
2,150,000 | 5.375%, 6/15/2022g | 2,117,750 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
419,000 | 4.375%, 9/1/2023 | 417,354 | ||||||
McDonald’s Corporation | ||||||||
1,100,000 | 2.750%, 12/9/2020 | 1,099,242 | ||||||
MGM Resorts International | ||||||||
1,470,000 | 6.000%, 3/15/2023f | 1,458,975 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
1,450,000 | 5.250%, 11/15/2022 | 1,486,250 | ||||||
Six Flags Entertainment Corporation | ||||||||
970,000 | 5.250%, 1/15/2021g | 982,125 | ||||||
Toll Brothers Finance Corporation | ||||||||
620,000 | 8.910%, 10/15/2017 | 691,300 | ||||||
609,000 | 4.000%, 12/31/2018 | 621,180 | ||||||
West Corporation | ||||||||
2,570,000 | 5.375%, 7/15/2022g | 2,216,625 | ||||||
|
| |||||||
Total | 46,990,436 | |||||||
|
| |||||||
Consumer Non-Cyclical (1.0%) | ||||||||
AbbVie, Inc. | ||||||||
1,150,000 | 2.500%, 5/14/2020 | 1,138,438 | ||||||
825,000 | 3.600%, 5/14/2025 | 814,221 | ||||||
Actavis Funding SCS | ||||||||
960,000 | 4.550%, 3/15/2035 | 932,983 | ||||||
1,320,000 | 4.850%, 6/15/2044 | 1,306,034 | ||||||
Altria Group, Inc. | ||||||||
2,990,000 | 2.850%, 8/9/2022 | 2,914,894 | ||||||
Amgen, Inc. | ||||||||
565,000 | 2.125%, 5/1/2020 | 557,295 | ||||||
1,360,000 | 2.700%, 5/1/2022 | 1,319,743 | ||||||
875,000 | 3.125%, 5/1/2025 | 831,223 | ||||||
B&G Foods, Inc. | ||||||||
1,050,000 | 4.625%, 6/1/2021 | 1,039,500 | ||||||
BAT International Finance plc | ||||||||
825,000 | 1.022%, 6/15/2018g,h | 823,881 | ||||||
Becton, Dickinson and Company | ||||||||
1,904,000 | 6.375%, 8/1/2019 | 2,149,311 | ||||||
Biogen, Inc. | ||||||||
1,100,000 | 3.625%, 9/15/2022 | 1,112,184 | ||||||
Boston Scientific Corporation | ||||||||
740,000 | 6.000%, 1/15/2020 | 821,704 | ||||||
1,300,000 | 4.125%, 10/1/2023 | 1,315,344 | ||||||
1,025,000 | 3.850%, 5/15/2025 | 1,008,547 | ||||||
Bunge Limited Finance Corporation | ||||||||
960,000 | 8.500%, 6/15/2019 | 1,111,085 | ||||||
1,230,000 | 3.500%, 11/24/2020 | 1,223,153 | ||||||
Cardinal Health, Inc. | ||||||||
450,000 | 1.950%, 6/15/2018 | 448,828 | ||||||
507,000 | 4.900%, 9/15/2045 | 513,618 | ||||||
Celgene Corporation | ||||||||
1,685,000 | 2.875%, 8/15/2020 | 1,672,298 | ||||||
445,000 | 3.550%, 8/15/2022 | 449,326 | ||||||
1,685,000 | 5.000%, 8/15/2045 | 1,691,551 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
1,100,000 | 7.125%, 7/15/2020 | 1,095,875 | ||||||
Church & Dwight Company, Inc. | ||||||||
530,000 | 2.450%, 12/15/2019 | 527,232 | ||||||
Cigna Corporation | ||||||||
980,000 | 5.375%, 2/15/2042 | 1,074,422 | ||||||
Cott Beverages, Inc. | ||||||||
1,470,000 | 5.375%, 7/1/2022 | 1,440,600 | ||||||
EMD Finance, LLC | ||||||||
880,000 | 0.876%, 3/17/2017g,h | 877,302 | ||||||
1,520,000 | 2.950%, 3/19/2022g | 1,466,574 | ||||||
Endo Finance, LLC | ||||||||
2,025,000 | 6.000%, 2/1/2025g | 1,994,625 | ||||||
Envision Healthcare Corporation | ||||||||
1,450,000 | 5.125%, 7/1/2022g | 1,421,000 | ||||||
Forest Laboratories, Inc. | ||||||||
1,500,000 | 4.375%, 2/1/2019g | 1,571,364 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
1,100,000 | 5.875%, 1/31/2022g | 1,177,000 | ||||||
Gilead Sciences, Inc. | ||||||||
435,000 | 2.550%, 9/1/2020 | 434,835 | ||||||
Grifols Worldwide Operations, Ltd. | ||||||||
1,000,000 | 5.250%, 4/1/2022 | 1,005,000 | ||||||
H. J. Heinz Company | ||||||||
1,250,000 | 3.500%, 7/15/2022g | 1,258,619 | ||||||
HCA, Inc. | ||||||||
1,470,000 | 3.750%, 3/15/2019 | 1,481,025 | ||||||
1,000,000 | 4.750%, 5/1/2023 | 990,000 | ||||||
Hologic, Inc. | ||||||||
1,000,000 | 5.250%, 7/15/2022g | 1,020,000 | ||||||
Imperial Tobacco Finance plc | ||||||||
1,765,000 | 2.950%, 7/21/2020g | 1,768,459 | ||||||
JBS USA, LLC | ||||||||
2,220,000 | 5.750%, 6/15/2025g | 1,931,400 | ||||||
JM Smucker Company | ||||||||
1,544,000 | 4.375%, 3/15/2045 | 1,503,177 | ||||||
Kraft Foods Group, Inc. | ||||||||
1,330,000 | 5.000%, 6/4/2042 | 1,339,165 | ||||||
Laboratory Corporation of America Holdings | ||||||||
620,000 | 2.625%, 2/1/2020 | 612,097 | ||||||
1,350,000 | 4.700%, 2/1/2045 | 1,233,436 | ||||||
McKesson Corporation | ||||||||
1,522,000 | 3.796%, 3/15/2024 | 1,529,957 | ||||||
825,000 | 4.883%, 3/15/2044 | 824,588 | ||||||
Mead Johnson Nutrition Company | ||||||||
735,000 | 3.000%, 11/15/2020 | 734,778 | ||||||
Medco Health Solutions, Inc. | ||||||||
700,000 | 7.125%, 3/15/2018 | 773,806 | ||||||
Medtronic plc | ||||||||
3,855,000 | 4.375%, 3/15/2035 | 3,896,796 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
Consumer Non-Cyclical (1.0%) - continued | ||||||||
Merck & Company, Inc. | ||||||||
$ | 660,000 | 0.716%, 2/10/2020h | $ | 655,948 | ||||
330,000 | 3.700%, 2/10/2045 | 304,739 | ||||||
Mondelez International, Inc. | ||||||||
672,000 | 0.849%, 2/1/2019h | 660,196 | ||||||
Mylan NV | ||||||||
1,550,000 | 3.000%, 12/15/2018g | 1,546,579 | ||||||
590,000 | 3.750%, 12/15/2020g | 590,618 | ||||||
Pfizer, Inc. | ||||||||
1,000,000 | 5.800%, 8/12/2023 | 1,169,393 | ||||||
Quintiles Transnational Holdings, Inc. | ||||||||
800,000 | 4.875%, 5/15/2023g | 804,000 | ||||||
Reynolds American, Inc. | ||||||||
800,000 | 2.300%, 8/21/2017g | 806,226 | ||||||
2,338,000 | 5.700%, 8/15/2035 | 2,562,022 | ||||||
Roche Holdings, Inc. | ||||||||
1,158,000 | 4.000%, 11/28/2044g | 1,173,898 | ||||||
SABMiller Holdings, Inc. | ||||||||
676,000 | 3.750%, 1/15/2022g | 695,255 | ||||||
676,000 | 4.950%, 1/15/2042g | 686,604 | ||||||
Safeway, Inc. | ||||||||
62,000 | 3.400%, 12/1/2016 | 61,380 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
1,390,000 | 6.375%, 11/15/2020 | 1,476,875 | ||||||
Spectrum Brands, Inc. | ||||||||
640,000 | 5.750%, 7/15/2025g | 656,000 | ||||||
Tenet Healthcare Corporation | ||||||||
2,470,000 | 8.125%, 4/1/2022 | 2,463,825 | ||||||
Teva Pharmaceutical Finance Company BV | ||||||||
1,154,000 | 2.950%, 12/18/2022 | 1,104,780 | ||||||
TreeHouse Foods, Inc. | ||||||||
970,000 | 4.875%, 3/15/2022f | 923,925 | ||||||
UnitedHealth Group, Inc. | ||||||||
1,850,000 | 4.625%, 7/15/2035 | 1,920,518 | ||||||
VRX Escrow Corporation | ||||||||
1,100,000 | 6.125%, 4/15/2025g | 981,750 | ||||||
WM Wrigley Jr. Company | ||||||||
760,000 | 2.000%, 10/20/2017g | 761,231 | ||||||
Zoetis, Inc. | ||||||||
1,462,000 | 3.450%, 11/13/2020 | 1,463,703 | ||||||
|
| |||||||
Total | 83,647,758 | |||||||
|
| |||||||
Energy (0.6%) | ||||||||
Anadarko Petroleum Corporation | ||||||||
1,520,000 | 6.200%, 3/15/2040 | 1,398,470 | ||||||
Antero Resources Corporation | ||||||||
1,500,000 | 5.625%, 6/1/2023g | 1,170,000 | ||||||
Boardwalk Pipelines, Ltd. | ||||||||
1,140,000 | 5.875%, 11/15/2016 | 1,151,055 | ||||||
BP Capital Markets plc | ||||||||
1,590,000 | 3.062%, 3/17/2022 | 1,558,014 | ||||||
1,450,000 | 3.535%, 11/4/2024 | 1,410,312 | ||||||
Buckeye Partners, LP | ||||||||
1,182,000 | 2.650%, 11/15/2018 | 1,137,135 | ||||||
Cameron International Corporation | ||||||||
1,544,000 | 4.000%, 12/15/2023 | 1,550,858 | ||||||
150,000 | 3.700%, 6/15/2024 | 146,521 | ||||||
Canadian Natural Resources, Ltd. | ||||||||
1,600,000 | 3.450%, 11/15/2021 | 1,507,805 | ||||||
930,000 | 6.250%, 3/15/2038 | 846,469 | ||||||
CNOOC Nexen Finance | ||||||||
651,000 | 1.625%, 4/30/2017 | 647,234 | ||||||
CNPC General Capital, Ltd. | ||||||||
543,000 | 2.750%, 4/19/2017g | 548,731 | ||||||
Columbia Pipeline Group, Inc. | ||||||||
1,480,000 | 2.450%, 6/1/2018g | 1,447,023 | ||||||
Concho Resources, Inc. | ||||||||
1,101,432 | 5.500%, 10/1/2022 | 1,002,303 | ||||||
Crestwood Midstream Partners, LP | ||||||||
775,000 | 6.125%, 3/1/2022 | 538,625 | ||||||
Devon Energy Corporation | ||||||||
1,150,000 | 3.250%, 5/15/2022f | 977,543 | ||||||
772,000 | 5.850%, 12/15/2025f | 750,804 | ||||||
Diamondback Energy, Inc. | ||||||||
550,000 | 7.625%, 10/1/2021 | 555,500 | ||||||
Enbridge Energy Partners, LP | ||||||||
1,930,000 | 4.375%, 10/15/2020 | 1,882,752 | ||||||
Enbridge, Inc. | ||||||||
700,000 | 0.866%, 6/2/2017h | 685,596 | ||||||
Energy Transfer Partners, LP | ||||||||
3,060,000 | 4.650%, 6/1/2021 | 2,872,869 | ||||||
970,000 | 4.900%, 3/15/2035 | 705,298 | ||||||
Enterprise Products Operating, LLC | ||||||||
1,650,000 | 5.250%, 1/31/2020 | 1,737,660 | ||||||
942,000 | 5.100%, 2/15/2045 | 789,055 | ||||||
EQT Corporation | ||||||||
659,000 | 5.150%, 3/1/2018 | 685,707 | ||||||
770,000 | 8.125%, 6/1/2019 | 831,743 | ||||||
425,000 | 4.875%, 11/15/2021 | 404,629 | ||||||
Halliburton Company | ||||||||
1,115,000 | 4.850%, 11/15/2035 | 1,095,333 | ||||||
1,115,000 | 5.000%, 11/15/2045 | 1,102,225 | ||||||
Kinder Morgan, Inc. | ||||||||
908,000 | 5.300%, 12/1/2034 | 715,540 | ||||||
760,000 | 5.550%, 6/1/2045 | 593,279 | ||||||
Magellan Midstream Partners, LP | ||||||||
320,000 | 4.200%, 3/15/2045 | 233,037 | ||||||
Marathon Oil Corporation | ||||||||
1,700,000 | 2.700%, 6/1/2020 | 1,498,963 | ||||||
Marathon Petroleum Corporation | ||||||||
560,000 | 3.400%, 12/15/2020 | 549,967 | ||||||
640,000 | 4.750%, 9/15/2044 | 523,133 | ||||||
MEG Energy Corporation | ||||||||
1,100,000 | 6.500%, 3/15/2021g | 770,000 | ||||||
Noble Energy, Inc. | ||||||||
1,875,000 | 5.625%, 5/1/2021 | 1,834,101 | ||||||
Petrobras International Finance Company | ||||||||
1,890,000 | 5.750%, 1/20/2020 | 1,483,650 | ||||||
Petroleos Mexicanos | ||||||||
650,000 | 3.500%, 1/30/2023 | 567,125 | ||||||
760,000 | 2.378%, 4/15/2025 | 758,738 | ||||||
Pioneer Natural Resources Company | ||||||||
413,000 | 3.450%, 1/15/2021 | 381,345 | ||||||
750,000 | 4.450%, 1/15/2026 | 675,311 | ||||||
Regency Energy Partners, LP | ||||||||
1,470,000 | 5.000%, 10/1/2022 | 1,302,239 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
51
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MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
Energy (0.6%) - continued | ||||||||
Sabine Pass Liquefaction, LLC | ||||||||
$1,430,000 | 5.625%, 3/1/2025g | $ | 1,210,137 | |||||
Schlumberger Holdings Corporation | ||||||||
560,000 | 3.000%, 12/21/2020g | 552,765 | ||||||
1,544,000 | 4.000%, 12/21/2025g | 1,523,587 | ||||||
Shell International Finance BV | ||||||||
615,000 | 0.806%, 5/11/2020h | 605,992 | ||||||
Suncor Energy, Inc. | ||||||||
990,000 | 3.600%, 12/1/2024 | 932,459 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
2,660,000 | 4.400%, 4/1/2021 | 2,577,729 | ||||||
WPX Energy, Inc. | ||||||||
1,500,000 | 7.500%, 8/1/2020f | 1,215,000 | ||||||
|
| |||||||
Total | 51,641,366 | |||||||
|
| |||||||
Financials (2.1%) | ||||||||
Abbey National Treasury Services plc | ||||||||
608,000 | 3.050%, 8/23/2018 | 623,863 | ||||||
ABN AMRO Bank NV | ||||||||
1,550,000 | 4.750%, 7/28/2025g | 1,544,885 | ||||||
ACE INA Holdings, Inc. | ||||||||
1,544,000 | 2.300%, 11/3/2020 | 1,532,897 | ||||||
1,115,000 | 4.350%, 11/3/2045 | 1,132,987 | ||||||
AerCap Ireland Capital, Ltd. | ||||||||
2,070,000 | 5.000%, 10/1/2021 | 2,132,100 | ||||||
Air Lease Corporation | ||||||||
800,000 | 2.125%, 1/15/2018 | 786,000 | ||||||
339,000 | 2.625%, 9/4/2018 | 335,088 | ||||||
Ally Financial, Inc. | ||||||||
960,000 | 3.750%, 11/18/2019 | 946,800 | ||||||
775,000 | 4.125%, 3/30/2020 | 771,125 | ||||||
American Express Credit Corporation | ||||||||
945,000 | 1.083%, 3/18/2019h | 933,967 | ||||||
American International Group, Inc. | ||||||||
525,000 | 2.300%, 7/16/2019 | 520,554 | ||||||
1,310,000 | 3.875%, 1/15/2035 | 1,155,462 | ||||||
Avalonbay Communities, Inc. | ||||||||
1,650,000 | 3.500%, 11/15/2025 | 1,634,073 | ||||||
Aviation Capital Group Corporation | ||||||||
608,000 | 3.875%, 9/27/2016g | 612,560 | ||||||
Banco Santander Chile | ||||||||
1,200,000 | 1.221%, 4/11/2017g,h | 1,185,000 | ||||||
Bank of America Corporation | ||||||||
1,325,000 | 1.656%, 3/22/2018h | 1,329,251 | ||||||
840,000 | 1.196%, 4/1/2019h | 836,300 | ||||||
1,300,000 | 2.625%, 10/19/2020 | 1,283,647 | ||||||
1,280,000 | 3.300%, 1/11/2023 | 1,259,936 | ||||||
640,000 | 4.000%, 4/1/2024 | 654,538 | ||||||
965,000 | 4.000%, 1/22/2025 | 944,666 | ||||||
1,925,000 | 3.875%, 8/1/2025 | 1,954,121 | ||||||
718,000 | 5.875%, 2/7/2042 | 837,962 | ||||||
2,356,000 | 8.000%, 12/29/2049j | 2,397,230 | ||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||
530,000 | 2.850%, 9/8/2021g | 527,898 | ||||||
Barclays Bank plc | ||||||||
970,000 | 10.179%, 6/12/2021g | 1,256,534 | ||||||
Barclays plc | ||||||||
990,000 | 2.750%, 11/8/2019 | 986,384 | ||||||
1,544,000 | 3.650%, 3/16/2025 | 1,483,823 | ||||||
BB&T Corporation | ||||||||
560,000 | 1.036%, 1/15/2020h | 555,165 | ||||||
BBVA Banco Continental SA | ||||||||
1,185,000 | 2.250%, 7/29/2016g | 1,187,962 | ||||||
BioMed Realty, LP | ||||||||
960,000 | 2.625%, 5/1/2019 | 932,812 | ||||||
BPCE SA | ||||||||
960,000 | 5.700%, 10/22/2023g | 1,007,947 | ||||||
1,475,000 | 4.500%, 3/15/2025g | 1,414,959 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
780,000 | 0.989%, 1/29/2018g,h | 778,475 | ||||||
Capital One Financial Corporation | ||||||||
1,228,000 | 6.150%, 9/1/2016 | 1,265,313 | ||||||
820,000 | 2.450%, 4/24/2019 | 821,498 | ||||||
CIT Group, Inc. | ||||||||
970,000 | 5.000%, 8/15/2022 | 996,074 | ||||||
Citigroup, Inc. | ||||||||
700,000 | 1.088%, 4/8/2019h | 695,330 | ||||||
1,260,000 | 2.650%, 10/26/2020 | 1,249,815 | ||||||
850,000 | 4.050%, 7/30/2022 | 869,435 | ||||||
2,515,000 | 4.400%, 6/10/2025 | 2,540,170 | ||||||
1,550,000 | 4.650%, 7/30/2045 | 1,572,937 | ||||||
Citizens Bank NA | ||||||||
1,865,000 | 2.300%, 12/3/2018 | 1,862,797 | ||||||
CoBank ACB | ||||||||
495,000 | 1.112%, 6/15/2022*,h | 468,472 | ||||||
Compass Bank | ||||||||
920,000 | 2.750%, 9/29/2019 | 910,796 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
795,000 | 3.950%, 11/9/2022 | 804,718 | ||||||
Credit Agricole SA | ||||||||
820,000 | 1.121%, 4/15/2019g,h | 815,327 | ||||||
1,300,000 | 2.750%, 6/10/2020g | 1,306,973 | ||||||
Credit Suisse AG | ||||||||
772,000 | 5.400%, 1/14/2020 | 845,273 | ||||||
Credit Suisse Group Funding, Ltd. | ||||||||
2,316,000 | 2.750%, 3/26/2020g | 2,294,047 | ||||||
1,544,000 | 3.750%, 3/26/2025g | 1,493,486 | ||||||
CyrusOne, LP | ||||||||
1,900,000 | 6.375%, 11/15/2022 | 1,957,000 | ||||||
Digital Delta Holdings, LLC | ||||||||
1,500,000 | 3.400%, 10/1/2020g | 1,501,644 | ||||||
Discover Bank | ||||||||
1,750,000 | 8.700%, 11/18/2019 | 2,070,306 | ||||||
Discover Financial Services | ||||||||
640,000 | 6.450%, 6/12/2017 | 676,178 | ||||||
Duke Realty, LP | ||||||||
330,000 | 3.875%, 2/15/2021 | 336,475 | ||||||
990,000 | 4.375%, 6/15/2022 | 1,020,184 | ||||||
ERP Operating, LP | ||||||||
337,000 | 3.375%, 6/1/2025 | 333,237 | ||||||
European Investment Bank | ||||||||
1,215,000 | 1.875%, 3/15/2019 | 1,224,007 | ||||||
Fifth Third Bancorp | ||||||||
991,000 | 5.450%, 1/15/2017 | 1,027,360 | ||||||
740,000 | 2.875%, 7/27/2020 | 739,179 | ||||||
530,000 | 2.875%, 10/1/2021 | 527,866 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
52
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
Financials (2.1%) - continued | ||||||||
GE Capital International Funding Company | ||||||||
$3,052,000 | 4.418%, 11/15/2035g | $ | 3,114,511 | |||||
Genworth Financial, Inc. | ||||||||
890,000 | 7.700%, 6/15/2020f | 836,600 | ||||||
Goldman Sachs Group, Inc. | ||||||||
840,000 | 1.522%, 4/30/2018h | 843,815 | ||||||
620,000 | 1.462%, 11/15/2018h | 622,518 | ||||||
1,345,000 | 5.375%, 3/15/2020 | 1,477,540 | ||||||
780,000 | 1.476%, 4/23/2020h | 781,155 | ||||||
3,088,000 | 5.250%, 7/27/2021 | 3,414,155 | ||||||
1,625,000 | 3.500%, 1/23/2025 | 1,597,071 | ||||||
2,475,000 | 4.800%, 7/8/2044 | 2,460,650 | ||||||
676,000 | 5.150%, 5/22/2045 | 656,657 | ||||||
1,260,000 | 4.750%, 10/21/2045 | 1,251,655 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
1,960,000 | 5.125%, 4/15/2022 | 2,152,499 | ||||||
HBOS plc | ||||||||
1,002,000 | 6.750%, 5/21/2018g | 1,092,835 | ||||||
HCP, Inc. | ||||||||
2,430,000 | 4.000%, 12/1/2022 | 2,418,766 | ||||||
660,000 | 3.400%, 2/1/2025 | 614,778 | ||||||
HSBC Bank plc | ||||||||
1,765,000 | 1.002%, 5/15/2018g,h | 1,758,215 | ||||||
HSBC Holdings plc | ||||||||
2,920,000 | 6.375%, 12/29/2049j | 2,916,350 | ||||||
Huntington Bancshares, Inc. | ||||||||
304,000 | 2.600%, 8/2/2018 | 304,351 | ||||||
Huntington National Bank | ||||||||
1,030,000 | 2.200%, 11/6/2018 | 1,027,153 | ||||||
Hutchison Whampoa International 14, Ltd. | ||||||||
1,014,000 | 3.625%, 10/31/2024g | 1,006,073 | ||||||
Icahn Enterprises, LP | ||||||||
2,430,000 | 6.000%, 8/1/2020 | 2,450,412 | ||||||
ING Bank NV | ||||||||
1,187,000 | 4.125%, 11/21/2023 | 1,208,974 | ||||||
ING Capital Funding Trust III | ||||||||
1,015,000 | 4.207%, 12/29/2049h,j | 1,012,463 | ||||||
International Lease Finance Corporation | ||||||||
1,060,000 | 2.462%, 6/15/2016h | 1,057,350 | ||||||
1,150,000 | 8.875%, 9/1/2017 | 1,252,062 | ||||||
Intesa Sanpaolo SPA | ||||||||
1,605,000 | 5.250%, 1/12/2024 | 1,717,807 | ||||||
J.P. Morgan Chase & Company | ||||||||
1,215,000 | 6.300%, 4/23/2019 | 1,362,381 | ||||||
625,000 | 2.250%, 1/23/2020 | 614,863 | ||||||
1,930,000 | 4.500%, 1/24/2022 | 2,081,710 | ||||||
1,158,000 | 3.200%, 1/25/2023 | 1,154,219 | ||||||
1,320,000 | 3.625%, 5/13/2024 | 1,339,561 | ||||||
2,585,000 | 3.125%, 1/23/2025 | 2,514,691 | ||||||
2,335,000 | 7.900%, 4/29/2049j | 2,377,030 | ||||||
KeyCorp | ||||||||
1,600,000 | 2.900%, 9/15/2020 | 1,593,986 | ||||||
Liberty Mutual Group, Inc. | ||||||||
1,502,000 | 4.950%, 5/1/2022g | 1,592,097 | ||||||
Liberty Property, LP | ||||||||
2,210,000 | 3.750%, 4/1/2025 | 2,132,374 | ||||||
Lloyds Bank plc | ||||||||
885,000 | 1.038%, 3/16/2018h | 880,317 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
2,240,000 | 6.050%, 5/16/2016 | 2,276,940 | ||||||
895,000 | 6.400%, 8/28/2017 | 958,722 | ||||||
MetLife, Inc. | ||||||||
1,300,000 | 4.050%, 3/1/2045 | 1,206,388 | ||||||
Mizuho Bank, Ltd. | ||||||||
960,000 | 1.850%, 3/21/2018g | 954,836 | ||||||
Morgan Stanley | ||||||||
2,625,000 | 6.625%, 4/1/2018 | 2,878,391 | ||||||
560,000 | 1.600%, 4/25/2018h | 565,981 | ||||||
780,000 | 1.463%, 1/27/2020h | 781,667 | ||||||
670,000 | 4.875%, 11/1/2022 | 711,039 | ||||||
1,530,000 | 4.000%, 7/23/2025 | 1,575,554 | ||||||
1,925,000 | 4.350%, 9/8/2026 | 1,931,293 | ||||||
815,000 | 4.300%, 1/27/2045 | 777,598 | ||||||
2,020,000 | 5.550%, 12/29/2049j | 2,020,000 | ||||||
MPT Operating Partnership, LP | ||||||||
970,000 | 5.500%, 5/1/2024 | 965,150 | ||||||
National City Corporation | ||||||||
975,000 | 6.875%, 5/15/2019 | 1,101,478 | ||||||
Prudential Financial, Inc. | ||||||||
530,000 | 2.350%, 8/15/2019 | 527,492 | ||||||
Quicken Loans, Inc. | ||||||||
950,000 | 5.750%, 5/1/2025g | 904,875 | ||||||
Realty Income Corporation | ||||||||
302,000 | 2.000%, 1/31/2018 | 302,172 | ||||||
Regions Bank | ||||||||
344,000 | 7.500%, 5/15/2018 | 382,232 | ||||||
Regions Financial Corporation | ||||||||
1,400,000 | 2.250%, 9/14/2018 | 1,398,529 | ||||||
Reinsurance Group of America, Inc. | ||||||||
500,000 | 5.625%, 3/15/2017 | 521,081 | ||||||
990,000 | 5.000%, 6/1/2021 | 1,067,356 | ||||||
Reliance Standard Life Global Funding II | ||||||||
660,000 | 2.500%, 4/24/2019g | 657,406 | ||||||
Royal Bank of Scotland Group plc | ||||||||
835,000 | 1.543%, 3/31/2017h | 833,373 | ||||||
2,250,000 | 7.500%, 12/29/2049j | 2,342,813 | ||||||
Santander Holdings USA, Inc. | ||||||||
1,014,000 | 2.650%, 4/17/2020 | 994,803 | ||||||
Santander UK Group Holdings plc | ||||||||
1,351,000 | 2.875%, 10/16/2020 | 1,341,828 | ||||||
1,200,000 | 4.750%, 9/15/2025f,g | 1,184,168 | ||||||
Simon Property Group, LP | ||||||||
620,000 | 10.350%, 4/1/2019 | 760,836 | ||||||
570,000 | 2.500%, 9/1/2020 | 570,440 | ||||||
1,400,000 | 2.750%, 2/1/2023 | 1,368,055 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
1,025,000 | 2.375%, 3/25/2019g | 1,029,715 | ||||||
State Street Corporation | ||||||||
873,000 | 1.264%, 8/18/2020h | 873,091 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
930,000 | 0.897%, 1/16/2018h | 926,808 | ||||||
Svenska Handelsbanken AB | ||||||||
1,190,000 | 1.016%, 6/17/2019h | 1,179,102 | ||||||
Synchrony Financial | ||||||||
560,000 | 3.000%, 8/15/2019 | 559,223 | ||||||
520,000 | 1.564%, 2/3/2020h | 511,785 | ||||||
1,850,000 | 3.750%, 8/15/2021 | 1,847,976 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
53
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
| Financials (2.1%) - continued |
| ||||||
Toronto-Dominion Bank | ||||||||
$ | 560,000 | 1.432%, 12/14/2020h | $ | 559,869 | ||||
UBS Group Funding Jersey, Ltd. | ||||||||
1,930,000 | 2.950%, 9/24/2020g | 1,911,983 | ||||||
1,158,000 | 4.125%, 9/24/2025g | 1,156,799 | ||||||
UnitedHealth Group, Inc. | ||||||||
375,000 | 3.350%, 7/15/2022 | 383,566 | ||||||
USB Realty Corporation | ||||||||
535,000 | 1.468%, 12/29/2049g,h,j | 481,500 | ||||||
Voya Financial, Inc. | ||||||||
1,185,000 | 2.900%, 2/15/2018 | 1,197,810 | ||||||
Wells Fargo & Company | ||||||||
780,000 | 1.002%, 1/30/2020h | 772,734 | ||||||
1,550,000 | 2.550%, 12/7/2020 | 1,542,380 | ||||||
3,960,000 | 3.450%, 2/13/2023 | 3,969,330 | ||||||
1,320,000 | 3.000%, 2/19/2025 | 1,283,910 | ||||||
Welltower, Inc. | ||||||||
300,000 | 2.250%, 3/15/2018 | 299,731 | ||||||
655,000 | 3.750%, 3/15/2023 | 643,194 | ||||||
740,000 | 4.000%, 6/1/2025 | 727,913 | ||||||
|
| |||||||
Total | 182,113,427 | |||||||
|
| |||||||
| Foreign Government (<0.1%) |
| ||||||
Eksportfinans ASA | ||||||||
548,000 | 5.500%, 5/25/2016 | 554,889 | ||||||
Export-Import Bank of Korea | ||||||||
765,000 | 2.250%, 1/21/2020 | 753,258 | ||||||
Kommunalbanken AS | ||||||||
1,270,000 | 1.500%, 10/22/2019g | 1,254,399 | ||||||
|
| |||||||
Total | 2,562,546 | |||||||
|
| |||||||
| Industrials Other (<0.1%) |
| ||||||
AECOM | ||||||||
2,300,000 | 5.875%, 10/15/2024 | 2,346,000 | ||||||
Total | 2,346,000 | |||||||
| Mortgage-Backed Securities (8.9%) |
| ||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
57,995,000 | 3.000%, 1/1/2031c | 59,762,316 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
48,845,000 | 4.000%, 1/1/2046c | 51,599,204 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
37,675,000 | 3.500%, 1/1/2030c | 39,454,277 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
7,974,022 | 1.728%, 7/1/2043h | 8,107,704 | ||||||
8,114,478 | 2.016%, 7/1/2043h | 8,327,019 | ||||||
7,726,156 | 2.069%, 8/1/2043h | 7,934,280 | ||||||
319,550,000 | 3.500%, 1/1/2046c | 329,687,149 | ||||||
163,432,500 | 4.000%, 1/1/2046c | 172,939,679 | ||||||
87,794,000 | 4.500%, 1/1/2046c | 94,806,546 | ||||||
|
| |||||||
Total | 772,618,174 | |||||||
|
| |||||||
| Technology (0.4%) |
| ||||||
Amphenol Corporation | ||||||||
511,000 | 2.550%, 1/30/2019 | 511,089 | ||||||
Apple, Inc. | ||||||||
615,000 | 0.659%, 5/6/2020h | 610,364 | ||||||
2,676,000 | 3.200%, 5/13/2025 | 2,708,388 | ||||||
2,632,000 | 3.450%, 2/9/2045 | 2,266,042 | ||||||
Baidu, Inc. | ||||||||
1,825,000 | 2.750%, 6/9/2019 | 1,809,119 | ||||||
Cisco Systems, Inc. | ||||||||
825,000 | 0.914%, 3/1/2019h | 824,260 | ||||||
CommScope Technologies Finance, LLC | ||||||||
1,020,000 | 6.000%, 6/15/2025g | 981,750 | ||||||
Denali Borrower, LLC | ||||||||
2,320,000 | 5.625%, 10/15/2020g | 2,430,200 | ||||||
Equinix, Inc. | ||||||||
970,000 | 5.750%, 1/1/2025 | 991,825 | ||||||
Fidelity National Information Services, Inc. | ||||||||
960,000 | 2.850%, 10/15/2018 | 963,390 | ||||||
1,159,000 | 3.625%, 10/15/2020 | 1,174,098 | ||||||
First Data Corporation | ||||||||
1,570,000 | 5.375%, 8/15/2023g | 1,577,850 | ||||||
Freescale Semiconductor, Inc. | ||||||||
1,470,000 | 6.000%, 1/15/2022g | 1,539,825 | ||||||
Hewlett Packard Enterprise Company | ||||||||
1,520,000 | 2.450%, 10/5/2017g | 1,518,711 | ||||||
760,000 | 2.850%, 10/5/2018g | 759,576 | ||||||
760,000 | 4.400%, 10/15/2022g | 757,087 | ||||||
IMS Health, Inc. | ||||||||
1,497,000 | 6.000%, 11/1/2020f,g | 1,541,910 | ||||||
Intel Corporation | ||||||||
320,000 | 3.100%, 7/29/2022 | 326,308 | ||||||
925,000 | 3.700%, 7/29/2025 | 956,778 | ||||||
Iron Mountain, Inc. | ||||||||
1,005,000 | 6.000%, 8/15/2023 | 1,040,175 | ||||||
Microsoft Corporation | ||||||||
2,400,000 | 4.750%, 11/3/2055 | 2,485,908 | ||||||
2,400,000 | 4.200%, 11/3/2035 | 2,450,779 | ||||||
Oracle Corporation | ||||||||
565,000 | 2.500%, 5/15/2022 | 554,555 | ||||||
1,690,000 | 2.950%, 5/15/2025 | 1,646,381 | ||||||
Plantronics, Inc. | ||||||||
1,470,000 | 5.500%, 5/31/2023g | 1,462,650 | ||||||
Qualcomm, Inc. | ||||||||
1,860,000 | 3.000%, 5/20/2022 | 1,841,359 | ||||||
Seagate HDD Cayman | ||||||||
1,352,000 | 4.875%, 6/1/2027g | 1,037,472 | ||||||
|
| |||||||
Total | 36,767,849 | |||||||
|
| |||||||
| Transportation (0.2%) |
| ||||||
Air Canada Pass Through Trust | ||||||||
530,000 | 3.875%, 3/15/2023g | 514,100 | ||||||
American Airlines Pass Through Trust | ||||||||
1,543,155 | 3.375%, 5/1/2027 | 1,489,144 | ||||||
Avis Budget Car Rental, LLC | ||||||||
2,275,000 | 5.125%, 6/1/2022g | 2,246,562 | ||||||
Burlington Northern Santa Fe, LLC | ||||||||
1,320,000 | 5.050%, 3/1/2041 | 1,365,801 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
54
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
| Transportation (0.2%) - continued |
| ||||||
Canadian Pacific Railway Company | ||||||||
$405,000 | 7.125%, 10/15/2031 | $ | 501,513 | |||||
870,000 | 4.800%, 8/1/2045 | 846,743 | ||||||
Continental Airlines, Inc. | ||||||||
1,100,000 | 6.125%, 4/29/2018 | 1,122,000 | ||||||
705,947 | 4.150%, 4/11/2024 | 724,302 | ||||||
CSX Corporation | ||||||||
532,000 | 3.700%, 11/1/2023 | 543,867 | ||||||
Delta Air Lines, Inc. | ||||||||
349,404 | 4.950%, 5/23/2019 | 366,875 | ||||||
117,336 | 4.750%, 5/7/2020 | 123,789 | ||||||
ERAC USA Finance, LLC | ||||||||
294,000 | 2.800%, 11/1/2018g | 295,907 | ||||||
940,000 | 4.500%, 2/15/2045g | 874,114 | ||||||
FedEx Corporation | ||||||||
1,665,000 | 3.900%, 2/1/2035 | 1,515,633 | ||||||
J.B. Hunt Transport Services, Inc. | ||||||||
510,000 | 3.300%, 8/15/2022 | 505,081 | ||||||
Southwest Airlines Company | ||||||||
1,075,000 | 2.750%, 11/6/2019 | 1,083,333 | ||||||
Virgin Australia Holdings, Ltd. | ||||||||
326,988 | 5.000%, 10/23/2023g | 337,615 | ||||||
XPO Logistics, Inc. | ||||||||
2,000,000 | 6.500%, 6/15/2022f,g | 1,850,000 | ||||||
|
| |||||||
Total | 16,306,379 | |||||||
|
| |||||||
| U.S. Government and Agencies (7.2%) |
| ||||||
Federal National Mortgage Association | ||||||||
540,000 | 6.250%, 5/15/2029 | 732,117 | ||||||
Tennessee Valley Authority | ||||||||
520,000 | 5.250%, 9/15/2039 | 624,985 | ||||||
U.S. Treasury Bonds | ||||||||
4,750,000 | 5.250%, 11/15/2028 | 6,205,984 | ||||||
2,975,000 | 4.375%, 5/15/2040 | 3,743,386 | ||||||
66,460,000 | 3.000%, 5/15/2042 | 66,870,191 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
4,364,629 | 0.125%, 4/15/2019 | 4,339,000 | ||||||
132,487 | 2.375%, 1/15/2025 | 150,618 | ||||||
93,535 | 2.125%, 2/15/2040 | 110,124 | ||||||
999,951 | 0.750%, 2/15/2042 | 878,473 | ||||||
U.S. Treasury Notes | ||||||||
30,000,000 | 0.625%, 10/15/2016 | 29,971,860 | ||||||
70,050,000 | 0.875%, 11/15/2017 | 69,806,436 | ||||||
10,000,000 | 0.875%, 10/15/2018 | 9,889,840 | ||||||
112,320,000 | 1.500%, 10/31/2019l | 111,969,000 | ||||||
40,359,000 | 1.875%, 6/30/2020 | 40,641,190 | ||||||
76,185,000 | 1.375%, 9/30/2020 | 74,869,590 | ||||||
1,000,000 | 2.125%, 9/30/2021 | 1,010,547 | ||||||
2,000,000 | 2.125%, 6/30/2022 | 2,010,312 | ||||||
8,105,000 | 1.625%, 8/15/2022 | 7,894,456 | ||||||
68,135,000 | 2.250%, 11/15/2024 | 68,100,387 | ||||||
50,250,000 | 3.625%, 2/15/2044 | 56,527,331 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
31,278,560 | 0.125%, 4/15/2018 | 31,218,286 | ||||||
809,146 | 0.125%, 1/15/2022 | 784,103 | ||||||
34,936,051 | 0.125%, 1/15/2023 | 33,496,302 | ||||||
|
| |||||||
Total | 621,844,518 | |||||||
|
| |||||||
| U.S. Municipals (<0.1%) |
| ||||||
Molina Healthcare, Inc. | ||||||||
2,500,000 | 5.375%, 11/15/2022g | 2,500,000 | ||||||
|
| |||||||
Total | 2,500,000 | |||||||
|
| |||||||
| Utilities (0.5%) |
| ||||||
AES Corporation | ||||||||
1,100,000 | 7.375%, 7/1/2021 | 1,122,000 | ||||||
American Electric Power Company, Inc. | ||||||||
2,552,000 | 2.950%, 12/15/2022 | 2,520,702 | ||||||
Arizona Public Service Company | ||||||||
675,000 | 2.200%, 1/15/2020 | 668,652 | ||||||
Berkshire Hathaway Energy Company | ||||||||
495,000 | 2.400%, 2/1/2020 | 490,383 | ||||||
Calpine Corporation | ||||||||
1,470,000 | 5.375%, 1/15/2023 | 1,319,325 | ||||||
Commonwealth Edison Company | ||||||||
1,300,000 | 3.700%, 3/1/2045 | 1,169,289 | ||||||
965,000 | 4.350%, 11/15/2045 | 971,344 | ||||||
Consolidated Edison Company of New York, Inc. | ||||||||
579,000 | 4.500%, 12/1/2045 | 586,110 | ||||||
Covanta Holding Corporation | ||||||||
1,200,000 | 7.250%, 12/1/2020 | 1,241,250 | ||||||
DCP Midstream Operating, LP | ||||||||
675,000 | 3.875%, 3/15/2023 | 509,512 | ||||||
DCP Midstream, LLC | ||||||||
1,100,000 | 4.750%, 9/30/2021g | 855,392 | ||||||
DTE Electric Company | ||||||||
965,000 | 3.700%, 3/15/2045 | 886,673 | ||||||
DTE Energy Company | ||||||||
265,000 | 2.400%, 12/1/2019 | 263,875 | ||||||
Duke Energy Carolinas, LLC | ||||||||
640,000 | 3.750%, 6/1/2045 | 592,739 | ||||||
Duke Energy Corporation | ||||||||
1,073,000 | 2.100%, 6/15/2018 | 1,074,469 | ||||||
Dynegy, Inc. | ||||||||
1,800,000 | 6.750%, 11/1/2019 | 1,692,000 | ||||||
EDP Finance BV | ||||||||
2,242,000 | 4.125%, 1/15/2020g | 2,247,157 | ||||||
Enel Finance International NV | ||||||||
474,000 | 6.250%, 9/15/2017g | 505,065 | ||||||
Energy Transfer Equity, LP | ||||||||
1,470,000 | 5.500%, 6/1/2027 | 1,117,200 | ||||||
Eversource Energy | ||||||||
565,000 | 1.600%, 1/15/2018 | 559,031 | ||||||
Exelon Generation Company, LLC | ||||||||
1,077,000 | 5.200%, 10/1/2019 | 1,160,237 | ||||||
505,000 | 2.950%, 1/15/2020 | 503,184 | ||||||
ITC Holdings Corporation | ||||||||
294,000 | 4.050%, 7/1/2023 | 302,036 | ||||||
975,000 | 5.300%, 7/1/2043 | 998,379 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
1,150,000 | 3.500%, 3/1/2021 | 1,029,109 | ||||||
MidAmerican Energy Holdings Company | ||||||||
700,000 | 6.500%, 9/15/2037 | 851,919 | ||||||
Monongahela Power Company | ||||||||
990,000 | 5.400%, 12/15/2043g | 1,102,087 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
55
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (26.7%) | Value | ||||||
| Utilities (0.5%) - continued |
| ||||||
MPLX LP | ||||||||
$1,450,000 | 4.875%, 12/1/2024g | $ | 1,301,375 | |||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
1,500,000 | 2.300%, 11/1/2020 | 1,485,471 | ||||||
NiSource Finance Corporation | ||||||||
2,200,000 | 5.650%, 2/1/2045 | 2,528,618 | ||||||
Northern States Power Company | ||||||||
1,670,000 | 4.125%, 5/15/2044 | 1,658,095 | ||||||
NRG Energy, Inc. | ||||||||
1,100,000 | 6.625%, 3/15/2023 | 954,250 | ||||||
Oncor Electric Delivery Company, LLC | ||||||||
960,000 | 3.750%, 4/1/2045 | 797,887 | ||||||
Pacific Gas & Electric Company | ||||||||
1,301,000 | 5.625%, 11/30/2017 | 1,390,666 | ||||||
1,158,000 | 4.250%, 3/15/2046 | 1,122,088 | ||||||
PG&E Corporation | ||||||||
485,000 | 2.400%, 3/1/2019 | 483,965 | ||||||
PPL Capital Funding, Inc. | ||||||||
508,000 | 3.500%, 12/1/2022 | 511,768 | ||||||
1,900,000 | 5.000%, 3/15/2044 | 1,958,957 | ||||||
Sempra Energy | ||||||||
1,640,000 | 6.150%, 6/15/2018 | 1,790,032 | ||||||
630,000 | 2.400%, 3/15/2020 | 617,457 | ||||||
Southern California Edison Company | ||||||||
375,000 | 2.400%, 2/1/2022 | 367,731 | ||||||
Southwestern Electric Power Company | ||||||||
670,000 | 3.900%, 4/1/2045 | 586,669 | ||||||
Targa Resources Partners, LP | ||||||||
975,000 | 5.250%, 5/1/2023 | 789,750 | ||||||
TransAlta Corporation | ||||||||
1,213,000 | 1.900%, 6/3/2017 | 1,178,058 | ||||||
Williams Companies, Inc. | ||||||||
664,000 | 7.875%, 9/1/2021 | 597,605 | ||||||
|
| |||||||
Total | 46,459,561 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $2,319,714,712) | 2,311,518,837 | |||||||
|
| |||||||
Shares | Collateral Held for Securities Loaned (2.1%) | |||||||
182,839,267 | Thrivent Cash Management Trust | 182,839,267 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $182,839,267) | 182,839,267 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (14.4%)m | |||||||
Federal Agricultural Mortgage Corporation Discount Notes | ||||||||
3,000,000 | 0.040%, 1/4/2016 | 2,999,990 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
74,788,000 | 0.099%, 1/4/2016 | 74,787,383 | ||||||
35,000,000 | 0.100%, 1/5/2016 | 34,999,611 | ||||||
48,085,000 | 0.102%, 1/6/2016 | 48,084,318 | ||||||
5,000,000 | 0.100%, 1/7/2016 | 4,999,917 | ||||||
102,300,000 | 0.110%, 1/8/2016 | 102,297,814 | ||||||
15,000,000 | 0.105%, 1/11/2016 | 14,999,563 | ||||||
103,900,000 | 0.161%, 1/13/2016 | 103,894,415 | ||||||
50,300,000 | 0.111%, 1/15/2016 | 50,297,838 | ||||||
38,000,000 | 0.130%, 1/20/2016 | 37,997,387 | ||||||
34,000,000 | 0.116%, 1/21/2016 | 33,997,814 | ||||||
31,700,000 | 0.117%, 1/22/2016 | 31,697,834 | ||||||
18,000,000 | 0.233%, 1/26/2016 | 17,997,083 | ||||||
29,956,000 | 0.197%, 1/27/2016 | 29,951,746 | ||||||
15,950,000 | 0.273%, 2/1/2016 | 15,946,252 | ||||||
9,000,000 | 0.280%, 2/2/2016 | 8,997,760 | ||||||
68,700,000 | 0.219%, 2/3/2016 | 68,686,226 | ||||||
25,168,000 | 0.252%, 2/5/2016 | 25,161,834 | ||||||
5,200,000 | 0.340%, 2/9/2016 | 5,198,085 | ||||||
15,700,000 | 0.229%, 2/10/2016 | 15,696,010 | ||||||
17,000,000 | 0.250%, 2/12/2016 | 16,995,042 | ||||||
15,000,000 | 0.310%, 2/16/2016 | 14,994,058 | ||||||
5,000,000 | 0.278%, 2/17/2016 | 4,998,185 | ||||||
43,000,000 | 0.263%, 2/19/2016 | 42,984,626 | ||||||
30,000,000 | 0.265%, 2/22/2016 | 29,988,517 | ||||||
16,000,000 | 0.384%, 2/24/2016 | 15,990,775 | ||||||
25,000,000 | 0.300%, 2/26/2016 | 24,988,333 | ||||||
15,000,000 | 0.340%, 3/9/2016 | 14,990,367 | ||||||
2,000,000 | 0.420%, 3/10/2016 | 1,998,390 | ||||||
3,000,000 | 0.355%, 3/14/2016 | 2,997,840 | ||||||
15,000,000 | 0.355%, 3/15/2016 | 14,989,054 | ||||||
25,000,000 | 0.365%, 3/16/2016 | 24,980,990 | ||||||
3,500,000 | 0.310%, 3/18/2016 | 3,497,679 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
7,400,000 | 0.072%, 1/5/2016n | 7,399,941 | ||||||
9,000,000 | 0.103%, 1/6/2016n | 8,999,872 | ||||||
8,241,000 | 0.082%, 1/8/2016n | 8,240,870 | ||||||
1,400,000 | 0.207%, 1/13/2016n | 1,399,903 | ||||||
1,500,000 | 0.090%, 1/20/2016n | 1,499,929 | ||||||
1,500,000 | 0.250%, 1/27/2016 | 1,499,729 | ||||||
24,500,000 | 0.200%, 2/17/2016n | 24,493,603 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
900,000 | 0.100%, 1/4/2016 | 899,993 | ||||||
6,400,000 | 0.070%, 1/8/2016n | 6,399,913 | ||||||
7,900,000 | 0.099%, 1/14/2016n | 7,899,718 | ||||||
20,300,000 | 0.230%, 1/25/2016n | 20,296,887 | ||||||
2,000,000 | 0.200%, 2/10/2016n | 1,999,556 | ||||||
�� | Thrivent Cash Management Trust | |||||||
213,007,058 | 0.220% | 213,007,058 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 1,247,119,708 | |||||||
|
| |||||||
Total Investments (cost $9,304,986,487) 110.6% | $ | 9,575,658,858 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (10.6%) | (918,404,044 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 8,657,254,814 | ||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
56
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | All or a portion of the loan is unfunded. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Defaulted security. Interest is not being accrued. |
e | Non-income producing security. |
f | All or a portion of the security is on loan. |
g | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $172,163,105 or 2.0% of total net assets. |
h | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
i | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
j | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
k | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
l | At December 31, 2015, $1,560,109 of investments were segregated to cover exposure to a counterparty for margin on open mortgage-backed security transactions. |
m | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
n | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Moderate Allocation Portfolio as of December 31, 2015 was $103,358,651 or 1.2% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
Alm Loan Funding CLO, 10/17/2026 | 7/31/2014 | $ | 1,399,300 | |||||
Apidos CLO XVIII, 7/22/2026 | 6/25/2014 | 1,396,500 | ||||||
Ares CLO, Ltd., 10/12/2023 | 5/15/2015 | 4,400,000 | ||||||
Ares CLO, Ltd., 11/15/2025 | 11/26/2014 | 2,750,000 | ||||||
Babson CLO, Ltd., 10/17/2026 | 8/15/2014 | 1,399,300 | ||||||
Bayview Opportunity Master Fund Trust, 2/28/2035 | 2/27/2015 | 3,424,643 | ||||||
Bayview Opportunity Master Fund Trust, 7/28/2034 | 3/19/2015 | 1,374,832 | ||||||
Betony CLO, Ltd., 4/15/2027 | 2/25/2015 | 1,260,000 | ||||||
Birchwood Park CLO, Ltd., 7/15/2026 | 7/31/2014 | 1,400,000 | ||||||
BlueMountain CLO, Ltd., 10/15/2026 | 8/27/2014 | 1,398,586 | ||||||
CAM Mortgage, LLC, 7/15/2064 | 6/24/2015 | 2,365,851 | ||||||
Carlyle Global Market Strategies CLO, Ltd., 7/20/2023 | 7/3/2014 | 1,400,000 | ||||||
Carlyle Global Market Strategies CLO, Ltd., 10/15/2026 | 9/19/2014 | 1,400,000 | ||||||
Cent CLO 16, LP, 8/1/2024 | 9/5/2014 | 1,400,000 | ||||||
Cent CLO 22, Ltd., 11/7/2026 | 9/19/2014 | 1,400,000 | ||||||
CoBank ACB, 6/15/2022 | 10/18/2013 | 478,498 | ||||||
DRB Prime Student Loan Trust, 7/25/2031 | 9/23/2015 | 1,405,588 | ||||||
DRB Prime Student Loan Trust, 1/25/2040 | 12/4/2015 | 1,072,726 | ||||||
Dryden 34 Senior Loan Fund CLO, 10/15/2026 | 7/21/2014 | 1,400,000 | ||||||
Edlinc Student Loan Funding Trust, 10/1/2025 | 2/28/2013 | 88,501 | ||||||
Galaxy XX CLO, Ltd., 7/20/2027 | 5/20/2015 | 4,500,000 | ||||||
GoldenTree Loan Opportunities IX, Ltd., 10/29/2026 | 10/3/2014 | 1,398,600 | ||||||
Golub Capital Partners CLO 22B, Ltd., 2/20/2027 | 2/6/2015 | 2,686,230 | ||||||
Golub Capital Partners CLO 23M, Ltd., 5/5/2027 | 5/18/2015 | 1,346,625 | ||||||
Limerock CLO III, LLC, 10/20/2026 | 10/16/2014 | 4,500,000 | ||||||
Madison Park Funding XIV CLO, Ltd., 7/20/2026 | 7/3/2014 | 1,523,170 | ||||||
Madison Park Funding, Ltd., 8/15/2022 | 5/8/2015 | 4,250,000 | ||||||
Magnetite XII, Ltd., 4/15/2027 | 2/6/2015 | 4,425,000 | ||||||
Mountain View CLO, Ltd., 7/15/2027 | 5/13/2015 | 4,513,280 | ||||||
Neuberger Berman CLO, Ltd., 8/4/2025 | 6/19/2014 | 1,100,000 | ||||||
NZCG Funding CLO, Ltd., 4/27/2027 | 3/27/2015 | 4,500,000 | ||||||
Oak Hill Advisors Residential Loan Trust, 1/25/2055 | 3/5/2015 | 2,268,627 | ||||||
Octagon Investment Partners XX CLO, Ltd., 8/12/2026 | 7/10/2014 | 1,400,000 | ||||||
OHA Loan Funding, Ltd., 10/20/2026 | 11/6/2014 | 4,488,750 | ||||||
OZLM VIII, Ltd., 10/17/2026 | 8/7/2014 | 1,392,020 | ||||||
Pretium Mortgage Credit Partners, LLC, 10/27/2030 | 10/6/2015 | 3,027,563 | ||||||
Race Point IX CLO, Ltd., 4/15/2027 | 2/13/2015 | 3,260,000 | ||||||
Shackleton VII CLO, Ltd., 4/15/2027 | 3/27/2015 | 4,500,000 | ||||||
Sunset Mortgage Loan Company, LLC, 9/16/2045 | 10/2/2015 | 3,159,655 | ||||||
Symphony CLO XV, Ltd., 10/17/2026 | 10/17/2014 | 4,466,250 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
57
Table of Contents
MODERATE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Security | Acquisition Date | Cost | ||||||
Symphony CLO VIII, Ltd., 1/9/2023 | 9/15/2014 | $ | 1,369,720 | |||||
U.S. Residential Opportunity Fund III Trust, 1/27/2035 | 2/6/2015 | 1,713,089 | ||||||
Vericrest Opportunity Loan Transferee, 2/25/2055 | 2/25/2015 | 1,880,171 | ||||||
Vericrest Opportunity Loan Transferee, 10/25/2058 | 2/6/2015 | 2,499,193 | ||||||
Voya CLO 3, Ltd., 7/25/2026 | 7/10/2014 | 1,397,900 |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
CLO | - | Collateralized Loan Obligation | ||
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
TIPS | - | Treasury Inflation Protected Security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
58
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (3.9%)a | Value | ||||||
| Basic Materials (0.2%) | |||||||
Alpha Natural Resources, Inc., Term Loan | ||||||||
$ | 1,908,335 | 3.500%, 5/22/2020 | $ | 822,168 | ||||
Axalta Coating Systems US Holdings, Inc., Term Loan | ||||||||
1,434,190 | 3.750%, 2/1/2020 | 1,418,859 | ||||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
1,437,072 | 4.250%, 6/30/2019 | 1,061,781 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
2,266,009 | 3.750%, 12/15/2020 | 2,169,703 | ||||||
NewPage Corporation, Term Loan | ||||||||
1,023,750 | 9.500%, 2/11/2021 | 365,356 | ||||||
PolyOne Corporation, Term Loan | ||||||||
900,000 | 3.750%, 11/11/2022 | 900,000 | ||||||
Tronox Pigments BV, Term Loan | ||||||||
1,835,609 | 4.500%, 3/19/2020 | 1,619,925 | ||||||
Wausau Paper Corporation, Term Loan | ||||||||
1,277,429 | 6.500%, 7/30/2020 | 1,267,848 | ||||||
|
| |||||||
Total | 9,625,640 | |||||||
|
| |||||||
| Capital Goods (0.1%) | |||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
1,704,228 | 3.750%, 10/9/2019 | 1,646,710 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
3,374,575 | 3.500%, 2/8/2020 | 3,304,789 | ||||||
Silver II Borrower, Term Loan | ||||||||
1,315,978 | 4.000%, 12/13/2019 | 1,110,027 | ||||||
|
| |||||||
Total | 6,061,526 | |||||||
|
| |||||||
| Communications Services (1.4%) | |||||||
Altice U.S. Finance I Corporation, Term Loan | ||||||||
1,059,508 | 4.250%, 2/14/2019 | 1,041,412 | ||||||
Atlantic Broadband Penn, LLC, Term Loan | ||||||||
897,790 | 3.250%, 11/30/2019 | 888,534 | ||||||
Birch Communication Inc., Term Loan | ||||||||
1,937,500 | 7.750%, 7/17/2020 | 1,850,312 | ||||||
CCO Safari III, LLC, Term Loan | ||||||||
360,000 | 3.500%, 1/24/2023 | 359,251 | ||||||
Cengage Learning Acquisitions, Term Loan | ||||||||
3,775,784 | 7.000%, 3/31/2020 | 3,671,950 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
448,500 | 3.000%, 7/1/2020 | 439,624 | ||||||
Fairpoint Communications, Term Loan | ||||||||
2,246,475 | 7.500%, 2/14/2019 | 2,227,380 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
1,326,031 | 4.500%, 5/29/2020 | 1,298,410 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
2,365,895 | 5.250%, 6/26/2019 | 2,348,884 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
950,000 | 8.250%, 5/6/2022 | 826,500 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
1,859,895 | 5.250%, 8/14/2020 | 1,794,799 | ||||||
405,757 | 9.750%, 2/12/2021 | 392,569 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
2,515,968 | 3.750%, 6/30/2019 | 2,373,992 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
2,540,000 | 4.000%, 1/15/2020 | 2,529,561 | ||||||
Level 3 Financing, Inc., Term Loan | ||||||||
840,000 | 3.500%, 5/31/2022 | 825,930 | ||||||
Liberty Cablevision of Puerto Rico, LLC, Term Loan | ||||||||
2,585,000 | 4.500%, 1/7/2022 | 2,497,756 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
2,792,087 | 4.000%, 4/13/2020 | 2,712,512 | ||||||
72,738 | 8.000%, 4/12/2021 | 70,056 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
2,733,680 | 4.750%, 3/22/2019 | 2,667,607 | ||||||
NEP Broadcasting, LLC, Term Loan | ||||||||
134,286 | 10.000%, 7/22/2020 | 125,557 | ||||||
NEP/NCP Holdco, Inc., Term Loan | ||||||||
3,355,857 | 4.250%, 1/22/2020 | 3,129,337 | ||||||
NTelos, Inc., Term Loan | ||||||||
662,737 | 5.750%, 11/9/2019 | 656,110 | ||||||
Numericable US, LLC, Term Loan | ||||||||
3,000,000 | 4.750%, 2/10/2023 | 2,876,790 | ||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||
1,830,800 | 3.250%, 6/10/2022 | 1,783,309 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
1,793,615 | 4.000%, 4/23/2019 | 1,297,375 | ||||||
TNS, Inc., Term Loan | ||||||||
834,951 | 5.000%, 2/14/2020 | 820,339 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
2,961,697 | 4.000%, 3/1/2020 | 2,893,578 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
1,902,132 | 3.500%, 6/30/2023 | 1,860,229 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
2,961,719 | 4.500%, 4/1/2019 | 2,849,737 | ||||||
XO Communications, LLC, Term Loan | ||||||||
2,080,780 | 4.250%, 3/20/2021 | 2,027,720 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
1,690,638 | 4.250%, 3/1/2020 | 1,663,689 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
2,646,579 | 3.750%, 5/6/2021 | 2,598,835 | ||||||
|
| |||||||
Total | 55,399,644 | |||||||
|
| |||||||
| Consumer Cyclical (0.7%) | |||||||
Amaya BV, Term Loan | ||||||||
2,898,500 | 5.000%, 8/1/2021 | 2,710,098 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
1,094,626 | 4.250%, 8/13/2021 | 1,079,575 | ||||||
Ceridian HCM Holding, Inc., Term Loan | ||||||||
575,847 | 4.500%, 9/15/2020 | 487,310 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
59
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (3.9%)a | Value | ||||||
Consumer Cyclical (0.7%) - continued | ||||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
$ | 2,193,750 | 3.000%, 1/3/2021 | $ | 2,147,133 | ||||
Chrysler Group, LLC, Term Loan | ||||||||
1,492,036 | 3.500%, 5/24/2017 | 1,485,605 | ||||||
Golden Nugget, Inc., Delayed Draw | ||||||||
249,570 | 5.500%, 11/21/2019 | 247,074 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
582,330 | 5.500%, 11/21/2019 | 576,507 | ||||||
Hilton Worldwide Finance, LLC, Term Loan | ||||||||
1,591,787 | 3.500%, 10/26/2020 | 1,587,314 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
2,069,307 | 5.250%, 5/6/2021 | 2,029,866 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
1,964,625 | 6.000%, 5/22/2018 | 1,926,806 | ||||||
Las Vegas Sands, LLC, Term Loan | ||||||||
1,960,000 | 3.250%, 12/19/2020 | 1,937,950 | ||||||
Marina District Finance Company, Inc., Term Loan | ||||||||
1,726,688 | 6.500%, 8/15/2018 | 1,722,371 | ||||||
MGM Resorts International, Term Loan | ||||||||
1,391,950 | 3.500%, 12/20/2019 | 1,371,071 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
3,881,191 | 5.500%, 6/15/2018 | 3,788,314 | ||||||
Rite Aid Corporation, Term Loan | ||||||||
695,000 | 5.750%, 8/21/2020 | 695,347 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
2,473,075 | 5.000%, 6/20/2019 | 2,295,830 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
3,048,561 | 6.000%, 10/18/2020 | 2,781,812 | ||||||
655,038 | 6.000%, 10/1/2021 | 595,148 | ||||||
Seminole Indian Tribe of Florida, Term Loan | ||||||||
698,487 | 3.000%, 4/29/2020 | 693,249 | ||||||
|
| |||||||
Total | 30,158,380 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.5%) | |||||||
Albertson’s, Inc., Term Loan | ||||||||
3,477,240 | 5.500%, 3/21/2019 | 3,462,462 | ||||||
Catalina Marketing Corporation, Term Loan | ||||||||
2,717,104 | 4.500%, 4/9/2021 | 2,160,097 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
348,494 | 3.657%, 12/31/2018 | 343,121 | ||||||
327,060 | 3.750%, 1/27/2021 | 318,272 | ||||||
601,781 | 4.000%, 1/27/2021 | 591,467 | ||||||
Endo Luxembourg Finance I Co Sarl, Term Loan | ||||||||
1,655,000 | 3.750%, 9/26/2022 | 1,630,870 | ||||||
JBS USA, LLC, Term Loan | ||||||||
1,508,730 | 3.750%, 5/25/2018 | 1,499,300 | ||||||
Ortho-Clinical Diagnostics, Inc., Term Loan | ||||||||
3,143,162 | 4.750%, 6/30/2021 | 2,652,043 | ||||||
Sterigenics-Nordion Holdings, LLC, Term Loan | ||||||||
1,082,288 | 4.250%, 5/16/2022 | 1,049,819 | ||||||
Supervalu, Inc., Term Loan | ||||||||
4,204,838 | 4.500%, 3/21/2019 | 4,142,649 | ||||||
Valeant Pharmaceuticals International, Inc., Term Loan | ||||||||
2,493,719 | 4.000%, 4/1/2022b,c | 2,393,346 | ||||||
|
| |||||||
Total | 20,243,446 | |||||||
|
| |||||||
| Energy (0.2%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
2,618,289 | 6.250%, 5/16/2018 | 1,152,780 | ||||||
Energy Solutions, LLC, Term Loan | ||||||||
515,821 | 6.750%, 5/29/2020 | 386,866 | ||||||
Expro Holdings UK 2, Ltd., Term Loan | ||||||||
740,625 | 5.750%, 9/2/2021 | 491,901 | ||||||
Fieldwood Energy, LLC, Term Loan | ||||||||
879,760 | 3.875%, 10/1/2018 | 571,844 | ||||||
389,261 | 8.375%, 9/30/2020 | 58,389 | ||||||
Houston Fuel Oil Terminal, LLC, Term Loan | ||||||||
1,851,612 | 4.250%, 8/19/2021 | 1,703,484 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
1,216,868 | 4.750%, 11/8/2019 | 1,113,434 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
1,803,750 | 0.000%, 3/28/2019d | 362,247 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
1,248,000 | 4.500%, 6/3/2018 | 533,520 | ||||||
Targa Resources Partners, LP, Term Loan | ||||||||
158,140 | 5.750%, 2/27/2022 | 153,000 | ||||||
|
| |||||||
Total | 6,527,465 | |||||||
|
| |||||||
| Financials (0.2%) | |||||||
DJO Finance, LLC, Term Loan | ||||||||
947,625 | 4.250%, 6/7/2020 | 919,490 | ||||||
GEO Group, Inc., Term Loan | ||||||||
448,500 | 3.250%, 4/3/2020 | 444,387 | ||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
2,184,375 | 7.000%, 5/22/2018 | 2,109,735 | ||||||
237,500 | 6.000%, 8/4/2019 | 226,219 | ||||||
MoneyGram International, Inc., Term Loan | ||||||||
1,789,400 | 4.250%, 3/27/2020 | 1,629,839 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
2,439,550 | 4.000%, 10/15/2019 | 2,396,858 | ||||||
|
| |||||||
Total | 7,726,528 | |||||||
|
| |||||||
| Technology (0.3%) | |||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||
5,000,000 | 0.000%, 11/13/2022b,c | 4,940,650 | ||||||
First Data Corporation, Term Loan | ||||||||
2,090,000 | 3.918%, 3/23/2018 | 2,060,092 | ||||||
1,040,000 | 3.918%, 9/24/2018 | 1,024,400 | ||||||
600,000 | 4.168%, 7/8/2022 | 590,850 | ||||||
Infor US, Inc., Term Loan | ||||||||
1,783,486 | 3.750%, 6/3/2020 | 1,670,538 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
60
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (3.9%)a | Value | ||||||
Technology (0.3%) - continued | ||||||||
Merrill Communications, LLC, Term Loan | ||||||||
$ | 8,144 | 6.250%, 6/1/2022 | $ | 6,922 | ||||
NXP BV, Term Loan | ||||||||
1,250,000 | 3.750%, 12/7/2020 | 1,242,813 | ||||||
SS&C European Holdings SARL, Term Loan | ||||||||
644,036 | 4.007%, 7/8/2022 | 638,400 | ||||||
94,780 | 4.018%, 7/8/2022 | 93,951 | ||||||
|
| |||||||
Total | 12,268,616 | |||||||
|
| |||||||
| Transportation (0.2%) | |||||||
American Airlines, Inc., Term Loan | ||||||||
1,901,138 | 3.250%, 6/27/2020 | 1,869,350 | ||||||
OSG Bulk Ships, Inc., Term Loan | ||||||||
1,182,000 | 5.250%, 8/5/2019 | 1,131,765 | ||||||
United Airlines, Inc., Term Loan | ||||||||
1,118,375 | 3.250%, 4/1/2019 | 1,108,388 | ||||||
87,187 | 3.500%, 9/15/2021 | 86,577 | ||||||
XPO Logistics, Inc., Term Loan | ||||||||
3,000,000 | 5.500%, 11/1/2021 | 2,983,740 | ||||||
|
| |||||||
Total | 7,179,820 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
Calpine Corporation, Term Loan | ||||||||
2,017,237 | 4.000%, 10/9/2019 | 1,961,764 | ||||||
243,756 | 4.000%, 10/31/2020 | 237,053 | ||||||
335,414 | 3.500%, 5/27/2022 | 319,146 | ||||||
Intergen NV, Term Loan | ||||||||
872,625 | 5.500%, 6/15/2020 | 786,453 | ||||||
|
| |||||||
Total | 3,304,416 | |||||||
|
| |||||||
Total Bank Loans (cost $170,279,759) | 158,495,481 | |||||||
|
| |||||||
Long-Term Fixed Income (38.4%) | ||||||||
Asset-Backed Securities (1.6%) | ||||||||
Access Group, Inc. | ||||||||
1,222,968 | 0.922%, 2/25/2036e,f | 1,192,025 | ||||||
Ares CLO, Ltd. | ||||||||
2,800,000 | 1.611%, 10/12/2023*,f | 2,786,497 | ||||||
1,500,000 | 1.842%, 11/15/2025*,f | 1,486,261 | ||||||
BA Credit Card Trust | ||||||||
1,100,000 | 0.711%, 6/15/2021f | 1,098,098 | ||||||
Bayview Opportunity Master Fund Trust | ||||||||
2,055,832 | 3.721%, 2/28/2035* | 2,053,634 | ||||||
1,177,186 | 3.721%, 7/28/2035e,g | 1,176,237 | ||||||
Betony CLO, Ltd. | ||||||||
750,000 | 1.831%, 4/15/2027*,f | 741,870 | ||||||
CAM Mortgage, LLC | ||||||||
1,419,511 | 3.500%, 7/15/2064*,g | 1,418,207 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
1,350,000 | 0.711%, 1/18/2022f | 1,342,894 | ||||||
Chase Issuance Trust | ||||||||
850,000 | 1.590%, 2/18/2020 | 849,882 | ||||||
1,625,000 | 1.620%, 7/15/2020 | 1,619,475 | ||||||
Chesapeake Funding, LLC | ||||||||
1,142,184 | 0.719%, 1/7/2025e,f | 1,141,689 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
1,051,163 | 5.530%, 4/25/2047 | 1,145,067 | ||||||
DRB Prime Student Loan Trust | ||||||||
937,209 | 3.170%, 7/25/2031* | 937,822 | ||||||
1,000,000 | 3.200%, 1/25/2040* | 971,500 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
956,030 | 3.200%, 10/1/2025*,f | 956,282 | ||||||
FirstEnergy Ohio PIRB Special Purpose Trust | ||||||||
611,833 | 0.679%, 1/15/2019 | 611,053 | ||||||
Ford Credit Auto Owner Trust | ||||||||
810,000 | 2.260%, 11/15/2025e | 816,534 | ||||||
Golden Credit Card Trust | ||||||||
1,000,000 | 0.761%, 9/15/2018e,f | 999,474 | ||||||
GoldenTree Loan Opportunities IX, Ltd. | ||||||||
825,000 | 1.804%, 10/29/2026*,f | 815,902 | ||||||
Golub Capital Partners CLO 23M, Ltd. | ||||||||
800,000 | 1.771%, 5/5/2027*,f | 790,415 | ||||||
Lehman XS Trust | ||||||||
3,660,582 | 5.440%, 8/25/2035g | 3,275,934 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
3,400,000 | 3.176%, 8/15/2045 | 3,451,797 | ||||||
3,400,000 | 3.246%, 12/15/2047 | 3,397,290 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
1,853,474 | 0.572%, 2/25/2037f | 1,019,108 | ||||||
OZLM VIII, Ltd. | ||||||||
825,000 | 1.755%, 10/17/2026*,f | 815,546 | ||||||
Pretium Mortgage Credit Partners, LLC | ||||||||
1,857,228 | 4.125%, 10/27/2030* | 1,840,492 | ||||||
Race Point IX CLO, Ltd. | ||||||||
1,925,000 | 1.831%, 4/15/2027*,f | 1,913,651 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
5,500,000 | 6.011%, 5/25/2036g | 3,825,888 | ||||||
2,420,415 | 5.580%, 11/25/2036g | 1,262,895 | ||||||
SLM Student Loan Trust | ||||||||
1,756,107 | 0.931%, 8/15/2022e,f | 1,751,066 | ||||||
794,665 | 0.720%, 4/25/2023e,f | 793,484 | ||||||
1,350,000 | 1.381%, 5/17/2027e,f | 1,339,480 | ||||||
Sunset Mortgage Loan Company, LLC | ||||||||
1,805,517 | 4.459%, 9/16/2045*,g | 1,798,385 | ||||||
U.S. Small Business Administration | ||||||||
396,550 | 3.191%, 3/10/2024 | 411,829 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
1,667,930 | 3.375%, 10/25/2058*,g | 1,638,923 | ||||||
2,547,609 | 3.500%, 6/26/2045e | 2,508,853 | ||||||
2,639,333 | 3.500%, 6/26/2045e,g | 2,600,788 | ||||||
2,004,318 | 3.625%, 7/25/2045e,g | 1,975,835 | ||||||
1,148,434 | 3.500%, 2/25/2055*,g | 1,132,894 | ||||||
Volvo Financial Equipment, LLC | ||||||||
380,048 | 0.740%, 3/15/2017e | 379,856 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
1,950,000 | 0.910%, 3/16/2020 | 1,948,434 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
61
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| Asset-Backed Securities (1.6%) - continued | |||||||
World Omni Master Owner Trust | ||||||||
$ | 1,620,000 | 0.681%, 2/15/2018e,f | $ | 1,619,725 | ||||
|
| |||||||
Total | 65,652,971 | |||||||
|
| |||||||
| Basic Materials (0.3%) | |||||||
Albemarle Corporation | ||||||||
230,000 | 3.000%, 12/1/2019 | 225,597 | ||||||
ArcelorMittal SA | ||||||||
1,300,000 | 6.500%, 3/1/2021h | 1,046,357 | ||||||
Corporacion Nacional del Cobre de Chile | ||||||||
1,135,000 | 4.500%, 9/16/2025e,h | 1,068,814 | ||||||
First Quantum Minerals, Ltd. | ||||||||
847,000 | 6.750%, 2/15/2020e | 546,315 | ||||||
847,000 | 7.000%, 2/15/2021e | 531,492 | ||||||
Freeport-McMoRan, Inc. | ||||||||
1,759,000 | 2.375%, 3/15/2018 | 1,372,020 | ||||||
822,000 | 3.875%, 3/15/2023 | 468,540 | ||||||
Georgia-Pacific, LLC | ||||||||
535,000 | 2.539%, 11/15/2019e | 531,922 | ||||||
Glencore Funding, LLC | ||||||||
395,000 | 1.377%, 4/16/2018e,f | 333,302 | ||||||
Packaging Corporation of America | ||||||||
1,075,000 | 4.500%, 11/1/2023 | 1,128,777 | ||||||
Sappi Papier Holding GmbH | ||||||||
845,000 | 6.625%, 4/15/2021e | 853,450 | ||||||
Xstrata Finance Canada, Ltd. | ||||||||
1,130,000 | 2.700%, 10/25/2017e | 1,033,950 | ||||||
Yamana Gold, Inc. | ||||||||
890,000 | 4.950%, 7/15/2024 | 754,705 | ||||||
|
| |||||||
Total | 9,895,241 | |||||||
|
| |||||||
| Capital Goods (0.5%) | |||||||
Ball Corporation | ||||||||
1,000,000 | 4.375%, 12/15/2020 | 1,015,625 | ||||||
Building Materials Corporation of America | ||||||||
1,575,000 | 6.000%, 10/15/2025e | 1,606,500 | ||||||
Case New Holland, Inc. | ||||||||
1,100,000 | 7.875%, 12/1/2017 | 1,163,250 | ||||||
Crown Americas Capital Corporation IV | ||||||||
1,450,000 | 4.500%, 1/15/2023 | 1,417,375 | ||||||
General Electric Company | ||||||||
1,422,000 | 4.200%, 12/15/2049i | 1,414,890 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
1,200,000 | 5.000%, 11/15/2025e | 1,218,000 | ||||||
L-3 Communications Corporation | ||||||||
992,000 | 1.500%, 5/28/2017 | 979,710 | ||||||
Lockheed Martin Corporation | ||||||||
380,000 | 1.850%, 11/23/2018 | 379,328 | ||||||
512,000 | 2.500%, 11/23/2020 | 508,963 | ||||||
1,024,000 | 4.500%, 5/15/2036 | 1,036,693 | ||||||
Martin Marietta Materials, Inc. | ||||||||
750,000 | 1.703%, 6/30/2017f | 744,782 | ||||||
Northrop Grumman Corporation | ||||||||
1,010,000 | 3.850%, 4/15/2045 | 907,573 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
970,000 | 5.000%, 1/15/2022e | 948,175 | ||||||
Pentair Finance SA | ||||||||
1,100,000 | 2.900%, 9/15/2018 | 1,095,076 | ||||||
345,000 | 3.625%, 9/15/2020 | 344,660 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
1,612,019 | 5.750%, 10/15/2020 | 1,639,730 | ||||||
Roper Industries, Inc. | ||||||||
1,316,000 | 2.050%, 10/1/2018 | 1,307,471 | ||||||
Textron, Inc. | ||||||||
680,000 | 5.600%, 12/1/2017 | 722,754 | ||||||
825,000 | 7.250%, 10/1/2019 | 938,680 | ||||||
545,000 | 5.950%, 9/21/2021 | 609,880 | ||||||
United Rentals North America, Inc. | ||||||||
1,450,000 | 5.500%, 7/15/2025 | 1,406,500 | ||||||
Waste Management, Inc. | ||||||||
260,000 | 3.125%, 3/1/2025 | 253,038 | ||||||
|
| |||||||
Total | 21,658,653 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (1.7%) | |||||||
Alm Loan Funding CLO | ||||||||
825,000 | 1.745%, 10/17/2026*,f | 815,886 | ||||||
Alternative Loan Trust | ||||||||
1,696,866 | 6.000%, 6/25/2036 | 1,544,152 | ||||||
Apidos CLO XVIII | ||||||||
825,000 | 1.732%, 7/22/2026*,f | 818,475 | ||||||
Babson CLO, Ltd. | ||||||||
825,000 | 1.707%, 10/17/2026*,f | 812,654 | ||||||
Birchwood Park CLO, Ltd. | ||||||||
825,000 | 1.761%, 7/15/2026*,f | 816,110 | ||||||
BlueMountain CLO, Ltd. | ||||||||
825,000 | 1.801%, 10/15/2026*,f | 817,562 | ||||||
Carlyle Global Market Strategies CLO, Ltd. | ||||||||
825,000 | 1.617%, 7/20/2023*,f | 821,176 | ||||||
825,000 | 1.821%, 10/15/2026*,f | 818,826 | ||||||
Cent CLO 16, LP | ||||||||
825,000 | 1.579%, 8/1/2024*,f | 821,776 | ||||||
Cent CLO 22, Ltd. | ||||||||
825,000 | 1.824%, 11/7/2026*,f | 815,094 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
528,996 | 5.500%, 11/25/2035 | 505,669 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
1,813,413 | 5.750%, 4/25/2037 | 1,555,613 | ||||||
Countrywide Alternative Loan Trust | ||||||||
2,226,727 | 2.609%, 10/25/2035 | 1,957,279 | ||||||
1,050,146 | 6.500%, 8/25/2036 | 791,276 | ||||||
348,977 | 6.000%, 1/25/2037 | 320,715 | ||||||
3,542,159 | 5.500%, 5/25/2037 | 3,005,717 | ||||||
2,248,699 | 7.000%, 10/25/2037 | 1,577,218 | ||||||
Countrywide Home Loans, Inc. | ||||||||
639,980 | 5.750%, 4/25/2037 | 585,455 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
183,639 | 5.500%, 10/25/2021 | 177,760 | ||||||
510,705 | 6.000%, 10/25/2021 | 452,661 | ||||||
Dryden 34 Senior Loan Fund CLO | ||||||||
825,000 | 1.751%, 10/15/2026*,f | 815,883 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
7,996,034 | 3.000%, 4/15/2028j | 785,482 | ||||||
5,506,216 | 3.000%, 2/15/2033j | 677,454 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
62
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| Collateralized Mortgage Obligations (1.7%) - continued | |||||||
Federal National Mortgage Association | ||||||||
$ | 11,297,992 | 3.500%, 1/25/2033j | $ | 1,521,372 | ||||
Galaxy XX CLO, Ltd. | ||||||||
2,650,000 | 1.731%, 7/20/2027*,f | 2,616,271 | ||||||
Golub Capital Partners CLO 22B, Ltd. | ||||||||
1,575,000 | 1.813%, 2/20/2027*,f | 1,556,694 | ||||||
Greenpoint Mortgage Funding Trust | ||||||||
1,283,251 | 0.622%, 10/25/2045f | 1,007,919 | ||||||
HomeBanc Mortgage Trust | ||||||||
1,036,355 | 2.229%, 4/25/2037 | 781,263 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
2,395,979 | 1.062%, 7/25/2045f | 2,072,347 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
163,763 | 2.691%, 10/25/2036 | 147,353 | ||||||
2,635,217 | 0.802%, 1/25/2037f | 1,615,097 | ||||||
2,857,675 | 6.250%, 8/25/2037 | 2,215,371 | ||||||
Limerock CLO III, LLC | ||||||||
2,500,000 | 1.817%, 10/20/2026*,f | 2,481,798 | ||||||
Madison Park Funding XIV CLO, Ltd. | ||||||||
900,000 | 1.767%, 7/20/2026*,f | 891,261 | ||||||
Madison Park Funding, Ltd. | ||||||||
2,975,000 | 1.652%, 8/15/2022*,f | 2,962,435 | ||||||
Magnetite XII, Ltd. | ||||||||
2,600,000 | 1.821%, 4/15/2027*,f | 2,571,078 | ||||||
MASTR Alternative Loans Trust | ||||||||
433,305 | 6.500%, 7/25/2034 | 443,460 | ||||||
1,930,399 | 0.872%, 12/25/2035f | 966,386 | ||||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
404,661 | 6.000%, 3/25/2037 | 364,339 | ||||||
Mountain View CLO, Ltd. | ||||||||
2,625,000 | 1.739%, 7/15/2027*,f | 2,570,434 | ||||||
Neuberger Berman CLO, Ltd. | ||||||||
700,000 | 1.804%, 8/4/2025*,f | 691,821 | ||||||
NZCG Funding CLO, Ltd. | ||||||||
2,650,000 | 1.873%, 4/27/2027*,f | 2,624,800 | ||||||
Octagon Investment Partners XX CLO, Ltd. | ||||||||
825,000 | 1.796%, 8/12/2026*,f | 814,258 | ||||||
OHA Loan Funding, Ltd. | ||||||||
2,500,000 | 1.817%, 10/20/2026*,f | 2,474,162 | ||||||
RALI Trust | ||||||||
4,403,039 | 0.602%, 11/25/2036f | 3,198,389 | ||||||
Residential Accredit Loans, Inc. Trust | ||||||||
743,756 | 5.750%, 9/25/2035 | 669,982 | ||||||
Residential Asset Securitization Trust | ||||||||
2,939,031 | 0.802%, 8/25/2037f | 873,307 | ||||||
Sequoia Mortgage Trust | ||||||||
2,782,229 | 2.822%, 9/20/2046 | 2,225,899 | ||||||
Shackleton VII CLO, Ltd. | ||||||||
2,650,000 | 1.861%, 4/15/2027*,f | 2,637,772 | ||||||
Symphony CLO XV, Ltd. | ||||||||
2,500,000 | 1.765%, 10/17/2026*,f | 2,467,342 | ||||||
Symphony CLO VIII, Ltd. | ||||||||
807,156 | 1.419%, 1/9/2023*,f | 804,126 | ||||||
Voya CLO 3, Ltd. | ||||||||
825,000 | 1.740%, 7/25/2026*,f | 815,913 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
413,835 | 2.408%, 9/25/2036 | 373,150 | ||||||
394,324 | 2.431%, 10/25/2036 | 352,463 | ||||||
1,288,620 | 2.176%, 11/25/2036 | 1,116,391 | ||||||
1,952,667 | 1.825%, 1/25/2037 | 1,643,646 | ||||||
|
| |||||||
Total | 72,678,192 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (1.6%) | |||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
2,340,000 | 1.326%, 6/8/2030e,f | 2,337,158 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
4,600,000 | 5.542%, 1/15/2049 | 4,703,225 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
3,300,000 | 5.509%, 9/15/2039 | 3,361,705 | ||||||
Federal National Mortgage Association | ||||||||
1,106,976 | 1.272%, 1/25/2017 | 1,107,018 | ||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
3,100,000 | 5.867%, 12/10/2049 | 3,220,326 | ||||||
GS Mortgage Securities Trust | ||||||||
4,000,000 | 3.666%, 9/10/2047 | 4,101,340 | ||||||
4,025,000 | 3.506%, 10/10/2048 | 4,025,841 | ||||||
4,200,000 | 3.734%, 11/10/2048 | 4,280,488 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
1,450,000 | 1.281%, 12/15/2028e,f | 1,449,937 | ||||||
1,750,000 | 3.507%, 5/15/2045 | 1,804,591 | ||||||
2,300,000 | 5.695%, 2/12/2049 | 2,370,007 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
2,850,000 | 3.231%, 1/15/2048 | 2,829,407 | ||||||
4,025,000 | 3.598%, 11/15/2048 | 4,048,418 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
4,050,000 | 3.635%, 10/15/2028 | 4,082,988 | ||||||
4,100,000 | 3.753%, 12/15/2047 | 4,170,691 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
4,150,000 | 5.406%, 3/15/2044 | 4,259,814 | ||||||
SCG Trust | ||||||||
700,000 | 1.731%, 11/15/2026e,f | 702,209 | ||||||
UBS Commercial Mortgage Trust | ||||||||
5,100,000 | 3.400%, 5/10/2045 | 5,193,346 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2,500,000 | 3.617%, 9/15/2057 | 2,524,346 | ||||||
2,250,000 | 3.839%, 9/15/2058 | 2,309,271 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
2,800,000 | 2.870%, 11/15/2045 | 2,773,107 | ||||||
|
| |||||||
Total | 65,655,233 | |||||||
|
| |||||||
| Communications Services (1.4%) | |||||||
21st Century Fox America, Inc. | ||||||||
1,205,000 | 6.900%, 3/1/2019 | 1,368,682 | ||||||
AMC Networks, Inc. | ||||||||
1,500,000 | 4.750%, 12/15/2022 | 1,500,000 | ||||||
America Movil SAB de CV | ||||||||
750,000 | 1.502%, 9/12/2016f | 749,990 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
63
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| Communications Services (1.4%) - continued | |||||||
$ | 829,000 | 5.000%, 10/16/2019 | $ | 895,465 | ||||
American Tower Corporation | ||||||||
105,000 | 2.800%, 6/1/2020 | 103,792 | ||||||
1,400,000 | 3.450%, 9/15/2021 | 1,406,863 | ||||||
AT&T, Inc. | ||||||||
360,000 | 1.533%, 6/30/2020f | 357,426 | ||||||
963,000 | 3.875%, 8/15/2021 | 993,500 | ||||||
805,000 | 3.000%, 6/30/2022 | 785,695 | ||||||
950,000 | 5.550%, 8/15/2041 | 954,627 | ||||||
546,000 | 4.750%, 5/15/2046 | 499,915 | ||||||
British Sky Broadcasting Group plc | ||||||||
880,000 | 2.625%, 9/16/2019e | 875,934 | ||||||
CBS Corporation | ||||||||
780,000 | 4.000%, 1/15/2026 | 760,608 | ||||||
CCO Holdings, LLC | ||||||||
1,500,000 | 7.375%, 6/1/2020 | 1,561,875 | ||||||
CCO Safari II, LLC | ||||||||
1,010,000 | 6.834%, 10/23/2055e | 995,088 | ||||||
630,000 | 3.579%, 7/23/2020e | 626,226 | ||||||
540,000 | 4.908%, 7/23/2025e | 539,475 | ||||||
CenturyLink, Inc. | ||||||||
1,150,000 | 6.450%, 6/15/2021 | 1,121,250 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
1,070,000 | 6.500%, 11/15/2022 | 1,043,250 | ||||||
Columbus International, Inc. | ||||||||
1,175,000 | 7.375%, 3/30/2021e | 1,163,250 | ||||||
Comcast Corporation | ||||||||
2,190,000 | 4.400%, 8/15/2035 | 2,203,048 | ||||||
418,000 | 4.650%, 7/15/2042 | 425,357 | ||||||
1,552,000 | 4.750%, 3/1/2044 | 1,612,075 | ||||||
Cox Communications, Inc. | ||||||||
496,000 | 9.375%, 1/15/2019e | 574,682 | ||||||
800,000 | 3.850%, 2/1/2025e | 732,929 | ||||||
Crown Castle International Corporation | ||||||||
1,270,000 | 5.250%, 1/15/2023 | 1,335,088 | ||||||
Crown Castle Towers, LLC | ||||||||
480,000 | 4.174%, 8/15/2017e | 490,816 | ||||||
Digicel, Ltd. | ||||||||
650,000 | 6.000%, 4/15/2021e | 547,625 | ||||||
DIRECTV Holdings, LLC | ||||||||
600,000 | 5.875%, 10/1/2019 | 669,678 | ||||||
1,792,000 | 6.350%, 3/15/2040 | 1,924,235 | ||||||
1,000,000 | 5.150%, 3/15/2042 | 932,337 | ||||||
FairPoint Communications, Inc. | ||||||||
970,000 | 8.750%, 8/15/2019e | 955,450 | ||||||
Frontier Communications Corporation | ||||||||
940,000 | 8.875%, 9/15/2020e | 951,750 | ||||||
Hughes Satellite Systems Corporation | ||||||||
1,350,000 | 6.500%, 6/15/2019 | 1,454,625 | ||||||
Intelsat Jackson Holdings SA | ||||||||
1,500,000 | 7.250%, 4/1/2019 | 1,376,250 | ||||||
Level 3 Communications, Inc. | ||||||||
660,000 | 5.375%, 1/15/2024e | 663,300 | ||||||
McGraw Hill Financial, Inc. | ||||||||
1,024,000 | 3.300%, 8/14/2020 | 1,032,750 | ||||||
McGraw-Hill Global Education Holdings, LLC | ||||||||
1,000,000 | 9.750%, 4/1/2021 | 1,060,000 | ||||||
Numericable-SFR | ||||||||
1,450,000 | 6.000%, 5/15/2022e | 1,406,500 | ||||||
SES Global Americas Holdings GP | ||||||||
620,000 | 2.500%, 3/25/2019e | 611,440 | ||||||
Sprint Corporation | ||||||||
1,405,000 | 7.625%, 2/15/2025 | 1,025,650 | ||||||
Telefonica Emisiones SAU | ||||||||
858,000 | 3.192%, 4/27/2018 | 874,647 | ||||||
Time Warner Entertainment Company, LP | ||||||||
1,341,000 | 8.375%, 3/15/2023 | 1,646,867 | ||||||
Time Warner, Inc. | ||||||||
1,982,000 | 3.600%, 7/15/2025 | 1,929,435 | ||||||
780,000 | 6.250%, 3/29/2041 | 866,247 | ||||||
T-Mobile USA, Inc. | ||||||||
1,450,000 | 6.125%, 1/15/2022 | 1,489,875 | ||||||
Unitymedia Hessen GmbH & Company KG | ||||||||
875,000 | 5.500%, 1/15/2023e | 872,813 | ||||||
Univision Communications, Inc. | ||||||||
970,000 | 5.125%, 5/15/2023e | 933,625 | ||||||
500,000 | 5.125%, 2/15/2025e | 475,000 | ||||||
UPCB Finance V, Ltd. | ||||||||
1,350,000 | 7.250%, 11/15/2021e | 1,434,375 | ||||||
Verizon Communications, Inc. | ||||||||
1,250,000 | 4.672%, 3/15/2055 | 1,085,251 | ||||||
590,000 | 1.296%, 6/17/2019f | 585,999 | ||||||
1,655,000 | 3.000%, 11/1/2021 | 1,650,348 | ||||||
2,304,000 | 5.150%, 9/15/2023 | 2,532,847 | ||||||
508,000 | 5.050%, 3/15/2034 | 506,130 | ||||||
859,000 | 4.272%, 1/15/2036 | 775,504 | ||||||
1,196,000 | 4.522%, 9/15/2048 | 1,069,579 | ||||||
|
| |||||||
Total | 59,017,038 | |||||||
|
| |||||||
| Consumer Cyclical (0.8%) | |||||||
Automatic Data Processing, Inc. | ||||||||
375,000 | 3.375%, 9/15/2025 | 382,283 | ||||||
Cinemark USA, Inc. | ||||||||
1,500,000 | 4.875%, 6/1/2023 | 1,462,500 | ||||||
CVS Health Corporation | ||||||||
235,000 | 2.250%, 8/12/2019 | 234,691 | ||||||
1,900,000 | 4.875%, 7/20/2035 | 1,961,733 | ||||||
508,000 | 6.125%, 9/15/2039 | 593,184 | ||||||
Delphi Automotive plc | ||||||||
1,280,000 | 3.150%, 11/19/2020 | 1,278,345 | ||||||
Ford Motor Company | ||||||||
515,000 | 7.450%, 7/16/2031 | 635,517 | ||||||
Ford Motor Credit Company, LLC | ||||||||
1,150,000 | 5.000%, 5/15/2018 | 1,207,954 | ||||||
950,000 | 2.551%, 10/5/2018 | 943,254 | ||||||
1,050,000 | 2.597%, 11/4/2019 | 1,030,930 | ||||||
General Motors Company | ||||||||
992,000 | 6.250%, 10/2/2043 | 1,048,084 | ||||||
General Motors Financial Company, Inc. | ||||||||
1,500,000 | 3.250%, 5/15/2018 | 1,507,509 | ||||||
770,000 | 3.700%, 11/24/2020 | 772,083 | ||||||
1,240,000 | 4.300%, 7/13/2025 | 1,202,415 | ||||||
Hilton Worldwide Finance, LLC | ||||||||
1,450,000 | 5.625%, 10/15/2021 | 1,502,562 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
64
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| Consumer Cyclical (0.8%) - continued | |||||||
Home Depot, Inc. | ||||||||
$ | 536,000 | 2.625%, 6/1/2022 | $ | 535,440 | ||||
Hyundai Capital America | ||||||||
768,000 | 2.400%, 10/30/2018e | 765,618 | ||||||
768,000 | 3.000%, 10/30/2020e | 764,334 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
1,500,000 | 5.625%, 2/1/2023e | 1,515,000 | ||||||
KB Home | ||||||||
1,141,000 | 4.750%, 5/15/2019 | 1,106,770 | ||||||
L Brands, Inc. | ||||||||
1,500,000 | 5.625%, 2/15/2022 | 1,593,750 | ||||||
Lennar Corporation | ||||||||
1,500,000 | 4.125%, 12/1/2018 | 1,507,500 | ||||||
1,485,000 | 4.875%, 12/15/2023 | 1,477,575 | ||||||
Live Nation Entertainment, Inc. | ||||||||
1,500,000 | 5.375%, 6/15/2022e | 1,477,500 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
375,000 | 4.375%, 9/1/2023 | 373,527 | ||||||
McDonald’s Corporation | ||||||||
730,000 | 2.750%, 12/9/2020 | 729,497 | ||||||
MGM Resorts International | ||||||||
1,450,000 | 6.000%, 3/15/2023h | 1,439,125 | ||||||
Six Flags Entertainment Corporation | ||||||||
970,000 | 5.250%, 1/15/2021e | 982,125 | ||||||
Toll Brothers Finance Corporation | ||||||||
580,000 | 8.910%, 10/15/2017 | 646,700 | ||||||
432,000 | 4.000%, 12/31/2018 | 440,640 | ||||||
|
| |||||||
Total | 31,118,145 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.4%) | |||||||
AbbVie, Inc. | ||||||||
920,000 | 2.500%, 5/14/2020 | 910,750 | ||||||
650,000 | 3.600%, 5/14/2025 | 641,508 | ||||||
Actavis Funding SCS | ||||||||
760,000 | 4.550%, 3/15/2035 | 738,611 | ||||||
668,000 | 4.850%, 6/15/2044 | 660,933 | ||||||
Altria Group, Inc. | ||||||||
2,100,000 | 2.850%, 8/9/2022 | 2,047,250 | ||||||
Amgen, Inc. | ||||||||
330,000 | 2.125%, 5/1/2020 | 325,500 | ||||||
1,075,000 | 2.700%, 5/1/2022 | 1,043,179 | ||||||
475,000 | 3.125%, 5/1/2025 | 451,235 | ||||||
B&G Foods, Inc. | ||||||||
1,055,000 | 4.625%, 6/1/2021 | 1,044,450 | ||||||
BAT International Finance plc | ||||||||
480,000 | 1.022%, 6/15/2018e,f | 479,349 | ||||||
Becton, Dickinson and Company | ||||||||
1,331,000 | 6.375%, 8/1/2019 | 1,502,486 | ||||||
Biogen, Inc. | ||||||||
810,000 | 3.625%, 9/15/2022 | 818,972 | ||||||
Boston Scientific Corporation | ||||||||
435,000 | 6.000%, 1/15/2020 | 483,029 | ||||||
1,030,000 | 4.125%, 10/1/2023 | 1,042,157 | ||||||
525,000 | 3.850%, 5/15/2025 | 516,573 | ||||||
Bunge Limited Finance Corporation | ||||||||
762,000 | 8.500%, 6/15/2019 | 881,924 | ||||||
590,000 | 3.500%, 11/24/2020 | 586,716 | ||||||
Cardinal Health, Inc. | ||||||||
260,000 | 1.950%, 6/15/2018 | 259,323 | ||||||
402,000 | 4.900%, 9/15/2045 | 407,247 | ||||||
Celgene Corporation | ||||||||
1,185,000 | 2.875%, 8/15/2020 | 1,176,068 | ||||||
260,000 | 3.550%, 8/15/2022 | 262,528 | ||||||
1,185,000 | 5.000%, 8/15/2045 | 1,189,607 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
1,500,000 | 7.125%, 7/15/2020 | 1,494,375 | ||||||
Church & Dwight Company, Inc. | ||||||||
310,000 | 2.450%, 12/15/2019 | 308,381 | ||||||
Cigna Corporation | ||||||||
775,000 | 5.375%, 2/15/2042 | 849,671 | ||||||
EMD Finance, LLC | ||||||||
515,000 | 0.876%, 3/17/2017e,f | 513,421 | ||||||
1,128,000 | 2.950%, 3/19/2022e | 1,088,352 | ||||||
Endo Finance, LLC | ||||||||
750,000 | 6.000%, 2/1/2025e | 738,750 | ||||||
Forest Laboratories, Inc. | ||||||||
1,000,000 | 4.375%, 2/1/2019e | 1,047,576 | ||||||
Fresenius Medical Care US Finance II, Inc. | ||||||||
1,500,000 | 5.875%, 1/31/2022e | 1,605,000 | ||||||
Gilead Sciences, Inc. | ||||||||
260,000 | 2.550%, 9/1/2020 | 259,901 | ||||||
Grifols Worldwide Operations, Ltd. | ||||||||
975,000 | 5.250%, 4/1/2022 | 979,875 | ||||||
H. J. Heinz Company | ||||||||
1,000,000 | 3.500%, 7/15/2022e | 1,006,895 | ||||||
HCA, Inc. | ||||||||
1,450,000 | 3.750%, 3/15/2019 | 1,460,875 | ||||||
200,000 | 4.750%, 5/1/2023 | 198,000 | ||||||
Imperial Tobacco Finance plc | ||||||||
1,250,000 | 2.950%, 7/21/2020e | 1,252,450 | ||||||
JBS USA, LLC | ||||||||
1,450,000 | 5.750%, 6/15/2025e | 1,261,500 | ||||||
JM Smucker Company | ||||||||
1,124,000 | 4.375%, 3/15/2045 | 1,094,281 | ||||||
Kraft Foods Group, Inc. | ||||||||
1,070,000 | 5.000%, 6/4/2042 | 1,077,373 | ||||||
Laboratory Corporation of America Holdings | ||||||||
360,000 | 2.625%, 2/1/2020 | 355,411 | ||||||
1,025,000 | 4.700%, 2/1/2045 | 936,497 | ||||||
McKesson Corporation | ||||||||
1,024,000 | 3.796%, 3/15/2024 | 1,029,354 | ||||||
650,000 | 4.883%, 3/15/2044 | 649,676 | ||||||
Mead Johnson Nutrition Company | ||||||||
512,000 | 3.000%, 11/15/2020 | 511,845 | ||||||
Medco Health Solutions, Inc. | ||||||||
550,000 | 7.125%, 3/15/2018 | 607,990 | ||||||
Medtronic plc | ||||||||
2,570,000 | 4.375%, 3/15/2035 | 2,597,864 | ||||||
Merck & Company, Inc. | ||||||||
385,000 | 0.716%, 2/10/2020f | 382,636 | ||||||
260,000 | 3.700%, 2/10/2045 | 240,097 | ||||||
Mondelez International, Inc. | ||||||||
418,000 | 0.849%, 2/1/2019f | 410,657 | ||||||
Mylan NV | ||||||||
1,020,000 | 3.000%, 12/15/2018e | 1,017,749 | ||||||
400,000 | 3.750%, 12/15/2020e | 400,419 | ||||||
Pfizer, Inc. | ||||||||
800,000 | 5.800%, 8/12/2023 | 935,514 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
65
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| Consumer Non-Cyclical (1.4%) - continued | |||||||
Quintiles Transnational Holdings, Inc. | ||||||||
$ | 500,000 | 4.875%, 5/15/2023e | $ | 502,500 | ||||
Reynolds American, Inc. | ||||||||
604,000 | 2.300%, 8/21/2017e | 608,701 | ||||||
1,563,000 | 5.700%, 8/15/2035 | 1,712,764 | ||||||
Roche Holdings, Inc. | ||||||||
768,000 | 4.000%, 11/28/2044e | 778,544 | ||||||
SABMiller Holdings, Inc. | ||||||||
536,000 | 3.750%, 1/15/2022e | 551,267 | ||||||
536,000 | 4.950%, 1/15/2042e | 544,408 | ||||||
Safeway, Inc. | ||||||||
58,000 | 3.400%, 12/1/2016 | 57,420 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
640,000 | 6.375%, 11/15/2020 | 680,000 | ||||||
Spectrum Brands, Inc. | ||||||||
640,000 | 5.750%, 7/15/2025e | 656,000 | ||||||
Tenet Healthcare Corporation | ||||||||
1,650,000 | 8.125%, 4/1/2022 | 1,645,875 | ||||||
Teva Pharmaceutical Finance Company BV | ||||||||
768,000 | 2.950%, 12/18/2022 | 735,243 | ||||||
TreeHouse Foods, Inc. | ||||||||
970,000 | 4.875%, 3/15/2022h | 923,925 | ||||||
UnitedHealth Group, Inc. | ||||||||
1,370,000 | 4.625%, 7/15/2035 | 1,422,222 | ||||||
VRX Escrow Corporation | ||||||||
750,000 | 6.125%, 4/15/2025e | 669,375 | ||||||
WM Wrigley Jr. Company | ||||||||
705,000 | 2.000%, 10/20/2017e | 706,142 | ||||||
Zoetis, Inc. | ||||||||
1,024,000 | 3.450%, 11/13/2020 | 1,025,193 | ||||||
|
| |||||||
Total | 57,001,359 | |||||||
|
| |||||||
| Energy (0.9%) | |||||||
Anadarko Petroleum Corporation | ||||||||
1,025,000 | 6.200%, 3/15/2040 | 943,047 | ||||||
Boardwalk Pipelines, Ltd. | ||||||||
888,000 | 5.875%, 11/15/2016 | 896,611 | ||||||
BP Capital Markets plc | ||||||||
1,003,000 | 3.062%, 3/17/2022 | 982,823 | ||||||
1,100,000 | 3.535%, 11/4/2024 | 1,069,892 | ||||||
Buckeye Partners, LP | ||||||||
846,000 | 2.650%, 11/15/2018 | 813,888 | ||||||
Cameron International Corporation | ||||||||
1,150,000 | 4.000%, 12/15/2023 | 1,155,108 | ||||||
Canadian Natural Resources, Ltd. | ||||||||
1,005,000 | 3.450%, 11/15/2021 | 947,090 | ||||||
680,000 | 6.250%, 3/15/2038 | 618,924 | ||||||
CNOOC Nexen Finance | ||||||||
762,000 | 1.625%, 4/30/2017 | 757,592 | ||||||
CNPC General Capital, Ltd. | ||||||||
446,000 | 2.750%, 4/19/2017e | 450,708 | ||||||
Columbia Pipeline Group, Inc. | ||||||||
995,000 | 2.450%, 6/1/2018e | 972,829 | ||||||
Concho Resources, Inc. | ||||||||
1,412,019 | 5.500%, 10/1/2022 | 1,284,937 | ||||||
Crestwood Midstream Partners, LP | ||||||||
850,000 | 6.125%, 3/1/2022 | 590,750 | ||||||
Devon Energy Corporation | ||||||||
765,000 | 3.250%, 5/15/2022h | 650,278 | ||||||
512,000 | 5.850%, 12/15/2025h | 497,943 | ||||||
Enbridge Energy Partners, LP | ||||||||
1,280,000 | 4.375%, 10/15/2020 | 1,248,664 | ||||||
Enbridge, Inc. | ||||||||
400,000 | 0.866%, 6/2/2017f | 391,769 | ||||||
Energy Transfer Partners, LP | ||||||||
2,084,000 | 4.650%, 6/1/2021 | 1,956,555 | ||||||
765,000 | 4.900%, 3/15/2035 | 556,240 | ||||||
Enterprise Products Operating, LLC | ||||||||
1,200,000 | 5.250%, 1/31/2020 | 1,263,752 | ||||||
758,000 | 5.100%, 2/15/2045 | 634,930 | ||||||
EQT Corporation | ||||||||
500,000 | 5.150%, 3/1/2018 | 520,264 | ||||||
754,000 | 8.125%, 6/1/2019 | 814,460 | ||||||
Halliburton Company | ||||||||
765,000 | 4.850%, 11/15/2035 | 751,506 | ||||||
765,000 | 5.000%, 11/15/2045 | 756,235 | ||||||
Kinder Morgan, Inc. | ||||||||
714,000 | 5.300%, 12/1/2034 | 562,661 | ||||||
510,000 | 5.550%, 6/1/2045 | 398,121 | ||||||
Magellan Midstream Partners, LP | ||||||||
255,000 | 4.200%, 3/15/2045 | 185,701 | ||||||
Marathon Oil Corporation | ||||||||
1,350,000 | 2.700%, 6/1/2020 | 1,190,353 | ||||||
Marathon Petroleum Corporation | ||||||||
375,000 | 3.400%, 12/15/2020 | 368,282 | ||||||
500,000 | 4.750%, 9/15/2044 | 408,698 | ||||||
MEG Energy Corporation | ||||||||
1,500,000 | 6.500%, 3/15/2021e | 1,050,000 | ||||||
Noble Energy, Inc. | ||||||||
1,400,000 | 5.625%, 5/1/2021 | 1,369,462 | ||||||
Petrobras International Finance Company | ||||||||
1,265,000 | 5.750%, 1/20/2020 | 993,025 | ||||||
Petroleos Mexicanos | ||||||||
515,000 | 3.500%, 1/30/2023 | 449,338 | ||||||
437,000 | 2.378%, 4/15/2025 | 436,274 | ||||||
Pioneer Natural Resources Company | ||||||||
278,000 | 3.450%, 1/15/2021 | 256,692 | ||||||
500,000 | 4.450%, 1/15/2026 | 450,207 | ||||||
Regency Energy Partners, LP | ||||||||
1,450,000 | 5.000%, 10/1/2022 | 1,284,522 | ||||||
Sabine Pass Liquefaction, LLC | ||||||||
1,440,000 | 5.625%, 3/1/2025e | 1,218,600 | ||||||
Schlumberger Holdings Corporation | ||||||||
375,000 | 3.000%, 12/21/2020e | 370,155 | ||||||
1,024,000 | 4.000%, 12/21/2025e | 1,010,462 | ||||||
Shell International Finance BV | ||||||||
360,000 | 0.806%, 5/11/2020f | 354,727 | ||||||
Suncor Energy, Inc. | ||||||||
780,000 | 3.600%, 12/1/2024 | 734,665 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
1,730,000 | 4.400%, 4/1/2021 | 1,676,493 | ||||||
|
| |||||||
Total | 36,295,233 | |||||||
|
| |||||||
| Financials (3.1%) | |||||||
Abbey National Treasury Services plc | ||||||||
456,000 | 3.050%, 8/23/2018 | 467,897 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
66
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| Financials (3.1%) - continued | |||||||
ABN AMRO Bank NV | ||||||||
$ | 1,050,000 | 4.750%, 7/28/2025e | $ | 1,046,535 | ||||
ACE INA Holdings, Inc. | ||||||||
1,024,000 | 2.300%, 11/3/2020 | 1,016,636 | ||||||
737,000 | 4.350%, 11/3/2045 | 748,889 | ||||||
AerCap Ireland Capital, Ltd. | ||||||||
1,470,000 | 5.000%, 10/1/2021 | 1,514,100 | ||||||
Air Lease Corporation | ||||||||
625,000 | 2.125%, 1/15/2018 | 614,063 | ||||||
198,000 | 2.625%, 9/4/2018 | 195,715 | ||||||
Ally Financial, Inc. | ||||||||
960,000 | 3.750%, 11/18/2019 | 946,800 | ||||||
550,000 | 4.125%, 3/30/2020 | 547,250 | ||||||
American Express Credit Corporation | ||||||||
590,000 | 1.083%, 3/18/2019f | 583,112 | ||||||
American International Group, Inc. | ||||||||
315,000 | 2.300%, 7/16/2019 | 312,333 | ||||||
1,040,000 | 3.875%, 1/15/2035 | 917,313 | ||||||
Avalonbay Communities, Inc. | ||||||||
1,125,000 | 3.500%, 11/15/2025 | 1,114,140 | ||||||
Aviation Capital Group Corporation | ||||||||
564,000 | 3.875%, 9/27/2016e | 568,230 | ||||||
Banco Santander Chile | ||||||||
710,000 | 1.221%, 4/11/2017e,f | 701,125 | ||||||
Bank of America Corporation | ||||||||
800,000 | 1.656%, 3/22/2018f | 802,566 | ||||||
500,000 | 1.196%, 4/1/2019f | 497,798 | ||||||
800,000 | 2.625%, 10/19/2020 | 789,937 | ||||||
1,065,000 | 3.300%, 1/11/2023 | 1,048,306 | ||||||
508,000 | 4.000%, 4/1/2024 | 519,539 | ||||||
760,000 | 4.000%, 1/22/2025 | 743,985 | ||||||
1,125,000 | 3.875%, 8/1/2025 | 1,142,019 | ||||||
552,000 | 5.875%, 2/7/2042 | 644,227 | ||||||
1,617,000 | 8.000%, 12/29/2049i | 1,645,297 | ||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||
315,000 | 2.850%, 9/8/2021e | 313,751 | ||||||
Barclays Bank plc | ||||||||
770,000 | 10.179%, 6/12/2021e | 997,455 | ||||||
Barclays plc | ||||||||
780,000 | 2.750%, 11/8/2019 | 777,151 | ||||||
1,039,000 | 3.650%, 3/16/2025 | 998,505 | ||||||
BB&T Corporation | ||||||||
325,000 | 1.036%, 1/15/2020f | 322,194 | ||||||
BBVA Banco Continental SA | ||||||||
930,000 | 2.250%, 7/29/2016e | 932,325 | ||||||
BioMed Realty, LP | ||||||||
762,000 | 2.625%, 5/1/2019 | 740,419 | ||||||
BPCE SA | ||||||||
762,000 | 5.700%, 10/22/2023e | 800,058 | ||||||
1,000,000 | 4.500%, 3/15/2025e | 959,294 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
455,000 | 0.989%, 1/29/2018e,f | 454,110 | ||||||
Capital One Financial Corporation | ||||||||
1,149,000 | 6.150%, 9/1/2016 | 1,183,912 | ||||||
635,000 | 2.450%, 4/24/2019 | 636,160 | ||||||
CIT Group, Inc. | ||||||||
970,000 | 5.000%, 8/15/2022 | 996,074 | ||||||
Citigroup, Inc. | ||||||||
415,000 | 1.088%, 4/8/2019f | 412,232 | ||||||
840,000 | 2.650%, 10/26/2020 | 833,210 | ||||||
690,000 | 4.050%, 7/30/2022 | 705,777 | ||||||
1,990,000 | 4.400%, 6/10/2025 | 2,009,916 | ||||||
1,050,000 | 4.650%, 7/30/2045 | 1,065,538 | ||||||
Citizens Bank NA | ||||||||
1,220,000 | 2.300%, 12/3/2018 | 1,218,559 | ||||||
CoBank ACB | ||||||||
395,000 | 1.112%, 6/15/2022*,f | 373,832 | ||||||
Compass Bank | ||||||||
750,000 | 2.750%, 9/29/2019 | 742,497 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
650,000 | 3.950%, 11/9/2022 | 657,946 | ||||||
Credit Agricole SA | ||||||||
485,000 | 1.121%, 4/15/2019e,f | 482,236 | ||||||
1,000,000 | 2.750%, 6/10/2020e | 1,005,364 | ||||||
Credit Suisse AG | ||||||||
512,000 | 5.400%, 1/14/2020 | 560,595 | ||||||
Credit Suisse Group Funding, Ltd. | ||||||||
1,536,000 | 2.750%, 3/26/2020e | 1,521,440 | ||||||
1,024,000 | 3.750%, 3/26/2025e | 990,499 | ||||||
CyrusOne, LP | ||||||||
1,500,000 | 6.375%, 11/15/2022 | 1,545,000 | ||||||
Digital Delta Holdings, LLC | ||||||||
1,125,000 | 3.400%, 10/1/2020e | 1,126,233 | ||||||
Discover Bank | ||||||||
1,135,000 | 8.700%, 11/18/2019 | 1,342,741 | ||||||
Discover Financial Services | ||||||||
526,000 | 6.450%, 6/12/2017 | 555,734 | ||||||
Duke Realty, LP | ||||||||
260,000 | 3.875%, 2/15/2021 | 265,102 | ||||||
780,000 | 4.375%, 6/15/2022 | 803,781 | ||||||
ERP Operating, LP | ||||||||
267,000 | 3.375%, 6/1/2025 | 264,018 | ||||||
European Investment Bank | ||||||||
755,000 | 1.875%, 3/15/2019 | 760,597 | ||||||
Fifth Third Bancorp | ||||||||
755,000 | 5.450%, 1/15/2017 | 782,701 | ||||||
548,000 | 2.875%, 7/27/2020 | 547,392 | ||||||
310,000 | 2.875%, 10/1/2021 | 308,752 | ||||||
GE Capital International Funding Company | ||||||||
2,052,000 | 4.418%, 11/15/2035e | 2,094,029 | ||||||
Genworth Financial, Inc. | ||||||||
710,000 | 7.700%, 6/15/2020h | 667,400 | ||||||
Goldman Sachs Group, Inc. | ||||||||
1,170,000 | 1.522%, 4/30/2018f | 1,175,314 | ||||||
430,000 | 1.462%, 11/15/2018f | 431,746 | ||||||
950,000 | 5.375%, 3/15/2020 | 1,043,616 | ||||||
460,000 | 1.476%, 4/23/2020f | 460,681 | ||||||
2,048,000 | 5.250%, 7/27/2021 | 2,264,310 | ||||||
1,300,000 | 3.500%, 1/23/2025 | 1,277,657 | ||||||
1,325,000 | 4.800%, 7/8/2044 | 1,317,318 | ||||||
536,000 | 5.150%, 5/22/2045 | 520,663 | ||||||
800,000 | 4.750%, 10/21/2045 | 794,702 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
1,250,000 | 5.125%, 4/15/2022 | 1,372,767 | ||||||
HBOS plc | ||||||||
744,000 | 6.750%, 5/21/2018e | 811,447 | ||||||
HCP, Inc. | ||||||||
1,630,000 | 4.000%, 12/1/2022 | 1,622,465 | ||||||
520,000 | 3.400%, 2/1/2025 | 484,371 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
67
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| Financials (3.1%) - continued | |||||||
HSBC Bank plc | ||||||||
$ | 1,065,000 | 1.002%, 5/15/2018e,f | $ | 1,060,906 | ||||
HSBC Holdings plc | ||||||||
2,130,000 | 6.375%, 12/29/2049i | 2,127,338 | ||||||
Huntington Bancshares, Inc. | ||||||||
282,000 | 2.600%, 8/2/2018 | 282,326 | ||||||
Huntington National Bank | ||||||||
720,000 | 2.200%, 11/6/2018 | 718,010 | ||||||
Hutchison Whampoa International 14, Ltd. | ||||||||
804,000 | 3.625%, 10/31/2024e | 797,714 | ||||||
Icahn Enterprises, LP | ||||||||
1,600,000 | 6.000%, 8/1/2020 | 1,613,440 | ||||||
ING Bank NV | ||||||||
762,000 | 4.125%, 11/21/2023 | 776,106 | ||||||
ING Capital Funding Trust III | ||||||||
825,000 | 4.207%, 12/29/2049f,i | 822,938 | ||||||
International Lease Finance Corporation | ||||||||
1,093,000 | 2.462%, 6/15/2016f | 1,090,267 | ||||||
Intesa Sanpaolo SPA | ||||||||
1,000,000 | 5.250%, 1/12/2024 | 1,070,285 | ||||||
J.P. Morgan Chase & Company | ||||||||
980,000 | 6.300%, 4/23/2019 | 1,098,875 | ||||||
365,000 | 2.250%, 1/23/2020 | 359,080 | ||||||
1,220,000 | 4.500%, 1/24/2022 | 1,315,899 | ||||||
768,000 | 3.200%, 1/25/2023 | 765,492 | ||||||
1,040,000 | 3.625%, 5/13/2024 | 1,055,412 | ||||||
2,040,000 | 3.125%, 1/23/2025 | 1,984,514 | ||||||
1,605,000 | 7.900%, 4/29/2049i | 1,633,890 | ||||||
KeyCorp | ||||||||
1,080,000 | 2.900%, 9/15/2020 | 1,075,940 | �� | |||||
Liberty Mutual Group, Inc. | ||||||||
1,027,000 | 4.950%, 5/1/2022e | 1,088,605 | ||||||
Liberty Property, LP | ||||||||
1,417,000 | 3.750%, 4/1/2025 | 1,367,228 | ||||||
Lloyds Bank plc | ||||||||
515,000 | 1.038%, 3/16/2018f | 512,275 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
1,750,000 | 6.050%, 5/16/2016 | 1,778,859 | ||||||
705,000 | 6.400%, 8/28/2017 | 755,195 | ||||||
MetLife, Inc. | ||||||||
1,025,000 | 4.050%, 3/1/2045 | 951,191 | ||||||
Mizuho Bank, Ltd. | ||||||||
762,000 | 1.850%, 3/21/2018e | 757,901 | ||||||
Morgan Stanley | ||||||||
1,455,000 | 6.625%, 4/1/2018 | 1,595,451 | ||||||
780,000 | 1.600%, 4/25/2018f | 788,331 | ||||||
460,000 | 1.463%, 1/27/2020f | 460,983 | ||||||
660,000 | 4.875%, 11/1/2022 | 700,426 | ||||||
975,000 | 4.000%, 7/23/2025 | 1,004,030 | ||||||
1,350,000 | 4.350%, 9/8/2026 | 1,354,413 | ||||||
640,000 | 4.300%, 1/27/2045 | 610,629 | ||||||
1,235,000 | 5.550%, 12/29/2049i | 1,235,000 | ||||||
MPT Operating Partnership, LP | ||||||||
970,000 | 5.500%, 5/1/2024 | 965,150 | ||||||
National City Corporation | ||||||||
776,000 | 6.875%, 5/15/2019 | 876,663 | ||||||
Prudential Financial, Inc. | ||||||||
315,000 | 2.350%, 8/15/2019 | 313,509 | ||||||
Quicken Loans, Inc. | ||||||||
970,000 | 5.750%, 5/1/2025e | 923,925 | ||||||
Realty Income Corporation | ||||||||
265,000 | 2.000%, 1/31/2018 | 265,151 | ||||||
Regions Bank | ||||||||
261,000 | 7.500%, 5/15/2018 | 290,008 | ||||||
Regions Financial Corporation | ||||||||
1,000,000 | 2.250%, 9/14/2018 | 998,949 | ||||||
Reinsurance Group of America, Inc. | ||||||||
400,000 | 5.625%, 3/15/2017 | 416,865 | ||||||
579,000 | 5.000%, 6/1/2021 | 624,241 | ||||||
Reliance Standard Life Global Funding II | ||||||||
395,000 | 2.500%, 4/24/2019e | 393,447 | ||||||
Royal Bank of Scotland Group plc | ||||||||
500,000 | 1.543%, 3/31/2017f | 499,026 | ||||||
1,600,000 | 7.500%, 12/29/2049i | 1,666,000 | ||||||
Santander Holdings USA, Inc. | ||||||||
804,000 | 2.650%, 4/17/2020 | 788,779 | ||||||
Santander UK Group Holdings plc | ||||||||
896,000 | 2.875%, 10/16/2020 | 889,917 | ||||||
750,000 | 4.750%, 9/15/2025e,h | 740,105 | ||||||
Simon Property Group, LP | ||||||||
580,000 | 10.350%, 4/1/2019 | 711,750 | ||||||
330,000 | 2.500%, 9/1/2020 | 330,255 | ||||||
1,115,000 | 2.750%, 2/1/2023 | 1,089,558 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
615,000 | 2.375%, 3/25/2019e | 617,829 | ||||||
State Street Corporation | ||||||||
510,000 | 1.264%, 8/18/2020f | 510,053 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
545,000 | 0.897%, 1/16/2018f | 543,130 | ||||||
Svenska Handelsbanken AB | ||||||||
715,000 | 1.016%, 6/17/2019f | 708,452 | ||||||
Synchrony Financial | ||||||||
330,000 | 3.000%, 8/15/2019 | 329,542 | ||||||
305,000 | 1.564%, 2/3/2020f | 300,181 | ||||||
1,400,000 | 3.750%, 8/15/2021 | 1,398,468 | ||||||
Toronto-Dominion Bank | ||||||||
375,000 | 1.432%, 12/14/2020f | 374,912 | ||||||
UBS Group Funding Jersey, Ltd. | ||||||||
1,280,000 | 2.950%, 9/24/2020e | 1,268,051 | ||||||
768,000 | 4.125%, 9/24/2025e | 767,204 | ||||||
UnitedHealth Group, Inc. | ||||||||
220,000 | 3.350%, 7/15/2022 | 225,025 | ||||||
USB Realty Corporation | ||||||||
310,000 | 1.468%, 12/29/2049e,f,i | 279,000 | ||||||
Voya Financial, Inc. | ||||||||
948,000 | 2.900%, 2/15/2018 | 958,248 | ||||||
Wells Fargo & Company | ||||||||
455,000 | 1.002%, 1/30/2020f | 450,762 | ||||||
1,020,000 | 2.550%, 12/7/2020 | 1,014,986 | ||||||
2,501,000 | 3.450%, 2/13/2023 | 2,506,892 | ||||||
1,040,000 | 3.000%, 2/19/2025 | 1,011,565 | ||||||
Welltower, Inc. | ||||||||
268,000 | 2.250%, 3/15/2018 | 267,760 | ||||||
520,000 | 3.750%, 3/15/2023 | 510,628 | ||||||
540,000 | 4.000%, 6/1/2025 | 531,180 | ||||||
|
| |||||||
Total | 128,425,513 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
68
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| Foreign Government (<0.1%) | |||||||
Eksportfinans ASA | ||||||||
$ | 465,000 | 5.500%, 5/25/2016 | $ | 470,845 | ||||
Export-Import Bank of Korea | ||||||||
450,000 | 2.250%, 1/21/2020 | 443,093 | ||||||
Kommunalbanken AS | ||||||||
735,000 | 1.500%, 10/22/2019e | 725,971 | ||||||
|
| |||||||
Total | 1,639,909 | |||||||
|
| |||||||
| Industrials Other (<0.1%) | |||||||
AECOM | ||||||||
1,300,000 | 5.875%, 10/15/2024 | 1,326,000 | ||||||
|
| |||||||
Total | 1,326,000 | |||||||
|
| |||||||
| Mortgage-Backed Securities (12.8%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
42,100,000 | 3.000%, 1/1/2031c | 43,382,939 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
33,600,000 | 4.000%, 1/1/2046c | 35,494,590 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
21,275,000 | 3.500%, 1/1/2030c | 22,279,754 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
5,785,328 | 1.728%, 7/1/2043f | 5,882,317 | ||||||
228,650,000 | 3.500%, 1/1/2046c | 235,903,510 | ||||||
111,750,000 | 4.000%, 1/1/2046c | 118,250,710 | ||||||
56,846,000 | 4.500%, 1/1/2046c | 61,386,574 | ||||||
|
| |||||||
Total | 522,580,394 | |||||||
|
| |||||||
| Technology (0.6%) | |||||||
Amphenol Corporation | ||||||||
318,000 | 2.550%, 1/30/2019 | 318,055 | ||||||
Apple, Inc. | ||||||||
360,000 | 0.659%, 5/6/2020f | 357,286 | ||||||
1,792,000 | 3.200%, 5/13/2025 | 1,813,688 | ||||||
1,761,000 | 3.450%, 2/9/2045 | 1,516,147 | ||||||
Baidu, Inc. | ||||||||
700,000 | 2.750%, 6/9/2019 | 693,909 | ||||||
Cisco Systems, Inc. | ||||||||
480,000 | 0.914%, 3/1/2019f | 479,569 | ||||||
CommScope Technologies Finance, LLC | ||||||||
1,020,000 | 6.000%, 6/15/2025e | 981,750 | ||||||
Denali Borrower, LLC | ||||||||
1,450,000 | 5.625%, 10/15/2020e | 1,518,875 | ||||||
Equinix, Inc. | ||||||||
970,000 | 5.750%, 1/1/2025 | 991,825 | ||||||
Fidelity National Information Services, Inc. | ||||||||
640,000 | 2.850%, 10/15/2018 | 642,260 | ||||||
769,000 | 3.625%, 10/15/2020 | 779,018 | ||||||
First Data Corporation | ||||||||
970,000 | 5.375%, 8/15/2023e | 974,850 | ||||||
Freescale Semiconductor, Inc. | ||||||||
1,450,000 | 6.000%, 1/15/2022e | 1,518,875 | ||||||
Hewlett Packard Enterprise Company | ||||||||
1,130,000 | 2.450%, 10/5/2017e | 1,129,042 | ||||||
565,000 | 2.850%, 10/5/2018e | 564,685 | ||||||
565,000 | 4.400%, 10/15/2022e | 562,834 | ||||||
IMS Health, Inc. | ||||||||
859,000 | 6.000%, 11/1/2020e | 884,770 | ||||||
Intel Corporation | ||||||||
185,000 | 3.100%, 7/29/2022 | 188,647 | ||||||
685,000 | 3.700%, 7/29/2025 | 708,533 | ||||||
Iron Mountain, Inc. | ||||||||
680,000 | 6.000%, 8/15/2023 | 703,800 | ||||||
Microsoft Corporation | ||||||||
1,575,000 | 4.750%, 11/3/2055 | 1,631,377 | ||||||
1,575,000 | 4.200%, 11/3/2035 | 1,608,324 | ||||||
Oracle Corporation | ||||||||
330,000 | 2.500%, 5/15/2022 | 323,899 | ||||||
1,340,000 | 2.950%, 5/15/2025 | 1,305,415 | ||||||
Plantronics, Inc. | ||||||||
1,450,000 | 5.500%, 5/31/2023e | 1,442,750 | ||||||
Qualcomm, Inc. | ||||||||
1,100,000 | 3.000%, 5/20/2022 | 1,088,976 | ||||||
Seagate HDD Cayman | ||||||||
1,072,000 | 4.875%, 6/1/2027e | 822,611 | ||||||
|
| |||||||
Total | 25,551,770 | |||||||
|
| |||||||
| Transportation (0.3%) | |||||||
Air Canada Pass Through Trust | ||||||||
310,000 | 3.875%, 3/15/2023e | 300,700 | ||||||
American Airlines Pass Through Trust | ||||||||
1,234,524 | 3.375%, 5/1/2027 | 1,191,315 | ||||||
Avis Budget Car Rental, LLC | ||||||||
1,665,000 | 5.125%, 6/1/2022e | 1,644,188 | ||||||
Burlington Northern Santa Fe, LLC | ||||||||
1,040,000 | 5.050%, 3/1/2041 | 1,076,086 | ||||||
Canadian Pacific Railway Company | ||||||||
400,000 | 7.125%, 10/15/2031 | 495,321 | ||||||
600,000 | 4.800%, 8/1/2045 | 583,961 | ||||||
Continental Airlines, Inc. | ||||||||
640,176 | 4.150%, 4/11/2024 | 656,820 | ||||||
CSX Corporation | ||||||||
494,000 | 3.700%, 11/1/2023 | 505,020 | ||||||
Delta Air Lines, Inc. | ||||||||
331,934 | 4.950%, 5/23/2019 | 348,531 | ||||||
101,691 | 4.750%, 5/7/2020 | 107,284 | ||||||
ERAC USA Finance, LLC | ||||||||
284,000 | 2.800%, 11/1/2018e | 285,842 | ||||||
700,000 | 4.500%, 2/15/2045e | 650,936 | ||||||
FedEx Corporation | ||||||||
1,320,000 | 3.900%, 2/1/2035 | 1,201,583 | ||||||
J.B. Hunt Transport Services, Inc. | ||||||||
295,000 | 3.300%, 8/15/2022 | 292,154 | ||||||
Southwest Airlines Company | ||||||||
845,000 | 2.750%, 11/6/2019 | 851,550 | ||||||
Virgin Australia Holdings, Ltd. | ||||||||
260,855 | 5.000%, 10/23/2023e | 269,333 | ||||||
XPO Logistics, Inc. | ||||||||
475,000 | 6.500%, 6/15/2022e,h | 439,375 | ||||||
|
| |||||||
Total | 10,899,999 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
69
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| U.S. Government and Agencies (10.5%) | |||||||
Federal National Mortgage Association | ||||||||
$ | 205,000 | 6.250%, 5/15/2029 | $ | 277,933 | ||||
Tennessee Valley Authority | ||||||||
200,000 | 5.250%, 9/15/2039 | 240,379 | ||||||
U.S. Treasury Bonds | ||||||||
1,075,000 | 4.375%, 5/15/2040 | 1,352,652 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
2,030,060 | 0.125%, 4/15/2019 | 2,018,140 | ||||||
50,471 | 2.375%, 1/15/2025 | 57,378 | ||||||
33,012 | 2.125%, 2/15/2040 | 38,867 | ||||||
447,347 | 0.750%, 2/15/2042 | 393,001 | ||||||
U.S. Treasury Notes | ||||||||
23,000,000 | 0.625%, 10/15/2016 | 22,978,426 | ||||||
23,220,000 | 0.875%, 11/15/2017 | 23,139,264 | ||||||
41,710,000 | 1.500%, 10/31/2019 | 41,579,656 | ||||||
59,409,000 | 1.875%, 6/30/2020 | 59,824,388 | ||||||
79,080,000 | 1.375%, 9/30/2020 | 77,714,605 | ||||||
41,325,000 | 2.125%, 6/30/2022 | 41,538,072 | ||||||
10,765,000 | 1.625%, 8/15/2022 | 10,485,358 | ||||||
49,630,000 | 2.250%, 11/15/2024 | 49,604,788 | ||||||
56,100,000 | 3.625%, 2/15/2044k | 63,108,124 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
28,500,530 | 0.125%, 4/15/2018 | 28,445,609 | ||||||
283,727 | 0.125%, 1/15/2022 | 274,945 | ||||||
7,315,911 | 0.125%, 1/15/2023 | 7,014,415 | ||||||
|
| |||||||
Total | 430,086,000 | |||||||
|
| |||||||
| Utilities (0.9%) | |||||||
AES Corporation | ||||||||
1,500,000 | 7.375%, 7/1/2021 | 1,530,000 | ||||||
American Electric Power Company, Inc. | ||||||||
1,722,000 | 2.950%, 12/15/2022 | 1,700,881 | ||||||
Arizona Public Service Company | ||||||||
395,000 | 2.200%, 1/15/2020 | 391,285 | ||||||
Berkshire Hathaway Energy Company | ||||||||
390,000 | 2.400%, 2/1/2020 | 386,362 | ||||||
Calpine Corporation | ||||||||
1,450,000 | 5.375%, 1/15/2023 | 1,301,375 | ||||||
Commonwealth Edison Company | ||||||||
1,025,000 | 3.700%, 3/1/2045 | 921,939 | ||||||
640,000 | 4.350%, 11/15/2045 | 644,207 | ||||||
Consolidated Edison Company of New York, Inc. | ||||||||
384,000 | 4.500%, 12/1/2045 | 388,715 | ||||||
Covanta Holding Corporation | ||||||||
850,000 | 7.250%, 12/1/2020 | 879,219 | ||||||
DCP Midstream Operating, LP | ||||||||
535,000 | 3.875%, 3/15/2023 | 403,836 | ||||||
DCP Midstream, LLC | ||||||||
872,000 | 4.750%, 9/30/2021e | 678,093 | ||||||
DTE Electric Company | ||||||||
760,000 | 3.700%, 3/15/2045 | 698,312 | ||||||
DTE Energy Company | ||||||||
155,000 | 2.400%, 12/1/2019 | 154,342 | ||||||
Duke Energy Carolinas, LLC | ||||||||
508,000 | 3.750%, 6/1/2045 | 470,486 | ||||||
Duke Energy Corporation | ||||||||
900,000 | 2.100%, 6/15/2018 | 901,232 | ||||||
Dynegy, Inc. | ||||||||
1,440,000 | 6.750%, 11/1/2019 | 1,353,600 | ||||||
EDP Finance BV | ||||||||
1,570,000 | 4.125%, 1/15/2020e | 1,573,611 | ||||||
Enel Finance International NV | ||||||||
450,000 | 6.250%, 9/15/2017e | 479,492 | ||||||
Energy Transfer Equity, LP | ||||||||
1,450,000 | 5.500%, 6/1/2027 | 1,102,000 | ||||||
Eversource Energy | ||||||||
330,000 | 1.600%, 1/15/2018 | 326,514 | ||||||
Exelon Generation Company, LLC | ||||||||
770,000 | 5.200%, 10/1/2019 | 829,510 | ||||||
295,000 | 2.950%, 1/15/2020 | 293,939 | ||||||
ITC Holdings Corporation | ||||||||
284,000 | 4.050%, 7/1/2023 | 291,763 | ||||||
770,000 | 5.300%, 7/1/2043 | 788,463 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
765,000 | 3.500%, 3/1/2021 | 684,581 | ||||||
MidAmerican Energy Holdings Company | ||||||||
560,000 | 6.500%, 9/15/2037 | 681,535 | ||||||
Monongahela Power Company | ||||||||
780,000 | 5.400%, 12/15/2043e | 868,311 | ||||||
MPLX LP | ||||||||
1,445,000 | 4.875%, 12/1/2024e | 1,296,888 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
1,025,000 | 2.300%, 11/1/2020 | 1,015,072 | ||||||
NiSource Finance Corporation | ||||||||
1,475,000 | 5.650%, 2/1/2045 | 1,695,324 | ||||||
Northern States Power Company | ||||||||
1,240,000 | 4.125%, 5/15/2044 | 1,231,160 | ||||||
NRG Energy, Inc. | ||||||||
1,500,000 | 6.625%, 3/15/2023 | 1,301,250 | ||||||
Oncor Electric Delivery Company, LLC | ||||||||
760,000 | 3.750%, 4/1/2045 | 631,660 | ||||||
Pacific Gas & Electric Company | ||||||||
1,015,000 | 5.625%, 11/30/2017 | 1,084,955 | ||||||
768,000 | 4.250%, 3/15/2046 | 744,183 | ||||||
PG&E Corporation | ||||||||
375,000 | 2.400%, 3/1/2019 | 374,200 | ||||||
PPL Capital Funding, Inc. | ||||||||
372,000 | 3.500%, 12/1/2022 | 374,760 | ||||||
1,275,000 | 5.000%, 3/15/2044 | 1,314,563 | ||||||
Sempra Energy | ||||||||
1,285,000 | 6.150%, 6/15/2018 | 1,402,556 | ||||||
370,000 | 2.400%, 3/15/2020 | 362,633 | ||||||
Southern California Edison Company | ||||||||
220,000 | 2.400%, 2/1/2022 | 215,736 | ||||||
Southwestern Electric Power Company | ||||||||
530,000 | 3.900%, 4/1/2045 | 464,082 | ||||||
Targa Resources Partners, LP | ||||||||
525,000 | 5.250%, 5/1/2023 | 425,250 | ||||||
TransAlta Corporation | ||||||||
825,000 | 1.900%, 6/3/2017 | 801,235 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
70
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (38.4%) | Value | ||||||
| Utilities (0.9%) - continued |
| ||||||
Williams Companies, Inc. | ||||||||
$ | 496,000 | 7.875%, 9/1/2021 | $ | 446,404 | ||||
|
| |||||||
Total | 35,905,514 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $1,583,475,148) | 1,575,387,164 | |||||||
|
| |||||||
Shares | Registered Investment Companies (28.3%) | |||||||
| Affiliated Equity Holdings (9.6%) | |||||||
2,552,346 | Thrivent Large Cap Stock Portfolio | 29,676,377 | ||||||
8,148,101 | Thrivent Large Cap Value Portfolio | 126,438,164 | ||||||
3,484,569 | Thrivent Mid Cap Stock Portfolio | 58,291,611 | ||||||
16,564,901 | Thrivent Partner Worldwide Allocation Portfolio | 149,147,055 | ||||||
1,881,929 | Thrivent Small Cap Stock Portfolio | 29,219,401 | ||||||
|
| |||||||
Total | 392,772,608 | |||||||
|
| |||||||
| Affiliated Fixed Income Holdings (16.1%) | |||||||
23,219,536 | Thrivent High Yield Portfolio | 103,974,761 | ||||||
34,176,224 | Thrivent Income Portfolio | 335,972,791 | ||||||
22,704,285 | Thrivent Limited Maturity Bond Portfolio | 220,756,038 | ||||||
|
| |||||||
Total | 660,703,590 | |||||||
|
| |||||||
| Equity Funds/ETFs (0.5%) | |||||||
3,280 | iShares Russell 2000 Growth Index Fundh | 457,265 | ||||||
12,019 | iShares Russell 2000 Index Fundh | 1,352,258 | ||||||
4,800 | Market Vectors Oil Service ETFh | 126,960 | ||||||
206,400 | SPDR Euro Stoxx 50 ETF | 7,106,352 | ||||||
47,931 | SPDR S&P 500 ETF Trusth | 9,772,652 | ||||||
3,400 | SPDR S&P Biotech ETF | 238,272 | ||||||
2,670 | SPDR S&P MidCap 400 ETF Trust | 678,420 | ||||||
685 | SPDR S&P Oil & Gas Equipment & Services ETF | 12,015 | ||||||
9,870 | SPDR S&P Oil & Gas Exploration & Production ETFh | 298,271 | ||||||
|
| |||||||
Total | 20,042,465 | |||||||
|
| |||||||
| Fixed Income Funds/ETFs (2.1%) | |||||||
72,000 | iShares Barclays 1-3 Year Credit Bond Fund | 7,531,200 | ||||||
694,000 | iShares iBoxx $ High Yield Corporate Bond ETFh | 55,922,520 | ||||||
214,400 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 24,443,744 | ||||||
|
| |||||||
Total | 87,897,464 | |||||||
|
| |||||||
Total Registered Investment Companies (cost $1,128,666,731) | 1,161,416,127 | |||||||
|
| |||||||
Shares | Common Stock (21.4%) | |||||||
| Consumer Discretionary (3.1%) | |||||||
37,808 | Aaron’s, Inc. | 846,521 | ||||||
22,246 | Amazon.com, Inc.l | 15,035,849 | ||||||
3,750 | American Axle & Manufacturing Holdings, Inc.l | 71,025 | ||||||
6,115 | American Public Education, Inc.l | 113,800 | ||||||
10,050 | Ascena Retail Group, Inc.l | 98,992 | ||||||
7,410 | AutoZone, Inc.l | 5,497,553 | ||||||
14,550 | Barnes & Noble, Inc. | 126,730 | ||||||
19,840 | Bed Bath & Beyond, Inc.l | 957,280 | ||||||
14,880 | Big Lots, Inc. | �� | 573,475 | |||||
13,650 | Bloomin’ Brands, Inc. | 230,549 | ||||||
1,900 | Bob Evans Farms, Inc. | 73,815 | ||||||
9,640 | Boyd Gaming Corporationl | 191,547 | ||||||
12,062 | Brunswick Corporation | 609,252 | ||||||
6,000 | Burlington Stores, Inc.l | 257,400 | ||||||
27,700 | Caleres, Inc. | 742,914 | ||||||
5,840 | Callaway Golf Company | 55,013 | ||||||
5,863 | Cedar Fair, LP | 327,390 | ||||||
5,900 | Cheesecake Factory, Inc. | 272,049 | ||||||
12,230 | Chegg, Inc.h,l | 82,308 | ||||||
14,680 | Children’s Place, Inc. | 810,336 | ||||||
3,310 | Choice Hotels International, Inc. | 166,857 | ||||||
3,850 | Chuy’s Holdings, Inc.l | 120,659 | ||||||
220,733 | Comcast Corporation | 12,455,963 | ||||||
12,240 | Core-Mark Holding Company, Inc. | 1,002,946 | ||||||
9,559 | CSS Industries, Inc. | 271,284 | ||||||
12,308 | Culp, Inc. | 313,485 | ||||||
10,030 | Dana Holding Corporation | 138,414 | ||||||
39,389 | Delphi Automotive plc | 3,376,819 | ||||||
86,635 | Discovery Communications, Inc., Class Ah,l | 2,311,422 | ||||||
9,500 | DISH Network Corporationl | 543,210 | ||||||
11,790 | Dollar General Corporation | 847,347 | ||||||
17,230 | Dollar Tree, Inc.l | 1,330,501 | ||||||
7,190 | Domino’s Pizza, Inc. | 799,888 | ||||||
2,080 | Dorman Products, Inc.h,l | 98,738 | ||||||
5,313 | Drew Industries, Inc. | 323,509 | ||||||
17,770 | DSW, Inc. | 423,992 | ||||||
12,324 | Ethan Allen Interiors, Inc. | 342,854 | ||||||
5,517 | Expedia, Inc. | 685,763 | ||||||
34,970 | Finish Line, Inc. | 632,258 | ||||||
52,100 | Ford Motor Company | 734,089 | ||||||
6,657 | Fossil, Inc.h,l | 243,380 | ||||||
11,557 | Fred’s, Inc. | 189,188 | ||||||
13,453 | G-III Apparel Group, Ltd.l | 595,430 | ||||||
3,500 | Gray Television, Inc.l | 57,050 | ||||||
80,344 | Harley-Davidson, Inc. | 3,646,814 | ||||||
9,560 | Harman International Industries, Inc. | 900,648 | ||||||
16,018 | Haverty Furniture Companies, Inc. | 343,426 | ||||||
4,850 | Hilton Worldwide Holdings, Inc. | 103,790 | ||||||
64,710 | Home Depot, Inc. | 8,557,897 | ||||||
13,900 | Houghton Mifflin Harcourt Companyl | 302,742 | ||||||
6,473 | Interval Leisure Group, Inc. | 101,044 | ||||||
2,620 | iRobot Corporationh,l | 92,748 | ||||||
16,220 | Jack in the Box, Inc. | 1,244,236 | ||||||
33,650 | Jarden Corporationl | 1,922,088 | ||||||
6,100 | Kate Spade & Companyl | 108,397 | ||||||
23,120 | Krispy Kreme Doughnuts, Inc.l | 348,418 | ||||||
63,916 | Las Vegas Sands Corporation | 2,802,077 | ||||||
16,670 | La-Z-Boy, Inc. | 407,081 | ||||||
10,170 | Lear Corporation | 1,249,181 | ||||||
14,550 | Liberty Interactive Corporationl | 397,506 | ||||||
13,610 | Liberty Media Corporation, Class Al | 534,193 | ||||||
12,290 | Limited Brands, Inc. | 1,177,628 | ||||||
1,300 | Lithia Motors, Inc. | 138,671 | ||||||
42,930 | LKQ Corporationl | 1,272,016 | ||||||
101,080 | Lowe’s Companies, Inc. | 7,686,123 | ||||||
11,280 | Macy’s, Inc. | 394,574 | ||||||
11,957 | MDC Partners, Inc. | 259,706 | ||||||
6,650 | Meritage Homes Corporationl | 226,033 | ||||||
2,060 | Movado Group, Inc. | 52,963 | ||||||
27,374 | National CineMedia, Inc. | 430,046 | ||||||
12,050 | Nautilus, Inc.l | 201,476 | ||||||
7,400 | New Media Investment Group, Inc. | 144,004 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
71
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (21.4%) | Value | ||||||
| Consumer Discretionary (3.1%) - continued | |||||||
140,440 | NIKE, Inc. | $ | 8,777,500 | |||||
7,700 | Nord Anglia Education, Inc.l | 156,156 | ||||||
32,680 | Nutrisystem, Inc. | 707,195 | ||||||
6,420 | O’Reilly Automotive, Inc.l | 1,626,956 | ||||||
8,670 | Oxford Industries, Inc. | 553,319 | ||||||
7,280 | Papa John’s International, Inc. | 406,734 | ||||||
14,100 | Papa Murphy’s Holdings, Inc.h,l | 158,766 | ||||||
7,758 | Pier 1 Imports, Inc.h | 39,488 | ||||||
3,310 | Pulte Group, Inc. | 58,984 | ||||||
12,910 | PVH Corporation | 950,821 | ||||||
3,200 | Ralph Lauren Corporation | 356,736 | ||||||
2,471 | Red Robin Gourmet Burgers, Inc.l | 152,560 | ||||||
8,830 | Rent-A-Center, Inc. | 132,185 | ||||||
1,700 | Restoration Hardware Holdings, Inc.l | 135,065 | ||||||
28,860 | Ross Stores, Inc. | 1,552,957 | ||||||
10,970 | Ruby Tuesday, Inc.l | 60,445 | ||||||
9,770 | Ruth’s Hospitality Group, Inc. | 155,538 | ||||||
5,300 | Scripps Networks Interactive, Inc. | 292,613 | ||||||
18,740 | Service Corporation International | 487,615 | ||||||
4,220 | Signet Jewelers, Ltd. | 521,972 | ||||||
3,600 | Skechers USA, Inc.l | 108,756 | ||||||
18,092 | Sportsman’s Warehouse Holdings, Inc.l | 233,387 | ||||||
103,830 | Staples, Inc. | 983,270 | ||||||
146,020 | Starbucks Corporation | 8,765,581 | ||||||
16,240 | Starwood Hotels & Resorts Worldwide, Inc. | 1,125,107 | ||||||
16,444 | Stein Mart, Inc. | 110,668 | ||||||
32,600 | Target Corporation | 2,367,086 | ||||||
3,800 | Tenneco, Inc.l | 174,458 | ||||||
19,960 | Time, Inc. | 312,773 | ||||||
22,620 | Toll Brothers, Inc.l | 753,246 | ||||||
8,580 | Tower International, Inc. | 245,131 | ||||||
5,850 | TransUnionl | 161,285 | ||||||
31,315 | Tuesday Morning Corporationl | 203,547 | ||||||
3,200 | Ulta Salon Cosmetics & Fragrance, Inc.l | 592,000 | ||||||
4,240 | Under Armour, Inc.h,l | 341,786 | ||||||
2,100 | Vail Resorts, Inc. | 268,779 | ||||||
7,480 | Vera Bradley, Inc.l | 117,885 | ||||||
6,190 | VF Corporation | 385,327 | ||||||
2,790 | Winnebago Industries, Inc. | 55,521 | ||||||
12,700 | Wyndham Worldwide Corporation | 922,655 | ||||||
15,890 | Yum! Brands, Inc. | 1,160,764 | ||||||
6,660 | Zoe’s Kitchen, Inc.h,l | 186,347 | ||||||
|
| |||||||
Total | 126,883,334 | |||||||
|
| |||||||
| Consumer Staples (0.8%) | |||||||
51,550 | Altria Group, Inc. | 3,000,725 | ||||||
58,770 | Aramark | 1,895,333 | ||||||
11,390 | Archer-Daniels-Midland Company | 417,785 | ||||||
27,010 | Avon Products, Inc. | 109,390 | ||||||
6,700 | Blue Buffalo Pet Products, Inc.h,l | 125,357 | ||||||
750 | Boston Beer Company, Inc.l | 151,432 | ||||||
7,740 | Brown-Forman Corporation | 768,427 | ||||||
25,700 | Campbell Soup Company | 1,350,535 | ||||||
5,500 | Casey’s General Stores, Inc. | 662,475 | ||||||
89,190 | Coca-Cola Company | 3,831,602 | ||||||
81,270 | CVS Health Corporation | 7,945,768 | ||||||
92,740 | Flowers Foods, Inc. | 1,992,983 | ||||||
5,440 | Hain Celestial Group, Inc.l | 219,722 | ||||||
1,430 | Ingles Markets, Inc. | 63,034 | ||||||
4,250 | Ingredion, Inc. | 407,320 | ||||||
21,600 | Kimberly-Clark Corporation | 2,749,680 | ||||||
4,630 | Lancaster Colony Corporation | 534,580 | ||||||
3,800 | Molson Coors Brewing Company | 356,896 | ||||||
6,450 | Mondelez International, Inc. | 289,218 | ||||||
9,290 | Monster Beverage Corporationl | 1,383,838 | ||||||
7,180 | PepsiCo, Inc. | 717,426 | ||||||
36,158 | Philip Morris International, Inc. | 3,178,650 | ||||||
740 | PriceSmart, Inc. | 61,413 | ||||||
20,161 | SpartanNash Company | 436,284 | ||||||
2,130 | Tootsie Roll Industries, Inc.h | 67,287 | ||||||
5,520 | Tyson Foods, Inc. | 294,382 | ||||||
12,090 | United Natural Foods, Inc.l | 475,862 | ||||||
5,520 | Universal Corporation | 309,562 | ||||||
6,810 | WhiteWave Foods Companyl | 264,977 | ||||||
|
| |||||||
Total | 34,061,943 | |||||||
|
| |||||||
| Energy (2.6%) | |||||||
30,820 | Archrock, Inc. | 231,766 | ||||||
29,989 | Atwood Oceanics, Inc.h | 306,787 | ||||||
87,630 | Baker Hughes, Inc. | 4,044,124 | ||||||
28,919 | Basic Energy Services, Inc.h,l | 77,503 | ||||||
41,880 | Bonanza Creek Energy, Inc.h,l | 220,708 | ||||||
7,676 | Bristow Group, Inc. | 198,808 | ||||||
24,359 | Callon Petroleum Companyl | 203,154 | ||||||
123,320 | Cameron International Corporationl | 7,793,824 | ||||||
121,860 | Canadian Natural Resources, Ltd. | �� | 2,660,204 | |||||
170,460 | Chevron Corporation | 15,334,582 | ||||||
1,870 | Cimarex Energy Company | 167,141 | ||||||
3,761 | Clayton Williams Energy, Inc.l | 111,213 | ||||||
394,912 | Cobalt International Energy, Inc.l | 2,132,525 | ||||||
43,790 | Columbia Pipeline Group, Inc. | 875,800 | ||||||
31,180 | Concho Resources, Inc.l | 2,895,375 | ||||||
7,100 | Continental Resources, Inc.l | 163,158 | ||||||
9,880 | Delek US Holdings, Inc. | 243,048 | ||||||
185,620 | Denbury Resources, Inc.h | 374,952 | ||||||
50,150 | Devon Energy Corporation | 1,604,800 | ||||||
13,710 | Diamond Offshore Drilling, Inc.h | 289,281 | ||||||
7,430 | Diamondback Energy, Inc.l | 497,067 | ||||||
675 | Dril-Quip, Inc.l | 39,980 | ||||||
33,980 | Ensco plc | 522,952 | ||||||
146,972 | EOG Resources, Inc. | 10,404,148 | ||||||
16,800 | EP Energy Corporationh,l | 73,584 | ||||||
162,755 | EQT Corporation | 8,484,418 | ||||||
69,780 | Exxon Mobil Corporation | 5,439,351 | ||||||
4,100 | Forum Energy Technologies, Inc.l | 51,086 | ||||||
10,000 | Frank’s International NV | 166,900 | ||||||
5,400 | Green Plains, Inc. | 123,660 | ||||||
7,730 | Gulfport Energy Corporationl | 189,926 | ||||||
66,050 | Halliburton Company | 2,248,342 | ||||||
2,800 | Helix Energy Solutions Group, Inc.l | 14,728 | ||||||
7,300 | Helmerich & Payne, Inc.h | 390,915 | ||||||
18,035 | HollyFrontier Corporation | 719,416 | ||||||
356,133 | Marathon Oil Corporation | 4,483,714 | ||||||
136,490 | Marathon Petroleum Corporation | 7,075,642 | ||||||
34,570 | Nabors Industries, Ltd. | 294,191 | ||||||
2,680 | National Oilwell Varco, Inc. | 89,753 | ||||||
50,170 | Noble Corporation | 529,294 | ||||||
3,100 | Noble Energy, Inc. | 102,083 | ||||||
127,350 | Oasis Petroleum, Inc.h,l | 938,569 | ||||||
6,870 | Oceaneering International, Inc. | 257,762 | ||||||
1,080 | Oil States International, Inc.l | 29,430 | ||||||
35,588 | Parsley Energy, Inc.l | 656,599 | ||||||
50,610 | Patterson-UTI Energy, Inc. | 763,199 | ||||||
4,760 | PBF Energy, Inc. | 175,216 | ||||||
276,400 | Petroleo Brasileiro SA ADRh,l | 1,188,520 | ||||||
24,120 | Pioneer Energy Services Corporationl | 52,340 | ||||||
183,410 | Rowan Companies plc | 3,108,800 | ||||||
8,970 | RPC, Inc.h | 107,192 | ||||||
39,590 | Schlumberger, Ltd. | 2,761,403 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
72
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (21.4%) | Value | ||||||
| Energy (2.6%) - continued | |||||||
3,000 | SemGroup Corporation | $ | 86,580 | |||||
192,330 | Southwestern Energy Companyh,l | 1,367,466 | ||||||
14,080 | Spectra Energy Corporation | 337,075 | ||||||
196,800 | Suncor Energy, Inc. ADR | 5,077,440 | ||||||
10,200 | Superior Energy Services, Inc. | 137,394 | ||||||
55,491 | Teekay Tankers, Ltd. | 381,778 | ||||||
16,430 | Tesco Corporation | 118,953 | ||||||
470 | Tesoro Corporation | 49,524 | ||||||
32,470 | TETRA Technologies, Inc.l | 244,174 | ||||||
11,670 | U.S. Silica Holdings, Inc.h | 218,579 | ||||||
920,381 | Weatherford International, Ltd.l | 7,721,997 | ||||||
7,586 | Western Refining, Inc. | 270,213 | ||||||
1,000 | World Fuel Services Corporation | 38,460 | ||||||
29,680 | WPX Energy, Inc.l | 170,363 | ||||||
|
| |||||||
Total | 108,128,929 | |||||||
|
| |||||||
| Financials (3.6%) | |||||||
22,450 | ACE, Ltd. | 2,623,282 | ||||||
11,013 | Affiliated Managers Group, Inc.l | 1,759,437 | ||||||
5,712 | Alexandria Real Estate Equities, Inc. | 516,136 | ||||||
11,220 | Allied World Assurance Company Holdings AG | 417,272 | ||||||
6,620 | American Assets Trust, Inc. | 253,877 | ||||||
22,000 | American Campus Communities, Inc. | 909,480 | ||||||
25,560 | American Equity Investment Life Holding Company | 614,207 | ||||||
23,530 | American Financial Group, Inc. | 1,696,042 | ||||||
41,870 | American International Group, Inc. | 2,594,684 | ||||||
7,225 | Ameris Bancorp | 245,578 | ||||||
3,230 | AMERISAFE, Inc. | 164,407 | ||||||
75,330 | Anworth Mortgage Asset Corporation | 327,685 | ||||||
4,230 | Apartment Investment & Management Company | 169,327 | ||||||
6,433 | Argo Group International Holdings, Ltd. | 384,951 | ||||||
19,029 | Arthur J. Gallagher & Company | 779,047 | ||||||
5,860 | Ashford Hospitality Prime, Inc. | 84,970 | ||||||
17,960 | Aspen Insurance Holdings, Ltd. | 867,468 | ||||||
4,860 | Associated Banc-Corp | 91,125 | ||||||
34,450 | Assured Guaranty, Ltd. | 910,514 | ||||||
4,020 | BancorpSouth, Inc. | 96,440 | ||||||
608,430 | Bank of America Corporation | 10,239,877 | ||||||
20,800 | Bank of New York Mellon Corporation | 857,376 | ||||||
6,200 | Bank of the Ozarks, Inc. | 306,652 | ||||||
6,120 | BankFinancial Corporation | 77,296 | ||||||
53,200 | BB&T Corporation | 2,011,492 | ||||||
26,253 | BBCN Bancorp, Inc. | 452,077 | ||||||
100,300 | Blackstone Group, LP | 2,932,772 | ||||||
9,750 | Boston Private Financial Holdings, Inc. | 110,565 | ||||||
18,910 | Brandywine Realty Trust | 258,311 | ||||||
17,169 | Brixmor Property Group, Inc. | 443,304 | ||||||
25,150 | Brookline Bancorp, Inc. | 289,225 | ||||||
25,690 | Brown & Brown, Inc. | 824,649 | ||||||
3,750 | Camden Property Trust | 287,850 | ||||||
39,750 | Capital One Financial Corporation | 2,869,155 | ||||||
18,140 | Cathay General Bancorp | 568,326 | ||||||
16,140 | CBRE Group, Inc.l | 558,121 | ||||||
52,477 | Cedar Realty Trust, Inc. | 371,537 | ||||||
82,100 | Charles Schwab Corporation | 2,703,553 | ||||||
2,900 | Chatham Lodging Trust | 59,392 | ||||||
233,428 | Citigroup, Inc. | 12,079,899 | ||||||
9,340 | Clifton Bancorp, Inc. | 133,936 | ||||||
30,210 | CNO Financial Group, Inc. | 576,709 | ||||||
80,865 | CoBiz Financial, Inc. | 1,085,208 | ||||||
14,459 | Columbia Banking System, Inc. | 470,062 | ||||||
66,750 | Comerica, Inc. | 2,792,152 | ||||||
3,760 | Commerce Bancshares, Inc. | 159,950 | ||||||
4,730 | Corporate Office Properties Trust | 103,256 | ||||||
4,100 | Digital Realty Trust, Inc. | 310,042 | ||||||
6,114 | Douglas Emmett, Inc. | 190,635 | ||||||
17,450 | Duke Realty Corporation | 366,799 | ||||||
13,808 | East West Bancorp, Inc. | 573,860 | ||||||
2,800 | Education Realty Trust, Inc. | 106,064 | ||||||
15,839 | Employers Holdings, Inc. | 432,405 | ||||||
19,270 | Equity One, Inc. | 523,180 | ||||||
7,600 | Essent Group, Ltd.l | 166,364 | ||||||
37,710 | EverBank Financial Corporation | 602,606 | ||||||
4,200 | Evercore Partners, Inc. | 227,094 | ||||||
2,700 | Extra Space Storage, Inc. | 238,167 | ||||||
32,140 | F.N.B. Corporation | 428,748 | ||||||
7,700 | FelCor Lodging Trust, Inc. | 56,210 | ||||||
99,130 | Fifth Third Bancorp | 1,992,513 | ||||||
37,910 | First Commonwealth Financial Corporation | 343,844 | ||||||
1,410 | First Defiance Financial Corporation | 53,270 | ||||||
3,100 | First Financial Corporation | 105,307 | ||||||
10,850 | First Horizon National Corporation | 157,542 | ||||||
16,900 | First Industrial Realty Trust, Inc. | 373,997 | ||||||
2,070 | First Interstate BancSystem, Inc. | 60,175 | ||||||
40,670 | First Midwest Bancorp, Inc. | 749,548 | ||||||
2,430 | First NBC Bank Holding Companyl | 90,858 | ||||||
24,192 | First Potomac Realty Trust | 275,789 | ||||||
29,010 | First Republic Bank | 1,916,401 | ||||||
13,600 | Franklin Street Properties Corporation | 140,760 | ||||||
12,036 | Genworth Financial, Inc.l | 44,894 | ||||||
1,810 | German American Bancorp, Inc. | 60,309 | ||||||
4,510 | Getty Realty Corporation | 77,347 | ||||||
12,765 | Glacier Bancorp, Inc. | 338,655 | ||||||
8,430 | Great Western Bancorp, Inc. | 244,639 | ||||||
24,640 | Green Bancorp, Inc.l | 258,227 | ||||||
3,590 | Hancock Holding Company | 90,360 | ||||||
32,190 | Hanmi Financial Corporation | 763,547 | ||||||
7,620 | Hanover Insurance Group, Inc. | 619,811 | ||||||
57,560 | Hartford Financial Services Group, Inc. | 2,501,558 | ||||||
20,706 | Hatteras Financial Corporation | 272,284 | ||||||
1,320 | HCI Group, Inc.h | 46,002 | ||||||
8,130 | HFF, Inc. | 252,599 | ||||||
5,450 | Highwoods Properties, Inc. | 237,620 | ||||||
14,818 | Home BancShares, Inc. | 600,425 | ||||||
3,380 | Hometrust Bancshares, Inc.l | 68,445 | ||||||
10,680 | Horace Mann Educators Corporation | 354,362 | ||||||
21,248 | Host Hotels & Resorts, Inc. | 325,944 | ||||||
7,711 | Houlihan Lokey, Inc. | 202,105 | ||||||
10,130 | Hudson Pacific Properties, Inc. | 285,058 | ||||||
210,001 | Huntington Bancshares, Inc. | 2,322,611 | ||||||
7,480 | Inland Real Estate Corporation | 79,438 | ||||||
34,860 | Intercontinental Exchange, Inc. | 8,933,224 | ||||||
114,050 | Invesco, Ltd. | 3,818,394 | ||||||
63,930 | Investors Bancorp, Inc. | 795,289 | ||||||
71,134 | J.P. Morgan Chase & Company | 4,696,978 | ||||||
25,620 | Janus Capital Group, Inc. | 360,986 | ||||||
4,800 | Kearny Financial Corporation | 60,816 | ||||||
2,400 | Kennedy-Wilson Holdings, Inc. | 57,792 | ||||||
186,990 | KeyCorp | 2,466,398 | ||||||
3,700 | Kilroy Realty Corporation | 234,136 | ||||||
7,960 | Lamar Advertising Company | 477,441 | ||||||
9,571 | LaSalle Hotel Properties | 240,806 | ||||||
4,570 | Lazard, Ltd. | 205,696 | ||||||
12,150 | Lexington Realty Trust | 97,200 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
73
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (21.4%) | Value | ||||||
Financials (3.6%) - continued | ||||||||
3,460 | Liberty Property Trust | $ | 107,433 | |||||
2,698 | Lincoln National Corporation | 135,601 | ||||||
3,450 | M&T Bank Corporation | 418,071 | ||||||
116,120 | MetLife, Inc. | 5,598,145 | ||||||
19,340 | Monmouth Real Estate Investment Corporationh | 202,296 | ||||||
155,910 | Morgan Stanley | 4,959,497 | ||||||
11,620 | MSCI, Inc. | 838,151 | ||||||
11,300 | Nasdaq, Inc. | 657,321 | ||||||
11,660 | National Interstate Corporation | 311,322 | ||||||
40,804 | Navient Corporation | 467,206 | ||||||
2,770 | Navigators Group, Inc.l | 237,638 | ||||||
7,700 | Northern Trust Corporation | 555,093 | ||||||
36,750 | NorthStar Asset Management Corporation, Inc. | 446,145 | ||||||
2,470 | One Liberty Properties, Inc. | 53,006 | ||||||
23,760 | Oritani Financial Corporation | 392,040 | ||||||
14,110 | PacWest Bancorp | 608,141 | ||||||
10,330 | Parkway Properties, Inc. | 161,458 | ||||||
8,453 | Pebblebrook Hotel Trust | 236,853 | ||||||
7,470 | PennyMac Financial Services, Inc.l | 114,739 | ||||||
3,690 | Physicians Realty Trust | 62,213 | ||||||
5,170 | Popular, Inc. | 146,518 | ||||||
5,940 | Post Properties, Inc. | 351,410 | ||||||
5,786 | Potlatch Corporation | 174,969 | ||||||
10,850 | Primerica, Inc.h | 512,446 | ||||||
1,930 | PrivateBancorp, Inc. | 79,169 | ||||||
22,270 | Progressive Corporation | 708,186 | ||||||
26,050 | Provident Financial Services, Inc. | 524,908 | ||||||
29,380 | Radian Group, Inc. | 393,398 | ||||||
35,200 | Ramco-Gershenson Properties Trust | 584,672 | ||||||
20,013 | Raymond James Financial, Inc. | 1,160,154 | ||||||
7,920 | RE/MAX Holdings, Inc. | 295,416 | ||||||
11,200 | Realogy Holdings Corporationl | 410,704 | ||||||
6,010 | Renasant Corporation | 206,804 | ||||||
6,200 | Rouse Properties, Inc. | 90,272 | ||||||
3,239 | Safeguard Scientifics, Inc.l | 46,998 | ||||||
1,126 | Safety Insurance Group, Inc. | 63,484 | ||||||
13,575 | Sandy Spring Bancorp, Inc. | 365,982 | ||||||
3,650 | Seacoast Banking Corporation of Floridal | 54,677 | ||||||
8,520 | Selective Insurance Group, Inc. | 286,102 | ||||||
3,390 | Sierra Bancorp | 59,834 | ||||||
10,920 | Silver Bay Realty Trust Corporation REIT | 171,007 | ||||||
107,040 | SLM Corporationl | 697,901 | ||||||
21,650 | Spirit Realty Captial, Inc. | 216,933 | ||||||
17,080 | Starwood Property Trust, Inc. | 351,165 | ||||||
8,238 | State Auto Financial Corporation | 169,620 | ||||||
14,801 | Stifel Financial Corporationl | 626,970 | ||||||
11,000 | Store Capital Corporation | 255,200 | ||||||
16,018 | Summit Hotel Properties, Inc. | 191,415 | ||||||
12,210 | SunTrust Banks, Inc. | 523,076 | ||||||
13,165 | SVB Financial Groupl | 1,565,318 | ||||||
74,950 | Synchrony Financiall | 2,279,230 | ||||||
50,800 | Synovus Financial Corporation | 1,644,904 | ||||||
26,940 | Talmer Bancorp, Inc. | 487,883 | ||||||
97,180 | TCF Financial Corporation | 1,372,182 | ||||||
19,850 | TD Ameritrade Holding Corporation | 688,993 | ||||||
20,072 | Terreno Realty Corporation | 454,029 | ||||||
3,360 | Territorial Bancorp, Inc. | 93,206 | ||||||
5,450 | TriCo Bancshares | 149,548 | ||||||
15,160 | TrustCo Bank Corporation | 93,082 | ||||||
4,350 | U.S. Bancorp | 185,614 | ||||||
6,510 | UMH Properties, Inc. | 65,881 | ||||||
2,790 | Union Bankshares Corporation | 70,420 | ||||||
2,800 | United Community Banks, Inc. | 54,572 | ||||||
3,240 | Urstadt Biddle Properties, Inc. | 62,338 | ||||||
5,207 | W.R. Berkley Corporation | 285,083 | ||||||
1,460 | Webster Financial Corporation | 54,297 | ||||||
24,550 | Wells Fargo & Company | 1,334,538 | ||||||
20,970 | Western Alliance Bancorpl | 751,984 | ||||||
9,310 | Western Asset Mortgage Capital Corporationh | 95,148 | ||||||
5,250 | Whitestone REIT | 63,053 | ||||||
4,068 | Wintrust Financial Corporation | 197,379 | ||||||
4,496 | WSFS Financial Corporation | 145,491 | ||||||
9,334 | XL Group plc | 365,706 | ||||||
168,194 | Zions Bancorporation | 4,591,696 | ||||||
|
| |||||||
Total | 145,535,539 | |||||||
|
| |||||||
Health Care (2.9%) | ||||||||
142,491 | Abbott Laboratories | 6,399,271 | ||||||
3,100 | ABIOMED, Inc.l | 279,868 | ||||||
5,900 | Acadia Healthcare Company, Inc.l | 368,514 | ||||||
3,950 | Acceleron Pharma, Inc.l | 192,602 | ||||||
3,810 | Aceto Corporation | 102,794 | ||||||
23,810 | Acorda Therapeutics, Inc.l | 1,018,592 | ||||||
26,550 | Aetna, Inc. | 2,870,586 | ||||||
39,550 | Affymetrix, Inc.l | 399,060 | ||||||
15,520 | Akorn, Inc.l | 579,051 | ||||||
9,380 | Albany Molecular Research, Inc.l | 186,193 | ||||||
8,800 | Align Technology, Inc.l | 579,480 | ||||||
29,970 | Allergan plcl | 9,365,625 | ||||||
10,236 | Allscripts Healthcare Solutions, Inc.l | 157,430 | ||||||
9,150 | AmerisourceBergen Corporation | 948,946 | ||||||
26,270 | Amgen, Inc. | 4,264,409 | ||||||
21,434 | AMN Healthcare Services, Inc.l | 665,526 | ||||||
4,350 | AmSurg Corporationl | 330,600 | ||||||
800 | Anacor Pharmaceuticals, Inc.l | 90,376 | ||||||
6,877 | Analogic Corporation | 568,040 | ||||||
20,018 | Asterias Biotherapeutics, Inc.h,l | 78,671 | ||||||
902 | Atrion Corporation | 343,842 | ||||||
65,462 | Baxalta, Inc. | 2,554,982 | ||||||
6,350 | BioMarin Pharmaceutical, Inc.l | 665,226 | ||||||
1,090 | Bio-Rad Laboratories, Inc.l | 151,139 | ||||||
3,172 | C.R. Bard, Inc. | 600,904 | ||||||
23,770 | Cambrex Corporationl | 1,119,329 | ||||||
2,450 | Cardinal Health, Inc. | 218,711 | ||||||
8,500 | Cardiovascular Systems, Inc.l | 128,520 | ||||||
14,800 | Centene Corporationl | 973,988 | ||||||
107,131 | Cerner Corporationl | 6,446,072 | ||||||
3,560 | CONMED Corporation | 156,818 | ||||||
4,370 | Cross Country Healthcare, Inc.l | 71,624 | ||||||
46,050 | DENTSPLY International, Inc. | 2,802,143 | ||||||
30,390 | Depomed, Inc.l | 550,971 | ||||||
25,480 | Edwards Lifesciences Corporationl | 2,012,410 | ||||||
22,378 | Ensign Group, Inc. | 506,414 | ||||||
27,080 | Envision Healthcare Holdings, Inc.l | 703,268 | ||||||
2,800 | EXACT Sciences Corporationh,l | 25,844 | ||||||
16,749 | ExamWorks Group, Inc.l | 445,523 | ||||||
33,650 | Express Scripts Holding Companyl | 2,941,346 | ||||||
77,915 | Gilead Sciences, Inc. | 7,884,219 | ||||||
8,940 | Globus Medical, Inc.l | 248,711 | ||||||
10,630 | Greatbatch, Inc.l | 558,075 | ||||||
18,790 | HCA Holdings, Inc.l | 1,270,768 | ||||||
6,600 | HealthSouth Corporation | 229,746 | ||||||
8,160 | Healthways, Inc.l | 105,019 | ||||||
6,800 | Hill-Rom Holdings, Inc. | 326,808 | ||||||
16,000 | Hologic, Inc.l | 619,040 | ||||||
6,900 | Impax Laboratories, Inc.l | 295,044 | ||||||
5,300 | Inogen, Inc.l | 212,477 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
74
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (21.4%) | Value | ||||||
Health Care (2.9%) - continued | ||||||||
5,000 | Intersect ENT, Inc.l | $ | 112,500 | |||||
13,300 | Ironwood Pharmaceuticals, Inc.l | 154,147 | ||||||
23,360 | Kindred Healthcare, Inc. | 278,218 | ||||||
1,061 | LivaNova plcl | 62,992 | ||||||
5,600 | Magellan Health Services, Inc.l | 345,296 | ||||||
65,879 | Medtronic, Inc. | 5,067,413 | ||||||
157,820 | Merck & Company, Inc. | 8,336,052 | ||||||
2,050 | Mettler-Toledo International, Inc.l | 695,217 | ||||||
111,769 | Mylan NVl | 6,043,350 | ||||||
6,193 | National Healthcare Corporation | 382,108 | ||||||
1,270 | Neogen Corporationl | 71,780 | ||||||
6,340 | Neurocrine Biosciences, Inc.l | 358,654 | ||||||
15,703 | NuVasive, Inc.l | 849,689 | ||||||
7,650 | NxStage Medical, Inc.l | 167,612 | ||||||
8,340 | PerkinElmer, Inc. | 446,774 | ||||||
7,250 | Perrigo Company plc | 1,049,075 | ||||||
245,530 | Pfizer, Inc. | 7,925,708 | ||||||
9,610 | PharMerica Corporationl | 336,350 | ||||||
7,820 | Progenics Pharmaceuticals, Inc.l | 47,937 | ||||||
400 | Prothena Corporation plcl | 27,244 | ||||||
3,200 | Providence Service Corporationl | 150,144 | ||||||
4,670 | Quality Systems, Inc. | 75,280 | ||||||
3,280 | Quest Diagnostics, Inc. | 233,339 | ||||||
12,920 | Quintiles Transnational Holdings, Inc.l | 887,087 | ||||||
65,800 | Roche Holding AG ADR | 2,268,126 | ||||||
3,470 | Sagent Pharmaceuticals, Inc.l | 55,208 | ||||||
15,540 | Team Health Holdings, Inc.l | 682,051 | ||||||
18,790 | Teleflex, Inc. | 2,469,945 | ||||||
15,440 | Triple-S Management Corporationl | 369,170 | ||||||
46,258 | UnitedHealth Group, Inc. | 5,441,791 | ||||||
12,580 | Universal Health Services, Inc. | 1,503,184 | ||||||
7,050 | Vanda Pharmaceuticals, Inc.h,l | 65,636 | ||||||
4,470 | VCA Antech, Inc.l | 245,850 | ||||||
12,600 | Veeva Systems, Inc.h,l | 363,510 | ||||||
50,517 | Vertex Pharmaceuticals, Inc.l | 6,356,554 | ||||||
3,400 | Waters Corporationl | 457,572 | ||||||
7,480 | Wellcare Health Plans, Inc.l | 585,011 | ||||||
9,810 | West Pharmaceutical Services, Inc. | 590,758 | ||||||
9,240 | Zoetis, Inc. | 442,781 | ||||||
|
| |||||||
Total | 120,615,728 | |||||||
|
| |||||||
Industrials (2.2%) | ||||||||
23,300 | 3M Company | 3,509,912 | ||||||
4,010 | A.O. Smith Corporation | 307,206 | ||||||
4,450 | AAR Corporation | 116,991 | ||||||
15,250 | ABM Industries, Inc. | 434,168 | ||||||
18,150 | ADT Corporationh | 598,587 | ||||||
15,210 | AECOMl | 456,756 | ||||||
16,514 | Aegion Corporationl | 318,885 | ||||||
7,110 | AGCO Corporation | 322,723 | ||||||
4,590 | Allison Transmission Holdings, Inc. | 118,835 | ||||||
3,770 | AMETEK, Inc. | 202,034 | ||||||
3,070 | Applied Industrial Technologies, Inc. | 124,304 | ||||||
8,203 | Astec Industries, Inc. | 333,862 | ||||||
6,800 | AZZ, Inc. | 377,876 | ||||||
9,370 | B/E Aerospace, Inc. | 397,007 | ||||||
14,086 | Beacon Roofing Supply, Inc.l | 580,061 | ||||||
49,120 | Boeing Company | 7,102,261 | ||||||
2,870 | Brady Corporation | 65,953 | ||||||
4,090 | Briggs & Stratton Corporation | 70,757 | ||||||
13,060 | Brink’s Company | 376,912 | ||||||
8,130 | BWX Technologies, Inc. | 258,290 | ||||||
16,560 | Caterpillar, Inc. | 1,125,418 | ||||||
6,782 | CIRCOR International, Inc. | 285,861 | ||||||
13,850 | CLARCOR, Inc. | 688,068 | ||||||
14,705 | Comfort Systems USA, Inc. | 417,916 | ||||||
19,710 | Copart, Inc.l | 749,177 | ||||||
9,840 | Corporate Executive Board Company | 604,078 | ||||||
136,950 | CSX Corporation | 3,553,853 | ||||||
3,733 | Cubic Corporation | 176,384 | ||||||
7,290 | Curtiss-Wright Corporation | 499,365 | ||||||
19,740 | Danaher Corporation | 1,833,451 | ||||||
165,420 | Delta Air Lines, Inc. | 8,385,140 | ||||||
8,660 | DigitalGlobe, Inc.l | 135,616 | ||||||
12,070 | Donaldson Company, Inc. | 345,926 | ||||||
24,040 | EMCOR Group, Inc. | 1,154,882 | ||||||
4,625 | Equifax, Inc. | 515,086 | ||||||
11,278 | ESCO Technologies, Inc. | 407,587 | ||||||
26,700 | Expeditors International of Washington, Inc. | 1,204,170 | ||||||
22,126 | Federal Signal Corporation | 350,697 | ||||||
4,970 | Flowserve Corporation | 209,138 | ||||||
25,100 | Fortune Brands Home and Security, Inc. | 1,393,050 | ||||||
9,365 | Franklin Electric Company, Inc. | 253,136 | ||||||
9,839 | FTI Consulting, Inc.l | 341,020 | ||||||
7,316 | G & K Services, Inc. | 460,176 | ||||||
15,518 | Gibraltar Industries, Inc.l | 394,778 | ||||||
17,695 | Granite Construction, Inc. | 759,292 | ||||||
3,100 | H&E Equipment Services, Inc. | 54,188 | ||||||
2,750 | Hawaiian Holdings, Inc.l | 97,158 | ||||||
6,300 | Healthcare Services Group, Inc. | 219,681 | ||||||
10,680 | Heico Corporation | 580,565 | ||||||
13,310 | Hexcel Corporation | 618,249 | ||||||
10,132 | HNI Corporation | 365,360 | ||||||
39,611 | Honeywell International, Inc. | 4,102,511 | ||||||
6,410 | Hub Group, Inc.l | 211,209 | ||||||
6,890 | Huntington Ingalls Industries, Inc. | 873,997 | ||||||
10,279 | Huron Consulting Group, Inc.l | 610,573 | ||||||
1,770 | Illinois Tool Works, Inc. | 164,044 | ||||||
51,200 | Ingersoll-Rand plc | 2,830,848 | ||||||
10,600 | Insperity, Inc. | 510,390 | ||||||
10,000 | JB Hunt Transport Services, Inc. | 733,600 | ||||||
2,262 | John Bean Technologies Corporation | 112,715 | ||||||
19,090 | Joy Global, Inc. | 240,725 | ||||||
8,590 | Kaman Corporation | 350,558 | ||||||
7,440 | KAR Auction Services, Inc. | 275,503 | ||||||
14,758 | Kforce, Inc. | 373,082 | ||||||
31,470 | Korn/Ferry International | 1,044,175 | ||||||
6,523 | Landstar System, Inc. | 382,574 | ||||||
1,859 | Lincoln Electric Holdings, Inc. | 96,464 | ||||||
5,950 | Lockheed Martin Corporation | 1,292,042 | ||||||
11,020 | Manpower, Inc. | 928,876 | ||||||
18,400 | Masco Corporation | 520,720 | ||||||
13,843 | McGrath Rentcorp | 348,705 | ||||||
27,320 | Meritor, Inc.l | 228,122 | ||||||
2,200 | Middleby Corporationl | 237,314 | ||||||
4,818 | Mine Safety Appliances Company | 209,438 | ||||||
14,500 | Mueller Water Products, Inc. | 124,700 | ||||||
24,668 | Navigant Consulting, Inc.l | 396,168 | ||||||
17,550 | Nielsen Holdings plc | 817,830 | ||||||
3,952 | Nordson Corporation | 253,521 | ||||||
56,706 | Norfolk Southern Corporation | 4,796,761 | ||||||
5,750 | Northrop Grumman Corporation | 1,085,658 | ||||||
8,550 | Old Dominion Freight Line, Inc.l | 505,048 | ||||||
18,630 | On Assignment, Inc.l | 837,418 | ||||||
13,917 | Oshkosh Corporation | 543,320 | ||||||
7,000 | PGT, Inc.l | 79,730 | ||||||
14,650 | PowerSecure International, Inc.l | 220,483 | ||||||
29,708 | Progressive Waste Solutions, Ltd. | 699,623 | ||||||
6,850 | Proto Labs, Inc.l | 436,277 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
75
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (21.4%) | Value | ||||||
Industrials (2.2%) - continued | ||||||||
4,510 | Quanex Building Products Corporation | $ | 94,033 | |||||
18,190 | Raven Industries, Inc. | 283,764 | ||||||
2,392 | RBC Bearings, Inc.l | 154,499 | ||||||
7,900 | Resources Connection, Inc. | 129,086 | ||||||
4,460 | Rexnord Corporationl | 80,815 | ||||||
12,274 | Ritchie Brothers Auctioneers, Inc.h | 295,926 | ||||||
13,200 | Rockwell Automation, Inc. | 1,354,452 | ||||||
3,300 | Rockwell Collins, Inc. | 304,590 | ||||||
4,750 | Roper Industries, Inc. | 901,502 | ||||||
1,730 | Ryder System, Inc. | 98,316 | ||||||
4,800 | Saia, Inc.l | 106,800 | ||||||
45,200 | Southwest Airlines Company | 1,946,312 | ||||||
8,990 | Spirit Aerosystems Holdings, Inc.l | 450,129 | ||||||
2,250 | Stericycle, Inc.l | 271,350 | ||||||
2,209 | Sun Hydraulics Corporation | 70,092 | ||||||
7,000 | Swift Transportation Companyh,l | 96,740 | ||||||
7,940 | Tennant Company | 446,704 | ||||||
4,620 | Tetra Tech, Inc. | 120,212 | ||||||
12,109 | Textron, Inc. | 508,699 | ||||||
12,750 | Toro Company | 931,643 | ||||||
6,674 | Triumph Group, Inc. | 265,291 | ||||||
1,980 | TrueBlue, Inc.l | 51,005 | ||||||
10,425 | Tyco International plc | 332,453 | ||||||
1,480 | UniFirst Corporation | 154,216 | ||||||
6,690 | United Continental Holdings, Inc.l | 383,337 | ||||||
29,400 | United Parcel Service, Inc. | 2,829,162 | ||||||
7,970 | United Rentals, Inc.l | 578,144 | ||||||
7,729 | Universal Forest Products, Inc. | 528,432 | ||||||
10,553 | Universal Truckload Services, Inc. | 148,164 | ||||||
4,400 | WABCO Holdings, Inc.l | 449,944 | ||||||
5,200 | WageWorks, Inc.l | 235,924 | ||||||
21,210 | Waste Connections, Inc. | 1,194,547 | ||||||
800 | Watsco, Inc. | 93,704 | ||||||
5,130 | Wesco Aircraft Holdings, Inc.l | 61,406 | ||||||
6,950 | West Corporation | 149,912 | ||||||
1,167 | Woodward, Inc. | 57,953 | ||||||
3,790 | Xylem, Inc. | 138,335 | ||||||
3,470 | YRC Worldwide, Inc.l | 49,205 | ||||||
|
| |||||||
Total | 88,073,366 | |||||||
|
| |||||||
Information Technology (4.8%) | ||||||||
700 | A10 Networks, Inc.l | 4,592 | ||||||
4,020 | Accenture plc | 420,090 | ||||||
42,150 | ACI Worldwide, Inc.l | 902,010 | ||||||
5,448 | Advanced Energy Industries, Inc.l | 153,797 | ||||||
22,630 | Agilent Technologies, Inc. | 946,160 | ||||||
13,630 | Akamai Technologies, Inc.l | 717,347 | ||||||
51,290 | Alibaba Group Holding, Ltd. ADRl | 4,168,338 | ||||||
3,400 | Alliance Data Systems Corporationl | 940,338 | ||||||
11,869 | Alphabet, Inc., Class Al | 9,234,201 | ||||||
16,411 | Alphabet, Inc., Class Cl | 12,453,980 | ||||||
3,500 | Ambarella, Inc.h,l | 195,090 | ||||||
19,700 | Amkor Technology, Inc.l | 119,776 | ||||||
28,600 | Amphenol Corporation | 1,493,778 | ||||||
2,700 | Analog Devices, Inc. | 149,364 | ||||||
6,510 | ANSYS, Inc.l | 602,175 | ||||||
158,274 | Apple, Inc. | 16,659,921 | ||||||
35,855 | Applied Materials, Inc. | 669,413 | ||||||
8,510 | Arista Networks, Inc.h,l | 662,418 | ||||||
4,000 | Aspen Technology, Inc.l | 151,040 | ||||||
7,000 | AVG Technologies NVl | 140,350 | ||||||
10,640 | Avnet, Inc. | 455,818 | ||||||
11,440 | AVX Corporation | 138,882 | ||||||
14,593 | Belden, Inc. | 695,794 | ||||||
3,070 | Benchmark Electronics, Inc.l | 63,457 | ||||||
5,610 | Black Knight Financial Services, Inc.l | 185,467 | ||||||
10,330 | Booz Allen Hamilton Holding Corporation | 318,681 | ||||||
11,260 | Broadridge Financial Solutions, Inc. | 605,000 | ||||||
144,400 | Brocade Communications Systems, Inc. | 1,325,592 | ||||||
31,507 | Brooks Automation, Inc. | 336,495 | ||||||
9,822 | Cabot Microelectronics Corporationl | 430,007 | ||||||
7,367 | CACI International, Inc.l | 683,510 | ||||||
2,880 | Cadence Design Systems, Inc.l | 59,933 | ||||||
5,000 | Cardtronics, Inc.l | 168,250 | ||||||
4,500 | Cavium, Inc.l | 295,695 | ||||||
6,000 | CDK Global, Inc. | 284,820 | ||||||
26,600 | CDW Corporation | 1,118,264 | ||||||
23,420 | Ciena Corporationl | 484,560 | ||||||
478,060 | Cisco Systems, Inc. | 12,981,719 | ||||||
1,133 | Citrix Systems, Inc.l | 85,711 | ||||||
17,130 | Cognex Corporation | 578,480 | ||||||
13,600 | Cognizant Technology Solutions Corporationl | 816,272 | ||||||
7,160 | Coherent, Inc.l | 466,188 | ||||||
6,000 | Comtech Telecommunications Corporation | 120,540 | ||||||
14,100 | Convergys Corporation | 350,949 | ||||||
37,510 | CoreLogic, Inc.l | 1,270,089 | ||||||
2,200 | Cornerstone OnDemand, Inc.l | 75,966 | ||||||
17,290 | Criteo SA ADRl | 684,684 | ||||||
4,390 | Cvent, Inc.l | 153,255 | ||||||
8,360 | Demandware, Inc.h,l | 451,189 | ||||||
2,430 | DST Systems, Inc. | 277,166 | ||||||
32,400 | eBay, Inc.l | 890,352 | ||||||
18,383 | Electro Rent Corporation | 169,124 | ||||||
308,860 | EMC Corporation | 7,931,525 | ||||||
7,670 | Envestnet, Inc.l | 228,950 | ||||||
7,130 | EVERTEC, Inc. | 119,356 | ||||||
7,470 | ExlService Holdings, Inc.l | 335,627 | ||||||
7,160 | F5 Networks, Inc.l | 694,234 | ||||||
16,743 | Fabrinetl | 398,818 | ||||||
165,170 | Facebook, Inc.l | 17,286,692 | ||||||
6,200 | FEI Company | 494,698 | ||||||
2,410 | FleetCor Technologies, Inc.l | 344,461 | ||||||
7,600 | FLIR Systems, Inc. | 213,332 | ||||||
23,500 | Fortinet, Inc.l | 732,495 | ||||||
7,890 | Gartner, Inc.l | 715,623 | ||||||
19,020 | Glu Mobile, Inc.l | 46,219 | ||||||
17,083 | Guidewire Software, Inc.l | 1,027,713 | ||||||
9,850 | Harmonic, Inc.l | 40,090 | ||||||
3,620 | IAC/InterActiveCorporation | 217,381 | ||||||
10,310 | Imperva, Inc.l | 652,726 | ||||||
97,330 | Intel Corporation | 3,353,018 | ||||||
27,915 | Ixial | 346,983 | ||||||
16,257 | Juniper Networks, Inc. | 448,693 | ||||||
1,190 | Leidos Holdings, Inc. | 66,949 | ||||||
4,200 | Liberty Tripadvisor Holdings, Inc.l | 127,428 | ||||||
4,121 | Littelfuse, Inc. | 440,988 | ||||||
860 | LogMeIn, Inc.l | 57,706 | ||||||
4,640 | Lumentum Holdings, Inc.l | 102,173 | ||||||
2,500 | Manhattan Associates, Inc.l | 165,425 | ||||||
15,040 | Marvell Technology Group, Ltd. | 132,653 | ||||||
38,620 | MasterCard, Inc. | 3,760,043 | ||||||
15,945 | Maxim Integrated Products, Inc. | 605,910 | ||||||
31,390 | Mentor Graphics Corporation | 578,204 | ||||||
8,163 | Methode Electronics, Inc. | 259,828 | ||||||
25,900 | Microsemi Corporationl | 844,081 | ||||||
386,860 | Microsoft Corporation | 21,462,993 | ||||||
10,020 | Monolithic Power Systems, Inc. | 638,374 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
76
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (21.4%) | Value | ||||||
Information Technology (4.8%) - continued | ||||||||
870 | Morningstar, Inc. | $ | 69,957 | |||||
8,200 | Nanometrics, Inc.l | 124,148 | ||||||
16,940 | National Instruments Corporation | 486,009 | ||||||
2,090 | NetScout Systems, Inc.l | 64,163 | ||||||
13,844 | Newport Corporationl | 219,704 | ||||||
8,150 | Nice Systems, Ltd. ADRh | 467,158 | ||||||
105,336 | NVIDIA Corporation | 3,471,875 | ||||||
6,860 | NXP Semiconductors NVl | 577,955 | ||||||
11,780 | ON Semiconductor Corporationl | 115,444 | ||||||
131,700 | Oracle Corporation | 4,811,001 | ||||||
5,220 | Palo Alto Networks, Inc.l | 919,451 | ||||||
35,470 | Pandora Media, Inc.l | 475,653 | ||||||
10,130 | Parametric Technology Corporationl | 350,802 | ||||||
3,700 | Paylocity Holding Corporationl | 150,035 | ||||||
139,540 | PayPal Holdings, Inc.l | 5,051,348 | ||||||
6,817 | Plantronics, Inc. | 323,262 | ||||||
24,200 | Progress Software Corporationl | 580,800 | ||||||
8,000 | Proofpoint, Inc.l | 520,080 | ||||||
13,170 | QLIK Technologies, Inc.l | 416,962 | ||||||
8,900 | RealPage, Inc.l | 199,805 | ||||||
13,650 | Red Hat, Inc.l | 1,130,356 | ||||||
11,290 | Ruckus Wireless, Inc.l | 120,916 | ||||||
118,960 | Salesforce.com, Inc.l | 9,326,464 | ||||||
13,290 | ServiceNow, Inc.l | 1,150,382 | ||||||
15,300 | ShoreTel, Inc.l | 135,405 | ||||||
10,950 | Symantec Corporation | 229,950 | ||||||
9,120 | Synopsys, Inc.l | 415,963 | ||||||
1,780 | Tech Data Corporationl | 118,156 | ||||||
55,733 | Teradyne, Inc. | 1,152,001 | ||||||
7,240 | Tessera Technologies, Inc. | 217,272 | ||||||
89,780 | Texas Instruments, Inc. | 4,920,842 | ||||||
1,300 | Tyler Technologies, Inc.l | 226,616 | ||||||
5,410 | Ultimate Software Group, Inc.l | 1,057,709 | ||||||
11,770 | Ultra Clean Holdings, Inc.l | 60,262 | ||||||
13,900 | Vantiv, Inc.l | 659,138 | ||||||
25,012 | Virtusa Corporationl | 1,033,996 | ||||||
148,900 | Visa, Inc. | 11,547,195 | ||||||
13,110 | Web.com Group, Inc.l | 262,331 | ||||||
18,200 | Xerox Corporation | 193,466 | ||||||
|
| |||||||
Total | 196,031,508 | |||||||
|
| |||||||
Materials (0.8%) | ||||||||
12,530 | Agnico Eagle Mines, Ltd. | 329,288 | ||||||
47,697 | Albemarle Corporation | 2,671,509 | ||||||
65,640 | Alcoa, Inc. | 647,867 | ||||||
7,460 | American Vanguard Corporation | 104,515 | ||||||
7,530 | Avery Dennison Corporation | 471,830 | ||||||
12,944 | Axalta Coating Systems, Ltd.l | 344,958 | ||||||
21,100 | Axiall Corporation | 324,940 | ||||||
4,540 | Balchem Corporation | 276,032 | ||||||
10,480 | Ball Corporation | 762,210 | ||||||
69,870 | Barrick Gold Corporation | 515,641 | ||||||
5,840 | Berry Plastics Group, Inc.l | 211,291 | ||||||
4,300 | Boise Cascade Companyl | 109,779 | ||||||
1,640 | Carpenter Technology Corporation | 49,643 | ||||||
5,470 | Celanese Corporation | 368,295 | ||||||
10,410 | CF Industries Holdings, Inc. | 424,832 | ||||||
22,260 | Chemtura Corporationl | 607,030 | ||||||
2,964 | Clearwater Paper Corporationl | 134,951 | ||||||
44,640 | Crown Holdings, Inc.l | 2,263,248 | ||||||
55,060 | Dow Chemical Company | 2,834,489 | ||||||
2,550 | Eagle Materials, Inc. | 154,096 | ||||||
8,500 | Eastman Chemical Company | 573,835 | ||||||
48,530 | Eldorado Gold Corporation | 144,134 | ||||||
15,210 | FMC Corporation | 595,167 | ||||||
54,990 | Freeport-McMoRan, Inc. | 372,282 | ||||||
47,580 | Goldcorp, Inc. | 550,025 | ||||||
12,160 | Graphic Packaging Holding Company | 156,013 | ||||||
23,920 | Horsehead Holding Corporationh,l | 49,036 | ||||||
2,310 | Innophos Holdings, Inc. | 66,944 | ||||||
8,548 | Innospec, Inc. | 464,242 | ||||||
32,130 | International Paper Company | 1,211,301 | ||||||
3,660 | KapStone Paper and Packaging Corporation | 82,679 | ||||||
83,750 | Kinross Gold Corporationl | 152,425 | ||||||
2,620 | Koppers Holdings, Inc.l | 47,815 | ||||||
3,250 | Martin Marietta Materials, Inc. | 443,885 | ||||||
3,996 | Minerals Technologies, Inc. | 183,257 | ||||||
66,500 | Mosaic Company | 1,834,735 | ||||||
20,664 | Myers Industries, Inc. | 275,244 | ||||||
39,420 | Newmont Mining Corporation | 709,166 | ||||||
53,620 | Nucor Corporation | 2,160,886 | ||||||
13,980 | Olin Corporation | 241,295 | ||||||
29,570 | Owens-Illinois, Inc.l | 515,109 | ||||||
21,043 | Packaging Corporation of America | 1,326,761 | ||||||
23,670 | PolyOne Corporation | 751,759 | ||||||
730 | Quaker Chemical Corporation | 56,400 | ||||||
1,750 | Reliance Steel & Aluminum Company | 101,342 | ||||||
19,122 | Rock-Tenn Company | 872,346 | ||||||
4,510 | Royal Gold, Inc. | 164,480 | ||||||
7,200 | RPM International, Inc. | 317,232 | ||||||
5,450 | Schnitzer Steel Industries, Inc. | 78,316 | ||||||
6,198 | Scotts Miracle-Gro Company | 399,833 | ||||||
13,870 | Sealed Air Corporation | 618,602 | ||||||
2,450 | Silgan Holdings, Inc. | 131,614 | ||||||
21,270 | Silver Wheaton Corporation | 264,173 | ||||||
16,200 | Sonoco Products Company | 662,094 | ||||||
35,941 | Steel Dynamics, Inc. | 642,266 | ||||||
37,150 | Teck Resources, Ltd.h | 143,399 | ||||||
6,840 | Vulcan Materials Company | 649,595 | ||||||
2,290 | Westlake Chemical Corporation | 124,393 | ||||||
70,330 | Yamana Gold, Inc. | 130,814 | ||||||
|
| |||||||
Total | 31,871,338 | |||||||
|
| |||||||
Telecommunications Services (0.1%) | ||||||||
5,360 | Level 3 Communications, Inc.l | 291,370 | ||||||
7,558 | ORBCOMM, Inc.l | 54,720 | ||||||
10,500 | SBA Communications Corporationl | 1,103,235 | ||||||
91,289 | Verizon Communications, Inc. | 4,219,377 | ||||||
35,450 | Vonage Holdings Corporationl | 203,483 | ||||||
|
| |||||||
Total | 5,872,185 | |||||||
|
| |||||||
| Utilities (0.5%) | |||||||
2,420 | Ameren Corporation | 104,617 | ||||||
21,250 | American Electric Power Company, Inc. | 1,238,237 | ||||||
9,770 | American States Water Company | 409,851 | ||||||
40,560 | American Water Works Company, Inc. | 2,423,460 | ||||||
8,240 | Aqua America, Inc. | 245,552 | ||||||
5,630 | Artesian Resources Corporation | 155,951 | ||||||
2,070 | Atmos Energy Corporation | 130,493 | ||||||
11,600 | California Water Service Group | 269,932 | ||||||
12,500 | Edison International, Inc. | 740,125 | ||||||
7,135 | FirstEnergy Corporation | 226,393 | ||||||
1,150 | IDACORP, Inc. | 78,200 | ||||||
6,631 | Laclede Group, Inc. | 393,948 | ||||||
2,400 | Middlesex Water Company | 63,696 | ||||||
3,460 | New Jersey Resources Corporation | 114,042 | ||||||
3,400 | NRG Yield, Inc.h | 50,184 | ||||||
2,030 | OGE Energy Corporation | 53,369 | ||||||
6,990 | Otter Tail Corporation | 186,144 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
77
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (21.4%) | Value | ||||||
| Utilities (0.5%) - continued | |||||||
8,200 | Pacific Ethanol, Inc.l | $ | 39,196 | |||||
135,800 | PG&E Corporation | 7,223,202 | ||||||
6,117 | PNM Resources, Inc. | 186,997 | ||||||
10,000 | Public Service Enterprise Group, Inc. | 386,900 | ||||||
6,820 | Renewable Energy Group, Inc.l | 63,358 | ||||||
28,050 | Southern Company | 1,312,459 | ||||||
9,150 | Southwest Gas Corporation | 504,714 | ||||||
18,990 | Talen Energy Corporationl | 118,308 | ||||||
12,150 | Vectren Corporation | 515,403 | ||||||
6,950 | Westar Energy, Inc. | 294,749 | ||||||
33,100 | Wisconsin Energy Corporation | 1,698,361 | ||||||
|
| |||||||
Total | 19,227,841 | |||||||
|
| |||||||
Total Common Stock (cost $808,663,190) | 876,301,711 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (1.7%) | ||||||||
68,616,520 | Thrivent Cash Management Trust | 68,616,520 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $68,616,520) | 68,616,520 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (20.6%)m | |||||||
Federal Farm Credit Discount Notes | ||||||||
3,500,000 | 0.190%, 2/2/2016 | 3,499,409 | ||||||
Federal Home Loan Bank Discount Notes | ||||||||
46,000,000 | 0.100%, 1/4/2016 | 45,999,615 | ||||||
15,000,000 | 0.100%, 1/5/2016 | 14,999,833 | ||||||
54,000,000 | 0.103%, 1/6/2016 | 53,999,225 | ||||||
57,000,000 | 0.111%, 1/8/2016 | 56,998,766 | ||||||
20,000,000 | 0.105%, 1/11/2016 | 19,999,417 | ||||||
44,500,000 | 0.141%, 1/13/2016 | 44,497,902 | ||||||
48,000,000 | 0.110%, 1/15/2016 | 47,997,947 | ||||||
2,300,000 | 0.120%, 1/19/2016 | 2,299,862 | ||||||
43,300,000 | 0.123%, 1/20/2016 | 43,297,190 | ||||||
37,000,000 | 0.115%, 1/21/2016 | 36,997,636 | ||||||
22,080,000 | 0.119%, 1/22/2016 | 22,078,468 | ||||||
15,000,000 | 0.230%, 1/26/2016 | 14,997,604 | ||||||
7,000,000 | 0.271%, 1/27/2016 | 6,998,628 | ||||||
25,000,000 | 0.135%, 1/29/2016 | 24,997,375 | ||||||
38,000,000 | 0.239%, 2/3/2016 | 37,991,667 | ||||||
26,200,000 | 0.223%, 2/5/2016 | 26,194,313 | ||||||
12,563,000 | 0.220%, 2/10/2016 | 12,559,929 | ||||||
9,000,000 | 0.250%, 2/12/2016 | 8,997,375 | ||||||
10,000,000 | 0.368%, 2/17/2016 | 9,995,196 | ||||||
34,000,000 | 0.265%, 2/19/2016 | 33,987,730 | ||||||
20,000,000 | 0.265%, 2/22/2016 | 19,992,344 | ||||||
26,500,000 | 0.320%, 2/24/2016 | 26,487,265 | ||||||
21,000,000 | 0.300%, 2/25/2016 | 20,990,375 | ||||||
9,000,000 | 0.340%, 3/9/2016 | 8,994,220 | ||||||
1,000,000 | 0.420%, 3/10/2016 | 999,195 | ||||||
1,000,000 | 0.355%, 3/14/2016 | 999,280 | ||||||
30,000,000 | 0.363%, 3/16/2016 | 29,977,344 | ||||||
2,000,000 | 0.310%, 3/18/2016 | 1,998,674 | ||||||
3,000,000 | 0.370%, 3/21/2016 | 2,997,533 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
4,700,000 | 0.100%, 1/8/2016n | 4,699,908 | ||||||
900,000 | 0.100%, 1/13/2016n | 899,970 | ||||||
7,000,000 | 0.200%, 2/17/2016n | 6,998,172 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
11,900,000 | 0.070%, 1/8/2016n | 11,899,838 | ||||||
3,000,000 | 0.110%, 1/14/2016n | 2,999,881 | ||||||
6,100,000 | 0.230%, 1/25/2016n | 6,099,065 | ||||||
9,000,000 | 0.064%, 1/27/2016k,n | 8,999,584 | ||||||
Thrivent Cash Management Trust | ||||||||
118,807,605 | 0.220% | 118,807,605 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 844,225,340 | |||||||
|
| |||||||
Total Investments (cost $4,603,926,688) 114.3% | $ | 4,684,442,343 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (14.3%) | (584,334,503 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 4,100,107,840 | ||||||
|
|
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | All or a portion of the loan is unfunded. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Defaulted security. Interest is not being accrued. |
e | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $115,424,877 or 2.8% of total net assets. |
f | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
g | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
h | All or a portion of the security is on loan. |
i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
j | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
k | At December 31, 2015, $1,025,557 of investments were segregated to cover exposure to a counterparty for margin on open mortgage-backed security transactions. |
l | Non-income producing security. |
m | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
n | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Moderately Conservative Allocation Portfolio as of December 31, 2015 was $59,625,720 or 1.5% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
78
Table of Contents
MODERATELY CONSERVATIVE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Security | Acquisition Date | Cost | ||||||
Alm Loan Funding CLO, 10/17/2026 | 7/31/2014 | $ | 824,587 | |||||
Apidos CLO XVIII, 7/22/2026 | 6/25/2014 | 822,937 | ||||||
Ares CLO, Ltd., 11/15/2025 | 11/26/2014 | 1,500,000 | ||||||
Ares CLO, Ltd., 10/12/2023 | 5/15/2015 | 2,800,000 | ||||||
Babson CLO, Ltd., 10/17/2026 | 8/15/2014 | 824,588 | ||||||
Bayview Opportunity Master Fund Trust, 2/28/2035 | 2/27/2015 | 2,054,853 | ||||||
Betony CLO, Ltd., 4/15/2027 | 2/25/2015 | 750,000 | ||||||
Birchwood Park CLO, Ltd., 7/15/2026 | 7/31/2014 | 825,000 | ||||||
BlueMountain CLO, Ltd., 10/15/2026 | 8/27/2014 | 824,167 | ||||||
CAM Mortgage, LLC, 7/15/2064 | 6/24/2015 | 1,419,511 | ||||||
Carlyle Global Market Strategies CLO, Ltd., 7/20/2023 | 7/3/2014 | 825,000 | ||||||
Carlyle Global Market Strategies CLO, Ltd., 10/15/2026 | 9/19/2014 | 825,000 | ||||||
Cent CLO 16, LP, 8/1/2024 | 9/5/2014 | 825,000 | ||||||
Cent CLO 22, Ltd., 11/7/2026 | 9/19/2014 | 825,000 | ||||||
CoBank ACB, 6/15/2022 | 10/18/2013 | 381,832 | ||||||
DRB Prime Student Loan Trust, 1/25/2040 | 12/4/2015 | 975,205 | ||||||
DRB Prime Student Loan Trust, 7/25/2031 | 9/23/2015 | 937,059 | ||||||
Dryden 34 Senior Loan Fund CLO, 10/15/2026 | 7/21/2014 | 825,000 | ||||||
Edlinc Student Loan Funding Trust, 10/1/2025 | 2/28/2013 | 962,802 | ||||||
Galaxy XX CLO, Ltd., 7/20/2027 | 5/20/2015 | 2,650,000 | ||||||
GoldenTree Loan Opportunities IX, Ltd., 10/29/2026 | 10/3/2014 | 824,175 | ||||||
Golub Capital Partners CLO 22B, Ltd., 2/20/2027 | 2/6/2015 | 1,566,968 | ||||||
Golub Capital Partners CLO 23M, Ltd., 5/5/2027 | 5/18/2015 | 798,000 | ||||||
Limerock CLO III, LLC, 10/20/2026 | 10/16/2014 | 2,500,000 | ||||||
Madison Park Funding XIV CLO, Ltd., 7/20/2026 | 7/3/2014 | 898,920 | ||||||
Madison Park Funding, Ltd., 8/15/2022 | 5/8/2015 | 2,975,000 | ||||||
Magnetite XII, Ltd., 4/15/2027 | 2/6/2015 | 2,600,000 | ||||||
Mountain View CLO, Ltd., 7/15/2027 | 5/13/2015 | 2,618,201 | ||||||
Neuberger Berman CLO, Ltd., 8/4/2025 | 6/19/2014 | 700,000 | ||||||
NZCG Funding CLO, Ltd., 4/27/2027 | 3/27/2015 | 2,650,000 | ||||||
Octagon Investment Partners XX CLO, Ltd., 8/12/2026 | 7/10/2014 | 825,000 | ||||||
OHA Loan Funding, Ltd., 10/20/2026 | 11/6/2014 | 2,493,750 | ||||||
OZLM VIII, Ltd., 10/17/2026 | 8/7/2014 | 820,298 | ||||||
Pretium Mortgage Credit Partners, LLC, 10/27/2030 | 10/6/2015 | 1,855,603 | ||||||
Race Point IX CLO, Ltd., 4/15/2027 | 2/13/2015 | 1,925,000 | ||||||
Shackleton VII CLO, Ltd., 4/15/2027 | 3/27/2015 | 2,650,000 | ||||||
Sunset Mortgage Loan Company, LLC, 9/16/2045 | 10/2/2015 | 1,805,517 | ||||||
Symphony CLO XV, Ltd., 10/17/2026 | 10/17/2014 | 2,481,250 | ||||||
Symphony CLO VIII, Ltd., 1/9/2023 | 9/15/2014 | 807,157 | ||||||
Vericrest Opportunity Loan Transferee, 2/25/2055 | 2/25/2015 | 1,147,223 | ||||||
Vericrest Opportunity Loan Transferee, 10/25/2058 | 2/6/2015 | 1,666,129 | ||||||
Voya CLO 3, Ltd., 7/25/2026 | 7/10/2014 | 823,762 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Moderately Conservative Allocation Portfolio as of December 31, 2015:
Securities Lending Transactions
Taxable Debt Security | $ | 6,886,905 | ||
Common Stock | 60,192,669 | |||
|
| |||
Total lending | $ | 67,079,574 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 68,616,520 | ||
|
| |||
Net amounts due to counterparty | $ | 1,536,946 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
CLO | - | Collateralized Loan Obligation | ||
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
TIPS | - | Treasury Inflation Protected Security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
79
Table of Contents
GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (10.1%)a | Value | ||||||
| Basic Materials (0.6%) | |||||||
Alpha Natural Resources, Inc., Term Loan | ||||||||
$59,093 | 3.500%, 5/22/2020 | $ | 25,459 | |||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
118,108 | 4.250%, 6/30/2019 | 87,264 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
104,805 | 3.750%, 12/15/2020 | 100,351 | ||||||
NewPage Corporation, Term Loan | ||||||||
131,625 | 9.500%, 2/11/2021 | 46,974 | ||||||
Tronox Pigments BV, Term Loan | ||||||||
112,782 | 4.500%, 3/19/2020 | 99,531 | ||||||
Wausau Paper Corporation, Term Loan | ||||||||
73,698 | 6.500%, 7/30/2020 | 73,145 | ||||||
|
| |||||||
Total | 432,724 | |||||||
|
| |||||||
| Capital Goods (0.5%) | |||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
101,638 | 3.750%, 10/9/2019 | 98,208 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
77,267 | 3.500%, 2/8/2020 | 75,669 | ||||||
Rexnord, LLC, Term Loan | ||||||||
105,570 | 4.000%, 8/21/2020 | 102,073 | ||||||
Silver II Borrower, Term Loan | ||||||||
97,089 | 4.000%, 12/13/2019 | 81,895 | ||||||
|
| |||||||
Total | 357,845 | |||||||
|
| |||||||
| Communications Services (3.2%) | |||||||
Altice Financing SA, Term Loan | ||||||||
87,063 | 5.250%, 2/4/2022 | 86,600 | ||||||
Atlantic Broadband Penn, LLC, Term Loan | ||||||||
48,003 | 3.250%, 11/30/2019 | 47,508 | ||||||
Birch Communication Inc., Term Loan | ||||||||
106,563 | 7.750%, 7/17/2020 | 101,767 | ||||||
Cengage Learning Acquisitions, Term Loan | ||||||||
86,578 | 7.000%, 3/31/2020 | 84,198 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
25,606 | 3.000%, 7/1/2020 | 25,099 | ||||||
Cincinnati Bell, Inc., Term Loan | ||||||||
105,570 | 4.000%, 9/10/2020 | 101,655 | ||||||
CommScope, Inc., Term Loan | ||||||||
89,775 | 3.827%, 12/29/2022b,c | 89,046 | ||||||
CSC Holdings, LLC, Term Loan | ||||||||
37,500 | 5.000%, 10/9/2022 | 37,395 | ||||||
Fairpoint Communications, Term Loan | ||||||||
105,293 | 7.500%, 2/14/2019 | 104,398 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
105,303 | 4.500%, 5/29/2020 | 103,109 | ||||||
Gray Television, Inc., Term Loan | ||||||||
66,772 | 3.750%, 6/13/2021 | 65,813 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
48,866 | 5.250%, 6/26/2019 | 48,514 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
105,309 | 5.250%, 8/14/2020 | 101,624 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
77,173 | 3.750%, 6/30/2019 | 72,818 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
79,000 | 4.000%, 8/1/2019 | 78,802 | ||||||
Liberty Cablevision of Puerto Rico, LLC, Term Loan | ||||||||
145,000 | 4.500%, 1/7/2022 | 140,106 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
88,823 | 4.000%, 4/13/2020 | 86,292 | ||||||
MCC Georgia, LLC, Term Loan | ||||||||
78,800 | 3.750%, 6/30/2021 | 77,791 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
90,123 | 4.750%, 3/22/2019 | 87,945 | ||||||
NEP/NCP Holdco, Inc., Term Loan | ||||||||
105,581 | 4.250%, 1/22/2020 | 98,454 | ||||||
NTelos, Inc., Term Loan | ||||||||
105,280 | 5.750%, 11/9/2019 | 104,227 | ||||||
Numericable US, LLC, Term Loan | ||||||||
75,000 | 4.563%, 7/29/2022b,c | 71,543 | ||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||
98,500 | 3.250%, 3/24/2021 | 96,284 | ||||||
TNS, Inc., Term Loan | ||||||||
50,623 | 5.000%, 2/14/2020 | 49,737 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
105,259 | 4.000%, 3/1/2020 | 102,838 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
54,539 | 3.500%, 6/30/2023 | 53,338 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
92,146 | 4.500%, 4/1/2019 | 88,662 | ||||||
XO Communications, LLC, Term Loan | ||||||||
98,275 | 4.250%, 3/20/2021 | 95,769 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
100,566 | 4.250%, 3/1/2020 | 98,963 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
92,135 | 3.750%, 5/6/2021 | 90,473 | ||||||
|
| |||||||
Total | 2,490,768 | |||||||
|
| |||||||
| Consumer Cyclical (1.8%) | |||||||
Amaya BV, Term Loan | ||||||||
86,410 | 5.000%, 8/1/2021 | 80,793 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
86,035 | 4.250%, 8/13/2021 | 84,853 | ||||||
Ceridian HCM Holding, Inc., Term Loan | ||||||||
51,784 | 4.500%, 9/15/2020 | 43,822 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
52,650 | 3.000%, 1/3/2021 | 51,531 | ||||||
Dollar Tree, Inc., Term Loan | ||||||||
62,344 | 3.500%, 7/6/2022 | 62,071 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
80
Table of Contents
GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (10.1%)a | Value | ||||||
| Consumer Cyclical (1.8%) - continued | |||||||
FCA US, LLC, Term Loan | ||||||||
$88,425 | 3.250%, 12/31/2018 | $ | 87,497 | |||||
Golden Nugget, Inc., Delayed Draw | ||||||||
18,048 | 5.500%, 11/21/2019 | 17,868 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
42,112 | 5.500%, 11/21/2019 | 41,691 | ||||||
Hilton Worldwide Finance, LLC, Term Loan | ||||||||
70,828 | 3.500%, 10/26/2020 | 70,629 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
113,461 | 5.250%, 5/6/2021 | 111,298 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
105,300 | 6.000%, 5/22/2018 | 103,273 | ||||||
Las Vegas Sands, LLC, Term Loan | ||||||||
78,400 | 3.250%, 12/19/2020 | 77,518 | ||||||
Marina District Finance Company, Inc., Term Loan | ||||||||
57,055 | 6.500%, 8/15/2018 | 56,913 | ||||||
MGM Resorts International, Term Loan | ||||||||
69,026 | 3.500%, 12/20/2019 | 67,990 | ||||||
Michaels Stores, Inc., Term Loan | ||||||||
72,993 | 4.000%, 1/28/2020 | 72,415 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
115,604 | 5.500%, 6/15/2018 | 112,838 | ||||||
Pinnacle Entertainment, Inc., Term Loan | ||||||||
17,416 | 3.750%, 8/13/2020 | 17,345 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
105,840 | 6.000%, 10/18/2020 | 96,579 | ||||||
Seminole Hard Rock Entertainment, Inc., Term Loan | ||||||||
49,242 | 3.500%, 5/14/2020 | 48,134 | ||||||
Seminole Indian Tribe of Florida, Term Loan | ||||||||
78,145 | 3.000%, 4/29/2020 | 77,559 | ||||||
|
| |||||||
Total | 1,382,617 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.4%) | |||||||
Albertson’s, Inc., Term Loan | ||||||||
155,764 | 5.500%, 3/21/2019 | 155,103 | ||||||
Albertson’s, LLC, Term Loan | ||||||||
25,000 | 0.000%, 12/22/2022b,c | 24,825 | ||||||
Catalina Marketing Corporation, Term Loan | ||||||||
88,650 | 4.500%, 4/9/2021 | 70,477 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
14,476 | 3.657%, 12/31/2018 | 14,253 | ||||||
48,183 | 3.750%, 1/27/2021 | 46,888 | ||||||
88,656 | 4.000%, 1/27/2021 | 87,136 | ||||||
Endo Luxembourg Finance I Co Sarl, Term Loan | ||||||||
100,000 | 3.750%, 9/26/2022 | 98,542 | ||||||
JBS USA, LLC, Term Loan | ||||||||
71,201 | 3.750%, 5/25/2018 | 70,756 | ||||||
9,849 | 3.750%, 9/18/2020 | 9,652 | ||||||
25,000 | 4.000%, 10/30/2022 | 24,906 | ||||||
Libbey Glass, Inc., Term Loan | ||||||||
73,875 | 3.750%, 4/9/2021 | 72,490 | ||||||
LTF Merger Sub, Inc., Term Loan | ||||||||
74,625 | 4.250%, 6/10/2022 | 72,620 | ||||||
Ortho-Clinical Diagnostics, Inc., Term Loan | ||||||||
133,099 | 4.750%, 6/30/2021 | 112,302 | ||||||
Supervalu, Inc., Term Loan | ||||||||
164,781 | 4.500%, 3/21/2019 | 162,343 | ||||||
Valeant Pharmaceuticals International, Inc., Term Loan | ||||||||
113,713 | 4.000%, 4/1/2022b,c | 109,136 | ||||||
|
| |||||||
Total | 1,131,429 | |||||||
|
| |||||||
| Energy (0.5%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
154,142 | 6.250%, 5/16/2018 | 67,865 | ||||||
Aria Energy Operating, LLC, Term Loan | ||||||||
34,805 | 5.000%, 5/27/2022 | 32,195 | ||||||
Energy Solutions, LLC, Term Loan | ||||||||
103,164 | 6.750%, 5/29/2020 | 77,373 | ||||||
Exgen Renewables I, LLC, Term Loan | ||||||||
51,609 | 5.250%, 2/6/2021 | 51,609 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
76,231 | 4.750%, 11/8/2019 | 69,751 | ||||||
MEG Energy Corporation, Term Loan | ||||||||
74,227 | 3.750%, 3/31/2020 | 65,097 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
98,510 | 0.000%, 3/28/2019d | 19,784 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
78,975 | 4.500%, 6/3/2018 | 33,762 | ||||||
|
| |||||||
Total | 417,436 | |||||||
|
| |||||||
| Financials (0.6%) | |||||||
Delos Finance Sarl, Term Loan | ||||||||
100,000 | 3.500%, 3/6/2021 | 99,482 | ||||||
DJO Finance, LLC, Term Loan | ||||||||
39,900 | 4.250%, 6/7/2020 | 38,716 | ||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
101,250 | 7.000%, 5/22/2018 | 97,790 | ||||||
MPH Acquisition Holdings, LLC, Term Loan | ||||||||
40,421 | 3.750%, 3/31/2021 | 39,276 | ||||||
TransUnion, LLC, Term Loan | ||||||||
88,425 | 3.500%, 4/9/2021 | 85,735 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
85,499 | 4.000%, 10/15/2019 | 84,003 | ||||||
|
| |||||||
Total | 445,002 | |||||||
|
| |||||||
| Technology (0.7%) | |||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||
175,000 | 0.000%, 11/13/2022b,c | 172,923 | ||||||
Avago Technologies, Ltd., Term Loan | ||||||||
128,403 | 3.750%, 5/6/2021 | 127,975 | ||||||
BMC Software, Inc., Term Loan | ||||||||
102,090 | 5.000%, 9/10/2020 | 83,786 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
81
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GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (10.1%)a | Value | ||||||
| Technology (0.7%) - continued | |||||||
First Data Corporation, Term Loan | ||||||||
$ | 108,000 | 3.918%, 3/23/2018 | $ | 106,455 | ||||
50,000 | 3.918%, 9/24/2018 | 49,250 | ||||||
Merrill Communications, LLC, Term Loan | ||||||||
249 | 6.250%, 6/1/2022 | 212 | ||||||
SS&C European Holdings SARL, Term Loan | ||||||||
42,421 | 4.007%, 7/8/2022 | 42,050 | ||||||
6,243 | 4.018%, 7/8/2022 | 6,188 | ||||||
|
| |||||||
Total | 588,839 | |||||||
|
| |||||||
| Transportation (0.5%) | |||||||
American Airlines, Inc., Term Loan | ||||||||
106,110 | 3.250%, 6/27/2020 | 104,336 | ||||||
Delta Airlines, Inc., Term Loan | ||||||||
99,750 | 3.250%, 8/24/2022 | 99,447 | ||||||
OSG Bulk Ships, Inc., Term Loan | ||||||||
103,425 | 5.250%, 8/5/2019 | 99,029 | ||||||
XPO Logistics, Inc., Term Loan | ||||||||
112,500 | 5.500%, 11/1/2021 | 111,890 | ||||||
|
| |||||||
Total | 414,702 | |||||||
|
| |||||||
| Utilities (0.3%) | |||||||
Calpine Corporation, Term Loan | ||||||||
94,468 | 4.000%, 10/31/2020 | 91,870 | ||||||
84,351 | 3.500%, 5/27/2022 | 80,260 | ||||||
Intergen NV, Term Loan | ||||||||
105,300 | 5.500%, 6/15/2020 | 94,902 | ||||||
|
| |||||||
Total | 267,032 | |||||||
|
| |||||||
Total Bank Loans (cost $8,554,781) | 7,928,394 | |||||||
|
| |||||||
Shares | Common Stock (61.7%) | |||||||
| Consumer Discretionary (9.8%) | |||||||
1,400 | Aisan Industry Company, Ltd. | 14,376 | ||||||
500 | Aisin Seiki Company, Ltd. | 21,519 | ||||||
1,150 | Amazon.com, Inc.e | 777,273 | ||||||
880 | AutoZone, Inc.e | 652,881 | ||||||
200 | Bayerische Motoren Werke AG | 16,733 | ||||||
2,200 | Berkeley Group Holdings plc | 119,600 | ||||||
4,830 | Best Buy Company, Inc. | 147,073 | ||||||
3,440 | BorgWarner, Inc. | 148,711 | ||||||
500 | Brembo SPA | 24,157 | ||||||
1,200 | Bridgestone Corporation | 41,162 | ||||||
2,300 | Burlington Stores, Inc.e | 98,670 | ||||||
3,000 | Calsonic Kansei Corporation | 26,448 | ||||||
3,045 | Cedar Fair, LP | 170,033 | ||||||
1,500 | Cineworld Group plc | 12,436 | ||||||
14,216 | Comcast Corporation | 802,209 | ||||||
900 | Compass Group plc | 15,595 | ||||||
400 | Daimler AG | 33,422 | ||||||
10,000 | Debenhams plc | 10,782 | ||||||
1,900 | Denso Corporation | 90,792 | ||||||
11,100 | Discovery Communications, Inc., Class Ae | 296,148 | ||||||
7,900 | EDION Corporation | 59,650 | ||||||
1,000 | Electrolux AB | 24,127 | ||||||
1,300 | Eutelsat Communications | 38,923 | ||||||
4,990 | Ford Motor Company | 70,309 | ||||||
1,690 | General Motors Company | 57,477 | ||||||
2,900 | GKN plc | 13,160 | ||||||
6,000 | Gunze, Ltd. | 17,574 | ||||||
3,200 | Hakuhodo Dy Holdings, Inc. | 34,623 | ||||||
1,470 | Harman International Industries, Inc. | 138,489 | ||||||
200 | Hugo Boss AG | 16,502 | ||||||
5,800 | Inchcape plc | 66,919 | ||||||
2,600 | Informa plc | 23,498 | ||||||
900 | Intertek Group plc | 36,816 | ||||||
1,500 | Isuzu Motors, Ltd. | 16,159 | ||||||
19,300 | ITV plc | 78,578 | ||||||
5,100 | Jarden Corporatione | 291,312 | ||||||
9,500 | Lookers plc | 25,884 | ||||||
7,993 | MDC Partners, Inc. | 173,608 | ||||||
400 | Mitsuba Corporation | 6,184 | ||||||
10,080 | NIKE, Inc. | 630,000 | ||||||
2,800 | NOK Corporation | 65,410 | ||||||
100 | Paddy Power plc | 13,356 | ||||||
2,000 | PanaHome Corporation | 15,110 | ||||||
1,930 | Papa John’s International, Inc. | 107,829 | ||||||
5,900 | Persimmon plc | 176,018 | ||||||
210 | Priceline Group, Inc.e | 267,739 | ||||||
500 | ProSiebenSat.1 Media AG | 25,226 | ||||||
100 | Renault SA | 10,010 | ||||||
1,552 | Restoration Hardware Holdings, Inc.e | 123,306 | ||||||
397 | Schibsted ASA | 13,052 | ||||||
1,400 | Sekisui House, Ltd. | 23,539 | ||||||
1,500 | SHOWA Corporation | 13,918 | ||||||
2,100 | Sports Direct International plce | 17,846 | ||||||
600 | Stanley Electric Company, Ltd. | 13,163 | ||||||
3,900 | Star Entertainment Group, Ltd. | 14,311 | ||||||
7,310 | Starbucks Corporation | 438,819 | ||||||
4,700 | Sumitomo Forestry Company, Ltd. | 63,418 | ||||||
2,700 | Sumitomo Rubber Industries, Ltd. | 35,109 | ||||||
2,000 | Takashimaya Company, Ltd. | 18,011 | ||||||
500 | Tamron Company, Ltd. | 9,225 | ||||||
3,770 | Target Corporation | 273,740 | ||||||
4,700 | Tatts Group, Ltd. | 14,922 | ||||||
22,500 | Taylor Wimpey plc | 67,261 | ||||||
4,190 | Toll Brothers, Inc.e | 139,527 | ||||||
5,400 | UBM plc | 41,852 | ||||||
400 | Valora Holding AG | 83,218 | ||||||
2,000 | Wacoal Holdings Corporation | 23,917 | ||||||
3,800 | WH Smith plc | 98,739 | ||||||
2,600 | Wolters Kluwer NV | 87,318 | ||||||
3,400 | WPP plc | 78,207 | ||||||
700 | Yokohama Rubber Company, Ltd. | 10,750 | ||||||
|
| |||||||
Total | 7,723,678 | |||||||
|
| |||||||
| Consumer Staples (3.6%) | |||||||
800 | AarhusKarlshamn AB | 59,263 | ||||||
3,769 | Anheuser-Busch InBev NV ADR | 471,125 | ||||||
2,100 | Axfood AB | 36,372 | ||||||
500 | Bakkafrost PF | 14,730 | ||||||
200 | British American Tobacco plc | 11,107 | ||||||
1,900 | Britvic plc | 20,357 | ||||||
600 | Carrefour SA | 17,316 | ||||||
10,330 | Coca-Cola Company | 443,777 | ||||||
3,900 | Coca-Cola HBC AGe | 83,054 | ||||||
800 | Henkel AG & Company KGaA | 76,523 | ||||||
7,100 | Imperial Tobacco Group plc | 375,008 | ||||||
4,700 | Japan Tobacco, Inc. | 172,555 | ||||||
1,700 | Jeronimo Martins SGPS SA | 22,121 | ||||||
1,800 | Kao Corporation | 92,500 | ||||||
100 | Kerry Group plc | 8,274 | ||||||
11,900 | Koninklijke Ahold NV | 251,013 | ||||||
300 | KOSE Corporation | 27,738 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
82
Table of Contents
GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (61.7%) | Value | ||||||
| Consumer Staples (3.6%) - continued | |||||||
1,600 | Marks and Spencer Group plc | $ | 10,653 | |||||
2,500 | Nestle SA | 185,588 | ||||||
1,000 | Nippon Meat Packers, Inc. | 19,600 | ||||||
2,900 | Nisshin Oillio Group, Ltd. | 11,814 | ||||||
2,350 | Philip Morris International, Inc. | 206,589 | ||||||
400 | Royal Unibrew AS | 16,257 | ||||||
1,000 | Suedzucker AG | 19,820 | ||||||
500 | Sugi Holdings Company, Ltd. | 27,586 | ||||||
200 | Sundrug Company, Ltd. | 12,859 | ||||||
600 | Svenska Cellulosa AB SCA | 17,388 | ||||||
2,800 | Swedish Match AB | 98,945 | ||||||
|
| |||||||
Total | 2,809,932 | |||||||
|
| |||||||
| Energy (3.9%) | |||||||
400 | Azrieli Group, Ltd. | 14,901 | ||||||
29,000 | BP plc | 150,705 | ||||||
580 | Cimarex Energy Company | 51,840 | ||||||
6,450 | EOG Resources, Inc. | 456,595 | ||||||
5,620 | EQT Corporation | 292,971 | ||||||
18,000 | Kinder Morgan, Inc. | 268,560 | ||||||
1,000 | OMV AG | 28,385 | ||||||
9,850 | Parsley Energy, Inc.e | 181,732 | ||||||
600 | Royal Dutch Shell plc | 13,684 | ||||||
6,700 | Royal Dutch Shell plc ADR, Class A | 306,793 | ||||||
1,548 | Royal Dutch Shell plc, Class B | 35,281 | ||||||
12,900 | Spectra Energy Corporation | 308,826 | ||||||
4,900 | Statoil ASA | 68,339 | ||||||
5,000 | TonenGeneral Sekiyu KK | 42,210 | ||||||
7,710 | Total SA ADR | 346,565 | ||||||
61,440 | Weatherford International, Ltd.e | 515,482 | ||||||
|
| |||||||
Total | 3,082,869 | |||||||
|
| |||||||
| Financials (17.4%) | |||||||
19,600 | Aberdeen Asset Management plc | 83,520 | ||||||
500 | Acadia Realty Trust | 16,575 | ||||||
700 | AEON Financial Service Company, Ltd. | 15,637 | ||||||
1,010 | Affiliated Managers Group, Inc.e | 161,358 | ||||||
700 | Agree Realty Corporation | 23,793 | ||||||
3,241 | Alexandria Real Estate Equities, Inc. | 292,857 | ||||||
3,000 | Allianz SE | 528,837 | ||||||
1,300 | American Capital Agency Corporation | 22,542 | ||||||
574 | American Farmland Company | 4,041 | ||||||
1,642 | American Realty Capital Properties, Inc. | 13,005 | ||||||
2,500 | Annaly Capital Management, Inc. | 23,450 | ||||||
1,500 | Apartment Investment & Management Company | 60,045 | ||||||
8,600 | Apollo Investment Corporation | 44,892 | ||||||
3,950 | Ares Capital Corporation | 56,288 | ||||||
8,200 | Australia & New Zealand Banking Group, Ltd. | 165,474 | ||||||
1,100 | AvalonBay Communities, Inc. | 202,543 | ||||||
30,900 | Banco Santander SA | 152,009 | ||||||
13,900 | Bank Hapoalim, Ltd. | 71,752 | ||||||
3,612 | Bank of Queensland, Ltd. | 36,436 | ||||||
24,000 | Bank of Yokohama, Ltd. | 147,110 | ||||||
8,300 | BinckBank NV | 71,533 | ||||||
2,100 | BioMed Realty Trust, Inc. | 49,749 | ||||||
400 | Bluerock Residential Growth REIT, Inc. | 4,740 | ||||||
300 | Bolsas y Mercados Espanoles SA | 10,110 | ||||||
2,165 | Boston Properties, Inc. | 276,124 | ||||||
2,600 | British Land Company plc | 30,084 | ||||||
8,684 | Brixmor Property Group, Inc. | 224,221 | ||||||
3,390 | Camden Property Trust | 260,216 | ||||||
3,807 | Capital Shopping Centres Group plc | 17,786 | ||||||
11,200 | CapitaMall Trust | 15,197 | ||||||
650 | Care Capital Properties, Inc. | 19,871 | ||||||
19,930 | Charles Schwab Corporation | 656,295 | ||||||
356 | Chesapeake Lodging Trust | 8,957 | ||||||
3,000 | Chiba Bank, Ltd. | 21,289 | ||||||
10,860 | Citigroup, Inc. | 562,005 | ||||||
3,600 | CNP Assurances | 48,562 | ||||||
250 | CoreSite Realty Corporation | 14,180 | ||||||
2,300 | CubeSmart | 70,426 | ||||||
400 | CyrusOne, Inc. | 14,980 | ||||||
1,300 | Daiwa House Industry Company, Ltd. | 37,370 | ||||||
11,020 | DDR Corporation | 185,577 | ||||||
200 | Derwent London plc | 10,818 | ||||||
16,600 | DEXUS Property Group | 90,041 | ||||||
950 | Digital Realty Trust, Inc. | 71,839 | ||||||
7,908 | Direct Line Insurance Group plc | 47,402 | ||||||
5,600 | Duke Realty Corporation | 117,712 | ||||||
300 | DuPont Fabros Technology, Inc. | 9,537 | ||||||
5,230 | Encore Capital Group, Inc.e | 152,088 | ||||||
700 | EPR Properties | 40,915 | ||||||
510 | Equinix, Inc. | 154,224 | ||||||
1,000 | Equity Lifestyle Properties, Inc. | 66,670 | ||||||
300 | Equity One, Inc. | 8,145 | ||||||
3,460 | Equity Residential | 282,301 | ||||||
550 | Essex Property Trust, Inc. | 131,675 | ||||||
450 | Extra Space Storage, Inc. | 39,694 | ||||||
200 | Federal Realty Investment Trust | 29,220 | ||||||
8,600 | FlexiGroup, Ltd. | 18,769 | ||||||
10,200 | Frasers Centrepoint Trust | 13,257 | ||||||
24,000 | Fukuoka Financial Group, Inc. | 119,007 | ||||||
4,539 | General Growth Properties, Inc. | 123,506 | ||||||
500 | GEO Group, Inc. | 14,455 | ||||||
1,400 | Hamborner REIT AG | 14,627 | ||||||
1,900 | Hammerson plc | 16,797 | ||||||
3,000 | Hang Seng Bank, Ltd. | 56,860 | ||||||
1,400 | Hannover Rueckversicherung SE | 159,866 | ||||||
2,700 | HCP, Inc. | 103,248 | ||||||
2,257 | Health Care REIT, Inc. | 153,544 | ||||||
2,200 | Healthcare Trust of America, Inc. | 59,334 | ||||||
6,100 | Henderson Group plc | 27,725 | ||||||
2,500 | Henderson Land Development Company, Ltd. | 15,250 | ||||||
1,300 | Highwoods Properties, Inc. | 56,680 | ||||||
6,000 | Hokuhoku Financial Group, Inc. | 12,231 | ||||||
1,000 | Hospitality Properties Trust | 26,150 | ||||||
9,591 | Host Hotels & Resorts, Inc. | 147,126 | ||||||
400 | Hudson Pacific Properties, Inc. | 11,256 | ||||||
3,100 | Hufvudstaden AB | 43,823 | ||||||
24,000 | Hysan Development Company, Ltd. | 98,056 | ||||||
900 | IG Group Holdings plc | 10,640 | ||||||
4,400 | ING Groep NV | 59,532 | ||||||
1,710 | Intercontinental Exchange, Inc. | 438,205 | ||||||
10,585 | Intermediate Capital Group plc | 97,579 | ||||||
1,650 | Invesco Mortgage Capital, Inc. | 20,444 | ||||||
7,000 | Investa Office Fund | 20,263 | ||||||
14,900 | Investec plc | 105,061 | ||||||
600 | Iron Mountain, Inc. | 16,206 | ||||||
600 | Kilroy Realty Corporation | 37,968 | ||||||
4,400 | Kimco Realty Corporation | 116,424 | ||||||
267 | Lamar Advertising Company | 16,015 | ||||||
700 | LaSalle Hotel Properties | 17,612 | ||||||
300 | Liberty Property Trust | 9,315 | ||||||
17,000 | Link REIT | 101,352 | ||||||
1,175 | Macerich Company | 94,811 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
83
Table of Contents
GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (61.7%) | Value | ||||||
| Financials (17.4%) - continued | |||||||
200 | Macquarie Group, Ltd. | $ | 11,965 | |||||
2,200 | Medical Properties Trust, Inc. | 25,322 | ||||||
8,130 | MetLife, Inc. | 391,947 | ||||||
800 | Mid-America Apartment Communities, Inc. | 72,648 | ||||||
21,200 | Mitsubishi UFJ Financial Group, Inc. | 131,318 | ||||||
200 | Muenchener Rueckversicherungs- Gesellschaft AG | 39,848 | ||||||
500 | National Health Investors, Inc. | 30,435 | ||||||
1,800 | National Retail Properties, Inc. | 72,090 | ||||||
52,000 | New World Development Company, Ltd. | 51,061 | ||||||
850 | NorthStar Realty Finance Corporation | 14,475 | ||||||
4,000 | Ogaki Kyoritsu Bank, Ltd. | 16,127 | ||||||
4,200 | Old Mutual plc | 11,049 | ||||||
1,000 | Omega Healthcare Investors, Inc. | 34,980 | ||||||
500 | Outfront Media, Inc. | 10,915 | ||||||
4,186 | PacWest Bancorp | 180,417 | ||||||
1,200 | Parkway Properties, Inc. | 18,756 | ||||||
1,650 | Physicians Realty Trust | 27,819 | ||||||
4,000 | Poundland Group plc | 12,248 | ||||||
6,740 | Prologis, Inc. | 289,281 | ||||||
1,368 | Public Storage, Inc. | 338,854 | ||||||
2,310 | Raymond James Financial, Inc. | 133,911 | ||||||
1,000 | Realty Income Corporation | 51,630 | ||||||
700 | Regency Centers Corporation | 47,684 | ||||||
2,800 | Renasant Corporation | 96,348 | ||||||
2,800 | Resona Holdings, Inc. | 13,597 | ||||||
400 | Retail Opportunity Investments Corporation | 7,160 | ||||||
1,997 | RLJ Lodging Trust | 43,195 | ||||||
300 | Sampo Oyj | 15,235 | ||||||
2,000 | Schroders plc | 87,598 | ||||||
168 | Silver Bay Realty Trust Corporation REIT | 2,631 | ||||||
2,740 | Simon Property Group, Inc. | 532,766 | ||||||
500 | SL Green Realty Corporation | 56,490 | ||||||
3,375 | Solar Capital, Ltd. | 55,451 | ||||||
400 | Sompo Japan Nipponkoa Holdings, Inc. | 13,134 | ||||||
367 | Sovran Self Storage, Inc. | 39,383 | ||||||
5,400 | Spirit Realty Captial, Inc. | 54,108 | ||||||
40,500 | Stockland | 120,223 | ||||||
596 | Store Capital Corporation | 13,827 | ||||||
16,000 | Sumitomo Mitsui Trust Holdings, Inc. | 60,597 | ||||||
1,500 | Summit Hotel Properties, Inc. | 17,925 | ||||||
150 | Sun Communities, Inc. | 10,279 | ||||||
700 | Sunstone Hotel Investors, Inc. | 8,743 | ||||||
3,200 | Swiss Re AG | 312,532 | ||||||
14,390 | Synchrony Financiale | 437,600 | ||||||
500 | Talanx AG | 15,377 | ||||||
1,033 | Tanger Factory Outlet Centers, Inc. | 33,779 | ||||||
300 | Taubman Centers, Inc. | 23,016 | ||||||
300 | Tokio Marine Holdings, Inc. | 11,587 | ||||||
6,200 | UBS Group AG | 120,277 | ||||||
2,400 | UDR, Inc. | 90,168 | ||||||
9,000 | United Overseas Bank, Ltd. | 124,081 | ||||||
1,410 | Urban Edge Properties | 33,065 | ||||||
2,600 | Ventas, Inc. | 146,718 | ||||||
2,610 | Vornado Realty Trust | 260,896 | ||||||
1,800 | Wallenstam AB | 14,468 | ||||||
17,800 | Wing Tai Holdings, Ltd. | 21,988 | ||||||
600 | WP Carey, Inc. | 35,400 | ||||||
4,650 | XL Group plc | 182,187 | ||||||
6,100 | Zions Bancorporation | 166,530 | ||||||
|
| |||||||
Total | 13,719,850 | |||||||
|
| |||||||
| Health Care (6.7%) | |||||||
14,170 | Abbott Laboratories | 636,375 | ||||||
200 | Actelion, Ltd. | 27,789 | ||||||
3,810 | Akorn, Inc.e | 142,151 | ||||||
1,790 | Allergan plce | 559,375 | ||||||
2,210 | Amgen, Inc. | 358,749 | ||||||
1,500 | Astellas Pharmaceutical, Inc. | 21,354 | ||||||
100 | Bayer AG | 12,489 | ||||||
400 | CSL, Ltd. | 30,496 | ||||||
2,200 | Essilor International SA | 274,201 | ||||||
200 | Fresenius Medical Care AG & Company KGaA | 16,807 | ||||||
200 | Gerresheimer AG | 15,628 | ||||||
2,500 | Hikma Pharmaceuticals plc | 84,749 | ||||||
4,700 | Hologic, Inc.e | 181,843 | ||||||
1,697 | ICON plce | 131,857 | ||||||
810 | Illumina, Inc.e | 155,475 | ||||||
900 | Kaken Pharmaceutical Company, Ltd. | 61,500 | ||||||
300 | Lonza Group AG | 48,790 | ||||||
9,300 | Medtronic, Inc. | 715,356 | ||||||
13,550 | Merck & Company, Inc. | 715,711 | ||||||
4,000 | Mylan NVe | 216,280 | ||||||
2,200 | Novartis AG | 189,242 | ||||||
2,500 | Novo Nordisk AS | 144,746 | ||||||
400 | Paramount Bed Holdings Company, Ltd. | 14,193 | ||||||
6,532 | Pfizer, Inc. | 210,853 | ||||||
500 | Recordati SPA | 13,045 | ||||||
1,500 | Sanofi | 127,833 | ||||||
700 | Suzuken Company, Ltd. | 26,602 | ||||||
1,290 | Waters Corporatione | 173,608 | ||||||
|
| |||||||
Total | 5,307,097 | |||||||
|
| |||||||
| Industrials (6.6%) | |||||||
800 | Aalberts Industries NV | 27,565 | ||||||
900 | Adecco SA | 61,598 | ||||||
4,900 | ADT Corporation | 161,602 | ||||||
1,300 | Aida Engineering, Ltd. | 13,399 | ||||||
17,000 | Air New Zealand, Ltd. | 34,287 | ||||||
900 | Airbus Group NV | 60,649 | ||||||
1,500 | Amada Holdings Company, Ltd. | 14,314 | ||||||
400 | Andritz AG | 19,467 | ||||||
8,000 | Asahi Glass Company, Ltd. | 45,831 | ||||||
500 | Atlas Copco Aktiebolag | 12,262 | ||||||
9,500 | BAE Systems plc | 69,944 | ||||||
6,220 | Boeing Company | 899,350 | ||||||
4,700 | Bollore SA | 21,900 | ||||||
4,300 | Central Glass Company, Ltd. | 19,722 | ||||||
700 | Central Japan Railway Company | 124,274 | ||||||
800 | Compagnie de Saint-Gobain | 34,668 | ||||||
500 | Croda International plc | 22,403 | ||||||
3,100 | CTT-Correios de Portugal SA | 29,794 | ||||||
2,000 | Dai Nippon Printing Company, Ltd. | 19,777 | ||||||
1,922 | Dart Group plc | 16,675 | ||||||
1,400 | Deutsche Post AG | 39,141 | ||||||
700 | DSV AS | 27,555 | ||||||
100 | East Japan Railway Company | 9,417 | ||||||
300 | Elbit Systems, Ltd. | 26,411 | ||||||
3,220 | EMCOR Group, Inc. | 154,689 | ||||||
2,100 | Ferrovial SA | 47,488 | ||||||
1,338 | Galliford Try plc | 30,065 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
84
Table of Contents
GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (61.7%) | Value | ||||||
| Industrials (6.6%) - continued | |||||||
300 | GEA Group AG | $ | 12,120 | |||||
2,000 | Hankyu Hanshin Holdings, Inc. | 13,000 | ||||||
3,220 | HNI Corporation | 116,113 | ||||||
200 | Hochtief AG | 18,550 | ||||||
200 | Hoshizaki Electric Company, Ltd. | 12,433 | ||||||
800 | IBIDEN Company, Ltd. | 11,469 | ||||||
9,444 | Illinois Tool Works, Inc. | 875,270 | ||||||
1,000 | Inaba Denki Sangyo Company, Ltd. | 31,951 | ||||||
8,040 | Ingersoll-Rand plc | 444,532 | ||||||
3,300 | Intrum Justitia AB | 112,291 | ||||||
12,100 | ITOCHU Corporation | 143,124 | ||||||
600 | Jardine Matheson Holdings, Ltd. | 29,057 | ||||||
200 | Jungheinrich AG | 16,495 | ||||||
1,000 | Keisei Electric Railway Company, Ltd. | 12,758 | ||||||
4,500 | KITZ Corporation | 20,213 | ||||||
3,000 | KONE Oyj | 127,024 | ||||||
1,000 | Koninklijke Boskalis Westminster NV | 40,792 | ||||||
4,700 | Macquarie Infrastructure Corporation | 341,220 | ||||||
5,730 | Masco Corporation | 162,159 | ||||||
6,407 | Meggitt plc | 35,375 | ||||||
300 | MEITEC Corporation | 10,273 | ||||||
1,800 | MIRAIT Holdings Corporation | 14,830 | ||||||
2,000 | Mitsuboshi Belting, Ltd. | 15,944 | ||||||
1,900 | Nikkon Holdings Company, Ltd. | 37,870 | ||||||
3,000 | Nippon Express Company, Ltd. | 14,098 | ||||||
3,100 | Nitto Kogyo Corporation | 54,200 | ||||||
1,000 | Obayashi Corporation | 9,227 | ||||||
200 | Randstad Holding NV | 12,454 | ||||||
6,000 | Rentokil Initial plc | 14,078 | ||||||
200 | Rieter Holding AG | 37,591 | ||||||
593 | Saft Groupe SA | 18,074 | ||||||
6,400 | SIG plc | 13,524 | ||||||
1,000 | Teleperformance SA | 84,088 | ||||||
300 | Thales SA | 22,455 | ||||||
400 | TKH Group NV | 16,243 | ||||||
3,000 | Toppan Printing Company, Ltd. | 27,639 | ||||||
400 | Travis Perkins plc | 11,604 | ||||||
1,100 | Tsubakimoto Chain Company | 8,470 | ||||||
200 | Vestas Wind Systems AS | 13,968 | ||||||
1,400 | WABCO Holdings, Inc.e | 143,164 | ||||||
500 | Yuasa Trading Company, Ltd. | 12,352 | ||||||
|
| |||||||
Total | 5,212,339 | |||||||
|
| |||||||
| Information Technology (9.1%) | |||||||
5,160 | Alibaba Group Holding, Ltd. ADRe | 419,353 | ||||||
570 | Alphabet, Inc., Class Ae | 443,466 | ||||||
561 | Alphabet, Inc., Class Ce | 425,732 | ||||||
1,200 | Alps Electric Company, Ltd. | 32,542 | ||||||
400 | AMS AG | 13,371 | ||||||
5,130 | Apple, Inc. | 539,984 | ||||||
160 | AtoS | 13,432 | ||||||
2,630 | Autodesk, Inc.e | 160,246 | ||||||
1,700 | Canon, Inc. | 51,425 | ||||||
300 | Cap Gemini SA | 27,836 | ||||||
2,450 | Check Point Software Technologies, Ltd.e | 199,381 | ||||||
16,720 | Cisco Systems, Inc. | 454,032 | ||||||
1,500 | Dialog Semiconductor plce | 50,053 | ||||||
600 | DTS Corporation | 13,658 | ||||||
15,579 | EMC Corporation | 400,069 | ||||||
1,940 | Facebook, Inc.e | 203,040 | ||||||
6,100 | FUJIFILM Holdings NPV | 254,568 | ||||||
2,000 | Hitachi Kokusai Electric, Inc. | 27,189 | ||||||
900 | Hoya Corporation | 36,803 | ||||||
500 | Ingenico Group | 63,111 | ||||||
1,800 | IRESS, Ltd. | 13,032 | ||||||
800 | IT Holdings Corporation | 18,279 | ||||||
800 | ITOCHU Techno-Solutions Corporation | 15,940 | ||||||
5,380 | Juniper Networks, Inc. | 148,488 | ||||||
400 | Kyocera Corporation | 18,576 | ||||||
3,350 | MasterCard, Inc. | 326,156 | ||||||
8,200 | MaxLinear, Inc.e | 120,786 | ||||||
14,150 | Microsoft Corporation | 785,042 | ||||||
2,400 | NEC Networks & System Integration Corporation | 42,443 | ||||||
800 | NS Solutions Corporation | 18,229 | ||||||
2,890 | Plantronics, Inc. | 137,044 | ||||||
7,620 | Progress Software Corporatione | 182,880 | ||||||
5,300 | QLIK Technologies, Inc.e | 167,798 | ||||||
900 | SAP SE | 71,418 | ||||||
3,800 | Shinko Electric Industries Company, Ltd. | 24,361 | ||||||
200 | TDK Corporation | 12,809 | ||||||
710 | Ultimate Software Group, Inc.e | 138,812 | ||||||
8,830 | Visa, Inc. | 684,767 | ||||||
8,240 | Xilinx, Inc. | 387,033 | ||||||
|
| |||||||
Total | 7,143,184 | |||||||
|
| |||||||
| Materials (1.8%) | |||||||
570 | Ashland, Inc. | 58,539 | ||||||
200 | Aurubis AG | 10,127 | ||||||
4,900 | BHP Billiton plc | 54,644 | ||||||
11,100 | BHP Billiton, Ltd. | 142,852 | ||||||
5,200 | BillerudKorsnas AB | 96,234 | ||||||
4,400 | Boral, Ltd. | 18,812 | ||||||
1,200 | Buzzi Unicem SPA | 21,510 | ||||||
1,230 | Crown Holdings, Inc.e | 62,361 | ||||||
6,400 | Daicel Corporation | 95,244 | ||||||
1,561 | Domtar Corporation | 57,679 | ||||||
2,000 | DOWA Holdings Company, Ltd.e | 14,380 | ||||||
300 | Evonik Industries AG | 9,923 | ||||||
960 | FMC Corporation | 37,565 | ||||||
1,300 | Hexpol AB | 13,939 | ||||||
1,800 | Hokuetsu Kishu Paper Company, Ltd. | 10,607 | ||||||
800 | Holmen AB | 24,710 | ||||||
800 | JFE Holdings, Inc. | 12,562 | ||||||
200 | LafargeHolcim, Ltd. | 10,015 | ||||||
2,000 | Mitsubishi Chemical Holdings Corporation | 12,689 | ||||||
1,500 | Mondi plc | 29,401 | ||||||
800 | Nippon Paint Holdings Company, Ltd. | 19,362 | ||||||
1,800 | Nippon Steel & Sumitomo Metal Corporation | 35,608 | ||||||
1,200 | Novozymes AS | 57,455 | ||||||
3,000 | Oji Holdings Corporation | 12,057 | ||||||
2,390 | Owens-Illinois, Inc.e | 41,634 | ||||||
1,110 | Packaging Corporation of America | 69,986 | ||||||
660 | PPG Industries, Inc. | 65,221 | ||||||
900 | Rio Tinto plc | 26,204 | ||||||
300 | Rio Tinto, Ltd. | 9,702 | ||||||
3,110 | Steel Dynamics, Inc. | 55,576 | ||||||
3,000 | Sumitomo Seika Chemicals Company, Ltd. | 18,253 | ||||||
2,000 | Tosoh Corporation | 10,288 | ||||||
2,800 | UPM-Kymmene Oyj | 51,983 | ||||||
2,842 | Yara International ASA | 122,230 | ||||||
|
| |||||||
Total | 1,389,352 | |||||||
|
| |||||||
| Telecommunications Services (1.3%) | |||||||
13,011 | BT Group plc | 90,343 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
85
Table of Contents
GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (61.7%) | Value | ||||||
| Telecommunications Services (1.3%) - continued |
| ||||||
3,500 | Elisa Oyj | $ | 131,688 | |||||
3,100 | Freenet AG | 104,609 | ||||||
47,628 | KCOM Group plc | 81,097 | ||||||
8,100 | Orange SA | 135,479 | ||||||
1,600 | Proximus SA | 52,066 | ||||||
5,000 | StarHub, Ltd. | 13,012 | ||||||
61,500 | Telstra Corporation, Ltd. | 249,917 | ||||||
1,400 | Vivendi SA | 30,068 | ||||||
6,200 | Zayo Group Holdings, Inc.e | 164,858 | ||||||
|
| |||||||
Total | 1,053,137 | |||||||
|
| |||||||
| Utilities (1.5%) |
| ||||||
29,900 | A2A SPA | 40,487 | ||||||
14,400 | Brookfield Infrastructure Partners, LP | 545,904 | ||||||
3,500 | CLP Holdings, Ltd. | 29,666 | ||||||
25,900 | Electricidade de Portugal SA | 93,327 | ||||||
8,521 | MDU Resources Group, Inc. | 156,105 | ||||||
2,924 | NorthWestern Corporation | 158,627 | ||||||
14,500 | Redes Energeticas Nacionais SGPS SA | 43,805 | ||||||
2,000 | Toho Gas Company, Ltd. | 12,916 | ||||||
6,400 | United Utilities Group plc | 88,124 | ||||||
|
| |||||||
Total | 1,168,961 | |||||||
|
| |||||||
Total Common Stock (cost $49,529,400) | 48,610,399 | |||||||
|
| |||||||
Principal Amount | Long-Term Fixed Income (17.5%) | Value | ||||||
| Asset-Backed Securities (0.1%) |
| ||||||
Countrywide Asset-Backed Certificates | ||||||||
33,637 | 5.530%, 4/25/2047 | 36,642 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
63,690 | 3.500%, 6/26/2045f | 62,721 | ||||||
|
| |||||||
Total | 99,363 | |||||||
|
| |||||||
| Basic Materials (0.3%) |
| ||||||
Albemarle Corporation | ||||||||
14,000 | 3.000%, 12/1/2019 | 13,732 | ||||||
Anglo American Capital plc | ||||||||
9,000 | 1.271%, 4/15/2016f,g | 8,912 | ||||||
ArcelorMittal SA | ||||||||
50,000 | 6.500%, 3/1/2021 | 40,244 | ||||||
Dow Chemical Company | ||||||||
10,000 | 8.550%, 5/15/2019 | 11,786 | ||||||
First Quantum Minerals, Ltd. | ||||||||
55,000 | 7.000%, 2/15/2021f | 34,513 | ||||||
Freeport-McMoRan, Inc. | ||||||||
7,000 | 2.300%, 11/14/2017 | 5,968 | ||||||
12,000 | 2.375%, 3/15/2018 | 9,360 | ||||||
Glencore Funding, LLC | ||||||||
10,000 | 1.377%, 4/16/2018f,g | 8,438 | ||||||
LyondellBasell Industries NV | ||||||||
10,000 | 5.000%, 4/15/2019 | 10,638 | ||||||
NOVA Chemicals Corporation | ||||||||
40,122 | 5.250%, 8/1/2023f | 39,721 | ||||||
Sappi Papier Holding GmbH | ||||||||
35,000 | 6.625%, 4/15/2021f | 35,350 | ||||||
|
| |||||||
Total | 218,662 | |||||||
|
| |||||||
| Capital Goods (0.6%) |
| ||||||
Berry Plastics Corporation | ||||||||
$30,000 | 6.000%, 10/15/2022f | 30,525 | ||||||
Building Materials Corporation of America | ||||||||
50,000 | 6.000%, 10/15/2025f | 51,000 | ||||||
Cemex SAB de CV | ||||||||
55,000 | 5.700%, 1/11/2025f | 45,994 | ||||||
CNH Industrial Capital, LLC | ||||||||
60,000 | 4.375%, 11/6/2020 | 56,550 | ||||||
Crown Americas Capital Corporation IV | ||||||||
50,000 | 4.500%, 1/15/2023 | 48,875 | ||||||
General Electric Company | ||||||||
16,000 | 4.200%, 12/15/2049h | 15,920 | ||||||
L-3 Communications Corporation | ||||||||
13,000 | 1.500%, 5/28/2017 | 12,839 | ||||||
Lockheed Martin Corporation | ||||||||
10,000 | 1.850%, 11/23/2018 | 9,982 | ||||||
Martin Marietta Materials, Inc. | ||||||||
16,000 | 1.703%, 6/30/2017g | 15,889 | ||||||
Nortek, Inc. | ||||||||
26,748 | 8.500%, 4/15/2021 | 27,754 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
55,000 | 5.000%, 1/15/2022f | 53,762 | ||||||
Pentair Finance SA | ||||||||
10,000 | 3.625%, 9/15/2020 | 9,990 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
26,748 | 9.875%, 8/15/2019 | 26,948 | ||||||
Roper Industries, Inc. | ||||||||
11,000 | 2.050%, 10/1/2018 | 10,929 | ||||||
United Rentals North America, Inc. | ||||||||
55,000 | 5.500%, 7/15/2025 | 53,350 | ||||||
|
| |||||||
Total | 470,307 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (2.5%) |
| ||||||
Alternative Loan Trust | ||||||||
128,282 | 5.500%, 10/25/2035 | 117,202 | ||||||
Banc of America Alternative Loan Trust | ||||||||
59,819 | 6.000%, 11/25/2035 | 53,239 | ||||||
CHL Mortgage Pass-Through Trust | ||||||||
84,285 | 4.325%, 1/25/2036 | 79,067 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
23,579 | 2.751%, 3/25/2037 | 18,614 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
92,731 | 5.750%, 4/25/2037 | 79,549 | ||||||
Countrywide Alternative Loan Trust | ||||||||
78,761 | 6.500%, 8/25/2036 | 59,346 | ||||||
238,887 | 6.000%, 4/25/2037 | 172,524 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
55,789 | 5.250%, 10/25/2035 | 55,452 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
59,076 | 5.500%, 11/25/2035 | 56,437 | ||||||
HomeBanc Mortgage Trust | ||||||||
46,538 | 2.229%, 4/25/2037 | 35,083 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
142,909 | 6.500%, 3/25/2036 | 123,632 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
86
Table of Contents
GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (17.5%) | Value | ||||||
| Collateralized Mortgage Obligations (2.5%) - continued |
| ||||||
J.P. Morgan Mortgage Trust | ||||||||
$85,937 | 2.327%, 6/25/2035 | $ | 85,794 | |||||
80,068 | 2.812%, 6/25/2035 | 80,893 | ||||||
66,341 | 2.872%, 8/25/2035 | 65,930 | ||||||
87,056 | 2.919%, 1/25/2037 | 76,432 | ||||||
MortgageIT Trust | ||||||||
73,266 | 0.682%, 12/25/2035g | 66,327 | ||||||
New York Mortgage Trust | ||||||||
77,263 | 2.671%, 5/25/2036 | 69,913 | ||||||
Residential Accredit Loans, Inc. Trust | ||||||||
72,293 | 5.750%, 9/25/2035 | 65,122 | ||||||
Residential Funding Mortgage Security I Trust | ||||||||
85,104 | 6.000%, 7/25/2037 | 77,038 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
91,434 | 2.877%, 9/25/2035 | 77,258 | ||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
138,021 | 0.732%, 12/25/2035g | 99,925 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
69,586 | 2.431%, 10/25/2036 | 62,199 | ||||||
131,013 | 0.997%, 1/25/2047g | 105,664 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
68,266 | 2.763%, 3/25/2036 | 67,797 | ||||||
62,968 | 2.731%, 7/25/2036 | 61,699 | ||||||
53,113 | 6.000%, 7/25/2037 | 52,578 | ||||||
|
| |||||||
Total | 1,964,714 | |||||||
|
| |||||||
| Communications Services (0.9%) |
| ||||||
21st Century Fox America, Inc. | ||||||||
14,000 | 6.900%, 3/1/2019 | 15,902 | ||||||
AMC Networks, Inc. | ||||||||
16,748 | 7.750%, 7/15/2021 | 17,585 | ||||||
10,000 | 4.750%, 12/15/2022 | 10,000 | ||||||
America Movil SAB de CV | ||||||||
10,000 | 5.000%, 10/16/2019 | 10,802 | ||||||
American Tower Corporation | ||||||||
10,000 | 2.800%, 6/1/2020 | 9,885 | ||||||
AT&T, Inc. | ||||||||
10,000 | 1.533%, 6/30/2020g | 9,928 | ||||||
British Sky Broadcasting Group plc | ||||||||
14,000 | 2.625%, 9/16/2019f | 13,935 | ||||||
CC Holdings GS V, LLC | ||||||||
10,000 | 2.381%, 12/15/2017 | 10,011 | ||||||
CCO Safari II, LLC | ||||||||
5,000 | 3.579%, 7/23/2020f | 4,970 | ||||||
5,000 | 4.464%, 7/23/2022f | 4,983 | ||||||
CCOH Safari, LLC | ||||||||
30,000 | 5.750%, 2/15/2026f | 30,075 | ||||||
CenturyLink, Inc. | ||||||||
35,000 | 6.450%, 6/15/2021 | 34,125 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
40,000 | 6.500%, 11/15/2022 | 39,000 | ||||||
Columbus International, Inc. | ||||||||
50,000 | 7.375%, 3/30/2021f | 49,500 | ||||||
Digicel, Ltd. | ||||||||
56,748 | 6.000%, 4/15/2021f | 47,810 | ||||||
DIRECTV Holdings, LLC | ||||||||
10,000 | 5.875%, 10/1/2019 | 11,161 | ||||||
Frontier Communications Corporation | ||||||||
35,000 | 8.875%, 9/15/2020f | 35,438 | ||||||
Hughes Satellite Systems Corporation | ||||||||
30,000 | 6.500%, 6/15/2019 | 32,325 | ||||||
Intelsat Jackson Holdings SA | ||||||||
26,748 | 7.250%, 10/15/2020 | 23,404 | ||||||
Numericable-SFR | ||||||||
50,000 | 6.000%, 5/15/2022f | 48,500 | ||||||
SBA Tower Trust | ||||||||
16,000 | 5.101%, 4/17/2017f | 16,198 | ||||||
Sprint Corporation | ||||||||
55,000 | 7.625%, 2/15/2025 | 40,150 | ||||||
Telefonica Emisiones SAU | ||||||||
12,000 | 3.192%, 4/27/2018 | 12,233 | ||||||
T-Mobile USA, Inc. | ||||||||
40,000 | 6.633%, 4/28/2021 | 41,500 | ||||||
Univision Communications, Inc. | ||||||||
40,000 | 5.125%, 5/15/2023f | 38,500 | ||||||
UPCB Finance V, Ltd. | ||||||||
36,000 | 7.250%, 11/15/2021f | 38,250 | ||||||
Verizon Communications, Inc. | ||||||||
37,000 | 2.625%, 2/21/2020 | 37,129 | ||||||
16,000 | 4.500%, 9/15/2020 | 17,191 | ||||||
|
| |||||||
Total | 700,490 | |||||||
|
| |||||||
| Consumer Cyclical (1.0%) |
| ||||||
AMC Entertainment, Inc. | ||||||||
32,000 | 5.875%, 2/15/2022 | 32,480 | ||||||
Brookfield Residential Properties, Inc. | ||||||||
30,000 | 6.125%, 7/1/2022f | 27,750 | ||||||
Cinemark USA, Inc. | ||||||||
31,000 | 4.875%, 6/1/2023 | 30,225 | ||||||
Corrections Corporation of America | ||||||||
35,000 | 5.000%, 10/15/2022 | 34,825 | ||||||
Daimler Finance North America, LLC | ||||||||
9,000 | 1.875%, 1/11/2018f | 8,964 | ||||||
ERAC USA Finance, LLC | ||||||||
16,000 | 2.350%, 10/15/2019f | 15,772 | ||||||
Ford Motor Credit Company, LLC | ||||||||
16,000 | 5.000%, 5/15/2018 | 16,806 | ||||||
14,000 | 2.597%, 11/4/2019 | 13,746 | ||||||
General Motors Financial Company, Inc. | ||||||||
26,748 | 3.250%, 5/15/2018 | 26,882 | ||||||
21,000 | 4.375%, 9/25/2021 | 21,295 | ||||||
GLP Capital, LP | ||||||||
60,000 | 4.875%, 11/1/2020 | 58,800 | ||||||
Hilton Worldwide Finance, LLC | ||||||||
50,000 | 5.625%, 10/15/2021 | 51,812 | ||||||
Home Depot, Inc. | ||||||||
10,000 | 0.882%, 9/15/2017g | 10,015 | ||||||
10,000 | 2.625%, 6/1/2022 | 9,990 | ||||||
Hyundai Capital America | ||||||||
12,000 | 1.450%, 2/6/2017f | 11,944 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
30,000 | 4.250%, 11/15/2019f | 30,225 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (17.5%) | Value | ||||||
| Consumer Cyclical (1.0%) - continued |
| ||||||
$33,000 | 5.625%, 2/1/2023f | $ | 33,330 | |||||
KB Home | ||||||||
29,000 | 4.750%, 5/15/2019 | 28,130 | ||||||
L Brands, Inc. | ||||||||
33,000 | 6.625%, 4/1/2021 | 36,547 | ||||||
Lennar Corporation | ||||||||
50,000 | 4.750%, 11/15/2022 | 49,575 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
14,000 | 7.450%, 7/15/2017 | 15,127 | ||||||
MGM Resorts International | ||||||||
55,000 | 6.000%, 3/15/2023 | 54,588 | ||||||
Ralph Lauren Corporation | ||||||||
10,000 | 2.625%, 8/18/2020 | 10,095 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
51,748 | 5.250%, 11/15/2022 | 53,042 | ||||||
Six Flags Entertainment Corporation | ||||||||
40,000 | 5.250%, 1/15/2021f | 40,500 | ||||||
Toll Brothers Finance Corporation | ||||||||
20,000 | 4.000%, 12/31/2018 | 20,400 | ||||||
Visa, Inc. | ||||||||
10,000 | 2.200%, 12/14/2020 | 9,981 | ||||||
West Corporation | ||||||||
50,000 | 5.375%, 7/15/2022f | 43,125 | ||||||
|
| |||||||
Total | 795,971 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.9%) |
| ||||||
Actavis Funding SCS | ||||||||
7,000 | 1.757%, 3/12/2020g | 7,025 | ||||||
Amgen, Inc. | ||||||||
10,000 | 2.125%, 5/1/2020 | 9,864 | ||||||
B&G Foods, Inc. | ||||||||
40,000 | 4.625%, 6/1/2021 | 39,600 | ||||||
BAT International Finance plc | ||||||||
10,000 | 1.022%, 6/15/2018f,g | 9,986 | ||||||
Becton, Dickinson and Company | ||||||||
13,000 | 1.450%, 5/15/2017 | 12,945 | ||||||
Boston Scientific Corporation | ||||||||
5,000 | 6.000%, 1/15/2020 | 5,552 | ||||||
Bunge Limited Finance Corporation | ||||||||
10,000 | 3.500%, 11/24/2020 | 9,944 | ||||||
Cardinal Health, Inc. | ||||||||
10,000 | 1.950%, 6/15/2018 | 9,974 | ||||||
Celgene Corporation | ||||||||
10,000 | 3.550%, 8/15/2022 | 10,097 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
33,000 | 7.125%, 7/15/2020 | 32,876 | ||||||
Cott Beverages, Inc. | ||||||||
55,000 | 5.375%, 7/1/2022 | 53,900 | ||||||
CVS Health Corporation | ||||||||
10,000 | 2.250%, 12/5/2018 | 10,048 | ||||||
EMD Finance, LLC | ||||||||
6,000 | 0.876%, 3/17/2017f,g | 5,982 | ||||||
Envision Healthcare Corporation | ||||||||
50,000 | 5.125%, 7/1/2022f | 49,000 | ||||||
Forest Laboratories, Inc. | ||||||||
15,000 | 4.375%, 2/1/2019f | 15,714 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
26,748 | 5.750%, 2/15/2021f | 28,620 | ||||||
Gilead Sciences, Inc. | ||||||||
10,000 | 3.250%, 9/1/2022 | 10,069 | ||||||
Grifols Worldwide Operations, Ltd. | ||||||||
40,000 | 5.250%, 4/1/2022 | 40,200 | ||||||
HCA, Inc. | ||||||||
26,748 | 4.750%, 5/1/2023 | 26,481 | ||||||
JBS USA, LLC | ||||||||
55,000 | 5.750%, 6/15/2025f | 47,850 | ||||||
Laboratory Corporation of America Holdings | ||||||||
5,000 | 2.625%, 2/1/2020 | 4,936 | ||||||
Mead Johnson Nutrition Company | ||||||||
10,000 | 3.000%, 11/15/2020 | 9,997 | ||||||
Merck & Company, Inc. | ||||||||
5,000 | 0.716%, 2/10/2020g | 4,969 | ||||||
Mondelez International, Inc. | ||||||||
8,000 | 2.250%, 2/1/2019 | 7,997 | ||||||
Mylan NV | ||||||||
5,000 | 3.750%, 12/15/2020f | 5,005 | ||||||
PepsiCo, Inc. | ||||||||
10,000 | 1.850%, 4/30/2020 | 9,885 | ||||||
Revlon Consumer Products Corporation | ||||||||
26,748 | 5.750%, 2/15/2021 | 25,879 | ||||||
Reynolds American, Inc. | ||||||||
10,000 | 3.250%, 6/12/2020 | 10,163 | ||||||
SABMiller plc | ||||||||
12,000 | 6.500%, 7/15/2018f | 13,240 | ||||||
Safeway, Inc. | ||||||||
3,000 | 3.400%, 12/1/2016 | 2,970 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
33,000 | 6.375%, 11/15/2020 | 35,063 | ||||||
Tenet Healthcare Corporation | ||||||||
50,000 | 8.125%, 4/1/2022 | 49,875 | ||||||
TreeHouse Foods, Inc. | ||||||||
40,000 | 4.875%, 3/15/2022 | 38,100 | ||||||
Valeant Pharmaceuticals International | ||||||||
26,748 | 7.250%, 7/15/2022f | 26,146 | ||||||
VPII Escrow Corporation | ||||||||
25,000 | 7.500%, 7/15/2021f | 24,938 | ||||||
Zoetis, Inc. | ||||||||
10,000 | 3.450%, 11/13/2020 | 10,012 | ||||||
|
| |||||||
Total | 714,902 | |||||||
|
| |||||||
| Energy (0.6%) |
| ||||||
Anadarko Petroleum Corporation | ||||||||
10,000 | 8.700%, 3/15/2019 | 11,361 | ||||||
Boardwalk Pipelines, Ltd. | ||||||||
11,000 | 5.875%, 11/15/2016 | 11,107 | ||||||
Buckeye Partners, LP | ||||||||
17,000 | 2.650%, 11/15/2018 | 16,355 | ||||||
Chevron Corporation | ||||||||
10,000 | 0.874%, 11/16/2018g | 10,003 | ||||||
CNPC General Capital, Ltd. | ||||||||
3,000 | 2.750%, 4/19/2017f | 3,032 | ||||||
Concho Resources, Inc. | ||||||||
51,748 | 6.500%, 1/15/2022 | 49,678 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (17.5%) | Value | ||||||
| Energy (0.6%) - continued |
| ||||||
Crestwood Midstream Partners, LP | ||||||||
$40,000 | 6.250%, 4/1/2023f | $ | 27,900 | |||||
Enbridge, Inc. | ||||||||
8,000 | 0.866%, 6/2/2017g | 7,835 | ||||||
EQT Corporation | ||||||||
10,000 | 8.125%, 6/1/2019 | 10,802 | ||||||
Marathon Petroleum Corporation | ||||||||
10,000 | 3.400%, 12/15/2020 | 9,821 | ||||||
MEG Energy Corporation | ||||||||
33,000 | 6.375%, 1/30/2023f | 22,605 | ||||||
Noble Energy, Inc. | ||||||||
55,000 | 5.875%, 6/1/2022 | 52,321 | ||||||
Pacific Drilling V, Ltd. | ||||||||
40,000 | 7.250%, 12/1/2017f | 20,600 | ||||||
Petrobras International Finance Company | ||||||||
60,000 | 5.750%, 1/20/2020 | 47,100 | ||||||
Petroleos Mexicanos | ||||||||
70,000 | 5.625%, 1/23/2046f | 53,564 | ||||||
Pioneer Natural Resources Company | ||||||||
3,000 | 3.450%, 1/15/2021 | 2,770 | ||||||
Regency Energy Partners, LP | ||||||||
50,000 | 5.000%, 10/1/2022 | 44,294 | ||||||
Sabine Pass Liquefaction, LLC | ||||||||
55,000 | 5.625%, 3/1/2025f | 46,544 | ||||||
Schlumberger Holdings Corporation | ||||||||
10,000 | 3.000%, 12/21/2020f | 9,871 | ||||||
Shell International Finance BV | ||||||||
10,000 | 0.806%, 5/11/2020g | 9,853 | ||||||
Southwestern Energy Company | ||||||||
14,000 | 7.500%, 2/1/2018 | 11,900 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
10,000 | 4.400%, 4/1/2021 | 9,691 | ||||||
|
| |||||||
Total | 489,007 | |||||||
|
| |||||||
| Financials (1.8%) |
| ||||||
Abbey National Treasury Services plc | ||||||||
14,000 | 1.013%, 9/29/2017g | 13,883 | ||||||
ACE INA Holdings, Inc. | ||||||||
10,000 | 2.875%, 11/3/2022 | 9,924 | ||||||
Air Lease Corporation | ||||||||
14,000 | 2.125%, 1/15/2018 | 13,755 | ||||||
5,000 | 2.625%, 9/4/2018 | 4,942 | ||||||
Ally Financial, Inc. | ||||||||
40,000 | 4.750%, 9/10/2018 | 40,950 | ||||||
American Express Credit Corporation | ||||||||
10,000 | 1.552%, 9/14/2020g | 10,085 | ||||||
Aviation Capital Group Corporation | ||||||||
8,000 | 3.875%, 9/27/2016f | 8,060 | ||||||
Bank of America Corporation | ||||||||
18,000 | 5.700%, 5/2/2017 | 18,772 | ||||||
16,000 | 1.700%, 8/25/2017 | 15,954 | ||||||
31,000 | 1.656%, 3/22/2018g | 31,099 | ||||||
25,000 | 5.650%, 5/1/2018 | 26,883 | ||||||
15,000 | 8.000%, 12/29/2049h | 15,263 | ||||||
BB&T Corporation | ||||||||
16,000 | 2.050%, 6/19/2018 | 16,091 | ||||||
Bear Stearns Companies, LLC | ||||||||
20,000 | 6.400%, 10/2/2017 | 21,539 | ||||||
BNP Paribas SA | ||||||||
12,000 | 2.375%, 9/14/2017 | 12,143 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
7,000 | 0.989%, 1/29/2018f,g | 6,986 | ||||||
CIT Group, Inc. | ||||||||
30,000 | 3.875%, 2/19/2019 | 29,850 | ||||||
Citigroup, Inc. | ||||||||
21,000 | 1.850%, 11/24/2017 | 20,969 | ||||||
Credit Agricole SA | ||||||||
8,000 | 1.457%, 6/10/2020f,g | 7,983 | ||||||
CyrusOne, LP | ||||||||
26,748 | 6.375%, 11/15/2022 | 27,550 | ||||||
DDR Corporation | ||||||||
8,000 | 9.625%, 3/15/2016 | 8,125 | ||||||
Discover Bank | ||||||||
4,000 | 8.700%, 11/18/2019 | 4,732 | ||||||
Discover Financial Services | ||||||||
8,000 | 6.450%, 6/12/2017 | 8,452 | ||||||
Duke Realty, LP | ||||||||
14,000 | 8.250%, 8/15/2019 | 16,561 | ||||||
Fifth Third Bancorp | ||||||||
20,000 | 5.450%, 1/15/2017 | 20,734 | ||||||
Goldman Sachs Group, Inc. | ||||||||
8,000 | 2.625%, 1/31/2019 | 8,057 | ||||||
12,000 | 7.500%, 2/15/2019 | 13,731 | ||||||
5,000 | 1.476%, 4/23/2020g | 5,007 | ||||||
10,000 | 2.012%, 11/29/2023g | 10,089 | ||||||
Goldman Sachs Group, Inc. Convertible | ||||||||
375,000 | 0.500%, 9/24/2022 | 387,911 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
17,000 | 6.000%, 1/15/2019 | 18,696 | ||||||
HCP, Inc. | ||||||||
10,000 | 3.750%, 2/1/2019 | 10,316 | ||||||
Health Care REIT, Inc. | ||||||||
10,000 | 4.700%, 9/15/2017 | 10,453 | ||||||
HSBC Holdings plc | ||||||||
8,000 | 6.375%, 12/29/2049h | 7,990 | ||||||
Hutchison Whampoa Finance CI, Ltd. | ||||||||
15,000 | 1.625%, 10/31/2017f | 14,868 | ||||||
Icahn Enterprises, LP | ||||||||
50,000 | 6.000%, 8/1/2020 | 50,420 | ||||||
ING Capital Funding Trust III | ||||||||
10,000 | 4.207%, 12/29/2049g,h | 9,975 | ||||||
International Lease Finance Corporation | ||||||||
10,000 | 2.462%, 6/15/2016g | 9,975 | ||||||
30,000 | 5.875%, 4/1/2019 | 31,800 | ||||||
Intesa Sanpaolo SPA | ||||||||
4,000 | 3.875%, 1/16/2018 | 4,102 | ||||||
15,000 | 3.875%, 1/15/2019 | 15,444 | ||||||
J.P. Morgan Chase & Company | ||||||||
8,000 | 6.300%, 4/23/2019 | 8,970 | ||||||
5,000 | 2.250%, 1/23/2020 | 4,919 | ||||||
16,000 | 7.900%, 4/29/2049h | 16,288 | ||||||
KeyCorp | ||||||||
12,000 | 2.300%, 12/13/2018 | 12,018 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4,000 | 5.000%, 6/1/2021f | 4,278 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (17.5%) | Value | ||||||
| Financials (1.8%) - continued | |||||||
Lloyds Bank plc | ||||||||
$ | 7,000 | 1.038%, 3/16/2018g | $ | 6,963 | ||||
MetLife, Inc. | ||||||||
14,000 | �� | 1.903%, 12/15/2017 | 14,082 | |||||
Mizuho Corporate Bank, Ltd. | ||||||||
14,000 | 1.550%, 10/17/2017f | 13,890 | ||||||
Morgan Stanley | ||||||||
16,000 | 6.625%, 4/1/2018 | 17,544 | ||||||
10,000 | 1.463%, 1/27/2020g | 10,021 | ||||||
10,000 | 4.875%, 11/1/2022 | 10,613 | ||||||
MPT Operating Partnership, LP | ||||||||
40,000 | 5.500%, 5/1/2024 | 39,800 | ||||||
Murray Street Investment Trust I | ||||||||
24,000 | 4.647%, 3/9/2017 | 24,727 | ||||||
National City Corporation | ||||||||
8,000 | 6.875%, 5/15/2019 | 9,038 | ||||||
New York Life Global Funding | ||||||||
10,000 | 1.550%, 11/2/2018f | 9,919 | ||||||
Nomura Holdings, Inc. | ||||||||
8,000 | 2.750%, 3/19/2019 | 8,043 | ||||||
Quicken Loans, Inc. | ||||||||
50,000 | 5.750%, 5/1/2025f | 47,625 | ||||||
Realty Income Corporation | ||||||||
12,000 | 2.000%, 1/31/2018 | 12,007 | ||||||
Regions Bank | ||||||||
7,000 | 7.500%, 5/15/2018 | 7,778 | ||||||
Reinsurance Group of America, Inc. | ||||||||
16,000 | 5.625%, 3/15/2017 | 16,675 | ||||||
Royal Bank of Scotland Group plc | ||||||||
9,000 | 1.543%, 3/31/2017g | 8,982 | ||||||
Simon Property Group, LP | ||||||||
10,000 | 2.500%, 9/1/2020 | 10,008 | ||||||
Societe Generale SA | ||||||||
12,000 | 5.750%, 4/20/2016f | 12,153 | ||||||
State Street Corporation | ||||||||
10,000 | 1.264%, 8/18/2020g | 10,001 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
24,000 | 1.300%, 1/10/2017 | 23,941 | ||||||
Synchrony Financial | ||||||||
22,000 | 1.875%, 8/15/2017 | 21,899 | ||||||
5,000 | 1.564%, 2/3/2020g | 4,921 | ||||||
Toronto-Dominion Bank | ||||||||
10,000 | 1.432%, 12/14/2020g | 9,998 | ||||||
UnitedHealth Group, Inc. | ||||||||
10,000 | 3.350%, 7/15/2022 | 10,228 | ||||||
USB Realty Corporation | ||||||||
5,000 | 1.468%, 12/29/2049f,g,h | 4,500 | ||||||
Voya Financial, Inc. | ||||||||
12,000 | 2.900%, 2/15/2018 | 12,130 | ||||||
Wells Fargo & Company | ||||||||
7,000 | 1.002%, 1/30/2020g | 6,935 | ||||||
|
| |||||||
Total | 1,451,013 | |||||||
|
| |||||||
| Foreign Government (3.4%) | |||||||
Brazil Government International Bond | ||||||||
66,000 | 5.875%, 1/15/2019 | 67,320 | ||||||
73,000 | 4.875%, 1/22/2021 | 67,525 | ||||||
123,000 | 2.625%, 1/5/2023 | 93,480 | ||||||
64,000 | 5.000%, 1/27/2045 | 42,720 | �� | |||||
Colombia Government International Bond | ||||||||
40,000 | 2.625%, 3/15/2023 | 35,140 | ||||||
40,000 | 4.000%, 2/26/2024 | 38,100 | ||||||
85,000 | 5.000%, 6/15/2045 | 70,975 | ||||||
Croatia Government International Bond | ||||||||
55,000 | 6.625%, 7/14/2020f | 58,935 | ||||||
Hungary Government International Bond | ||||||||
70,000 | 5.750%, 11/22/2023 | 78,323 | ||||||
72,000 | 5.375%, 3/25/2024 | 78,840 | ||||||
Indonesia Government International Bond | ||||||||
60,000 | 4.875%, 5/5/2021f | 62,149 | ||||||
65,000 | 3.375%, 4/15/2023f | 60,401 | ||||||
66,000 | 5.875%, 1/15/2024f | 70,707 | ||||||
60,000 | 4.125%, 1/15/2025f | 57,500 | ||||||
120,000 | 5.125%, 1/15/2045f | 108,522 | ||||||
Mexico Government International Bond | ||||||||
50,000 | 3.625%, 3/15/2022 | 50,300 | ||||||
50,000 | 4.000%, 10/2/2023 | 50,650 | ||||||
44,000 | 3.600%, 1/30/2025 | 42,878 | ||||||
22,000 | 6.050%, 1/11/2040 | 24,090 | ||||||
50,000 | 4.750%, 3/8/2044 | 45,550 | ||||||
44,000 | 5.550%, 1/21/2045 | 45,100 | ||||||
77,000 | 4.600%, 1/23/2046 | 68,145 | ||||||
Panama Government International Bond | ||||||||
32,000 | 4.000%, 9/22/2024 | 32,000 | ||||||
22,000 | 6.700%, 1/26/2036 | 26,125 | ||||||
Peru Government International Bond | ||||||||
125,000 | 4.125%, 8/25/2027 | 122,500 | ||||||
Philippines Government International Bond | ||||||||
40,000 | 7.750%, 1/14/2031 | 56,199 | ||||||
50,000 | 6.375%, 10/23/2034 | 65,189 | ||||||
Romania Government International Bond | ||||||||
42,000 | 4.375%, 8/22/2023f | 43,720 | ||||||
20,000 | 4.875%, 1/22/2024f | 21,486 | ||||||
Russia Government International Bond | ||||||||
44,000 | 3.500%, 1/16/2019f | 43,780 | ||||||
200,000 | 5.000%, 4/29/2020f | 206,400 | ||||||
85,000 | 4.875%, 9/16/2023f | 86,360 | ||||||
65,450 | 7.500%, 3/31/2030f | 78,415 | ||||||
66,000 | 5.625%, 4/4/2042f | 62,436 | ||||||
South Africa Government International Bond | ||||||||
50,000 | 5.500%, 3/9/2020 | 51,317 | ||||||
Turkey Government International Bond | ||||||||
66,000 | 7.500%, 11/7/2019 | 74,004 | ||||||
125,000 | 7.000%, 6/5/2020 | 139,082 | ||||||
85,000 | 5.125%, 3/25/2022 | 87,231 | ||||||
44,000 | 6.250%, 9/26/2022 | 47,766 | ||||||
22,000 | 5.750%, 3/22/2024 | 23,243 | ||||||
67,000 | 4.250%, 4/14/2026 | 62,816 | ||||||
88,000 | 4.875%, 4/16/2043 | 77,440 | ||||||
|
| |||||||
Total | 2,724,859 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
90
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GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (17.5%) | Value | ||||||
| Mortgage-Backed Securities (3.5%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
$ | 350,000 | 3.000%, 1/1/2031c | $ | 360,666 | ||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
250,000 | 4.000%, 1/1/2046c | 264,097 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
1,025,000 | 3.500%, 1/1/2046c | 1,057,516 | ||||||
550,000 | 4.000%, 1/1/2046c | 581,994 | ||||||
425,000 | 4.500%, 1/1/2046c | 458,947 | ||||||
|
| |||||||
Total | 2,723,220 | |||||||
|
| |||||||
| Technology (0.6%) | |||||||
Alliance Data Systems Corporation | ||||||||
30,000 | 5.375%, 8/1/2022f | 28,575 | ||||||
Amkor Technology, Inc. | ||||||||
25,000 | 6.625%, 6/1/2021 | 24,813 | ||||||
Apple, Inc. | ||||||||
10,000 | 0.659%, 5/6/2020g | 9,925 | ||||||
Automatic Data Processing, Inc. | ||||||||
10,000 | 2.250%, 9/15/2020 | 10,038 | ||||||
Cisco Systems, Inc. | ||||||||
10,000 | 0.914%, 3/1/2019g | 9,991 | ||||||
Denali Borrower, LLC | ||||||||
52,000 | 5.625%, 10/15/2020f | 54,470 | ||||||
Equinix, Inc. | ||||||||
40,000 | 5.750%, 1/1/2025 | 40,900 | ||||||
Fidelity National Information Services, Inc. | ||||||||
15,000 | 1.450%, 6/5/2017 | 14,797 | ||||||
10,000 | 3.625%, 10/15/2020 | 10,130 | ||||||
First Data Corporation | ||||||||
40,000 | 5.375%, 8/15/2023f | 40,200 | ||||||
Freescale Semiconductor, Inc. | ||||||||
40,000 | 6.000%, 1/15/2022f | 41,900 | ||||||
Hewlett Packard Enterprise Company | ||||||||
10,000 | 3.600%, 10/15/2020f | 10,023 | ||||||
IMS Health, Inc. | ||||||||
30,000 | 6.000%, 11/1/2020f | 30,900 | ||||||
Intel Corporation | ||||||||
10,000 | 3.100%, 7/29/2022 | 10,197 | ||||||
Iron Mountain, Inc. | ||||||||
21,748 | 6.000%, 8/15/2023 | 22,509 | ||||||
Oracle Corporation | ||||||||
10,000 | 2.500%, 5/15/2022 | 9,815 | ||||||
Sensata Technologies BV | ||||||||
50,000 | 4.875%, 10/15/2023f | 48,625 | ||||||
Texas Instruments, Inc. | ||||||||
10,000 | 1.750%, 5/1/2020 | 9,741 | ||||||
Tyco Electronics Group SA | ||||||||
16,000 | 6.550%, 10/1/2017 | 17,243 | ||||||
|
| |||||||
Total | 444,792 | |||||||
|
| |||||||
| Transportation (0.2%) | |||||||
Air Canada Pass Through Trust | ||||||||
5,000 | 3.875%, 3/15/2023f | 4,850 | ||||||
American Airlines Pass Through Trust | ||||||||
6,943 | 4.950%, 1/15/2023 | 7,324 | ||||||
Avis Budget Car Rental, LLC | ||||||||
50,000 | 5.125%, 6/1/2022f | 49,375 | ||||||
Continental Airlines, Inc. | ||||||||
19,971 | 6.250%, 4/11/2020 | 20,969 | ||||||
Delta Air Lines, Inc. | ||||||||
8,735 | 4.950%, 5/23/2019 | 9,172 | ||||||
7,822 | 4.750%, 5/7/2020 | 8,253 | ||||||
J.B. Hunt Transport Services, Inc. | ||||||||
10,000 | 3.300%, 8/15/2022 | 9,903 | ||||||
Korea Expressway Corporation | ||||||||
13,000 | 1.625%, 4/28/2017f | 12,955 | ||||||
United Airlines 2015-1 Class A Pass Through Trust | ||||||||
10,000 | 3.700%, 12/1/2022 | 9,975 | ||||||
|
| |||||||
Total | 132,776 | |||||||
|
| |||||||
| U.S. Government and Agencies (0.6%) | |||||||
U.S. Treasury Notes | ||||||||
345,000 | 1.875%, 6/30/2020 | 347,412 | ||||||
95,000 | 2.125%, 6/30/2022 | 95,490 | ||||||
|
| |||||||
Total | 442,902 | |||||||
|
| |||||||
| Utilities (0.5%) | |||||||
Access Midstream Partners, LP | ||||||||
40,000 | 4.875%, 5/15/2023 | 32,427 | ||||||
AES Corporation | ||||||||
26,748 | 7.375%, 7/1/2021 | 27,283 | ||||||
Ameren Corporation | ||||||||
10,000 | 2.700%, 11/15/2020 | 9,962 | ||||||
Arizona Public Service Company | ||||||||
5,000 | 2.200%, 1/15/2020 | 4,953 | ||||||
Berkshire Hathaway Energy Company | ||||||||
14,000 | 2.400%, 2/1/2020 | 13,869 | ||||||
Calpine Corporation | ||||||||
50,000 | 5.375%, 1/15/2023 | 44,875 | ||||||
DTE Energy Company | ||||||||
14,000 | 2.400%, 12/1/2019 | 13,941 | ||||||
Dynegy Finance I, Inc. | ||||||||
55,000 | 7.375%, 11/1/2022 | 47,850 | ||||||
EDP Finance BV | ||||||||
14,000 | 4.125%, 1/15/2020f | 14,032 | ||||||
El Paso Corporation | ||||||||
7,000 | 7.000%, 6/15/2017 | 7,211 | ||||||
Energy Transfer Equity, LP | ||||||||
55,000 | 5.500%, 6/1/2027 | 41,800 | ||||||
Eversource Energy | ||||||||
5,000 | 1.600%, 1/15/2018 | 4,947 | ||||||
Exelon Generation Company, LLC | ||||||||
8,000 | 5.200%, 10/1/2019 | 8,618 | ||||||
5,000 | 2.950%, 1/15/2020 | 4,982 | ||||||
MPLX LP | ||||||||
55,000 | 4.875%, 12/1/2024f | 49,363 | ||||||
NiSource Finance Corporation | ||||||||
7,000 | 6.400%, 3/15/2018 | 7,627 | ||||||
NRG Energy, Inc. | ||||||||
26,748 | 6.625%, 3/15/2023 | 23,204 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
91
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GROWTHAND INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (17.5%) | Value | ||||||
| Utilities (0.5%) - continued | |||||||
Pacific Gas & Electric Company | ||||||||
$ | 10,000 | 5.625%, 11/30/2017 | $ | 10,689 | ||||
PG&E Corporation | ||||||||
8,000 | 2.400%, 3/1/2019 | 7,983 | ||||||
Sempra Energy | ||||||||
14,000 | 6.150%, 6/15/2018 | 15,281 | ||||||
5,000 | 2.400%, 3/15/2020 | 4,900 | ||||||
Southern California Edison Company | ||||||||
5,000 | 2.400%, 2/1/2022 | 4,903 | ||||||
Xcel Energy, Inc. | ||||||||
10,000 | 1.200%, 6/1/2017 | 9,949 | ||||||
|
| |||||||
Total | 410,649 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $14,078,134) | 13,783,627 | |||||||
|
| |||||||
Shares | Registered Investment Companies (5.8%) | |||||||
| Equity Funds/ETFs (4.5%) | |||||||
2,300 | BlackRock Resources & Commodities Strategy Trust | 16,353 | ||||||
2,200 | Cohen & Steers REIT and Preferred Income Fund, Inc. | 40,568 | ||||||
1,025 | Guggenheim Multi-Asset Income ETF | 18,635 | ||||||
4,775 | iShares FTSE NAREIT Mortgage Plus Capped Index Fund | 45,649 | ||||||
9,000 | iShares MSCI EAFE Index Fund | 528,750 | ||||||
13,473 | iShares S&P U.S. Preferred Stock Index Fund | 523,426 | ||||||
16,010 | Materials Select Sector SPDR Fund | 695,154 | ||||||
2,075 | NFJ Dividend Interest & Premium Strategy Fund | 25,709 | ||||||
34,200 | SPDR S&P Oil & Gas Exploration & Production ETF | 1,033,524 | ||||||
14,330 | Utilities Select Sector SPDR Fund | 620,202 | ||||||
200 | Vanguard REIT ETF | 15,946 | ||||||
|
| |||||||
Total | 3,563,916 | |||||||
|
| |||||||
| Fixed Income Funds/ETFs (1.3%) | |||||||
12,047 | Aberdeen Asia-Pacific Income Fund, Inc. | 55,055 | ||||||
3,250 | Doubleline Income Solutions Fund | 52,715 | ||||||
1,895 | First Trust High Income Long/Short Fund | 26,682 | ||||||
1,654 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 174,960 | ||||||
11,462 | MFS Intermediate Income Trust | 52,381 | ||||||
4,377 | PIMCO Dynamic Credit Income Fund | 78,917 | ||||||
18,944 | PowerShares Preferred Portfolio | 283,213 | ||||||
9,283 | Templeton Global Income Fund | 58,947 | ||||||
1,645 | Vanguard Short-Term Corporate Bond ETF | 129,939 | ||||||
4,234 | Western Asset Emerging Markets Debt Fund, Inc. | 58,133 | ||||||
6,718 | Western Asset High Income Opportunity Fund, Inc. | 31,507 | ||||||
|
| |||||||
Total | 1,002,449 | |||||||
|
| |||||||
Total Registered Investment Companies (cost $4,988,383) | 4,566,365 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (8.5%)i | |||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
100,000 | 0.105%, 1/6/2016j | 99,999 | ||||||
100,000 | 0.100%, 1/8/2016j | 99,998 | ||||||
Thrivent Cash Management Trust | ||||||||
6,429,870 | 0.220% | 6,429,870 | ||||||
U.S. Treasury Bills | ||||||||
100,000 | 0.175%, 2/4/2016k | 99,983 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 6,729,850 | |||||||
|
| |||||||
Total Investments (cost $83,880,548) 103.6% | $ | 81,618,635 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (3.6%) | (2,839,574 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 78,779,061 | ||||||
|
|
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | All or a portion of the loan is unfunded. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Defaulted security. Interest is not being accrued. |
e | Non-income producing security. |
f | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $2,797,643 or 3.6% of total net assets. |
g | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
h | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
i | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
j | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
k | All or a portion of the security is pledged as collateral under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
92
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (16.4%)a | Value | ||||||
Basic Materials (0.7%) | ||||||||
Alpha Natural Resources, Inc., Term Loan | ||||||||
$ | 487,519 | 3.500%, 5/22/2020 | $ | 210,038 | ||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
580,443 | 4.250%, 6/30/2019 | 428,860 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
621,066 | 3.750%, 12/15/2020 | 594,671 | ||||||
NewPage Corporation, Term Loan | ||||||||
1,072,500 | 9.500%, 2/11/2021 | 382,754 | ||||||
Tronox Pigments BV, Term Loan | ||||||||
809,093 | 4.500%, 3/19/2020 | 714,024 | ||||||
|
| |||||||
Total | 2,330,347 | |||||||
|
| |||||||
| Capital Goods (0.8%) | |||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
545,835 | 3.750%, 10/9/2019 | 527,413 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
643,458 | 3.500%, 2/8/2020 | 630,152 | ||||||
97,369 | 4.000%, 10/3/2022 | 96,395 | ||||||
Rexnord, LLC, Term Loan | ||||||||
625,600 | 4.000%, 8/21/2020 | 604,880 | ||||||
Silver II Borrower, Term Loan | ||||||||
561,858 | 4.000%, 12/13/2019 | 473,927 | ||||||
|
| |||||||
Total | 2,332,767 | |||||||
|
| |||||||
| Communications Services (5.3%) | |||||||
Altice Financing SA, Term Loan | ||||||||
671,625 | 5.250%, 2/4/2022 | 668,059 | ||||||
Atlantic Broadband Penn, LLC, Term Loan | ||||||||
43,203 | 3.250%, 11/30/2019 | 42,758 | ||||||
Birch Communication Inc., Term Loan | ||||||||
542,500 | 7.750%, 7/17/2020 | 518,087 | ||||||
Cengage Learning Acquisitions, Term Loan | ||||||||
649,339 | 7.000%, 3/31/2020 | 631,482 | ||||||
Cincinnati Bell, Inc., Term Loan | ||||||||
562,063 | 4.000%, 9/10/2020 | 541,221 | ||||||
CSC Holdings, LLC, Term Loan | ||||||||
325,000 | 5.000%, 10/9/2022 | 324,087 | ||||||
Fairpoint Communications, Term Loan | ||||||||
623,960 | 7.500%, 2/14/2019 | 618,656 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
624,015 | 4.500%, 5/29/2020 | 611,017 | ||||||
Gray Television, Inc., Term Loan | ||||||||
378,378 | 3.750%, 6/13/2021 | 372,940 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
633,788 | 5.250%, 6/26/2019 | 629,231 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
648,412 | 5.250%, 8/14/2020 | 625,717 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
724,628 | 3.750%, 6/30/2019 | 683,738 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
610,000 | 4.000%, 8/1/2019 | 608,475 | ||||||
Liberty Cablevision of Puerto Rico, LLC, Term Loan | ||||||||
745,000 | 4.500%, 1/7/2022 | 719,856 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
682,500 | 4.000%, 4/13/2020 | 663,049 | ||||||
MCC Georgia, LLC, Term Loan | ||||||||
462,950 | 3.750%, 6/30/2021 | 457,020 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
739,706 | 4.750%, 3/22/2019 | 721,827 | ||||||
NEP/NCP Holdco, Inc., Term Loan | ||||||||
645,216 | 4.250%, 1/22/2020 | 601,664 | ||||||
NTelos, Inc., Term Loan | ||||||||
974,811 | 5.750%, 11/9/2019 | 965,063 | ||||||
Numericable US, LLC, Term Loan | ||||||||
650,000 | 4.563%, 7/29/2022b,c | 620,042 | ||||||
30,000 | 4.750%, 2/10/2023 | 28,768 | ||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||
689,500 | 3.250%, 3/24/2021 | 673,986 | ||||||
TNS, Inc., Term Loan | ||||||||
440,717 | 5.000%, 2/14/2020 | 433,005 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
579,900 | 4.000%, 3/1/2020 | 566,562 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
390,526 | 3.500%, 6/30/2023 | 381,923 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
594,804 | 4.500%, 4/1/2019 | 572,314 | ||||||
WMG Acquisition Corporation, Term Loan | ||||||||
586,500 | 3.750%, 7/1/2020 | 553,996 | ||||||
XO Communications, LLC, Term Loan | ||||||||
540,375 | 4.250%, 3/20/2021 | 526,595 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
568,012 | 4.250%, 3/1/2020 | 558,958 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
648,765 | 3.750%, 5/6/2021 | 637,062 | ||||||
|
| |||||||
Total | 16,557,158 | |||||||
|
| |||||||
| Consumer Cyclical (2.5%) | |||||||
Amaya BV, Term Loan | ||||||||
187,632 | 5.000%, 8/1/2021 | 175,436 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
542,772 | 4.250%, 8/13/2021 | 535,309 | ||||||
Ceridian HCM Holding, Inc., Term Loan | ||||||||
306,866 | 4.500%, 9/15/2020 | 259,686 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
731,250 | 3.000%, 1/3/2021 | 715,711 | ||||||
Golden Nugget, Inc., Delayed Draw | ||||||||
73,320 | 5.500%, 11/21/2019 | 72,587 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
171,080 | 5.500%, 11/21/2019 | 169,369 | ||||||
Hilton Worldwide Finance, LLC, Term Loan | ||||||||
307,610 | 3.500%, 10/26/2020 | 306,745 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
93
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (16.4%)a | Value | ||||||
Consumer Cyclical (2.5%) - continued | ||||||||
IMG Worldwide, Inc., Term Loan | ||||||||
$ | 828,442 | 5.250%, 5/6/2021 | $ | 812,652 | ||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
594,750 | 6.000%, 5/22/2018 | 583,301 | ||||||
Marina District Finance Company, Inc., Term Loan | ||||||||
348,671 | 6.500%, 8/15/2018 | 347,799 | ||||||
MGM Resorts International, Term Loan | ||||||||
536,181 | 3.500%, 12/20/2019 | 528,138 | ||||||
Michaels Stores, Inc., Term Loan | ||||||||
539,335 | 4.000%, 1/28/2020 | 535,063 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
880,065 | 5.500%, 6/15/2018 | 859,005 | ||||||
Pinnacle Entertainment, Inc., Term Loan | ||||||||
15,674 | 3.750%, 8/13/2020 | 15,611 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
733,125 | 5.000%, 6/20/2019 | 680,582 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
597,800 | 6.000%, 10/18/2020 | 545,493 | ||||||
138,947 | 6.000%, 10/1/2021 | 126,243 | ||||||
Seminole Hard Rock Entertainment, Inc., Term Loan | ||||||||
44,318 | 3.500%, 5/14/2020 | 43,321 | ||||||
Seminole Indian Tribe of Florida, Term Loan | ||||||||
491,407 | 3.000%, 4/29/2020 | 487,721 | ||||||
|
| |||||||
Total | 7,799,772 | |||||||
|
| |||||||
| Consumer Non-Cyclical (2.7%) | |||||||
Albertson’s, Inc., Term Loan | ||||||||
827,953 | 5.500%, 3/21/2019 | 824,434 | ||||||
Albertson’s, LLC, Term Loan | ||||||||
315,000 | 0.000%, 12/22/2022b,c | 312,795 | ||||||
Catalina Marketing Corporation, Term Loan | ||||||||
679,650 | 4.500%, 4/9/2021 | 540,322 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
201,054 | 3.657%, 12/31/2018 | 197,954 | ||||||
188,688 | 3.750%, 1/27/2021 | 183,618 | ||||||
347,181 | 4.000%, 1/27/2021 | 341,231 | ||||||
Endo Luxembourg Finance I Co Sarl, Term Loan | ||||||||
485,000 | 3.750%, 9/26/2022 | 477,929 | ||||||
HCA, Inc., Term Loan | ||||||||
645,150 | 3.174%, 3/31/2017 | 643,982 | ||||||
JBS USA, LLC, Term Loan | ||||||||
659,266 | 3.750%, 5/25/2018 | 655,146 | ||||||
140,000 | 4.000%, 10/30/2022 | 139,475 | ||||||
Libbey Glass, Inc., Term Loan | ||||||||
339,825 | 3.750%, 4/9/2021 | 333,453 | ||||||
LTF Merger Sub, Inc., Term Loan | ||||||||
621,875 | 4.250%, 6/10/2022 | 605,165 | ||||||
Ortho-Clinical Diagnostics, Inc., Term Loan | ||||||||
819,060 | 4.750%, 6/30/2021 | 691,082 | ||||||
Owens-Brockway Glass Container, Inc., Term Loan | ||||||||
698,250 | 3.500%, 9/1/2022 | 694,326 | ||||||
Sterigenics-Nordion Holdings, LLC, Term Loan | ||||||||
401,494 | 4.250%, 5/16/2022 | 389,449 | ||||||
Supervalu, Inc., Term Loan | ||||||||
516,820 | 4.500%, 3/21/2019 | 509,176 | ||||||
Valeant Pharmaceuticals International, Inc., Term Loan | ||||||||
773,053 | 4.000%, 4/1/2022b,c | 741,937 | ||||||
|
| |||||||
Total | 8,281,474 | |||||||
|
| |||||||
| Energy (1.0%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
609,250 | 6.250%, 5/16/2018 | 268,241 | ||||||
Aria Energy Operating, LLC, Term Loan | ||||||||
402,104 | 5.000%, 5/27/2022 | 371,947 | ||||||
Energy Solutions, LLC, Term Loan | ||||||||
773,732 | 6.750%, 5/29/2020 | 580,299 | ||||||
Exgen Renewables I, LLC, Term Loan | ||||||||
391,366 | 5.250%, 2/6/2021 | 391,366 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
351,093 | 4.750%, 11/8/2019 | 321,250 | ||||||
MEG Energy Corporation, Term Loan | ||||||||
680,415 | 0.000%, 3/31/2020 | 596,724 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
310,315 | 0.000%, 3/28/2019d | 62,321 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
580,125 | 4.500%, 6/3/2018 | 248,003 | ||||||
Targa Resources Partners, LP, Term Loan | ||||||||
306,977 | 5.750%, 2/27/2022 | 297,000 | ||||||
|
| |||||||
Total | 3,137,151 | |||||||
|
| |||||||
| Financials (0.7%) | |||||||
DJO Finance, LLC, Term Loan | ||||||||
324,188 | 4.250%, 6/7/2020 | 314,562 | ||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
557,812 | 7.000%, 5/22/2018 | 538,752 | ||||||
MPH Acquisition Holdings, LLC, Term Loan | ||||||||
68,715 | 3.750%, 3/31/2021 | 66,768 | ||||||
TransUnion, LLC, Term Loan | ||||||||
687,750 | 3.500%, 4/9/2021 | 666,829 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
731,156 | 4.000%, 10/15/2019 | 718,361 | ||||||
|
| |||||||
Total | 2,305,272 | |||||||
|
| |||||||
| Technology (1.3%) | |||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||
1,500,000 | 0.000%, 11/13/2022b,c | 1,482,195 | ||||||
Avago Technologies, Ltd., Term Loan | ||||||||
898,818 | 3.750%, 5/6/2021 | 895,825 | ||||||
BMC Software, Inc., Term Loan | ||||||||
519,903 | 5.000%, 9/10/2020 | 426,689 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
94
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (16.4%)a | Value | ||||||
| Technology (1.3%) - continued | |||||||
First Data Corporation, Term Loan | ||||||||
$ | 670,000 | 3.918%, 3/23/2018 | $ | 660,412 | ||||
140,000 | 3.918%, 9/24/2018 | 137,900 | ||||||
150,000 | 4.168%, 7/8/2022 | 147,713 | ||||||
Merrill Communications, LLC, Term Loan | ||||||||
2,368 | 6.250%, 6/1/2022 | 2,013 | ||||||
SS&C European Holdings SARL, Term Loan | ||||||||
300,807 | 4.007%, 7/8/2022 | 298,175 | ||||||
44,268 | 4.018%, 7/8/2022 | 43,881 | ||||||
|
| |||||||
Total | 4,094,803 | |||||||
|
| |||||||
| Transportation (0.9%) | |||||||
American Airlines, Inc., Term Loan | ||||||||
1,051,275 | 3.250%, 6/27/2020 | 1,033,698 | ||||||
Delta Airlines, Inc., Term Loan | ||||||||
698,250 | 3.250%, 8/24/2022 | 696,127 | ||||||
OSG Bulk Ships, Inc., Term Loan | ||||||||
265,950 | 5.250%, 8/5/2019 | 254,647 | ||||||
XPO Logistics, Inc., Term Loan | ||||||||
850,000 | 5.500%, 11/1/2021 | 845,393 | ||||||
|
| |||||||
Total | 2,829,865 | |||||||
|
| |||||||
| Utilities (0.5%) | |||||||
Calpine Corporation, Term Loan | ||||||||
447,716 | 4.000%, 10/31/2020 | 435,403 | ||||||
701,658 | 3.500%, 5/27/2022 | 667,628 | ||||||
Intergen NV, Term Loan | ||||||||
580,125 | 5.500%, 6/15/2020 | 522,838 | ||||||
|
| |||||||
Total | 1,625,869 | |||||||
|
| |||||||
Total Bank Loans (cost $55,160,312) | 51,294,478 | |||||||
|
| |||||||
Shares | Common Stock (45.2%) | |||||||
| Consumer Discretionary (7.1%) | |||||||
4,000 | Aisan Industry Company, Ltd. | 41,075 | ||||||
1,200 | Aisin Seiki Company, Ltd. | 51,646 | ||||||
3,380 | Amazon.com, Inc.e | 2,284,508 | ||||||
2,590 | AutoZone, Inc.e | 1,921,547 | ||||||
600 | Bayerische Motoren Werke AG | 50,199 | ||||||
6,000 | Berkeley Group Holdings plc | 326,183 | ||||||
13,410 | Best Buy Company, Inc. | 408,335 | ||||||
9,570 | BorgWarner, Inc. | 413,711 | ||||||
1,300 | Brembo SPA | 62,807 | ||||||
3,400 | Bridgestone Corporation | 116,625 | ||||||
6,390 | Burlington Stores, Inc.e | 274,131 | ||||||
6,000 | Calsonic Kansei Corporation | 52,896 | ||||||
8,460 | Cedar Fair, LP | 472,406 | ||||||
4,300 | Cineworld Group plc | 35,651 | ||||||
41,765 | Comcast Corporation | 2,356,799 | ||||||
2,300 | Compass Group plc | 39,855 | ||||||
200 | Continental AG | 48,382 | ||||||
1,200 | Daimler AG | 100,265 | ||||||
27,700 | Debenhams plc | 29,865 | ||||||
5,400 | Denso Corporation | 258,042 | ||||||
32,600 | Discovery Communications, Inc., Class Ae,f | 869,768 | ||||||
22,000 | EDION Corporation | 166,113 | ||||||
2,600 | Electrolux AB | 62,731 | ||||||
3,600 | Eutelsat Communications | 107,786 | ||||||
14,670 | Ford Motor Company | 206,700 | ||||||
4,980 | General Motors Company | 169,370 | ||||||
8,100 | GKN plc | 36,757 | ||||||
15,000 | Gunze, Ltd. | 43,936 | ||||||
8,900 | Hakuhodo Dy Holdings, Inc. | 96,294 | ||||||
4,080 | Harman International Industries, Inc. | 384,377 | ||||||
500 | Hugo Boss AG | 41,255 | ||||||
16,100 | Inchcape plc | 185,758 | ||||||
7,400 | Informa plc | 66,878 | ||||||
2,500 | Intertek Group plc | 102,267 | ||||||
4,300 | Isuzu Motors, Ltd. | 46,322 | ||||||
53,400 | ITV plc | 217,411 | ||||||
14,150 | Jarden Corporatione | 808,248 | ||||||
26,300 | Lookers plc | 71,659 | ||||||
22,230 | MDC Partners, Inc. | 482,836 | ||||||
1,300 | Mitsuba Corporation | 20,098 | ||||||
29,660 | NIKE, Inc. | 1,853,750 | ||||||
7,600 | NOK Corporation | 177,542 | ||||||
400 | Paddy Power plc | 53,423 | ||||||
7,000 | PanaHome Corporation | 52,884 | ||||||
5,360 | Papa John’s International, Inc. | 299,463 | ||||||
16,300 | Persimmon plc | 486,286 | ||||||
610 | Priceline Group, Inc.e | 777,720 | ||||||
1,500 | ProSiebenSat.1 Media AG | 75,677 | ||||||
300 | Renault SA | 30,029 | ||||||
4,315 | Restoration Hardware Holdings, Inc.e | 342,827 | ||||||
1,096 | Schibsted ASA | 36,033 | ||||||
4,000 | Sekisui House, Ltd. | 67,255 | ||||||
4,100 | SHOWA Corporation | 38,042 | ||||||
5,900 | Sports Direct International plce | 50,139 | ||||||
1,900 | Stanley Electric Company, Ltd. | 41,681 | ||||||
11,000 | Star Entertainment Group, Ltd. | 40,364 | ||||||
21,460 | Starbucks Corporation | 1,288,244 | ||||||
12,900 | Sumitomo Forestry Company, Ltd. | 174,061 | ||||||
6,400 | Sumitomo Rubber Industries, Ltd. | 83,222 | ||||||
7,000 | Takashimaya Company, Ltd. | 63,038 | ||||||
1,300 | Tamron Company, Ltd. | 23,984 | ||||||
11,080 | Target Corporation | 804,519 | ||||||
13,100 | Tatts Group, Ltd. | 41,591 | ||||||
62,200 | Taylor Wimpey plc | 185,940 | ||||||
11,640 | Toll Brothers, Inc.e | 387,612 | ||||||
14,900 | UBM plc | 115,482 | ||||||
1,100 | Valora Holding AG | 228,849 | ||||||
6,000 | Wacoal Holdings Corporation | 71,751 | ||||||
10,600 | WH Smith plc | 275,431 | ||||||
7,200 | Wolters Kluwer NV | 241,803 | ||||||
9,600 | WPP plc | 220,818 | ||||||
1,900 | Yokohama Rubber Company, Ltd. | 29,180 | ||||||
|
| |||||||
Total | 22,190,132 | |||||||
|
| |||||||
| Consumer Staples (2.6%) | |||||||
2,300 | AarhusKarlshamn AB | 170,382 | ||||||
11,080 | Anheuser-Busch InBev NV ADR | 1,385,000 | ||||||
6,000 | Axfood AB | 103,921 | ||||||
1,383 | Bakkafrost PF | 40,744 | ||||||
700 | British American Tobacco plc | 38,874 | ||||||
5,200 | Britvic plc | 55,714 | ||||||
1,600 | Carrefour SA | 46,176 | ||||||
30,360 | Coca-Cola Company | 1,304,266 | ||||||
11,000 | Coca-Cola HBC AGe | 234,254 | ||||||
2,400 | Henkel AG & Company KGaA | 229,568 | ||||||
19,700 | Imperial Tobacco Group plc | 1,040,514 | ||||||
13,000 | Japan Tobacco, Inc. | 477,279 | ||||||
4,700 | Jeronimo Martins SGPS SA | 61,159 | ||||||
4,900 | Kao Corporation | 251,805 | ||||||
500 | Kerry Group plc | 41,370 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
95
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (45.2%) | Value | ||||||
| Consumer Staples (2.6%) - continued |
| ||||||
33,000 | Koninklijke Ahold NV | $ | 696,087 | |||||
800 | KOSE Corporation | 73,969 | ||||||
4,500 | Marks and Spencer Group plc | 29,962 | ||||||
6,900 | Nestle SA | 512,223 | ||||||
5,000 | Nippon Meat Packers, Inc. | 97,999 | ||||||
6,800 | Nisshin Oillio Group, Ltd. | 27,701 | ||||||
6,920 | Philip Morris International, Inc. | 608,337 | ||||||
1,300 | Royal Unibrew AS | 52,834 | ||||||
2,700 | Suedzucker AG | 53,515 | ||||||
1,600 | Sugi Holdings Company, Ltd. | 88,276 | ||||||
600 | Sundrug Company, Ltd. | 38,578 | ||||||
1,800 | Svenska Cellulosa AB SCA | 52,164 | ||||||
7,600 | Swedish Match AB | 268,564 | ||||||
|
| |||||||
Total | 8,081,235 | |||||||
|
| |||||||
| Energy (3.2%) | |||||||
900 | Azrieli Group, Ltd. | 33,527 | ||||||
80,200 | BP plc | 416,777 | ||||||
1,620 | Cimarex Energy Company | 144,796 | ||||||
18,970 | EOG Resources, Inc. | 1,342,886 | ||||||
16,630 | EQT Corporation | 866,922 | ||||||
47,000 | Kinder Morgan, Inc. | 701,240 | ||||||
2,700 | OMV AG | 76,641 | ||||||
27,380 | Parsley Energy, Inc.e | 505,161 | ||||||
1,700 | Royal Dutch Shell plc | 38,772 | ||||||
28,000 | Royal Dutch Shell plc ADR | 1,282,120 | ||||||
4,100 | Royal Dutch Shell plc, Class B | 93,443 | ||||||
54,000 | Spectra Energy Corporation | 1,292,760 | ||||||
13,514 | Statoil ASA | 188,477 | ||||||
13,000 | TonenGeneral Sekiyu KK | 109,746 | ||||||
32,363 | Total SA ADRf | 1,454,717 | ||||||
180,550 | Weatherford International, Ltd.e | 1,514,814 | ||||||
|
| |||||||
Total | 10,062,799 | |||||||
|
| |||||||
| Financials (12.6%) | |||||||
54,200 | Aberdeen Asset Management plc | 230,960 | ||||||
1,550 | Acadia Realty Trust | 51,383 | ||||||
2,100 | AEON Financial Service Company, Ltd. | 46,911 | ||||||
2,810 | Affiliated Managers Group, Inc.e | 448,926 | ||||||
1,900 | Agree Realty Corporation | 64,581 | ||||||
9,110 | Alexandria Real Estate Equities, Inc. | 823,180 | ||||||
8,300 | Allianz SE | 1,463,116 | ||||||
7,900 | American Capital Agency Corporation | 136,986 | ||||||
1,530 | American Farmland Company | 10,771 | ||||||
4,719 | American Realty Capital Properties, Inc. | 37,374 | ||||||
15,300 | Annaly Capital Management, Inc. | 143,514 | ||||||
4,050 | Apartment Investment & Management Company | 162,121 | ||||||
51,650 | Apollo Investment Corporation | 269,613 | ||||||
23,800 | Ares Capital Corporation | 339,150 | ||||||
22,900 | Australia & New Zealand Banking Group, Ltd. | 462,116 | ||||||
3,100 | AvalonBay Communities, Inc. | 570,803 | ||||||
85,300 | Banco Santander SA | 419,625 | ||||||
38,100 | Bank Hapoalim, Ltd. | 196,672 | ||||||
9,984 | Bank of Queensland, Ltd. | 100,715 | ||||||
67,000 | Bank of Yokohama, Ltd. | 410,683 | ||||||
23,100 | BinckBank NV | 199,085 | ||||||
5,900 | BioMed Realty Trust, Inc. | 139,771 | ||||||
1,200 | Bluerock Residential Growth REIT, Inc. | 14,220 | ||||||
900 | Bolsas y Mercados Espanoles SA | 30,330 | ||||||
6,260 | Boston Properties, Inc. | 798,400 | ||||||
7,300 | British Land Company plc | 84,468 | ||||||
23,988 | Brixmor Property Group, Inc. | 619,370 | ||||||
9,180 | Camden Property Trust | 704,657 | ||||||
10,396 | Capital Shopping Centres Group plc | 48,570 | ||||||
31,100 | �� | CapitaMall Trust | 42,199 | |||||
1,800 | Care Capital Properties, Inc. | 55,026 | ||||||
58,590 | Charles Schwab Corporation | 1,929,369 | ||||||
1,024 | Chesapeake Lodging Trust | 25,764 | ||||||
8,000 | Chiba Bank, Ltd. | 56,770 | ||||||
31,908 | Citigroup, Inc. | 1,651,239 | ||||||
9,900 | CNP Assurances | 133,545 | ||||||
650 | CoreSite Realty Corporation | 36,868 | ||||||
6,900 | CubeSmart | 211,278 | ||||||
1,350 | CyrusOne, Inc. | 50,558 | ||||||
3,600 | Daiwa House Industry Company, Ltd. | 103,487 | ||||||
30,710 | DDR Corporation | 517,156 | ||||||
600 | Derwent London plc | 32,453 | ||||||
45,600 | DEXUS Property Group | 247,342 | ||||||
2,900 | Digital Realty Trust, Inc. | 219,298 | ||||||
21,758 | Direct Line Insurance Group plc | 130,421 | ||||||
15,700 | Duke Realty Corporation | 330,014 | ||||||
700 | DuPont Fabros Technology, Inc. | 22,253 | ||||||
14,550 | Encore Capital Group, Inc.e,f | 423,114 | ||||||
2,400 | EPR Properties | 140,280 | ||||||
1,532 | Equinix, Inc. | 463,277 | ||||||
3,000 | Equity Lifestyle Properties, Inc. | 200,010 | ||||||
900 | Equity One, Inc. | 24,435 | ||||||
9,440 | Equity Residential | 770,210 | ||||||
1,600 | Essex Property Trust, Inc. | 383,056 | ||||||
1,400 | Extra Space Storage, Inc. | 123,494 | ||||||
600 | Federal Realty Investment Trust | 87,660 | ||||||
23,800 | FlexiGroup, Ltd. | 51,942 | ||||||
28,500 | Frasers Centrepoint Trust | 37,042 | ||||||
66,000 | Fukuoka Financial Group, Inc. | 327,269 | ||||||
12,786 | General Growth Properties, Inc. | 347,907 | ||||||
1,900 | GEO Group, Inc. | 54,929 | ||||||
4,000 | Hamborner REIT AG | 41,792 | ||||||
5,400 | Hammerson plc | 47,738 | ||||||
8,400 | Hang Seng Bank, Ltd. | 159,208 | ||||||
3,800 | Hannover Rueckversicherung SE | 433,923 | ||||||
7,800 | HCP, Inc. | 298,272 | ||||||
6,273 | Health Care REIT, Inc. | 426,752 | ||||||
6,100 | Healthcare Trust of America, Inc. | 164,517 | ||||||
16,900 | Henderson Group plc | 76,811 | ||||||
6,500 | Henderson Land Development Company, Ltd. | 39,650 | ||||||
3,800 | Highwoods Properties, Inc. | 165,680 | ||||||
11,000 | Hokuhoku Financial Group, Inc. | 22,424 | ||||||
3,000 | Hospitality Properties Trust | 78,450 | ||||||
27,376 | Host Hotels & Resorts, Inc. | 419,948 | ||||||
1,100 | Hudson Pacific Properties, Inc. | 30,954 | ||||||
8,700 | Hufvudstaden AB | 122,988 | ||||||
66,000 | Hysan Development Company, Ltd. | 269,654 | ||||||
2,200 | IG Group Holdings plc | 26,010 | ||||||
12,200 | ING Groep NV | 165,067 | ||||||
5,030 | Intercontinental Exchange, Inc. | 1,288,988 | ||||||
29,228 | Intermediate Capital Group plc | 269,441 | ||||||
10,000 | Invesco Mortgage Capital, Inc. | 123,900 | ||||||
19,300 | Investa Office Fund | 55,869 | ||||||
41,500 | Investec plc | 292,618 | ||||||
1,500 | Iron Mountain, Inc. | 40,515 | ||||||
1,700 | Kilroy Realty Corporation | 107,576 | ||||||
12,500 | Kimco Realty Corporation | 330,750 | ||||||
803 | Lamar Advertising Company | 48,164 | ||||||
2,400 | LaSalle Hotel Properties | 60,384 | ||||||
900 | Liberty Property Trust | 27,945 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
96
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (45.2%) | Value | ||||||
| Financials (12.6%) - continued | |||||||
46,000 | Link REIT | $ | 274,247 | |||||
3,450 | Macerich Company | 278,380 | ||||||
600 | Macquarie Group, Ltd. | 35,894 | ||||||
6,300 | Medical Properties Trust, Inc. | 72,513 | ||||||
23,800 | MetLife, Inc. | 1,147,398 | ||||||
2,400 | Mid-America Apartment Communities, Inc. | 217,944 | ||||||
58,500 | Mitsubishi UFJ Financial Group, Inc. | 362,364 | ||||||
500 | Muenchener Rueckversicherungs-Gesellschaft AG | 99,619 | ||||||
1,500 | National Health Investors, Inc. | 91,305 | ||||||
5,500 | National Retail Properties, Inc. | 220,275 | ||||||
143,000 | New World Development Company, Ltd. | 140,417 | ||||||
2,400 | NorthStar Realty Finance Corporation | 40,872 | ||||||
10,000 | Ogaki Kyoritsu Bank, Ltd. | 40,317 | ||||||
11,500 | Old Mutual plc | 30,253 | ||||||
3,050 | Omega Healthcare Investors, Inc. | 106,689 | ||||||
1,600 | Outfront Media, Inc. | 34,928 | ||||||
11,630 | PacWest Bancorp | 501,253 | ||||||
3,400 | Parkway Properties, Inc. | 53,142 | ||||||
4,700 | Physicians Realty Trust | 79,242 | ||||||
11,100 | Poundland Group plc | 33,987 | ||||||
18,920 | Prologis, Inc. | 812,046 | ||||||
3,870 | Public Storage, Inc. | 958,599 | ||||||
6,430 | Raymond James Financial, Inc. | 372,747 | ||||||
2,800 | Realty Income Corporation | 144,564 | ||||||
2,200 | Regency Centers Corporation | 149,864 | ||||||
7,700 | Renasant Corporation | 264,957 | ||||||
7,800 | Resona Holdings, Inc. | 37,879 | ||||||
1,400 | Retail Opportunity Investments Corporation | 25,060 | ||||||
5,500 | RLJ Lodging Trust | 118,965 | ||||||
900 | Sampo Oyj | 45,704 | ||||||
5,700 | Schroders plc | 249,656 | ||||||
503 | Silver Bay Realty Trust Corporation REIT | 7,877 | ||||||
7,593 | Simon Property Group, Inc. | 1,476,383 | ||||||
1,400 | SL Green Realty Corporation | 158,172 | ||||||
20,250 | Solar Capital, Ltd. | 332,708 | ||||||
1,200 | Sompo Japan Nipponkoa Holdings, Inc. | 39,402 | ||||||
1,177 | Sovran Self Storage, Inc. | 126,304 | ||||||
15,100 | Spirit Realty Captial, Inc. | 151,302 | ||||||
112,200 | Stockland | 333,063 | ||||||
1,710 | Store Capital Corporation | 39,672 | ||||||
45,000 | Sumitomo Mitsui Trust Holdings, Inc. | 170,430 | ||||||
4,500 | Summit Hotel Properties, Inc. | 53,775 | ||||||
400 | Sun Communities, Inc. | 27,412 | ||||||
2,000 | Sunstone Hotel Investors, Inc. | 24,980 | ||||||
8,800 | Swiss Re AG | 859,463 | ||||||
42,300 | Synchrony Financiale | 1,286,343 | ||||||
1,300 | Talanx AG | 39,981 | ||||||
2,932 | Tanger Factory Outlet Centers, Inc. | 95,876 | ||||||
800 | Taubman Centers, Inc. | 61,376 | ||||||
900 | Tokio Marine Holdings, Inc. | 34,762 | ||||||
16,900 | UBS Group AG | 327,851 | ||||||
6,500 | UDR, Inc. | 244,205 | ||||||
25,100 | United Overseas Bank, Ltd. | 346,049 | ||||||
4,000 | Urban Edge Properties | 93,800 | ||||||
7,200 | Ventas, Inc. | 406,296 | ||||||
7,130 | Vornado Realty Trust | 712,715 | ||||||
4,800 | Wallenstam AB | 38,581 | ||||||
49,400 | Wing Tai Holdings, Ltd. | 61,022 | ||||||
1,700 | WP Carey, Inc. | 100,300 | ||||||
12,940 | XL Group plc | 506,989 | ||||||
16,970 | Zions Bancorporation | 463,281 | ||||||
|
| |||||||
Total | 39,555,174 | |||||||
|
| |||||||
| Health Care (4.9%) | |||||||
41,730 | Abbott Laboratories | 1,874,094 | ||||||
600 | Actelion, Ltd. | 83,366 | ||||||
10,600 | Akorn, Inc.e | 395,486 | ||||||
4,880 | Allergan plce | 1,525,000 | ||||||
6,500 | Amgen, Inc. | 1,055,145 | ||||||
4,300 | Astellas Pharmaceutical, Inc. | 61,214 | ||||||
200 | Bayer AG | 24,978 | ||||||
1,000 | CSL, Ltd. | 76,239 | ||||||
6,100 | Essilor International SA | 760,283 | ||||||
600 | Fresenius Medical Care AG & Company KGaA | 50,421 | ||||||
500 | Gerresheimer AG | 39,071 | ||||||
6,900 | Hikma Pharmaceuticals plc | 233,908 | ||||||
13,080 | Hologic, Inc.e | 506,065 | ||||||
4,710 | ICON plce | 365,967 | ||||||
2,260 | Illumina, Inc.e | 433,796 | ||||||
2,500 | Kaken Pharmaceutical Company, Ltd. | 170,833 | ||||||
900 | Lonza Group AG | 146,371 | ||||||
27,250 | Medtronic, Inc. | 2,096,070 | ||||||
39,840 | Merck & Company, Inc. | 2,104,349 | ||||||
11,680 | Mylan NVe | 631,538 | ||||||
6,000 | Novartis AG | 516,116 | ||||||
6,700 | Novo Nordisk AS | 387,918 | ||||||
900 | Paramount Bed Holdings Company, Ltd. | 31,933 | ||||||
19,270 | Pfizer, Inc. | 622,036 | ||||||
1,600 | Recordati SPA | 41,746 | ||||||
4,300 | Sanofi | 366,456 | ||||||
2,000 | Suzuken Company, Ltd. | 76,004 | ||||||
3,610 | Waters Corporatione | 485,834 | ||||||
|
| |||||||
Total | 15,162,237 | |||||||
|
| |||||||
| Industrials (5.0%) | |||||||
2,000 | Aalberts Industries NV | 68,912 | ||||||
2,600 | Adecco SA | 177,951 | ||||||
13,630 | ADT Corporationf | 449,517 | ||||||
3,700 | Aida Engineering, Ltd. | 38,135 | ||||||
47,200 | Air New Zealand, Ltd. | 95,196 | ||||||
2,600 | Airbus Group NV | 175,208 | ||||||
4,200 | Amada Holdings Company, Ltd. | 40,079 | ||||||
1,200 | Andritz AG | 58,402 | ||||||
22,000 | Asahi Glass Company, Ltd. | 126,035 | ||||||
1,400 | Atlas Copco Aktiebolag | 34,335 | ||||||
26,200 | BAE Systems plc | 192,899 | ||||||
18,140 | Boeing Company | 2,622,863 | ||||||
13,200 | Bollore SA | 61,508 | ||||||
11,300 | Central Glass Company, Ltd. | 51,828 | ||||||
1,800 | Central Japan Railway Company | 319,561 | ||||||
2,400 | Compagnie de Saint-Gobain | 104,005 | ||||||
1,400 | Croda International plc | 62,727 | ||||||
8,800 | CTT-Correios de Portugal SA | 84,576 | ||||||
6,000 | Dai Nippon Printing Company, Ltd. | 59,332 | ||||||
5,448 | Dart Group plc | 47,265 | ||||||
3,900 | Deutsche Post AG | 109,036 | ||||||
2,000 | DSV AS | 78,727 | ||||||
500 | East Japan Railway Company | 47,083 | ||||||
1,000 | Elbit Systems, Ltd. | 88,035 | ||||||
8,960 | EMCOR Group, Inc. | 430,438 | ||||||
5,800 | Ferrovial SA | 131,157 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
97
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (45.2%) | Value | ||||||
| Industrials (5.0%) - continued | |||||||
100 | Flughafen Zuerich AG | $ | 75,031 | |||||
3,725 | Galliford Try plc | 83,700 | ||||||
900 | GEA Group AG | 36,361 | ||||||
100 | Georg Fischer AG | 67,890 | ||||||
6,000 | Hankyu Hanshin Holdings, Inc. | 38,999 | ||||||
8,930 | HNI Corporation | 322,016 | ||||||
700 | Hochtief AG | 64,924 | ||||||
700 | Hoshizaki Electric Company, Ltd. | 43,516 | ||||||
2,400 | IBIDEN Company, Ltd. | 34,407 | ||||||
27,550 | Illinois Tool Works, Inc. | 2,553,334 | ||||||
2,600 | Inaba Denki Sangyo Company, Ltd. | 83,073 | ||||||
23,660 | Ingersoll-Rand plc | 1,308,161 | ||||||
8,900 | Intrum Justitia AB | 302,847 | ||||||
33,400 | ITOCHU Corporation | 395,070 | ||||||
1,700 | Jardine Matheson Holdings, Ltd. | 82,327 | ||||||
700 | Jungheinrich AG | 57,732 | ||||||
3,000 | Keisei Electric Railway Company, Ltd. | 38,275 | ||||||
12,400 | KITZ Corporation | 55,699 | ||||||
8,500 | KONE Oyj | 359,901 | ||||||
2,700 | Koninklijke Boskalis Westminster NV | 110,140 | ||||||
19,700 | Macquarie Infrastructure Corporation | 1,430,220 | ||||||
15,950 | Masco Corporation | 451,385 | ||||||
17,738 | Meggitt plc | 97,937 | ||||||
1,000 | MEITEC Corporation | 34,244 | ||||||
4,800 | MIRAIT Holdings Corporation | 39,547 | ||||||
6,000 | Mitsuboshi Belting, Ltd. | 47,831 | ||||||
5,200 | Nikkon Holdings Company, Ltd. | 103,645 | ||||||
8,000 | Nippon Express Company, Ltd. | 37,594 | ||||||
8,600 | Nitto Kogyo Corporation | 150,361 | ||||||
5,000 | Obayashi Corporation | 46,136 | ||||||
500 | Randstad Holding NV | 31,136 | ||||||
16,700 | Rentokil Initial plc | 39,182 | ||||||
500 | Rieter Holding AG | 93,978 | ||||||
1,672 | Saft Groupe SA | 50,961 | ||||||
200 | Schindler Holding AG | 33,460 | ||||||
17,900 | SIG plc | 37,826 | ||||||
2,800 | Teleperformance SA | 235,446 | ||||||
800 | Thales SA | 59,880 | ||||||
1,400 | TKH Group NV | 56,851 | ||||||
9,000 | Toppan Printing Company, Ltd. | 82,919 | ||||||
1,200 | Travis Perkins plc | 34,813 | ||||||
3,700 | Tsubakimoto Chain Company | 28,490 | ||||||
600 | Vestas Wind Systems AS | 41,903 | ||||||
3,890 | WABCO Holdings, Inc.e | 397,791 | ||||||
1,200 | Yuasa Trading Company, Ltd. | 29,644 | ||||||
|
| |||||||
Total | 15,561,393 | |||||||
|
| |||||||
| Information Technology (6.6%) | |||||||
15,060 | Alibaba Group Holding, Ltd. ADRe,f | 1,223,926 | ||||||
1,670 | Alphabet, Inc., Class Ae | 1,299,277 | ||||||
1,645 | Alphabet, Inc., Class Ce | 1,248,358 | ||||||
3,400 | Alps Electric Company, Ltd. | 92,201 | ||||||
1,100 | AMS AG | 36,771 | ||||||
15,080 | Apple, Inc. | 1,587,321 | ||||||
560 | AtoS | 47,014 | ||||||
7,290 | Autodesk, Inc.e | 444,180 | ||||||
4,700 | Canon, Inc. | 142,175 | ||||||
900 | Cap Gemini SA | 83,507 | ||||||
6,700 | Check Point Software Technologies, Ltd.e | 545,246 | ||||||
49,140 | Cisco Systems, Inc. | 1,334,397 | ||||||
3,800 | Dialog Semiconductor plce | 126,801 | ||||||
1,700 | DTS Corporation | 38,698 | ||||||
45,780 | EMC Corporation | 1,175,630 | ||||||
5,660 | Facebook, Inc.e | 592,376 | ||||||
16,800 | FUJIFILM Holdings NPV | 701,106 | ||||||
4,000 | Hitachi Kokusai Electric, Inc. | 54,377 | ||||||
2,600 | Hoya Corporation | 106,321 | ||||||
1,600 | Ingenico Group | 201,955 | ||||||
5,000 | IRESS, Ltd. | 36,201 | ||||||
2,200 | IT Holdings Corporation | 50,267 | ||||||
2,000 | ITOCHU Techno-Solutions Corporation | 39,849 | ||||||
14,950 | Juniper Networks, Inc. | 412,620 | ||||||
1,200 | Kyocera Corporation | 55,729 | ||||||
9,850 | MasterCard, Inc. | 958,996 | ||||||
22,760 | MaxLinear, Inc.e | 335,255 | ||||||
41,270 | Microsoft Corporation | 2,289,660 | ||||||
6,800 | NEC Networks & System Integration Corporation | 120,256 | ||||||
2,600 | NS Solutions Corporation | 59,243 | ||||||
8,020 | Plantronics, Inc. | 380,308 | ||||||
21,190 | Progress Software Corporatione | 508,560 | ||||||
14,713 | QLIK Technologies, Inc.e | 465,814 | ||||||
2,500 | SAP SE | 198,384 | ||||||
10,400 | Shinko Electric Industries Company, Ltd. | 66,673 | ||||||
500 | TDK Corporation | 32,022 | ||||||
100 | U-Blox AGe | 21,284 | ||||||
1,960 | Ultimate Software Group, Inc.e | 383,200 | ||||||
25,950 | Visa, Inc. | 2,012,422 | ||||||
24,230 | Xilinx, Inc. | 1,138,083 | ||||||
|
| |||||||
Total | 20,646,463 | |||||||
|
| |||||||
| Materials (1.3%) | |||||||
1,350 | Ashland, Inc. | 138,645 | ||||||
500 | Aurubis AG | 25,318 | ||||||
13,600 | BHP Billiton plc | 151,666 | ||||||
30,600 | BHP Billiton, Ltd. | 393,808 | ||||||
14,300 | BillerudKorsnas AB | 264,644 | ||||||
12,000 | Boral, Ltd. | 51,306 | ||||||
3,100 | Buzzi Unicem SPA | 55,569 | ||||||
3,530 | Crown Holdings, Inc.e | 178,971 | ||||||
17,800 | Daicel Corporation | 264,898 | ||||||
4,340 | Domtar Corporation | 160,363 | ||||||
7,000 | DOWA Holdings Company, Ltd.e | 50,331 | ||||||
1,000 | Evonik Industries AG | 33,077 | ||||||
2,670 | FMC Corporation | 104,477 | ||||||
100 | Givaudan SA | 181,496 | ||||||
3,600 | Hexpol AB | 38,600 | ||||||
5,100 | Hokuetsu Kishu Paper Company, Ltd. | 30,054 | ||||||
1,900 | Holmen AB | 58,686 | ||||||
2,300 | JFE Holdings, Inc. | 36,115 | ||||||
600 | LafargeHolcim, Ltd. | 30,045 | ||||||
200 | Linde AG | 28,892 | ||||||
5,700 | Mitsubishi Chemical Holdings Corporation | 36,165 | ||||||
4,100 | Mondi plc | 80,363 | ||||||
2,500 | Nippon Paint Holdings Company, Ltd. | 60,505 | ||||||
5,100 | Nippon Steel & Sumitomo Metal Corporation | 100,890 | ||||||
3,500 | Novozymes AS | 167,576 | ||||||
7,000 | Oji Holdings Corporation | 28,133 | ||||||
6,640 | Owens-Illinois, Inc.e | 115,669 | ||||||
3,100 | Packaging Corporation of America | 195,455 | ||||||
1,850 | PPG Industries, Inc. | 182,817 | ||||||
2,500 | Rio Tinto plc | 72,789 | ||||||
1,000 | Rio Tinto, Ltd. | 32,339 | ||||||
8,670 | Steel Dynamics, Inc. | 154,933 | ||||||
8,000 | Sumitomo Seika Chemicals Company, Ltd. | 48,674 | ||||||
7,000 | Tosoh Corporation | 36,008 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
98
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BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (45.2%) | Value | ||||||
| Materials (1.3%) - continued | |||||||
7,500 | UPM-Kymmene Oyj | $ | 139,241 | |||||
7,837 | Yara International ASA | 337,056 | ||||||
|
| |||||||
Total | 4,065,574 | |||||||
|
| |||||||
| Telecommunications Services (0.9%) | |||||||
36,000 | BT Group plc | 249,970 | ||||||
9,600 | Elisa Oyj | 361,201 | ||||||
8,700 | Freenet AG | 293,582 | ||||||
131,800 | KCOM Group plc | 224,417 | ||||||
22,300 | Orange SA | 372,986 | ||||||
4,300 | Proximus SA | 139,927 | ||||||
13,900 | StarHub, Ltd. | 36,173 | ||||||
170,200 | Telstra Corporation, Ltd. | 691,640 | ||||||
3,700 | Vivendi SA | 79,465 | ||||||
17,480 | Zayo Group Holdings, Inc.e | 464,793 | ||||||
|
| |||||||
Total | 2,914,154 | |||||||
|
| |||||||
| Utilities (1.0%) | |||||||
82,400 | A2A SPA | 111,575 | ||||||
37,500 | Brookfield Infrastructure Partners, LP | 1,421,625 | ||||||
10,000 | CLP Holdings, Ltd. | 84,760 | ||||||
71,400 | Electricidade de Portugal SA | 257,280 | ||||||
23,670 | MDU Resources Group, Inc. | 433,634 | ||||||
8,420 | NorthWestern Corporation | 456,785 | ||||||
40,300 | Redes Energeticas Nacionais SGPS SA | 121,749 | ||||||
7,000 | Toho Gas Company, Ltd. | 45,208 | ||||||
17,800 | United Utilities Group plc | 245,095 | ||||||
|
| |||||||
Total | 3,177,711 | |||||||
|
| |||||||
Total Common Stock (cost $135,894,397) | 141,416,872 | |||||||
|
| |||||||
Principal Amount | Long-Term Fixed Income (29.8%) | |||||||
| Asset-Backed Securities (1.4%) | |||||||
Asset Backed Securities Corporation Home Equity Loan Trust | ||||||||
384,435 | 0.562%, 7/25/2036g | 335,837 | ||||||
Bayview Opportunity Master Fund Trust | ||||||||
104,606 | 3.623%, 4/28/2030h | 103,164 | ||||||
243,226 | 3.228%, 7/28/2034*,i | 242,806 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
268,465 | 3.546%, 12/25/2036i | 193,152 | ||||||
First Horizon ABS Trust | ||||||||
259,717 | 0.582%, 10/25/2034g,j | 234,955 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
497,004 | 0.401%, 8/25/2035g,j | 464,960 | ||||||
401,120 | 0.401%, 12/25/2036g,j | 352,006 | ||||||
IndyMac INDA Mortgage Loan Trust | ||||||||
268,252 | 4.682%, 8/25/2036 | 255,124 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
462,259 | 0.632%, 4/25/2046g | 355,417 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
250,403 | 0.762%, 10/25/2036g,j | 157,219 | ||||||
J.P. Morgan Mortgage Acquisition Trust | ||||||||
192,230 | 6.472%, 3/25/2047i | 145,187 | ||||||
Lehman XS Trust | ||||||||
206,230 | 5.440%, 8/25/2035i | 184,560 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
555,264 | 0.712%, 12/22/2036*,g | 432,928 | ||||||
Sunset Mortgage Loan Company, LLC | ||||||||
180,552 | 4.459%, 9/16/2045*,i | 179,839 | ||||||
U.S. Residential Opportunity Fund III Trust | ||||||||
242,594 | 3.721%, 1/27/2035* | 241,018 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
191,071 | 3.500%, 6/26/2045h | 188,164 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
519,538 | 0.562%, 7/25/2037*,g,j | 443,494 | ||||||
|
| |||||||
Total | 4,509,830 | |||||||
|
| |||||||
| Basic Materials (0.3%) | |||||||
Albemarle Corporation | ||||||||
96,000 | 3.000%, 12/1/2019 | 94,162 | ||||||
Anglo American Capital plc | ||||||||
65,000 | 1.271%, 4/15/2016g,h | 64,364 | ||||||
ArcelorMittal SA | ||||||||
190,000 | 6.500%, 3/1/2021f | 152,929 | ||||||
Dow Chemical Company | ||||||||
86,000 | 8.550%, 5/15/2019 | 101,364 | ||||||
Freeport-McMoRan, Inc. | ||||||||
48,000 | 2.300%, 11/14/2017 | 40,920 | ||||||
80,000 | 2.375%, 3/15/2018 | 62,400 | ||||||
Glencore Funding, LLC | ||||||||
65,000 | 1.377%, 4/16/2018g,h | 54,847 | ||||||
LyondellBasell Industries NV | ||||||||
80,000 | 5.000%, 4/15/2019 | 85,104 | ||||||
NOVA Chemicals Corporation | ||||||||
341,904 | 5.250%, 8/1/2023h | 338,485 | ||||||
|
| |||||||
Total | 994,575 | |||||||
|
| |||||||
| Capital Goods (0.8%) | |||||||
Ball Corporation | ||||||||
200,000 | 4.375%, 12/15/2020 | 203,125 | ||||||
Berry Plastics Corporation | ||||||||
155,000 | 6.000%, 10/15/2022h | 157,712 | ||||||
Building Materials Corporation of America | ||||||||
280,000 | 6.000%, 10/15/2025h | 285,600 | ||||||
Cemex SAB de CV | ||||||||
300,000 | 5.700%, 1/11/2025h | 250,875 | ||||||
CNH Industrial Capital, LLC | ||||||||
305,000 | 4.375%, 11/6/2020 | 287,462 | ||||||
Crown Americas Capital Corporation IV | ||||||||
190,000 | 4.500%, 1/15/2023 | 185,725 | ||||||
General Electric Company | ||||||||
103,000 | 4.200%, 12/15/2049k | 102,485 | ||||||
L-3 Communications Corporation | ||||||||
90,000 | 1.500%, 5/28/2017 | 88,885 | ||||||
Lockheed Martin Corporation | ||||||||
65,000 | 1.850%, 11/23/2018 | 64,885 | ||||||
Martin Marietta Materials, Inc. | ||||||||
106,000 | 1.703%, 6/30/2017g | 105,263 | ||||||
Nortek, Inc. | ||||||||
227,936 | 8.500%, 4/15/2021 | 236,506 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
99
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BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (29.8%) | Value | ||||||
| Capital Goods (0.8%) - continued | |||||||
Pentair Finance SA | ||||||||
$ | 65,000 | 3.625%, 9/15/2020 | $ | 64,936 | ||||
Reynolds Group Issuer, Inc. | ||||||||
227,936 | 9.875%, 8/15/2019 | 229,646 | ||||||
Roper Industries, Inc. | ||||||||
71,000 | 2.050%, 10/1/2018 | 70,540 | ||||||
United Rentals North America, Inc. | ||||||||
290,000 | 5.500%, 7/15/2025 | 281,300 | ||||||
|
| |||||||
Total | 2,614,945 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (4.0%) | |||||||
Alternative Loan Trust | ||||||||
209,115 | 5.500%, 5/25/2035 | 209,803 | ||||||
Angel Oak Mortgage Trust | ||||||||
375,000 | 4.500%, 11/25/2045* | 374,341 | ||||||
Banc of America Alternative Loan Trust | ||||||||
560,201 | 6.000%, 11/25/2035 | 498,583 | ||||||
Banc of America Mortgage Securities, Inc. | ||||||||
197,553 | 2.848%, 9/25/2035 | 181,078 | ||||||
Bear Stearns ALT-A Trust | ||||||||
255,336 | 2.638%, 10/25/2033 | 252,820 | ||||||
Countrywide Alternative Loan Trust | ||||||||
472,566 | 6.500%, 8/25/2036 | 356,074 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust | ||||||||
407,573 | 2.706%, 11/25/2035 | 347,355 | ||||||
Credit Suisse First Boston Mortgage Securities Corporation | ||||||||
334,735 | 5.250%, 10/25/2035 | 332,714 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
370,006 | 1.899%, 8/25/2035 | 285,545 | ||||||
590,759 | 5.500%, 11/25/2035 | 564,370 | ||||||
370,776 | 1.027%, 4/25/2047g | 316,174 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
256,605 | 3.149%, 5/25/2035 | 241,789 | ||||||
HarborView Mortgage Loan Trust | ||||||||
300,501 | 2.685%, 7/19/2035 | 264,578 | ||||||
207,391 | 2.803%, 12/19/2035 | 182,433 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
649,322 | 6.500%, 3/25/2036 | 561,735 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
530,729 | 2.872%, 8/25/2035 | 527,438 | ||||||
522,336 | 2.919%, 1/25/2037 | 458,594 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
484,274 | 6.250%, 8/25/2036 | 394,452 | ||||||
MortgageIT Trust | ||||||||
732,659 | 0.682%, 12/25/2035g | 663,273 | ||||||
786,117 | 0.622%, 4/25/2036g | 592,294 | ||||||
New York Mortgage Trust | ||||||||
206,035 | 2.671%, 5/25/2036 | 186,436 | ||||||
RALI Trust | ||||||||
370,339 | 0.602%, 11/25/2036g | 269,016 | ||||||
Residential Accredit Loans, Inc. Trust | ||||||||
386,753 | 5.750%, 9/25/2035 | 348,391 | ||||||
Residential Funding Mortgage Security I Trust | ||||||||
680,829 | 6.000%, 7/25/2037 | 616,304 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
374,001 | 2.645%, 1/25/2035 | 313,157 | ||||||
280,122 | 2.719%, 7/25/2035 | 239,572 | ||||||
400,806 | 2.877%, 9/25/2035 | 338,664 | ||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
897,137 | 0.732%, 12/25/2035g | 649,510 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
157,596 | 5.000%, 11/25/2018 | 158,655 | ||||||
177,619 | 1.825%, 1/25/2037 | 149,509 | ||||||
329,778 | 0.997%, 1/25/2047g | 265,972 | ||||||
Washington Mutual Mortgage Pass Through Certificates | ||||||||
470,167 | 1.007%, 2/25/2047g | 337,014 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
182,043 | 2.763%, 3/25/2036 | 180,793 | ||||||
602,888 | 2.731%, 7/25/2036 | 590,733 | ||||||
354,090 | 6.000%, 7/25/2037 | 350,519 | ||||||
|
| |||||||
Total | 12,599,688 | |||||||
|
| |||||||
| Communications Services (1.3%) | |||||||
21st Century Fox America, Inc. | ||||||||
95,000 | 6.900%, 3/1/2019 | 107,905 | ||||||
AMC Networks, Inc. | ||||||||
47,936 | 7.750%, 7/15/2021 | 50,333 | ||||||
90,000 | 4.750%, 12/15/2022 | 90,000 | ||||||
America Movil SAB de CV | ||||||||
71,000 | 5.000%, 10/16/2019 | 76,693 | ||||||
American Tower Corporation | ||||||||
65,000 | 2.800%, 6/1/2020 | 64,252 | ||||||
AT&T, Inc. | ||||||||
65,000 | 1.533%, 6/30/2020g | 64,535 | ||||||
British Sky Broadcasting Group plc | ||||||||
102,000 | 2.625%, 9/16/2019h | 101,529 | ||||||
CC Holdings GS V, LLC | ||||||||
63,000 | 2.381%, 12/15/2017 | 63,069 | ||||||
CCO Safari II, LLC | ||||||||
32,000 | 3.579%, 7/23/2020h | 31,808 | ||||||
32,000 | 4.464%, 7/23/2022h | 31,888 | ||||||
CCOH Safari, LLC | ||||||||
305,000 | 5.750%, 2/15/2026h | 305,763 | ||||||
CenturyLink, Inc. | ||||||||
230,000 | 6.450%, 6/15/2021 | 224,250 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
200,000 | 6.500%, 11/15/2022 | 195,000 | ||||||
Columbus International, Inc. | ||||||||
205,000 | 7.375%, 3/30/2021h | 202,950 | ||||||
Digicel, Ltd. | ||||||||
257,936 | 6.000%, 4/15/2021h | 217,311 | ||||||
DIRECTV Holdings, LLC | ||||||||
86,000 | 5.875%, 10/1/2019 | 95,987 | ||||||
Frontier Communications Corporation | ||||||||
200,000 | 8.875%, 9/15/2020h | 202,500 | ||||||
Hughes Satellite Systems Corporation | ||||||||
246,000 | 6.500%, 6/15/2019 | 265,065 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
100
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (29.8%) | Value | ||||||
| Communications Services (1.3%) - continued | |||||||
Intelsat Jackson Holdings SA | ||||||||
$ | 227,936 | 7.250%, 10/15/2020 | $ | 199,444 | ||||
SBA Tower Trust | ||||||||
84,000 | 5.101%, 4/17/2017h | 85,040 | ||||||
Sprint Corporation | ||||||||
290,000 | 7.625%, 2/15/2025 | 211,700 | ||||||
Telefonica Emisiones SAU | ||||||||
78,000 | 3.192%, 4/27/2018 | 79,513 | ||||||
T-Mobile USA, Inc. | ||||||||
250,000 | 6.633%, 4/28/2021 | 259,375 | ||||||
Univision Communications, Inc. | ||||||||
200,000 | 5.125%, 5/15/2023h | 192,500 | ||||||
UPCB Finance V, Ltd. | ||||||||
292,500 | 7.250%, 11/15/2021h | 310,781 | ||||||
Verizon Communications, Inc. | ||||||||
237,000 | 2.625%, 2/21/2020 | 237,824 | ||||||
106,000 | 4.500%, 9/15/2020 | 113,887 | ||||||
|
| |||||||
Total | 4,080,902 | |||||||
|
| |||||||
| Consumer Cyclical (1.4%) | |||||||
AMC Entertainment, Inc. | ||||||||
227,000 | 5.875%, 2/15/2022 | 230,405 | ||||||
Cinemark USA, Inc. | ||||||||
263,000 | 4.875%, 6/1/2023 | 256,425 | ||||||
Corrections Corporation of America | ||||||||
190,000 | 5.000%, 10/15/2022 | 189,050 | ||||||
Daimler Finance North America, LLC | ||||||||
55,000 | 1.875%, 1/11/2018h | 54,783 | ||||||
ERAC USA Finance, LLC | ||||||||
106,000 | 2.350%, 10/15/2019h | 104,486 | ||||||
Ford Motor Credit Company, LLC | ||||||||
130,000 | 5.000%, 5/15/2018 | 136,551 | ||||||
87,000 | 2.597%, 11/4/2019 | 85,420 | ||||||
General Motors Financial Company, Inc. | ||||||||
227,936 | 3.250%, 5/15/2018 | 229,077 | ||||||
150,000 | 4.375%, 9/25/2021 | 152,108 | ||||||
Home Depot, Inc. | ||||||||
65,000 | 0.882%, 9/15/2017g | 65,096 | ||||||
65,000 | 2.625%, 6/1/2022 | 64,932 | ||||||
Hyundai Capital America | ||||||||
84,000 | 1.450%, 2/6/2017h | 83,608 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
273,000 | 5.625%, 2/1/2023h | 275,730 | ||||||
KB Home | ||||||||
189,000 | 4.750%, 5/15/2019 | 183,330 | ||||||
L Brands, Inc. | ||||||||
273,000 | 6.625%, 4/1/2021 | 302,348 | ||||||
Lennar Corporation | ||||||||
225,000 | 4.500%, 11/15/2019 | 228,797 | ||||||
Live Nation Entertainment, Inc. | ||||||||
200,000 | 5.375%, 6/15/2022h | 197,000 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
66,000 | 7.450%, 7/15/2017 | 71,312 | ||||||
MGM Resorts International | ||||||||
300,000 | 6.000%, 3/15/2023f | 297,750 | ||||||
Ralph Lauren Corporation | ||||||||
60,000 | 2.625%, 8/18/2020 | 60,571 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
517,936 | 5.250%, 11/15/2022 | 530,884 | ||||||
Six Flags Entertainment Corporation | ||||||||
200,000 | 5.250%, 1/15/2021h | 202,500 | ||||||
Toll Brothers Finance Corporation | ||||||||
76,000 | 4.000%, 12/31/2018 | 77,520 | ||||||
Visa, Inc. | ||||||||
65,000 | 2.200%, 12/14/2020 | 64,879 | ||||||
West Corporation | ||||||||
210,000 | 5.375%, 7/15/2022h | 181,125 | ||||||
|
| |||||||
Total | 4,325,687 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.4%) | |||||||
Actavis Funding SCS | ||||||||
40,000 | 1.757%, 3/12/2020g | 40,143 | ||||||
Amgen, Inc. | ||||||||
65,000 | 2.125%, 5/1/2020 | 64,114 | ||||||
B&G Foods, Inc. | ||||||||
120,000 | 4.625%, 6/1/2021 | 118,800 | ||||||
BAT International Finance plc | ||||||||
65,000 | 1.022%, 6/15/2018g,h | 64,912 | ||||||
Becton, Dickinson and Company | ||||||||
80,000 | 1.450%, 5/15/2017 | 79,662 | ||||||
Boston Scientific Corporation | ||||||||
40,000 | 6.000%, 1/15/2020 | 44,416 | ||||||
Bunge Limited Finance Corporation | ||||||||
65,000 | 3.500%, 11/24/2020 | 64,638 | ||||||
Cardinal Health, Inc. | ||||||||
65,000 | 1.950%, 6/15/2018 | 64,831 | ||||||
Celgene Corporation | ||||||||
65,000 | 3.550%, 8/15/2022 | 65,632 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
273,000 | 7.125%, 7/15/2020 | 271,976 | ||||||
Cott Beverages, Inc. | ||||||||
200,000 | 5.375%, 7/1/2022 | 196,000 | ||||||
CVS Health Corporation | ||||||||
86,000 | 2.250%, 12/5/2018 | 86,415 | ||||||
EMD Finance, LLC | ||||||||
39,000 | 0.876%, 3/17/2017g,h | 38,880 | ||||||
Envision Healthcare Corporation | ||||||||
295,000 | 5.125%, 7/1/2022h | 289,100 | ||||||
Forest Laboratories, Inc. | ||||||||
109,000 | 4.375%, 2/1/2019h | 114,186 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
227,936 | 5.750%, 2/15/2021h | 243,892 | ||||||
Gilead Sciences, Inc. | ||||||||
65,000 | 3.250%, 9/1/2022 | 65,450 | ||||||
Grifols Worldwide Operations, Ltd. | ||||||||
200,000 | 5.250%, 4/1/2022 | 201,000 | ||||||
HCA, Inc. | ||||||||
227,936 | 4.750%, 5/1/2023 | 225,657 | ||||||
JBS USA, LLC | ||||||||
290,000 | 5.750%, 6/15/2025h | 252,300 | ||||||
Laboratory Corporation of America Holdings | ||||||||
35,000 | 2.625%, 2/1/2020 | 34,554 | ||||||
Land O’Lakes, Inc. | ||||||||
260,000 | 8.000%, 12/31/2049h,k | 270,075 | ||||||
Mead Johnson Nutrition Company | ||||||||
65,000 | 3.000%, 11/15/2020 | 64,980 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
101
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (29.8%) | Value | ||||||
| Consumer Non-Cyclical (1.4%) - continued | |||||||
Merck & Company, Inc. | ||||||||
$ | 40,000 | 0.716%, 2/10/2020g | $ | 39,754 | ||||
Mondelez International, Inc. | ||||||||
56,000 | 2.250%, 2/1/2019 | 55,979 | ||||||
Mylan NV | ||||||||
30,000 | 3.750%, 12/15/2020h | 30,031 | ||||||
PepsiCo, Inc. | ||||||||
65,000 | 1.850%, 4/30/2020 | 64,255 | ||||||
Revlon Consumer Products Corporation | ||||||||
227,936 | 5.750%, 2/15/2021 | 220,528 | ||||||
Reynolds American, Inc. | ||||||||
65,000 | 3.250%, 6/12/2020 | 66,060 | ||||||
SABMiller plc | ||||||||
78,000 | 6.500%, 7/15/2018h | 86,058 | ||||||
Safeway, Inc. | ||||||||
17,000 | 3.400%, 12/1/2016 | 16,830 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
183,000 | 6.375%, 11/15/2020 | 194,438 | ||||||
Spectrum Brands, Inc. | ||||||||
130,000 | 5.750%, 7/15/2025h | 133,250 | ||||||
TreeHouse Foods, Inc. | ||||||||
200,000 | 4.875%, 3/15/2022 | 190,500 | ||||||
Valeant Pharmaceuticals International | ||||||||
227,936 | 7.250%, 7/15/2022h | 222,807 | ||||||
WM Wrigley Jr. Company | ||||||||
48,000 | 2.000%, 10/20/2017h | 48,078 | ||||||
Zoetis, Inc. | ||||||||
65,000 | 3.450%, 11/13/2020 | 65,076 | ||||||
|
| |||||||
Total | 4,395,257 | |||||||
|
| |||||||
| Energy (0.8%) | |||||||
Anadarko Petroleum Corporation | ||||||||
60,000 | 8.700%, 3/15/2019 | 68,169 | ||||||
Boardwalk Pipelines, Ltd. | ||||||||
79,000 | 5.875%, 11/15/2016 | 79,766 | ||||||
Buckeye Partners, LP | ||||||||
100,000 | 2.650%, 11/15/2018 | 96,204 | ||||||
Chevron Corporation | ||||||||
65,000 | 0.874%, 11/16/2018g | 65,018 | ||||||
Concho Resources, Inc. | ||||||||
277,936 | 6.500%, 1/15/2022 | 266,819 | ||||||
Crestwood Midstream Partners, LP | ||||||||
200,000 | 6.250%, 4/1/2023h | 139,500 | ||||||
Enbridge, Inc. | ||||||||
54,000 | 0.866%, 6/2/2017g | 52,889 | ||||||
EQT Corporation | ||||||||
88,000 | 8.125%, 6/1/2019 | 95,056 | ||||||
Marathon Petroleum Corporation | ||||||||
65,000 | 3.400%, 12/15/2020 | 63,835 | ||||||
MEG Energy Corporation | ||||||||
273,000 | 6.375%, 1/30/2023h | 187,005 | ||||||
Pacific Drilling V, Ltd. | ||||||||
200,000 | 7.250%, 12/1/2017h | 103,000 | ||||||
Petrobras International Finance Company | ||||||||
415,000 | 5.750%, 1/20/2020 | 325,775 | ||||||
Petroleos Mexicanos | ||||||||
550,000 | 5.625%, 1/23/2046h | 420,860 | ||||||
Pioneer Natural Resources Company | ||||||||
22,000 | 3.450%, 1/15/2021 | 20,314 | ||||||
Sabine Pass Liquefaction, LLC | ||||||||
300,000 | 5.625%, 3/1/2025h | 253,875 | ||||||
Schlumberger Holdings Corporation | ||||||||
65,000 | 3.000%, 12/21/2020h | 64,160 | ||||||
Shell International Finance BV | ||||||||
65,000 | 0.806%, 5/11/2020g | 64,048 | ||||||
Southwestern Energy Company | ||||||||
100,000 | 7.500%, 2/1/2018 | 85,000 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
65,000 | 4.400%, 4/1/2021 | 62,990 | ||||||
|
| |||||||
Total | 2,514,283 | |||||||
|
| |||||||
| Financials (3.8%) | |||||||
Abbey National Treasury Services plc | ||||||||
100,000 | 1.013%, 9/29/2017g | 99,162 | ||||||
ACE INA Holdings, Inc. | ||||||||
65,000 | 2.875%, 11/3/2022 | 64,507 | ||||||
Air Lease Corporation | ||||||||
100,000 | 2.125%, 1/15/2018 | 98,250 | ||||||
32,000 | 2.625%, 9/4/2018 | 31,631 | ||||||
Ally Financial, Inc. | ||||||||
325,000 | 4.750%, 9/10/2018 | 332,719 | ||||||
American Express Credit Corporation | ||||||||
65,000 | 1.552%, 9/14/2020g | 65,555 | ||||||
Aviation Capital Group Corporation | ||||||||
51,000 | 3.875%, 9/27/2016h | 51,383 | ||||||
Bank of America Corporation | ||||||||
120,000 | 5.700%, 5/2/2017 | 125,145 | ||||||
102,000 | 1.700%, 8/25/2017 | 101,708 | ||||||
209,000 | 1.656%, 3/22/2018g | 209,671 | ||||||
80,000 | 5.650%, 5/1/2018 | 86,025 | ||||||
104,000 | 8.000%, 12/29/2049k | 105,820 | ||||||
BB&T Corporation | ||||||||
130,000 | 2.050%, 6/19/2018 | 130,739 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
640,000 | 5.919%, 12/29/2049k | 646,400 | ||||||
Bear Stearns Companies, LLC | ||||||||
122,000 | 6.400%, 10/2/2017 | 131,385 | ||||||
BNP Paribas SA | ||||||||
84,000 | 2.375%, 9/14/2017 | 84,998 | ||||||
BPCE SA | ||||||||
320,000 | 5.150%, 7/21/2024h | 322,689 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
45,000 | 0.989%, 1/29/2018g,h | 44,912 | ||||||
CIT Group, Inc. | ||||||||
225,000 | 3.875%, 2/19/2019 | 223,875 | ||||||
Citigroup, Inc. | ||||||||
144,000 | 1.850%, 11/24/2017 | 143,788 | ||||||
Credit Agricole SA | ||||||||
45,000 | 1.457%, 6/10/2020g,h | 44,903 | ||||||
Credit Suisse Group AG | ||||||||
320,000 | 7.500%, 12/11/2049h,k | 335,946 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
102
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (29.8%) | Value | ||||||
| Financials (3.8%) - continued | |||||||
CyrusOne, LP | ||||||||
$227,936 | 6.375%, 11/15/2022 | $ | 234,774 | |||||
DDR Corporation | ||||||||
56,000 | 9.625%, 3/15/2016 | 56,874 | ||||||
Discover Bank | ||||||||
28,000 | 8.700%, 11/18/2019 | 33,125 | ||||||
Discover Financial Services | ||||||||
47,000 | 6.450%, 6/12/2017 | 49,657 | ||||||
Duke Realty, LP | ||||||||
96,000 | 8.250%, 8/15/2019 | 113,559 | ||||||
Fifth Third Bancorp | ||||||||
167,000 | 5.450%, 1/15/2017 | 173,127 | ||||||
Goldman Sachs Group, Inc. | ||||||||
52,000 | 2.625%, 1/31/2019 | 52,372 | ||||||
78,000 | 7.500%, 2/15/2019 | 89,252 | ||||||
45,000 | 1.476%, 4/23/2020g | 45,067 | ||||||
65,000 | 2.012%, 11/29/2023g | 65,577 | ||||||
Goldman Sachs Group, Inc. Convertible | ||||||||
1,600,000 | 0.500%, 9/24/2022 | 1,655,088 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
120,000 | 6.000%, 1/15/2019 | 131,973 | ||||||
HCP, Inc. | ||||||||
88,000 | 3.750%, 2/1/2019 | 90,785 | ||||||
Health Care REIT, Inc. | ||||||||
88,000 | 4.700%, 9/15/2017 | 91,989 | ||||||
HSBC Holdings plc | ||||||||
47,000 | 6.375%, 12/29/2049k | 46,941 | ||||||
Hutchison Whampoa Finance CI, Ltd. | ||||||||
99,000 | 1.625%, 10/31/2017h | 98,126 | ||||||
Icahn Enterprises, LP | ||||||||
300,000 | 6.000%, 8/1/2020 | 302,520 | ||||||
ING Bank NV | ||||||||
320,000 | 5.800%, 9/25/2023h | 347,670 | ||||||
ING Capital Funding Trust III | ||||||||
68,000 | 4.207%, 12/29/2049g,k | 67,830 | ||||||
International Lease Finance Corporation | ||||||||
80,000 | 2.462%, 6/15/2016g | 79,800 | ||||||
250,000 | 5.875%, 8/15/2022 | 266,250 | ||||||
Intesa Sanpaolo SPA | ||||||||
30,000 | 3.875%, 1/16/2018 | 30,762 | ||||||
132,000 | 3.875%, 1/15/2019 | 135,911 | ||||||
J.P. Morgan Chase & Company | ||||||||
52,000 | 6.300%, 4/23/2019 | 58,308 | ||||||
25,000 | 2.250%, 1/23/2020 | 24,595 | ||||||
104,000 | 7.900%, 4/29/2049k | 105,872 | ||||||
325,000 | 6.750%, 8/29/2049k | 354,250 | ||||||
KeyCorp | ||||||||
68,000 | 2.300%, 12/13/2018 | 68,101 | ||||||
Liberty Mutual Group, Inc. | ||||||||
35,000 | 5.000%, 6/1/2021h | 37,433 | ||||||
Lloyds Bank plc | ||||||||
40,000 | 1.038%, 3/16/2018g | 39,788 | ||||||
MetLife, Inc. | ||||||||
100,000 | 1.903%, 12/15/2017 | 100,588 | ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
59,000 | 1.550%, 10/17/2017h | 58,535 | ||||||
Morgan Stanley | ||||||||
106,000 | 6.625%, 4/1/2018 | 116,232 | ||||||
45,000 | 1.463%, 1/27/2020g | 45,096 | ||||||
75,000 | 4.875%, 11/1/2022 | 79,594 | ||||||
MPT Operating Partnership, LP | ||||||||
200,000 | 5.500%, 5/1/2024 | 199,000 | ||||||
Murray Street Investment Trust I | ||||||||
173,000 | 4.647%, 3/9/2017 | 178,241 | ||||||
National City Corporation | ||||||||
56,000 | 6.875%, 5/15/2019 | 63,264 | ||||||
New York Life Global Funding | ||||||||
65,000 | 1.550%, 11/2/2018h | 64,471 | ||||||
Nomura Holdings, Inc. | ||||||||
56,000 | 2.750%, 3/19/2019 | 56,302 | ||||||
Quicken Loans, Inc. | ||||||||
200,000 | 5.750%, 5/1/2025h | 190,500 | ||||||
Realty Income Corporation | ||||||||
95,000 | 2.000%, 1/31/2018 | 95,054 | ||||||
Regions Bank | ||||||||
43,000 | 7.500%, 5/15/2018 | 47,779 | ||||||
Reinsurance Group of America, Inc. | ||||||||
104,000 | 5.625%, 3/15/2017 | 108,385 | ||||||
Royal Bank of Scotland Group plc | ||||||||
60,000 | 1.543%, 3/31/2017g | 59,883 | ||||||
320,000 | 7.640%, 3/29/2049k | 334,400 | ||||||
320,000 | 7.648%, 8/29/2049k | 396,400 | ||||||
200,000 | 7.500%, 12/29/2049k | 208,250 | ||||||
Simon Property Group, LP | ||||||||
65,000 | 2.500%, 9/1/2020 | 65,050 | ||||||
Societe Generale SA | ||||||||
70,000 | 5.750%, 4/20/2016h | 70,892 | ||||||
State Street Corporation | ||||||||
65,000 | 1.264%, 8/18/2020g | 65,007 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
156,000 | 1.300%, 1/10/2017 | 155,617 | ||||||
55,000 | 0.897%, 1/16/2018g | 54,811 | ||||||
Synchrony Financial | ||||||||
159,000 | 1.875%, 8/15/2017 | 158,271 | ||||||
30,000 | 1.564%, 2/3/2020g | 29,526 | ||||||
Synovus Financial Corporation | ||||||||
165,000 | 5.750%, 12/15/2025 | 168,300 | ||||||
Toronto-Dominion Bank | ||||||||
65,000 | 1.432%, 12/14/2020g | 64,985 | ||||||
UnitedHealth Group, Inc. | ||||||||
65,000 | 3.350%, 7/15/2022 | 66,485 | ||||||
USB Realty Corporation | ||||||||
25,000 | 1.468%, 12/29/2049g,h,k | 22,500 | ||||||
Voya Financial, Inc. | ||||||||
84,000 | 2.900%, 2/15/2018 | 84,908 | ||||||
Washington Mutual Bank | ||||||||
500,000 | 5.500%, 1/15/2013d,l | 1 | ||||||
Wells Fargo & Company | ||||||||
45,000 | 1.002%, 1/30/2020g | 44,581 | ||||||
|
| |||||||
Total | 11,881,495 | |||||||
|
| |||||||
| Foreign Government (6.5%) | |||||||
Brazil Government International Bond | ||||||||
432,000 | 5.875%, 1/15/2019f | 440,640 | ||||||
491,000 | 4.875%, 1/22/2021 | 454,175 | ||||||
830,000 | 2.625%, 1/5/2023 | 630,800 | ||||||
560,000 | 5.000%, 1/27/2045 | 373,800 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
103
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (29.8%) | Value | ||||||
| Foreign Government (6.5%) - continued | |||||||
Colombia Government International Bond | ||||||||
$ | 365,000 | 2.625%, 3/15/2023 | $ | 320,653 | ||||
350,000 | 4.000%, 2/26/2024 | 333,375 | ||||||
625,000 | 5.000%, 6/15/2045 | 521,875 | ||||||
Croatia Government International Bond | ||||||||
490,000 | 6.625%, 7/14/2020h | 525,060 | ||||||
Export-Import Bank of Korea | ||||||||
45,000 | 2.250%, 1/21/2020 | 44,309 | ||||||
Hungary Government International Bond | ||||||||
240,000 | 4.000%, 3/25/2019 | 250,080 | ||||||
562,000 | 5.750%, 11/22/2023 | 628,822 | ||||||
564,000 | 5.375%, 3/25/2024 | 617,580 | ||||||
Indonesia Government International Bond | ||||||||
390,000 | 4.875%, 5/5/2021h | 403,969 | ||||||
415,000 | 3.375%, 4/15/2023h | 385,635 | ||||||
432,000 | 5.875%, 1/15/2024h | 462,808 | ||||||
360,000 | 4.125%, 1/15/2025h | 345,002 | ||||||
280,000 | 4.750%, 1/8/2026h | 276,545 | ||||||
760,000 | 5.125%, 1/15/2045f,h | 687,304 | ||||||
Mexico Government International Bond | ||||||||
344,000 | 3.625%, 3/15/2022 | 346,064 | ||||||
420,000 | 4.000%, 10/2/2023 | 425,460 | ||||||
588,000 | 3.600%, 1/30/2025 | 573,006 | ||||||
144,000 | 6.050%, 1/11/2040 | 157,680 | ||||||
344,000 | 4.750%, 3/8/2044 | 313,384 | ||||||
288,000 | 5.550%, 1/21/2045 | 295,200 | ||||||
504,000 | 4.600%, 1/23/2046 | 446,040 | ||||||
Panama Government International Bond | ||||||||
280,000 | 4.000%, 9/22/2024 | 280,000 | ||||||
280,000 | 3.750%, 3/16/2025 | 274,400 | ||||||
144,000 | 6.700%, 1/26/2036 | 171,000 | ||||||
Peru Government International Bond | ||||||||
815,000 | 4.125%, 8/25/2027 | 798,700 | ||||||
Philippines Government International Bond | ||||||||
265,000 | 7.750%, 1/14/2031 | 372,317 | ||||||
350,000 | 6.375%, 10/23/2034 | 456,320 | ||||||
Romania Government International Bond | ||||||||
276,000 | 4.375%, 8/22/2023h | 287,302 | ||||||
130,000 | 4.875%, 1/22/2024h | 139,659 | ||||||
Russia Government International Bond | ||||||||
288,000 | 3.500%, 1/16/2019h | 286,560 | ||||||
1,000,000 | 5.000%, 4/29/2020f,h | 1,032,000 | ||||||
700,000 | 4.875%, 9/16/2023h | 711,200 | ||||||
428,400 | 7.500%, 3/31/2030h | 513,260 | ||||||
432,000 | 5.625%, 4/4/2042h | 408,672 | ||||||
South Africa Government International Bond | ||||||||
340,000 | 5.500%, 3/9/2020 | 348,958 | ||||||
295,000 | 5.875%, 5/30/2022f | 308,038 | ||||||
160,000 | 5.375%, 7/24/2044 | 144,000 | ||||||
Turkey Government International Bond | ||||||||
432,000 | 7.500%, 11/7/2019 | 484,389 | ||||||
800,000 | 7.000%, 6/5/2020 | 890,123 | ||||||
565,000 | 5.125%, 3/25/2022 | 579,831 | ||||||
288,000 | 6.250%, 9/26/2022 | 312,653 | ||||||
144,000 | 5.750%, 3/22/2024 | 152,139 | ||||||
563,000 | 4.250%, 4/14/2026f | 527,842 | ||||||
576,000 | 4.875%, 4/16/2043 | 506,880 | ||||||
|
| |||||||
Total | 20,245,509 | |||||||
|
| |||||||
| Mortgage-Backed Securities (5.3%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
37,804 | 5.500%, 12/1/2017 | 38,748 | ||||||
1,130,000 | 3.000%, 1/1/2031c | 1,164,435 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
12,149 | 9.000%, 11/1/2024 | 13,710 | ||||||
685 | 9.000%, 4/1/2025 | 796 | ||||||
685 | 8.500%, 9/1/2025 | 716 | ||||||
4,658 | 8.000%, 6/1/2027 | 5,602 | ||||||
929 | 8.500%, 7/1/2027 | 1,059 | ||||||
3,309 | 8.000%, 10/1/2027 | 3,825 | ||||||
1,990 | 8.000%, 8/1/2030 | 2,392 | ||||||
1,180,000 | 4.000%, 1/1/2046c | 1,246,536 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
600,000 | 3.500%, 1/1/2030c | 628,336 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
1,302 | 10.500%, 8/1/2020 | 1,418 | ||||||
3,923 | 9.500%, 4/1/2025 | 3,940 | ||||||
755 | 8.500%, 11/1/2025 | 842 | ||||||
1,207 | 8.500%, 5/1/2026 | 1,258 | ||||||
287 | 8.000%, 8/1/2026 | 288 | ||||||
854 | 8.000%, 11/1/2026 | 1,031 | ||||||
11,492 | 8.000%, 9/1/2027 | 13,244 | ||||||
3,238 | 8.000%, 12/1/2027 | 3,278 | ||||||
5,233 | 8.500%, 4/1/2030 | 6,609 | ||||||
6,425,000 | 3.500%, 1/1/2046c | 6,628,822 | ||||||
3,775,000 | 4.000%, 1/1/2046c | 3,994,599 | ||||||
2,600,000 | 4.500%, 1/1/2046c | 2,807,675 | ||||||
Government National Mortgage Association 30-Yr. Pass Through | ||||||||
1,613 | 9.500%, 1/15/2025 | 1,701 | ||||||
5,776 | 6.000%, 5/15/2026 | 6,479 | ||||||
5,223 | 8.500%, 6/15/2026 | 5,307 | ||||||
1,566 | 8.500%, 7/15/2026 | 1,765 | ||||||
6,262 | 8.000%, 9/15/2026 | 7,153 | ||||||
2,617 | 7.500%, 10/15/2026 | 2,873 | ||||||
288 | 8.000%, 11/15/2026 | 289 | ||||||
171 | 8.500%, 11/15/2026 | 171 | ||||||
1,140 | 9.000%, 12/15/2026 | 1,378 | ||||||
10,082 | 7.500%, 4/15/2027 | 11,260 | ||||||
2,277 | 8.000%, 6/20/2027 | 2,687 | ||||||
177 | 8.000%, 8/15/2027 | 177 | ||||||
7,391 | 7.500%, 7/15/2028 | 7,389 | ||||||
24,880 | 6.000%, 12/15/2028 | 28,271 | ||||||
27,663 | 6.000%, 6/15/2029 | 31,415 | ||||||
9,192 | 8.000%, 5/15/2030 | 9,330 | ||||||
|
| |||||||
Total | 16,686,804 | |||||||
|
| |||||||
| Technology (0.9%) | |||||||
Alliance Data Systems Corporation | ||||||||
195,000 | 5.375%, 8/1/2022h | 185,738 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
104
Table of Contents
BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (29.8%) | Value | ||||||
| Technology (0.9%) - continued | |||||||
Apple, Inc. | ||||||||
$ | 65,000 | 0.659%, 5/6/2020g | $ | 64,510 | ||||
Automatic Data Processing, Inc. | ||||||||
65,000 | 2.250%, 9/15/2020 | 65,246 | ||||||
Cisco Systems, Inc. | ||||||||
65,000 | 0.914%, 3/1/2019g | 64,942 | ||||||
Denali Borrower, LLC | ||||||||
425,000 | 5.625%, 10/15/2020h | 445,187 | ||||||
Equinix, Inc. | ||||||||
200,000 | 5.750%, 1/1/2025 | 204,500 | ||||||
Fidelity National Information Services, Inc. | ||||||||
109,000 | 1.450%, 6/5/2017 | 107,525 | ||||||
65,000 | 3.625%, 10/15/2020 | 65,847 | ||||||
First Data Corporation | ||||||||
200,000 | 5.375%, 8/15/2023h | 201,000 | ||||||
Freescale Semiconductor, Inc. | ||||||||
245,000 | 6.000%, 1/15/2022h | 256,637 | ||||||
Hewlett Packard Enterprise Company | ||||||||
64,000 | 3.600%, 10/15/2020h | 64,147 | ||||||
IMS Health, Inc. | ||||||||
250,000 | 6.000%, 11/1/2020h | 257,500 | ||||||
Intel Corporation | ||||||||
65,000 | 3.100%, 7/29/2022 | 66,281 | ||||||
Iron Mountain, Inc. | ||||||||
122,936 | 6.000%, 8/15/2023 | 127,239 | ||||||
Oracle Corporation | ||||||||
65,000 | 2.500%, 5/15/2022 | 63,798 | ||||||
Sensata Technologies BV | ||||||||
280,000 | 4.875%, 10/15/2023h | 272,300 | ||||||
Texas Instruments, Inc. | ||||||||
65,000 | 1.750%, 5/1/2020 | 63,317 | ||||||
Tyco Electronics Group SA | ||||||||
130,000 | 6.550%, 10/1/2017 | 140,099 | ||||||
|
| |||||||
Total | 2,715,813 | |||||||
|
| |||||||
| Transportation (0.3%) | |||||||
Air Canada Pass Through Trust | ||||||||
25,000 | 3.875%, 3/15/2023h | 24,250 | ||||||
American Airlines Pass Through Trust | ||||||||
48,599 | 4.950%, 1/15/2023 | 51,271 | ||||||
Avis Budget Car Rental, LLC | ||||||||
130,000 | 5.125%, 6/1/2022h | 128,375 | ||||||
Continental Airlines, Inc. | ||||||||
170,181 | 6.250%, 4/11/2020 | 178,690 | ||||||
Delta Air Lines, Inc. | ||||||||
76,869 | 4.950%, 5/23/2019 | 80,712 | ||||||
68,837 | 4.750%, 5/7/2020 | 72,623 | ||||||
J.B. Hunt Transport Services, Inc. | ||||||||
65,000 | 3.300%, 8/15/2022 | 64,373 | ||||||
Korea Expressway Corporation | ||||||||
93,000 | 1.625%, 4/28/2017h | 92,676 | ||||||
United Airlines 2015-1 Class A Pass Through Trust | ||||||||
65,000 | 3.700%, 12/1/2022 | 64,838 | ||||||
XPO Logistics, Inc. | ||||||||
200,000 | 6.500%, 6/15/2022h | 185,000 | ||||||
|
| |||||||
Total | 942,808 | |||||||
|
| |||||||
| U.S. Government and Agencies (0.7%) | |||||||
U.S. Treasury Notes | ||||||||
1,645,000 | 1.875%, 6/30/2020 | 1,656,502 | ||||||
585,000 | 2.125%, 6/30/2022 | 588,016 | ||||||
|
| |||||||
Total | 2,244,518 | |||||||
|
| |||||||
| Utilities (0.9%) | |||||||
Access Midstream Partners, LP | ||||||||
325,000 | 4.875%, 5/15/2023 | 263,466 | ||||||
AES Corporation | ||||||||
227,936 | 7.375%, 7/1/2021 | 232,495 | ||||||
Ameren Corporation | ||||||||
65,000 | 2.700%, 11/15/2020 | 64,752 | ||||||
Arizona Public Service Company | ||||||||
40,000 | 2.200%, 1/15/2020 | 39,624 | ||||||
Berkshire Hathaway Energy Company | ||||||||
96,000 | 2.400%, 2/1/2020 | 95,105 | ||||||
Calpine Corporation | ||||||||
210,000 | 5.375%, 1/15/2023 | 188,475 | ||||||
DTE Energy Company | ||||||||
96,000 | 2.400%, 12/1/2019 | 95,593 | ||||||
Dynegy Finance I, Inc. | ||||||||
160,000 | 7.375%, 11/1/2022 | 139,200 | ||||||
EDP Finance BV | ||||||||
96,000 | 4.125%, 1/15/2020h | 96,221 | ||||||
El Paso Corporation | ||||||||
50,000 | 7.000%, 6/15/2017 | 51,506 | ||||||
Electricite de France SA | ||||||||
320,000 | 5.625%, 12/29/2049h,k | 304,320 | ||||||
Energy Transfer Equity, LP | ||||||||
290,000 | 5.500%, 6/1/2027 | 220,400 | ||||||
Eversource Energy | ||||||||
30,000 | 1.600%, 1/15/2018 | 29,683 | ||||||
Exelon Generation Company, LLC | ||||||||
52,000 | 5.200%, 10/1/2019 | 56,019 | ||||||
30,000 | 2.950%, 1/15/2020 | 29,892 | ||||||
MPLX LP | ||||||||
300,000 | 4.875%, 12/1/2024h | 269,250 | ||||||
NiSource Finance Corporation | ||||||||
41,000 | 6.400%, 3/15/2018 | 44,673 | ||||||
NRG Energy, Inc. | ||||||||
227,936 | 6.625%, 3/15/2023 | 197,735 | ||||||
Pacific Gas & Electric Company | ||||||||
65,000 | 5.625%, 11/30/2017 | 69,480 | ||||||
PG&E Corporation | ||||||||
57,000 | 2.400%, 3/1/2019 | 56,878 | ||||||
Sempra Energy | ||||||||
100,000 | 6.150%, 6/15/2018 | 109,148 | ||||||
25,000 | 2.400%, 3/15/2020 | 24,502 | ||||||
Southern California Edison Company | ||||||||
20,000 | 2.400%, 2/1/2022 | 19,612 | ||||||
Xcel Energy, Inc. | ||||||||
65,000 | 1.200%, 6/1/2017 | 64,670 | ||||||
|
| |||||||
Total | 2,762,699 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $96,122,957) | 93,514,813 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
105
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BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (3.8%) | Value | ||||||
| Equity Funds/ETFs (2.4%) | |||||||
15,400 | BlackRock Resources & Commodities Strategy Trust | $ | 109,494 | |||||
15,800 | Cohen & Steers REIT and Preferred Income Fund, Inc. | 291,352 | ||||||
6,800 | Guggenheim Multi-Asset Income ETF | 123,624 | ||||||
31,800 | iShares FTSE NAREIT Mortgage Plus Capped Index Fund | 304,008 | ||||||
12,240 | iShares MSCI EAFE Index Fund | 719,100 | ||||||
47,080 | Materials Select Sector SPDR Fund | 2,044,214 | ||||||
13,850 | NFJ Dividend Interest & Premium Strategy Fund | 171,601 | ||||||
61,600 | SPDR S&P Oil & Gas Exploration & Production ETFf | 1,861,552 | ||||||
42,110 | Utilities Select Sector SPDR Fund | 1,822,521 | ||||||
200 | Vanguard REIT ETF | 15,946 | ||||||
|
| |||||||
Total | 7,463,412 | |||||||
|
| |||||||
| Fixed Income Funds/ETFs (1.4%) | |||||||
82,771 | Aberdeen Asia-Pacific Income Fund, Inc. | 378,263 | ||||||
21,125 | Doubleline Income Solutions Fund | 342,648 | ||||||
13,042 | First Trust High Income Long/Short Fund | 183,631 | ||||||
12,089 | iShares J.P. Morgan USD Emerging Markets Bond ETFf | 1,278,774 | ||||||
79,271 | MFS Intermediate Income Trust | 362,269 | ||||||
25,714 | PIMCO Dynamic Credit Income Fund | 463,623 | ||||||
63,832 | Templeton Global Income Fund | 405,333 | ||||||
5,430 | Vanguard Short-Term Corporate Bond ETF | 428,916 | ||||||
29,063 | Western Asset Emerging Markets Debt Fund, Inc. | 399,035 | ||||||
46,185 | Western Asset High Income Opportunity Fund, Inc. | 216,608 | ||||||
|
| |||||||
Total | 4,459,100 | |||||||
|
| |||||||
Total Registered Investment Companies (cost $12,856,513) | 11,922,512 | |||||||
|
| |||||||
Shares | Preferred Stock (1.6%) | Value | ||||||
| Financials (1.5%) | |||||||
4,800 | Agribank FCB, 6.875%k | 507,450 | ||||||
288 | Bank of America Corporation, Convertible, 7.250%k | 314,862 | ||||||
25,915 | Citigroup, Inc., 6.875%k | 721,992 | ||||||
6,250 | Farm Credit Bank of Texas, 6.750%h,k | 650,781 | ||||||
13,000 | Goldman Sachs Group, Inc., 5.500%k | 336,570 | ||||||
17,350 | HSBC USA, Inc., 6.500%k | 451,621 | ||||||
520 | M&T Bank Corporation, 6.375%k | 544,700 | ||||||
12,800 | Morgan Stanley, 7.125%k | 366,080 | ||||||
8,640 | U.S. Bancorp, 6.500%k | 247,968 | ||||||
320 | Wells Fargo & Company, Convertible, 7.500%k | 371,520 | ||||||
|
| |||||||
Total | 4,513,544 | |||||||
|
| |||||||
| Materials (0.1%) | |||||||
12,800 | CHS, Inc., 7.100%k | 349,056 | ||||||
|
| |||||||
Total | 349,056 | |||||||
|
| |||||||
| Utilities (<0.1%) | |||||||
4,000 | Southern California Edison Company Trust IV, 5.375%k | 108,640 | ||||||
|
| |||||||
Total | 108,640 | |||||||
|
| |||||||
Total Preferred Stock (cost $4,708,491) | 4,971,240 | |||||||
|
| |||||||
Shares | Collateral Held for Securities Loaned (3.1%) | Value | ||||||
9,667,927 | Thrivent Cash Management Trust | 9,667,927 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $9,667,927) | 9,667,927 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (9.1%)m | Value | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
100,000 | 0.080%, 1/8/2016n | 99,999 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
200,000 | 0.070%, 1/8/2016 | 199,997 | ||||||
200,000 | 0.180%, 2/8/2016n | 199,962 | ||||||
Thrivent Cash Management Trust | ||||||||
27,808,704 | 0.220% | 27,808,704 | ||||||
U.S. Treasury Bills | ||||||||
100,000 | 0.175%, 2/4/2016o | 99,983 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 28,408,645 | |||||||
|
| |||||||
Total Investments (cost $342,819,242) 109.0% | $ | 341,196,487 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (9.0%) | (28,119,943 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 313,076,544 | ||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
106
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BALANCED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | All or a portion of the loan is unfunded. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Defaulted security. Interest is not being accrued. |
e | Non-income producing security. |
f | All or a portion of the security is on loan. |
g | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
h | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $18,774,800 or 6.0% of total net assets. |
i | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
j | All or a portion of the security is insured or guaranteed. |
k | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
l | Security is valued at fair value. Market quotations or prices were not readily available or were determined to be unreliable. Fair value was determined in good faith pursuant to procedures adopted by the Board. Further information on fair valuation can be found in the Notes to Financial Statements. |
m | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
n | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
o | All or a portion of the security is pledged as collateral under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Balanced Income Plus Portfolio as of December 31, 2015 was $1,914,426 or 0.6% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
Angel Oak Mortgage Trust, 11/25/2045 | 12/10/2015 | $ | 374,211 | |||||
Bayview Opportunity Master Fund Trust, 7/28/2034 | 11/12/2014 | 242,618 | ||||||
Preferred Term Securities XXIII, Ltd., 12/22/2036 | 9/14/2006 | 555,264 | ||||||
Sunset Mortgage Loan Company, LLC, 9/16/2045 | 10/2/2015 | 180,552 | ||||||
U.S. Residential Opportunity Fund III Trust, 1/27/2035 | 2/6/2015 | 242,594 | ||||||
Wachovia Asset Securitization, Inc., 7/25/2037 | 3/16/2007 | 519,538 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Balanced Income Plus Portfolio as of December 31, 2015:
Securities Lending Transactions
Taxable Debt Security | $ | 3,212,211 | ||
Common Stock | 6,198,350 | |||
|
| |||
Total lending | $ | 9,410,561 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 9,667,927 | ||
|
| |||
Net amounts due to counterparty | $ | 257,366 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
107
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (13.3%)a | Value | ||||||
| Basic Materials (0.9%) | |||||||
Alpha Natural Resources, Inc., Term Loan | ||||||||
$ | 324,196 | 3.500%, 5/22/2020 | $ | 139,673 | ||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
921,533 | 4.250%, 6/30/2019 | 680,874 | ||||||
Ineos US Finance, LLC, Term Loan | ||||||||
850,528 | 3.750%, 12/15/2020 | 814,381 | ||||||
NewPage Corporation, Term Loan | ||||||||
950,625 | 9.500%, 2/11/2021 | 339,259 | ||||||
PolyOne Corporation, Term Loan | ||||||||
500,000 | 3.750%, 11/11/2022 | 500,000 | ||||||
Tronox Pigments BV, Term Loan | ||||||||
1,284,326 | 4.500%, 3/19/2020 | 1,133,418 | ||||||
Wausau Paper Corporation, Term Loan | ||||||||
589,582 | 6.500%, 7/30/2020 | 585,161 | ||||||
|
| |||||||
Total | 4,192,766 | |||||||
|
| |||||||
| Capital Goods (0.5%) | |||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
561,833 | 3.750%, 10/9/2019 | 542,872 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
583,500 | 3.500%, 2/8/2020 | 571,433 | ||||||
292,107 | 4.000%, 10/3/2022 | 289,186 | ||||||
Rexnord, LLC, Term Loan | ||||||||
586,500 | 4.000%, 8/21/2020 | 567,075 | ||||||
Silver II Borrower, Term Loan | ||||||||
539,384 | 4.000%, 12/13/2019 | 454,970 | ||||||
|
| |||||||
Total | 2,425,536 | |||||||
|
| |||||||
| Communications Services (3.9%) | |||||||
Altice Financing SA, Term Loan | ||||||||
298,500 | 5.250%, 2/4/2022 | 296,915 | ||||||
Atlantic Broadband Penn, LLC, Term Loan | ||||||||
105,607 | 3.250%, 11/30/2019 | 104,518 | ||||||
Birch Communication Inc., Term Loan | ||||||||
678,125 | 7.750%, 7/17/2020 | 647,609 | ||||||
Block Communications, Inc., Term Loan | ||||||||
469,063 | 4.000%, 11/7/2021 | 463,786 | ||||||
Cengage Learning Acquisitions, Term Loan | ||||||||
606,049 | 7.000%, 3/31/2020 | 589,383 | ||||||
Charter Communications Operating, LLC, Term Loan | ||||||||
59,091 | 3.000%, 7/1/2020 | 57,922 | ||||||
Cincinnati Bell, Inc., Term Loan | ||||||||
673,225 | 4.000%, 9/10/2020 | 648,262 | ||||||
CommScope, Inc., Term Loan | ||||||||
877,800 | 3.827%, 12/29/2022b,c | 870,672 | ||||||
CSC Holdings, LLC, Term Loan | ||||||||
875,000 | 5.000%, 10/9/2022 | 872,541 | ||||||
Fairpoint Communications, Term Loan | ||||||||
523,712 | 7.500%, 2/14/2019 | 519,261 | ||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
780,018 | 4.500%, 5/29/2020 | 763,771 | ||||||
Gray Television, Inc., Term Loan | ||||||||
431,796 | 3.750%, 6/13/2021 | 425,591 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
657,244 | 5.250%, 6/26/2019 | 652,518 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
821,790 | 5.250%, 8/14/2020 | 793,027 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
556,029 | 3.750%, 6/30/2019 | 524,652 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
800,000 | 4.000%, 1/15/2020 | 796,712 | ||||||
Liberty Cablevision of Puerto Rico, LLC, Term Loan | ||||||||
725,000 | 4.500%, 1/7/2022 | 700,531 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
890,390 | 4.000%, 4/13/2020 | 865,014 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
884,435 | 4.750%, 3/22/2019 | 863,058 | ||||||
NEP/NCP Holdco, Inc., Term Loan | ||||||||
778,170 | 4.250%, 1/22/2020 | 725,643 | ||||||
NTelos, Inc., Term Loan | ||||||||
568,652 | 5.750%, 11/9/2019 | 562,966 | ||||||
Numericable US, LLC, Term Loan | ||||||||
860,000 | 4.563%, 7/29/2022b,c | 820,363 | ||||||
65,000 | 4.750%, 2/10/2023 | 62,330 | ||||||
SBA Senior Finance II, LLC, Term Loan | ||||||||
467,875 | 3.250%, 3/24/2021 | 457,348 | ||||||
89,550 | 3.250%, 6/10/2022 | 87,227 | ||||||
TNS, Inc., Term Loan | ||||||||
409,290 | 5.000%, 2/14/2020 | 402,127 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
884,693 | 4.000%, 3/1/2020 | 864,345 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
403,993 | 3.500%, 6/30/2023 | 395,093 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
622,837 | 4.500%, 4/1/2019 | 599,288 | ||||||
WMG Acquisition Corporation, Term Loan | ||||||||
586,500 | 3.750%, 7/1/2020 | 553,996 | ||||||
XO Communications, LLC, Term Loan | ||||||||
638,625 | 4.250%, 3/20/2021 | 622,340 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
548,315 | 4.250%, 3/1/2020 | 539,575 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
670,460 | 3.750%, 5/6/2021 | 658,365 | ||||||
|
| |||||||
Total | 18,806,749 | |||||||
|
| |||||||
| Consumer Cyclical (2.2%) | |||||||
Amaya BV, Term Loan | ||||||||
523,395 | 5.000%, 8/1/2021 | 489,374 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
506,238 | 4.250%, 8/13/2021 | 499,277 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
108
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (13.3%)a | Value | ||||||
| Consumer Cyclical (2.2%) - continued | |||||||
Ceridian HCM Holding, Inc., Term Loan | ||||||||
$ | 287,687 | 4.500%, 9/15/2020 | $ | 243,455 | ||||
Charter Communications Operating, LLC, Term Loan | ||||||||
585,000 | 3.000%, 1/3/2021 | 572,569 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
486,005 | 3.500%, 5/24/2017 | 483,910 | ||||||
Dollar Tree, Inc., Term Loan | ||||||||
562,091 | 3.500%, 7/6/2022 | 559,635 | ||||||
FCA US, LLC, Term Loan | ||||||||
270,188 | 3.250%, 12/31/2018 | 267,351 | ||||||
Golden Nugget, Inc., Delayed Draw | ||||||||
63,450 | 5.500%, 11/21/2019 | 62,816 | ||||||
Golden Nugget, Inc., Term Loan | ||||||||
148,050 | 5.500%, 11/21/2019 | 146,569 | ||||||
Hilton Worldwide Finance, LLC, Term Loan | ||||||||
426,206 | 3.500%, 10/26/2020 | 425,008 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
764,306 | 5.250%, 5/6/2021 | 749,738 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
585,000 | 6.000%, 5/22/2018 | 573,739 | ||||||
Las Vegas Sands, LLC, Term Loan | ||||||||
490,000 | 3.250%, 12/19/2020 | 484,488 | ||||||
Marina District Finance Company, Inc., Term Loan | ||||||||
285,276 | 6.500%, 8/15/2018 | 284,563 | ||||||
MGM Resorts International, Term Loan | ||||||||
1,203,970 | 3.500%, 12/20/2019 | 1,185,910 | ||||||
Michaels Stores, Inc., Term Loan | ||||||||
559,610 | 4.000%, 1/28/2020 | 555,178 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
652,256 | 5.500%, 6/15/2018 | 636,648 | ||||||
Pinnacle Entertainment, Inc., Term Loan | ||||||||
243,795 | 3.750%, 8/13/2020 | 242,805 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
586,500 | 5.000%, 6/20/2019 | 544,466 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
588,000 | 6.000%, 10/18/2020 | 536,550 | ||||||
99,000 | 6.000%, 10/1/2021 | 89,948 | ||||||
Seminole Hard Rock Entertainment, Inc., Term Loan | ||||||||
310,738 | 3.500%, 5/14/2020 | 303,747 | ||||||
Seminole Indian Tribe of Florida, Term Loan | ||||||||
484,500 | 3.000%, 4/29/2020 | 480,866 | ||||||
|
| |||||||
Total | 10,418,610 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.9%) | |||||||
Albertson’s, Inc., Term Loan | ||||||||
688,071 | 5.500%, 3/21/2019 | 685,146 | ||||||
Albertson’s, LLC, Term Loan | ||||||||
600,000 | 0.000%, 12/22/2022b,c | 595,800 | ||||||
Catalina Marketing Corporation, Term Loan | ||||||||
605,775 | 4.500%, 4/9/2021 | 481,591 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
120,633 | 3.657%, 12/31/2018 | 118,773 | ||||||
156,460 | 3.750%, 1/27/2021 | 152,256 | ||||||
287,882 | 4.000%, 1/27/2021 | 282,948 | ||||||
Endo Luxembourg Finance I Co Sarl, Term Loan | ||||||||
600,000 | 3.750%, 9/26/2022 | 591,252 | ||||||
Hanesbrands, Inc., Term Loan | ||||||||
506,175 | 3.250%, 4/29/2022 | 507,228 | ||||||
HCA, Inc., Term Loan | ||||||||
705,972 | 3.174%, 3/31/2017 | 704,694 | ||||||
JBS USA, LLC, Term Loan | ||||||||
145,000 | 4.000%, 10/30/2022 | 144,456 | ||||||
Libbey Glass, Inc., Term Loan | ||||||||
302,888 | 3.750%, 4/9/2021 | 297,208 | ||||||
LTF Merger Sub, Inc., Term Loan | ||||||||
751,225 | 4.250%, 6/10/2022 | 731,040 | ||||||
Ortho-Clinical Diagnostics, Inc., Term Loan | ||||||||
703,755 | 4.750%, 6/30/2021 | 593,794 | ||||||
Owens-Brockway Glass Container, Inc., Term Loan | ||||||||
907,725 | 3.500%, 9/1/2022 | 902,624 | ||||||
Sterigenics-Nordion Holdings, LLC, Term Loan | ||||||||
428,925 | 4.250%, 5/16/2022 | 416,057 | ||||||
Supervalu, Inc., Term Loan | ||||||||
778,000 | 4.500%, 3/21/2019 | 766,493 | ||||||
Valeant Pharmaceuticals International, Inc., Term Loan | ||||||||
1,097,236 | 4.000%, 4/1/2022b,c | 1,053,072 | ||||||
|
| |||||||
Total | 9,024,432 | |||||||
|
| |||||||
| Energy (0.7%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
782,541 | 6.250%, 5/16/2018 | 344,537 | ||||||
Aria Energy Operating, LLC, Term Loan | ||||||||
433,745 | 5.000%, 5/27/2022 | 401,214 | ||||||
Energy Solutions, LLC, Term Loan | ||||||||
656,500 | 6.750%, 5/29/2020 | 492,375 | ||||||
Exgen Renewables I, LLC, Term Loan | ||||||||
378,464 | 5.250%, 2/6/2021 | 378,464 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
298,098 | 4.750%, 11/8/2019 | 272,760 | ||||||
MEG Energy Corporation, Term Loan | ||||||||
710,106 | 0.000%, 3/31/2020 | 622,763 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
401,108 | 0.000%, 3/28/2019d | 80,554 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
585,000 | 4.500%, 6/3/2018 | 250,088 | ||||||
Targa Resources Partners, LP, Term Loan | ||||||||
364,651 | 5.750%, 2/27/2022 | 352,800 | ||||||
|
| |||||||
Total | 3,195,555 | |||||||
|
| |||||||
| Financials (0.7%) | |||||||
Delos Finance Sarl, Term Loan | ||||||||
630,000 | 3.500%, 3/6/2021 | 626,737 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
109
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (13.3%)a | Value | ||||||
| Financials (0.7%) - continued | |||||||
DJO Finance, LLC, Term Loan | ||||||||
$ | 299,250 | 4.250%, 6/7/2020 | $ | 290,365 | ||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
562,500 | 7.000%, 5/22/2018 | 543,279 | ||||||
MoneyGram International, Inc., Term Loan | ||||||||
515,720 | 4.250%, 3/27/2020 | 469,733 | ||||||
MPH Acquisition Holdings, LLC, Term Loan | ||||||||
153,598 | 3.750%, 3/31/2021 | 149,247 | ||||||
TransUnion, LLC, Term Loan | ||||||||
638,625 | 3.500%, 4/9/2021 | 619,198 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
582,000 | 4.000%, 10/15/2019 | 571,815 | ||||||
|
| |||||||
Total | 3,270,374 | |||||||
|
| |||||||
| Technology (1.3%) | |||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||
2,000,000 | 0.000%, 11/13/2022b,c | 1,976,260 | ||||||
Avago Technologies, Ltd., Term Loan | ||||||||
942,049 | 3.750%, 5/6/2021 | 938,912 | ||||||
BMC Software, Inc., Term Loan | ||||||||
567,167 | 5.000%, 9/10/2020 | 465,479 | ||||||
Booz Allen Hamilton, Inc., Term Loan | ||||||||
248,062 | 3.750%, 7/31/2019 | 248,310 | ||||||
First Data Corporation, Term Loan | ||||||||
900,000 | 3.918%, 3/23/2018 | 887,121 | ||||||
280,000 | 4.168%, 7/8/2022 | 275,730 | ||||||
Infor US, Inc., Term Loan | ||||||||
417,746 | 3.750%, 6/3/2020 | 391,291 | ||||||
Merrill Communications, LLC, Term Loan | ||||||||
2,714 | 6.250%, 6/1/2022 | 2,307 | ||||||
NXP BV, Term Loan | ||||||||
840,000 | 3.750%, 12/7/2020 | 835,170 | ||||||
SS&C European Holdings SARL, Term Loan | ||||||||
358,654 | 4.007%, 7/8/2022 | 355,516 | ||||||
52,782 | 4.018%, 7/8/2022 | 52,320 | ||||||
|
| |||||||
Total | 6,428,416 | |||||||
|
| |||||||
| Transportation (0.8%) | |||||||
American Airlines, Inc., Term Loan | ||||||||
1,056,187 | 3.250%, 6/27/2020 | 1,038,528 | ||||||
Delta Airlines, Inc., Term Loan | ||||||||
1,167,075 | 3.250%, 8/24/2022 | 1,163,527 | ||||||
OSG Bulk Ships, Inc., Term Loan | ||||||||
694,425 | 5.250%, 8/5/2019 | 664,912 | ||||||
XPO Logistics, Inc., Term Loan | ||||||||
1,260,000 | 5.500%, 11/1/2021 | 1,253,171 | ||||||
|
| |||||||
Total | 4,120,138 | |||||||
|
| |||||||
| Utilities (0.4%) | |||||||
Calpine Corporation, Term Loan | ||||||||
600,810 | 4.000%, 10/31/2020 | 584,287 | ||||||
687,213 | 3.500%, 5/27/2022 | 653,884 | ||||||
Intergen NV, Term Loan | ||||||||
585,000 | 5.500%, 6/15/2020 | 527,231 | ||||||
|
| |||||||
Total | 1,765,402 | |||||||
|
| |||||||
Total Bank Loans (cost $67,667,601) | 63,647,978 | |||||||
|
| |||||||
Long-Term Fixed Income (42.7%) | ||||||||
| Asset-Backed Securities (3.6%) | |||||||
Asset Backed Securities Corporation Home Equity Loan Trust | ||||||||
640,725 | 0.562%, 7/25/2036e | 559,729 | ||||||
706,729 | 0.582%, 11/25/2036e | 637,663 | ||||||
Bayview Opportunity Master Fund Trust | ||||||||
272,414 | 3.623%, 7/28/2019*,f | 270,208 | ||||||
464,915 | 3.623%, 4/28/2030g | 458,507 | ||||||
540,501 | 3.228%, 7/28/2034*,f | 539,568 | ||||||
905,545 | 3.721%, 2/28/2035* | 904,577 | ||||||
1,177,186 | 3.721%, 7/28/2035f,g | 1,176,237 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
315,349 | 5.530%, 4/25/2047 | 343,520 | ||||||
GSAA Home Equity Trust | ||||||||
683,638 | 0.692%, 7/25/2037e | 590,048 | ||||||
J.P. Morgan Mortgage Acquisition Trust | ||||||||
1,441,724 | 6.472%, 3/25/2047f | 1,088,906 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
1,270,068 | 2.746%, 2/25/2036 | 1,120,161 | ||||||
Lehman XS Trust | ||||||||
1,237,380 | 5.440%, 8/25/2035f | 1,107,358 | ||||||
Pretium Mortgage Credit Partners, LLC | ||||||||
781,991 | 4.125%, 10/27/2030* | 774,944 | ||||||
1,200,000 | 4.375%, 11/27/2030* | 1,195,954 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
346,065 | 5.746%, 5/25/2036f | 238,413 | ||||||
632,000 | 6.011%, 5/25/2036f | 439,629 | ||||||
913,125 | 5.797%, 8/25/2036f | 564,400 | ||||||
Sunset Mortgage Loan Company, LLC | ||||||||
1,083,310 | 4.459%, 9/16/2045*,f | 1,079,031 | ||||||
U.S. Residential Opportunity Fund III Trust | ||||||||
970,377 | 3.721%, 1/27/2035* | 964,073 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
1,042,457 | 3.375%, 10/25/2058*,f | 1,024,327 | ||||||
879,778 | 3.500%, 6/26/2045f,g | 866,929 | ||||||
911,054 | 3.625%, 7/25/2045f,g | 898,107 | ||||||
510,415 | 3.500%, 2/25/2055*,f | 503,508 | ||||||
|
| |||||||
Total | 17,345,797 | |||||||
|
| |||||||
| Basic Materials (0.5%) | |||||||
Anglo American Capital plc | ||||||||
92,000 | 1.271%, 4/15/2016e,g | 91,100 | ||||||
ArcelorMittal SA | ||||||||
730,000 | 6.500%, 3/1/2021 | 587,570 | ||||||
BHP Billiton Finance USA, Ltd. | ||||||||
400,000 | 6.250%, 10/19/2075g | 391,500 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
110
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (42.7%) | Value | ||||||
| Basic Materials (0.5%) - continued | |||||||
Dow Chemical Company | ||||||||
$ | 64,000 | 8.550%, 5/15/2019 | $ | 75,434 | ||||
First Quantum Minerals, Ltd. | ||||||||
322,000 | 6.750%, 2/15/2020g | 207,690 | ||||||
322,000 | 7.000%, 2/15/2021g | 202,055 | ||||||
Freeport-McMoRan, Inc. | ||||||||
53,000 | 2.375%, 3/15/2018 | 41,340 | ||||||
Glencore Funding, LLC | ||||||||
60,000 | 1.377%, 4/16/2018e,g | 50,628 | ||||||
INEOS Group Holdings SA | ||||||||
400,000 | 5.875%, 2/1/2019g | 388,000 | ||||||
LyondellBasell Industries NV | ||||||||
64,000 | 5.000%, 4/15/2019 | 68,083 | ||||||
Sappi Papier Holding GmbH | ||||||||
400,000 | 6.625%, 4/15/2021g | 404,000 | ||||||
Yamana Gold, Inc. | ||||||||
98,000 | 4.950%, 7/15/2024 | 83,102 | ||||||
|
| |||||||
Total | 2,590,502 | |||||||
|
| |||||||
| Capital Goods (1.4%) | |||||||
Berry Plastics Corporation | ||||||||
425,000 | 6.000%, 10/15/2022g | 432,438 | ||||||
Building Materials Corporation of America | ||||||||
785,000 | 6.000%, 10/15/2025g | 800,700 | ||||||
Cemex SAB de CV | ||||||||
775,000 | 5.700%, 1/11/2025g | 648,094 | ||||||
CNH Industrial Capital, LLC | ||||||||
965,000 | 4.375%, 11/6/2020 | 909,513 | ||||||
Crown Americas Capital Corporation IV | ||||||||
730,000 | 4.500%, 1/15/2023 | 713,575 | ||||||
Crown Cork & Seal Company, Inc. | ||||||||
410,000 | 7.375%, 12/15/2026 | 440,750 | ||||||
General Electric Company | ||||||||
120,000 | 4.200%, 12/15/2049h | 119,400 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
190,000 | 2.625%, 5/1/2020 | 187,211 | ||||||
L-3 Communications Corporation | ||||||||
123,000 | 1.500%, 5/28/2017 | 121,476 | ||||||
Lockheed Martin Corporation | ||||||||
70,000 | 1.850%, 11/23/2018 | 69,876 | ||||||
Pentair Finance SA | ||||||||
70,000 | 3.625%, 9/15/2020 | 69,931 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
160,000 | 5.750%, 10/15/2020 | 162,750 | ||||||
410,000 | 6.875%, 2/15/2021 | 422,300 | ||||||
Sealed Air Corporation | ||||||||
500,000 | 4.875%, 12/1/2022g | 501,250 | ||||||
Textron, Inc. | ||||||||
137,000 | 7.250%, 10/1/2019 | 155,878 | ||||||
United Rentals North America, Inc. | ||||||||
780,000 | 5.500%, 7/15/2025 | 756,600 | ||||||
|
| |||||||
Total | 6,511,742 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (13.6%) | |||||||
Adjustable Rate Mortgage Trust | ||||||||
1,072,000 | 2.860%, 11/25/2035 | 942,606 | ||||||
Alternative Loan Trust | ||||||||
1,127,592 | 5.500%, 5/25/2035 | 1,131,305 | ||||||
998,156 | 6.000%, 6/25/2036 | 908,325 | ||||||
American Home Mortgage Assets Trust | ||||||||
1,592,614 | 0.612%, 12/25/2046e | 1,016,445 | ||||||
1,567,256 | 0.612%, 6/25/2047e | 1,070,193 | ||||||
American Home Mortgage Investment Trust | ||||||||
1,425,202 | 6.250%, 12/25/2036 | 632,526 | ||||||
Angel Oak Mortgage Trust | ||||||||
1,150,000 | 4.500%, 11/25/2045* | 1,147,979 | ||||||
Banc of America Alternative Loan Trust | ||||||||
397,753 | 0.922%, 4/25/2035e | 308,393 | ||||||
1,106,644 | 6.000%, 11/25/2035 | 984,921 | ||||||
Banc of America Funding Corporation | ||||||||
294,005 | 4.725%, 5/20/2036 | 247,078 | ||||||
BCAP, LLC Trust | ||||||||
1,198,989 | 0.602%, 3/25/2037e | 1,015,955 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
214,313 | 2.660%, 10/25/2035e | 210,710 | ||||||
262,803 | 2.702%, 2/25/2036 | 207,755 | ||||||
Bear Stearns ALT-A Trust | ||||||||
1,232,757 | 5.212%, 7/25/2035 | 1,008,564 | ||||||
Citicorp Mortgage Securities Trust | ||||||||
355,039 | 6.000%, 5/25/2037 | 365,701 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
342,092 | 5.500%, 11/25/2035 | 327,007 | ||||||
648,414 | 2.751%, 3/25/2037 | 511,888 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
494,567 | 5.750%, 4/25/2037 | 424,258 | ||||||
Countrywide Alternative Loan Trust | ||||||||
252,143 | 0.822%, 2/25/2035e | 234,631 | ||||||
791,639 | 2.508%, 10/25/2035 | 704,448 | ||||||
535,388 | 2.609%, 10/25/2035 | 470,603 | ||||||
383,954 | 5.500%, 2/25/2036 | 363,801 | ||||||
211,314 | 6.000%, 4/25/2036 | 187,166 | ||||||
525,073 | 6.500%, 8/25/2036 | 395,638 | ||||||
183,672 | 6.000%, 1/25/2037 | 168,797 | ||||||
782,798 | 5.500%, 5/25/2037 | 664,247 | ||||||
Countrywide Home Loan Mortgage Pass Through Trust | ||||||||
1,195,548 | 2.706%, 11/25/2035 | 1,018,909 | ||||||
467,008 | 2.725%, 2/20/2036 | 407,781 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
90,611 | 5.500%, 10/25/2021 | 87,711 | ||||||
296,417 | 0.622%, 11/25/2035e | 197,007 | ||||||
636,601 | 5.500%, 11/25/2035 | 608,165 | ||||||
823,946 | 1.027%, 4/25/2047e | 702,608 | ||||||
1,297,818 | 0.441%, 8/25/2047e | 1,063,231 | ||||||
Federal Home Loan Mortgage Corporation | ||||||||
6,083,109 | 2.500%, 12/15/2022i | 378,978 | ||||||
1,927,860 | 2.500%, 5/15/2027i | 154,846 | ||||||
2,275,218 | 2.500%, 2/15/2028i | 208,372 | ||||||
6,931,479 | 2.500%, 3/15/2028i | 658,258 | ||||||
3,653,360 | 3.000%, 4/15/2028i | 358,884 | ||||||
3,054,542 | 3.000%, 2/15/2033i | 375,814 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
111
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (42.7%) | Value | ||||||
| Collateralized Mortgage Obligations (13.6%) - continued | |||||||
Federal National Mortgage Association | ||||||||
$ | 3,026,777 | 2.500%, 2/25/2028i | $ | 282,623 | ||||
2,491,716 | 3.000%, 4/25/2028i | 251,631 | ||||||
2,857,099 | 3.500%, 1/25/2033i | 384,733 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
868,467 | 2.318%, 3/25/2035 | 768,622 | ||||||
885,845 | 2.403%, 7/25/2035 | 809,021 | ||||||
904,740 | 6.000%, 8/25/2036e | 735,889 | ||||||
First Horizon Mortgage Pass-Through Trust | ||||||||
837,036 | 2.698%, 8/25/2037 | 668,251 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
1,368,559 | 3.149%, 5/25/2035 | 1,289,544 | ||||||
Government National Mortgage Association | ||||||||
2,917,647 | 4.000%, 1/16/2027i | 298,789 | ||||||
Greenpoint Mortgage Funding Trust | ||||||||
666,624 | 0.622%, 10/25/2045e | 523,594 | ||||||
HarborView Mortgage Loan Trust | ||||||||
1,514,528 | 2.685%, 7/19/2035 | 1,333,471 | ||||||
HomeBanc Mortgage Trust | ||||||||
357,981 | 2.229%, 4/25/2037 | 269,866 | ||||||
IndyMac IMJA Mortgage Loan Trust | ||||||||
805,351 | 6.250%, 11/25/2037 | 670,675 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
1,102,519 | 2.843%, 10/25/2035 | 915,322 | ||||||
958,392 | 1.062%, 7/25/2045e | 828,939 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
1,056,950 | 6.500%, 3/25/2036 | 914,379 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
197,502 | 6.500%, 1/25/2035 | 193,594 | ||||||
882,071 | 2.872%, 8/25/2035 | 876,601 | ||||||
396,480 | 2.691%, 10/25/2036 | 356,749 | ||||||
751,268 | 0.802%, 1/25/2037e | 460,444 | ||||||
635,509 | 2.919%, 1/25/2037 | 557,957 | ||||||
411,035 | 6.250%, 8/25/2037 | 318,649 | ||||||
Lehman Mortgage Trust | ||||||||
475,868 | 1.172%, 12/25/2035e | 335,461 | ||||||
Master Asset Securitization Trust | ||||||||
563,198 | 0.922%, 6/25/2036e | 321,638 | ||||||
MASTR Alternative Loans Trust | ||||||||
204,051 | 6.500%, 7/25/2034 | 208,833 | ||||||
450,426 | 0.872%, 12/25/2035e | 225,490 | ||||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
596,342 | 6.000%, 3/25/2037 | 536,920 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
468,531 | 2.803%, 11/25/2035 | 344,305 | ||||||
MortgageIT Trust | ||||||||
916,703 | 0.682%, 12/25/2035e | 829,887 | ||||||
New Century Alternative Mortgage Loan Trust | ||||||||
1,052,851 | 6.167%, 7/25/2036f | 644,413 | ||||||
New York Mortgage Trust, Inc. | ||||||||
625 | 2.671%, 5/25/2036 | 10 | ||||||
Oak Hill Advisors Residential Loan Trust | ||||||||
756,209 | 3.475%, 1/25/2055*,f | 752,526 | ||||||
RALI Trust | ||||||||
975,736 | 6.000%, 4/25/2036 | 832,525 | ||||||
1,036,009 | 0.602%, 11/25/2036e | 752,562 | ||||||
335,748 | 6.000%, 6/25/2037 | 280,888 | ||||||
1,359,089 | 0.612%, 7/25/2037e | 1,078,617 | ||||||
Residential Accredit Loans, Inc. | ||||||||
1,671,254 | 3.633%, 9/25/2035 | 1,385,271 | ||||||
Residential Accredit Loans, Inc. Trust | ||||||||
669,380 | 5.750%, 9/25/2035 | 602,984 | ||||||
796,137 | 6.000%, 1/25/2037 | 667,221 | ||||||
1,367,867 | 5.750%, 4/25/2037 | 1,103,982 | ||||||
838,192 | 6.250%, 4/25/2037 | 708,085 | ||||||
Residential Asset Securitization Trust | ||||||||
890,959 | 6.236%, 8/25/2022 | 798,722 | ||||||
513,107 | 5.500%, 4/25/2035 | 519,641 | ||||||
805,863 | 0.802%, 8/25/2037e | 239,455 | ||||||
Residential Funding Mortgage Security I Trust | ||||||||
785,765 | 5.750%, 2/25/2036 | 733,655 | ||||||
1,062,945 | 6.000%, 7/25/2037 | 962,205 | ||||||
Sequoia Mortgage Trust | ||||||||
1,324,871 | 2.822%, 9/20/2046 | 1,059,952 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
230,368 | 2.761%, 12/25/2034 | 225,010 | ||||||
772,751 | 2.719%, 7/25/2035 | 660,887 | ||||||
378,260 | 2.877%, 9/25/2035 | 319,614 | ||||||
621,265 | 4.725%, 5/25/2036 | 477,182 | ||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
1,515,058 | 0.732%, 12/25/2035e | 1,096,872 | ||||||
777,699 | 0.632%, 5/25/2046e | 547,750 | ||||||
Suntrust Alternative Loan Trust | ||||||||
911,805 | 5.750%, 12/25/2035 | 833,822 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
1,191,297 | 4.151%, 8/25/2036 | 1,046,224 | ||||||
631,102 | 2.176%, 11/25/2036 | 546,753 | ||||||
1,266,292 | 1.825%, 1/25/2037 | 1,065,894 | ||||||
116,700 | 2.397%, 8/25/2046 | 99,883 | ||||||
540,130 | 1.177%, 9/25/2046e | 432,329 | ||||||
1,501,180 | 1.063%, 12/25/2046e | 1,155,377 | ||||||
591,851 | 1.901%, 3/25/2047e | 470,867 | ||||||
Washington Mutual Mortgage Pass Through Certificates | ||||||||
515,335 | 1.022%, 6/25/2035e | 392,574 | ||||||
787,815 | 6.000%, 11/25/2035 | 719,151 | ||||||
1,612,298 | 1.007%, 2/25/2047e | 1,155,690 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
1,326,354 | 2.731%, 7/25/2036 | 1,299,613 | ||||||
424,908 | 6.000%, 7/25/2037 | 420,622 | ||||||
575,370 | 6.000%, 11/25/2037 | 569,501 | ||||||
|
| |||||||
Total | 65,041,710 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (0.1%) | |||||||
Greenwich Capital Commercial Funding Corporation | ||||||||
650,000 | 5.867%, 12/10/2049 | 675,229 | ||||||
|
| |||||||
Total | 675,229 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
112
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (42.7%) | Value | ||||||
| Communications Services (2.0%) | |||||||
AMC Networks, Inc. | ||||||||
$ | 390,000 | 4.750%, 12/15/2022 | $ | 390,000 | ||||
American Tower Corporation | ||||||||
60,000 | 2.800%, 6/1/2020 | 59,309 | ||||||
98,000 | 3.450%, 9/15/2021 | 98,480 | ||||||
AT&T, Inc. | ||||||||
65,000 | 1.533%, 6/30/2020e | 64,535 | ||||||
CC Holdings GS V, LLC | ||||||||
72,000 | 2.381%, 12/15/2017 | 72,079 | ||||||
CCO Holdings, LLC | ||||||||
400,000 | 6.500%, 4/30/2021 | 416,000 | ||||||
CCO Safari II, LLC | ||||||||
35,000 | 3.579%, 7/23/2020g | 34,790 | ||||||
35,000 | 4.464%, 7/23/2022g | 34,878 | ||||||
CenturyLink, Inc. | ||||||||
400,000 | 6.450%, 6/15/2021 | 390,000 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
510,000 | 6.500%, 11/15/2022 | 497,250 | ||||||
Columbus International, Inc. | ||||||||
750,000 | 7.375%, 3/30/2021g | 742,500 | ||||||
Crown Castle International Corporation | ||||||||
800,000 | 5.250%, 1/15/2023 | 841,000 | ||||||
Digicel, Ltd. | ||||||||
760,000 | 6.000%, 4/15/2021g | 640,300 | ||||||
DIRECTV Holdings, LLC | ||||||||
104,000 | 5.875%, 10/1/2019 | 116,078 | ||||||
Frontier Communications Corporation | ||||||||
555,000 | 8.875%, 9/15/2020g | 561,938 | ||||||
Hughes Satellite Systems Corporation | ||||||||
513,000 | 6.500%, 6/15/2019 | 552,757 | ||||||
Level 3 Escrow II, Inc. | ||||||||
400,000 | 5.375%, 8/15/2022 | 406,000 | ||||||
Numericable-SFR | ||||||||
770,000 | 6.000%, 5/15/2022g | 746,900 | ||||||
SBA Tower Trust | ||||||||
200,000 | 3.598%, 4/16/2043g | 199,281 | ||||||
Sprint Corporation | ||||||||
760,000 | 7.625%, 2/15/2025 | 554,800 | ||||||
Telefonica Emisiones SAU | ||||||||
126,000 | 3.192%, 4/27/2018 | 128,445 | ||||||
T-Mobile USA, Inc. | ||||||||
770,000 | 6.125%, 1/15/2022 | 791,175 | ||||||
Univision Communications, Inc. | ||||||||
515,000 | 5.125%, 5/15/2023g | 495,688 | ||||||
UPCB Finance V, Ltd. | ||||||||
513,000 | 7.250%, 11/15/2021g | 545,063 | ||||||
Verizon Communications, Inc. | ||||||||
66,000 | 2.625%, 2/21/2020 | 66,229 | ||||||
98,000 | 4.500%, 9/15/2020 | 105,292 | ||||||
|
| |||||||
Total | 9,550,767 | |||||||
|
| |||||||
| Consumer Cyclical (1.9%) | |||||||
AMC Entertainment, Inc. | ||||||||
400,000 | 5.875%, 2/15/2022 | 406,000 | ||||||
Brookfield Residential Properties, Inc. | ||||||||
570,000 | 6.500%, 12/15/2020g | 549,337 | ||||||
Corrections Corporation of America | ||||||||
535,000 | 5.000%, 10/15/2022 | 532,325 | ||||||
Ford Motor Credit Company, LLC | ||||||||
130,000 | 5.000%, 5/15/2018 | 136,551 | ||||||
95,000 | 2.597%, 11/4/2019 | 93,275 | ||||||
General Motors Financial Company, Inc. | ||||||||
570,000 | 3.250%, 5/15/2018 | 572,853 | ||||||
83,000 | 4.375%, 9/25/2021 | 84,166 | ||||||
Hilton Worldwide Finance, LLC | ||||||||
730,000 | 5.625%, 10/15/2021 | 756,463 | ||||||
Home Depot, Inc. | ||||||||
70,000 | 0.882%, 9/15/2017e | 70,103 | ||||||
65,000 | 2.625%, 6/1/2022 | 64,932 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
200,000 | 4.125%, 12/15/2018g | 201,000 | ||||||
125,000 | 4.250%, 11/15/2019g | 125,938 | ||||||
420,000 | 5.625%, 2/1/2023g | 424,200 | ||||||
L Brands, Inc. | ||||||||
570,000 | 5.625%, 2/15/2022 | 605,625 | ||||||
Lennar Corporation | ||||||||
410,000 | 12.250%, 6/1/2017 | 464,837 | ||||||
160,000 | 4.125%, 12/1/2018 | 160,800 | ||||||
Live Nation Entertainment, Inc. | ||||||||
500,000 | 5.375%, 6/15/2022g | 492,500 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
176,000 | 7.450%, 7/15/2017 | 190,164 | ||||||
MGM Resorts International | ||||||||
775,000 | 6.000%, 3/15/2023 | 769,188 | ||||||
Ralph Lauren Corporation | ||||||||
70,000 | 2.625%, 8/18/2020 | 70,667 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
750,000 | 5.250%, 11/15/2022 | 768,750 | ||||||
Six Flags Entertainment Corporation | ||||||||
510,000 | 5.250%, 1/15/2021g | 516,375 | ||||||
Toll Brothers Finance Corporation | ||||||||
124,000 | 4.000%, 12/31/2018 | 126,480 | ||||||
Visa, Inc. | ||||||||
70,000 | 2.200%, 12/14/2020 | 69,870 | ||||||
West Corporation | ||||||||
770,000 | 5.375%, 7/15/2022g | 664,125 | ||||||
|
| |||||||
Total | 8,916,524 | |||||||
|
| |||||||
| Consumer Non-Cyclical (1.9%) | |||||||
Amgen, Inc. | ||||||||
60,000 | 2.125%, 5/1/2020 | 59,182 | ||||||
B&G Foods, Inc. | ||||||||
310,000 | 4.625%, 6/1/2021 | 306,900 | ||||||
BAT International Finance plc | ||||||||
65,000 | 1.022%, 6/15/2018e,g | 64,912 | ||||||
Becton, Dickinson and Company | ||||||||
45,000 | 1.450%, 5/15/2017 | 44,810 | ||||||
Boston Scientific Corporation | ||||||||
35,000 | 6.000%, 1/15/2020 | 38,864 | ||||||
Bunge Limited Finance Corporation | ||||||||
70,000 | 3.500%, 11/24/2020 | 69,610 | ||||||
Cardinal Health, Inc. | ||||||||
65,000 | 1.950%, 6/15/2018 | 64,831 | ||||||
Celgene Corporation | ||||||||
70,000 | 3.550%, 8/15/2022 | 70,680 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (42.7%) | Value | ||||||
| Consumer Non-Cyclical (1.9%) - continued | |||||||
Cott Beverages, Inc. | ||||||||
$ | 770,000 | 5.375%, 7/1/2022 | $ | 754,600 | ||||
CVS Health Corporation | ||||||||
64,000 | 2.250%, 12/5/2018 | 64,309 | ||||||
EMD Finance, LLC | ||||||||
35,000 | 0.876%, 3/17/2017e,g | 34,893 | ||||||
Envision Healthcare Corporation | ||||||||
750,000 | 5.125%, 7/1/2022g | 735,000 | ||||||
Forest Laboratories, Inc. | ||||||||
97,000 | 4.375%, 2/1/2019g | 101,615 | ||||||
Gilead Sciences, Inc. | ||||||||
70,000 | 3.250%, 9/1/2022 | 70,485 | ||||||
Grifols Worldwide Operations, Ltd. | ||||||||
520,000 | 5.250%, 4/1/2022 | 522,600 | ||||||
HCA, Inc. | ||||||||
575,000 | 3.750%, 3/15/2019 | 579,312 | ||||||
JBS USA, LLC | ||||||||
390,000 | 5.875%, 7/15/2024g | 352,950 | ||||||
780,000 | 5.750%, 6/15/2025g | 678,600 | ||||||
Laboratory Corporation of America Holdings | ||||||||
25,000 | 2.625%, 2/1/2020 | 24,681 | ||||||
Land O’Lakes, Inc. | ||||||||
800,000 | 8.000%, 12/31/2049g,h | 831,000 | ||||||
Mead Johnson Nutrition Company | ||||||||
70,000 | 3.000%, 11/15/2020 | 69,979 | ||||||
Medtronic plc | ||||||||
190,000 | 4.375%, 3/15/2035 | 192,060 | ||||||
Mondelez International, Inc. | ||||||||
86,000 | 2.250%, 2/1/2019 | 85,968 | ||||||
Mylan NV | ||||||||
35,000 | 3.750%, 12/15/2020g | 35,037 | ||||||
PepsiCo, Inc. | ||||||||
60,000 | 1.850%, 4/30/2020 | 59,312 | ||||||
Pfizer, Inc. | ||||||||
560,000 | 5.200%, 8/12/2020 | 627,248 | ||||||
Reynolds American, Inc. | ||||||||
65,000 | 3.250%, 6/12/2020 | 66,060 | ||||||
SABMiller plc | ||||||||
48,000 | 6.500%, 7/15/2018g | 52,959 | ||||||
Safeway, Inc. | ||||||||
37,000 | 3.400%, 12/1/2016 | 36,630 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
340,000 | 6.375%, 11/15/2020 | 361,250 | ||||||
Spectrum Brands, Inc. | ||||||||
340,000 | 5.750%, 7/15/2025g | 348,500 | ||||||
Tenet Healthcare Corporation | ||||||||
730,000 | 8.125%, 4/1/2022 | 728,175 | ||||||
TreeHouse Foods, Inc. | ||||||||
510,000 | 4.875%, 3/15/2022 | 485,775 | ||||||
Tyson Foods, Inc. | ||||||||
98,000 | 4.500%, 6/15/2022 | 104,308 | ||||||
VPII Escrow Corporation | ||||||||
410,000 | 7.500%, 7/15/2021g | 408,975 | ||||||
Zoetis, Inc. | ||||||||
70,000 | 3.450%, 11/13/2020 | 70,081 | ||||||
|
| |||||||
Total | 9,202,151 | |||||||
|
| |||||||
| Energy (1.5%) | |||||||
Anadarko Petroleum Corporation | ||||||||
77,000 | 8.700%, 3/15/2019 | 87,484 | ||||||
Antero Resources Corporation | ||||||||
500,000 | 5.625%, 6/1/2023g | 390,000 | ||||||
Buckeye Partners, LP | ||||||||
98,000 | 2.650%, 11/15/2018 | 94,280 | ||||||
Chaparral Energy, Inc. | ||||||||
400,000 | 7.625%, 11/15/2022 | 92,000 | ||||||
Chevron Corporation | ||||||||
70,000 | 0.874%, 11/16/2018e | 70,019 | ||||||
Concho Resources, Inc. | ||||||||
570,000 | 5.500%, 10/1/2022 | 518,700 | ||||||
Crestwood Midstream Partners, LP | ||||||||
510,000 | 6.250%, 4/1/2023g | 355,725 | ||||||
Enbridge Energy Partners, LP | ||||||||
810,000 | 8.050%, 10/1/2037 | 664,200 | ||||||
Enterprise Products Operating, LLC | ||||||||
960,000 | 7.034%, 1/15/2068 | 974,400 | ||||||
EQT Corporation | ||||||||
60,000 | 5.150%, 3/1/2018 | 62,431 | ||||||
62,000 | 8.125%, 6/1/2019 | 66,971 | ||||||
Kinder Morgan, Inc. | ||||||||
95,000 | 5.300%, 12/1/2034 | 74,864 | ||||||
Marathon Petroleum Corporation | ||||||||
70,000 | 3.400%, 12/15/2020 | 68,746 | ||||||
MEG Energy Corporation | ||||||||
160,000 | 6.500%, 3/15/2021g | 112,000 | ||||||
410,000 | 6.375%, 1/30/2023g | 280,850 | ||||||
Noble Energy, Inc. | ||||||||
550,000 | 5.875%, 6/1/2022 | 523,215 | ||||||
Pacific Drilling V, Ltd. | ||||||||
510,000 | 7.250%, 12/1/2017g | 262,650 | ||||||
Petrobras International Finance Company | ||||||||
295,000 | 5.750%, 1/20/2020 | 231,575 | ||||||
Petroleos Mexicanos | ||||||||
390,000 | 5.625%, 1/23/2046g | 298,428 | ||||||
Pioneer Natural Resources Company | ||||||||
25,000 | 3.450%, 1/15/2021 | 23,084 | ||||||
Regency Energy Partners, LP | ||||||||
730,000 | 5.000%, 10/1/2022 | 646,690 | ||||||
Sabine Pass Liquefaction, LLC | ||||||||
775,000 | 5.625%, 3/1/2025g | 655,844 | ||||||
Schlumberger Holdings Corporation | ||||||||
70,000 | 3.000%, 12/21/2020g | 69,096 | ||||||
Shell International Finance BV | ||||||||
60,000 | 0.806%, 5/11/2020e | 59,121 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
70,000 | 4.400%, 4/1/2021 | 67,835 | ||||||
WPX Energy, Inc. | ||||||||
500,000 | 7.500%, 8/1/2020 | 405,000 | ||||||
|
| |||||||
Total | 7,155,208 | |||||||
|
| |||||||
| Financials (7.7%) | |||||||
Abbey National Treasury Services plc | ||||||||
64,000 | 3.050%, 8/23/2018 | 65,670 | ||||||
ACE INA Holdings, Inc. | ||||||||
70,000 | 2.875%, 11/3/2022 | 69,469 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (42.7%) | Value | ||||||
| Financials (7.7%) - continued | |||||||
Aegon NV | ||||||||
$ | 720,000 | 2.142%, 7/29/2049e,h | $ | 540,000 | ||||
AIG Life Holdings, Inc. | ||||||||
800,000 | 7.570%, 12/1/2045* | 1,044,000 | ||||||
Air Lease Corporation | ||||||||
35,000 | 2.625%, 9/4/2018 | 34,596 | ||||||
Ally Financial, Inc. | ||||||||
600,000 | 3.750%, 11/18/2019 | 591,750 | ||||||
American Express Company | ||||||||
750,000 | 6.800%, 9/1/2066 | 755,625 | ||||||
American Express Credit Corporation | ||||||||
70,000 | 1.552%, 9/14/2020e | 70,597 | ||||||
Aviation Capital Group Corporation | ||||||||
96,000 | 3.875%, 9/27/2016g | 96,720 | ||||||
Banco de Brasil SA | ||||||||
490,000 | 9.000%, 12/31/2049g,h | 320,950 | ||||||
Bank of America Corporation | ||||||||
164,000 | 5.700%, 5/2/2017 | 171,032 | ||||||
58,000 | 5.650%, 5/1/2018 | 62,368 | ||||||
90,000 | 8.000%, 12/29/2049h | 91,575 | ||||||
Bank of New York Mellon Corporation | ||||||||
480,000 | 4.500%, 12/31/2049h | 439,200 | ||||||
Barclays Bank plc | ||||||||
100,000 | 5.140%, 10/14/2020 | 108,520 | ||||||
BBVA Banco Continental SA | ||||||||
117,000 | 2.250%, 7/29/2016g | 117,292 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
1,030,000 | 5.919%, 12/29/2049h | 1,040,300 | ||||||
BPCE SA | ||||||||
375,000 | 5.150%, 7/21/2024g | 378,151 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
35,000 | 0.989%, 1/29/2018e,g | 34,932 | ||||||
Capital One Financial Corporation | ||||||||
800,000 | 5.550%, 12/29/2049h | 796,000 | ||||||
CIT Group, Inc. | ||||||||
650,000 | 5.000%, 8/15/2022 | 667,472 | ||||||
Citigroup, Inc. | ||||||||
97,000 | 1.850%, 11/24/2017 | 96,857 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
525,000 | 11.000%, 12/29/2049g,h | 648,112 | ||||||
Credit Agricole SA | ||||||||
50,000 | 1.457%, 6/10/2020e,g | 49,893 | ||||||
380,000 | 6.625%, 9/29/2049g,h | 373,540 | ||||||
Credit Suisse Group AG | ||||||||
400,000 | 7.500%, 12/11/2049g,h | 419,933 | ||||||
760,000 | 6.250%, 12/29/2049g,h | 759,428 | ||||||
CyrusOne, LP | ||||||||
570,000 | 6.375%, 11/15/2022 | 587,100 | ||||||
DDR Corporation | ||||||||
86,000 | 9.625%, 3/15/2016 | 87,343 | ||||||
Discover Bank | ||||||||
43,000 | 8.700%, 11/18/2019 | 50,870 | ||||||
Discover Financial Services | ||||||||
90,000 | 6.450%, 6/12/2017 | 95,088 | ||||||
Duke Realty, LP | ||||||||
95,000 | 4.375%, 6/15/2022 | 97,896 | ||||||
Fifth Third Bancorp | ||||||||
575,000 | 4.900%, 12/29/2049h | 519,944 | ||||||
GE Capital Trust I | ||||||||
380,000 | 6.375%, 11/15/2067 | 394,962 | ||||||
General Electric Company | ||||||||
947,000 | 4.100%, 12/15/2049h | 944,632 | ||||||
Goldman Sachs Group, Inc. | ||||||||
88,000 | 2.625%, 1/31/2019 | 88,629 | ||||||
122,000 | 7.500%, 2/15/2019 | 139,600 | ||||||
35,000 | 1.476%, 4/23/2020e | 35,052 | ||||||
60,000 | 2.012%, 11/29/2023e | 60,532 | ||||||
Goldman Sachs Group, Inc. Convertible | ||||||||
2,450,000 | 0.500%, 9/24/2022 | 2,534,353 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
106,000 | 6.000%, 1/15/2019 | 116,576 | ||||||
HCP, Inc. | ||||||||
64,000 | 3.750%, 2/1/2019 | 66,026 | ||||||
Health Care REIT, Inc. | ||||||||
110,000 | 4.700%, 9/15/2017 | 114,987 | ||||||
HSBC Holdings plc | ||||||||
375,000 | 5.625%, 12/29/2049h | 375,469 | ||||||
665,000 | 6.375%, 12/29/2049h | 664,169 | ||||||
380,000 | 6.375%, 12/29/2049h | 375,250 | ||||||
Icahn Enterprises, LP | ||||||||
770,000 | 6.000%, 8/1/2020 | 776,468 | ||||||
ILFC E-Capital Trust II | ||||||||
1,575,000 | 4.740%, 12/21/2065e,g | 1,449,000 | ||||||
ING Capital Funding Trust III | ||||||||
819,000 | 4.207%, 12/29/2049e,h | 816,953 | ||||||
International Lease Finance Corporation | ||||||||
64,000 | 2.462%, 6/15/2016e | 63,840 | ||||||
390,000 | 5.875%, 8/15/2022 | 415,350 | ||||||
Intesa Sanpaolo SPA | ||||||||
41,000 | 3.875%, 1/16/2018 | 42,042 | ||||||
100,000 | 3.875%, 1/15/2019 | 102,963 | ||||||
J.P. Morgan Chase & Company | ||||||||
88,000 | 6.300%, 4/23/2019 | 98,674 | ||||||
30,000 | 2.250%, 1/23/2020 | 29,513 | ||||||
77,000 | 7.900%, 4/29/2049h | 78,386 | ||||||
750,000 | 6.750%, 8/29/2049h | 817,500 | ||||||
Liberty Mutual Group, Inc. | ||||||||
525,000 | 10.750%, 6/15/2058* | 782,250 | ||||||
25,000 | 5.000%, 6/1/2021g | 26,738 | ||||||
Lincoln National Corporation | ||||||||
770,000 | 6.050%, 4/20/2067 | 600,600 | ||||||
Lloyds Banking Group plc | ||||||||
800,000 | 6.413%, 1/29/2049g,h | 896,000 | ||||||
MetLife Capital Trust IV | ||||||||
823,000 | 7.875%, 12/15/2037g | 1,004,060 | ||||||
MetLife, Inc. | ||||||||
400,000 | 6.400%, 12/15/2036 | 437,000 | ||||||
Morgan Stanley | ||||||||
35,000 | 1.463%, 1/27/2020e | 35,075 | ||||||
64,000 | 4.875%, 11/1/2022 | 67,920 | ||||||
MPT Operating Partnership, LP | ||||||||
510,000 | 5.500%, 5/1/2024 | 507,450 | ||||||
Murray Street Investment Trust I | ||||||||
88,000 | 4.647%, 3/9/2017 | 90,666 | ||||||
National City Corporation | ||||||||
86,000 | 6.875%, 5/15/2019 | 97,156 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
115
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DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (42.7%) | Value | ||||||
| Financials (7.7%) - continued | |||||||
National Westminster Bank plc | ||||||||
$ | 1,140,000 | 0.688%, 11/29/2049e,h | $ | 693,583 | ||||
New York Life Global Funding | ||||||||
70,000 | 1.550%, 11/2/2018g | 69,430 | ||||||
Nomura Holdings, Inc. | ||||||||
85,000 | 2.750%, 3/19/2019 | 85,459 | ||||||
Prudential Financial, Inc. | ||||||||
380,000 | 5.875%, 9/15/2042 | 395,010 | ||||||
775,000 | 5.625%, 6/15/2043 | 792,437 | ||||||
Quicken Loans, Inc. | ||||||||
510,000 | 5.750%, 5/1/2025g | 485,775 | ||||||
Realty Income Corporation | ||||||||
78,000 | 2.000%, 1/31/2018 | 78,045 | ||||||
Regions Bank | ||||||||
28,000 | 7.500%, 5/15/2018 | 31,112 | ||||||
Reinsurance Group of America, Inc. | ||||||||
160,000 | 5.625%, 3/15/2017 | 166,746 | ||||||
Royal Bank of Scotland Group plc | ||||||||
82,000 | 1.543%, 3/31/2017e | 81,840 | ||||||
375,000 | 7.648%, 8/29/2049h | 464,531 | ||||||
680,000 | 7.500%, 12/29/2049h | 708,050 | ||||||
Simon Property Group, LP | ||||||||
70,000 | 2.500%, 9/1/2020 | 70,054 | ||||||
Societe Generale SA | ||||||||
124,000 | 5.750%, 4/20/2016g | 125,580 | ||||||
760,000 | 8.250%, 9/29/2049h | 805,600 | ||||||
800,000 | 8.000%, 12/31/2049g,h | 815,254 | ||||||
Standard Chartered plc | ||||||||
760,000 | 6.500%, 12/29/2049g,h | 734,298 | ||||||
State Street Corporation | ||||||||
70,000 | 1.264%, 8/18/2020e | 70,007 | ||||||
Synchrony Financial | ||||||||
94,000 | 1.875%, 8/15/2017 | 93,569 | ||||||
25,000 | 1.564%, 2/3/2020e | 24,605 | ||||||
94,000 | 3.750%, 8/15/2021 | 93,897 | ||||||
Synovus Financial Corporation | ||||||||
900,000 | 5.750%, 12/15/2025 | 918,000 | ||||||
Toronto-Dominion Bank | ||||||||
70,000 | 1.432%, 12/14/2020e | 69,984 | ||||||
UnitedHealth Group, Inc. | ||||||||
70,000 | 3.350%, 7/15/2022 | 71,599 | ||||||
USB Realty Corporation | ||||||||
760,000 | 1.468%, 12/29/2049e,g,h | 684,000 | ||||||
Voya Financial, Inc. | ||||||||
129,000 | 2.900%, 2/15/2018 | 130,394 | ||||||
Wells Fargo & Company | ||||||||
35,000 | 1.002%, 1/30/2020e | 34,674 | ||||||
400,000 | 5.900%, 12/29/2049h | 403,500 | ||||||
380,000 | 5.875%, 12/31/2049h | 399,950 | ||||||
ZFS Finance USA Trust II | ||||||||
977,000 | 6.450%, 12/15/2065g | 987,258 | ||||||
|
| |||||||
Total | 37,012,305 | |||||||
|
| |||||||
| Foreign Government (2.9%) | |||||||
Brazil Government International Bond | ||||||||
270,000 | 5.875%, 1/15/2019 | 275,400 | ||||||
330,000 | 4.875%, 1/22/2021 | 305,250 | ||||||
585,000 | 2.625%, 1/5/2023 | 444,600 | ||||||
400,000 | 5.000%, 1/27/2045 | 267,000 | ||||||
Colombia Government International Bond | ||||||||
200,000 | 2.625%, 3/15/2023 | 175,700 | ||||||
250,000 | 4.000%, 2/26/2024 | 238,125 | ||||||
440,000 | 5.000%, 6/15/2045 | 367,400 | ||||||
Croatia Government International Bond | ||||||||
350,000 | 6.625%, 7/14/2020g | 375,043 | ||||||
Hungary Government International Bond | ||||||||
400,000 | 5.750%, 11/22/2023 | 447,560 | ||||||
372,000 | 5.375%, 3/25/2024 | 407,340 | ||||||
Indonesia Government International Bond | ||||||||
300,000 | 4.875%, 5/5/2021g | 310,745 | ||||||
290,000 | 3.375%, 4/15/2023g | 269,480 | ||||||
270,000 | 5.875%, 1/15/2024g | 289,255 | ||||||
210,000 | 4.125%, 1/15/2025g | 201,251 | ||||||
200,000 | 4.750%, 1/8/2026g | 197,532 | ||||||
675,000 | 5.125%, 1/15/2045g | 610,434 | ||||||
Mexico Government International Bond | ||||||||
250,000 | 3.625%, 3/15/2022 | 251,500 | ||||||
306,000 | 4.000%, 10/2/2023 | 309,978 | ||||||
180,000 | 3.600%, 1/30/2025 | 175,410 | ||||||
90,000 | 6.050%, 1/11/2040 | 98,550 | ||||||
250,000 | 4.750%, 3/8/2044 | 227,750 | ||||||
180,000 | 5.550%, 1/21/2045 | 184,500 | ||||||
315,000 | 4.600%, 1/23/2046 | 278,775 | ||||||
Panama Government International Bond | ||||||||
200,000 | 4.000%, 9/22/2024 | 200,000 | ||||||
270,000 | 3.750%, 3/16/2025 | 264,600 | ||||||
90,000 | 6.700%, 1/26/2036 | 106,875 | ||||||
Peru Government International Bond | ||||||||
580,000 | 4.125%, 8/25/2027 | 568,400 | ||||||
Philippines Government International Bond | ||||||||
235,000 | 7.750%, 1/14/2031 | 330,168 | ||||||
240,000 | 6.375%, 10/23/2034 | 312,905 | ||||||
Romania Government International Bond | ||||||||
196,000 | 4.375%, 8/22/2023g | 204,026 | ||||||
100,000 | 4.875%, 1/22/2024g | 107,430 | ||||||
Russia Government International Bond | ||||||||
180,000 | 3.500%, 1/16/2019g | 179,100 | ||||||
800,000 | 5.000%, 4/29/2020g | 825,600 | ||||||
500,000 | 4.875%, 9/16/2023g | 508,000 | ||||||
267,750 | 7.500%, 3/31/2030g | 320,788 | ||||||
270,000 | 5.625%, 4/4/2042g | 255,420 | ||||||
South Africa Government International Bond | ||||||||
245,000 | 5.500%, 3/9/2020 | 251,455 | ||||||
210,000 | 5.875%, 5/30/2022 | 219,282 | ||||||
Turkey Government International Bond | ||||||||
270,000 | 7.500%, 11/7/2019 | 302,743 | ||||||
700,000 | 7.000%, 6/5/2020 | 778,858 | ||||||
385,000 | 5.125%, 3/25/2022 | 395,106 | ||||||
180,000 | 6.250%, 9/26/2022 | 195,408 | ||||||
90,000 | 5.750%, 3/22/2024 | 95,087 | ||||||
400,000 | 4.250%, 4/14/2026 | 375,021 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
116
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DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (42.7%) | Value | ||||||
| Foreign Government (2.9%) - continued | |||||||
$ | 360,000 | 4.875%, 4/16/2043 | $ | 316,800 | ||||
|
| |||||||
Total | 13,821,650 | |||||||
|
| |||||||
| Mortgage-Backed Securities (1.9%) | |||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
6,500,000 | 3.500%, 1/1/2046c | 6,706,201 | ||||||
2,150,000 | 4.000%, 1/1/2046c | 2,275,069 | ||||||
|
| |||||||
Total | 8,981,270 | |||||||
|
| |||||||
| Technology (1.3%) | |||||||
Alliance Data Systems Corporation | ||||||||
420,000 | 5.375%, 8/1/2022g | 400,050 | ||||||
Amkor Technology, Inc. | ||||||||
670,000 | 6.625%, 6/1/2021 | 664,975 | ||||||
Apple, Inc. | ||||||||
60,000 | 0.659%, 5/6/2020e | 59,548 | ||||||
Automatic Data Processing, Inc. | ||||||||
70,000 | 2.250%, 9/15/2020 | 70,265 | ||||||
Cisco Systems, Inc. | ||||||||
65,000 | 0.914%, 3/1/2019e | 64,942 | ||||||
CommScope Technologies Finance, LLC | ||||||||
580,000 | 6.000%, 6/15/2025g | 558,250 | ||||||
Denali Borrower, LLC | ||||||||
760,000 | 5.625%, 10/15/2020g | 796,100 | ||||||
Equinix, Inc. | ||||||||
515,000 | 5.750%, 1/1/2025 | 526,587 | ||||||
Fidelity National Information Services, Inc. | ||||||||
70,000 | 3.625%, 10/15/2020 | 70,912 | ||||||
First Data Corporation | ||||||||
510,000 | 5.375%, 8/15/2023g | 512,550 | ||||||
Freescale Semiconductor, Inc. | ||||||||
570,000 | 6.000%, 1/15/2022g | 597,075 | ||||||
Hewlett Packard Enterprise Company | ||||||||
68,000 | 3.600%, 10/15/2020g | 68,156 | ||||||
IMS Health, Inc. | ||||||||
320,000 | 6.000%, 11/1/2020g | 329,600 | ||||||
Intel Corporation | ||||||||
70,000 | 3.100%, 7/29/2022 | 71,380 | ||||||
Oracle Corporation | ||||||||
60,000 | 2.500%, 5/15/2022 | 58,891 | ||||||
Plantronics, Inc. | ||||||||
800,000 | 5.500%, 5/31/2023g | 796,000 | ||||||
Sensata Technologies BV | ||||||||
725,000 | 4.875%, 10/15/2023g | 705,062 | ||||||
Texas Instruments, Inc. | ||||||||
60,000 | 1.750%, 5/1/2020 | 58,446 | ||||||
|
| |||||||
Total | 6,408,789 | |||||||
|
| |||||||
| Transportation (0.3%) | |||||||
American Airlines Pass Through Trust | ||||||||
74,633 | 4.950%, 1/15/2023 | 78,738 | ||||||
Avis Budget Car Rental, LLC | ||||||||
770,000 | 5.125%, 6/1/2022g | 760,375 | ||||||
Delta Air Lines, Inc. | ||||||||
54,158 | 4.950%, 5/23/2019 | 56,865 | ||||||
48,499 | 4.750%, 5/7/2020 | 51,166 | ||||||
J.B. Hunt Transport Services, Inc. | ||||||||
70,000 | 3.300%, 8/15/2022 | 69,325 | ||||||
Korea Expressway Corporation | ||||||||
123,000 | 1.625%, 4/28/2017g | 122,572 | ||||||
United Airlines 2015-1 Class A Pass Through Trust | ||||||||
70,000 | 3.700%, 12/1/2022 | 69,825 | ||||||
XPO Logistics, Inc. | ||||||||
500,000 | 6.500%, 6/15/2022g | 462,500 | ||||||
|
| |||||||
Total | 1,671,366 | |||||||
|
| |||||||
| U.S. Government and Agencies (0.4%) | |||||||
U.S. Treasury Notes | ||||||||
1,110,000 | 1.875%, 6/30/2020 | 1,117,761 | ||||||
830,000 | 2.125%, 6/30/2022 | 834,280 | ||||||
|
| |||||||
Total | 1,952,041 | |||||||
|
| |||||||
| Utilities (1.7%) | |||||||
Access Midstream Partners, LP | ||||||||
390,000 | 4.875%, 5/15/2023 | 316,159 | ||||||
AES Corporation | ||||||||
390,000 | 7.375%, 7/1/2021 | 397,800 | ||||||
Ameren Corporation | ||||||||
70,000 | 2.700%, 11/15/2020 | 69,734 | ||||||
Calpine Corporation | ||||||||
560,000 | 6.000%, 1/15/2022g | 578,026 | ||||||
730,000 | 5.375%, 1/15/2023 | 655,175 | ||||||
DCP Midstream, LLC | ||||||||
300,000 | 5.850%, 5/21/2043g | 229,500 | ||||||
Dynegy Finance I, Inc. | ||||||||
700,000 | 7.375%, 11/1/2022 | 609,000 | ||||||
Electricite de France SA | ||||||||
1,240,000 | 5.250%, 12/29/2049g,h | 1,165,600 | ||||||
Energy Transfer Equity, LP | ||||||||
780,000 | 5.500%, 6/1/2027 | 592,800 | ||||||
Exelon Generation Company, LLC | ||||||||
88,000 | 5.200%, 10/1/2019 | 94,801 | ||||||
MPLX LP | ||||||||
780,000 | 4.875%, 12/1/2024g | 700,050 | ||||||
NRG Energy, Inc. | ||||||||
390,000 | 6.625%, 3/15/2023 | 338,325 | ||||||
Southern California Edison Company | ||||||||
1,700,000 | 6.250%, 8/1/2049h | 1,872,975 | ||||||
TransCanada PipeLines, Ltd. | ||||||||
400,000 | 6.350%, 5/15/2067 | 302,000 | ||||||
Xcel Energy, Inc. | ||||||||
60,000 | 1.200%, 6/1/2017 | 59,696 | ||||||
|
| |||||||
Total | 7,981,641 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $205,832,025) | 204,818,692 | |||||||
|
| |||||||
Shares | Common Stock (29.1%) | |||||||
| Consumer Discretionary (4.2%) | |||||||
3,600 | Aisan Industry Company, Ltd. | 36,968 | ||||||
1,100 | Aisin Seiki Company, Ltd. | 47,342 | ||||||
3,060 | Amazon.com, Inc.j | 2,068,223 | ||||||
2,340 | AutoZone, Inc.j | 1,736,069 | ||||||
600 | Bayerische Motoren Werke AG | 50,199 | ||||||
5,500 | Berkeley Group Holdings plc | 299,001 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
117
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (29.1%) | Value | ||||||
| Consumer Discretionary (4.2%) - continued | |||||||
12,370 | Best Buy Company, Inc. | $ | 376,667 | |||||
8,830 | BorgWarner, Inc. | 381,721 | ||||||
1,100 | Brembo SPA | 53,144 | ||||||
3,100 | Bridgestone Corporation | 106,334 | ||||||
5,900 | Burlington Stores, Inc.j | 253,110 | ||||||
6,000 | Calsonic Kansei Corporation | 52,896 | ||||||
7,805 | Cedar Fair, LP | 435,831 | ||||||
4,000 | Cineworld Group plc | 33,163 | ||||||
37,814 | Comcast Corporation | 2,133,844 | ||||||
2,200 | Compass Group plc | 38,122 | ||||||
200 | Continental AG | 48,382 | ||||||
1,100 | Daimler AG | 91,910 | ||||||
25,400 | Debenhams plc | 27,386 | ||||||
4,900 | Denso Corporation | 234,149 | ||||||
29,520 | Discovery Communications, Inc., Class Aj | 787,594 | ||||||
19,100 | EDION Corporationk | 144,217 | ||||||
2,300 | Electrolux AB | 55,493 | ||||||
3,300 | Eutelsat Communications | 98,804 | ||||||
13,280 | Ford Motor Company | 187,115 | ||||||
4,510 | General Motors Company | 153,385 | ||||||
7,400 | GKN plc | 33,580 | ||||||
13,000 | Gunze, Ltd. | 38,077 | ||||||
7,700 | Hakuhodo Dy Holdings, Inc. | 83,311 | ||||||
3,760 | Harman International Industries, Inc. | 354,230 | ||||||
400 | Hugo Boss AG | 33,004 | ||||||
14,800 | Inchcape plc | 170,759 | ||||||
6,400 | Informa plc | 57,840 | ||||||
2,300 | Intertek Group plc | 94,086 | ||||||
3,900 | Isuzu Motors, Ltd. | 42,013 | ||||||
48,900 | ITV plc | 199,090 | ||||||
13,060 | Jarden Corporationj | 745,987 | ||||||
24,100 | Lookers plc | 65,665 | ||||||
20,502 | MDC Partners, Inc. | 445,303 | ||||||
1,100 | Mitsuba Corporation | 17,006 | ||||||
26,840 | NIKE, Inc. | 1,677,500 | ||||||
7,000 | NOK Corporation | 163,526 | ||||||
300 | Paddy Power plc | 40,067 | ||||||
6,000 | PanaHome Corporation | 45,329 | ||||||
4,960 | Papa John’s International, Inc. | 277,115 | ||||||
14,900 | Persimmon plc | 444,519 | ||||||
550 | Priceline Group, Inc.j | 701,223 | ||||||
1,400 | ProSiebenSat.1 Media AG | 70,632 | ||||||
300 | Renault SA | 30,029 | ||||||
3,976 | Restoration Hardware Holdings, Inc.j | 315,893 | ||||||
1,004 | Schibsted ASA | 33,008 | ||||||
3,600 | Sekisui House, Ltd. | 60,530 | ||||||
3,600 | SHOWA Corporation | 33,403 | ||||||
5,400 | Sports Direct International plcj | 45,890 | ||||||
1,700 | Stanley Electric Company, Ltd. | 37,294 | ||||||
9,600 | Star Entertainment Group, Ltd. | 35,227 | ||||||
19,430 | Starbucks Corporation | 1,166,383 | ||||||
12,300 | Sumitomo Forestry Company, Ltd. | 165,965 | ||||||
6,800 | Sumitomo Rubber Industries, Ltd. | 88,423 | ||||||
6,000 | Takashimaya Company, Ltd. | 54,033 | ||||||
1,200 | Tamron Company, Ltd. | 22,139 | ||||||
10,020 | Target Corporation | 727,552 | ||||||
12,000 | Tatts Group, Ltd. | 38,099 | ||||||
56,900 | Taylor Wimpey plc | 170,096 | ||||||
10,740 | Toll Brothers, Inc.j | 357,642 | ||||||
12,900 | UBM plc | 99,981 | ||||||
1,000 | Valora Holding AG | 208,045 | ||||||
5,000 | Wacoal Holdings Corporation | 59,793 | ||||||
9,700 | WH Smith plc | 252,046 | ||||||
6,600 | Wolters Kluwer NV | 221,652 | ||||||
9,000 | WPP plc | 207,017 | ||||||
1,700 | Yokohama Rubber Company, Ltd. | 26,108 | ||||||
|
| |||||||
Total | 20,187,179 | |||||||
|
| |||||||
| Consumer Staples (1.5%) | |||||||
2,000 | AarhusKarlshamn AB | 148,158 | ||||||
10,031 | Anheuser-Busch InBev NV ADR | 1,253,875 | ||||||
5,300 | Axfood AB | 91,797 | ||||||
1,265 | Bakkafrost PF | 37,268 | ||||||
600 | British American Tobacco plc | 33,321 | ||||||
4,500 | Britvic plc | 48,214 | ||||||
1,500 | Carrefour SA | 43,290 | ||||||
27,480 | Coca-Cola Company | 1,180,541 | ||||||
10,100 | Coca-Cola HBC AGj | 215,087 | ||||||
2,200 | Henkel AG & Company KGaA | 210,437 | ||||||
18,000 | Imperial Tobacco Group plc | 950,723 | ||||||
11,900 | Japan Tobacco, Inc. | 436,894 | ||||||
4,300 | Jeronimo Martins SGPS SA | 55,954 | ||||||
4,500 | Kao Corporation | 231,249 | ||||||
500 | Kerry Group plc | 41,370 | ||||||
30,200 | Koninklijke Ahold NV | 637,025 | ||||||
700 | KOSE Corporation | 64,723 | ||||||
4,200 | Marks and Spencer Group plc | 27,965 | ||||||
6,300 | Nestle SA | 467,682 | ||||||
5,000 | Nippon Meat Packers, Inc. | 97,999 | ||||||
8,200 | Nisshin Oillio Group, Ltd. | 33,404 | ||||||
6,270 | Philip Morris International, Inc. | 551,196 | ||||||
900 | Royal Unibrew AS | 36,577 | ||||||
2,500 | Suedzucker AG | 49,551 | ||||||
1,400 | Sugi Holdings Company, Ltd. | 77,242 | ||||||
500 | Sundrug Company, Ltd. | 32,148 | ||||||
1,600 | Svenska Cellulosa AB SCA | 46,368 | ||||||
7,000 | Swedish Match AB | 247,362 | ||||||
|
| |||||||
Total | 7,347,420 | |||||||
|
| |||||||
| Energy (2.0%) | |||||||
900 | Azrieli Group, Ltd. | 33,527 | ||||||
73,500 | BP plc | 381,959 | ||||||
1,490 | Cimarex Energy Company | 133,176 | ||||||
17,180 | EOG Resources, Inc. | 1,216,172 | ||||||
15,010 | EQT Corporation | 782,471 | ||||||
47,600 | Kinder Morgan, Inc. | 710,192 | ||||||
2,500 | OMV AG | 70,964 | ||||||
25,260 | Parsley Energy, Inc.j | 466,047 | ||||||
1,500 | Royal Dutch Shell plc | 34,211 | ||||||
28,500 | Royal Dutch Shell plc ADR | 1,305,015 | ||||||
3,744 | Royal Dutch Shell plc, Class B | 85,330 | ||||||
54,000 | Spectra Energy Corporation | 1,292,760 | ||||||
12,382 | Statoil ASA | 172,689 | ||||||
12,000 | TonenGeneral Sekiyu KK | 101,304 | ||||||
32,770 | Total SA ADR | 1,473,012 | ||||||
163,480 | Weatherford International, Ltd.j | 1,371,597 | ||||||
|
| |||||||
Total | 9,630,426 | |||||||
|
| |||||||
| Financials (9.6%) | |||||||
49,600 | Aberdeen Asset Management plc | 211,358 | ||||||
1,300 | Acadia Realty Trust | 43,095 | ||||||
1,900 | AEON Financial Service Company, Ltd. | 42,444 | ||||||
2,590 | Affiliated Managers Group, Inc.j | 413,778 | ||||||
1,800 | Agree Realty Corporation | 61,182 | ||||||
8,219 | Alexandria Real Estate Equities, Inc. | 742,669 | ||||||
7,600 | Allianz SE | 1,339,720 | ||||||
68,400 | American Capital Agency Corporation | 1,186,056 | ||||||
1,196 | American Farmland Company | 8,420 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
118
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (29.1%) | Value | ||||||
Financials (9.6%) - continued | ||||||||
4,159 | American Realty Capital Properties, Inc. | $ | 32,939 | |||||
133,000 | Annaly Capital Management, Inc. | 1,247,540 | ||||||
3,500 | Apartment Investment & Management Company | 140,105 | ||||||
200,000 | Apollo Investment Corporation | 1,044,000 | ||||||
115,400 | Ares Capital Corporation | 1,644,450 | ||||||
21,000 | Australia & New Zealand Banking Group, Ltd. | 423,775 | ||||||
2,700 | AvalonBay Communities, Inc. | 497,151 | ||||||
78,200 | Banco Santander SA | 384,697 | ||||||
34,900 | Bank Hapoalim, Ltd. | 180,154 | ||||||
9,107 | Bank of Queensland, Ltd. | 91,868 | ||||||
62,000 | Bank of Yokohama, Ltd. | 380,035 | ||||||
21,700 | BinckBank NV | 187,019 | ||||||
5,100 | BioMed Realty Trust, Inc. | 120,819 | ||||||
1,100 | Bluerock Residential Growth REIT, Inc. | 13,035 | ||||||
900 | Bolsas y Mercados Espanoles SA | 30,330 | ||||||
5,535 | Boston Properties, Inc. | 705,934 | ||||||
6,700 | British Land Company plc | 77,525 | ||||||
21,845 | Brixmor Property Group, Inc. | 564,038 | ||||||
8,410 | Camden Property Trust | 645,552 | ||||||
9,057 | Capital Shopping Centres Group plc | 42,314 | ||||||
27,000 | CapitaMall Trust | 36,636 | ||||||
1,575 | Care Capital Properties, Inc. | 48,148 | ||||||
53,050 | Charles Schwab Corporation | 1,746,937 | ||||||
901 | Chesapeake Lodging Trust | 22,669 | ||||||
9,000 | Chiba Bank, Ltd. | 63,866 | ||||||
28,890 | Citigroup, Inc. | 1,495,058 | ||||||
8,600 | CNP Assurances | 116,009 | ||||||
650 | CoreSite Realty Corporation | 36,868 | ||||||
5,900 | CubeSmart | 180,658 | ||||||
1,300 | CyrusOne, Inc. | 48,685 | ||||||
3,300 | Daiwa House Industry Company, Ltd. | 94,863 | ||||||
28,020 | DDR Corporation | 471,857 | ||||||
500 | Derwent London plc | 27,044 | ||||||
41,800 | DEXUS Property Group | 226,730 | ||||||
2,400 | Digital Realty Trust, Inc. | 181,488 | ||||||
19,958 | Direct Line Insurance Group plc | 119,631 | ||||||
13,700 | Duke Realty Corporation | 287,974 | ||||||
600 | DuPont Fabros Technology, Inc. | 19,074 | ||||||
13,430 | Encore Capital Group, Inc.j | 390,544 | ||||||
1,900 | EPR Properties | 111,055 | ||||||
1,327 | Equinix, Inc. | 401,285 | ||||||
2,500 | Equity Lifestyle Properties, Inc. | 166,675 | ||||||
800 | Equity One, Inc. | 21,720 | ||||||
8,690 | Equity Residential | 709,017 | ||||||
1,400 | Essex Property Trust, Inc. | 335,174 | ||||||
1,200 | Extra Space Storage, Inc. | 105,852 | ||||||
500 | Federal Realty Investment Trust | 73,050 | ||||||
20,600 | FlexiGroup, Ltd.k | 44,958 | ||||||
24,700 | Frasers Centrepoint Trust | 32,103 | ||||||
61,000 | Fukuoka Financial Group, Inc. | 302,476 | ||||||
11,167 | General Growth Properties, Inc. | 303,854 | ||||||
1,200 | GEO Group, Inc. | 34,692 | ||||||
120,000 | Golub Capital BDC, Inc. | 1,995,600 | ||||||
3,400 | Hamborner REIT AG | 35,523 | ||||||
5,000 | Hammerson plc | 44,202 | ||||||
7,700 | Hang Seng Bank, Ltd. | 145,941 | ||||||
3,600 | Hannover Rueckversicherung SE | 411,084 | ||||||
6,700 | HCP, Inc. | 256,208 | ||||||
5,433 | Health Care REIT, Inc. | 369,607 | ||||||
5,300 | Healthcare Trust of America, Inc. | 142,941 | ||||||
15,500 | Henderson Group plc | 70,448 | ||||||
6,300 | Henderson Land Development Company, Ltd. | 38,430 | ||||||
3,300 | Highwoods Properties, Inc. | 143,880 | ||||||
14,000 | Hokuhoku Financial Group, Inc. | 28,540 | ||||||
2,500 | Hospitality Properties Trust | 65,375 | ||||||
24,171 | Host Hotels & Resorts, Inc. | 370,783 | ||||||
1,000 | Hudson Pacific Properties, Inc. | 28,140 | ||||||
7,500 | Hufvudstaden AB | 106,025 | ||||||
59,000 | Hysan Development Company, Ltd. | 241,054 | ||||||
2,000 | IG Group Holdings plc | 23,645 | ||||||
11,200 | ING Groep NV | 151,537 | ||||||
4,550 | Intercontinental Exchange, Inc. | 1,165,983 | ||||||
27,485 | Intermediate Capital Group plc | 253,373 | ||||||
87,000 | Invesco Mortgage Capital, Inc. | 1,077,930 | ||||||
16,900 | Investa Office Fund | 48,922 | ||||||
38,800 | Investec plc | 273,580 | ||||||
1,300 | Iron Mountain, Inc. | 35,113 | ||||||
1,500 | Kilroy Realty Corporation | 94,920 | ||||||
10,900 | Kimco Realty Corporation | 288,414 | ||||||
669 | Lamar Advertising Company | 40,127 | ||||||
1,900 | LaSalle Hotel Properties | 47,804 | ||||||
800 | Liberty Property Trust | 24,840 | ||||||
42,000 | Link REIT | 250,399 | ||||||
2,950 | Macerich Company | 238,036 | ||||||
500 | Macquarie Group, Ltd. | 29,911 | ||||||
5,350 | Medical Properties Trust, Inc. | 61,579 | ||||||
21,620 | MetLife, Inc. | 1,042,300 | ||||||
2,100 | Mid-America Apartment Communities, Inc. | 190,701 | ||||||
53,600 | Mitsubishi UFJ Financial Group, Inc. | 332,012 | ||||||
500 | Muenchener Rueckversicherungs-Gesellschaft AG | 99,619 | ||||||
1,300 | National Health Investors, Inc. | 79,131 | ||||||
4,900 | National Retail Properties, Inc. | 196,245 | ||||||
131,000 | New World Development Company, Ltd.k | 128,634 | ||||||
2,200 | NorthStar Realty Finance Corporation | 37,466 | ||||||
9,000 | Ogaki Kyoritsu Bank, Ltd. | 36,286 | ||||||
10,500 | Old Mutual plc | 27,622 | ||||||
2,550 | Omega Healthcare Investors, Inc. | 89,199 | ||||||
1,400 | Outfront Media, Inc. | 30,562 | ||||||
10,724 | PacWest Bancorp | 462,204 | ||||||
3,000 | Parkway Properties, Inc. | 46,890 | ||||||
4,400 | Physicians Realty Trust | 74,184 | ||||||
10,200 | Poundland Group plc | 31,232 | ||||||
16,650 | Prologis, Inc. | 714,618 | ||||||
3,552 | Public Storage, Inc. | 879,830 | ||||||
5,930 | Raymond James Financial, Inc. | 343,762 | ||||||
2,500 | Realty Income Corporation | 129,075 | ||||||
1,900 | Regency Centers Corporation | 129,428 | ||||||
7,100 | Renasant Corporation | 244,311 | ||||||
7,100 | Resona Holdings, Inc. | 34,479 | ||||||
1,200 | Retail Opportunity Investments Corporation | 21,480 | ||||||
4,894 | RLJ Lodging Trust | 105,857 | ||||||
900 | Sampo Oyj | 45,704 | ||||||
4,900 | Schroders plc | 214,616 | ||||||
447 | Silver Bay Realty Trust Corporation REIT | 7,000 | ||||||
6,710 | Simon Property Group, Inc. | 1,304,692 | ||||||
1,100 | SL Green Realty Corporation | 124,278 | ||||||
93,000 | Solar Capital, Ltd. | 1,527,990 | ||||||
1,100 | Sompo Japan Nipponkoa Holdings, Inc. | 36,118 | ||||||
1,003 | Sovran Self Storage, Inc. | 107,632 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
119
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (29.1%) | Value | ||||||
Financials (9.6%) - continued | ||||||||
13,200 | Spirit Realty Captial, Inc. | $ | 132,264 | |||||
103,700 | Stockland | 307,831 | ||||||
1,606 | Store Capital Corporation | 37,259 | ||||||
40,000 | Sumitomo Mitsui Trust Holdings, Inc. | 151,493 | ||||||
3,700 | Summit Hotel Properties, Inc. | 44,215 | ||||||
450 | Sun Communities, Inc. | 30,839 | ||||||
1,800 | Sunstone Hotel Investors, Inc. | 22,482 | ||||||
8,100 | Swiss Re AG | 791,097 | ||||||
38,300 | Synchrony Financialj | 1,164,703 | ||||||
1,200 | Talanx AG | 36,906 | ||||||
2,564 | Tanger Factory Outlet Centers, Inc. | 83,843 | ||||||
700 | Taubman Centers, Inc. | 53,704 | ||||||
800 | Tokio Marine Holdings, Inc. | 30,900 | ||||||
232,750 | Two Harbors Investment Corporation | 1,885,275 | ||||||
15,500 | UBS Group AG | 300,692 | ||||||
5,600 | UDR, Inc. | 210,392 | ||||||
23,500 | United Overseas Bank, Ltd. | 323,990 | ||||||
3,560 | Urban Edge Properties | 83,482 | ||||||
6,300 | Ventas, Inc. | 355,509 | ||||||
6,330 | Vornado Realty Trust | 632,747 | ||||||
4,300 | Wallenstam AB | 34,562 | ||||||
45,100 | Wing Tai Holdings, Ltd. | 55,711 | ||||||
1,500 | WP Carey, Inc. | 88,500 | ||||||
11,940 | XL Group plc | 467,809 | ||||||
15,660 | Zions Bancorporation | 427,518 | ||||||
|
| |||||||
Total | 45,987,426 | |||||||
|
| |||||||
Health Care (2.9%) | ||||||||
37,940 | Abbott Laboratories | 1,703,885 | ||||||
500 | Actelion, Ltd. | 69,472 | ||||||
9,780 | Akorn, Inc.j | 364,892 | ||||||
4,440 | Allergan plcj | 1,387,500 | ||||||
5,890 | Amgen, Inc. | 956,124 | ||||||
3,900 | Astellas Pharmaceutical, Inc. | 55,519 | ||||||
200 | Bayer AG | 24,978 | ||||||
900 | CSL, Ltd. | 68,616 | ||||||
5,600 | Essilor International SA | 697,965 | ||||||
500 | Fresenius Medical Care AG & Company KGaA | 42,018 | ||||||
400 | Gerresheimer AG | 31,257 | ||||||
6,000 | Hikma Pharmaceuticals plc | 203,398 | ||||||
12,060 | Hologic, Inc.j | 466,601 | ||||||
4,341 | ICON plcj | 337,296 | ||||||
2,120 | Illumina, Inc.j | 406,923 | ||||||
2,000 | Kaken Pharmaceutical Company, Ltd. | 136,666 | ||||||
900 | Lonza Group AG | 146,371 | ||||||
24,480 | Medtronic, Inc. | 1,883,002 | ||||||
36,080 | Merck & Company, Inc. | 1,905,746 | ||||||
10,580 | Mylan NVj | 572,061 | ||||||
5,500 | Novartis AG | 473,106 | ||||||
6,200 | Novo Nordisk AS | 358,969 | ||||||
900 | Paramount Bed Holdings Company, Ltd. | 31,933 | ||||||
17,688 | Pfizer, Inc. | 570,969 | ||||||
1,500 | Recordati SPA | 39,136 | ||||||
3,900 | Sanofi | 332,367 | ||||||
1,900 | Suzuken Company, Ltd. | 72,204 | ||||||
3,330 | Waters Corporationj | 448,151 | ||||||
|
| |||||||
Total | 13,787,125 | |||||||
|
| |||||||
Industrials (3.0%) | ||||||||
1,700 | Aalberts Industries NV | 58,575 | ||||||
2,300 | Adecco SA | 157,418 | ||||||
12,580 | ADT Corporation | 414,888 | ||||||
3,200 | Aida Engineering, Ltd. | 32,982 | ||||||
41,000 | Air New Zealand, Ltd. | 82,692 | ||||||
2,400 | Airbus Group NV | 161,731 | ||||||
3,800 | Amada Holdings Company, Ltd. | 36,262 | ||||||
1,100 | Andritz AG | 53,535 | ||||||
19,000 | Asahi Glass Company, Ltd. | 108,848 | ||||||
1,200 | Atlas Copco Aktiebolag | 29,430 | ||||||
24,000 | BAE Systems plc | 176,701 | ||||||
16,420 | Boeing Company | 2,374,168 | ||||||
12,100 | Bollore SA | 56,382 | ||||||
9,500 | Central Glass Company, Ltd. | 43,572 | ||||||
1,700 | Central Japan Railway Company | 301,808 | ||||||
2,200 | Compagnie de Saint-Gobain | 95,338 | ||||||
1,300 | Croda International plc | 58,247 | ||||||
7,600 | CTT-Correios de Portugal SA | 73,043 | ||||||
5,000 | Dai Nippon Printing Company, Ltd. | 49,443 | ||||||
4,982 | Dart Group plc | 43,222 | ||||||
3,300 | Deutsche Post AG | 92,261 | ||||||
1,800 | DSV AS | 70,855 | ||||||
400 | East Japan Railway Company | 37,666 | ||||||
900 | Elbit Systems, Ltd. | 79,232 | ||||||
8,260 | EMCOR Group, Inc. | 396,810 | ||||||
5,300 | Ferrovial SA | 119,851 | ||||||
100 | Flughafen Zuerich AG | 75,031 | ||||||
3,439 | Galliford Try plc | 77,274 | ||||||
800 | GEA Group AG | 32,321 | ||||||
100 | Georg Fischer AG | 67,890 | ||||||
6,000 | Hankyu Hanshin Holdings, Inc. | 38,999 | ||||||
8,240 | HNI Corporation | 297,134 | ||||||
700 | Hochtief AG | 64,924 | ||||||
600 | Hoshizaki Electric Company, Ltd. | 37,299 | ||||||
2,200 | IBIDEN Company, Ltd. | 31,540 | ||||||
24,946 | Illinois Tool Works, Inc. | 2,311,995 | ||||||
2,300 | Inaba Denki Sangyo Company, Ltd. | 73,488 | ||||||
21,410 | Ingersoll-Rand plc | 1,183,759 | ||||||
8,200 | Intrum Justitia AB | 279,027 | ||||||
30,900 | ITOCHU Corporation | 365,499 | ||||||
1,500 | Jardine Matheson Holdings, Ltd. | 72,641 | ||||||
600 | Jungheinrich AG | 49,485 | ||||||
2,000 | Keisei Electric Railway Company, Ltd. | 25,517 | ||||||
10,800 | KITZ Corporation | 48,512 | ||||||
7,700 | KONE Oyj | 326,028 | ||||||
2,300 | Koninklijke Boskalis Westminster NV | 93,823 | ||||||
20,000 | Macquarie Infrastructure Corporation | 1,452,000 | ||||||
14,710 | Masco Corporation | 416,293 | ||||||
16,253 | Meggitt plc | 89,738 | ||||||
900 | MEITEC Corporation | 30,820 | ||||||
4,200 | MIRAIT Holdings Corporation | 34,603 | ||||||
5,000 | Mitsuboshi Belting, Ltd. | 39,859 | ||||||
4,600 | Nikkon Holdings Company, Ltd. | 91,686 | ||||||
8,000 | Nippon Express Company, Ltd. | 37,594 | ||||||
7,500 | Nitto Kogyo Corporation | 131,128 | ||||||
4,000 | Obayashi Corporation | 36,909 | ||||||
500 | Randstad Holding NV | 31,136 | ||||||
14,500 | Rentokil Initial plc | 34,021 | ||||||
500 | Rieter Holding AG | 93,978 | ||||||
1,510 | Saft Groupe SA | 46,023 | ||||||
200 | Schindler Holding AG | 33,460 | ||||||
16,400 | SIG plc | 34,656 | ||||||
2,400 | Teleperformance SA | 201,811 | ||||||
700 | Thales SA | 52,395 | ||||||
1,300 | TKH Group NV | 52,790 | ||||||
8,000 | Toppan Printing Company, Ltd. | 73,705 | ||||||
1,100 | Travis Perkins plc | 31,912 | ||||||
3,400 | Tsubakimoto Chain Company | 26,180 | ||||||
600 | Vestas Wind Systems AS | 41,903 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
120
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (29.1%) | Value | ||||||
Industrials (3.0%) - continued | ||||||||
3,590 | WABCO Holdings, Inc.j | $ | 367,113 | |||||
1,400 | Yuasa Trading Company, Ltd. | 34,585 | ||||||
|
| |||||||
Total | 14,273,444 | |||||||
|
| |||||||
Information Technology (3.9%) | ||||||||
13,630 | Alibaba Group Holding, Ltd. ADRj | 1,107,710 | ||||||
1,500 | Alphabet, Inc., Class Aj | 1,167,015 | ||||||
1,484 | Alphabet, Inc., Class Cj | 1,126,178 | ||||||
3,000 | Alps Electric Company, Ltd. | 81,354 | ||||||
1,000 | AMS AG | 33,429 | ||||||
13,650 | Apple, Inc. | 1,436,799 | ||||||
480 | AtoS | 40,297 | ||||||
6,730 | Autodesk, Inc.j | 410,059 | ||||||
4,300 | Canon, Inc. | 130,075 | ||||||
800 | Cap Gemini SA | 74,229 | ||||||
6,150 | Check Point Software Technologies, Ltd.j | 500,487 | ||||||
44,500 | Cisco Systems, Inc. | 1,208,398 | ||||||
3,800 | Dialog Semiconductor plcj,k | 126,801 | ||||||
1,500 | DTS Corporation | 34,146 | ||||||
41,451 | EMC Corporation | 1,064,462 | ||||||
5,120 | Facebook, Inc.j | 535,859 | ||||||
15,400 | FUJIFILM Holdings NPV | 642,680 | ||||||
3,000 | Hitachi Kokusai Electric, Inc. | 40,783 | ||||||
2,400 | Hoya Corporation | 98,142 | ||||||
1,400 | Ingenico Group | 176,710 | ||||||
4,600 | IRESS, Ltd. | 33,305 | ||||||
2,700 | IT Holdings Corporation | 61,692 | ||||||
2,200 | ITOCHU Techno-Solutions Corporation | 43,834 | ||||||
13,790 | Juniper Networks, Inc. | 380,604 | ||||||
1,100 | Kyocera Corporation | 51,085 | ||||||
8,920 | MasterCard, Inc. | 868,451 | ||||||
20,992 | MaxLinear, Inc.j | 309,212 | ||||||
37,360 | Microsoft Corporation | 2,072,733 | ||||||
5,900 | NEC Networks & System Integration Corporation | 104,340 | ||||||
2,400 | NS Solutions Corporation | 54,686 | ||||||
7,400 | Plantronics, Inc. | 350,908 | ||||||
19,540 | Progress Software Corporationj | 468,960 | ||||||
13,570 | QLIK Technologies, Inc.j | 429,626 | ||||||
2,300 | SAP SE | 182,513 | ||||||
9,500 | Shinko Electric Industries Company, Ltd. | 60,903 | ||||||
500 | TDK Corporation | 32,022 | ||||||
100 | U-Blox AGj | 21,284 | ||||||
1,810 | Ultimate Software Group, Inc.j | 353,873 | ||||||
23,490 | Visa, Inc. | 1,821,649 | ||||||
21,940 | Xilinx, Inc. | 1,030,522 | ||||||
|
| |||||||
Total | 18,767,815 | |||||||
|
| |||||||
Materials (0.8%) | ||||||||
1,270 | Ashland, Inc. | 130,429 | ||||||
500 | Aurubis AG | 25,318 | ||||||
12,500 | BHP Billiton plc | 139,399 | ||||||
28,100 | BHP Billiton, Ltd. | 361,634 | ||||||
13,100 | BillerudKorsnas AB | 242,437 | ||||||
11,000 | Boral, Ltd. | 47,031 | ||||||
2,800 | Buzzi Unicem SPA | 50,191 | ||||||
3,140 | Crown Holdings, Inc.j | 159,198 | ||||||
16,400 | Daicel Corporation | 244,063 | ||||||
3,939 | Domtar Corporation | 145,546 | ||||||
6,000 | DOWA Holdings Company, Ltd.j | 43,141 | ||||||
900 | Evonik Industries AG | 29,769 | ||||||
2,460 | FMC Corporation | 96,260 | ||||||
100 | Givaudan SA | 181,496 | ||||||
3,300 | Hexpol AB | 35,383 | ||||||
4,400 | Hokuetsu Kishu Paper Company, Ltd. | 25,929 | ||||||
1,600 | Holmen AB | 49,420 | ||||||
2,100 | JFE Holdings, Inc. | 32,975 | ||||||
500 | LafargeHolcim, Ltd. | 25,037 | ||||||
100 | Linde AG | 14,446 | ||||||
5,200 | Mitsubishi Chemical Holdings Corporation | 32,993 | ||||||
3,800 | Mondi plc | 74,483 | ||||||
2,300 | Nippon Paint Holdings Company, Ltd. | 55,665 | ||||||
4,700 | Nippon Steel & Sumitomo Metal Corporation | 92,977 | ||||||
3,200 | Novozymes AS | 153,212 | ||||||
6,000 | Oji Holdings Corporation | 24,114 | ||||||
6,120 | Owens-Illinois, Inc.j | 106,610 | ||||||
2,860 | Packaging Corporation of America | 180,323 | ||||||
1,710 | PPG Industries, Inc. | 168,982 | ||||||
2,300 | Rio Tinto plc | 66,966 | ||||||
1,000 | Rio Tinto, Ltd. | 32,340 | ||||||
7,980 | Steel Dynamics, Inc. | 142,603 | ||||||
7,000 | Sumitomo Seika Chemicals Company, Ltd. | 42,590 | ||||||
6,000 | Tosoh Corporation | 30,864 | ||||||
6,900 | UPM-Kymmene Oyj | 128,101 | ||||||
7,179 | Yara International ASA | 308,756 | ||||||
|
| |||||||
Total | 3,720,681 | |||||||
|
| |||||||
Telecommunications Services (0.6%) | ||||||||
33,419 | BT Group plc | 232,049 | ||||||
8,900 | Elisa Oyj | 334,863 | ||||||
8,000 | Freenet AG | 269,960 | ||||||
121,200 | KCOM Group plc | 206,369 | ||||||
20,400 | Orange SA | 341,207 | ||||||
4,400 | Proximus SA | 143,181 | ||||||
12,700 | StarHub, Ltd. | 33,050 | ||||||
155,800 | Telstra Corporation, Ltd. | 633,123 | ||||||
3,400 | Vivendi SA | 73,022 | ||||||
15,990 | Zayo Group Holdings, Inc.j | 425,174 | ||||||
|
| |||||||
Total | 2,691,998 | |||||||
|
| |||||||
Utilities (0.6%) | ||||||||
75,400 | A2A SPA | 102,096 | ||||||
38,000 | Brookfield Infrastructure Partners, LP | 1,440,580 | ||||||
9,000 | CLP Holdings, Ltd. | 76,284 | ||||||
65,400 | Electricidade de Portugal SA | 235,660 | ||||||
21,839 | MDU Resources Group, Inc. | 400,091 | ||||||
7,706 | NorthWestern Corporation | 418,051 | ||||||
35,000 | Redes Energeticas Nacionais SGPS SA | 105,737 | ||||||
6,000 | Toho Gas Company, Ltd. | 38,749 | ||||||
16,200 | United Utilities Group plc | 223,064 | ||||||
|
| |||||||
Total | 3,040,312 | |||||||
|
| |||||||
Total Common Stock (cost $143,958,554) | 139,433,826 | |||||||
|
| |||||||
Registered Investment Companies (4.2%) | ||||||||
Equity Mutual Funds (2.9%) | ||||||||
256,500 | Alerian MLP ETF | 3,090,825 | ||||||
114,000 | iShares FTSE NAREIT Mortgage Plus Capped Index Fund | 1,089,840 | ||||||
12,900 | iShares MSCI EAFE Index Fund | 757,875 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Registered Investment Companies (4.2%) | Value | ||||||
Equity Mutual Funds (2.9%) - continued | ||||||||
27,000 | iShares S&P U.S. Preferred Stock Index Fund | $ | 1,048,950 | |||||
42,620 | Materials Select Sector SPDR Fund | 1,850,560 | ||||||
98,600 | SPDR S&P Oil & Gas Exploration & Production ETF | 2,979,692 | ||||||
38,120 | Utilities Select Sector SPDR Fund | 1,649,834 | ||||||
25,000 | Vanguard High Dividend Yield ETF | 1,668,750 | ||||||
400 | Vanguard REIT ETF | 31,892 | ||||||
|
| |||||||
Total | 14,168,218 | |||||||
|
| |||||||
Fixed Income Mutual Funds (1.3%) | ||||||||
9,100 | iShares Intermediate Credit Bond ETF | 976,248 | ||||||
14,178 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 1,499,749 | ||||||
50,740 | Vanguard Short-Term Corporate Bond ETF | 4,007,952 | ||||||
|
| |||||||
Total | 6,483,949 | |||||||
|
| |||||||
Total Registered Investment Companies (cost $22,792,018) | 20,652,167 | |||||||
|
| |||||||
Preferred Stock (3.9%) | ||||||||
Financials (3.6%) | ||||||||
5,625 | Agribank FCB, 6.875%h | 594,668 | ||||||
42,000 | Allstate Corporation, 5.100% | 1,036,980 | ||||||
39,710 | Annaly Capital Management, Inc., 7.500%h | 919,684 | ||||||
800 | Bank of America Corporation, Convertible, 7.250%h | 874,616 | ||||||
26,020 | Citigroup, Inc., 6.6919% | 676,260 | ||||||
37,225 | Citigroup, Inc., 6.875%h | 1,037,088 | ||||||
13,380 | Cobank ACB, 6.250%g,h | 1,373,541 | ||||||
16,000 | Countrywide Capital V, 7.000% | 410,080 | ||||||
4,000 | Farm Credit Bank of Texas, 6.750%g,h | 416,500 | ||||||
53,200 | GMAC Capital Trust I, 8.125% | 1,349,152 | ||||||
50,800 | Goldman Sachs Group, Inc., 5.500%h | 1,315,212 | ||||||
48,000 | HSBC USA, Inc., 6.500%h | 1,249,440 | ||||||
30,420 | Morgan Stanley, 6.875%h | 844,155 | ||||||
25,900 | Morgan Stanley, 7.125%h | 740,740 | ||||||
15,500 | PNC Financial Services Group, Inc., 6.125%h | 442,370 | ||||||
57,000 | RBS Capital Funding Trust V, 5.900%h | 1,398,780 | ||||||
28,000 | U.S. Bancorp, 6.500%h | 803,600 | ||||||
16,000 | Wells Fargo & Company, 5.850%h | 417,920 | ||||||
1,125 | Wells Fargo & Company, Convertible, 7.500%h | 1,306,125 | ||||||
|
| |||||||
Total | 17,206,911 | |||||||
|
| |||||||
Materials (0.3%) | ||||||||
19,000 | CHS, Inc., 6.750%h | 509,390 | ||||||
31,200 | CHS, Inc., 7.100%h | 850,824 | ||||||
|
| |||||||
Total | 1,360,214 | |||||||
|
| |||||||
Total Preferred Stock (cost $18,339,076) | 18,567,125 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.1%) | ||||||||
341,050 | Thrivent Cash Management Trust | 341,050 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $341,050) | 341,050 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (9.0%)l | |||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
200,000 | 0.105%, 1/6/2016m | 199,997 | ||||||
1,100,000 | 0.085%, 1/8/2016m | 1,099,982 | ||||||
100,000 | 0.210%, 2/4/2016m | 99,980 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
100,000 | 0.110%, 1/14/2016m | 99,996 | ||||||
700,000 | 0.090%, 1/20/2016m | 699,967 | ||||||
Thrivent Cash Management Trust | ||||||||
40,972,462 | 0.220% | 40,972,462 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 43,172,384 | |||||||
|
| |||||||
Total Investments (cost $502,102,708) 102.3% | $ | 490,633,222 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (2.3%) | (11,060,437 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 479,572,785 | ||||||
|
|
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | All or a portion of the loan is unfunded. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Defaulted security. Interest is not being accrued. |
e | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
f | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
g | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $46,263,037 or 9.6% of total net assets. |
h | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
i | Denotes interest only security. Interest only securities represent the right to receive monthly interest payments on an underlying pool of mortgages or assets. The principal shown is the outstanding par amount of the pool as of the end of the period. The actual effective yield of the security is different than the stated coupon rate. |
j | Non-income producing security. |
k | All or a portion of the security is on loan. |
l | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
m | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Diversified Income Plus Portfolio as of December 31, 2015 was $10,982,945 or 2.3% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
122
Table of Contents
DIVERSIFIED INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Security | Acquisition Date | Cost | ||||||
AIG Life Holdings, Inc., 12/1/2045 | 7/19/2012 | $ | 838,843 | |||||
Angel Oak Mortgage Trust, 11/25/2045 | 12/10/2015 | 1,147,579 | ||||||
Bayview Opportunity Master Fund Trust, 2/28/2035 | 2/27/2015 | 905,178 | ||||||
Bayview Opportunity Master Fund Trust, 7/28/2034 | 3/19/2015 | 539,150 | ||||||
Bayview Opportunity Master Fund Trust, 7/28/2019 | 7/30/2014 | 272,414 | ||||||
Liberty Mutual Group, Inc., 6/15/2058 | 1/12/2009 | 539,261 | ||||||
Oak Hill Advisors Residential Loan Trust, 1/25/2055 | 3/5/2015 | 756,209 | ||||||
Pretium Mortgage Credit Partners, LLC, 10/27/2030 | 10/6/2015 | 781,307 | ||||||
Pretium Mortgage Credit Partners, LLC, 11/27/2030 | 11/6/2015 | 1,198,863 | ||||||
Sunset Mortgage Loan Company, LLC, 9/16/2045 | 10/2/2015 | 1,083,310 | ||||||
U.S. Residential Opportunity Fund III Trust, 1/27/2035 | 2/6/2015 | 970,377 | ||||||
Vericrest Opportunity Loan Transferee, 2/25/2055 | 2/25/2015 | 509,877 | ||||||
Vericrest Opportunity Loan Transferee, 10/25/2058 | 2/6/2015 | 1,041,331 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Diversified Income Plus Portfolio as of December 31, 2015:
Securities Lending Transactions
Common Stock | $ | 319,654 | ||
|
| |||
Total lending | $ | 319,654 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 341,050 | ||
|
| |||
Net amounts due to counterparty | $ | 21,396 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
123
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (28.6%)a | Value | ||||||
| Basic Materials (1.5%) |
| ||||||
Alpha Natural Resources, Inc., Term Loan |
| |||||||
$ | 432,608 | 3.500%, 5/22/2020 | $ | 186,381 | ||||
Fortescue Metals Group, Ltd., Term Loan |
| |||||||
249,127 | 4.250%, 6/30/2019 | 184,068 | ||||||
Ineos US Finance, LLC, Term Loan |
| |||||||
247,456 | 3.750%, 12/15/2020 | 236,939 | ||||||
NewPage Corporation, Term Loan |
| |||||||
409,500 | 9.500%, 2/11/2021 | 146,142 | ||||||
Tronox Pigments BV, Term Loan |
| |||||||
562,661 | 4.500%, 3/19/2020 | 496,548 | ||||||
Wausau Paper Corporation, Term Loan |
| |||||||
245,659 | 6.500%, 7/30/2020 | 243,817 | ||||||
|
| |||||||
Total | 1,493,895 | |||||||
|
| |||||||
| Capital Goods (2.1%) |
| ||||||
ADS Waste Holdings, Inc., Term Loan |
| |||||||
239,979 | 3.750%, 10/9/2019 | 231,880 | ||||||
Berry Plastics Group, Inc., Term Loan |
| |||||||
1,363,167 | 4.000%, 10/3/2022 | 1,349,535 | ||||||
Rexnord, LLC, Term Loan |
| |||||||
273,700 | 4.000%, 8/21/2020 | 264,635 | ||||||
Silver II Borrower, Term Loan |
| |||||||
251,712 | 4.000%, 12/13/2019 | 212,319 | ||||||
|
| |||||||
Total | 2,058,369 | |||||||
|
| |||||||
| Communications Services (9.2%) |
| ||||||
Altice Financing SA, Term Loan |
| |||||||
70,894 | 5.250%, 2/4/2022 | 70,517 | ||||||
Atlantic Broadband Penn, LLC, Term Loan |
| |||||||
76,805 | 3.250%, 11/30/2019 | 76,013 | ||||||
Birch Communication Inc., Term Loan |
| |||||||
653,906 | 7.750%, 7/17/2020 | 624,481 | ||||||
CCO Safari III, LLC, Term Loan |
| |||||||
220,000 | 3.500%, 1/24/2023 | 219,542 | ||||||
Cengage Learning Acquisitions, Term Loan |
| |||||||
697,438 | 7.000%, 3/31/2020 | 678,258 | ||||||
Charter Communications Operating, LLC, Term Loan |
| |||||||
246,212 | 3.000%, 7/1/2020 | 241,340 | ||||||
Cincinnati Bell, Inc., Term Loan |
| |||||||
251,935 | 4.000%, 9/10/2020 | 242,593 | ||||||
CSC Holdings, LLC, Term Loan |
| |||||||
1,250,000 | 5.000%, 10/9/2022 | 1,246,488 | ||||||
Fairpoint Communications, Term Loan |
| |||||||
248,609 | 7.500%, 2/14/2019 | 246,496 | ||||||
Grande Communications Networks, LLC, Term Loan |
| |||||||
248,631 | 4.500%, 5/29/2020 | 243,452 | ||||||
Hargray Communications Group, Inc., Term Loan |
| |||||||
217,147 | 5.250%, 6/26/2019 | 215,586 | ||||||
Integra Telecom Holdings, Inc., Term Loan |
| |||||||
293,310 | 5.250%, 8/14/2020 | 283,044 | ||||||
Intelsat Jackson Holdings SA, Term Loan |
| |||||||
160,000 | 3.750%, 6/30/2019 | 150,971 | ||||||
Level 3 Communications, Inc., Term Loan |
| |||||||
280,000 | 4.000%, 8/1/2019 | 279,300 | ||||||
Liberty Cablevision of Puerto Rico, LLC, Term Loan |
| |||||||
475,000 | 4.500%, 1/7/2022 | 458,969 | ||||||
LTS Buyer, LLC, Term Loan |
| |||||||
273,000 | 4.000%, 4/13/2020 | 265,220 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan |
| |||||||
522,451 | 4.750%, 3/22/2019 | 509,823 | ||||||
NTelos, Inc., Term Loan |
| |||||||
58,786 | 5.750%, 11/9/2019 | 58,199 | ||||||
Numericable US, LLC, Term Loan |
| |||||||
265,000 | 4.750%, 2/10/2023 | 254,116 | ||||||
SBA Senior Finance II, LLC, Term Loan |
| |||||||
738,750 | 3.250%, 3/24/2021 | 722,128 | ||||||
218,900 | 3.250%, 6/10/2022 | 213,222 | ||||||
TNS, Inc., Term Loan |
| |||||||
61,393 | 5.000%, 2/14/2020 | 60,319 | ||||||
Univision Communications, Inc., Term Loan |
| |||||||
248,529 | 4.000%, 3/1/2020 | 242,812 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan |
| |||||||
171,697 | 3.500%, 6/30/2023 | 167,914 | ||||||
WideOpenWest Finance, LLC, Term Loan |
| |||||||
248,647 | 4.500%, 4/1/2019 | 239,246 | ||||||
XO Communications, LLC, Term Loan |
| |||||||
687,750 | 4.250%, 3/20/2021 | 670,212 | ||||||
Yankee Cable Acquisition, LLC, Term Loan |
| |||||||
237,448 | 4.250%, 3/1/2020 | 233,663 | ||||||
Zayo Group, LLC, Term Loan |
| |||||||
248,618 | 3.750%, 5/6/2021 | 244,133 | ||||||
|
| |||||||
Total | 9,158,057 | |||||||
|
| |||||||
| Consumer Cyclical (4.4%) |
| ||||||
Amaya BV, Term Loan |
| |||||||
355,513 | 5.000%, 8/1/2021 | 332,405 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan |
| |||||||
249,141 | 4.250%, 8/13/2021 | 245,715 | ||||||
Ceridian HCM Holding, Inc., Term Loan |
| |||||||
134,254 | 4.500%, 9/15/2020 | 113,612 | ||||||
FCA US, LLC, Term Loan |
| |||||||
145,519 | 3.250%, 12/31/2018 | 143,991 | ||||||
Golden Nugget, Inc., Delayed Draw |
| |||||||
98,700 | 5.500%, 11/21/2019 | 97,713 | ||||||
Golden Nugget, Inc., Term Loan |
| |||||||
230,300 | 5.500%, 11/21/2019 | 227,997 | ||||||
Hilton Worldwide Finance, LLC, Term Loan |
| |||||||
62,593 | 3.500%, 10/26/2020 | 62,417 | ||||||
IMG Worldwide, Inc., Term Loan |
| |||||||
1,473,468 | 5.250%, 5/6/2021 | 1,445,384 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
124
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (28.6%)a | Value | ||||||
| Consumer Cyclical (4.4%) - continued |
| ||||||
J. C. Penney Corporation, Inc., Term Loan |
| |||||||
$ | 248,625 | 6.000%, 5/22/2018 | $ | 243,839 | ||||
Las Vegas Sands, LLC, Term Loan |
| |||||||
122,500 | 3.250%, 12/19/2020 | 121,122 | ||||||
Marina District Finance Company, Inc., Term Loan |
| |||||||
234,561 | 6.500%, 8/15/2018 | 233,974 | ||||||
Mohegan Tribal Gaming Authority, Term Loan |
| |||||||
762,653 | 5.500%, 6/15/2018 | 744,403 | ||||||
Pinnacle Entertainment, Inc., Term Loan |
| |||||||
27,865 | 3.750%, 8/13/2020 | 27,752 | ||||||
Scientific Games International, Inc., Term Loan |
| |||||||
249,900 | 6.000%, 10/18/2020 | 228,034 | ||||||
Seminole Hard Rock Entertainment, Inc., Term Loan |
| |||||||
118,182 | 3.500%, 5/14/2020 | 115,523 | ||||||
|
| |||||||
Total | 4,383,881 | |||||||
|
| |||||||
| Consumer Non-Cyclical (4.2%) |
| ||||||
Albertson’s, Inc., Term Loan |
| |||||||
275,819 | 5.500%, 3/21/2019 | 274,647 | ||||||
Albertson’s, LLC, Term Loan |
| |||||||
80,000 | 0.000%, 12/22/2022b,c | 79,440 | ||||||
Catalina Marketing Corporation, Term Loan |
| |||||||
124,055 | 4.500%, 4/9/2021 | 98,624 | ||||||
Endo Luxembourg Finance I Co Sarl, Term Loan |
| |||||||
365,000 | 3.750%, 9/26/2022 | 359,678 | ||||||
JBS USA, LLC, Term Loan |
| |||||||
1,318,532 | 3.750%, 5/25/2018 | 1,310,291 | ||||||
210,000 | 4.000%, 10/30/2022 | 209,213 | ||||||
LTF Merger Sub, Inc., Term Loan |
| |||||||
810,925 | 4.250%, 6/10/2022 | 789,135 | ||||||
Ortho-Clinical Diagnostics, Inc., Term Loan |
| |||||||
477,577 | 4.750%, 6/30/2021 | 402,955 | ||||||
Supervalu, Inc., Term Loan |
| |||||||
224,280 | 4.500%, 3/21/2019 | 220,963 | ||||||
Valeant Pharmaceuticals International, Inc., Term Loan |
| |||||||
523,681 | 4.000%, 4/1/2022b,c | 502,603 | ||||||
|
| |||||||
Total | 4,247,549 | |||||||
|
| |||||||
| Energy (1.0%) |
| ||||||
Arch Coal, Inc., Term Loan |
| |||||||
272,944 | 6.250%, 5/16/2018 | 120,172 | ||||||
Aria Energy Operating, LLC, Term Loan |
| |||||||
119,146 | 5.000%, 5/27/2022 | 110,210 | ||||||
Exgen Renewables I, LLC, Term Loan |
| |||||||
279,548 | 5.250%, 2/6/2021 | 279,547 | ||||||
McJunkin Red Man Corporation, Term Loan |
| |||||||
99,366 | 4.750%, 11/8/2019 | 90,920 | ||||||
MEG Energy Corporation, Term Loan |
| |||||||
257,321 | 3.750%, 3/31/2020 | 225,670 | ||||||
Offshore Group Investment, Ltd., Term Loan |
| |||||||
197,468 | 0.000%, 3/28/2019d | 39,658 | ||||||
Pacific Drilling SA, Term Loan |
| |||||||
248,625 | 4.500%, 6/3/2018 | 106,287 | ||||||
|
| |||||||
Total | 972,464 | |||||||
|
| |||||||
| Financials (2.0%) |
| ||||||
Delos Finance Sarl, Term Loan |
| |||||||
125,000 | 3.500%, 3/6/2021 | 124,353 | ||||||
Harland Clarke Holdings Corporation, Term Loan |
| |||||||
239,062 | 7.000%, 5/22/2018 | 230,894 | ||||||
MPH Acquisition Holdings, LLC, Term Loan |
| |||||||
262,734 | 3.750%, 3/31/2021 | 255,290 | ||||||
TransUnion, LLC, Term Loan |
| |||||||
1,350,937 | 3.500%, 4/9/2021 | 1,309,842 | ||||||
WaveDivision Holdings, LLC, Term Loan |
| |||||||
78,782 | 4.000%, 10/15/2019 | 77,403 | ||||||
|
| |||||||
Total | 1,997,782 | |||||||
|
| |||||||
| Technology (1.9%) |
| ||||||
Avago Technologies Cayman Finance, Ltd., Term Loan |
| |||||||
325,000 | 0.000%, 11/13/2022b,c | 321,142 | ||||||
Avago Technologies, Ltd., Term Loan |
| |||||||
535,011 | 3.750%, 5/6/2021 | 533,229 | ||||||
BMC Software, Inc., Term Loan |
| |||||||
264,678 | 5.000%, 9/10/2020 | 217,224 | ||||||
Booz Allen Hamilton, Inc., Term Loan |
| |||||||
103,359 | 3.750%, 7/31/2019 | 103,462 | ||||||
First Data Corporation, Term Loan |
| |||||||
255,000 | 3.918%, 3/23/2018 | 251,351 | ||||||
120,000 | 3.918%, 9/24/2018 | 118,200 | ||||||
Infor US, Inc., Term Loan |
| |||||||
251,740 | 3.750%, 6/3/2020 | 235,797 | ||||||
Merrill Communications, LLC, Term Loan |
| |||||||
3,241 | 6.250%, 6/1/2022 | 2,755 | ||||||
SS&C European Holdings SARL, Term Loan |
| |||||||
100,269 | 4.007%, 7/8/2022 | 99,392 | ||||||
14,756 | 4.018%, 7/8/2022 | 14,627 | ||||||
|
| |||||||
Total | 1,897,179 | |||||||
|
| |||||||
| Transportation (1.4%) |
| ||||||
American Airlines, Inc., Term Loan |
| |||||||
496,163 | 3.250%, 6/27/2020 | 487,867 | ||||||
OSG Bulk Ships, Inc., Term Loan |
| |||||||
640,250 | 5.250%, 8/5/2019 | 613,039 | ||||||
XPO Logistics, Inc., Term Loan |
| |||||||
265,000 | 5.500%, 11/1/2021 | 263,564 | ||||||
|
| |||||||
Total | 1,364,470 | |||||||
|
| |||||||
| Utilities (0.9%) |
| ||||||
Calpine Corporation, Term Loan |
| |||||||
735,000 | 4.000%, 10/31/2020 | 714,788 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
125
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (28.6%)a | Value | ||||||
Utilities (0.9%) - continued | ||||||||
Intergen NV, Term Loan | ||||||||
$ | 248,625 | 5.500%, 6/15/2020 | $ | 224,073 | ||||
|
| |||||||
Total | 938,861 | |||||||
|
| |||||||
Total Bank Loans (cost $30,301,125) | 28,512,507 | |||||||
|
| |||||||
Long-Term Fixed Income (55.0%) | ||||||||
Asset-Backed Securities (3.9%) | ||||||||
Asset Backed Securities Corporation Home Equity Loan Trust | ||||||||
192,218 | 0.562%, 7/25/2036e | 167,919 | ||||||
Bayview Opportunity Master Fund Trust | ||||||||
38,916 | 3.623%, 7/28/2019*,f | 38,601 | ||||||
58,114 | 3.623%, 4/28/2030g | 57,313 | ||||||
146,845 | 3.721%, 2/28/2035* | 146,688 | ||||||
226,382 | 3.721%, 7/28/2035f,g | 226,199 | ||||||
CAM Mortgage, LLC | ||||||||
126,179 | 3.500%, 7/15/2064*,f | 126,063 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
113,946 | 5.530%, 4/25/2047 | 124,125 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
107,386 | 3.546%, 12/25/2036f | 77,261 | ||||||
DRB Prime Student Loan Trust | ||||||||
100,000 | 3.200%, 1/25/2040* | 97,150 | ||||||
First Horizon ABS Trust | ||||||||
259,717 | 0.582%, 10/25/2034e,h | 234,955 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
397,603 | 0.401%, 8/25/2035e,h | 371,968 | ||||||
IndyMac INDA Mortgage Loan Trust | ||||||||
178,835 | 4.682%, 8/25/2036 | 170,083 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
198,111 | 0.632%, 4/25/2046e | 152,321 | ||||||
J.P. Morgan Mortgage Acquisition Trust | ||||||||
144,172 | 6.472%, 3/25/2047f | 108,891 | ||||||
Lehman XS Trust | ||||||||
189,044 | 5.440%, 8/25/2035f | 169,180 | ||||||
Popular ABS Mortgage Pass-Through Trust | ||||||||
100,000 | 5.297%, 11/25/2035f | 95,403 | ||||||
Pretium Mortgage Credit Partners, LLC | ||||||||
195,498 | 4.125%, 10/27/2030* | 193,736 | ||||||
200,000 | 4.375%, 11/27/2030* | 199,326 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
240,296 | 5.797%, 8/25/2036f | 148,526 | ||||||
191,508 | 5.285%, 1/25/2037f | 104,028 | ||||||
Sunset Mortgage Loan Company, LLC | ||||||||
180,552 | 4.459%, 9/16/2045*,f | 179,839 | ||||||
U.S. Residential Opportunity Fund III Trust | ||||||||
134,360 | 3.721%, 1/27/2035* | 133,487 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
169,840 | 3.500%, 6/26/2045g | 167,257 | ||||||
153,968 | 3.625%, 7/25/2045f,g | 151,780 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
346,359 | 0.562%, 7/25/2037*,e,h | 295,662 | ||||||
|
| |||||||
Total | 3,937,761 | |||||||
|
| |||||||
Basic Materials (0.6%) | ||||||||
Albemarle Corporation | ||||||||
46,000 | 3.000%, 12/1/2019 | 45,119 | ||||||
Anglo American Capital plc | ||||||||
22,000 | 1.271%, 4/15/2016e,g | 21,785 | ||||||
ArcelorMittal SA | ||||||||
120,000 | 6.500%, 3/1/2021 | 96,587 | ||||||
Dow Chemical Company | ||||||||
24,000 | 8.550%, 5/15/2019 | 28,288 | ||||||
First Quantum Minerals, Ltd. | ||||||||
130,000 | 7.000%, 2/15/2021g | 81,575 | ||||||
Freeport-McMoRan, Inc. | ||||||||
23,000 | 2.300%, 11/14/2017 | 19,607 | ||||||
30,000 | 2.375%, 3/15/2018 | 23,400 | ||||||
Glencore Funding, LLC | ||||||||
30,000 | 1.377%, 4/16/2018e,g | 25,314 | ||||||
LyondellBasell Industries NV | ||||||||
26,000 | 5.000%, 4/15/2019 | 27,659 | ||||||
NOVA Chemicals Corporation | ||||||||
97,215 | 5.250%, 8/1/2023g | 96,243 | ||||||
Sappi Papier Holding GmbH | ||||||||
80,000 | 6.625%, 4/15/2021g | 80,800 | ||||||
|
| |||||||
Total | 546,377 | |||||||
|
| |||||||
Capital Goods (1.8%) | ||||||||
Berry Plastics Corporation | ||||||||
95,000 | 6.000%, 10/15/2022g | 96,663 | ||||||
Building Materials Corporation of America | ||||||||
175,000 | 6.000%, 10/15/2025g | 178,500 | ||||||
Cemex SAB de CV | ||||||||
130,000 | 5.700%, 1/11/2025g | 108,712 | ||||||
CNH Industrial Capital, LLC | ||||||||
195,000 | 4.375%, 11/6/2020 | 183,788 | ||||||
Crown Americas Capital Corporation IV | ||||||||
120,000 | 4.500%, 1/15/2023 | 117,300 | ||||||
General Electric Company | ||||||||
53,000 | 4.200%, 12/15/2049i | 52,735 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
155,000 | 5.000%, 12/15/2021g | 157,906 | ||||||
L-3 Communications Corporation | ||||||||
33,000 | 1.500%, 5/28/2017 | 32,591 | ||||||
Lockheed Martin Corporation | ||||||||
35,000 | 1.850%, 11/23/2018 | 34,938 | ||||||
Martin Marietta Materials, Inc. | ||||||||
40,000 | 1.703%, 6/30/2017e | 39,722 | ||||||
Moog, Inc. | ||||||||
155,000 | 5.250%, 12/1/2022g | 156,550 | ||||||
Nortek, Inc. | ||||||||
64,810 | 8.500%, 4/15/2021 | 67,247 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
155,000 | 5.000%, 1/15/2022g | 151,513 | ||||||
Pentair Finance SA | ||||||||
35,000 | 3.625%, 9/15/2020 | 34,965 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
126
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (55.0%) | Value | ||||||
Capital Goods (1.8%) - continued | ||||||||
Reynolds Group Issuer, Inc. | ||||||||
$ | 64,810 | 9.875%, 8/15/2019 | $ | 65,296 | ||||
Roper Industries, Inc. | ||||||||
34,000 | 2.050%, 10/1/2018 | 33,780 | ||||||
Sealed Air Corporation | ||||||||
155,000 | 4.875%, 12/1/2022g | 155,387 | ||||||
United Rentals North America, Inc. | ||||||||
170,000 | 5.500%, 7/15/2025 | 164,900 | ||||||
|
| |||||||
Total | 1,832,493 | |||||||
|
| |||||||
Collateralized Mortgage Obligations (7.0%) | ||||||||
Alternative Loan Trust | ||||||||
92,940 | 5.500%, 5/25/2035 | 93,246 | ||||||
American Home Mortgage Assets Trust | ||||||||
136,095 | 1.217%, 9/25/2046e | 96,780 | ||||||
245,017 | 0.612%, 12/25/2046e | 156,376 | ||||||
Angel Oak Mortgage Trust | ||||||||
275,000 | 4.500%, 11/25/2045* | 274,517 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
183,238 | 2.660%, 10/25/2035e | 180,157 | ||||||
Bear Stearns ALT-A Trust | ||||||||
173,629 | 2.638%, 10/25/2033 | 171,918 | ||||||
133,152 | 2.654%, 6/25/2034 | 131,983 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
294,680 | 5.750%, 4/25/2037 | 252,787 | ||||||
Countrywide Alternative Loan Trust | ||||||||
158,358 | 5.750%, 8/25/2035 | 149,414 | ||||||
175,662 | 5.500%, 10/25/2035 | 163,959 | ||||||
62,263 | 5.500%, 2/25/2036 | 58,995 | ||||||
91,836 | 6.000%, 1/25/2037 | 84,399 | ||||||
195,699 | 5.500%, 5/25/2037 | 166,062 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
123,592 | 1.027%, 4/25/2047e | 105,391 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
233,117 | 2.403%, 7/25/2035 | 212,900 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
156,871 | 3.149%, 5/25/2035 | 147,814 | ||||||
52,123 | 3.276%, 9/19/2035 | 48,950 | ||||||
HarborView Mortgage Loan Trust | ||||||||
138,261 | 2.803%, 12/19/2035 | 121,622 | ||||||
Impac CMB Trust | ||||||||
222,073 | 0.942%, 4/25/2035e | 204,055 | ||||||
40,687 | 1.062%, 8/25/2035e | 35,919 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
145,669 | 6.500%, 3/25/2036 | 126,020 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
111,918 | 6.500%, 1/25/2035 | 109,704 | ||||||
85,937 | 2.327%, 6/25/2035 | 85,794 | ||||||
77,714 | 2.812%, 6/25/2035 | 78,514 | ||||||
130,278 | 2.698%, 7/25/2035 | 127,368 | ||||||
185,755 | 2.872%, 8/25/2035 | 184,603 | ||||||
238,035 | 2.463%, 6/25/2036 | 213,871 | ||||||
48,698 | 2.691%, 10/25/2036 | 43,818 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
140,262 | 1.082%, 8/25/2029e | 139,732 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
118,695 | 2.803%, 11/25/2035 | 87,224 | ||||||
MortgageIT Trust | ||||||||
234,451 | 0.682%, 12/25/2035e | 212,247 | ||||||
RALI Trust | ||||||||
259,002 | 0.602%, 11/25/2036e | 188,140 | ||||||
Residential Accredit Loans, Inc. | ||||||||
30,261 | 5.500%, 12/25/2034 | 30,480 | ||||||
60,510 | 3.472%, 5/25/2035 | 60,083 | ||||||
136,739 | 3.633%, 9/25/2035 | 113,340 | ||||||
Sequoia Mortgage Trust | ||||||||
204,828 | 1.022%, 11/20/2034e | 195,846 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
168,300 | 2.645%, 1/25/2035 | 140,921 | ||||||
Structured Asset Mortgage Investments, Inc. | ||||||||
394,740 | 0.732%, 12/25/2035e | 285,784 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
157,596 | 5.000%, 11/25/2018 | 158,655 | ||||||
198,137 | 4.151%, 8/25/2036 | 174,008 | ||||||
125,256 | 2.431%, 10/25/2036 | 111,959 | ||||||
210,300 | 1.825%, 1/25/2037 | 177,019 | ||||||
38,900 | 2.397%, 8/25/2046 | 33,294 | ||||||
262,679 | 1.217%, 9/25/2046e | 218,480 | ||||||
152,207 | 0.987%, 1/25/2047e | 137,449 | ||||||
168,445 | 0.997%, 1/25/2047e | 135,854 | ||||||
Washington Mutual Mortgage Pass Through Certificates | ||||||||
208,038 | 1.007%, 2/25/2047e | 149,121 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
204,798 | 2.763%, 3/25/2036 | 203,392 | ||||||
86,997 | 2.744%, 4/25/2036 | 84,853 | ||||||
43,376 | 6.000%, 7/25/2037 | 42,938 | ||||||
|
| |||||||
Total | 6,907,755 | |||||||
|
| |||||||
Communications Services (2.4%) | ||||||||
21st Century Fox America, Inc. | ||||||||
37,000 | 6.900%, 3/1/2019 | 42,026 | ||||||
AMC Networks, Inc. | ||||||||
24,810 | 7.750%, 7/15/2021 | 26,050 | ||||||
60,000 | 4.750%, 12/15/2022 | 60,000 | ||||||
America Movil SAB de CV | ||||||||
21,000 | 5.000%, 10/16/2019 | 22,684 | ||||||
American Tower Corporation | ||||||||
30,000 | 2.800%, 6/1/2020 | 29,655 | ||||||
AT&T, Inc. | ||||||||
30,000 | 1.533%, 6/30/2020e | 29,785 | ||||||
British Sky Broadcasting Group plc | ||||||||
36,000 | 2.625%, 9/16/2019g | 35,834 | ||||||
CC Holdings GS V, LLC | ||||||||
33,000 | 2.381%, 12/15/2017 | 33,036 | ||||||
CCO Safari II, LLC | ||||||||
17,000 | 3.579%, 7/23/2020g | 16,898 | ||||||
17,000 | 4.464%, 7/23/2022g | 16,941 | ||||||
CCOH Safari, LLC | ||||||||
185,000 | 5.750%, 2/15/2026g | 185,463 | ||||||
CenturyLink, Inc. | ||||||||
90,000 | 6.450%, 6/15/2021 | 87,750 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
127
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (55.0%) | Value | ||||||
Communications Services (2.4%) - continued | ||||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
$110,000 | 6.500%, 11/15/2022 | $ | 107,250 | |||||
Columbus International, Inc. | ||||||||
120,000 | 7.375%, 3/30/2021g | 118,800 | ||||||
Crown Castle International Corporation | ||||||||
200,000 | 5.250%, 1/15/2023 | 210,250 | ||||||
Digicel, Ltd. | ||||||||
184,810 | 6.000%, 4/15/2021g | 155,702 | ||||||
DIRECTV Holdings, LLC | ||||||||
29,000 | 5.875%, 10/1/2019 | 32,368 | ||||||
FairPoint Communications, Inc. | ||||||||
155,000 | 8.750%, 8/15/2019g | 152,675 | ||||||
Frontier Communications Corporation | ||||||||
125,000 | 8.875%, 9/15/2020g | 126,563 | ||||||
Hughes Satellite Systems Corporation | ||||||||
69,000 | 6.500%, 6/15/2019 | 74,347 | ||||||
Intelsat Jackson Holdings SA | ||||||||
64,810 | 7.250%, 10/15/2020 | 56,709 | ||||||
Numericable-SFR | ||||||||
120,000 | 6.000%, 5/15/2022g | 116,400 | ||||||
SBA Tower Trust | ||||||||
40,000 | 5.101%, 4/17/2017g | 40,495 | ||||||
Sprint Corporation | ||||||||
165,000 | 7.625%, 2/15/2025 | 120,450 | ||||||
Telefonica Emisiones SAU | ||||||||
30,000 | 3.192%, 4/27/2018 | 30,582 | ||||||
T-Mobile USA, Inc. | ||||||||
125,000 | 6.633%, 4/28/2021 | 129,687 | ||||||
Univision Communications, Inc. | ||||||||
105,000 | 5.125%, 5/15/2023g | 101,062 | ||||||
UPCB Finance V, Ltd. | ||||||||
90,000 | 7.250%, 11/15/2021g | 95,625 | ||||||
Verizon Communications, Inc. | ||||||||
85,000 | 2.625%, 2/21/2020 | 85,296 | ||||||
40,000 | 4.500%, 9/15/2020 | 42,976 | ||||||
|
| |||||||
Total | 2,383,359 | |||||||
|
| |||||||
Consumer Cyclical (2.4%) | ||||||||
AMC Entertainment, Inc. | ||||||||
79,000 | 5.875%, 2/15/2022 | 80,185 | ||||||
Brookfield Residential Properties, Inc. | ||||||||
100,000 | 6.500%, 12/15/2020g | 96,375 | ||||||
75,000 | 6.125%, 7/1/2022g | 69,375 | ||||||
Cinemark USA, Inc. | ||||||||
80,000 | 4.875%, 6/1/2023 | 78,000 | ||||||
Corrections Corporation of America | ||||||||
120,000 | 5.000%, 10/15/2022 | 119,400 | ||||||
CVS Health Corporation | ||||||||
155,000 | 4.750%, 12/1/2022g | 166,084 | ||||||
Daimler Finance North America, LLC | ||||||||
21,000 | 1.875%, 1/11/2018g | 20,917 | ||||||
ERAC USA Finance, LLC | ||||||||
40,000 | 2.350%, 10/15/2019g | 39,429 | ||||||
Ford Motor Credit Company, LLC | ||||||||
38,000 | 5.000%, 5/15/2018 | 39,915 | ||||||
50,000 | 2.597%, 11/4/2019 | 49,092 | ||||||
General Motors Financial Company, Inc. | ||||||||
64,810 | 3.250%, 5/15/2018 | 65,134 | ||||||
56,000 | 4.375%, 9/25/2021 | 56,787 | ||||||
GLP Capital, LP | ||||||||
120,000 | 4.875%, 11/1/2020 | 117,600 | ||||||
Hilton Worldwide Finance, LLC | ||||||||
120,000 | 5.625%, 10/15/2021 | 124,350 | ||||||
Home Depot, Inc. | ||||||||
35,000 | 0.882%, 9/15/2017e | 35,052 | ||||||
35,000 | 2.625%, 6/1/2022 | 34,963 | ||||||
Hyundai Capital America | ||||||||
28,000 | 1.450%, 2/6/2017g | 27,869 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
75,000 | 4.250%, 11/15/2019g | 75,563 | ||||||
77,000 | 5.625%, 2/1/2023g | 77,770 | ||||||
KB Home | ||||||||
71,000 | 4.750%, 5/15/2019 | 68,870 | ||||||
L Brands, Inc. | ||||||||
77,000 | 6.625%, 4/1/2021 | 85,278 | ||||||
Lennar Corporation | ||||||||
150,000 | 4.750%, 11/15/2022 | 148,725 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
36,000 | 7.450%, 7/15/2017 | 38,897 | ||||||
MGM Resorts International | ||||||||
170,000 | 6.000%, 3/15/2023 | 168,725 | ||||||
Ralph Lauren Corporation | ||||||||
35,000 | 2.625%, 8/18/2020 | 35,333 | ||||||
Royal Caribbean Cruises, Ltd. | ||||||||
119,810 | 5.250%, 11/15/2022 | 122,805 | ||||||
Six Flags Entertainment Corporation | ||||||||
110,000 | 5.250%, 1/15/2021g | 111,375 | ||||||
Toll Brothers Finance Corporation | ||||||||
52,000 | 4.000%, 12/31/2018 | 53,040 | ||||||
Visa, Inc. | ||||||||
35,000 | 2.200%, 12/14/2020 | 34,935 | ||||||
West Corporation | ||||||||
120,000 | 5.375%, 7/15/2022g | 103,500 | ||||||
|
| |||||||
Total | 2,345,343 | |||||||
|
| |||||||
Consumer Non-Cyclical (2.3%) | ||||||||
Actavis Funding SCS | ||||||||
26,000 | 1.757%, 3/12/2020e | 26,093 | ||||||
Amgen, Inc. | ||||||||
30,000 | 2.125%, 5/1/2020 | 29,591 | ||||||
B&G Foods, Inc. | ||||||||
70,000 | 4.625%, 6/1/2021 | 69,300 | ||||||
BAT International Finance plc | ||||||||
35,000 | 1.022%, 6/15/2018e,g | 34,953 | ||||||
Becton, Dickinson and Company | ||||||||
32,000 | 1.450%, 5/15/2017 | 31,865 | ||||||
Boston Scientific Corporation | ||||||||
25,000 | 6.000%, 1/15/2020 | 27,760 | ||||||
Bunge Limited Finance Corporation | ||||||||
35,000 | 3.500%, 11/24/2020 | 34,805 | ||||||
Cardinal Health, Inc. | ||||||||
35,000 | 1.950%, 6/15/2018 | 34,909 | ||||||
Celgene Corporation | ||||||||
35,000 | 3.550%, 8/15/2022 | 35,340 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal | Long-Term Fixed Income (55.0%) | Value | ||||||
Consumer Non-Cyclical (2.3%) - continued | ||||||||
CHS/Community Health Systems, Inc. | ||||||||
$ | 77,000 | 7.125%, 7/15/2020 | $ | 76,711 | ||||
Cott Beverages, Inc. | ||||||||
120,000 | 5.375%, 7/1/2022 | 117,600 | ||||||
CVS Health Corporation | ||||||||
24,000 | 2.250%, 12/5/2018 | 24,116 | ||||||
EMD Finance, LLC | ||||||||
19,000 | 0.876%, 3/17/2017e,g | 18,942 | ||||||
Envision Healthcare Corporation | ||||||||
155,000 | 5.125%, 7/1/2022g | 151,900 | ||||||
Forest Laboratories, Inc. | ||||||||
37,000 | 4.375%, 2/1/2019g | 38,760 | ||||||
Fresenius Medical Care US Finance, Inc. | ||||||||
64,810 | 5.750%, 2/15/2021g | 69,347 | ||||||
Gilead Sciences, Inc. | ||||||||
35,000 | 3.250%, 9/1/2022 | 35,242 | ||||||
Grifols Worldwide Operations, Ltd. | ||||||||
200,000 | 5.250%, 4/1/2022 | 201,000 | ||||||
HCA, Inc. | ||||||||
64,810 | 4.750%, 5/1/2023 | 64,162 | ||||||
JBS USA, LLC | ||||||||
170,000 | 5.750%, 6/15/2025g | 147,900 | ||||||
Laboratory Corporation of America Holdings | ||||||||
20,000 | 2.625%, 2/1/2020 | 19,745 | ||||||
Land O’Lakes, Inc. | ||||||||
100,000 | 8.000%, 12/31/2049g,i | 103,875 | ||||||
Mead Johnson Nutrition Company | ||||||||
35,000 | 3.000%, 11/15/2020 | 34,989 | ||||||
Merck & Company, Inc. | ||||||||
20,000 | 0.716%, 2/10/2020e | 19,877 | ||||||
Mondelez International, Inc. | ||||||||
20,000 | 2.250%, 2/1/2019 | 19,993 | ||||||
MPH Acquisition Holdings, LLC | ||||||||
250,000 | 6.625%, 4/1/2022g | 250,625 | ||||||
Mylan NV | ||||||||
15,000 | 3.750%, 12/15/2020g | 15,016 | ||||||
PepsiCo, Inc. | ||||||||
30,000 | 1.850%, 4/30/2020 | 29,656 | ||||||
Revlon Consumer Products Corporation | ||||||||
64,810 | 5.750%, 2/15/2021 | 62,704 | ||||||
Reynolds American, Inc. | ||||||||
35,000 | 3.250%, 6/12/2020 | 35,571 | ||||||
SABMiller plc | ||||||||
30,000 | 6.500%, 7/15/2018g | 33,099 | ||||||
Safeway, Inc. | ||||||||
8,000 | 3.400%, 12/1/2016 | 7,920 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
77,000 | 6.375%, 11/15/2020 | 81,812 | ||||||
Tenet Healthcare Corporation | ||||||||
120,000 | 8.125%, 4/1/2022 | 119,700 | ||||||
TreeHouse Foods, Inc. | ||||||||
110,000 | 4.875%, 3/15/2022 | 104,775 | ||||||
Valeant Pharmaceuticals International | ||||||||
64,810 | 7.250%, 7/15/2022g | 63,352 | ||||||
WM Wrigley Jr. Company | ||||||||
20,000 | 2.000%, 10/20/2017g | 20,032 | ||||||
Zoetis, Inc. | ||||||||
35,000 | 3.450%, 11/13/2020 | 35,041 | ||||||
|
| |||||||
Total | 2,328,078 | |||||||
|
| |||||||
Energy (1.5%) | ||||||||
Anadarko Petroleum Corporation | ||||||||
40,000 | 8.700%, 3/15/2019 | 45,446 | ||||||
Boardwalk Pipelines, Ltd. | ||||||||
29,000 | 5.875%, 11/15/2016 | 29,281 | ||||||
Buckeye Partners, LP | ||||||||
22,000 | 2.650%, 11/15/2018 | 21,165 | ||||||
Chevron Corporation | ||||||||
35,000 | 0.874%, 11/16/2018e | 35,009 | ||||||
Concho Resources, Inc. | ||||||||
139,810 | 6.500%, 1/15/2022 | 134,218 | ||||||
Crestwood Midstream Partners, LP | ||||||||
110,000 | 6.250%, 4/1/2023g | 76,725 | ||||||
Enbridge, Inc. | ||||||||
19,000 | 0.866%, 6/2/2017e | 18,609 | ||||||
EQT Corporation | ||||||||
5,000 | 5.150%, 3/1/2018 | 5,203 | ||||||
26,000 | 8.125%, 6/1/2019 | 28,085 | ||||||
Marathon Petroleum Corporation | ||||||||
35,000 | 3.400%, 12/15/2020 | 34,373 | ||||||
MEG Energy Corporation | ||||||||
77,000 | 6.375%, 1/30/2023g | 52,745 | ||||||
Noble Energy, Inc. | ||||||||
155,000 | 5.875%, 6/1/2022 | 147,451 | ||||||
Pacific Drilling V, Ltd. | ||||||||
110,000 | 7.250%, 12/1/2017g | 56,650 | ||||||
Petrobras International Finance Company | ||||||||
215,000 | 5.750%, 1/20/2020 | 168,775 | ||||||
Petroleos Mexicanos | ||||||||
280,000 | 5.625%, 1/23/2046g | 214,256 | ||||||
Pioneer Natural Resources Company | ||||||||
11,000 | 3.450%, 1/15/2021 | 10,157 | ||||||
Regency Energy Partners, LP | ||||||||
120,000 | 5.000%, 10/1/2022 | 106,305 | ||||||
Sabine Pass Liquefaction, LLC | ||||||||
155,000 | 5.625%, 3/1/2025g | 131,169 | ||||||
Schlumberger Holdings Corporation | ||||||||
35,000 | 3.000%, 12/21/2020g | 34,548 | ||||||
Shell International Finance BV | ||||||||
30,000 | 0.806%, 5/11/2020e | 29,561 | ||||||
Southwestern Energy Company | ||||||||
47,000 | 7.500%, 2/1/2018 | 39,950 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
35,000 | 4.400%, 4/1/2021 | 33,917 | ||||||
|
| |||||||
Total | 1,453,598 | |||||||
|
| |||||||
Financials (4.3%) | ||||||||
Abbey National Treasury Services plc | ||||||||
40,000 | 1.013%, 9/29/2017e | 39,665 | ||||||
ACE INA Holdings, Inc. | ||||||||
35,000 | 2.875%, 11/3/2022 | 34,734 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (55.0%) | Value | ||||||
Financials (4.3%) - continued | ||||||||
Air Lease Corporation | ||||||||
$ | 36,000 | 2.125%, 1/15/2018 | $ | 35,370 | ||||
17,000 | 2.625%, 9/4/2018 | 16,804 | ||||||
Ally Financial, Inc. | ||||||||
100,000 | 4.750%, 9/10/2018 | 102,375 | ||||||
American Express Credit Corporation | ||||||||
35,000 | 1.552%, 9/14/2020e | 35,299 | ||||||
Aviation Capital Group Corporation | ||||||||
20,000 | 3.875%, 9/27/2016g | 20,150 | ||||||
Bank of America Corporation | ||||||||
44,000 | 5.700%, 5/2/2017 | 45,887 | ||||||
40,000 | 1.700%, 8/25/2017 | 39,886 | ||||||
76,000 | 1.656%, 3/22/2018e | 76,244 | ||||||
15,000 | 5.650%, 5/1/2018 | 16,130 | ||||||
38,000 | 8.000%, 12/29/2049i | 38,665 | ||||||
BB&T Corporation | ||||||||
38,000 | 2.050%, 6/19/2018 | 38,216 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
115,000 | 5.919%, 12/29/2049i | 116,150 | ||||||
Bear Stearns Companies, LLC | ||||||||
45,000 | 6.400%, 10/2/2017 | 48,462 | ||||||
BNP Paribas SA | ||||||||
30,000 | 2.375%, 9/14/2017 | 30,356 | ||||||
BPCE SA | ||||||||
132,000 | 5.150%, 7/21/2024g | 133,109 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
25,000 | 0.989%, 1/29/2018e,g | 24,951 | ||||||
CIT Group, Inc. | ||||||||
80,000 | 3.875%, 2/19/2019 | 79,600 | ||||||
Citigroup, Inc. | ||||||||
69,000 | 1.850%, 11/24/2017 | 68,898 | ||||||
Credit Agricole SA | ||||||||
25,000 | 1.457%, 6/10/2020e,g | 24,946 | ||||||
Credit Suisse Group AG | ||||||||
127,000 | 7.500%, 12/11/2049g,i | 133,329 | ||||||
CyrusOne, LP | ||||||||
64,810 | 6.375%, 11/15/2022 | 66,754 | ||||||
DDR Corporation | ||||||||
20,000 | 9.625%, 3/15/2016 | 20,312 | ||||||
Discover Bank | ||||||||
10,000 | 8.700%, 11/18/2019 | 11,830 | ||||||
Discover Financial Services | ||||||||
20,000 | 6.450%, 6/12/2017 | 21,131 | ||||||
Duke Realty, LP | ||||||||
46,000 | 8.250%, 8/15/2019 | 54,414 | ||||||
Fifth Third Bancorp | ||||||||
48,000 | 5.450%, 1/15/2017 | 49,761 | ||||||
Goldman Sachs Group, Inc. | ||||||||
20,000 | 2.625%, 1/31/2019 | 20,143 | ||||||
30,000 | 7.500%, 2/15/2019 | 34,328 | ||||||
25,000 | 1.476%, 4/23/2020e | 25,037 | ||||||
30,000 | 2.012%, 11/29/2023e | 30,266 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
45,000 | 6.000%, 1/15/2019 | 49,490 | ||||||
HCP, Inc. | ||||||||
25,000 | 3.750%, 2/1/2019 | 25,791 | ||||||
Health Care REIT, Inc. | ||||||||
26,000 | 4.700%, 9/15/2017 | 27,179 | ||||||
HSBC Holdings plc | ||||||||
23,000 | 6.375%, 12/29/2049i | 22,971 | ||||||
Hutchison Whampoa Finance CI, Ltd. | ||||||||
46,000 | 1.625%, 10/31/2017g | 45,594 | ||||||
Icahn Enterprises, LP | ||||||||
110,000 | 6.000%, 8/1/2020 | 110,924 | ||||||
ILFC E-Capital Trust II | ||||||||
300,000 | 4.740%, 12/21/2065e,g | 276,000 | ||||||
ING Bank NV | ||||||||
57,000 | 5.800%, 9/25/2023g | 61,929 | ||||||
ING Capital Funding Trust III | ||||||||
25,000 | 4.207%, 12/29/2049e,i | 24,938 | ||||||
International Lease Finance Corporation | ||||||||
26,000 | 2.462%, 6/15/2016e | 25,935 | ||||||
85,000 | 5.875%, 4/1/2019 | 90,100 | ||||||
Intesa Sanpaolo SPA | ||||||||
10,000 | 3.875%, 1/16/2018 | 10,254 | ||||||
32,000 | 3.875%, 1/15/2019 | 32,948 | ||||||
J.P. Morgan Chase & Company | ||||||||
20,000 | 6.300%, 4/23/2019 | 22,426 | ||||||
15,000 | 2.250%, 1/23/2020 | 14,757 | ||||||
49,000 | 7.900%, 4/29/2049i | 49,882 | ||||||
280,000 | 6.750%, 8/29/2049i | 305,200 | ||||||
KeyCorp | ||||||||
30,000 | 2.300%, 12/13/2018 | 30,045 | ||||||
Liberty Mutual Group, Inc. | ||||||||
10,000 | 5.000%, 6/1/2021g | 10,695 | ||||||
Lloyds Bank plc | ||||||||
25,000 | 1.038%, 3/16/2018e | 24,868 | ||||||
MetLife, Inc. | ||||||||
36,000 | 1.903%, 12/15/2017 | 36,212 | ||||||
Mizuho Corporate Bank, Ltd. | ||||||||
25,000 | 1.550%, 10/17/2017g | 24,803 | ||||||
Morgan Stanley | ||||||||
40,000 | 6.625%, 4/1/2018 | 43,861 | ||||||
25,000 | 1.463%, 1/27/2020e | 25,053 | ||||||
26,000 | 4.875%, 11/1/2022 | 27,593 | ||||||
MPT Operating Partnership, LP | ||||||||
110,000 | 5.500%, 5/1/2024 | 109,450 | ||||||
Murray Street Investment Trust I | ||||||||
60,000 | 4.647%, 3/9/2017 | 61,818 | ||||||
National City Corporation | ||||||||
20,000 | 6.875%, 5/15/2019 | 22,594 | ||||||
New York Life Global Funding | ||||||||
35,000 | 1.550%, 11/2/2018g | 34,715 | ||||||
Nomura Holdings, Inc. | ||||||||
21,000 | 2.750%, 3/19/2019 | 21,113 | ||||||
Quicken Loans, Inc. | ||||||||
115,000 | 5.750%, 5/1/2025g | 109,537 | ||||||
Realty Income Corporation | ||||||||
33,000 | 2.000%, 1/31/2018 | 33,019 | ||||||
Regions Bank | ||||||||
17,000 | 7.500%, 5/15/2018 | 18,889 | ||||||
Reinsurance Group of America, Inc. | ||||||||
40,000 | 5.625%, 3/15/2017 | 41,687 | ||||||
RHP Hotel Properties, LP | ||||||||
105,000 | 5.000%, 4/15/2021 | 106,837 | ||||||
Royal Bank of Scotland Group plc | ||||||||
22,000 | 1.543%, 3/31/2017e | 21,957 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (55.0%) | Value | ||||||
| Financials (4.3%) - continued | |||||||
$ | 57,000 | 7.640%, 3/29/2049i | $ | 59,565 | ||||
57,000 | 7.648%, 8/29/2049i | 70,609 | ||||||
200,000 | 7.500%, 12/29/2049i | 208,250 | ||||||
Simon Property Group, LP | ||||||||
35,000 | 2.500%, 9/1/2020 | 35,027 | ||||||
Societe Generale SA | ||||||||
30,000 | 5.750%, 4/20/2016g | 30,382 | ||||||
State Street Corporation | ||||||||
35,000 | 1.264%, 8/18/2020e | 35,004 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
60,000 | 1.300%, 1/10/2017 | 59,853 | ||||||
25,000 | 0.897%, 1/16/2018e | 24,914 | ||||||
Synchrony Financial | ||||||||
56,000 | 1.875%, 8/15/2017 | 55,743 | ||||||
15,000 | 1.564%, 2/3/2020e | 14,763 | ||||||
Synovus Financial Corporation | ||||||||
65,000 | 5.750%, 12/15/2025 | 66,300 | ||||||
Toronto-Dominion Bank | ||||||||
35,000 | 1.432%, 12/14/2020e | 34,992 | ||||||
UnitedHealth Group, Inc. | ||||||||
35,000 | 3.350%, 7/15/2022 | 35,799 | ||||||
USB Realty Corporation | ||||||||
10,000 | 1.468%, 12/29/2049e,g,i | 9,000 | ||||||
Voya Financial, Inc. | ||||||||
30,000 | 2.900%, 2/15/2018 | 30,324 | ||||||
Wells Fargo & Company | ||||||||
25,000 | 1.002%, 1/30/2020e | 24,767 | ||||||
|
| |||||||
Total | 4,329,558 | |||||||
|
| |||||||
Foreign Government (11.5%) | ||||||||
Bahama Government International Bond | ||||||||
50,000 | 5.750%, 1/16/2024g | 52,250 | ||||||
Brazil Government International Bond | ||||||||
282,000 | 5.875%, 1/15/2019 | 287,640 | ||||||
281,000 | 4.875%, 1/22/2021 | 259,925 | ||||||
440,000 | 2.625%, 1/5/2023 | 334,400 | ||||||
320,000 | 5.000%, 1/27/2045 | 213,600 | ||||||
Colombia Government International Bond | ||||||||
205,000 | 2.625%, 3/15/2023 | 180,093 | ||||||
180,000 | 4.000%, 2/26/2024 | 171,450 | ||||||
340,000 | 5.000%, 6/15/2045 | 283,900 | ||||||
Croatia Government International Bond | ||||||||
255,000 | 6.625%, 7/14/2020g | 273,245 | ||||||
Export-Import Bank of Korea | ||||||||
25,000 | 2.250%, 1/21/2020 | 24,616 | ||||||
Hungary Government International Bond | ||||||||
80,000 | 4.000%, 3/25/2019 | 83,360 | ||||||
286,000 | 5.750%, 11/22/2023 | 320,005 | ||||||
334,000 | 5.375%, 3/25/2024 | 365,730 | ||||||
Indonesia Government International Bond | ||||||||
240,000 | 4.875%, 5/5/2021g | 248,596 | ||||||
225,000 | 3.375%, 4/15/2023g | 209,079 | ||||||
282,000 | 5.875%, 1/15/2024g | 302,111 | ||||||
210,000 | 4.125%, 1/15/2025g | 201,251 | ||||||
200,000 | 4.750%, 1/8/2026g | 197,532 | ||||||
375,000 | 5.125%, 1/15/2045g | 339,130 | ||||||
Mexico Government International Bond | ||||||||
180,000 | 3.625%, 3/15/2022 | 181,080 | ||||||
210,000 | 4.000%, 10/2/2023 | 212,730 | ||||||
388,000 | 3.600%, 1/30/2025 | 378,106 | ||||||
94,000 | 6.050%, 1/11/2040 | 102,930 | ||||||
180,000 | 4.750%, 3/8/2044 | 163,980 | ||||||
188,000 | 5.550%, 1/21/2045 | 192,700 | ||||||
329,000 | 4.600%, 1/23/2046 | 291,165 | ||||||
Panama Government International Bond | ||||||||
146,000 | 4.000%, 9/22/2024 | 146,000 | ||||||
94,000 | 6.700%, 1/26/2036 | 111,625 | ||||||
Peru Government International Bond | ||||||||
465,000 | 4.125%, 8/25/2027 | 455,700 | ||||||
Philippines Government International Bond | ||||||||
125,000 | 7.750%, 1/14/2031 | 175,621 | ||||||
200,000 | 6.375%, 10/23/2034 | 260,754 | ||||||
Romania Government International Bond | ||||||||
148,000 | 4.375%, 8/22/2023g | 154,061 | ||||||
80,000 | 4.875%, 1/22/2024g | 85,944 | ||||||
Russia Government International Bond | ||||||||
188,000 | 3.500%, 1/16/2019g | 187,060 | ||||||
600,000 | 5.000%, 4/29/2020g | 619,200 | ||||||
360,000 | 4.875%, 9/16/2023g | 365,760 | ||||||
279,650 | 7.500%, 3/31/2030g | 335,045 | ||||||
282,000 | 5.625%, 4/4/2042g | 266,772 | ||||||
South Africa Government International Bond | ||||||||
200,000 | 5.500%, 3/9/2020 | 205,270 | ||||||
145,000 | 5.875%, 5/30/2022 | 151,409 | ||||||
75,000 | 5.375%, 7/24/2044 | 67,500 | ||||||
Turkey Government International Bond | ||||||||
282,000 | 7.500%, 11/7/2019 | 316,198 | ||||||
400,000 | 7.000%, 6/5/2020 | 445,062 | ||||||
295,000 | 5.125%, 3/25/2022 | 302,744 | ||||||
188,000 | 6.250%, 9/26/2022 | 204,093 | ||||||
94,000 | 5.750%, 3/22/2024 | 99,313 | ||||||
288,000 | 4.250%, 4/14/2026 | 270,015 | ||||||
376,000 | 4.875%, 4/16/2043 | 330,880 | ||||||
|
| |||||||
Total | 11,426,630 | |||||||
|
| |||||||
Mortgage-Backed Securities (11.8%) | ||||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
550,000 | 3.000%, 1/1/2031c | 566,760 | ||||||
Federal Home Loan Mortgage Corporation Gold 20-Yr. Pass Through | ||||||||
35,551 | 5.500%, 9/1/2024 | 39,278 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
750,000 | 4.000%, 1/1/2046c | 792,290 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
750,000 | 3.500%, 1/1/2030c | 785,420 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (55.0%) | Value | ||||||
Mortgage-Backed Securities (11.8%) - continued | ||||||||
Federal National Mortgage Association Conventional 20-Yr. Pass Through | ||||||||
$ | 265,734 | 6.000%, 8/1/2024 | $ | 299,873 | ||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
4,525,000 | 3.500%, 1/1/2046c | 4,668,548 | ||||||
3,000,000 | 4.000%, 1/1/2046c | 3,174,516 | ||||||
1,325,000 | 4.500%, 1/1/2046c | 1,430,834 | ||||||
|
| |||||||
Total | 11,757,519 | |||||||
|
| |||||||
| Technology (1.6%) | |||||||
Alliance Data Systems Corporation | ||||||||
75,000 | 5.375%, 8/1/2022g | 71,437 | ||||||
Amkor Technology, Inc. | ||||||||
100,000 | 6.625%, 6/1/2021 | 99,250 | ||||||
Apple, Inc. | ||||||||
30,000 | 0.659%, 5/6/2020e | 29,774 | ||||||
Automatic Data Processing, Inc. | ||||||||
35,000 | 2.250%, 9/15/2020 | 35,133 | ||||||
Cisco Systems, Inc. | ||||||||
35,000 | 0.914%, 3/1/2019e | 34,969 | ||||||
CommScope Technologies Finance, LLC | ||||||||
130,000 | 6.000%, 6/15/2025g | 125,125 | ||||||
Denali Borrower, LLC | ||||||||
122,000 | 5.625%, 10/15/2020g | 127,795 | ||||||
Equinix, Inc. | ||||||||
155,000 | 5.750%, 1/1/2025 | 158,488 | ||||||
Fidelity National Information Services, Inc. | ||||||||
37,000 | 1.450%, 6/5/2017 | 36,499 | ||||||
35,000 | 3.625%, 10/15/2020 | 35,456 | ||||||
First Data Corporation | ||||||||
110,000 | 5.375%, 8/15/2023g | 110,550 | ||||||
Freescale Semiconductor, Inc. | ||||||||
105,000 | 6.000%, 1/15/2022g | 109,987 | ||||||
Hewlett Packard Enterprise Company | ||||||||
33,000 | 3.600%, 10/15/2020g | 33,076 | ||||||
IMS Health, Inc. | ||||||||
75,000 | 6.000%, 11/1/2020g | 77,250 | ||||||
Intel Corporation | ||||||||
35,000 | 3.100%, 7/29/2022 | 35,690 | ||||||
Iron Mountain, Inc. | ||||||||
64,810 | 6.000%, 8/15/2023 | 67,078 | ||||||
Oracle Corporation | ||||||||
30,000 | 2.500%, 5/15/2022 | 29,445 | ||||||
Plantronics, Inc. | ||||||||
200,000 | 5.500%, 5/31/2023g | 199,000 | ||||||
Sensata Technologies BV | ||||||||
130,000 | 4.875%, 10/15/2023g | 126,425 | ||||||
Texas Instruments, Inc. | ||||||||
30,000 | 1.750%, 5/1/2020 | 29,223 | ||||||
Tyco Electronics Group SA | ||||||||
38,000 | 6.550%, 10/1/2017 | 40,952 | ||||||
|
| |||||||
Total | 1,612,602 | |||||||
|
| |||||||
| Transportation (0.5%) | |||||||
Air Canada Pass Through Trust | ||||||||
15,000 | 3.875%, 3/15/2023g | 14,550 | ||||||
American Airlines Pass Through Trust | ||||||||
17,357 | 4.950%, 1/15/2023 | 18,311 | ||||||
Avis Budget Car Rental, LLC | ||||||||
105,000 | 5.125%, 6/1/2022g | 103,687 | ||||||
Continental Airlines, Inc. | ||||||||
48,388 | 6.250%, 4/11/2020 | 50,808 | ||||||
Delta Air Lines, Inc. | ||||||||
22,711 | 4.950%, 5/23/2019 | 23,847 | ||||||
20,338 | 4.750%, 5/7/2020 | 21,457 | ||||||
J.B. Hunt Transport Services, Inc. | ||||||||
35,000 | 3.300%, 8/15/2022 | 34,662 | ||||||
Korea Expressway Corporation | ||||||||
33,000 | 1.625%, 4/28/2017g | 32,885 | ||||||
United Airlines 2015-1 Class A Pass Through Trust | ||||||||
35,000 | 3.700%, 12/1/2022 | 34,913 | ||||||
XPO Logistics, Inc. | ||||||||
200,000 | 6.500%, 6/15/2022g | 185,000 | ||||||
|
| |||||||
Total | 520,120 | |||||||
|
| |||||||
| U.S. Government and Agencies (2.1%) | |||||||
U.S. Treasury Notes | ||||||||
1,000,000 | 1.875%, 6/30/2020 | 1,006,992 | ||||||
1,070,000 | 2.125%, 6/30/2022 | 1,075,517 | ||||||
|
| |||||||
Total | 2,082,509 | |||||||
|
| |||||||
| Utilities (1.3%) | |||||||
Access Midstream Partners, LP | ||||||||
100,000 | 4.875%, 5/15/2023 | 81,067 | ||||||
AES Corporation | ||||||||
64,810 | 7.375%, 7/1/2021 | 66,106 | ||||||
Ameren Corporation | ||||||||
35,000 | 2.700%, 11/15/2020 | 34,867 | ||||||
Arizona Public Service Company | ||||||||
20,000 | 2.200%, 1/15/2020 | 19,812 | ||||||
Berkshire Hathaway Energy Company | ||||||||
48,000 | 2.400%, 2/1/2020 | 47,552 | ||||||
Calpine Corporation | ||||||||
100,000 | 6.000%, 1/15/2022g | 103,219 | ||||||
120,000 | 5.375%, 1/15/2023 | 107,700 | ||||||
DTE Energy Company | ||||||||
46,000 | 2.400%, 12/1/2019 | 45,805 | ||||||
Dynegy Finance I, Inc. | ||||||||
140,000 | 7.375%, 11/1/2022 | 121,800 | ||||||
EDP Finance BV | ||||||||
46,000 | 4.125%, 1/15/2020g | 46,106 | ||||||
El Paso Corporation | ||||||||
18,000 | 7.000%, 6/15/2017 | 18,542 | ||||||
Electricite de France SA | ||||||||
57,000 | 5.625%, 12/29/2049g,i | 54,207 | ||||||
Energy Transfer Equity, LP | ||||||||
170,000 | 5.500%, 6/1/2027 | 129,200 | ||||||
Enterprise Products Operating, LLC | ||||||||
70,000 | 7.000%, 6/1/2067 | 57,400 | ||||||
Eversource Energy | ||||||||
15,000 | 1.600%, 1/15/2018 | 14,842 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (55.0%) | Value | ||||||
Utilities (1.3%) - continued | ||||||||
Exelon Generation Company, LLC | ||||||||
$ | 20,000 | 5.200%, 10/1/2019 | $ | 21,546 | ||||
15,000 | 2.950%, 1/15/2020 | 14,946 | ||||||
MPLX LP | ||||||||
155,000 | 4.875%, 12/1/2024g | 139,112 | ||||||
NiSource Finance Corporation | ||||||||
16,000 | 6.400%, 3/15/2018 | 17,433 | ||||||
NRG Energy, Inc. | ||||||||
64,810 | 6.625%, 3/15/2023 | 56,223 | ||||||
Pacific Gas & Electric Company | ||||||||
26,000 | 5.625%, 11/30/2017 | 27,792 | ||||||
PG&E Corporation | ||||||||
19,000 | 2.400%, 3/1/2019 | 18,959 | ||||||
Sempra Energy | ||||||||
36,000 | 6.150%, 6/15/2018 | 39,293 | ||||||
15,000 | 2.400%, 3/15/2020 | 14,701 | ||||||
Southern California Edison Company | ||||||||
10,000 | 2.400%, 2/1/2022 | 9,806 | ||||||
Xcel Energy, Inc. | ||||||||
30,000 | 1.200%, 6/1/2017 | 29,848 | ||||||
|
| |||||||
Total | 1,337,884 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $55,959,676) | 54,801,586 | |||||||
|
| |||||||
Shares | Mutual Funds (5.8%) | |||||||
Equity Funds/ETFs (0.4%) | ||||||||
7,200 | BlackRock Resources & Commodities Strategy Trust | 51,192 | ||||||
6,200 | Cohen & Steers REIT and Preferred Income Fund, Inc. | 114,328 | ||||||
3,200 | Guggenheim Multi-Asset Income ETF | 58,176 | ||||||
14,800 | iShares FTSE NAREIT Mortgage Plus Capped Index Fund | 141,488 | ||||||
6,450 | NFJ Dividend Interest & Premium Strategy Fund | 79,915 | ||||||
|
| |||||||
Total | 445,099 | |||||||
|
| |||||||
| Fixed Income Funds/ETFs (5.4%) | |||||||
32,160 | Aberdeen Asia-Pacific Income Fund, Inc. | 146,971 | ||||||
9,425 | Doubleline Income Solutions Fund | 152,874 | ||||||
5,211 | First Trust High Income Long/Short Fund | 73,371 | ||||||
26,259 | iShares J.P. Morgan USD Emerging Markets Bond ETF | 2,777,677 | ||||||
29,597 | MFS Intermediate Income Trust | 135,258 | ||||||
10,814 | PIMCO Dynamic Credit Income Fund | 194,977 | ||||||
24,789 | Templeton Global Income Fund | 157,410 | ||||||
19,685 | Vanguard Short-Term Corporate Bond ETF | 1,554,918 | ||||||
11,299 | Western Asset Emerging Markets Debt Fund, Inc. | 155,135 | ||||||
16,794 | Western Asset High Income Opportunity Fund, Inc. | 78,764 | ||||||
|
| |||||||
Total | 5,427,355 | |||||||
|
| |||||||
Total Mutual Funds (cost $6,312,197) | 5,872,454 | |||||||
|
| |||||||
Preferred Stock (2.0%) | ||||||||
Financials (1.7%) | ||||||||
855 | Agribank FCB, 6.875%i | 90,390 | ||||||
117 | Bank of America Corporation, Convertible, 7.250%i | 127,913 | ||||||
10,320 | Citigroup, Inc., 6.875%i | 287,515 | ||||||
3,700 | Discover Financial Services, 6.500%i | 97,939 | ||||||
1,135 | Farm Credit Bank of Texas, 6.750%g,i | 118,182 | ||||||
7,400 | Goldman Sachs Group, Inc., 5.500%i | 191,586 | ||||||
6,975 | HSBC USA, Inc., 6.500%i | 181,559 | ||||||
92 | M&T Bank Corporation, 6.375%i | 96,370 | ||||||
5,200 | Morgan Stanley, 7.125%i | 148,720 | ||||||
7,000 | RBS Capital Funding Trust V, 5.900%i | 171,780 | ||||||
1,539 | U.S. Bancorp, 6.500%i | 44,169 | ||||||
127 | Wells Fargo & Company, Convertible, 7.500%i | 147,447 | ||||||
|
| |||||||
Total | 1,703,570 | |||||||
|
| |||||||
| Materials (0.1%) | |||||||
2,280 | CHS, Inc., 7.100%i | 62,175 | ||||||
|
| |||||||
Total | 62,175 | |||||||
|
| |||||||
| Utilities (0.2%) | |||||||
8,000 | Southern California Edison Company Trust IV, 5.375%i | 217,280 | ||||||
|
| |||||||
Total | 217,280 | |||||||
|
| |||||||
Total Preferred Stock (cost $1,898,701) | 1,983,025 | |||||||
|
| |||||||
Common Stock (0.7%) | ||||||||
Financials (0.7%) | ||||||||
4,725 | American Capital Agency Corporation | 81,931 | ||||||
9,200 | Annaly Capital Management, Inc. | 86,296 | ||||||
24,100 | Apollo Investment Corporation | 125,802 | ||||||
11,100 | Ares Capital Corporation | 158,175 | ||||||
6,000 | Invesco Mortgage Capital, Inc. | 74,340 | ||||||
9,450 | Solar Capital, Ltd. | 155,264 | ||||||
|
| |||||||
Total | 681,808 | |||||||
|
| |||||||
Total Common Stock (cost $798,875) | 681,808 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (20.0%)j | |||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
200,000 | 0.100%, 1/8/2016k | 199,996 | ||||||
Thrivent Cash Management Trust | ||||||||
19,671,931 | 0.220% | 19,671,931 | ||||||
U.S. Treasury Bills | ||||||||
25,000 | 0.175%, 2/4/2016l | 24,996 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 19,896,923 | |||||||
|
| |||||||
Total Investments (cost $115,167,497) 112.1% | $ | 111,748,303 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (12.1%) | (12,083,336 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 99,664,967 | ||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
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OPPORTUNITY INCOME PLUS PORTFOLIO
Schedule of Investments as of December 31, 2015
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | All or a portion of the loan is unfunded. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Defaulted security. Interest is not being accrued. |
e | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
f | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
g | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $11,931,875 or 12.0% of total net assets. |
h | All or a portion of the security is insured or guaranteed. |
i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
j | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
k | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
l | All or a portion of the security is pledged as collateral under the agreement between the counterparty, the custodian and the fund for open swap contracts. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Opportunity Income Plus Portfolio as of December 31, 2015 was $1,685,069 or 1.7% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
Angel Oak Mortgage Trust, 11/25/2045 | 12/10/2015 | $ | 274,421 | |||||
Bayview Opportunity Master Fund Trust, 7/28/2019 | 7/30/2014 | 38,916 | ||||||
Bayview Opportunity Master Fund Trust, 2/28/2035 | 9/1/2015 | 146,662 | ||||||
CAM Mortgage, LLC, 7/15/2064 | 6/24/2015 | 126,179 | ||||||
DRB Prime Student Loan Trust, 1/25/2040 | 12/4/2015 | 97,521 | ||||||
Pretium Mortgage Credit Partners, LLC, 10/27/2030 | 10/6/2015 | 195,327 | ||||||
Pretium Mortgage Credit Partners, LLC, 11/27/2030 | 11/6/2015 | 199,810 | ||||||
Sunset Mortgage Loan Company, LLC, 9/16/2045 | 10/2/2015 | 180,552 | ||||||
U.S. Residential Opportunity Fund III Trust, 1/27/2035 | 2/6/2015 | 134,360 | ||||||
Wachovia Asset Securitization, Inc., 7/25/2037 | 3/16/2007 | 346,359 |
Definitions:
ETF | - | Exchange Traded Fund. | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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SMALL CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.0%) | Value | ||||||
Consumer Discretionary (13.6%) | ||||||||
7,050 | American Public Education, Inc.a | $ | 131,201 | |||||
5,580 | Arctic Cat, Inc. | 91,400 | ||||||
16,737 | Barnes & Noble Education, Inc.a | 166,533 | ||||||
26,760 | Barnes & Noble, Inc. | 233,080 | ||||||
7,980 | Big 5 Sporting Goods Corporation | 79,720 | ||||||
448 | Biglari Holdings, Inc.a | 145,967 | ||||||
8,850 | BJ’s Restaurants, Inc.a | 384,710 | ||||||
4,930 | Blue Nile, Inc.a | 183,051 | ||||||
8,900 | Bob Evans Farms, Inc. | 345,765 | ||||||
34,180 | Boyd Gaming Corporationa | 679,157 | ||||||
12,110 | Buckle, Inc.b | 372,746 | ||||||
18,805 | Caleres, Inc. | 504,350 | ||||||
38,440 | Callaway Golf Company | 362,105 | ||||||
4,660 | Capella Education Company | 215,385 | ||||||
29,020 | Career Education Corporationa | 105,343 | ||||||
11,290 | Cato Corporation | 415,698 | ||||||
8,680 | Children’s Place, Inc. | 479,136 | ||||||
9,870 | Core-Mark Holding Company, Inc. | 808,748 | ||||||
31,630 | Crocs, Inc.a | 323,891 | ||||||
7,190 | DineEquity, Inc. | 608,777 | ||||||
13,280 | Dorman Products, Inc.a,b | 630,402 | ||||||
10,410 | Drew Industries, Inc. | 633,865 | ||||||
23,113 | E.W. Scripps Company | 439,147 | ||||||
11,240 | Ethan Allen Interiors, Inc. | 312,697 | ||||||
30,710 | Express, Inc.a | 530,669 | ||||||
19,293 | Finish Line, Inc. | 348,817 | ||||||
23,440 | Five Below, Inc.a,b | 752,424 | ||||||
17,930 | Francesca’s Holdings Corporationa | 312,161 | ||||||
14,920 | Fred’s, Inc. | 244,240 | ||||||
7,870 | FTD Companies, Inc.a | 205,958 | ||||||
49,470 | Gannett Company, Inc. | 805,866 | ||||||
9,520 | Genesco, Inc.a | 541,022 | ||||||
15,620 | Gentherm, Inc.a | 740,388 | ||||||
17,280 | G-III Apparel Group, Ltd.a | 764,813 | ||||||
9,690 | Group 1 Automotive, Inc. | 733,533 | ||||||
20,360 | Harte-Hanks, Inc. | 65,966 | ||||||
8,610 | Haverty Furniture Companies, Inc. | 184,598 | ||||||
12,100 | Helen of Troy, Ltd.a | 1,140,425 | ||||||
9,800 | Hibbett Sports, Inc.a,b | 296,352 | ||||||
20,510 | Iconix Brand Group, Inc.a,b | 140,083 | ||||||
7,150 | Installed Building Products, Inc.a | 177,534 | ||||||
16,790 | Interval Leisure Group, Inc.b | 262,092 | ||||||
12,480 | iRobot Corporationa,b | 441,792 | ||||||
6,760 | Kirkland’s, Inc. | 98,020 | ||||||
21,650 | La-Z-Boy, Inc. | 528,693 | ||||||
10,200 | Lithia Motors, Inc. | 1,088,034 | ||||||
11,640 | Lumber Liquidators Holdings, Inc.a | 202,070 | ||||||
10,520 | M/I Homes, Inc.a | 230,598 | ||||||
8,240 | Marcus Corporation | 156,313 | ||||||
10,960 | MarineMax, Inc.a | 201,883 | ||||||
11,580 | Marriott Vacations Worldwide Corporation | 659,481 | ||||||
20,750 | Men’s Wearhouse, Inc. | 304,610 | ||||||
15,880 | Meritage Homes Corporationa | 539,761 | ||||||
4,630 | Monarch Casino & Resort, Inc.a | 105,194 | ||||||
13,770 | Monro Muffler Brake, Inc. | 911,849 | ||||||
7,850 | Motorcar Parts of America, Inc.a | 265,409 | ||||||
6,980 | Movado Group, Inc. | 179,456 | ||||||
12,400 | Nutrisystem, Inc. | 268,336 | ||||||
7,490 | Outerwall, Inc. | 273,685 | ||||||
6,270 | Oxford Industries, Inc. | 400,151 | ||||||
12,360 | Papa John’s International, Inc. | 690,553 | ||||||
23,050 | Pep Boys - Manny, Moe & Jacka | 424,351 | ||||||
5,050 | Perry Ellis International, Inc.a | 93,021 | ||||||
8,670 | PetMed Express, Inc.b | 148,604 | ||||||
26,150 | Pinnacle Entertainment, Inc.a | 813,788 | ||||||
18,362 | Pool Corporation | 1,483,282 | ||||||
9,720 | Popeyes Louisiana Kitchen, Inc.a | 568,620 | ||||||
5,980 | Red Robin Gourmet Burgers, Inc.a | 369,205 | ||||||
16,370 | Regis Corporationa | 231,636 | ||||||
26,580 | Ruby Tuesday, Inc.a | 146,456 | ||||||
15,030 | Ruth’s Hospitality Group, Inc. | 239,278 | ||||||
11,460 | Scholastic Corporation | 441,898 | ||||||
21,020 | Scientific Games Corporationa,b | 188,549 | ||||||
21,830 | Select Comfort Corporationa | 467,380 | ||||||
8,460 | Sizmek, Inc.a | 30,879 | ||||||
13,840 | Sonic Automotive, Inc. | 314,998 | ||||||
21,172 | Sonic Corporation | 684,067 | ||||||
13,600 | Stage Stores, Inc. | 123,896 | ||||||
6,320 | Stamps.com, Inc.a | 692,735 | ||||||
8,490 | Standard Motor Products, Inc. | 323,045 | ||||||
12,800 | Stein Mart, Inc. | 86,144 | ||||||
24,045 | Steven Madden, Ltd.a | 726,640 | ||||||
4,710 | Strayer Education, Inc.a | 283,165 | ||||||
8,040 | Sturm, Ruger & Company, Inc. | 479,264 | ||||||
9,960 | Superior Industries International, Inc. | 183,463 | ||||||
27,080 | Texas Roadhouse, Inc. | 968,652 | ||||||
16,000 | TopBuild Corporationa | 492,320 | ||||||
18,790 | Tuesday Morning Corporationa | 122,135 | ||||||
23,940 | Tumi Holdings, Inc.a | 398,122 | ||||||
6,460 | Unifi, Inc.a | 181,849 | ||||||
6,240 | Universal Electronics, Inc.a | 320,424 | ||||||
9,080 | Universal Technical Institute, Inc. | 42,313 | ||||||
12,530 | Vitamin Shoppe, Inc.a | 409,731 | ||||||
8,610 | VOXX International Corporationa | 45,289 | ||||||
11,640 | Winnebago Industries, Inc. | 231,636 | ||||||
43,950 | Wolverine World Wide, Inc. | 734,405 | ||||||
8,550 | Zumiez, Inc.a | 129,276 | ||||||
|
| |||||||
Total | 38,066,219 | |||||||
|
| |||||||
Consumer Staples (2.7%) | ||||||||
11,240 | Andersons, Inc. | 355,521 | ||||||
25,020 | B&G Foods, Inc. | 876,200 | ||||||
6,320 | Calavo Growers, Inc. | 309,680 | ||||||
13,400 | Cal-Maine Foods, Inc.b | 620,956 | ||||||
4,250 | Central Garden & Pet Companya | 57,460 | ||||||
14,080 | Central Garden & Pet Company, Class Aa | 191,488 | ||||||
70,590 | Darling Ingredients, Inc.a | 742,607 | ||||||
11,400 | Diamond Foods, Inc.a | 439,470 | ||||||
7,300 | Inter Parfums, Inc. | 173,886 | ||||||
6,350 | J & J Snack Foods Corporation | 740,855 | ||||||
4,000 | Medifast, Inc. | 121,520 | ||||||
8,460 | Sanderson Farms, Inc.b | 655,819 | ||||||
2,570 | Seneca Foods Corporationa | 74,479 | ||||||
22,560 | Snyder’s-Lance, Inc. | 773,808 | ||||||
16,180 | SpartanNash Company | 350,135 | ||||||
9,790 | Universal Corporationb | 549,023 | ||||||
5,750 | WD-40 Company | 567,238 | ||||||
|
| |||||||
Total | 7,600,145 | |||||||
|
| |||||||
Energy (2.4%) | ||||||||
29,180 | Archrock, Inc. | 219,433 | ||||||
16,260 | Basic Energy Services, Inc.a,b | 43,577 | ||||||
20,950 | Bill Barrett Corporationa | 82,333 | ||||||
16,730 | Bonanza Creek Energy, Inc.a,b | 88,167 | ||||||
14,740 | Bristow Group, Inc. | 381,766 | ||||||
8,080 | CARBO Ceramics, Inc.b | 138,976 | ||||||
22,840 | Carrizo Oil & Gas, Inc.a | 675,607 | ||||||
25,370 | Cloud Peak Energy, Inc.a | 52,769 | ||||||
7,510 | Contango Oil & Gas Companya | 48,139 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
135
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SMALL CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.0%) | Value | ||||||
Energy (2.4%) - continued | ||||||||
8,200 | Era Group, Inc.a | $ | 91,430 | |||||
15,285 | Exterran Corporationa | 245,324 | ||||||
5,570 | Geospace Technologies Corporationa,b | 78,370 | ||||||
15,240 | Green Plains, Inc. | 348,996 | ||||||
5,680 | Gulf Island Fabrication, Inc. | 59,413 | ||||||
10,900 | Gulfmark Offshore, Inc.a,b | 50,903 | ||||||
41,430 | Helix Energy Solutions Group, Inc.a | 217,922 | ||||||
13,370 | Hornbeck Offshore Services, Inc.a | 132,898 | ||||||
11,350 | Matrix Service Companya | 233,129 | ||||||
35,770 | Newpark Resources, Inc.a | 188,866 | ||||||
22,930 | Northern Oil and Gas, Inc.a,b | 88,510 | ||||||
16,920 | PDC Energy, Inc.a | 903,190 | ||||||
27,270 | Pioneer Energy Services Corporationa | 59,176 | ||||||
2,450 | REX American Resources Corporationa,b | 132,471 | ||||||
20,970 | Rex Energy Corporationa,b | 22,018 | ||||||
6,810 | SEACOR Holdings, Inc.a | 357,934 | ||||||
24,220 | Stone Energy Corporationa | 103,904 | ||||||
42,810 | Synergy Resources Corporationa | 364,741 | ||||||
16,490 | Tesco Corporation | 119,388 | ||||||
33,730 | TETRA Technologies, Inc.a | 253,650 | ||||||
19,560 | Tidewater, Inc.b | 136,138 | ||||||
22,650 | U.S. Silica Holdings, Inc.b | 424,234 | ||||||
21,370 | Unit Corporationa | 260,714 | ||||||
|
| |||||||
Total | 6,604,086 | |||||||
|
| |||||||
Financials (23.4%) | ||||||||
29,688 | Acadia Realty Trust | 984,157 | ||||||
8,320 | Agree Realty Corporation | 282,797 | ||||||
17,040 | American Assets Trust, Inc. | 653,484 | ||||||
35,130 | American Equity Investment Life Holding Company | 844,174 | ||||||
11,030 | Ameris Bancorp | 374,910 | ||||||
8,230 | AMERISAFE, Inc. | 418,907 | ||||||
39,030 | Astoria Financial Corporation | 618,625 | ||||||
18,190 | Bank Mutual Corporation | 141,882 | ||||||
8,740 | Banner Corporation | 400,816 | ||||||
33,980 | BBCN Bancorp, Inc. | 585,136 | ||||||
24,480 | Bofi Holding, Inc.a,b | 515,304 | ||||||
36,030 | Boston Private Financial Holdings, Inc. | 408,580 | ||||||
30,110 | Brookline Bancorp, Inc. | 346,265 | ||||||
7,420 | Calamos Asset Management, Inc. | 71,826 | ||||||
41,350 | Capstead Mortgage Corporation | 361,399 | ||||||
13,910 | Cardinal Financial Corporation | 316,452 | ||||||
20,752 | CareTrust REIT, Inc. | 227,234 | ||||||
10,840 | Cash America International, Inc. | 324,658 | ||||||
32,040 | Cedar Realty Trust, Inc. | 226,843 | ||||||
13,400 | Central Pacific Financial Corporation | 295,068 | ||||||
25,700 | Chesapeake Lodging Trust | 646,612 | ||||||
6,590 | City Holding Company | 300,768 | ||||||
24,920 | Columbia Banking System, Inc. | 810,149 | ||||||
18,700 | Community Bank System, Inc. | 746,878 | ||||||
13,210 | CoreSite Realty Corporation | 749,271 | ||||||
87,920 | Cousins Properties, Inc. | 829,086 | ||||||
42,480 | CVB Financial Corporation | 718,762 | ||||||
86,527 | DiamondRock Hospitality Company | 834,986 | ||||||
13,145 | Dime Community Bancshares, Inc. | 229,906 | ||||||
13,840 | EastGroup Properties, Inc. | 769,642 | ||||||
23,903 | Education Realty Trust, Inc. | 905,446 | ||||||
7,180 | eHealth, Inc.a | 71,656 | ||||||
13,790 | Employers Holdings, Inc. | 376,467 | ||||||
10,060 | Encore Capital Group, Inc.a,b | 292,545 | ||||||
11,677 | Enova International, Inc.a | 77,185 | ||||||
25,630 | EPR Properties | 1,498,074 | ||||||
16,900 | Evercore Partners, Inc. | 913,783 | ||||||
22,140 | EZCORP, Inc.a | 110,479 | ||||||
75,010 | F.N.B. Corporation | 1,000,633 | ||||||
22,080 | Financial Engines, Inc.b | 743,434 | ||||||
49,393 | First BanCorporationa | 160,527 | ||||||
12,000 | First Cash Financial Services, Inc.a | 449,160 | ||||||
38,130 | First Commonwealth Financial Corporation | 345,839 | ||||||
26,560 | First Financial Bancorp | 479,939 | ||||||
28,500 | First Financial Bankshares, Inc.b | 859,845 | ||||||
33,492 | First Midwest Bancorp, Inc. | 617,258 | ||||||
6,770 | First NBC Bank Holding Companya | 253,130 | ||||||
14,390 | Forestar Group, Inc.a | 157,427 | ||||||
16,530 | Four Corners Property Trust, Inc.a | 399,365 | ||||||
38,280 | Franklin Street Properties Corporation | 396,198 | ||||||
31,816 | GEO Group, Inc. | 919,801 | ||||||
11,220 | Getty Realty Corporation | 192,423 | ||||||
32,470 | Glacier Bancorp, Inc. | 861,429 | ||||||
30,840 | Government Properties Income Trust | 489,431 | ||||||
20,120 | Green Dot Corporationa | 330,370 | ||||||
11,730 | Greenhill & Company, Inc. | 335,595 | ||||||
13,802 | Hanmi Financial Corporation | 327,383 | ||||||
3,900 | HCI Group, Inc.b | 135,915 | ||||||
43,360 | Healthcare Realty Trust, Inc. | 1,227,955 | ||||||
14,870 | HFF, Inc. | 462,011 | ||||||
26,240 | Home BancShares, Inc. | 1,063,245 | ||||||
17,550 | Horace Mann Educators Corporation | 582,309 | ||||||
11,300 | Independent Bank Corporation | 525,676 | ||||||
4,830 | Infinity Property & Casualty Corporation | 397,171 | ||||||
38,980 | Inland Real Estate Corporation | 413,968 | ||||||
24,740 | Interactive Brokers Group, Inc. | 1,078,664 | ||||||
6,610 | INTL FCStone, Inc.a | 221,171 | ||||||
14,370 | Investment Technology Group, Inc. | 244,577 | ||||||
35,865 | Kite Realty Group Trust | 929,979 | ||||||
18,870 | LegacyTexas Financial Group, Inc. | 472,127 | ||||||
3,060 | LendingTree, Inc.a | 273,197 | ||||||
91,199 | Lexington Realty Trust | 729,592 | ||||||
15,310 | LTC Properties, Inc. | 660,473 | ||||||
29,619 | MB Financial, Inc. | 958,767 | ||||||
102,230 | Medical Properties Trust, Inc. | 1,176,667 | ||||||
60,410 | National Penn Bancshares, Inc. | 744,855 | ||||||
4,730 | Navigators Group, Inc.a | 405,787 | ||||||
18,650 | NBT Bancorp, Inc. | 519,962 | ||||||
19,670 | Northfield Bancorp, Inc. | 313,146 | ||||||
43,720 | Northwest Bancshares, Inc. | 585,411 | ||||||
18,540 | OFG Bancorpb | 135,713 | ||||||
49,200 | Old National Bancorp | 667,152 | ||||||
16,170 | Oritani Financial Corporation | 266,805 | ||||||
35,040 | Parkway Properties, Inc. | 547,675 | ||||||
29,900 | Pennsylvania Real Estate Investment Trust | 653,913 | ||||||
15,130 | Pinnacle Financial Partners, Inc. | 777,077 | ||||||
6,530 | Piper Jaffray Companiesa | 263,812 | ||||||
20,490 | PRA Group, Inc.a | 710,798 | ||||||
33,950 | PrivateBancorp, Inc. | 1,392,629 | ||||||
22,910 | ProAssurance Corporation | 1,111,822 | ||||||
25,300 | Provident Financial Services, Inc. | 509,795 | ||||||
8,380 | PS Business Parks, Inc. | 732,663 | ||||||
42,860 | Retail Opportunity Investments Corporation | 767,194 | ||||||
16,260 | RLI Corporation | 1,004,055 | ||||||
14,970 | S & T Bancorp, Inc. | 461,375 | ||||||
27,930 | Sabra Healthcare REIT, Inc. | 565,024 | ||||||
5,950 | Safety Insurance Group, Inc. | 335,461 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
136
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SMALL CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.0%) | Value | ||||||
| Financials (23.4%) - continued |
| ||||||
4,950 | Saul Centers, Inc. | $ | 253,786 | |||||
24,650 | Selective Insurance Group, Inc. | 827,747 | ||||||
12,050 | Simmons First National Corporation | 618,888 | ||||||
10,100 | Southside Bancshares, Inc. | 242,602 | ||||||
51,299 | Sterling Bancorp | 832,070 | ||||||
9,570 | Stewart Information Services Corporation | 357,248 | ||||||
37,250 | Summit Hotel Properties, Inc. | 445,138 | ||||||
26,950 | Talmer Bancorp, Inc. | 488,065 | ||||||
19,680 | Texas Capital Bancshares, Inc.a | 972,586 | ||||||
5,280 | Tompkins Financial Corporation | 296,525 | ||||||
40,912 | TrustCo Bank Corporation | 251,200 | ||||||
17,990 | UMB Financial Corporation | 837,434 | ||||||
27,780 | United Bankshares, Inc. | 1,027,582 | ||||||
24,885 | United Community Banks, Inc. | 485,009 | ||||||
9,070 | United Fire Group, Inc. | 347,472 | ||||||
7,750 | United Insurance Holdings Corporation | 132,525 | ||||||
5,290 | Universal Health Realty Income Trust | 264,553 | ||||||
13,910 | Universal Insurance Holdings, Inc.b | 322,434 | ||||||
11,450 | Urstadt Biddle Properties, Inc. | 220,298 | ||||||
2,910 | Virtus Investment Partners, Inc. | 341,809 | ||||||
11,420 | Walker & Dunlop, Inc.a | 329,010 | ||||||
11,000 | Westamerica Bancorporation | 514,250 | ||||||
30,610 | Wilshire Bancorp, Inc. | 353,545 | ||||||
20,770 | Wintrust Financial Corporation | 1,007,760 | ||||||
3,562 | World Acceptance Corporationa,b | 132,150 | ||||||
|
| |||||||
Total | 65,526,673 | |||||||
|
| |||||||
| Health Care (13.0%) | |||||||
9,160 | Abaxis, Inc. | 510,029 | ||||||
16,760 | ABIOMED, Inc.a | 1,513,093 | ||||||
12,640 | Aceto Corporation | 341,027 | ||||||
18,440 | Acorda Therapeutics, Inc.a | 788,863 | ||||||
5,180 | Adeptus Health, Inc.a | 282,414 | ||||||
34,300 | Affymetrix, Inc.a,b | 346,087 | ||||||
15,320 | Air Methods Corporationa | 642,368 | ||||||
11,500 | Albany Molecular Research, Inc.a,b | 228,275 | ||||||
3,540 | Almost Family, Inc.a | 135,334 | ||||||
12,133 | Amedisys, Inc.a | 477,069 | ||||||
20,460 | AMN Healthcare Services, Inc.a | 635,283 | ||||||
5,340 | Analogic Corporation | 441,084 | ||||||
11,410 | AngioDynamics, Inc.a | 138,517 | ||||||
3,240 | ANI Pharmaceuticals, Inc.a,b | 146,205 | ||||||
6,320 | Anika Therapeutics, Inc.a | 241,171 | ||||||
13,430 | Cambrex Corporationa | 632,419 | ||||||
15,345 | Cantel Medical Corporation | 953,538 | ||||||
7,240 | Chemed Corporationb | 1,084,552 | ||||||
4,500 | Computer Programs and Systems, Inc.b | 223,875 | ||||||
11,060 | CONMED Corporation | 487,193 | ||||||
4,430 | CorVel Corporationa | 194,566 | ||||||
14,110 | Cross Country Healthcare, Inc.a | 231,263 | ||||||
10,800 | CryoLife, Inc. | 116,424 | ||||||
9,770 | Cynosure, Inc.a | 436,426 | ||||||
25,850 | Depomed, Inc.a | 468,660 | ||||||
12,950 | Emergent Biosolutions, Inc.a | 518,129 | ||||||
5,560 | Enanta Pharmaceuticals, Inc.a | 183,591 | ||||||
20,260 | Ensign Group, Inc. | 458,484 | ||||||
17,010 | ExamWorks Group, Inc.a | 452,466 | ||||||
10,790 | Greatbatch, Inc.a | 566,475 | ||||||
21,760 | Haemonetics Corporationa | 701,542 | ||||||
15,030 | Hanger, Inc.a | 247,243 | ||||||
14,980 | HealthEquity, Inc.a | 375,549 | ||||||
10,570 | HealthStream, Inc.a | 232,540 | ||||||
13,380 | Healthways, Inc.a | 172,201 | ||||||
36,780 | HMS Holdings Corporationa | 453,865 | ||||||
6,180 | ICU Medical, Inc.a | 696,980 | ||||||
28,210 | Impax Laboratories, Inc.a | 1,206,260 | ||||||
6,170 | Inogen, Inc.a | 247,355 | ||||||
12,460 | Integra LifeSciences Holdings Corporationa | 844,539 | ||||||
12,860 | Invacare Corporation | 223,635 | ||||||
35,659 | Kindred Healthcare, Inc. | 424,699 | ||||||
4,080 | Landauer, Inc. | 134,314 | ||||||
11,780 | Lannett Company, Inc.a,b | 472,614 | ||||||
5,530 | LHC Group, Inc.a | 250,454 | ||||||
7,760 | Ligand Pharmaceuticals, Inc.a | 841,339 | ||||||
16,480 | Luminex Corporationa | 352,507 | ||||||
11,050 | Magellan Health Services, Inc.a | 681,343 | ||||||
19,560 | Masimo Corporationa | 811,936 | ||||||
25,560 | MedAssets, Inc.a | 790,826 | ||||||
29,750 | Medicines Companya,b | 1,110,865 | ||||||
23,630 | Medidata Solutions, Inc.a | 1,164,723 | ||||||
18,000 | Meridian Bioscience, Inc. | 369,360 | ||||||
19,095 | Merit Medical Systems, Inc.a | 354,976 | ||||||
42,200 | MiMedx Group, Inc.a,b | 395,414 | ||||||
26,930 | Momenta Pharmaceuticals, Inc.a | 399,641 | ||||||
14,220 | Natus Medical, Inc.a | 683,271 | ||||||
56,580 | Nektar Therapeuticsa,b | 953,373 | ||||||
16,015 | Neogen Corporationa | 905,168 | ||||||
21,070 | NuVasive, Inc.a | 1,140,098 | ||||||
15,310 | Omnicell, Inc.a | 475,835 | ||||||
12,890 | PharMerica Corporationa | 451,150 | ||||||
7,840 | Phibro Animal Health Corporation | 236,219 | ||||||
22,540 | Prestige Brands Holdings, Inc.a | 1,160,359 | ||||||
5,450 | Providence Service Corporationa | 255,714 | ||||||
19,190 | Quality Systems, Inc. | 309,343 | ||||||
14,120 | Repligen Corporationa | 399,455 | ||||||
10,150 | Sagent Pharmaceuticals, Inc.a | 161,486 | ||||||
45,090 | Select Medical Holdings Corporation | 537,022 | ||||||
25,220 | Spectrum Pharmaceuticals, Inc.a | 152,077 | ||||||
14,820 | Supernus Pharmaceuticals, Inc.a | 199,181 | ||||||
5,570 | SurModics, Inc.a | 112,904 | ||||||
5,320 | U.S. Physical Therapy, Inc. | 285,578 | ||||||
7,550 | Vascular Solutions, Inc.a | 259,644 | ||||||
|
| |||||||
Total | 36,509,477 | |||||||
|
| |||||||
| Industrials (16.2%) | |||||||
17,332 | AAON, Inc. | 402,449 | ||||||
14,190 | AAR Corporation | 373,055 | ||||||
24,220 | ABM Industries, Inc. | 689,543 | ||||||
25,670 | Actuant Corporation | 615,053 | ||||||
15,490 | Aegion Corporationa | 299,112 | ||||||
27,540 | Aerojet Rocketdyne Holdings, Inc.a | 431,276 | ||||||
8,860 | Aerovironment, Inc.a | 261,104 | ||||||
12,370 | Albany International Corporation | 452,123 | ||||||
5,650 | Allegiant Travel Company | 948,239 | ||||||
3,050 | American Science & Engineering, Inc. | 126,209 | ||||||
5,870 | American Woodmark Corporationa | 469,483 | ||||||
12,350 | Apogee Enterprises, Inc. | 537,349 | ||||||
16,940 | Applied Industrial Technologies, Inc. | 685,901 | ||||||
10,380 | ArcBest Corporation | 222,028 | ||||||
8,100 | Astec Industries, Inc. | 329,670 | ||||||
10,540 | Atlas Air Worldwide Holdings, Inc.a | 435,724 | ||||||
11,020 | AZZ, Inc. | 612,381 | ||||||
22,120 | Barnes Group, Inc. | 782,827 | ||||||
20,240 | Brady Corporation | 465,115 | ||||||
19,050 | Briggs & Stratton Corporation | 329,565 | ||||||
21,030 | Brink’s Company | 606,926 | ||||||
6,270 | CDI Corporation | 42,385 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
137
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SMALL CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.0%) | Value | ||||||
| Industrials (16.2%) - continued |
| ||||||
12,010 | Celadon Group, Inc. | $ | 118,779 | |||||
12,890 | Chart Industries, Inc.a | 231,504 | ||||||
7,050 | CIRCOR International, Inc. | 297,157 | ||||||
15,990 | Comfort Systems USA, Inc. | 454,436 | ||||||
9,410 | Cubic Corporation | 444,622 | ||||||
19,670 | Curtiss-Wright Corporation | 1,347,395 | ||||||
5,580 | DXP Enterprises, Inc.a | 127,224 | ||||||
13,930 | Dycom Industries, Inc.a | 974,543 | ||||||
11,000 | Echo Global Logistics, Inc.a | 224,290 | ||||||
26,950 | EMCOR Group, Inc. | 1,294,678 | ||||||
8,910 | Encore Wire Corporation | 330,472 | ||||||
19,180 | EnerSys | 1,072,737 | ||||||
7,402 | Engility Holdings, Inc. | 240,417 | ||||||
9,420 | EnPro Industries, Inc. | 412,973 | ||||||
10,980 | ESCO Technologies, Inc. | 396,817 | ||||||
16,060 | Essendant, Inc. | 522,111 | ||||||
11,140 | Exponent, Inc. | 556,443 | ||||||
26,730 | Federal Signal Corporation | 423,670 | ||||||
13,260 | Forward Air Corporation | 570,313 | ||||||
16,420 | Franklin Electric Company, Inc. | 443,833 | ||||||
8,660 | G & K Services, Inc. | 544,714 | ||||||
21,080 | General Cable Corporation | 283,104 | ||||||
12,640 | Gibraltar Industries, Inc.a | 321,562 | ||||||
11,780 | Greenbrier Companies, Inc. | 384,264 | ||||||
16,220 | Griffon Corporation | 288,716 | ||||||
33,930 | Harsco Corporation | 267,368 | ||||||
20,330 | Hawaiian Holdings, Inc.a | 718,259 | ||||||
30,877 | Healthcare Services Group, Inc. | 1,076,681 | ||||||
25,858 | Heartland Express, Inc.b | 440,103 | ||||||
7,360 | Heidrick & Struggles International, Inc. | 200,339 | ||||||
26,950 | Hillenbrand, Inc. | 798,529 | ||||||
15,330 | Hub Group, Inc.a | 505,123 | ||||||
8,010 | Insperity, Inc. | 385,682 | ||||||
28,360 | Interface, Inc. | 542,810 | ||||||
12,510 | John Bean Technologies Corporation | 623,373 | ||||||
11,670 | Kaman Corporation | 476,253 | ||||||
12,680 | Kelly Services, Inc. | 204,782 | ||||||
26,310 | Knight Transportation, Inc. | 637,491 | ||||||
22,020 | Korn/Ferry International | 730,624 | ||||||
4,850 | Lindsay Corporationb | 351,140 | ||||||
7,250 | Lydall, Inc.a | 257,230 | ||||||
10,090 | Marten Transport, Ltd. | 178,593 | ||||||
18,700 | Matson, Inc. | 797,181 | ||||||
14,140 | Matthews International Corporation | 755,783 | ||||||
19,080 | Mobile Mini, Inc. | 593,960 | ||||||
14,340 | Moog, Inc.a | 869,004 | ||||||
24,550 | Mueller Industries, Inc. | 665,305 | ||||||
8,910 | MYR Group, Inc.a | 183,635 | ||||||
2,080 | National Presto Industries, Inc.b | 172,349 | ||||||
20,460 | Navigant Consulting, Inc.a | 328,588 | ||||||
20,290 | On Assignment, Inc.a | 912,035 | ||||||
11,530 | Orion Marine Group, Inc.a | 48,080 | ||||||
20,860 | PGT, Inc.a | 237,595 | ||||||
3,790 | Powell Industries, Inc. | 98,654 | ||||||
14,495 | Quanex Building Products Corporation | 302,221 | ||||||
21,850 | Republic Airways Holdings, Inc.a | 85,871 | ||||||
15,960 | Resources Connection, Inc. | 260,786 | ||||||
12,970 | Roadrunner Transportation Systems, Inc.a | 122,307 | ||||||
10,650 | Saia, Inc.a | 236,962 | ||||||
17,700 | Simpson Manufacturing Company, Inc. | 604,455 | ||||||
21,840 | SkyWest, Inc. | 415,397 | ||||||
17,430 | SPX Corporation | 162,622 | ||||||
17,580 | SPX FLOW, Inc.a | 490,658 | ||||||
5,510 | Standex International Corporation | 458,157 | ||||||
23,040 | TASER International, Inc.a,b | 398,362 | ||||||
7,670 | Tennant Company | 431,514 | ||||||
25,486 | Tetra Tech, Inc. | 663,146 | ||||||
18,380 | Titan International, Inc. | 72,417 | ||||||
18,030 | TrueBlue, Inc.a | 464,453 | ||||||
9,350 | U.S. Ecology, Inc. | 340,714 | ||||||
6,560 | UniFirst Corporation | 683,552 | ||||||
8,660 | Universal Forest Products, Inc. | 592,084 | ||||||
39,730 | UTi Worldwide, Inc.a | 279,302 | ||||||
3,490 | Veritiv Corporationa | 126,408 | ||||||
8,630 | Viad Corporation | 243,625 | ||||||
7,100 | Vicor Corporationa | 64,752 | ||||||
15,370 | WageWorks, Inc.a | 697,337 | ||||||
12,050 | Watts Water Technologies, Inc. | 598,524 | ||||||
|
| |||||||
Total | 45,276,466 | |||||||
|
| |||||||
| Information Technology (15.7%) | |||||||
21,380 | ADTRAN, Inc. | 368,164 | ||||||
17,640 | Advanced Energy Industries, Inc.a | 497,977 | ||||||
6,520 | Agilysys, Inc.a | 65,135 | ||||||
12,190 | Anixter International, Inc.a | 736,154 | ||||||
6,290 | Badger Meter, Inc.b | 368,531 | ||||||
3,810 | Bel Fuse, Inc. | 65,875 | ||||||
21,830 | Benchmark Electronics, Inc.a | 451,226 | ||||||
6,470 | Black Box Corporation | 61,659 | ||||||
19,920 | Blackbaud, Inc. | 1,311,931 | ||||||
17,580 | Blucora, Inc.a | 172,284 | ||||||
16,390 | Bottomline Technologies (de), Inc.a | 487,275 | ||||||
29,067 | Brooks Automation, Inc. | 310,436 | ||||||
10,370 | Cabot Microelectronics Corporationa | 453,999 | ||||||
10,510 | CACI International, Inc.a | 975,118 | ||||||
15,740 | CalAmp Corporationa | 313,698 | ||||||
19,360 | Cardtronics, Inc.a | 651,464 | ||||||
8,830 | CEVA, Inc.a | 206,269 | ||||||
18,370 | Checkpoint Systems, Inc. | 115,180 | ||||||
31,130 | Ciber, Inc.a | 109,266 | ||||||
27,620 | Cirrus Logic, Inc.a | 815,619 | ||||||
10,420 | Coherent, Inc.a | 678,446 | ||||||
10,710 | Cohu, Inc. | 129,270 | ||||||
13,970 | comScore, Inc.a | 574,865 | ||||||
6,980 | Comtech Telecommunications Corporation | 140,228 | ||||||
13,830 | Constant Contact, Inc.a | 404,389 | ||||||
14,090 | CSG Systems International, Inc. | 506,958 | ||||||
14,070 | CTS Corporation | 248,195 | ||||||
16,640 | Daktronics, Inc. | 145,101 | ||||||
17,910 | DHI Group, Inc.a | 164,235 | ||||||
10,830 | Digi International, Inc.a | 123,245 | ||||||
16,570 | Diodes, Inc.a | 380,779 | ||||||
9,320 | DSP Group, Inc.a | 87,981 | ||||||
7,510 | DTS, Inc.a | 169,576 | ||||||
11,280 | Ebix, Inc. | 369,871 | ||||||
11,770 | Electro Scientific Industries, Inc.a | 61,086 | ||||||
20,570 | Electronics for Imaging, Inc.a | 961,442 | ||||||
14,040 | EPIQ Systems, Inc. | 183,503 | ||||||
2,510 | ePlus, Inc.a | 234,083 | ||||||
20,780 | Exar Corporationa | 127,381 | ||||||
14,150 | ExlService Holdings, Inc.a | 635,760 | ||||||
13,150 | Fabrineta | 313,233 | ||||||
7,580 | FARO Technologies, Inc.a | 223,762 | ||||||
4,300 | Forrester Research, Inc. | 122,464 | ||||||
37,760 | Harmonic, Inc.a | 153,683 | ||||||
15,860 | Heartland Payment Systems, Inc. | 1,503,845 | ||||||
22,780 | II-VI, Inc.a | 422,797 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
138
Table of Contents
SMALL CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.0%) | Value | ||||||
| Information Technology (15.7%) - continued |
| ||||||
15,955 | Insight Enterprises, Inc.a | $ | 400,790 | |||||
7,550 | Interactive Intelligence Group, Inc.a | 237,221 | ||||||
16,240 | Itron, Inc.a | 587,563 | ||||||
26,100 | Ixiaa | 324,423 | ||||||
26,810 | Kopin Corporationa | 72,923 | ||||||
30,160 | Kulicke and Soffa Industries, Inc.a | 351,967 | ||||||
10,470 | Liquidity Services, Inc.a | 68,055 | ||||||
9,600 | Littelfuse, Inc. | 1,027,296 | ||||||
21,250 | LivePerson, Inc.a | 143,437 | ||||||
10,750 | LogMeIn, Inc.a | 721,325 | ||||||
19,930 | Lumentum Holdings, Inc.a | 438,859 | ||||||
10,510 | ManTech International Corporation | 317,822 | ||||||
14,170 | Mercury Systems, Inc.a | 260,161 | ||||||
16,520 | Methode Electronics, Inc. | 525,832 | ||||||
41,160 | Microsemi Corporationa | 1,341,404 | ||||||
4,020 | MicroStrategy, Inc.a | 720,746 | ||||||
22,880 | MKS Instruments, Inc. | 823,680 | ||||||
15,640 | Monolithic Power Systems, Inc. | 996,424 | ||||||
17,270 | Monotype Imaging Holdings, Inc. | 408,263 | ||||||
39,320 | Monster Worldwide, Inc.a | 225,304 | ||||||
6,360 | MTS Systems Corporation | 403,288 | ||||||
10,360 | Nanometrics, Inc.a | 156,850 | ||||||
13,590 | NETGEAR, Inc.a | 569,557 | ||||||
16,590 | Newport Corporationa | 263,283 | ||||||
26,380 | NIC, Inc. | 519,158 | ||||||
7,900 | OSI Systems, Inc.a | 700,414 | ||||||
8,690 | Park Electrochemical Corporation | 130,871 | ||||||
15,210 | Perficient, Inc.a | 260,395 | ||||||
14,380 | Plexus Corporationa | 502,150 | ||||||
12,240 | Power Integrations, Inc. | 595,231 | ||||||
21,740 | Progress Software Corporationa | 521,760 | ||||||
35,980 | QLogic Corporationa | 438,956 | ||||||
15,310 | QuinStreet, Inc.a | 65,680 | ||||||
50,070 | Rambus, Inc.a,b | 580,311 | ||||||
12,260 | Rofin-Sinar Technologies, Inc.a | 328,323 | ||||||
7,740 | Rogers Corporationa | 399,152 | ||||||
35,020 | Rovi Corporationa | 583,433 | ||||||
38,150 | Ruckus Wireless, Inc.a | 408,587 | ||||||
13,390 | Rudolph Technologies, Inc.a | 190,406 | ||||||
34,030 | Sanmina Corporationa | 700,337 | ||||||
11,460 | ScanSource, Inc.a | 369,241 | ||||||
27,920 | Semtech Corporationa | 528,246 | ||||||
15,680 | Super Micro Computer, Inc.a | 384,317 | ||||||
16,690 | Sykes Enterprises, Inc.a | 513,718 | ||||||
17,090 | Synchronoss Technologies, Inc.a | 602,081 | ||||||
36,510 | Take-Two Interactive Software, Inc.a | 1,272,008 | ||||||
16,070 | Tangoe, Inc.a | 134,827 | ||||||
7,060 | TeleTech Holdings, Inc. | 197,045 | ||||||
20,660 | Tessera Technologies, Inc. | 620,007 | ||||||
27,810 | TTM Technologies, Inc.a | 181,043 | ||||||
11,330 | Ultratech, Inc.a | 224,561 | ||||||
12,870 | VASCO Data Security International, Inc.a,b | 215,315 | ||||||
17,550 | Veeco Instruments, Inc.a | 360,828 | ||||||
19,040 | ViaSat, Inc.a,b | 1,161,630 | ||||||
99,450 | Viavi Solutions, Inc.a | 605,650 | ||||||
11,680 | Virtusa Corporationa | 482,851 | ||||||
10,180 | XO Group, Inc.a | 163,491 | ||||||
|
| |||||||
Total | 43,931,934 | |||||||
|
| |||||||
| Materials (4.2%) | |||||||
12,560 | A. Schulman, Inc. | 384,838 | ||||||
75,850 | AK Steel Holding Corporationa | 169,904 | ||||||
10,900 | American Vanguard Corporation | 152,709 | ||||||
13,530 | Balchem Corporation | 822,624 | ||||||
16,520 | Boise Cascade Companya | 421,756 | ||||||
22,110 | Calgon Carbon Corporation | 381,397 | ||||||
21,010 | Century Aluminum Companya | 92,864 | ||||||
7,630 | Clearwater Paper Corporationa | 347,394 | ||||||
4,690 | Deltic Timber Corporation | 276,100 | ||||||
22,830 | Flotek Industries, Inc.a,b | 261,175 | ||||||
9,840 | FutureFuel Corporation | 132,840 | ||||||
21,680 | H.B. Fuller Company | 790,670 | ||||||
4,040 | Hawkins, Inc. | 144,511 | ||||||
5,350 | Haynes International, Inc. | 196,292 | ||||||
31,490 | Headwaters, Inc.a | 531,236 | ||||||
8,270 | Innophos Holdings, Inc. | 239,665 | ||||||
10,410 | Innospec, Inc. | 565,367 | ||||||
24,530 | Intrepid Potash, Inc.a | 72,363 | ||||||
7,630 | Kaiser Aluminum Corporation | 638,326 | ||||||
36,780 | KapStone Paper and Packaging Corporation | 830,860 | ||||||
8,760 | Koppers Holdings, Inc.a | 159,870 | ||||||
13,090 | Kraton Performance Polymers, Inc.a | 217,425 | ||||||
8,230 | LSB Industries, Inc.a | 59,667 | ||||||
8,500 | Materion Corporation | 238,000 | ||||||
9,613 | Myers Industries, Inc. | 128,045 | ||||||
7,160 | Neenah Paper, Inc. | 446,999 | ||||||
3,870 | Olympic Steel, Inc. | 44,815 | ||||||
18,680 | PH Glatfelter Company | 344,459 | ||||||
5,730 | Quaker Chemical Corporation | 442,700 | ||||||
18,440 | Rayonier Advanced Materials, Inc. | 180,528 | ||||||
13,060 | Schweitzer-Mauduit International, Inc. | 548,389 | ||||||
7,860 | Stepan Company | 390,563 | ||||||
51,810 | Stillwater Mining Companya | 444,012 | ||||||
27,487 | SunCoke Energy, Inc. | 95,380 | ||||||
16,350 | Timkensteel Corporation | 137,013 | ||||||
10,640 | Tredegar Corporation | 144,917 | ||||||
17,890 | Wausau Paper Corporation | 183,015 | ||||||
|
| |||||||
Total | 11,658,688 | |||||||
|
| |||||||
| Telecommunications Services (0.8%) | |||||||
38,440 | 8x8, Inc.a | 440,138 | ||||||
4,600 | Atlantic Tele-Network, Inc. | 359,858 | ||||||
90,110 | Cincinnati Bell, Inc.a | 324,396 | ||||||
21,680 | Consolidated Communications Holdings, Inc. | 454,196 | ||||||
12,650 | General Communication, Inc.a | 250,217 | ||||||
34,670 | Iridium Communications, Inc.a,b | 291,575 | ||||||
9,750 | Lumos Networks Corporationa | 109,200 | ||||||
8,760 | Spok Holdings, Inc. | 160,483 | ||||||
|
| |||||||
Total | 2,390,063 | |||||||
|
| |||||||
| Utilities (4.0%) | |||||||
19,753 | ALLETE, Inc. | 1,004,045 | ||||||
15,840 | American States Water Company | 664,488 | ||||||
26,780 | Avista Corporation | 947,209 | ||||||
17,400 | El Paso Electric Company | 669,900 | ||||||
18,670 | Laclede Group, Inc. | 1,109,185 | ||||||
36,830 | New Jersey Resources Corporation | 1,213,917 | ||||||
11,760 | Northwest Natural Gas Company | 595,173 | ||||||
20,780 | NorthWestern Corporation | 1,127,315 | ||||||
34,110 | Piedmont Natural Gas Company, Inc. | 1,944,952 | ||||||
29,630 | South Jersey Industries, Inc. | 696,898 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
139
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SMALL CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.0%) | Value | ||||||
| Utilities (4.0%) - continued |
| ||||||
20,290 | Southwest Gas Corporation | $ | 1,119,196 | |||||
|
| |||||||
Total | 11,092,278 | |||||||
|
| |||||||
Total Common Stock (cost $207,614,037) | 268,656,029 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (5.4%) | ||||||||
15,229,214 | Thrivent Cash Management Trust | 15,229,214 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $15,229,214) | 15,229,214 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (4.0%)c | |||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
600,000 | 0.100%, 1/12/2016d | 599,981 | ||||||
100,000 | 0.200%, 2/17/2016 | 99,974 | ||||||
Thrivent Cash Management Trust | ||||||||
10,370,336 | 0.220% | 10,370,336 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 11,070,291 | |||||||
|
| |||||||
Total Investments (cost $233,913,542) 105.4% | $ | 294,955,534 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (5.4%) | (15,087,965 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 279,867,569 | ||||||
|
|
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
d | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Small Cap Index Portfolio as of December 31, 2015:
Securities Lending Transactions
Common Stock | $ | 14,659,624 | ||
|
| |||
Total lending | $ | 14,659,624 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 15,229,214 | ||
|
| |||
Net amounts due to counterparty | $ | 569,590 | ||
|
|
Definitions:
REIT - Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets.
The accompanying Notes to Financial Statements are an integral part of this schedule.
140
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MID CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (94.2%) | Value | ||||||
| Consumer Discretionary (12.1%) |
| ||||||
7,420 | Aaron’s, Inc. | $ | 166,134 | |||||
7,710 | Abercrombie & Fitch Company | 208,170 | ||||||
7,060 | AMC Networks, Inc.a | 527,241 | ||||||
20,610 | American Eagle Outfitters, Inc.b | 319,455 | ||||||
20,012 | Ascena Retail Group, Inc.a | 197,118 | ||||||
5,710 | Big Lots, Inc. | 220,063 | ||||||
6,875 | Brinker International, Inc. | 329,656 | ||||||
10,450 | Brunswick Corporation | 527,829 | ||||||
2,190 | Buffalo Wild Wings, Inc.a | 349,634 | ||||||
5,680 | Cabela’s, Inc.a,b | 265,426 | ||||||
510 | Cable One, Inc. | 221,167 | ||||||
8,780 | Calatlantic Group, Inc. | 332,938 | ||||||
5,980 | Carter’s, Inc. | 532,399 | ||||||
5,220 | Cheesecake Factory, Inc. | 240,694 | ||||||
16,090 | Chico’s FAS, Inc. | 171,680 | ||||||
12,230 | Cinemark Holdings, Inc. | 408,849 | ||||||
2,760 | Cracker Barrel Old Country Store, Inc.b | 350,051 | ||||||
8,790 | CST Brands, Inc. | 344,041 | ||||||
17,680 | Dana Holding Corporation | 243,984 | ||||||
3,730 | Deckers Outdoor Corporationa | 176,056 | ||||||
6,540 | DeVry Education Group, Inc. | 165,527 | ||||||
10,380 | Dick’s Sporting Goods, Inc. | 366,933 | ||||||
6,300 | Domino’s Pizza, Inc. | 700,875 | ||||||
8,200 | DreamWorks Animation SKG, Inc.a,b | 211,314 | ||||||
10,670 | Dunkin’ Brands Group, Inc. | 454,435 | ||||||
15,770 | Foot Locker, Inc. | 1,026,469 | ||||||
33,600 | Gentex Corporation | 537,936 | ||||||
510 | Graham Holdings Company | 247,335 | ||||||
7,350 | Guess ?, Inc. | 138,768 | ||||||
3,690 | HSN, Inc. | 186,972 | ||||||
3,060 | International Speedway Corporation | 103,183 | ||||||
34,670 | J.C. Penney Company, Inc.a,b | 230,902 | ||||||
4,130 | Jack in the Box, Inc. | 316,812 | ||||||
23,830 | Jarden Corporationa | 1,361,170 | ||||||
5,720 | John Wiley and Sons, Inc. | 257,572 | ||||||
14,650 | Kate Spade & Companya | 260,330 | ||||||
10,460 | KB Home | 128,972 | ||||||
16,870 | Live Nation Entertainment, Inc.a | 414,496 | ||||||
35,350 | LKQ Corporationa | 1,047,421 | ||||||
4,500 | M.D.C. Holdings, Inc. | 114,885 | ||||||
4,380 | Meredith Corporation | 189,435 | ||||||
4,500 | Murphy USA, Inc.a | 273,330 | ||||||
14,420 | New York Times Company | 193,516 | ||||||
420 | NVR, Inc.a | 690,060 | ||||||
57,060 | Office Depot, Inc.a | 321,818 | ||||||
2,750 | Panera Bread Companya | 535,645 | ||||||
6,990 | Polaris Industries, Inc. | 600,791 | ||||||
6,130 | Rent-A-Center, Inc. | 91,766 | ||||||
22,520 | Service Corporation International | 585,970 | ||||||
15,070 | Skechers USA, Inc.a | 455,265 | ||||||
6,920 | Sotheby’s Holdings, Inc.b | 178,259 | ||||||
7,210 | Tempur-Pedic International, Inc.a | 508,017 | ||||||
5,270 | Thor Industries, Inc. | 295,911 | ||||||
12,760 | Time, Inc. | 199,949 | ||||||
18,700 | Toll Brothers, Inc.a | 622,710 | ||||||
16,710 | Tri Pointe Homes, Inc.a | 211,716 | ||||||
5,790 | Tupperware Brands Corporation | 322,214 | ||||||
7,190 | Vista Outdoor, Inc.a | 320,027 | ||||||
25,134 | Wendy’s Company | 270,693 | ||||||
9,620 | Williams-Sonoma, Inc. | 561,904 | ||||||
|
| |||||||
Total | 21,833,888 | |||||||
|
| |||||||
| Consumer Staples (3.3%) |
| ||||||
49,960 | Avon Products, Inc. | 202,338 | ||||||
1,100 | Boston Beer Company, Inc.a | 222,101 | ||||||
4,520 | Casey’s General Stores, Inc. | 544,434 | ||||||
10,550 | Dean Foods Company | 180,932 | ||||||
6,900 | Edgewell Personal Care Company | 540,753 | ||||||
7,160 | Energizer Holdings, Inc. | 243,870 | ||||||
21,575 | Flowers Foods, Inc. | 463,647 | ||||||
11,840 | Hain Celestial Group, Inc.a | 478,218 | ||||||
8,250 | Ingredion, Inc. | 790,680 | ||||||
2,230 | Lancaster Colony Corporation | 257,476 | ||||||
7,130 | Post Holdings, Inc.a | 439,921 | ||||||
30,810 | SUPERVALU, Inc.a | 208,892 | ||||||
2,050 | Tootsie Roll Industries, Inc.b | 64,759 | ||||||
4,960 | TreeHouse Foods, Inc.a | 389,162 | ||||||
5,760 | United Natural Foods, Inc.a | 226,713 | ||||||
20,280 | WhiteWave Foods Companya | 789,095 | ||||||
|
| |||||||
Total | 6,042,991 | |||||||
|
| |||||||
| Energy (2.8%) |
| ||||||
6,600 | Atwood Oceanics, Inc.b | 67,518 | ||||||
36,050 | California Resources Corporation | 83,996 | ||||||
39,080 | Denbury Resources, Inc.b | 78,942 | ||||||
4,350 | Dril-Quip, Inc.a | 257,651 | ||||||
8,970 | Energen Corporation | 367,680 | ||||||
12,390 | Gulfport Energy Corporationa | 304,422 | ||||||
21,060 | HollyFrontier Corporation | 840,083 | ||||||
32,110 | Nabors Industries, Ltd. | 273,256 | ||||||
27,210 | Noble Corporation | 287,066 | ||||||
11,160 | Oceaneering International, Inc. | 418,723 | ||||||
5,760 | Oil States International, Inc.a | 156,960 | ||||||
16,810 | Patterson-UTI Energy, Inc. | 253,495 | ||||||
18,240 | QEP Resources, Inc. | 244,416 | ||||||
14,150 | Rowan Companies plc | 239,843 | ||||||
7,770 | SM Energy Companyb | 152,758 | ||||||
17,150 | Superior Energy Services, Inc. | 231,011 | ||||||
7,960 | Western Refining, Inc. | 283,535 | ||||||
8,090 | World Fuel Services Corporation | 311,141 | ||||||
26,470 | WPX Energy, Inc.a | 151,938 | ||||||
|
| |||||||
Total | 5,004,434 | |||||||
|
| |||||||
| Financials (25.2%) |
| ||||||
5,290 | Alexander & Baldwin, Inc. | 186,790 | ||||||
8,360 | Alexandria Real Estate Equities, Inc. | 755,410 | ||||||
1,800 | Alleghany Corporationa | 860,274 | ||||||
12,990 | American Campus Communities, Inc. | 537,007 | ||||||
8,275 | American Financial Group, Inc. | 596,462 | ||||||
20,530 | Arthur J. Gallagher & Company | 840,498 | ||||||
7,020 | Aspen Insurance Holdings, Ltd. | 339,066 | ||||||
17,403 | Associated Banc-Corp | 326,306 | ||||||
9,790 | BancorpSouth, Inc. | 234,862 | ||||||
5,000 | Bank of Hawaii Corporation | 314,500 | ||||||
9,470 | Bank of the Ozarks, Inc. | 468,386 | ||||||
23,320 | BioMed Realty Trust, Inc. | 552,451 | ||||||
13,550 | Brown & Brown, Inc. | 434,955 | ||||||
10,020 | Camden Property Trust | 769,135 | ||||||
9,690 | Care Capital Properties, Inc. | 296,223 | ||||||
8,720 | Cathay General Bancorp | 273,198 | ||||||
9,550 | CBOE Holdings, Inc. | 619,795 | ||||||
21,570 | CNO Financial Group, Inc. | 411,771 | ||||||
9,720 | Commerce Bancshares, Inc. | 413,489 | ||||||
13,840 | Communications Sales & Leasing, Inc. | 258,670 | ||||||
10,920 | Corporate Office Properties Trust | 238,384 | ||||||
13,590 | Corrections Corporation of America | 359,999 | ||||||
6,350 | Cullen/Frost Bankers, Inc. | 381,000 | ||||||
16,070 | Douglas Emmett, Inc. | 501,063 | ||||||
39,860 | Duke Realty Corporation | 837,857 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
141
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MID CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (94.2%) | Value | ||||||
| Financials (25.2%) - continued |
| ||||||
16,660 | East West Bancorp, Inc. | �� | $ | 692,390 | ||||
13,560 | Eaton Vance Corporation | 439,751 | ||||||
7,050 | Endurance Specialty Holdings, Ltd. | 451,130 | ||||||
8,530 | Equity One, Inc. | 231,590 | ||||||
4,980 | Everest Re Group, Ltd. | 911,788 | ||||||
14,200 | Extra Space Storage, Inc. | 1,252,582 | ||||||
8,000 | Federal Realty Investment Trust | 1,168,800 | ||||||
10,940 | Federated Investors, Inc. | 313,431 | ||||||
12,580 | First American Financial Corporation | 451,622 | ||||||
27,730 | First Horizon National Corporation | 402,640 | ||||||
41,030 | First Niagara Financial Group, Inc. | 445,176 | ||||||
19,208 | FirstMerit Corporation | 358,229 | ||||||
20,140 | Fulton Financial Corporation | 262,021 | ||||||
57,540 | Genworth Financial, Inc.a | 214,624 | ||||||
8,870 | Hancock Holding Company | 223,258 | ||||||
5,010 | Hanover Insurance Group, Inc. | 407,513 | ||||||
11,020 | Highwoods Properties, Inc. | 480,472 | ||||||
17,520 | Hospitality Properties Trust | 458,148 | ||||||
6,470 | International Bancshares Corporation | 166,279 | ||||||
16,900 | Janus Capital Group, Inc. | 238,121 | ||||||
5,170 | Jones Lang LaSalle, Inc. | 826,476 | ||||||
5,560 | Kemper Corporation | 207,110 | ||||||
10,630 | Kilroy Realty Corporation | 672,666 | ||||||
9,450 | Lamar Advertising Company | 566,811 | ||||||
13,060 | LaSalle Hotel Properties | 328,590 | ||||||
17,020 | Liberty Property Trust | 528,471 | ||||||
10,320 | Mack-Cali Realty Corporation | 240,972 | ||||||
4,300 | MarketAxess Holdings, Inc. | 479,837 | ||||||
4,200 | Mercury General Corporation | 195,594 | ||||||
8,720 | Mid-America Apartment Communities, Inc. | 791,863 | ||||||
10,670 | MSCI, Inc. | 769,627 | ||||||
15,720 | National Retail Properties, Inc. | 629,586 | ||||||
56,101 | New York Community Bancorp, Inc.b | 915,568 | ||||||
28,090 | Old Republic International Corporation | 523,317 | ||||||
18,960 | Omega Healthcare Investors, Inc. | 663,221 | ||||||
13,070 | PacWest Bancorp | 563,317 | ||||||
6,250 | Post Properties, Inc. | 369,750 | ||||||
4,727 | Potlatch Corporation | 142,944 | ||||||
5,580 | Primerica, Inc. | 263,543 | ||||||
7,600 | Prosperity Bancshares, Inc. | 363,736 | ||||||
14,685 | Raymond James Financial, Inc. | 851,289 | ||||||
14,272 | Rayonier, Inc. REIT | 316,838 | ||||||
10,860 | Regency Centers Corporation | 739,783 | ||||||
7,610 | Reinsurance Group of America, Inc. | 651,036 | ||||||
5,070 | RenaissanceRe Holdings, Ltd. | 573,873 | ||||||
16,020 | SEI Investments Company | 839,448 | ||||||
27,380 | Senior Housing Property Trust | 406,319 | ||||||
5,830 | Signature Banka | 894,147 | ||||||
49,220 | SLM Corporationa | 320,914 | ||||||
4,150 | Sovran Self Storage, Inc. | 445,337 | ||||||
4,880 | StanCorp Financial Group, Inc. | 555,734 | ||||||
8,020 | Stifel Financial Corporationa | 339,727 | ||||||
5,940 | SVB Financial Groupa | 706,266 | ||||||
15,120 | Synovus Financial Corporation | 489,586 | ||||||
10,910 | Tanger Factory Outlet Centers, Inc. | 356,757 | ||||||
6,910 | Taubman Centers, Inc. | 530,135 | ||||||
19,620 | TCF Financial Corporation | 277,034 | ||||||
7,790 | Trustmark Corporation | 179,482 | ||||||
30,263 | UDR, Inc. | 1,136,981 | ||||||
25,480 | Umpqua Holdings Corporation | 405,132 | ||||||
10,640 | Urban Edge Properties | 249,508 | ||||||
25,924 | Valley National Bancorp | 255,351 | ||||||
11,385 | W.R. Berkley Corporation | 623,329 | ||||||
9,600 | Waddell & Reed Financial, Inc. | 275,136 | ||||||
10,767 | Washington Federal, Inc. | 256,578 | ||||||
10,630 | Webster Financial Corporation | 395,330 | ||||||
13,180 | Weingarten Realty Investors | 455,764 | ||||||
13,080 | WisdomTree Investments, Inc.b | 205,094 | ||||||
21,380 | WP Glimcher, Inc. | 226,842 | ||||||
|
| |||||||
Total | 45,378,865 | |||||||
|
| |||||||
| Health Care (9.3%) |
| ||||||
9,200 | Akorn, Inc.a | 343,252 | ||||||
8,350 | Align Technology, Inc.a | 549,848 | ||||||
21,790 | Allscripts Healthcare Solutions, Inc.a | 335,130 | ||||||
6,210 | AmSurg Corporationa | 471,960 | ||||||
2,400 | Bio-Rad Laboratories, Inc.a | 332,784 | ||||||
4,250 | Bio-Techne Corporation | 382,500 | ||||||
11,310 | Catalent, Inc.a | 283,089 | ||||||
13,750 | Centene Corporationa | 904,887 | ||||||
5,380 | Charles River Laboratories International, Inc.a | 432,498 | ||||||
13,566 | Community Health Systems, Inc.a | 359,906 | ||||||
5,630 | Cooper Companies, Inc. | 755,546 | ||||||
5,350 | Halyard Health, Inc.a | 178,744 | ||||||
8,910 | Health Net, Inc.a | 609,979 | ||||||
6,540 | Hill-Rom Holdings, Inc. | 314,312 | ||||||
28,220 | Hologic, Inc.a | 1,091,832 | ||||||
10,420 | IDEXX Laboratories, Inc.a | 759,826 | ||||||
5,000 | LifePoint Health, Inc.a | 367,000 | ||||||
4,880 | LivaNova plca | 289,726 | ||||||
10,850 | Mednax, Inc.a | 777,511 | ||||||
3,150 | Mettler-Toledo International, Inc.a | 1,068,259 | ||||||
4,720 | Molina Healthcare, Inc.a | 283,814 | ||||||
7,250 | Owens & Minor, Inc. | 260,855 | ||||||
6,150 | PAREXEL International Corporationa | 418,938 | ||||||
16,120 | ResMed, Inc. | 865,483 | ||||||
6,460 | Sirona Dental Systems, Inc.a | 707,822 | ||||||
9,910 | STERIS plc | 746,619 | ||||||
4,790 | Teleflex, Inc. | 629,645 | ||||||
5,260 | United Therapeutics Corporationa | 823,769 | ||||||
9,300 | VCA Antech, Inc.a | 511,500 | ||||||
5,100 | Wellcare Health Plans, Inc.a | 398,871 | ||||||
8,330 | West Pharmaceutical Services, Inc. | 501,633 | ||||||
|
| |||||||
Total | 16,757,538 | |||||||
|
| |||||||
| Industrials (14.2%) |
| ||||||
8,610 | A.O. Smith Corporation | 659,612 | ||||||
5,030 | Acuity Brands, Inc. | 1,176,014 | ||||||
17,440 | AECOMa | 523,723 | ||||||
8,430 | AGCO Corporationb | 382,638 | ||||||
14,610 | Alaska Air Group, Inc. | 1,176,251 | ||||||
11,940 | B/E Aerospace, Inc. | 505,898 | ||||||
7,490 | Carlisle Companies, Inc. | 664,288 | ||||||
5,750 | CLARCOR, Inc. | 285,660 | ||||||
6,020 | Clean Harbors, Inc.a | 250,733 | ||||||
11,690 | Copart, Inc.a | 444,337 | ||||||
3,820 | Corporate Executive Board Company | 234,510 | ||||||
5,680 | Crane Company | 271,731 | ||||||
5,690 | Deluxe Corporation | 310,333 | ||||||
14,220 | Donaldson Company, Inc. | 407,545 | ||||||
3,400 | Esterline Technologies Corporationa | 275,400 | ||||||
18,370 | Fortune Brands Home and Security, Inc. | 1,019,535 | ||||||
4,820 | FTI Consulting, Inc.a | 167,061 | ||||||
4,900 | GATX Corporation | 208,495 | ||||||
6,490 | Genesee & Wyoming, Inc.a | 348,448 | ||||||
6,410 | Graco, Inc. | 461,969 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
142
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MID CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (94.2%) | Value | ||||||
| Industrials (14.2%) - continued |
| ||||||
4,530 | Granite Construction, Inc. | $ | 194,382 | |||||
6,920 | Herman Miller, Inc. | 198,604 | ||||||
5,090 | HNI Corporation | 183,546 | ||||||
6,230 | Hubbell, Inc. | 629,479 | ||||||
5,441 | Huntington Ingalls Industries, Inc. | 690,191 | ||||||
8,810 | IDEX Corporation | 674,934 | ||||||
10,280 | ITT Corporation | 373,370 | ||||||
36,525 | JetBlue Airways Corporationa | 827,291 | ||||||
11,210 | Joy Global, Inc.b | 141,358 | ||||||
16,580 | KBR, Inc. | 280,534 | ||||||
9,160 | Kennametal, Inc. | 175,872 | ||||||
6,190 | Kirby Corporationa | 325,718 | ||||||
6,075 | KLX, Inc.a | 187,049 | ||||||
4,960 | Landstar System, Inc. | 290,904 | ||||||
4,590 | Lennox International, Inc. | 573,291 | ||||||
7,580 | Lincoln Electric Holdings, Inc. | 393,326 | ||||||
8,460 | Manpower, Inc. | 713,093 | ||||||
3,680 | Mine Safety Appliances Company | 159,970 | ||||||
5,560 | MSC Industrial Direct Company, Inc. | 312,861 | ||||||
6,190 | Nordson Corporation | 397,089 | ||||||
12,480 | NOW, Inc.a,b | 197,434 | ||||||
7,970 | Old Dominion Freight Line, Inc.a | 470,788 | ||||||
6,760 | Orbital ATK, Inc. | 603,938 | ||||||
8,600 | Oshkosh Corporation | 335,744 | ||||||
24,000 | R.R. Donnelley & Sons Company | 353,280 | ||||||
5,120 | Regal-Beloit Corporation | 299,622 | ||||||
10,838 | Rollins, Inc. | 280,704 | ||||||
4,060 | Teledyne Technologies, Inc.a | 360,122 | ||||||
12,520 | Terex Corporation | 231,370 | ||||||
8,270 | Timken Company | 236,439 | ||||||
6,330 | Toro Company | 462,533 | ||||||
8,020 | Towers Watson & Company | 1,030,249 | ||||||
17,570 | Trinity Industries, Inc. | 422,031 | ||||||
5,640 | Triumph Group, Inc. | 224,190 | ||||||
2,660 | Valmont Industries, Inc. | 282,013 | ||||||
10,990 | Wabtec Corporation | 781,609 | ||||||
14,140 | Waste Connections, Inc. | 796,365 | ||||||
2,960 | Watsco, Inc. | 346,705 | ||||||
5,090 | Werner Enterprises, Inc. | 119,055 | ||||||
6,550 | Woodward, Inc. | 325,273 | ||||||
|
| |||||||
Total | 25,656,507 | |||||||
|
| |||||||
| Information Technology (16.2%) |
| ||||||
12,210 | 3D Systems Corporationa,b | 106,105 | ||||||
13,750 | ACI Worldwide, Inc.a | 294,250 | ||||||
9,010 | Acxiom Corporationa | 188,489 | ||||||
73,520 | Advanced Micro Devices, Inc.a,b | 211,002 | ||||||
10,270 | ANSYS, Inc.a | 949,975 | ||||||
15,580 | Arris Group, Inc.a | 476,281 | ||||||
10,820 | Arrow Electronics, Inc.a | 586,228 | ||||||
48,420 | Atmel Corporation | 416,896 | ||||||
15,280 | Avnet, Inc. | 654,595 | ||||||
4,840 | Belden, Inc. | 230,771 | ||||||
13,680 | Broadridge Financial Solutions, Inc. | 735,026 | ||||||
34,360 | Cadence Design Systems, Inc.a | 715,032 | ||||||
18,340 | CDK Global, Inc. | 870,600 | ||||||
14,700 | Ciena Corporationa | 304,143 | ||||||
9,870 | Cognex Corporation | 333,310 | ||||||
4,870 | CommVault Systems, Inc.a | 191,635 | ||||||
15,920 | Computer Sciences Corporation | 520,266 | ||||||
11,250 | Convergys Corporation | 280,013 | ||||||
10,230 | CoreLogic, Inc.a | 346,388 | ||||||
11,920 | Cree, Inc.a,b | 317,906 | ||||||
38,510 | Cypress Semiconductor Corporationb | 377,783 | ||||||
7,510 | Diebold, Inc. | 225,976 | ||||||
3,740 | DST Systems, Inc. | 426,584 | ||||||
4,800 | FactSet Research Systems, Inc. | 780,336 | ||||||
3,590 | Fair Isaac Corporation | 338,106 | ||||||
13,090 | Fairchild Semiconductor International, Inc.a | 271,094 | ||||||
4,700 | FEI Company | 375,013 | ||||||
16,900 | Fortinet, Inc.a | 526,773 | ||||||
9,550 | Gartner, Inc.a | 866,185 | ||||||
14,970 | Global Payments, Inc. | 965,715 | ||||||
18,030 | Ingram Micro, Inc. | 547,751 | ||||||
17,000 | Integrated Device Technology, Inc.a | 447,950 | ||||||
4,100 | InterDigital, Inc. | 201,064 | ||||||
15,240 | Intersil Corporation | 194,462 | ||||||
4,200 | IPG Photonics Corporationa,b | 374,472 | ||||||
5,320 | j2 Global, Inc. | 437,942 | ||||||
21,920 | Jabil Circuit, Inc. | 510,517 | ||||||
9,260 | Jack Henry & Associates, Inc. | 722,836 | ||||||
19,680 | Keysight Technologies, Inc.a | 557,534 | ||||||
10,150 | Knowles Corporationa,b | 135,300 | ||||||
7,415 | Leidos Holdings, Inc. | 417,168 | ||||||
7,120 | Lexmark International, Inc. | 231,044 | ||||||
8,450 | Manhattan Associates, Inc.a | 559,137 | ||||||
7,520 | MAXIMUS, Inc. | 423,000 | ||||||
11,510 | Mentor Graphics Corporation | 212,014 | ||||||
11,652 | National Instruments Corporation | 334,296 | ||||||
14,300 | NCR Corporationa | 349,778 | ||||||
11,420 | NetScout Systems, Inc.a | 350,594 | ||||||
6,200 | NeuStar, Inc.a,b | 148,614 | ||||||
13,240 | Parametric Technology Corporationa | 458,501 | ||||||
3,920 | Plantronics, Inc. | 185,887 | ||||||
15,380 | Polycom, Inc.a | 193,634 | ||||||
13,180 | Rackspace Hosting, Inc.a | 333,718 | ||||||
4,794 | Science Applications International Corporation | 219,469 | ||||||
4,450 | Silicon Laboratories, Inc.a | 216,003 | ||||||
7,210 | Solarwinds, Inc.a | 424,669 | ||||||
7,750 | Solera Holdings, Inc. | 424,933 | ||||||
36,160 | Sunedison, Inc.a,b | 184,054 | ||||||
4,210 | Synaptics, Inc.a | 338,231 | ||||||
3,390 | SYNNEX Corporation | 304,863 | ||||||
18,030 | Synopsys, Inc.a | 822,348 | ||||||
4,030 | Tech Data Corporationa | 267,511 | ||||||
23,660 | Teradyne, Inc. | 489,052 | ||||||
28,910 | Trimble Navigation, Ltd.a | 620,120 | ||||||
3,760 | Tyler Technologies, Inc.a | 655,443 | ||||||
3,310 | Ultimate Software Group, Inc.a | 647,138 | ||||||
13,220 | VeriFone Systems, Inc.a | 370,424 | ||||||
15,620 | Vishay Intertechnology, Inc. | 188,221 | ||||||
4,420 | WEX, Inc.a | 390,728 | ||||||
6,000 | Zebra Technologies Corporationa | 417,900 | ||||||
|
| |||||||
Total | 29,190,796 | |||||||
|
| |||||||
| Materials (6.1%) |
| ||||||
12,960 | Albemarle Corporation | 725,890 | ||||||
12,540 | Allegheny Technologies, Inc. | 141,075 | ||||||
7,210 | AptarGroup, Inc. | 523,806 | ||||||
7,250 | Ashland, Inc. | 744,575 | ||||||
11,040 | Bemis Company, Inc. | 493,378 | ||||||
7,230 | Cabot Corporation | 295,562 | ||||||
5,620 | Carpenter Technology Corporation | 170,117 | ||||||
21,550 | Chemours Company | 115,508 | ||||||
13,410 | Commercial Metals Company | 183,583 | ||||||
3,890 | Compass Minerals International, Inc. | 292,800 | ||||||
7,230 | Domtar Corporation | 267,149 | ||||||
5,740 | Eagle Materials, Inc. | 346,868 | ||||||
2,960 | Greif, Inc. | 91,198 | ||||||
16,490 | Louisiana-Pacific Corporationa | 296,985 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
143
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MID CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (94.2%) | Value | ||||||
| Materials (6.1%) - continued |
| ||||||
4,010 | Minerals Technologies, Inc. | $ | 183,899 | |||||
1,160 | NewMarket Corporation | 441,647 | ||||||
19,120 | Olin Corporation | 330,011 | ||||||
11,180 | Packaging Corporation of America | 704,899 | ||||||
9,960 | PolyOne Corporation | 316,330 | ||||||
8,200 | Reliance Steel & Aluminum Company | 474,862 | ||||||
7,500 | Royal Gold, Inc. | 273,525 | ||||||
15,350 | RPM International, Inc. | 676,321 | ||||||
5,250 | Scotts Miracle-Gro Company | 338,677 | ||||||
5,240 | Sensient Technologies Corporation | 329,177 | ||||||
4,640 | Silgan Holdings, Inc. | 249,261 | ||||||
11,650 | Sonoco Products Company | 476,135 | ||||||
27,860 | Steel Dynamics, Inc. | 497,858 | ||||||
16,560 | United States Steel Corporationb | 132,149 | ||||||
8,430 | Valspar Corporation | 699,268 | ||||||
5,340 | Worthington Industries, Inc. | 160,948 | ||||||
|
| |||||||
Total | 10,973,461 | |||||||
|
| |||||||
| Telecommunications Services (0.2%) |
| ||||||
10,805 | Telephone & Data Systems, Inc. | 279,741 | ||||||
|
| |||||||
Total | 279,741 | |||||||
|
| |||||||
| Utilities (4.8%) |
| ||||||
13,100 | Alliant Energy Corporation | 818,095 | ||||||
20,452 | Aqua America, Inc. | 609,470 | ||||||
11,700 | Atmos Energy Corporation | 737,568 | ||||||
5,860 | Black Hills Corporation | 272,080 | ||||||
6,950 | Cleco Corporation | 362,859 | ||||||
17,733 | Great Plains Energy, Inc. | 484,288 | ||||||
12,430 | Hawaiian Electric Industries, Inc. | 359,848 | ||||||
5,790 | IDACORP, Inc. | 393,720 | ||||||
22,425 | MDU Resources Group, Inc. | 410,826 | ||||||
9,720 | National Fuel Gas Companyb | 415,530 | ||||||
22,900 | OGE Energy Corporation | 602,041 | ||||||
6,010 | ONE Gas, Inc. | 301,522 | ||||||
9,185 | PNM Resources, Inc. | 280,785 | ||||||
20,020 | Questar Corporation | 389,990 | ||||||
7,420 | Talen Energy Corporationa | 46,227 | ||||||
19,800 | UGI Corporation | 668,448 | ||||||
9,490 | Vectren Corporation | 402,566 | ||||||
16,260 | Westar Energy, Inc. | 689,587 | ||||||
5,750 | WGL Holdings, Inc. | 362,192 | ||||||
|
| |||||||
Total | 8,607,642 | |||||||
|
| |||||||
Total Common Stock (cost $143,269,276) | 169,725,863 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (3.2%) | ||||||||
5,872,212 | Thrivent Cash Management Trust | 5,872,212 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $5,872,212) | 5,872,212 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (5.7%)c | |||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
400,000 | 0.105%, 1/6/2016d | 399,994 | ||||||
400,000 | 0.090%, 1/20/2016d | 399,981 | ||||||
Thrivent Cash Management Trust | ||||||||
9,442,638 | 0.220% | 9,442,638 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 10,242,613 | |||||||
|
| |||||||
Total Investments (cost $159,384,101) 103.1% | $ | 185,840,688 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (3.1%) | (5,670,398 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 180,170,290 | ||||||
|
|
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
d | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Mid Cap Index Portfolio as of December 31, 2015:
Securities Lending Transactions
Common Stock | $ | 5,621,285 | ||
|
| |||
Total lending | $ | 5,621,285 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 5,872,212 | ||
|
| |||
Net amounts due to counterparty | $ | 250,927 | ||
|
|
Definitions:
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
144
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (86.6%) | Value | ||||||
| Australia (3.1%) | |||||||
288,011 | Australian Pharmaceutical Industries, Ltd. | $ | 403,471 | |||||
116,133 | BT Investment Management, Ltd. | 1,080,060 | ||||||
163,699 | Caltex Australia, Ltd. | 4,474,493 | ||||||
85,370 | Commonwealth Bank of Australia | 5,277,945 | ||||||
728,823 | CSR, Ltd. | 1,521,157 | ||||||
38,525 | Domino’s Pizza Enterprises, Ltd. | 1,607,392 | ||||||
437,424 | Downer EDI, Ltd. | 1,137,878 | ||||||
357,283 | Evolution Mining, Ltd. | 363,040 | ||||||
415,768 | Fairfax Media, Ltd. | 276,529 | ||||||
1,580,092 | Incitec Pivot, Ltd. | 4,515,001 | ||||||
102,136 | JB Hi-Fi, Ltd. | 1,445,434 | ||||||
44,100 | Macquarie Atlas Roads Group | 129,934 | ||||||
67,941 | Macquarie Group, Ltd. | 4,064,424 | ||||||
53,816 | Magellan Financial Group, Ltd. | 1,057,763 | ||||||
402,337 | Northern Star Resources, Ltd. | 818,161 | ||||||
25,462 | Nufarm, Ltd. | 153,772 | ||||||
2,178,798 | Orora, Ltd. | 3,538,675 | ||||||
150,095 | Pact Group Holdings, Ltd. | 544,750 | ||||||
109,976 | Premier Investments, Ltd. | 1,129,146 | ||||||
698,374 | Qantas Airways, Ltd.a | 2,070,025 | ||||||
67,743 | Ramsay Health Care, Ltd. | 3,331,066 | ||||||
179,366 | SAI Global, Ltd. | 544,025 | ||||||
111,139 | Sandfire Resources NL | 450,633 | ||||||
22,652 | Select Harvests, Ltd. | 139,487 | ||||||
958,001 | Sigma Pharmaceuticals, Ltd. | 599,782 | ||||||
5,835 | Sirtex Medical, Ltd. | 169,085 | ||||||
48,797 | South32, Ltd.a | 38,006 | ||||||
1,082,663 | Star Entertainment Group, Ltd. | 3,972,757 | ||||||
120,875 | Super Retial Group, Ltd. | 998,570 | ||||||
664,278 | Treasury Wine Estates, Ltd. | 3,988,411 | ||||||
|
| |||||||
Total | 49,840,872 | |||||||
|
| |||||||
| Austria (0.2%) | |||||||
20,353 | AT&S Austria Technologie & Systemtechnik AG | 321,238 | ||||||
63,078 | BUWOG AG | 1,368,319 | ||||||
7,005 | Flughafen Wien Aktiengesellschaft | 664,542 | ||||||
3,765 | Lenzing AG | 284,573 | ||||||
2,698 | Porr AG | 81,464 | ||||||
7,076 | S IMMO AG | 63,090 | ||||||
17,634 | Wienerberger AG | 326,801 | ||||||
|
| |||||||
Total | 3,110,027 | |||||||
|
| |||||||
| Belgium (1.1%) | |||||||
76,412 | Agfa-Gevaert NVa | 435,136 | ||||||
44,069 | Anheuser-Busch InBev NV | 5,484,295 | ||||||
17,413 | bpost SA | 427,271 | ||||||
5,143 | Compagnie d’ Entreprises CFE | 609,378 | ||||||
47,902 | Delhaize Group SA | 4,662,162 | ||||||
18,161 | Euronav SA | 250,021 | ||||||
25,657 | Fagron NV | 196,191 | ||||||
2,552 | KBC Ancora | 107,730 | ||||||
59,740 | KBC Groep NV | 3,735,333 | ||||||
10,963 | Melexis NV | 597,185 | ||||||
10,159 | SA D’Ieteren NV | 379,401 | ||||||
3,614 | Tessenderlo Chemie NVa | 107,943 | ||||||
5,255 | Warehouses De Pauw CVA | 463,954 | ||||||
|
| |||||||
Total | 17,456,000 | |||||||
|
| |||||||
| Bermuda (0.6%) | |||||||
4,350,000 | G-Resources Group, Ltd. | 103,280 | ||||||
209,374 | Jardine Matheson Holdings, Ltd. | 10,139,467 | ||||||
|
| |||||||
Total | 10,242,747 | |||||||
|
| |||||||
| Brazil (0.9%) | |||||||
723,182 | Banco Bradesco SA ADR | 3,478,505 | ||||||
143,000 | BRF SA | 1,994,619 | ||||||
469,245 | Lojas Renner SA | 2,015,761 | ||||||
147,962 | Multiplan Empreendimentos Imobiliarios SA | 1,414,311 | ||||||
285,000 | Ultrapar Participacoes SA ADR | 4,346,250 | ||||||
133,490 | Vale SA ADRb | 439,182 | ||||||
|
| |||||||
Total | 13,688,628 | |||||||
|
| |||||||
| Canada (2.7%) | |||||||
160,881 | Alimentation Couche-Tard, Inc. | 7,081,926 | ||||||
180,681 | Brookfield Asset Management, Inc. | 5,699,737 | ||||||
98,446 | Canadian National Railway Company | 5,503,215 | ||||||
10,300 | Constellation Software, Inc. | 4,294,185 | ||||||
74,397 | Dollarama, Inc. | 4,298,111 | ||||||
158,115 | Metro, Inc. | 4,426,809 | ||||||
83,923 | Royal Bank of Canada | 4,497,283 | ||||||
107,300 | Toronto-Dominion Bankb | 4,206,079 | ||||||
103,809 | Transcanada Corporationb | 3,390,279 | ||||||
|
| |||||||
Total | 43,397,624 | |||||||
|
| |||||||
| Chile (0.1%) | |||||||
136,315 | Banco Santander Chile SA ADRb | 2,404,597 | ||||||
|
| |||||||
Total | 2,404,597 | |||||||
|
| |||||||
| China (0.8%) | |||||||
3,157,216 | FIH Mobile, Ltd. | 1,201,575 | ||||||
9,507,180 | Lenovo Group, Ltd. | 9,594,584 | ||||||
4,044,000 | PetroChina Company, Ltd. | 2,647,367 | ||||||
|
| |||||||
Total | 13,443,526 | |||||||
|
| |||||||
| Denmark (2.2%) | |||||||
7,418 | Aktieselskabet Schouw & Company | 416,341 | ||||||
12,165 | Bavarian Nordic ASa | 628,513 | ||||||
286,154 | Danske Bank AS | 7,678,171 | ||||||
18,248 | DFDS AS | 708,315 | ||||||
216,379 | Novo Nordisk AS | 12,527,956 | ||||||
37,141 | Pandora AS | 4,682,881 | ||||||
1,240 | Per Aarsleff AS | 381,180 | ||||||
839 | Rockwool International AS | 117,931 | ||||||
98,594 | Royal Unibrew AS | 4,007,018 | ||||||
22,425 | Spar Nord Bank AS | 198,140 | ||||||
60,709 | Vestas Wind Systems AS | 4,239,843 | ||||||
|
| |||||||
Total | 35,586,289 | |||||||
|
| |||||||
| Faroe Islands (0.1%) | |||||||
41,189 | Bakkafrost PF | 1,213,453 | ||||||
|
| |||||||
Total | 1,213,453 | |||||||
|
| |||||||
| Finland (0.3%) | |||||||
8,343 | Cargotec Oyj | 311,237 | ||||||
4,234 | Cramo Oyj | 87,397 | ||||||
5,753 | Oriola-KD Oyja | 26,997 | ||||||
140,904 | Sponda Oyj | 598,507 | ||||||
16,082 | Tieto Oyj | 429,626 | ||||||
147,332 | UPM-Kymmene Oyj | 2,735,280 | ||||||
|
| |||||||
Total | 4,189,044 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
145
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (86.6%) | Value | ||||||
| France (7.2%) | |||||||
9,693 | ABC Arbitrage | $ | 54,039 | |||||
13,107 | Adociaa | 1,039,628 | ||||||
63,450 | Air France-KLMa | 483,006 | ||||||
7,476 | Alten SA | 432,631 | ||||||
11,793 | Assystem | 307,971 | ||||||
535,491 | AXA SA | 14,631,606 | ||||||
6,645 | Boiron SA | 538,001 | ||||||
157,835 | Cap Gemini SA | 14,644,895 | ||||||
6,200 | Cegid Group | 351,141 | ||||||
55,700 | Christian Dior SE | 9,461,386 | ||||||
278,137 | Compagnie de Saint-Gobain | 12,053,208 | ||||||
29,024 | Derichebourga | 104,095 | ||||||
528,642 | Engie | 9,364,001 | ||||||
4,538 | Euler Hermes Group | 436,899 | ||||||
432 | Eurofins Scientific SE | 150,691 | ||||||
54,588 | Faurecia | 2,187,339 | ||||||
2,688 | Guerbet | 189,195 | ||||||
52,085 | Havas SA | 438,254 | ||||||
76,128 | Innate Pharma SAa | 1,117,595 | ||||||
55,747 | Ipsen SA | 3,693,682 | ||||||
29,482 | Ipsos SA | 679,029 | ||||||
3,794 | Nexans SAa | 138,462 | ||||||
164,879 | Orange SA | 2,757,736 | ||||||
35,592 | Renault SA | 3,562,618 | ||||||
65,925 | Safran SA | 4,529,254 | ||||||
24,764 | Saft Groupe SA | 754,779 | ||||||
1,162 | Sartorius Stedim Biotech | 445,697 | ||||||
45,823 | SCOR SE | 1,714,602 | ||||||
1,959 | Societe de la Tour Eiffel - Warrantsa,c | 0 | ||||||
221,587 | Societe Generale | 10,211,260 | ||||||
3,858 | Teleperformance SA | 324,411 | ||||||
45,767 | Thales SA | 3,425,665 | ||||||
137,776 | Total SA | 6,176,723 | ||||||
210,475 | UbiSoft Entertainment SAa | 6,091,413 | ||||||
123,834 | Veolia Environnement SA | 2,938,073 | ||||||
|
| |||||||
Total | 115,428,985 | |||||||
|
| |||||||
| Germany (5.3%) | |||||||
14,800 | Aareal Bank AG | 466,032 | ||||||
1,053 | Amadeus Fire AG | 85,815 | ||||||
13,446 | Aurelius AG | 697,955 | ||||||
14,019 | Aurubis AG | 709,872 | ||||||
34,661 | Bayer AG | 4,328,849 | ||||||
4,684 | Bechtle AG | 445,297 | ||||||
11,207 | Centrotec Sustainable AG | 160,888 | ||||||
140,194 | Daimler AG | 11,713,833 | ||||||
23,901 | Deutsche Beteiligungs AG | 771,049 | ||||||
384,006 | Deutsche Telekom AG | 6,897,034 | ||||||
11,844 | DIC Asset AG | 119,930 | ||||||
84,753 | Evonik Industries AG | 2,803,389 | ||||||
255,478 | Evotec AGa | 1,146,434 | ||||||
23,520 | Freenet AG | 793,683 | �� | |||||
80,760 | Fresenius SE & Company KGaA | 5,752,746 | ||||||
54,595 | FUCHS PETROLUB SE | 2,570,701 | ||||||
30,448 | Gerresheimer AG | 2,379,273 | ||||||
9,445 | GFT Technologies SE | 321,571 | ||||||
26,282 | Hannover Rueckversicherung SE | 3,001,145 | ||||||
6,886 | Homag Group AG | 265,661 | ||||||
7,271 | Indus Holding AG | 349,753 | ||||||
19,358 | Jenoptik AG | 300,782 | ||||||
5,641 | Kion Group AGa | 279,726 | ||||||
7,691 | Krones AG | 915,791 | ||||||
35,354 | KUKA AGb | 3,163,711 | ||||||
11,259 | MTU Aero Engines AG | 1,097,365 | ||||||
18,643 | Nemetschek AG | 925,391 | ||||||
7,747 | Pfeiffer Vacuum Technology AG | 781,398 | ||||||
65,477 | ProSiebenSat.1 Media AG | 3,303,418 | ||||||
37,603 | Rheinmetall AG | 2,499,555 | ||||||
113,573 | SAP SE | 9,012,427 | ||||||
758 | Sartorius Aktiengesellschaft | 198,073 | ||||||
54,189 | Software AG | 1,544,488 | ||||||
1,869 | STRATEC Biomedical AG | 123,346 | ||||||
55,104 | Stroeer SEb | 3,459,771 | ||||||
142,991 | Suedzucker AG | 2,834,151 | ||||||
11,058 | TAG Immobilien AG | 137,767 | ||||||
15,132 | Takkt AG | 303,324 | ||||||
366,679 | ThyssenKrupp AG | 7,268,851 | ||||||
4,216 | XING AG | 778,009 | ||||||
4,780 | zooplus AGa | 753,329 | ||||||
|
| |||||||
Total | 85,461,583 | |||||||
|
| |||||||
| Hong Kong (2.9%) | |||||||
1,189,800 | AIA Group, Ltd. | 7,109,154 | ||||||
184,000 | Brightoil Petroleum Holdings, Ltd. | 61,350 | ||||||
963,516 | Cheung Kong Holdings, Ltd. | 12,951,513 | ||||||
561,300 | China Mobile, Ltd. | 6,318,052 | ||||||
115,200 | Dah Sing Financial Holdings, Ltd. | 573,344 | ||||||
462,000 | Giordano International, Ltd. | 215,797 | ||||||
330,000 | Global Brands Group Holding, Ltd.a | 62,492 | ||||||
326,000 | Guotai Junan International Holdings, Ltd. | 113,279 | ||||||
1,222,000 | Haitong International Securities Group, Ltd. | 745,120 | ||||||
1,235,000 | Hang Lung Group, Ltd. | 4,005,003 | ||||||
180,000 | Hang Lung Properties, Ltd. | 407,855 | ||||||
76,600 | Hong Kong Exchanges and Clearing, Ltd. | 1,951,369 | ||||||
188,000 | Hutchison Telecommunications Hong Kong Holdings, Ltd. | 65,074 | ||||||
220,000 | NewOcean Energy Holdings, Ltd. | 85,706 | ||||||
3,613,000 | PCCW, Ltd. | 2,112,000 | ||||||
433,000 | Samson Holding, Ltd. | 53,462 | ||||||
892,000 | Shun Tak Holdings, Ltd. | 334,873 | ||||||
1,611,500 | SmarTone Telecommunications Holdings, Ltd. | 2,438,880 | ||||||
132,000 | Sunlight Real Estate Investment Trust | 65,082 | ||||||
254,000 | Swire Pacific, Ltd. | 2,837,211 | ||||||
587,500 | Swire Pacific, Ltd., Class B | 1,195,302 | ||||||
347,700 | Swire Properties, Ltd. | 999,755 | ||||||
576,000 | Texwinca Holdings, Ltd. | 600,719 | ||||||
752,000 | Truly International Holdings, Ltd. | 179,702 | ||||||
1,306,000 | United Laboratories International Holdingsa | �� | 718,443 | |||||
|
| |||||||
Total | 46,200,537 | |||||||
|
| |||||||
| Hungary (0.1%) | |||||||
108,000 | Richter Gedeon Nyrt | 2,038,446 | ||||||
|
| |||||||
Total | 2,038,446 | |||||||
|
| |||||||
| India (2.0%) | |||||||
15,299 | Grasim Industries, Ltd. | 866,614 | ||||||
8,000 | Grasim Industries, Ltd. GDR | 452,513 | ||||||
89,200 | Hero Motocorp, Ltd. | 3,619,507 | ||||||
231,000 | Hindustan Unilever, Ltd. | 3,010,474 | ||||||
343,741 | Housing Development Finance Corporation | 6,537,899 | ||||||
330,000 | ICICI Bank, Ltd. | 1,303,413 | ||||||
208,079 | ICICI Bank, Ltd. ADR | 1,629,259 | ||||||
326,000 | Infosys, Ltd. | 5,432,315 | ||||||
1,051,542 | ITC, Ltd. | 5,199,684 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
146
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (86.6%) | Value | ||||||
| India (2.0%) - continued | |||||||
97,696 | Ultra Tech Cement, Ltd. | $ | 4,095,658 | |||||
4,570 | Ultra Tech Cement, Ltd. GDR | 192,077 | ||||||
|
| |||||||
Total | 32,339,413 | |||||||
|
| |||||||
| Indonesia (0.5%) | |||||||
13,098,100 | Astra International Tbk PT | 5,642,040 | ||||||
1,406,300 | Indocement Tunggal Prakarsa Tbk PT | 2,255,154 | ||||||
|
| |||||||
Total | 7,897,194 | |||||||
|
| |||||||
| Ireland (1.1%) | |||||||
260,300 | Beazley plc | 1,494,589 | ||||||
96,272 | CRH plc | 2,776,397 | ||||||
67,708 | DCC plc | 5,656,494 | ||||||
12,711 | Grafton Group plc | 138,800 | ||||||
135,716 | Henderson Group plc | 616,836 | ||||||
37,965 | Ryanair Holdings plc ADR | 3,282,454 | ||||||
119,409 | Smurfit Kappa Group plc | 3,058,204 | ||||||
86,441 | United Drug plc | 762,108 | ||||||
|
| |||||||
Total | 17,785,882 | |||||||
|
| |||||||
| Israel (0.3%) | |||||||
47,439 | Delek Automotive Systems, Ltd. | 422,446 | ||||||
440 | Paz Oil Company, Ltd. | 69,134 | ||||||
19,947 | Shufersal, Ltd.a | 61,815 | ||||||
72,373 | Teva Pharmaceutical Industries, Ltd. ADR | 4,750,564 | ||||||
|
| |||||||
Total | 5,303,959 | |||||||
|
| |||||||
| Italy (2.9%) | |||||||
29,671 | Acea SPA | 456,243 | ||||||
20,708 | Amplifon SPA | 179,383 | ||||||
538,071 | Assicurazioni Generali SPA | 9,828,829 | ||||||
35,615 | Astaldi SPA | 216,628 | ||||||
40,607 | ASTM SPA | 509,700 | ||||||
30,136 | Banca IFIS SPA | 938,850 | ||||||
1,117,127 | Banca Popolare di Milano SCRL | 1,106,477 | ||||||
141,650 | Beni Stabili SPA | 106,765 | ||||||
10,318 | Biesse SPA | 177,107 | ||||||
14,695 | Cerved Information Solutions SpAa | 122,063 | ||||||
18,939 | De’Longhi | 565,724 | ||||||
19,740 | DiaSorin SPA | 1,036,782 | ||||||
3,232 | Engineering SPA | 210,251 | ||||||
281,075 | Eni SPA | 4,176,290 | ||||||
59,203 | ERG SPA | 800,477 | ||||||
159,251 | Immobiliare Grande Distribuzione SPA | 152,465 | ||||||
2,964,208 | Intesa Sanpaolo SPA | 9,844,188 | ||||||
657,160 | Iren SPA | 1,060,502 | ||||||
40,073 | La Doria SPA | 567,376 | ||||||
2,566 | Marr SPA | 53,018 | ||||||
132,189 | Prysmian SPA | 2,888,230 | ||||||
246,630 | Recordati SPA | 6,434,817 | ||||||
2,455 | Reply SPA | 335,899 | ||||||
1,116,040 | Saras SPAa | 2,152,029 | ||||||
64,350 | Societa Cattolica di Assicurazioni SCRL | 509,643 | ||||||
39,879 | Societa Iniziative Autostradali e Servizi SPA | 423,771 | ||||||
280,029 | Unipol Gruppo Finanziario SPA | 1,440,362 | ||||||
|
| |||||||
Total | 46,293,869 | |||||||
|
| |||||||
| Japan (17.8%) | |||||||
50,000 | Aderans Company, Ltd. | 344,683 | ||||||
1,087 | Advance Residence Investment Corporation | 2,390,328 | ||||||
623 | AEON REIT Investment Corporation | 737,220 | ||||||
27,300 | Alpine Electronics, Inc. | 424,315 | ||||||
85,700 | Alps Electric Company, Ltd. | 2,324,015 | ||||||
19,000 | Amano Corporation | 256,987 | ||||||
12,700 | AOKI Holdings, Inc. | 165,676 | ||||||
15,400 | Aoyama Trading Company, Ltd. | 593,299 | ||||||
35,300 | Arcs Company, Ltd. | 778,051 | ||||||
30,900 | Asatsu-DK, Inc. | 747,771 | ||||||
16,900 | ASKA Pharmaceutical Company, Ltd. | 208,155 | ||||||
21,200 | Autobacs Seven Company, Ltd. | 386,402 | ||||||
126,100 | Bridgestone Corporation | 4,325,409 | ||||||
3,000 | C. Uyemura & Company, Ltd. | 128,187 | ||||||
14,600 | Canon Electronics, Inc. | 240,384 | ||||||
75,300 | Canon Marketing Japan, Inc. | 1,177,520 | ||||||
14,900 | Cawachi, Ltd. | 290,546 | ||||||
63,000 | Central Glass Company, Ltd. | 288,953 | ||||||
21,000 | Century Tokyo Leasing Corporation | 750,154 | ||||||
12,600 | Chiba Kogyo Bank, Ltd. | 70,170 | ||||||
15,200 | Chiyoda Integre Company, Ltd. | 354,121 | ||||||
28,000 | Chugoku Marine Paints, Ltd. | 205,653 | ||||||
3,400 | Cocokara Fine, Inc. | 152,643 | ||||||
50,900 | COMSYS Holdings Corporation | 715,696 | ||||||
17,400 | Cosmo Energy Holdings Company, Ltd.a | 233,684 | ||||||
18,289 | Daiichikosho Company, Ltd. | 725,726 | ||||||
354 | Daiwa House Residential Investment Corporation | 732,461 | ||||||
278 | Daiwa Office Investment Corporation | 1,504,677 | ||||||
1,052,151 | Daiwa Securities Group, Inc. | 6,432,530 | ||||||
32,000 | Daiwabo Holdings Company, Ltd. | 63,849 | ||||||
149,600 | DCM Holdings Company, Ltd. | 1,085,003 | ||||||
26,400 | Digital Garage, Inc. | 471,125 | ||||||
53,300 | Doutor Nichires Holdings Company, Ltd. | 824,415 | ||||||
119,900 | DTS Corporation | 2,729,364 | ||||||
13,000 | DUSKIN Company, Ltd. | 236,524 | ||||||
89,000 | Ebara Corporation | 422,941 | ||||||
168,100 | EDION Corporation | 1,269,256 | ||||||
5,800 | Exedy Corporation | 140,178 | ||||||
1,800 | Foster Electric Company, Ltd. | 39,145 | ||||||
72 | Frontier Real Estate Investment Corporation | 288,844 | ||||||
561,000 | Fuji Electric Company, Ltd. | 2,352,761 | ||||||
142,100 | Fuji Heavy Industries, Ltd. | 5,853,991 | ||||||
92,249 | Fuji Machine Manufacturing Company, Ltd. | 969,758 | ||||||
20,100 | Fuji Soft, Inc. | 440,863 | ||||||
140,000 | Fujibo Holdings, Inc. | 259,712 | ||||||
2,900 | Fujicco Company, Ltd. | 50,657 | ||||||
99,800 | FUJIFILM Holdings NPV | 4,164,903 | ||||||
3,200 | Fujimi Incorporated | 44,297 | ||||||
46,700 | Funai Electric Company, Ltd. | 391,724 | ||||||
9,900 | Fuyo General Lease Company, Ltd. | 466,215 | ||||||
3,400 | Geo Holdings Corporation | 53,507 | ||||||
333 | Global One Real Estate Investment Corporation | 1,193,642 | ||||||
198,800 | Gree, Inc. | 943,916 | ||||||
14,500 | Happinet Corporation | 141,398 | ||||||
173,900 | Haseko Corporation | 1,922,703 | ||||||
53,300 | Heiwa Corporation | 997,350 | ||||||
3,200 | HEIWADO Company, Ltd. | 70,229 | ||||||
1,400 | HIDAY HIDAKA Corporation | 40,214 | ||||||
24,800 | IBJ Leasing Company, Ltd. | 505,507 | ||||||
20,500 | INES Corporation | 190,562 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
147
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (86.6%) | Value | ||||||
| Japan (17.8%) - continued | |||||||
136,500 | IT Holdings Corporation | $ | 3,118,866 | |||||
35,357 | JAFCO Company, Ltd. | 1,378,328 | ||||||
120,200 | Japan Airlines Company, Ltd. | 4,302,307 | ||||||
13,000 | Japan Digital Laboratory Company, Ltd. | 176,886 | ||||||
339,100 | Japan Display, Inc.a | 977,035 | ||||||
459 | Japan Logistics Fund, Inc. | 890,715 | ||||||
276 | Japan Rental Housing Investments, Inc. | 195,019 | ||||||
32,500 | Japan Securities Finance Company, Ltd. | 165,674 | ||||||
9,000 | Japan Wool Textile Company, Ltd. | 66,123 | ||||||
54,000 | J-Oil Mills, Inc. | 156,710 | ||||||
176,200 | JTEKT Corporation | 2,884,057 | ||||||
29,000 | Kadokawa Dwango Corporation | 435,552 | ||||||
24,800 | Kaken Pharmaceutical Company, Ltd. | 1,694,662 | ||||||
98,100 | Kao Corporation | 5,041,236 | ||||||
4,600 | Kasai Kogyo Company, Ltd. | 66,434 | ||||||
313,800 | KDDI Corporation | 8,149,447 | ||||||
186,200 | Kinden Corporation | 2,374,253 | ||||||
42,200 | Kissei Pharmaceutical Company, Ltd. | 1,058,426 | ||||||
154,500 | KITZ Corporation | 693,988 | ||||||
15,700 | KOA Corporation | 133,125 | ||||||
8,410 | Koei Tecmo Holdings Company, Ltd. | 124,540 | ||||||
54,800 | Kohnan Shoji Company, Ltd. | 768,664 | ||||||
69,000 | Kokuyo Company, Ltd. | 746,065 | ||||||
13,000 | KOMERI Company, Ltd. | 268,032 | ||||||
33,400 | Komori Corporation | 390,789 | ||||||
66,700 | K’s Holdings Corporation | 2,271,252 | ||||||
56,000 | Kurabo Industries, Ltd. | 95,458 | ||||||
105,000 | Kureha Corporation | 404,594 | ||||||
9,600 | Kusuri No Aoki Company, Ltd. | 468,584 | ||||||
253,000 | KYB Company, Ltd. | 765,487 | ||||||
41,000 | Kyokuto Securities Company, Ltd. | 516,846 | ||||||
34,200 | KYORIN Holdings, Inc. | 712,592 | ||||||
62,400 | Kyowa Exeo Corporation | 640,636 | ||||||
1,803,121 | Leopalace21 Corporationa | 9,759,819 | ||||||
14,600 | Macnica Fuji Electronics Holdings, Inc.a | 193,534 | ||||||
45,000 | Maeda Road Construction Company, Ltd. | 754,339 | ||||||
77,000 | Makino Milling Machine Company, Ltd. | 579,372 | ||||||
82,300 | Marusan Securities Company, Ltd. | 862,416 | ||||||
15,100 | Maruwa Company, Ltd. | 334,203 | ||||||
100,800 | Marvelous, Inc. | 766,839 | ||||||
84,400 | Matsumotokiyoshi Holdings Company, Ltd. | 4,306,823 | ||||||
37,600 | Meiko Network Japan Company, Ltd. | 436,245 | ||||||
27,900 | Melco Holdings, Inc. | 512,909 | ||||||
3,100 | Mimasu Semiconductor Industry Company, Ltd. | 29,517 | ||||||
80,500 | MIRAIT Holdings Corporation | 663,231 | ||||||
46,100 | Mito Securities Company, Ltd. | 156,140 | ||||||
338,400 | Mitsubishi UFJ Financial Group, Inc. | 2,096,134 | ||||||
3,133,129 | Mitsui Chemicals, Inc. | 13,895,454 | ||||||
9,500 | Mitsui High-tec, Inc. | 59,415 | ||||||
1,218,700 | Mizuho Financial Group, Inc. | 2,437,400 | ||||||
9,800 | Mochida Pharmaceutical Company, Ltd. | 694,468 | ||||||
377 | Mori Trust Sogo REIT, Inc. | 642,958 | ||||||
380,000 | Morinaga and Company, Ltd. | 1,999,033 | ||||||
53,000 | Morinaga Milk Industry Company, Ltd. | 241,435 | ||||||
391,381 | MS and AD Insurance Group Holdings, Inc. | 11,477,120 | ||||||
33,500 | Murata Manufacturing Company, Ltd. | 4,820,023 | ||||||
29,300 | NEC Networks & System Integration Corporation | 518,161 | ||||||
198,500 | Net One Systems Company, Ltd. | 1,270,762 | ||||||
21,000 | Nichirei Corporation | 154,735 | ||||||
89,000 | Nippon Flour Mills Company, Ltd. | 638,493 | ||||||
50,700 | Nippon Paper Industries Company, Ltd. | 820,122 | ||||||
8,000 | Nippon Seiki Company, Ltd. | 183,770 | ||||||
7,101,421 | Nippon Sheet Glass Companya | 5,717,636 | ||||||
34,800 | Nippon Signal Company, Ltd. | 378,952 | ||||||
522,900 | Nippon Suisan Kaisha, Ltd. | 2,926,468 | ||||||
72,000 | Nippon Synthetic Chemical Industry Company, Ltd. | 515,947 | ||||||
50,800 | Nippon Telegraph & Telephone Corporation | 2,021,745 | ||||||
72,000 | Nippon Thompson Company, Ltd. | 312,003 | ||||||
3,271,464 | Nippon Yusen Kabushiki Kaisha | 7,929,022 | ||||||
193,000 | Nishi-Nippon City Bank, Ltd. | 508,683 | ||||||
1,127,275 | Nissan Motor Company, Ltd. | 11,803,406 | ||||||
146,000 | Nisshin Oillio Group, Ltd. | 594,752 | ||||||
13,100 | Nissin Electric Company, Ltd. | 106,290 | ||||||
17,300 | Nissin Kogyo Company, Ltd. | 250,946 | ||||||
28,000 | Nittetsu Mining Company, Ltd. | 122,568 | ||||||
26,200 | Nitto Kogyo Corporation | 458,075 | ||||||
98,900 | North Pacific Bank, Ltd. | 341,382 | ||||||
45,300 | NSD Company, Ltd. | 655,411 | ||||||
62,000 | NTN Corporation | 261,433 | ||||||
11,100 | Ohsho Food Service Corporation | 383,453 | ||||||
43,800 | Okamura Corporation | 436,547 | ||||||
33,000 | Okasan Securities Group, Inc. | 187,887 | ||||||
5,400 | Okinawa Electric Power Company, Inc. | 140,134 | ||||||
145,000 | Okuma Corporation | 1,172,640 | ||||||
76,000 | Otsuka Holdings Company, Ltd. | 2,700,199 | ||||||
52,000 | Paltac Corporation | 924,098 | ||||||
16,000 | PanaHome Corporation | 120,877 | ||||||
2,000 | Paramount Bed Holdings Company, Ltd. | 70,963 | ||||||
19,600 | Parco Company, Ltd. | 179,791 | ||||||
31,500 | Plenus Company, Ltd. | 526,424 | ||||||
28,000 | Riken Corporation | 98,477 | ||||||
11,512 | Riso Kagaku Corporation | 187,416 | ||||||
42,500 | Round One Corporation | 191,920 | ||||||
57,000 | Ryobi, Ltd. | 240,974 | ||||||
15,300 | Ryosan Company, Ltd. | 392,760 | ||||||
15,100 | Saint Marc Holdings Company, Ltd. | 419,602 | ||||||
20,800 | Sangetsu Company, Ltd. | 379,652 | ||||||
48,000 | Sanyo Shokai, Ltd. | 114,522 | ||||||
64,000 | Sanyo Special Steel Company, Ltd. | 302,149 | ||||||
198,100 | Sekisui House, Ltd. | 3,330,805 | ||||||
13,700 | Shimachu Company, Ltd. | 311,602 | ||||||
85,000 | Shindengen Electric Manufacturing Company, Ltd. | 337,275 | ||||||
60,800 | Shinko Electric Industries Company, Ltd. | 389,780 | ||||||
69,000 | ShinMaywa Industries, Ltd. | 618,297 | ||||||
1,479,000 | Showa Denko KK | 1,732,271 | ||||||
174,600 | SKY Perfect JSAT Holdings, Inc. | 981,616 | ||||||
168,508 | SoftBank Group Corporation | 8,504,667 | ||||||
179,900 | Sojitz Corporation | 377,535 | ||||||
108,400 | Sompo Japan Nipponkoa Holdings, Inc. | 3,559,281 | ||||||
937,890 | Sumitomo Corporation | 9,562,099 | ||||||
642,000 | Sumitomo Heavy Industries, Ltd. | 2,877,995 | ||||||
84,200 | Sumitomo Mitsui Financial Group, Inc. | 3,177,796 | ||||||
2,702,284 | Sumitomo Mitsui Trust Holdings, Inc. | 10,234,446 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
148
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (86.6%) | Value | ||||||
| Japan (17.8%) - continued | |||||||
96,000 | Sumitomo Osaka Cement Company, Ltd. | $ | 352,078 | |||||
32,800 | Sumitomo Riko Company, Ltd. | 273,433 | ||||||
31,000 | Sumitomo Seika Chemicals Company, Ltd. | 188,611 | ||||||
15,100 | Tamron Company, Ltd. | 278,580 | ||||||
52,000 | Toagosei Company, Ltd. | 444,595 | ||||||
4,500 | TOCALO Company, Ltd. | 92,853 | ||||||
3,000 | Toei Company, Ltd. | 29,367 | ||||||
156,000 | Toho Holdings Company, Ltd. | 3,791,996 | ||||||
176,800 | Tohoku Electric Power Company, Inc. | 2,210,233 | ||||||
42,000 | Tokai Tokyo Financial Holdings, Inc. | 255,094 | ||||||
70,200 | Tokio Marine Holdings, Inc. | 2,711,449 | ||||||
7,600 | Tokyo Ohka Kogyo Company, Ltd. | 241,508 | ||||||
34,600 | Tokyo Seimitsu Company, Ltd. | 767,107 | ||||||
59,000 | Tokyotokeiba Company, Ltd. | 131,907 | ||||||
721 | Tokyu REIT, Inc. | 909,127 | ||||||
189 | Top REIT, Inc. | 715,875 | ||||||
70,600 | Toppan Forms Company, Ltd. | 837,382 | ||||||
2,900 | Torii Pharmaceutical Company, Ltd. | 66,511 | ||||||
35,000 | Tosei Corporation | 220,809 | ||||||
167,700 | Toyota Motor Corporation | 10,326,802 | ||||||
3,000 | TS Tech Company, Ltd. | 77,590 | ||||||
118,000 | Tsubakimoto Chain Company | 908,592 | ||||||
55,300 | Tsumura & Company | 1,535,604 | ||||||
12,100 | TV Asahi Holdings Corporation | 208,875 | ||||||
3,800 | Unipres Corporation | 85,845 | ||||||
198,300 | UNY Group Holdings Company, Ltd. | 1,246,084 | ||||||
110,800 | Valor Company, Ltd. | 2,613,140 | ||||||
18,600 | Wakita & Company, Ltd. | 160,302 | ||||||
10,500 | Warabeya Nichiyo Company, Ltd. | 199,053 | ||||||
62,200 | West Japan Railway Company | 4,299,453 | ||||||
19,500 | Yorozu Corporation | 443,766 | ||||||
4,900 | Zenkoku Hosho Company, Ltd. | 161,863 | ||||||
|
| |||||||
Total | 286,603,374 | |||||||
|
| |||||||
| Jersey (0.7%) | |||||||
478,480 | Regus plc | 2,351,060 | ||||||
398,350 | WPP plc | 9,162,813 | ||||||
|
| |||||||
Total | 11,513,873 | |||||||
|
| |||||||
| Luxembourg (0.2%) | |||||||
24,803 | Oriflame Cosmetics SAa | 397,489 | ||||||
122,000 | Tenaris SA ADR | 2,903,600 | ||||||
|
| |||||||
Total | 3,301,089 | |||||||
|
| |||||||
| Malaysia (0.2%) | |||||||
1,076,512 | CIMB Group Holdings Berhad | 1,135,060 | ||||||
541,400 | Public Bank Berhad | 2,332,793 | ||||||
|
| |||||||
Total | 3,467,853 | |||||||
|
| |||||||
| Mexico (1.1%) | |||||||
78,000 | Fomento Economico Mexicano SAB de CV ADR | 7,203,300 | ||||||
20,500 | Grupo Aeroportuario del Sureste SAB de CV ADR | 2,883,735 | ||||||
1,128,594 | Grupo Financiero Banorte SAB de CV ADR | 6,220,380 | ||||||
259,000 | Organizacion Soriana SAB de CVa | 593,606 | ||||||
|
| |||||||
Total | 16,901,021 | |||||||
|
| |||||||
| Netherlands (4.8%) | |||||||
2,324,151 | Aegon NV | 13,144,217 | ||||||
223,225 | AerCap Holdings NVa | 9,634,391 | ||||||
2,680 | ASM International NV | 105,066 | ||||||
121,286 | ASML Holding NV | 10,776,501 | ||||||
1,286,233 | BAM Groupa | 7,150,617 | ||||||
17,021 | BE Semiconductor Industries NV | 342,059 | ||||||
44,108 | Corbion NV | 1,067,928 | ||||||
5,741 | Eurocommercial Properties NV | 248,014 | ||||||
22,614 | Euronext NV | 1,160,302 | ||||||
81,575 | Heineken NV | 6,951,610 | ||||||
193,967 | Koninklijke DSM NV | 9,726,614 | ||||||
7,247 | Koninklijke Ten Cate NV | 188,623 | ||||||
45,178 | Koninklijke Vopak NV | 1,945,593 | ||||||
80,703 | NN Group NV | 2,847,452 | ||||||
82,178 | SBM Offshore NVa | 1,038,139 | ||||||
221,490 | Unilever NV | 9,653,495 | ||||||
15,243 | USG People NV | 283,581 | ||||||
17,152 | Vastned Retail NV | 787,987 | ||||||
22,547 | Wessanen | 228,889 | ||||||
|
| |||||||
Total | 77,281,078 | |||||||
|
| |||||||
| New Zealand (0.2%) | |||||||
727,029 | Air New Zealand, Ltd. | 1,466,321 | ||||||
150,114 | Fisher & Paykel Healthcare Corporation, Ltd. | 912,572 | ||||||
138,420 | Nuplex Industries, Ltd. | 449,219 | ||||||
|
| |||||||
Total | 2,828,112 | |||||||
|
| |||||||
| Norway (1.3%) | |||||||
18,950 | Atea ASA | 156,510 | ||||||
78,928 | Austevoll Seafood ASA | 479,447 | ||||||
65,699 | Borregaard ASA | 365,594 | ||||||
24,594 | Leroy Seafood Group ASA | 914,182 | ||||||
761,459 | Marine Harvest ASA | 10,245,299 | ||||||
402,637 | Norsk Hydro ASA | 1,496,642 | ||||||
12,768 | Norwegian Air Shuttle ASAa | 463,795 | ||||||
49,310 | SalMar ASA | 860,554 | ||||||
41,129 | SpareBank 1 SMN | 234,024 | ||||||
153,656 | Statoil ASA | 2,143,006 | ||||||
10,918 | TGS Nopec Geophysical Company ASA | 173,781 | ||||||
73,421 | Yara International ASA | 3,157,710 | ||||||
|
| |||||||
Total | 20,690,544 | |||||||
|
| |||||||
| Philippines (0.5%) | |||||||
6,543,000 | Ayala Land, Inc. | 4,782,754 | ||||||
1,736,270 | Bank of the Philippine Islands | 3,092,443 | ||||||
|
| |||||||
Total | 7,875,197 | |||||||
|
| |||||||
| Poland (0.2%) | |||||||
87,348 | Bank Pekao SA | 3,190,193 | ||||||
|
| |||||||
Total | 3,190,193 | |||||||
|
| |||||||
| Portugal (0.3%) | |||||||
177,048 | Altri SGPS SA | 916,430 | ||||||
6,184,256 | Banco Espirito Santo SAa,c | 672 | ||||||
67,138 | CTT-Correios de Portugal SA | 645,255 | ||||||
198,346 | Jeronimo Martins SGPS SA | 2,580,968 | ||||||
100,700 | Portucel SA | 391,639 | ||||||
|
| |||||||
Total | 4,534,964 | |||||||
|
| |||||||
| Russia (0.5%) | |||||||
124,500 | Lukoil ADR | 4,030,238 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
149
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (86.6%) | Value | ||||||
| Russia (0.5%) - continued | |||||||
24,597 | Magnit PJSC | $ | 3,780,382 | |||||
|
| |||||||
Total | 7,810,620 | |||||||
|
| |||||||
| Singapore (0.1%) | |||||||
295,000 | United Engineers, Ltd. | 412,845 | ||||||
175,400 | Venture Corporation, Ltd. | 1,013,138 | ||||||
|
| |||||||
Total | 1,425,983 | |||||||
|
| |||||||
| South Africa (0.4%) | |||||||
203,584 | Massmart Holdings, Ltd. | 1,317,950 | ||||||
181,479 | MTN Group, Ltd. | 1,563,325 | ||||||
594,000 | Truworths International, Ltd. | 3,501,634 | ||||||
|
| |||||||
Total | 6,382,909 | |||||||
|
| |||||||
| South Korea (1.1%) | |||||||
14,401 | E-Mart Company, Ltd. | 2,310,778 | ||||||
187,980 | KB Financial Group, Inc. | 5,296,113 | ||||||
9,262 | Samsung Electronics Company, Ltd. | 9,878,685 | ||||||
|
| |||||||
Total | 17,485,576 | |||||||
|
| |||||||
| Spain (2.3%) | |||||||
82,727 | Almirall SA | 1,672,014 | ||||||
13,477 | Axiare Patrimonio SOCIMI SA | 193,330 | ||||||
2,023,095 | Banco Popular Espanol SA | 6,665,902 | ||||||
1,371,280 | Banco Santander SA | 6,745,871 | ||||||
91,722 | Ebro Foods SA | 1,804,256 | ||||||
195,180 | Ence Energia y Celulosa SA | 736,965 | ||||||
129,346 | Endesa SAb | 2,598,529 | ||||||
149,574 | Gamesa Corporacion Tecnologia SA | 2,560,715 | ||||||
3,118 | Grupo Catalana Occidente SA | 108,091 | ||||||
1,140,365 | Iberdrola SA | 8,084,060 | ||||||
371,743 | International Consolidated Airlines Group SA | 3,332,019 | ||||||
8,997 | Let’s GOWEX SAa,c | 1 | ||||||
133,748 | Melia Hotels International SA | 1,766,665 | ||||||
83,773 | NH Hotel Group SAa | 458,147 | ||||||
28,348 | Papeles y Cartones de Europa SA | 159,699 | ||||||
12,466 | Viscofan SA | 751,986 | ||||||
|
| |||||||
Total | 37,638,250 | |||||||
|
| |||||||
| Sweden (2.1%) | |||||||
49,378 | Bilia AB | 1,117,076 | ||||||
30,144 | BillerudKorsnas AB | 557,863 | ||||||
7,738 | BioGaia AB | 257,958 | ||||||
174,753 | Boliden AB | 2,927,846 | ||||||
73,849 | Byggmax Group AB | 758,924 | ||||||
42,343 | Castellum AB | 603,018 | ||||||
9,183 | Fabege AB | 151,727 | ||||||
67,177 | Fastighets AB Baldera | 1,653,814 | ||||||
34,028 | Hemfosa Fastigheter AB | 378,057 | ||||||
61,004 | Intrum Justitia AB | 2,075,826 | ||||||
116,942 | Investor AB | 4,297,640 | ||||||
61,139 | Inwido AB | 800,772 | ||||||
93,258 | Loomis AB | 2,909,183 | ||||||
119,167 | Micronic Mydata AB | 1,153,231 | ||||||
7,211 | Net Entertainment NE ABa | 420,271 | ||||||
79,459 | Nobia AB | 994,278 | ||||||
25,822 | Nolato AB | 784,659 | ||||||
8,951 | Peab AB | 68,540 | ||||||
120,013 | Svenska Cellulosa AB SCA | 3,477,991 | ||||||
884,225 | Volvo AB | 8,199,029 | ||||||
8,882 | Wihlborgs Fastigheter AB | 179,112 | ||||||
|
| |||||||
Total | 33,766,815 | |||||||
|
| |||||||
| Switzerland (7.2%) | |||||||
152,177 | Adecco SA | 10,415,411 | ||||||
20,345 | Ascom Holding AG | 322,412 | ||||||
3,729 | Autoneum Holding AG | 750,849 | ||||||
515 | Banque Cantonale Vaudoise | 326,724 | ||||||
3,384 | Cembra Money Bank AGa | 217,581 | ||||||
424,926 | Credit Suisse Group AG | 9,153,740 | ||||||
572 | Daetwyler Holding AG | 81,719 | ||||||
3,334 | dorma+kaba Holding AG | 2,264,220 | ||||||
483 | Emmi AGa | 217,124 | ||||||
1,900 | Flughafen Zuerich AG | 1,425,593 | ||||||
1,243 | Forbo Holding AG | 1,463,481 | ||||||
17,194 | Georg Fischer AG | 11,673,052 | ||||||
619 | Helvetia Holding AG | 348,688 | ||||||
170,394 | LafargeHolcim, Ltd. | 8,532,450 | ||||||
27,132 | Lonza Group AG | 4,412,610 | ||||||
2,713 | Mobilezone Holding AG | 38,869 | ||||||
3,665 | Mobimo Holding AG | 813,590 | ||||||
157,138 | Nestle SA | 11,665,179 | ||||||
234,631 | Novartis AG | 20,182,789 | ||||||
94,401 | Roche Holding AG | 26,159,311 | ||||||
341 | Schweiter Technologies AG | 288,349 | ||||||
6,908 | Tecan Group AG | 1,119,006 | ||||||
18,243 | Temenos Group AG | 942,225 | ||||||
74,020 | UBS Group AG | 1,435,949 | ||||||
4,207 | Valiant Holding AG | 494,117 | ||||||
7,652 | Zehnder Group AG | 293,750 | ||||||
|
| |||||||
Total | 115,038,788 | |||||||
|
| |||||||
| Taiwan (0.6%) | |||||||
662,300 | Taiwan Mobile Company, Ltd. | 2,011,318 | ||||||
1,838,951 | Taiwan Semiconductor Manufacturing Company, Ltd. | 7,933,678 | ||||||
|
| |||||||
Total | 9,944,996 | |||||||
|
| |||||||
| Thailand (1.0%) | |||||||
19,481,969 | Krung Thai Bank pcl | 8,985,003 | ||||||
294,600 | Siam Cement pcl | 3,718,091 | ||||||
1,099,500 | Siam Commercial Bank pcl | 3,626,864 | ||||||
|
| |||||||
Total | 16,329,958 | |||||||
|
| |||||||
| Turkey (0.6%) | |||||||
1,424,982 | Akbank TAS | 3,267,520 | ||||||
186,340 | BIM Birlesik Magazalar AS | 3,279,982 | ||||||
1,300,000 | Turkiye Garanti Bankasi AS | 3,167,019 | ||||||
|
| |||||||
Total | 9,714,521 | |||||||
|
| |||||||
| United Kingdom (8.8%) | |||||||
465,435 | 3i Group plc | 3,297,075 | ||||||
6,797 | Abcam plc | 66,583 | ||||||
191,668 | Ashtead Group plc | 3,154,460 | ||||||
1,390,457 | BAE Systems plc | 10,237,322 | ||||||
173,210 | Bellway plc | 7,242,546 | ||||||
54,310 | Berendsen plc | 860,980 | ||||||
54,288 | Berkeley Group Holdings plc | 2,951,304 | ||||||
68,801 | Betfair Group plc | 3,955,882 | ||||||
107,000 | BHP Billiton plc | 1,198,156 | ||||||
50,752 | Big Yellow Group plc | 602,000 | ||||||
36,801 | Bodycote plc | 307,216 | ||||||
731,021 | Booker Group plc | 1,951,013 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
150
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (86.6%) | Value | ||||||
| United Kingdom (8.8%) - continued | |||||||
11,770 | Bovis Homes Group plc | $ | 176,038 | |||||
154,369 | Britvic plc | 1,653,952 | ||||||
94,018 | Dart Group plc | 815,674 | ||||||
88,296 | Debenhams plc | 95,198 | ||||||
62,343 | Dialog Semiconductor plca,b | 2,080,312 | ||||||
29,192 | Diploma plc | 327,497 | ||||||
610,962 | Direct Line Insurance Group plc | 3,662,196 | ||||||
10,854 | Domino’s Pizza Group plc | 168,227 | ||||||
347,704 | DS Smith plc | 2,033,930 | ||||||
68,767 | Galliford Try plc | 1,545,181 | ||||||
139,918 | Globo plca,c | 21 | ||||||
19,563 | Go-Ahead Group plc | 769,738 | ||||||
128,285 | Great Portland Estates plc | 1,563,604 | ||||||
193,987 | Greggs plc | 3,760,813 | ||||||
202,909 | Hansteen Holdings plc | 343,933 | ||||||
130,406 | Hiscox, Ltd. | 2,021,738 | ||||||
14,753 | HomeServe plc | 90,390 | ||||||
588,795 | Howden Joinery Group plc | 4,562,038 | ||||||
24,504 | Hunting plc | 110,371 | ||||||
142,519 | IG Group Holdings plc | 1,684,945 | ||||||
100,007 | Imperial Tobacco Group plc | 5,282,167 | ||||||
393,623 | Inchcape plc | 4,541,522 | ||||||
152,705 | Indivior plc | 421,994 | ||||||
488,632 | Intermediate Capital Group plc | 4,504,504 | ||||||
1,515,365 | ITV plc | 6,169,620 | ||||||
244,193 | John Wood Group plc | 2,199,269 | ||||||
15,435 | Keller Group plc | 189,034 | ||||||
150,091 | Lancashire Holdings, Ltd. | 1,384,313 | ||||||
272,374 | LondonMetric Property plc | 657,992 | ||||||
31,442 | Lookers plc | 85,669 | ||||||
695,222 | Man Group plc | 1,788,475 | ||||||
45,639 | Micro Focus International plc | 1,071,797 | ||||||
145,455 | Mitie Group plc | 666,421 | ||||||
156,928 | Mondi plc | 3,075,923 | ||||||
249,946 | Moneysupermarket.com Group plc | 1,352,114 | ||||||
32,417 | OneSavings Bank plc | 169,750 | ||||||
131,986 | Pace plcc | 844,883 | ||||||
145,102 | Paragon Group of Companies plc | 754,345 | ||||||
70,328 | Persimmon plc | 2,098,132 | ||||||
235,012 | Prudential plc | 5,294,732 | ||||||
526,873 | QinetiQ Group plc | 2,099,975 | ||||||
67,571 | Redde plc | 205,204 | ||||||
210,846 | Rentokil Initial plc | 494,699 | ||||||
299,506 | Rexam plc | 2,671,460 | ||||||
14,640 | Rightmove plc | 889,678 | ||||||
177,924 | Royal Dutch Shell plc | 4,055,077 | ||||||
89,588 | SABMiller plc | 5,400,298 | ||||||
81,906 | Safestore Holdings plc | 430,615 | ||||||
47,971 | Savills plc | 627,152 | ||||||
7,034 | Shire plc | 482,587 | ||||||
371,895 | Standard Chartered plc | 3,085,688 | ||||||
14,259 | SVG Capital plca | 103,326 | ||||||
95,165 | Synthomer plc | 444,514 | ||||||
1,434,609 | Taylor Wimpey plc | 4,288,593 | ||||||
91,304 | Travis Perkins plc | 2,648,788 | ||||||
104,967 | Tullett Prebon plc | 574,171 | ||||||
85,376 | Unilever plc | 3,661,983 | ||||||
17,383 | UNITE Group plc | 167,930 | ||||||
11,841 | Victrex plc | 313,914 | ||||||
38,205 | WH Smith plc | 992,722 | ||||||
14,713 | Workspace Group plc | 207,214 | ||||||
54,748 | WS Atkins plc | 1,308,208 | ||||||
|
| |||||||
Total | 140,996,785 | |||||||
|
| |||||||
| United States (0.2%) | |||||||
42,700 | Yum! Brands, Inc. | 3,119,235 | ||||||
|
| |||||||
Total | 3,119,235 | |||||||
|
| |||||||
Total Common Stock (cost $1,387,207,486) | 1,391,164,409 | |||||||
|
|
Principal Amount | Long-Term Fixed Income (10.8%) | |||||||
| Argentina (0.3%) | |||||||
Arcos Dorados BV | ||||||||
$ | 161,000 | 6.625%, 9/27/2023d | 148,925 | |||||
Argentina Government International Bond | ||||||||
60,000 | Zero Coupon, 6/2/2017e | 68,550 | ||||||
688,052 | 7.820%, 12/31/2033e,f | 787,001 | ||||||
757,100 | 8.280%, 12/31/2033e | 849,845 | ||||||
1,219,773 | 8.280%, 12/31/2033e | 1,402,739 | ||||||
320,000 | 0.000%, 12/15/2035g | 30,880 | ||||||
9,582,000 | 0.000%, 12/15/2035f,g | 983,015 | ||||||
1,117,000 | 0.000%, 12/15/2035g | 113,375 | ||||||
710,000 | 2.500%, 12/31/2038e,h | 443,750 | ||||||
|
| |||||||
Total | 4,828,080 | |||||||
|
| |||||||
| Azerbaijan (<0.1%) | |||||||
State Oil Company of Azerbaijan Republic | ||||||||
400,000 | 5.450%, 2/9/2017 | 403,077 | ||||||
420,000 | 4.750%, 3/13/2023 | 354,802 | ||||||
|
| |||||||
Total | 757,879 | |||||||
|
| |||||||
| Belize (<0.1%) | |||||||
Belize Government International Bond | ||||||||
116,500 | 5.000%, 2/20/2038*,h | 83,880 | ||||||
|
| |||||||
Total | 83,880 | |||||||
|
| |||||||
| Bermuda (<0.1%) | |||||||
Digicel Group, Ltd. | ||||||||
210,000 | 8.250%, 9/30/2020* | 173,250 | ||||||
|
| |||||||
Total | 173,250 | |||||||
|
| |||||||
| Brazil (0.4%) | |||||||
Banco do Brasil SA/Cayman | ||||||||
600,000 | 9.000%, 6/18/2049i | 393,000 | ||||||
840,000 | 6.250%, 10/15/2049i | 407,400 | ||||||
Brazil Government International Bond | ||||||||
1,516,000 | 6.000%, 8/15/2050j | 925,868 | ||||||
540,000 | 4.250%, 1/7/2025 | 434,700 | ||||||
800,000 | 5.000%, 1/27/2045 | 534,000 | ||||||
Brazil Loan Trust 1 | ||||||||
549,502 | 5.477%, 7/24/2023 | 468,450 | ||||||
1,071,062 | 5.477%, 7/24/2023* | 913,081 | ||||||
Brazil Minas SPE via State of Minas Gerais | ||||||||
1,579,000 | 5.333%, 2/15/2028 | 1,188,197 | ||||||
1,480,000 | 5.333%, 2/15/2028* | 1,113,700 | ||||||
Independencia International, Ltd. | ||||||||
95,246 | 12.000%, 12/30/2016*,c,e | 0 | ||||||
Tupy SA | ||||||||
450,000 | 6.625%, 7/17/2024d | 392,625 | ||||||
|
| |||||||
Total | 6,771,021 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
151
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (10.8%) | Value | ||||||
| Bulgaria (<0.1%) | |||||||
Bulgaria Government International Bond | ||||||||
$ | 180,000 | 4.250%, 7/9/2017f | $ | 207,991 | ||||
|
| |||||||
Total | 207,991 | |||||||
|
| |||||||
| Cayman Islands (<0.1%) | |||||||
Agromercantil Senior Trust | ||||||||
110,000 | 6.250%, 4/10/2019 | 110,825 | ||||||
|
| |||||||
Total | 110,825 | |||||||
|
| |||||||
| Chile (0.5%) | |||||||
AES Gener SA | ||||||||
120,000 | 5.250%, 8/15/2021d | 123,070 | ||||||
620,000 | 5.250%, 8/15/2021 | 635,859 | ||||||
Banco del Estado de Chile | ||||||||
260,000 | 4.125%, 10/7/2020d | 268,047 | ||||||
500,000 | 4.125%, 10/7/2020 | 515,476 | ||||||
Chile Government International Bond | ||||||||
1,170,000 | 2.250%, 10/30/2022 | 1,127,588 | ||||||
150,000 | 3.625%, 10/30/2042 | 130,500 | ||||||
Corpbanca SA | ||||||||
552,000 | 3.875%, 9/22/2019d | 546,762 | ||||||
E.CL SA | ||||||||
220,000 | 5.625%, 1/15/2021d | 237,466 | ||||||
Empresa Electrica Angamos SA | ||||||||
1,410,000 | 4.875%, 5/25/2029d | 1,257,843 | ||||||
GNL Quintero SA | ||||||||
200,000 | 4.634%, 7/31/2029 | 189,016 | ||||||
1,340,000 | 4.634%, 7/31/2029d | 1,266,411 | ||||||
Sociedad Quimica y Minera de Chile SA | ||||||||
120,000 | 5.500%, 4/21/2020 | 118,853 | ||||||
210,000 | 3.625%, 4/3/2023 | 180,600 | ||||||
448,000 | 4.375%, 1/28/2025* | 390,880 | ||||||
|
| |||||||
Total | 6,988,371 | |||||||
|
| |||||||
| China (<0.1%) | |||||||
Biostime International Holdings, Ltd. | ||||||||
2,000,000 | Zero Coupon, 2/20/2019k | 241,289 | ||||||
|
| |||||||
Total | 241,289 | |||||||
|
| |||||||
| Colombia (0.6%) | |||||||
Banco de Bogota SA | ||||||||
850,000 | 5.000%, 1/15/2017 | 861,475 | ||||||
Colombia Government International Bond | ||||||||
40,000 | 8.700%, 2/15/2016 | 40,327 | ||||||
920,000 | 7.375%, 1/27/2017 | 966,000 | ||||||
277,000 | 7.375%, 3/18/2019 | 310,656 | ||||||
70,000 | 8.125%, 5/21/2024 | 83,930 | ||||||
560,000 | 4.500%, 1/28/2026 | 534,800 | ||||||
130,000 | 7.375%, 9/18/2037 | 143,325 | ||||||
1,200,000 | 6.125%, 1/18/2041 | 1,158,000 | ||||||
1,710,000 | 5.625%, 2/26/2044 | 1,560,375 | ||||||
3,120,000 | 5.000%, 6/15/2045 | 2,605,200 | ||||||
Ecopetrol SA | ||||||||
80,000 | 7.375%, 9/18/2043 | 67,200 | ||||||
|
| |||||||
Total | 8,331,288 | |||||||
|
| |||||||
| Costa Rica (0.3%) | |||||||
Banco de Costa Rica | ||||||||
200,000 | 5.250%, 8/12/2018 | 200,500 | ||||||
410,000 | 5.250%, 8/12/2018d | 411,025 | ||||||
Banco Nacional de Costa Rica | ||||||||
410,000 | 4.875%, 11/1/2018d | 406,925 | ||||||
890,000 | 6.250%, 11/1/2023d | 854,400 | ||||||
Costa Rica Government International Bond | ||||||||
30,000 | 9.995%, 8/1/2020 | 35,662 | ||||||
720,000 | 5.625%, 4/30/2043 | 513,000 | ||||||
690,000 | 7.000%, 4/4/2044 | 575,288 | ||||||
2,060,000 | 7.158%, 3/12/2045d | 1,725,250 | ||||||
|
| |||||||
Total | 4,722,050 | |||||||
|
| |||||||
| Croatia (0.4%) | |||||||
Croatia Government International Bond | ||||||||
430,000 | 6.750%, 11/5/2019 | 460,638 | ||||||
320,000 | 6.375%, 3/24/2021d | 339,840 | ||||||
2,360,000 | 3.875%, 5/30/2022f | 2,571,155 | ||||||
2,320,000 | 3.000%, 3/11/2025f | 2,299,401 | ||||||
|
| |||||||
Total | 5,671,034 | |||||||
|
| |||||||
| Czech Republic (<0.1%) | |||||||
Czech Republic Government Bond | ||||||||
7,660,000 | 0.370%, 10/27/2016g,l | 310,587 | ||||||
|
| |||||||
Total | 310,587 | |||||||
|
| |||||||
| Dominican Republic (0.6%) | |||||||
Aeropuertos Dominicanos Siglo XXI SA | ||||||||
800,000 | 9.750%, 11/13/2019 | 832,000 | ||||||
Dominican Republic Government International Bond | ||||||||
79,892 | 9.040%, 1/23/2018 | 84,486 | ||||||
8,100,000 | 15.000%, 4/5/2019m | 201,989 | ||||||
3,600,000 | 16.000%, 7/10/2020m | 94,698 | ||||||
813,000 | 7.500%, 5/6/2021 | 871,942 | ||||||
200,000 | 16.950%, 2/4/2022m | 5,619 | ||||||
500,000 | 10.375%, 3/4/2022m | 10,869 | ||||||
6,000,000 | 11.500%, 5/10/2024m | 137,464 | ||||||
310,000 | 8.625%, 4/20/2027 | 359,600 | ||||||
2,700,000 | 18.500%, 2/4/2028d,m | 84,772 | ||||||
14,300,000 | 11.375%, 7/6/2029m | 320,049 | ||||||
1,102,000 | 7.450%, 4/30/2044 | 1,110,265 | ||||||
1,420,000 | 7.450%, 4/30/2044d | 1,430,650 | ||||||
2,410,000 | 6.850%, 1/27/2045d | 2,271,425 | ||||||
2,237,000 | 6.850%, 1/27/2045 | 2,108,373 | ||||||
|
| |||||||
Total | 9,924,201 | |||||||
|
| |||||||
| Ecuador (0.1%) | |||||||
Ecuador Government International Bond | ||||||||
340,000 | 10.500%, 3/24/2020d | 273,700 | ||||||
600,000 | 10.500%, 3/24/2020 | 483,000 | ||||||
200,000 | 7.950%, 6/20/2024 | 147,500 | ||||||
EP PetroEcuador | ||||||||
394,737 | 6.224%, 9/24/2019g | 323,684 | ||||||
|
| |||||||
Total | 1,227,884 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
152
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PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (10.8%) | Value | ||||||
| El Salvador (0.2%) | |||||||
El Salvador Government International Bond | ||||||||
$ | 100,000 | 7.375%, 12/1/2019 | $ | 99,650 | ||||
260,000 | 7.750%, 1/24/2023 | 253,500 | ||||||
1,013,000 | 5.875%, 1/30/2025 | 845,855 | ||||||
585,000 | 6.375%, 1/18/2027 | 494,325 | ||||||
530,000 | 8.250%, 4/10/2032 | 494,225 | ||||||
480,000 | 7.650%, 6/15/2035 | 409,200 | ||||||
319,000 | 7.625%, 2/1/2041 | 269,954 | ||||||
|
| |||||||
Total | 2,866,709 | |||||||
|
| |||||||
| Ethiopia (0.1%) | |||||||
Ethiopia Government International Bond | ||||||||
210,000 | 6.625%, 12/11/2024d | 185,955 | ||||||
790,000 | 6.625%, 12/11/2024 | 699,545 | ||||||
|
| |||||||
Total | 885,500 | |||||||
|
| |||||||
| Gabon (<0.1%) | |||||||
Gabon Government International Bond | ||||||||
140,000 | 8.200%, 12/12/2017 | 140,280 | ||||||
200,000 | 6.375%, 12/12/2024 | 158,716 | ||||||
|
| |||||||
Total | 298,996 | |||||||
|
| |||||||
| Ghana (0.1%) | |||||||
Ghana Government International Bond | ||||||||
890,000 | 10.750%, 10/14/2030d | 902,905 | ||||||
|
| |||||||
Total | 902,905 | |||||||
|
| |||||||
| Guatemala (0.1%) | |||||||
Agromercantil Senior Trust | ||||||||
320,000 | 6.250%, 4/10/2019d | 322,400 | ||||||
Guatemala Government International Bond | ||||||||
450,000 | 5.750%, 6/6/2022 | 471,375 | ||||||
870,000 | 4.875%, 2/13/2028 | 833,025 | ||||||
380,000 | 4.875%, 2/13/2028d | 363,850 | ||||||
|
| |||||||
Total | 1,990,650 | |||||||
|
| |||||||
| Honduras (0.1%) | |||||||
Honduras Government International Bond | ||||||||
675,000 | 8.750%, 12/16/2020 | 745,875 | ||||||
1,370,000 | 8.750%, 12/16/2020* | 1,513,850 | ||||||
270,000 | 7.500%, 3/15/2024* | 284,175 | ||||||
|
| |||||||
Total | 2,543,900 | |||||||
|
| |||||||
| Hong Kong (<0.1%) | |||||||
China Resources Cement Holdings, Ltd. | ||||||||
200,000 | 2.125%, 10/5/2017 | 199,372 | ||||||
Wharf Finance, Ltd. | ||||||||
200,000 | 4.625%, 2/8/2017 | 205,193 | ||||||
|
| |||||||
Total | 404,565 | |||||||
|
| |||||||
| Hungary (0.6%) | |||||||
Hungary Government International Bond | ||||||||
513,000 | 3.500%, 7/18/2016f | 567,318 | ||||||
790,000 | 4.375%, 7/4/2017f | 911,165 | ||||||
1,840,000 | 5.750%, 6/11/2018f | 2,233,795 | ||||||
700,000 | 6.000%, 1/11/2019f | 874,011 | ||||||
1,610,000 | 6.250%, 1/29/2020 | 1,800,431 | ||||||
70,000 | 5.375%, 2/21/2023 | 76,300 | ||||||
1,090,000 | 5.750%, 11/22/2023 | 1,219,601 | ||||||
220,000 | 5.375%, 3/25/2024 | 240,900 | ||||||
680,000 | 7.625%, 3/29/2041 | 920,121 | ||||||
MFB Magyar Fejlesztesi Bank Zrt | ||||||||
210,000 | 6.250%, 10/21/2020d | 231,179 | ||||||
|
| |||||||
Total | 9,074,821 | |||||||
|
| |||||||
| India (<0.1%) | |||||||
Adani Ports and Special Economic Zone, Ltd. | ||||||||
200,000 | 3.500%, 7/29/2020d | 197,078 | ||||||
Greenko Dutch BV | ||||||||
480,000 | 8.000%, 8/1/2019d | 503,760 | ||||||
|
| |||||||
Total | 700,838 | |||||||
|
| |||||||
| Indonesia (0.7%) | |||||||
Indonesia Government International Bond | ||||||||
310,000 | 6.875%, 1/17/2018* | 336,208 | ||||||
560,000 | 11.625%, 3/4/2019 | 703,262 | ||||||
470,000 | 5.375%, 10/17/2023 | 488,653 | ||||||
810,000 | 5.875%, 1/15/2024 | 867,764 | ||||||
2,850,000 | 4.750%, 1/8/2026d | 2,814,837 | ||||||
585,000 | 8.500%, 10/12/2035 | 727,592 | ||||||
200,000 | 6.625%, 2/17/2037 | 209,557 | ||||||
520,000 | 7.750%, 1/17/2038 | 608,315 | ||||||
1,230,000 | 5.250%, 1/17/2042 | 1,110,697 | ||||||
200,000 | 4.625%, 4/15/2043 | 171,700 | ||||||
400,000 | 6.750%, 1/15/2044 | 428,722 | ||||||
400,000 | 5.125%, 1/15/2045 | 361,739 | ||||||
700,000 | 5.125%, 1/15/2045d | 633,043 | ||||||
Majapahit Holding BV | ||||||||
100,000 | 7.750%, 10/17/2016 | 104,375 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
200,000 | 4.000%, 11/21/2018d | 208,000 | ||||||
380,000 | 4.350%, 9/10/2024d | 363,250 | ||||||
730,000 | 4.325%, 5/28/2025d | 696,274 | ||||||
PT Pertamina Persero | ||||||||
390,000 | 5.625%, 5/20/2043d | 305,231 | ||||||
PT Perusahaan Gas Negara (Persero) Tbk PT | ||||||||
410,000 | 5.125%, 5/16/2024 | 392,162 | ||||||
|
| |||||||
Total | 11,531,381 | |||||||
|
| |||||||
| Iraq (0.1%) | |||||||
Iraq Government International Bond | ||||||||
1,200,000 | 5.800%, 1/15/2028 | 807,648 | ||||||
|
| |||||||
Total | 807,648 | |||||||
|
| |||||||
| Israel (<0.1%) | |||||||
Delek and Avner Yam Tethys, Ltd. | ||||||||
110,000 | 2.803%, 12/30/2016d | 109,687 | ||||||
110,000 | 3.839%, 12/30/2018d | 111,131 | ||||||
|
| |||||||
Total | 220,818 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
153
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PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (10.8%) | Value | ||||||
| Jamaica (<0.1%) | |||||||
Digicel, Ltd. | ||||||||
$ | 770,000 | 6.750%, 3/1/2023d | $ | 642,950 | ||||
|
| |||||||
Total | 642,950 | |||||||
|
| |||||||
| Kazakhstan (0.2%) | |||||||
Kazakhstan Government International Bond | ||||||||
1,050,000 | 5.125%, 7/21/2025d | 1,034,796 | ||||||
320,000 | 4.875%, 10/14/2044d | 266,941 | ||||||
1,550,000 | 6.500%, 7/21/2045d | 1,523,712 | ||||||
KazMunayGas National Company JSC | ||||||||
330,000 | 9.125%, 7/2/2018 | 362,670 | ||||||
|
| |||||||
Total | 3,188,119 | |||||||
|
| |||||||
| Kenya (0.1%) | |||||||
Kenya Government International Bond | ||||||||
470,000 | 6.875%, 6/24/2024d | 411,250 | ||||||
1,880,000 | 6.875%, 6/24/2024 | 1,645,000 | ||||||
|
| |||||||
Total | 2,056,250 | |||||||
|
| |||||||
| Latvia (<0.1%) | |||||||
Latvia Government International Bond | ||||||||
581,000 | 5.250%, 2/22/2017 | 607,319 | ||||||
|
| |||||||
Total | 607,319 | |||||||
|
| |||||||
| Luxembourg (0.2%) | |||||||
Altice Financing SA | ||||||||
290,000 | 6.625%, 2/15/2023d | 286,375 | ||||||
Gazprom Neft OAO Via GPN Capital SA | ||||||||
1,590,000 | 6.000%, 11/27/2023d | 1,496,502 | ||||||
Telefonica Celular del Paraguay SA | ||||||||
400,000 | 6.750%, 12/13/2022 | 365,000 | ||||||
Tupy Overseas SA | ||||||||
222,000 | 6.625%, 7/17/2024 | 193,695 | ||||||
Wind Acquisition Finance SA | ||||||||
280,000 | 4.000%, 7/15/2020*,f | 302,770 | ||||||
360,000 | 7.000%, 4/23/2021f | 386,342 | ||||||
270,000 | 7.375%, 4/23/2021 | 255,150 | ||||||
500,000 | 7.375%, 4/23/2021d | 472,500 | ||||||
|
| |||||||
Total | 3,758,334 | |||||||
|
| |||||||
| Macedonia, The Former Yugoslav Republic Of (0.1%) | |||||||
Macedonia International Government Bond | ||||||||
790,000 | 4.875%, 12/1/2020d,f | 851,382 | ||||||
|
| |||||||
Total | 851,382 | |||||||
|
| |||||||
| Mexico (0.9%) | |||||||
America Movil SAB de CV | ||||||||
2,600,000 | 6.000%, 6/9/2019n | 150,045 | ||||||
Cemex SAB de CV | ||||||||
180,000 | 4.750%, 1/11/2022d,f | 180,945 | ||||||
Gruma, SAB de CV | ||||||||
340,000 | 4.875%, 12/1/2024d | 347,650 | ||||||
Grupo Cementos de Chihuahua SAB de CV | ||||||||
200,000 | 8.125%, 2/8/2020d | 205,000 | ||||||
Metalsa SA de CV | ||||||||
350,000 | 4.900%, 4/24/2023d | 301,000 | ||||||
Mexican Bonos | ||||||||
10,503,200 | 7.750%, 11/23/2034n | 666,306 | ||||||
Mexican Cetes | ||||||||
116,734,400 | Zero Coupon, 1/21/2016n | 676,124 | ||||||
56,878,800 | Zero Coupon, 1/28/2016n | 329,260 | ||||||
78,438,100 | Zero Coupon, 2/4/2016n | 453,798 | ||||||
410,560,000 | Zero Coupon, 2/25/2016n | 2,371,145 | ||||||
203,644,400 | Zero Coupon, 3/3/2016n | 1,175,441 | ||||||
205,011,500 | Zero Coupon, 3/10/2016n | 1,182,250 | ||||||
Mexican Udibonos | ||||||||
4,656,003 | 5.000%, 6/16/2016n | 276,235 | ||||||
Mexico Government International Bond | ||||||||
240,000 | 4.000%, 3/15/2115f | 217,832 | ||||||
170,000 | 3.625%, 3/15/2022 | 171,020 | ||||||
3,584,100 | 10.000%, 12/5/2024n | 261,790 | ||||||
560,000 | 6.050%, 1/11/2040 | 613,200 | ||||||
1,150,000 | 4.750%, 3/8/2044 | 1,047,650 | ||||||
897,000 | 5.550%, 1/21/2045 | 919,425 | ||||||
1,766,000 | 4.600%, 1/23/2046 | 1,562,910 | ||||||
304,000 | 5.750%, 10/12/2110 | 283,480 | ||||||
Trust F/1401 | ||||||||
200,000 | 6.950%, 1/30/2044 | 198,500 | ||||||
210,000 | 6.950%, 1/30/2044* | 208,425 | ||||||
|
| |||||||
Total | 13,799,431 | |||||||
|
| |||||||
| Montenegro (<0.1%) | |||||||
Montenegro Government International Bond | ||||||||
200,000 | 3.875%, 3/18/2020d,f | 205,286 | ||||||
|
| |||||||
Total | 205,286 | |||||||
|
| |||||||
| Mozambique (<0.1%) | |||||||
Mozambique EMATUM Finance 2020 BV | ||||||||
436,800 | 6.305%, 9/11/2020 | 363,636 | ||||||
|
| |||||||
Total | 363,636 | |||||||
|
| |||||||
| Namibia (<0.1%) | |||||||
Namibia Government International Bond | ||||||||
270,000 | 5.250%, 10/29/2025d | 251,100 | ||||||
|
| |||||||
Total | 251,100 | |||||||
|
| |||||||
| Netherlands (<0.1%) | |||||||
Listrindo Capital BV | ||||||||
340,000 | 6.950%, 2/21/2019 | 348,500 | ||||||
|
| |||||||
Total | 348,500 | |||||||
|
| |||||||
| Nigeria (<0.1%) | |||||||
Nigeria Government International Bond | ||||||||
200,000 | 6.750%, 1/28/2021 | 185,750 | ||||||
400,000 | 6.375%, 7/12/2023 | 352,000 | ||||||
|
| |||||||
Total | 537,750 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
154
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (10.8%) | Value | ||||||
| Pakistan (0.1%) |
| ||||||
Pakistan Government International Bond | ||||||||
$ | 370,000 | 6.875%, 6/1/2017 | $ | 377,403 | ||||
200,000 | 7.250%, 4/15/2019d | 203,697 | ||||||
210,000 | 6.750%, 12/3/2019* | 211,255 | ||||||
260,000 | 8.250%, 4/15/2024d | 266,605 | ||||||
|
| |||||||
Total | 1,058,960 | |||||||
|
| |||||||
| Panama (0.1%) |
| ||||||
Panama Government International Bond | ||||||||
10,000 | 8.875%, 9/30/2027 | 13,825 | ||||||
899,000 | 9.375%, 4/1/2029 | 1,294,560 | ||||||
Panama Notas del Tesoro | ||||||||
110,000 | 4.875%, 2/5/2021 | 115,601 | ||||||
|
| |||||||
Total | 1,423,986 | |||||||
|
| |||||||
| Paraguay (0.1%) |
| ||||||
Banco Continental SAECA | ||||||||
451,000 | 8.875%, 10/15/2017 | 458,893 | ||||||
170,000 | 8.875%, 10/15/2017* | 172,975 | ||||||
Banco Regional SAECA | ||||||||
196,000 | 8.125%, 1/24/2019 | 199,430 | ||||||
590,000 | 8.125%, 1/24/2019d | 600,325 | ||||||
Paraguay Government International Bond | ||||||||
600,000 | 6.100%, 8/11/2044 | 573,000 | ||||||
|
| |||||||
Total | 2,004,623 | |||||||
|
| |||||||
| Peru (0.1%) |
| ||||||
Abengoa Transmision Sur SA | ||||||||
200,000 | 6.875%, 4/30/2043 | 207,500 | ||||||
590,000 | 6.875%, 4/30/2043* | 612,125 | ||||||
Corporacion Financiera de Desarrollo SA | ||||||||
200,000 | 4.750%, 2/8/2022 | 203,000 | ||||||
200,000 | 4.750%, 2/8/2022d | 203,000 | ||||||
Corporacion Lindley SA | ||||||||
70,000 | 6.750%, 11/23/2021d | 76,475 | ||||||
690,000 | 6.750%, 11/23/2021 | 753,825 | ||||||
92,000 | 4.625%, 4/12/2023 | 90,620 | ||||||
100,000 | 4.625%, 4/12/2023d | 98,500 | ||||||
|
| |||||||
Total | 2,245,045 | |||||||
|
| |||||||
| Philippines (0.1%) |
| ||||||
Energy Development Corporation | ||||||||
430,000 | 6.500%, 1/20/2021 | 471,366 | ||||||
Philippines Government International Bond | ||||||||
810,000 | 9.875%, 1/15/2019 | 1,002,074 | ||||||
300,000 | 10.625%, 3/16/2025 | 471,504 | ||||||
218,000 | 7.750%, 1/14/2031 | 306,283 | ||||||
|
| |||||||
Total | 2,251,227 | |||||||
|
| |||||||
| Romania (<0.1%) | |||||||
Romania Government International Bond | ||||||||
538,000 | 5.250%, 6/17/2016f | 597,639 | ||||||
|
| |||||||
Total | 597,639 | |||||||
|
| |||||||
| Russia (0.2%) | |||||||
AHML Finance, Ltd. | ||||||||
10,700,000 | 7.750%, 2/13/2018*,o | 136,125 | ||||||
EDC Finance, Ltd. | ||||||||
300,000 | 4.875%, 4/17/2020d | 262,919 | ||||||
Gazprom Neft OAO Via GPN Capital SA | ||||||||
814,000 | 4.375%, 9/19/2022 | 719,983 | ||||||
200,000 | 6.000%, 11/27/2023 | 188,239 | ||||||
Lukoil International Finance BV | ||||||||
220,000 | 3.416%, 4/24/2018 | 214,214 | ||||||
310,000 | 6.125%, 11/9/2020 | 315,285 | ||||||
Mobile Telesystems OJSC | ||||||||
620,000 | 5.000%, 5/30/2023 | 571,950 | ||||||
Phosagro OAO via Phosagro Bond Funding, Ltd. | ||||||||
230,000 | 4.204%, 2/13/2018 | 227,068 | ||||||
310,000 | 4.204%, 2/13/2018* | 306,047 | ||||||
|
| |||||||
Total | 2,941,830 | |||||||
|
| |||||||
| South Africa (0.4%) | |||||||
South Africa Government International Bond | ||||||||
110,000 | 4.665%, 1/17/2024 | 104,637 | ||||||
3,879,000 | 5.875%, 9/16/2025 | 3,965,153 | ||||||
100,000 | 6.250%, 3/8/2041 | 102,000 | ||||||
1,050,000 | 5.375%, 7/24/2044 | 945,000 | ||||||
|
| |||||||
Total | 5,116,790 | |||||||
|
| |||||||
| South Korea (0.1%) | |||||||
Export-Import Bank of Korea | ||||||||
270,000 | 0.987%, 8/14/2017*,g | 269,574 | ||||||
Kookmin Bank | ||||||||
200,000 | 1.571%, 10/11/2016g | 200,840 | ||||||
Korea Development Bank | ||||||||
350,000 | 3.250%, 3/9/2016 | 351,380 | ||||||
Korea East-West Power Company, Ltd. | ||||||||
200,000 | 2.500%, 7/16/2017 | 200,991 | ||||||
|
| |||||||
Total | 1,022,785 | |||||||
|
| |||||||
| Sri Lanka (0.4%) | |||||||
Sri Lanka Government International Bond | ||||||||
560,000 | 6.000%, 1/14/2019d | 548,693 | ||||||
200,000 | 5.125%, 4/11/2019 | 189,940 | ||||||
171,000 | 6.250%, 10/4/2020d | 164,843 | ||||||
200,000 | 6.250%, 10/4/2020 | 192,799 | ||||||
1,920,000 | 6.250%, 7/27/2021 | 1,825,442 | ||||||
230,000 | 5.875%, 7/25/2022 | 209,885 | ||||||
310,000 | 6.125%, 6/3/2025d | 275,318 | ||||||
510,000 | 6.125%, 6/3/2025 | 452,943 | ||||||
2,740,000 | 6.850%, 11/3/2025d | 2,581,017 | ||||||
|
| |||||||
Total | 6,440,880 | |||||||
|
| |||||||
| Supranational (0.1%) | |||||||
Corporacion Andina de Fomento | ||||||||
600,000 | 5.750%, 1/12/2017 | 625,704 | ||||||
90,000 | 1.500%, 8/8/2017 | 89,536 | ||||||
|
| |||||||
Total | 715,240 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
155
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (10.8%) | Value | ||||||
| Turkey (0.4%) | |||||||
Export Credit Bank of Turkey | ||||||||
$ | 200,000 | 5.875%, 4/24/2019 | $ | 206,548 | ||||
Turkey Government International Bond | ||||||||
761,000 | 7.500%, 7/14/2017 | 814,042 | ||||||
280,000 | 6.750%, 4/3/2018 | 301,280 | ||||||
1,290,000 | 7.000%, 6/5/2020 | 1,435,324 | ||||||
401,000 | 7.375%, 2/5/2025 | 468,207 | ||||||
1,050,000 | 4.250%, 4/14/2026 | 984,429 | ||||||
50,000 | 8.000%, 2/14/2034 | 62,495 | ||||||
106,000 | 6.875%, 3/17/2036 | 118,707 | ||||||
680,000 | 6.000%, 1/14/2041 | 694,790 | ||||||
1,480,000 | 4.875%, 4/16/2043 | 1,302,400 | ||||||
|
| |||||||
Total | 6,388,222 | |||||||
|
| |||||||
| Ukraine (0.2%) | |||||||
MHP SA | ||||||||
200,000 | 8.250%, 4/2/2020 | 173,000 | ||||||
Ukraine Government International Bond | ||||||||
9,927 | 7.750%, 9/1/2019d | 9,188 | ||||||
859,000 | 7.750%, 9/1/2020* | 790,280 | ||||||
355,000 | 7.750%, 9/1/2021* | 322,539 | ||||||
355,000 | 7.750%, 9/1/2022* | 321,552 | ||||||
132,000 | 7.750%, 9/1/2023* | 117,506 | ||||||
132,000 | 7.750%, 9/1/2024* | 116,808 | ||||||
132,000 | 7.750%, 9/1/2025* | 116,105 | ||||||
132,000 | 7.750%, 9/1/2026* | 114,856 | ||||||
132,000 | 7.750%, 9/1/2027* | 114,840 | ||||||
548,800 | Zero Coupon, 5/31/2040* | 216,776 | ||||||
|
| |||||||
Total | 2,413,450 | |||||||
|
| |||||||
| United Arab Emirates (0.1%) | |||||||
Dolphin Energy, Ltd. | ||||||||
190,880 | 5.888%, 6/15/2019 | 201,672 | ||||||
Ruwais Power Company PJSC | ||||||||
200,000 | 6.000%, 8/31/2036 | 213,750 | ||||||
660,000 | 6.000%, 8/31/2036d | 705,375 | ||||||
|
| |||||||
Total | 1,120,797 | |||||||
|
| |||||||
| United States (0.9%) | |||||||
Comcel Trust | ||||||||
200,000 | 6.875%, 2/6/2024 | 154,000 | ||||||
Commonwealth of Puerto Rico G.O. | ||||||||
1,305,000 | 8.000%, 7/1/2035, Ser. A | 946,164 | ||||||
Commonwealth of Puerto Rico Public Improvement Refg. G.O. | ||||||||
100,000 | 5.750%, 7/1/2028, Ser. A | 66,386 | ||||||
75,000 | 5.500%, 7/1/2032, Ser. A | 49,063 | ||||||
HSBC Bank USA NA | ||||||||
688,000 | 10.000%, 1/5/2017p | 165,541 | ||||||
680,000 | 6.000%, 8/15/2040q | 415,928 | ||||||
Puerto Rico Sales Tax Financing Corporation Rev. | ||||||||
225,000 | 5.250%, 8/1/2027, Ser. A | 93,056 | ||||||
175,000 | 5.500%, 8/1/2028, Ser. A | 72,341 | ||||||
75,000 | 0.000%, 8/1/2032, Ser. Ah | 29,237 | ||||||
20,000 | 5.375%, 8/1/2038, Ser. C | 8,055 | ||||||
70,000 | 5.375%, 8/1/2039, Ser. A | 28,182 | ||||||
835,000 | 5.250%, 8/1/2041, Ser. C | 335,136 | ||||||
1,030,000 | 5.500%, 8/1/2042, Ser. A | 417,191 | ||||||
200,000 | 6.000%, 8/1/2042, Ser. A | 82,506 | ||||||
10,000 | 5.000%, 8/1/2043, Ser. A-1 | 4,000 | ||||||
5,000 | 5.250%, 8/1/2043, Ser. A-1 | 2,007 | ||||||
U.S. Treasury Bonds | ||||||||
200,000 | 3.625%, 8/15/2043 | 225,242 | ||||||
100,000 | 3.750%, 11/15/2043 | 115,180 | ||||||
1,700,000 | 3.000%, 11/15/2044 | 1,693,824 | ||||||
600,000 | 2.875%, 8/15/2045 | 582,727 | ||||||
1,400,000 | 3.000%, 11/15/2045 | 1,395,789 | ||||||
U.S. Treasury Notes | ||||||||
700,000 | 1.625%, 6/30/2020 | 697,129 | ||||||
2,700,000 | 2.000%, 10/31/2021 | 2,707,487 | ||||||
800,000 | 1.500%, 1/31/2022 | 777,687 | ||||||
200,000 | 1.750%, 2/28/2022 | 197,156 | ||||||
100,000 | 2.000%, 7/31/2022 | 99,730 | ||||||
2,500,000 | 1.750%, 9/30/2022 | 2,450,390 | ||||||
600,000 | 1.875%, 10/31/2022 | 592,406 | ||||||
|
| |||||||
Total | 14,403,540 | |||||||
|
| |||||||
| Venezuela (0.5%) | |||||||
Petroleos de Venezuela SA | ||||||||
80,000 | 5.250%, 4/12/2017 | 40,192 | ||||||
1,620,000 | 9.000%, 11/17/2021 | 648,810 | ||||||
1,630,000 | 6.000%, 5/16/2024 | 607,175 | ||||||
4,946,000 | 6.000%, 11/15/2026 | 1,817,655 | ||||||
120,000 | 5.375%, 4/12/2027 | 43,500 | ||||||
Venezuela Government International Bond | ||||||||
1,160,000 | 7.750%, 10/13/2019 | 461,100 | ||||||
846,000 | 6.000%, 12/9/2020 | 315,135 | ||||||
200,000 | 12.750%, 8/23/2022 | 89,500 | ||||||
1,565,000 | 9.000%, 5/7/2023 | 622,088 | ||||||
1,392,000 | 8.250%, 10/13/2024 | 528,960 | ||||||
4,170,000 | 7.650%, 4/21/2025 | 1,542,900 | ||||||
674,000 | 11.750%, 10/21/2026 | 299,930 | ||||||
1,382,000 | 9.250%, 9/15/2027 | 566,620 | ||||||
1,681,000 | 9.250%, 5/7/2028 | 655,590 | ||||||
10,000 | 11.950%, 8/5/2031 | 4,425 | ||||||
970,000 | 9.375%, 1/13/2034 | 380,725 | ||||||
100,000 | 7.000%, 3/31/2038 | 37,250 | ||||||
|
| |||||||
Total | 8,661,555 | |||||||
|
| |||||||
| Vietnam (0.2%) | |||||||
Debt and Asset Trading Corporation | ||||||||
200,000 | 1.000%, 10/10/2025 | 96,000 | ||||||
Vietnam Government International Bond | ||||||||
2,150,000 | 6.750%, 1/29/2020d | 2,356,271 | ||||||
500,000 | 4.800%, 11/19/2024 | 480,190 | ||||||
452,000 | 4.800%, 11/19/2024* | 434,092 | ||||||
|
| |||||||
Total | 3,366,553 | |||||||
|
| |||||||
| Virgin Islands, British (<0.1%) | |||||||
Central American Bottling Corporation | ||||||||
108,000 | 6.750%, 2/9/2022 | 109,350 | ||||||
210,000 | 6.750%, 2/9/2022d | 212,625 | ||||||
|
| |||||||
Total | 321,975 | |||||||
|
| |||||||
| Zambia (0.1%) | |||||||
Zambia Government International Bond | ||||||||
770,000 | 5.375%, 9/20/2022 | 555,632 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
156
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (10.8%) | Value | ||||||
| Zambia (0.1%) - continued | |||||||
$ | 790,000 | 8.970%, 7/30/2027d | $ | 623,073 | ||||
|
| |||||||
Total | 1,178,705 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $187,732,090) | 172,862,220 | |||||||
|
| |||||||
Shares | Preferred Stock (0.8%) | |||||||
| Brazil (0.1%) | |||||||
673,532 | Vale SA ADRb | 1,717,507 | ||||||
|
| |||||||
Total | 1,717,507 | |||||||
|
| |||||||
| South Korea (0.7%) | |||||||
11,350 | Samsung Electronics Company, Ltd. | 10,491,805 | ||||||
|
| |||||||
Total | 10,491,805 | |||||||
|
| |||||||
Total Preferred Stock (cost $14,100,993) | 12,209,312 | |||||||
|
| |||||||
Shares | Collateral Held for Securities Loaned (1.1%) | |||||||
18,465,884 | Thrivent Cash Management Trust | 18,465,884 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $18,465,884) | 18,465,884 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (1.1%)r | |||||||
Federal National Mortgage Association Discount Notes | ||||||||
100,000 | 0.100%, 1/14/2016s | 99,996 | ||||||
Thrivent Cash Management Trust | ||||||||
17,322,047 | 0.220% | 17,322,047 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 17,422,043 | |||||||
|
| |||||||
Total Investments (cost $1,624,928,496) 100.4% | $ | 1,612,123,868 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.4%) | (6,563,246 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 1,605,560,622 | ||||||
|
|
a | Non-income producing security. | |
b | All or a portion of the security is on loan. | |
c | Security is valued at fair value. Market quotations or prices were not readily available or were determined to be unreliable. Fair value was determined in good faith pursuant to procedures adopted by the Board. Further information on fair valuation can be found in the Notes to Financial Statements. | |
d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $37,653,029 or 2.3% of total net assets. | |
e | Defaulted security. Interest is not being accrued. | |
f | Principal amount is displayed in Euros. | |
g | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. | |
h | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. | |
i | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. | |
j | Principal amount is displayed in Brazilian Real. | |
k | Principal amount is displayed in Hong Kong Dollar. | |
l | Principal amount is displayed in Czeck Republic Korun. | |
m | Principal amount is displayed in Dominican Republic Pesos. | |
n | Principal amount is displayed in Mexican Pesos. | |
o | Principal amount is displayed in Russian Rubles. | |
p | Principal amount is displayed in Brazilian Real. Security is linked to Brazilian Government Bonds due January 1, 2017. | |
q | Principal amount is displayed in Brazilian Real. Security is linked to Brazilian Government Bonds due August 15, 2040. | |
r | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. | |
s | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. | |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Partner Worldwide Allocation Portfolio as of December 31, 2015 was $9,693,674 or 0.6% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
Abengoa Transmision Sur SA, 4/30/2043 | 4/8/2014 | $ | 589,971 | |||||
AHML Finance, Ltd., 2/13/2018 | 1/31/2013 | 356,524 | ||||||
Banco Continental SAECA, 10/15/2017 | 10/10/2012 | 170,000 | ||||||
Belize Government International Bond, 8/20/2017 | 3/20/2013 | 111,207 | ||||||
Brazil Loan Trust 1, 7/24/2023 | 7/25/2013 | 1,102,312 | ||||||
Brazil Minas SPE via State of Minas Gerais, 2/15/2028 | 3/22/2013 | 1,483,201 | ||||||
Digicel Group, Ltd., 9/30/2020 | 6/26/2015 | 212,170 | ||||||
Export-Import Bank of Korea, 8/14/2017 | 5/29/2015 | 270,249 | ||||||
Honduras Government International Bond, 12/16/2020 | 12/11/2013 | 1,370,000 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
157
Table of Contents
PARTNER WORLDWIDE ALLOCATION PORTFOLIO
Schedule of Investments as of December 31, 2015
Security | Acquisition Date | Cost | ||||||
Honduras Government International Bond, 3/15/2024 | 3/12/2013 | $ | 270,000 | |||||
Independencia International, Ltd., 12/30/2016 | 3/29/2010 | 100,623 | ||||||
Indonesia Government International Bond, 1/17/2018 | 2/6/2015 | 338,420 | ||||||
Pakistan Government International Bond, 12/3/2019 | 11/26/2014 | 210,000 | ||||||
Phosagro OAO via Phosagro Bond Funding, Ltd., 2/13/2018 | 2/6/2013 | 310,000 | ||||||
Sociedad Quimica y Minera de Chile SA, 1/28/2025 | 10/23/2014 | 445,357 | ||||||
Trust F/1401, 1/30/2044 | 1/23/2014 | 203,883 | ||||||
Ukraine Government International Bond, 9/1/2021 | 11/12/2015 | 333,215 | ||||||
Ukraine Government International Bond, 9/1/2022 | 11/12/2015 | 333,142 | ||||||
Ukraine Government International Bond, 5/31/2040 | 11/12/2015 | 248,060 | ||||||
Ukraine Government International Bond, 9/1/2020 | 11/12/2015 | 817,042 | ||||||
Ukraine Government International Bond, 9/1/2024 | 11/12/2015 | 121,222 | ||||||
Ukraine Government International Bond, 9/1/2026 | 11/12/2015 | 120,866 | ||||||
Ukraine Government International Bond, 9/1/2027 | 11/12/2015 | 120,855 | ||||||
Ukraine Government International Bond, 9/1/2025 | 11/12/2015 | 121,206 | ||||||
Ukraine Government International Bond, 9/1/2023 | 11/12/2015 | 122,874 | ||||||
Vietnam Government International Bond, 11/19/2024 | 11/7/2014 | 455,906 | ||||||
Wind Acquisition Finance SA, 7/15/2020 | 6/24/2014 | 380,927 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Partner Worldwide Allocation Portfolio as of December 31, 2015:
Securities Lending Transactions
Common Stock | $ | 17,361,358 | ||
|
| |||
Total lending | $ | 17,361,358 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 18,465,884 | ||
|
| |||
Net amounts due to counterparty | $ | 1,104,526 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||
GDR | - | Global Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country. | ||
G.O. | - | General Obligation | ||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. | ||
Refg. | - | Refunding | ||
Rev. | - | Revenue | ||
Ser. | - | Series |
The accompanying Notes to Financial Statements are an integral part of this schedule.
158
Table of Contents
LARGE CAP STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (80.4%) | Value | ||||||
| Consumer Discretionary (12.9%) | |||||||
19,900 | Aisan Industry Company, Ltd. | $ | 204,348 | |||||
5,600 | Aisin Seiki Company, Ltd. | 241,015 | ||||||
35,752 | Amazon.com, Inc.a | 24,164,419 | ||||||
25,540 | AutoZone, Inc.a | 18,948,381 | ||||||
2,900 | Bayerische Motoren Werke AG | 242,631 | ||||||
29,700 | Berkeley Group Holdings plc | 1,614,606 | ||||||
5,800 | Brembo SPA | 280,216 | ||||||
17,000 | Bridgestone Corporation | 583,124 | ||||||
29,000 | Calsonic Kansei Corporation | 255,666 | ||||||
21,500 | Cineworld Group plc | 178,253 | ||||||
246,200 | Comcast Corporation | 13,893,066 | ||||||
11,900 | Compass Group plc | 206,207 | ||||||
800 | Continental AG | 193,529 | ||||||
6,000 | Daimler AG | 501,327 | ||||||
138,200 | Debenhams plc | 149,003 | ||||||
26,900 | Denso Corporation | 1,285,430 | ||||||
110,500 | EDION Corporationb | 834,342 | ||||||
12,700 | Electrolux AB | 306,418 | ||||||
18,000 | Eutelsat Communications | 538,931 | ||||||
40,600 | GKN plc | 184,239 | ||||||
71,000 | Gunze, Ltd. | 207,961 | ||||||
40,600 | Hakuhodo Dy Holdings, Inc. | 439,274 | ||||||
2,100 | Hugo Boss AG | 173,270 | ||||||
80,400 | Inchcape plc | 927,635 | ||||||
33,800 | Informa plc | 305,467 | ||||||
12,700 | Intertek Group plc | 519,516 | ||||||
21,400 | Isuzu Motors, Ltd. | 230,535 | ||||||
266,000 | ITV plc | 1,082,986 | ||||||
113,615 | Las Vegas Sands Corporation | 4,980,882 | ||||||
131,300 | Lookers plc | 357,749 | ||||||
6,400 | Mitsuba Corporation | 98,944 | ||||||
37,900 | NOK Corporation | 885,376 | ||||||
2,000 | Paddy Power plc | 267,116 | ||||||
33,000 | PanaHome Corporation | 249,308 | ||||||
81,400 | Persimmon plc | 2,428,449 | ||||||
7,700 | ProSiebenSat.1 Media AG | 388,477 | ||||||
1,800 | Renault SA | 180,173 | ||||||
5,459 | Schibsted ASA | 179,474 | ||||||
20,000 | Sekisui House, Ltd. | 336,275 | ||||||
19,100 | SHOWA Corporation | 177,222 | ||||||
29,800 | Sports Direct International plca | 253,245 | ||||||
9,500 | Stanley Electric Company, Ltd. | 208,407 | ||||||
50,900 | Star Entertainment Group, Ltd. | 186,774 | ||||||
407,370 | Starbucks Corporation | 24,454,421 | ||||||
64,200 | Sumitomo Forestry Company, Ltd. | 866,258 | ||||||
37,200 | Sumitomo Rubber Industries, Ltd. | 483,725 | ||||||
30,000 | Takashimaya Company, Ltd. | 270,165 | ||||||
6,500 | Tamron Company, Ltd. | 119,919 | ||||||
65,300 | Tatts Group, Ltd. | 207,319 | ||||||
309,700 | Taylor Wimpey plc | 925,811 | ||||||
68,900 | UBM plc | 534,005 | ||||||
5,606 | Valora Holding AG | 1,166,298 | ||||||
34,000 | Wacoal Holdings Corporation | 406,590 | ||||||
53,000 | WH Smith plc | 1,377,156 | ||||||
36,000 | Wolters Kluwer NV | 1,209,014 | ||||||
48,800 | WPP plc | 1,122,494 | ||||||
9,500 | Yokohama Rubber Company, Ltd. | 145,899 | ||||||
|
| |||||||
Total | 113,158,740 | |||||||
|
| |||||||
| Consumer Staples (6.9%) | |||||||
10,600 | AarhusKarlshamn AB | 785,237 | ||||||
28,500 | Axfood AB | 493,626 | ||||||
7,700 | Bakkafrost PF | 226,847 | ||||||
3,600 | British American Tobacco plc | 199,924 | ||||||
23,583 | Britvic plc | 252,675 | ||||||
8,200 | Carrefour SA | 236,650 | ||||||
55,600 | Coca-Cola HBC AGa | 1,184,045 | ||||||
91,170 | CVS Health Corporation | 8,913,691 | ||||||
12,000 | Henkel AG & Company KGaA | 1,147,838 | ||||||
96,500 | Imperial Tobacco Group plc | 5,096,934 | ||||||
64,800 | Japan Tobacco, Inc. | 2,379,052 | ||||||
23,500 | Jeronimo Martins SGPS SA | 305,793 | ||||||
24,700 | Kao Corporation | 1,269,302 | ||||||
2,400 | Kerry Group plc | 198,576 | ||||||
108,360 | Kimberly-Clark Corporation | 13,794,228 | ||||||
164,600 | Koninklijke Ahold NV | 3,472,000 | ||||||
3,800 | KOSE Corporation | 351,351 | ||||||
22,800 | Marks and Spencer Group plc | 151,808 | ||||||
34,400 | Nestle SA | 2,553,693 | ||||||
23,000 | Nippon Meat Packers, Inc. | 450,797 | ||||||
43,200 | Nisshin Oillio Group, Ltd. | 175,981 | ||||||
164,475 | Philip Morris International, Inc. | 14,458,997 | ||||||
5,400 | Royal Unibrew AS | 219,465 | ||||||
13,100 | Suedzucker AG | 259,648 | ||||||
8,000 | Sugi Holdings Company, Ltd. | 441,382 | ||||||
3,200 | Sundrug Company, Ltd. | 205,750 | ||||||
9,100 | Svenska Cellulosa AB SCA | 263,719 | ||||||
38,300 | Swedish Match AB | 1,353,423 | ||||||
|
| |||||||
Total | 60,842,432 | |||||||
|
| |||||||
| Energy (7.3%) | |||||||
4,500 | Azrieli Group, Ltd. | 167,637 | ||||||
399,500 | BP plc | 2,076,088 | ||||||
216,170 | Cameron International Corporationa | 13,661,944 | ||||||
142,229 | Chevron Corporation | 12,794,921 | ||||||
285,070 | Columbia Pipeline Group, Inc. | 5,701,400 | ||||||
108,430 | EOG Resources, Inc. | 7,675,760 | ||||||
62,530 | EQT Corporation | 3,259,689 | ||||||
13,800 | OMV AG | 391,719 | ||||||
8,500 | Royal Dutch Shell plc | 193,861 | ||||||
20,207 | Royal Dutch Shell plc, Class B | 460,539 | ||||||
14,210 | Schlumberger, Ltd. | 991,147 | ||||||
67,275 | Statoil ASA | 938,269 | ||||||
82,770 | Suncor Energy, Inc. ADR | 2,135,466 | ||||||
65,000 | TonenGeneral Sekiyu KK | 548,730 | ||||||
1,600,164 | Weatherford International, Ltd.a | 13,425,376 | ||||||
|
| |||||||
Total | 64,422,546 | |||||||
|
| |||||||
| Financials (14.9%) | |||||||
269,900 | Aberdeen Asset Management plc | 1,150,111 | ||||||
89,570 | ACE, Ltd. | 10,466,255 | ||||||
10,700 | AEON Financial Service Company, Ltd. | 239,024 | ||||||
41,000 | Allianz SE | 7,227,438 | ||||||
114,300 | Australia & New Zealand Banking Group, Ltd. | 2,306,545 | ||||||
424,900 | Banco Santander SA | 2,090,252 | ||||||
189,700 | Bank Hapoalim, Ltd. | 979,232 | ||||||
225,134 | Bank of America Corporation | 3,789,005 | ||||||
49,306 | Bank of Queensland, Ltd. | 497,380 | ||||||
338,000 | Bank of Yokohama, Ltd. | 2,071,806 | ||||||
118,400 | BinckBank NV | 1,020,419 | ||||||
173,320 | Blackstone Group, LP | 5,067,877 | ||||||
4,500 | Bolsas y Mercados Espanoles SA | 151,648 | ||||||
36,600 | British Land Company plc | 423,496 | ||||||
47,716 | Capital Shopping Centres Group plc | 222,927 | ||||||
142,400 | CapitaMall Trust | 193,221 | ||||||
45,000 | Chiba Bank, Ltd. | 319,330 | ||||||
246,960 | Citigroup, Inc. | 12,780,180 | ||||||
49,800 | CNP Assurances | 671,772 | ||||||
18,000 | Daiwa House Industry Company, Ltd. | 517,434 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
159
Table of Contents
LARGE CAP STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (80.4%) | Value | ||||||
| Financials (14.9%) - continued | |||||||
3,100 | Derwent London plc | $ | 167,672 | |||||
227,000 | DEXUS Property Group | 1,231,285 | ||||||
108,066 | Direct Line Insurance Group plc | 647,764 | ||||||
110,000 | FlexiGroup, Ltd.b | 240,067 | ||||||
131,400 | Frasers Centrepoint Trust | 170,785 | ||||||
332,000 | Fukuoka Financial Group, Inc. | 1,646,262 | ||||||
18,159 | Hamborner REIT AG | 189,727 | ||||||
27,200 | Hammerson plc | 240,459 | ||||||
41,400 | Hang Seng Bank, Ltd. | 784,669 | ||||||
18,800 | Hannover Rueckversicherung SE | 2,146,775 | ||||||
84,400 | Henderson Group plc | 383,602 | ||||||
29,000 | Henderson Land Development Company, Ltd. | 176,900 | ||||||
79,000 | Hokuhoku Financial Group, Inc. | 161,045 | ||||||
40,200 | Hufvudstaden AB | 568,292 | ||||||
326,000 | Hysan Development Company, Ltd. | 1,331,927 | ||||||
15,978 | IG Group Holdings plc | 188,901 | ||||||
61,100 | ING Groep NV | 826,690 | ||||||
42,570 | Intercontinental Exchange, Inc. | 10,908,988 | ||||||
145,063 | Intermediate Capital Group plc | 1,337,278 | ||||||
255,760 | Invesco, Ltd. | 8,562,845 | ||||||
88,800 | Investa Office Fund | 257,057 | ||||||
211,200 | Investec plc | 1,489,180 | ||||||
345,249 | J.P. Morgan Chase & Company | 22,796,792 | ||||||
227,000 | Link REIT | 1,353,347 | ||||||
3,200 | Macquarie Group, Ltd. | 191,433 | ||||||
291,300 | Mitsubishi UFJ Financial Group, Inc. | 1,804,385 | ||||||
2,400 | Muenchener Rueckversicherungs-Gesellschaft AG | 478,172 | ||||||
712,000 | New World Development Company, Ltd.b | 699,140 | ||||||
52,000 | Ogaki Kyoritsu Bank, Ltd. | 209,650 | ||||||
57,000 | Old Mutual plc | 149,949 | ||||||
55,500 | Poundland Group plc | 169,937 | ||||||
38,400 | Resona Holdings, Inc. | 186,480 | ||||||
4,200 | Sampo Oyj | 213,287 | ||||||
28,400 | Schroders plc | 1,243,898 | ||||||
6,000 | Sompo Japan Nipponkoa Holdings, Inc. | 197,008 | ||||||
564,502 | Stockland | 1,675,712 | ||||||
224,000 | Sumitomo Mitsui Trust Holdings, Inc. | 848,362 | ||||||
43,600 | Swiss Re AG | 4,258,251 | ||||||
134,730 | Synchrony Financiala | 4,097,139 | ||||||
6,000 | Talanx AG | 184,528 | ||||||
4,700 | Tokio Marine Holdings, Inc. | 181,536 | ||||||
84,000 | UBS Group AG | 1,629,556 | ||||||
128,217 | United Overseas Bank, Ltd. | 1,767,704 | ||||||
22,400 | Wallenstam AB | 180,043 | ||||||
245,800 | Wing Tai Holdings, Ltd. | 303,629 | ||||||
|
| |||||||
Total | 130,663,460 | |||||||
|
| |||||||
| Health Care (10.0%) | |||||||
2,500 | Actelion, Ltd. | 347,359 | ||||||
30,322 | Allergan plca | 9,475,625 | ||||||
26,800 | Amgen, Inc. | 4,350,444 | ||||||
21,700 | Astellas Pharmaceutical, Inc. | 308,916 | ||||||
61,591 | Baxalta, Inc. | 2,403,897 | ||||||
1,400 | Bayer AG | 174,848 | ||||||
125,755 | Cerner Corporationa | 7,566,678 | ||||||
4,700 | CSL, Ltd. | 358,326 | ||||||
30,500 | Essilor International SA | 3,801,417 | ||||||
2,100 | Fresenius Medical Care AG & Company KGaA | 176,474 | ||||||
1,900 | Gerresheimer AG | 148,470 | ||||||
66,159 | Gilead Sciences, Inc. | 6,694,629 | ||||||
33,800 | Hikma Pharmaceuticals plc | 1,145,809 | ||||||
23,477 | ICON plca | 1,824,163 | ||||||
10,500 | Kaken Pharmaceutical Company, Ltd. | 717,498 | ||||||
4,300 | Lonza Group AG | 699,330 | ||||||
368,670 | Merck & Company, Inc. | 19,473,149 | ||||||
30,100 | Novartis AG | 2,589,180 | ||||||
33,600 | Novo Nordisk AS | 1,945,380 | ||||||
6,100 | Paramount Bed Holdings Company, Ltd. | 216,437 | ||||||
384,920 | Pfizer, Inc. | 12,425,218 | ||||||
8,000 | Recordati SPA | 208,728 | ||||||
21,500 | Sanofi | 1,832,278 | ||||||
10,200 | Suzuken Company, Ltd. | 387,622 | ||||||
71,982 | Vertex Pharmaceuticals, Inc.a | 9,057,495 | ||||||
|
| |||||||
Total | 88,329,370 | |||||||
|
| |||||||
| Industrials (8.0%) | |||||||
9,100 | Aalberts Industries NV | 313,549 | ||||||
12,900 | Adecco SA | 882,911 | ||||||
17,100 | Aida Engineering, Ltd. | 176,246 | ||||||
218,265 | Air New Zealand, Ltd. | 440,211 | ||||||
11,800 | Airbus Group NV | 795,175 | ||||||
20,900 | Amada Holdings Company, Ltd. | 199,442 | ||||||
6,000 | Andritz AG | 292,011 | ||||||
99,000 | Asahi Glass Company, Ltd. | 567,156 | ||||||
7,000 | Atlas Copco Aktiebolag | 171,674 | ||||||
130,200 | BAE Systems plc | 958,605 | ||||||
125,530 | Boeing Company | 18,150,383 | ||||||
65,800 | Bollore SA | 306,606 | ||||||
52,800 | Central Glass Company, Ltd. | 242,170 | ||||||
8,800 | Central Japan Railway Company | 1,562,299 | ||||||
12,300 | Compagnie de Saint-Gobain | 533,027 | ||||||
7,100 | Croda International plc | 318,117 | ||||||
40,300 | CTT-Correios de Portugal SA | 387,318 | ||||||
25,000 | Dai Nippon Printing Company, Ltd. | 247,216 | ||||||
27,170 | Dart Group plc | 235,719 | ||||||
258,070 | Delta Air Lines, Inc. | 13,081,568 | ||||||
17,400 | Deutsche Post AG | 486,468 | ||||||
10,100 | DSV AS | 397,573 | ||||||
2,700 | East Japan Railway Company | 254,248 | ||||||
5,000 | Elbit Systems, Ltd. | 440,176 | ||||||
29,100 | Ferrovial SA | 658,048 | ||||||
600 | Flughafen Zuerich AG | 450,187 | ||||||
18,533 | Galliford Try plc | 416,433 | ||||||
4,500 | GEA Group AG | 181,805 | ||||||
300 | Georg Fischer AG | 203,671 | ||||||
29,000 | Hankyu Hanshin Holdings, Inc. | 188,497 | ||||||
3,900 | Hochtief AG | 361,717 | ||||||
2,800 | Hoshizaki Electric Company, Ltd. | 174,063 | ||||||
12,200 | IBIDEN Company, Ltd.b | 174,904 | ||||||
12,200 | Inaba Denki Sangyo Company, Ltd. | 389,803 | ||||||
44,200 | Intrum Justitia AB | 1,504,025 | ||||||
168,000 | ITOCHU Corporation | 1,987,180 | ||||||
8,529 | Jardine Matheson Holdings, Ltd. | 413,038 | ||||||
2,900 | Jungheinrich AG | 239,177 | ||||||
15,000 | Keisei Electric Railway Company, Ltd. | 191,374 | ||||||
57,100 | KITZ Corporation | 256,484 | ||||||
42,300 | KONE Oyj | 1,791,037 | ||||||
12,600 | Koninklijke Boskalis Westminster NV | 513,984 | ||||||
88,394 | Meggitt plc | 488,049 | ||||||
5,400 | MEITEC Corporation | 184,918 | ||||||
22,400 | MIRAIT Holdings Corporation | 184,551 | ||||||
25,000 | Mitsuboshi Belting, Ltd. | 199,297 | ||||||
27,200 | Nikkon Holdings Company, Ltd. | 542,143 | ||||||
43,000 | Nippon Express Company, Ltd. | 202,067 | ||||||
43,800 | Nitto Kogyo Corporation | 765,790 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
160
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LARGE CAP STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (80.4%) | Value | ||||||
| Industrials (8.0%) - continued | |||||||
136,370 | Norfolk Southern Corporation | $ | 11,535,538 | |||||
25,000 | Obayashi Corporation | 230,680 | ||||||
2,900 | Randstad Holding NV | 180,588 | ||||||
76,700 | Rentokil Initial plc | 179,958 | ||||||
2,498 | Rieter Holding AG | 469,516 | ||||||
8,414 | Saft Groupe SA | 256,449 | ||||||
1,100 | Schindler Holding AG | 184,029 | ||||||
89,100 | SIG plc | 188,286 | ||||||
13,900 | Teleperformance SA | 1,168,822 | ||||||
4,100 | Thales SA | 306,886 | ||||||
6,900 | TKH Group NV | 280,192 | ||||||
39,000 | Toppan Printing Company, Ltd. | 359,313 | ||||||
6,100 | Travis Perkins plc | 176,965 | ||||||
15,600 | Tsubakimoto Chain Company | 120,119 | ||||||
3,400 | Vestas Wind Systems AS | 237,452 | ||||||
8,100 | Yuasa Trading Company, Ltd. | 200,098 | ||||||
|
| |||||||
Total | 70,177,001 | |||||||
|
| |||||||
| Information Technology (13.7%) | |||||||
24,244 | Alphabet, Inc., Class Aa | 18,862,074 | ||||||
24,250 | Alphabet, Inc., Class Ca | 18,402,840 | ||||||
15,800 | Alps Electric Company, Ltd. | 428,465 | ||||||
5,600 | AMS AG | 187,200 | ||||||
306,198 | Apple, Inc. | 32,230,401 | ||||||
2,960 | AtoS | 248,501 | ||||||
23,200 | Canon, Inc. | 701,801 | ||||||
3,600 | Cap Gemini SA | 334,030 | ||||||
33,300 | Check Point Software Technologies, Ltd.a,b | 2,709,954 | ||||||
187,750 | Cisco Systems, Inc. | 5,098,351 | ||||||
18,944 | Dialog Semiconductor plca,b | 632,139 | ||||||
8,400 | DTS Corporation | 191,215 | ||||||
476,130 | EMC Corporation | 12,227,018 | ||||||
87,275 | Facebook, Inc.a | 9,134,201 | ||||||
83,500 | FUJIFILM Holdings NPV | 3,484,664 | ||||||
21,000 | Hitachi Kokusai Electric, Inc. | 285,481 | ||||||
13,100 | Hoya Corporation | 535,693 | ||||||
7,900 | Ingenico Group | 997,152 | ||||||
25,200 | IRESS, Ltd. | 182,455 | ||||||
14,600 | IT Holdings Corporation | 333,593 | ||||||
12,000 | ITOCHU Techno-Solutions Corporation | 239,093 | ||||||
6,200 | Kyocera Corporation | 287,931 | ||||||
32,000 | NEC Networks & System Integration Corporation | 565,910 | ||||||
12,200 | NS Solutions Corporation | 277,986 | ||||||
125,510 | Salesforce.com, Inc.a | 9,839,984 | ||||||
12,000 | SAP SE | 952,243 | ||||||
51,900 | Shinko Electric Industries Company, Ltd. | 332,723 | ||||||
2,900 | TDK Corporation | 185,727 | ||||||
900 | U-Blox AGa | 191,555 | ||||||
|
| |||||||
Total | 120,080,380 | |||||||
|
| |||||||
| Materials (3.0%) | |||||||
83,996 | Albemarle Corporation | 4,704,616 | ||||||
2,700 | Aurubis AG | 136,718 | ||||||
68,100 | BHP Billiton plc | 759,443 | ||||||
152,700 | BHP Billiton, Ltd. | 1,965,178 | ||||||
71,200 | BillerudKorsnas AB | 1,317,670 | ||||||
59,800 | Boral, Ltd. | 255,677 | ||||||
15,200 | Buzzi Unicem SPA | 272,466 | ||||||
89,600 | Daicel Corporation | 1,333,419 | ||||||
146,250 | Dow Chemical Company | 7,528,950 | ||||||
33,000 | DOWA Holdings Company, Ltd.a | 237,274 | ||||||
5,300 | Evonik Industries AG | 175,309 | ||||||
400 | Givaudan SA | 725,985 | ||||||
18,300 | Hexpol AB | 196,217 | ||||||
23,500 | Hokuetsu Kishu Paper Company, Ltd. | 138,483 | ||||||
8,700 | Holmen AB | 268,720 | ||||||
11,500 | JFE Holdings, Inc. | 180,578 | ||||||
3,200 | LafargeHolcim, Ltd. | 160,239 | ||||||
1,000 | Linde AG | 144,459 | ||||||
28,700 | Mitsubishi Chemical Holdings Corporation | 182,094 | ||||||
20,400 | Mondi plc | 399,857 | ||||||
12,400 | Nippon Paint Holdings Company, Ltd. | 300,105 | ||||||
25,700 | Nippon Steel & Sumitomo Metal Corporation | 508,407 | ||||||
17,800 | Novozymes AS | 852,244 | ||||||
31,000 | Oji Holdings Corporation | 124,589 | ||||||
12,500 | Rio Tinto plc | 363,943 | ||||||
5,400 | Rio Tinto, Ltd. | 174,633 | ||||||
33,000 | Sumitomo Seika Chemicals Company, Ltd. | 200,780 | ||||||
35,000 | Tosoh Corporation | 180,040 | ||||||
37,500 | UPM-Kymmene Oyj | 696,203 | ||||||
39,019 | Yara International ASA | 1,678,140 | ||||||
|
| |||||||
Total | 26,162,436 | |||||||
|
| |||||||
| Telecommunications Services (1.4%) | |||||||
181,564 | BT Group plc | 1,260,711 | ||||||
48,500 | Elisa Oyj | 1,824,816 | ||||||
43,700 | Freenet AG | 1,474,658 | ||||||
645,205 | KCOM Group plc | 1,098,598 | ||||||
110,600 | Orange SA | 1,849,876 | ||||||
21,300 | Proximus SA | 693,125 | ||||||
69,400 | �� | StarHub, Ltd. | 180,605 | |||||
847,800 | Telstra Corporation, Ltd. | 3,445,195 | ||||||
18,200 | Vivendi SA | 390,884 | ||||||
|
| |||||||
Total | 12,218,468 | |||||||
|
| |||||||
| Utilities (2.3%) | |||||||
409,700 | A2A SPA | 554,760 | ||||||
48,000 | CLP Holdings, Ltd. | 406,848 | ||||||
355,100 | Electricidade de Portugal SA | 1,279,554 | ||||||
296,050 | PG&E Corporation | 15,746,899 | ||||||
186,100 | Redes Energeticas Nacionais SGPS SA | 562,219 | ||||||
32,000 | Toho Gas Company, Ltd. | 206,664 | ||||||
88,300 | United Utilities Group plc | 1,215,837 | ||||||
|
| |||||||
Total | 19,972,781 | |||||||
|
| |||||||
Total Common Stock (cost $569,456,606) | 706,027,614 | |||||||
|
| |||||||
Registered Investment Companies (0.5%) | ||||||||
Equity Funds/ETFs (0.5%) | ||||||||
77,940 | iShares MSCI EAFE Index Fund | 4,578,975 | ||||||
|
| |||||||
Total | 4,578,975 | |||||||
|
| |||||||
Total Registered Investment Companies (cost $4,695,137) | 4,578,975 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
161
Table of Contents
LARGE CAP STOCK PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Collateral Held for Securities Loaned (0.5%) | Value | ||||||
4,545,524 | Thrivent Cash Management Trust | $ | 4,545,524 | |||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $4,545,524) | 4,545,524 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (19.1%)c | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
400,000 | 0.100%, 1/4/2016d | 399,997 | ||||||
15,000,000 | 0.180%, 1/27/2016 | 14,998,050 | ||||||
10,000,000 | 0.190%, 1/28/2016 | 9,998,575 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
700,000 | 0.100%, 1/6/2016d | 699,990 | ||||||
6,100,000 | 0.082%, 1/8/2016d | 6,099,902 | ||||||
100,000 | 0.100%, 1/13/2016 | 99,997 | ||||||
6,200,000 | 0.200%, 2/17/2016d | 6,198,381 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
100,000 | 0.110%, 1/14/2016 | 99,996 | ||||||
Thrivent Cash Management Trust | ||||||||
129,184,785 | 0.220% | 129,184,785 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 167,779,673 | |||||||
|
| |||||||
Total Investments (cost $746,476,940) 100.5% | $ | 882,931,786 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.5%) | (4,016,456 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 878,915,330 | ||||||
|
|
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
d | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Large Cap Stock Portfolio as of December 31, 2015:
Securities Lending Transactions
Common Stock | $ | 4,343,137 | ||
|
| |||
Total lending | $ | 4,343,137 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 4,545,524 | ||
|
| |||
Net amounts due to counterparty | $ | 202,387 | ||
|
|
Definitions:
ADR | - | American Depositary Receipt, which are certificates for an underlying foreign security’s shares held by an issuing U.S. depository bank. | ||||
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
162
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LARGE CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.4%) | Value | ||||||
| Consumer Discretionary (12.6%) | |||||||
2,050 | Advance Auto Parts, Inc. | $ | 308,546 | |||||
10,820 | Amazon.com, Inc.a | 7,313,130 | ||||||
2,160 | AutoNation, Inc.a | 128,866 | ||||||
850 | AutoZone, Inc.a | 630,623 | ||||||
4,710 | Bed Bath & Beyond, Inc.a | 227,257 | ||||||
8,405 | Best Buy Company, Inc. | 255,932 | ||||||
6,250 | BorgWarner, Inc. | 270,187 | ||||||
6,290 | Cablevision Systems Corporation | 200,651 | ||||||
5,870 | CarMax, Inc.a | 316,804 | ||||||
12,720 | Carnival Corporation | 692,986 | ||||||
12,172 | CBS Corporation | 573,666 | ||||||
880 | Chipotle Mexican Grill, Inc.a | 422,268 | ||||||
7,860 | Coach, Inc. | 257,258 | ||||||
69,685 | Comcast Corporation | 3,932,325 | ||||||
9,090 | D.R. Horton, Inc. | 291,153 | ||||||
3,200 | Darden Restaurants, Inc. | 203,648 | ||||||
7,780 | Delphi Automotive plc | 666,979 | ||||||
4,190 | Discovery Communications, Inc., Class Aa,b | 111,789 | ||||||
7,230 | Discovery Communications, Inc., Class Ca | 182,341 | ||||||
8,250 | Dollar General Corporation | 592,928 | ||||||
6,588 | Dollar Tree, Inc.a | 508,725 | ||||||
3,310 | Expedia, Inc. | 411,433 | ||||||
110,291 | Ford Motor Company | 1,554,000 | ||||||
1,170 | Fossil, Inc.a | 42,775 | ||||||
6,482 | Gap, Inc. | 160,105 | ||||||
3,330 | Garmin, Ltd. | 123,776 | ||||||
39,938 | General Motors Company | 1,358,291 | ||||||
4,220 | Genuine Parts Company | 362,456 | ||||||
7,520 | Goodyear Tire & Rubber Company | 245,678 | ||||||
6,620 | H&R Block, Inc. | 220,512 | ||||||
11,090 | Hanesbrands, Inc. | 326,379 | ||||||
5,390 | Harley-Davidson, Inc. | 244,652 | ||||||
1,980 | Harman International Industries, Inc. | 186,536 | ||||||
3,140 | Hasbro, Inc. | 211,510 | ||||||
35,510 | Home Depot, Inc. | 4,696,197 | ||||||
11,417 | Interpublic Group of Companies, Inc. | 265,788 | ||||||
18,180 | Johnson Controls, Inc. | 717,928 | ||||||
5,360 | Kohl’s Corporation | 255,297 | ||||||
3,820 | Leggett & Platt, Inc. | 160,516 | ||||||
4,970 | Lennar Corporation | 243,083 | ||||||
7,194 | Limited Brands, Inc. | 689,329 | ||||||
25,500 | Lowe’s Companies, Inc. | 1,939,020 | ||||||
8,958 | Macy’s, Inc. | 313,351 | ||||||
5,396 | Marriott International, Inc. | 361,748 | ||||||
9,550 | Mattel, Inc. | 259,473 | ||||||
25,850 | McDonald’s Corporation | 3,053,919 | ||||||
5,180 | Michael Kors Holdings, Ltd.a | 207,511 | ||||||
1,780 | Mohawk Industries, Inc.a | 337,114 | ||||||
12,050 | Netflix, Inc.a | 1,378,279 | ||||||
7,543 | Newell Rubbermaid, Inc. | 332,495 | ||||||
10,655 | News Corporation, Class A | 142,351 | ||||||
3,010 | News Corporation, Class B | 42,020 | ||||||
37,920 | NIKE, Inc. | 2,370,000 | ||||||
3,870 | Nordstrom, Inc. | 192,765 | ||||||
6,780 | Omnicom Group, Inc. | 512,975 | ||||||
2,750 | O’Reilly Automotive, Inc.a | 696,905 | ||||||
1,400 | Priceline Group, Inc.a | 1,784,930 | ||||||
8,792 | Pulte Group, Inc. | 156,673 | ||||||
2,340 | PVH Corporation | 172,341 | ||||||
1,680 | Ralph Lauren Corporation | 187,286 | ||||||
11,280 | Ross Stores, Inc. | 606,977 | ||||||
4,730 | Royal Caribbean Cruises, Ltd. | 478,723 | ||||||
2,670 | Scripps Networks Interactive, Inc. | 147,411 | ||||||
2,230 | Sherwin-Williams Company | 578,908 | ||||||
2,230 | Signet Jewelers, Ltd. | 275,829 | ||||||
1,640 | Snap-On, Inc. | 281,145 | ||||||
18,045 | Staples, Inc. | 170,886 | ||||||
41,700 | Starbucks Corporation | 2,503,251 | ||||||
4,730 | Starwood Hotels & Resorts Worldwide, Inc. | 327,694 | ||||||
17,440 | Target Corporation | 1,266,318 | ||||||
6,280 | Tegna, Inc. | 160,266 | ||||||
3,090 | Tiffany & Company | 235,736 | ||||||
8,008 | Time Warner Cable, Inc. | 1,486,205 | ||||||
22,440 | Time Warner, Inc. | 1,451,195 | ||||||
18,860 | TJX Companies, Inc. | 1,337,363 | ||||||
3,800 | Tractor Supply Company | 324,900 | ||||||
3,220 | TripAdvisor, Inc.a | 274,505 | ||||||
32,750 | Twenty-First Century Fox, Inc., Class A | 889,490 | ||||||
12,070 | Twenty-First Century Fox, Inc., Class B | 328,666 | ||||||
5,080 | Under Armour, Inc.a | 409,499 | ||||||
2,470 | Urban Outfitters, Inc.a | 56,193 | ||||||
9,620 | VF Corporation | 598,845 | ||||||
9,692 | Viacom, Inc. | 398,923 | ||||||
42,917 | Walt Disney Company | 4,509,718 | ||||||
2,187 | Whirlpool Corporation | 321,205 | ||||||
3,272 | Wyndham Worldwide Corporation | 237,711 | ||||||
2,310 | Wynn Resorts, Ltd. | 159,829 | ||||||
12,050 | Yum! Brands, Inc. | 880,253 | ||||||
|
| |||||||
Total | 65,703,103 | |||||||
|
| |||||||
| Consumer Staples (9.7%) | |||||||
55,150 | Altria Group, Inc. | 3,210,281 | ||||||
16,648 | Archer-Daniels-Midland Company | 610,649 | ||||||
2,857 | Brown-Forman Corporation | 283,643 | ||||||
5,050 | Campbell Soup Company | 265,377 | ||||||
3,700 | Church & Dwight Company, Inc. | 314,056 | ||||||
3,620 | Clorox Company | 459,125 | ||||||
109,800 | Coca-Cola Company | 4,717,008 | ||||||
5,880 | Coca-Cola Enterprises, Inc. | 289,531 | ||||||
25,200 | Colgate-Palmolive Company | 1,678,824 | ||||||
12,200 | ConAgra Foods, Inc. | 514,352 | ||||||
4,780 | Constellation Brands, Inc. | 680,863 | ||||||
12,280 | Costco Wholesale Corporation | 1,983,220 | ||||||
30,974 | CVS Health Corporation | 3,028,328 | ||||||
5,320 | Dr. Pepper Snapple Group, Inc. | 495,824 | ||||||
6,250 | Estee Lauder Companies, Inc. | 550,375 | ||||||
16,770 | General Mills, Inc. | 966,958 | ||||||
4,040 | Hershey Company | 360,651 | ||||||
3,780 | Hormel Foods Corporation | 298,922 | ||||||
3,341 | J.M. Smucker Company | 412,079 | ||||||
7,160 | Kellogg Company | 517,453 | ||||||
3,260 | Keurig Green Mountain, Inc.b | 293,335 | ||||||
10,182 | Kimberly-Clark Corporation | 1,296,169 | ||||||
16,837 | Kraft Heinz Company | 1,225,060 | ||||||
27,330 | Kroger Company | 1,143,214 | ||||||
3,260 | McCormick & Company, Inc. | 278,926 | ||||||
5,528 | Mead Johnson Nutrition Company | 436,436 | ||||||
4,430 | Molson Coors Brewing Company | 416,066 | ||||||
44,702 | Mondelez International, Inc. | 2,004,438 | ||||||
4,180 | Monster Beverage Corporationa | 622,653 | ||||||
40,970 | PepsiCo, Inc. | 4,093,722 | ||||||
44,230 | Philip Morris International, Inc. | 3,888,259 | ||||||
76,358 | Procter & Gamble Company | 6,063,589 | ||||||
23,248 | Reynolds American, Inc. | 1,072,895 | ||||||
5,450 | Safeway, Inc. (Casa Ley SA de CV) Contingent Value Rightsa,c | 5,531 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
163
Table of Contents
LARGE CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.4%) | Value | ||||||
| Consumer Staples (9.7%) - continued | |||||||
5,450 | Safeway, Inc. (Property Development Centers, LLC) Contingent Value Rightsa,c | $ | 266 | |||||
14,700 | Sysco Corporation | 602,700 | ||||||
8,290 | Tyson Foods, Inc. | 442,106 | ||||||
24,460 | Walgreens Boots Alliance, Inc. | 2,082,891 | ||||||
44,380 | Wal-Mart Stores, Inc. | 2,720,494 | ||||||
9,750 | Whole Foods Market, Inc. | 326,625 | ||||||
|
| |||||||
Total | 50,652,894 | |||||||
|
| |||||||
| Energy (6.3%) | |||||||
14,512 | Anadarko Petroleum Corporation | 704,993 | ||||||
10,770 | Apache Corporation | 478,942 | ||||||
12,293 | Baker Hughes, Inc. | 567,322 | ||||||
11,400 | Cabot Oil & Gas Corporation | 201,666 | ||||||
5,390 | Cameron International Corporationa | 340,648 | ||||||
14,790 | Chesapeake Energy Corporationb | 66,555 | ||||||
53,306 | Chevron Corporation | 4,795,408 | ||||||
2,750 | Cimarex Energy Company | 245,795 | ||||||
11,229 | Columbia Pipeline Group, Inc. | 224,580 | ||||||
35,529 | ConocoPhillips | 1,658,849 | ||||||
6,210 | Consol Energy, Inc.b | 49,059 | ||||||
10,940 | Devon Energy Corporation | 350,080 | ||||||
1,820 | Diamond Offshore Drilling, Inc.b | 38,402 | ||||||
6,680 | Ensco plc | 102,805 | ||||||
15,720 | EOG Resources, Inc. | 1,112,819 | ||||||
4,340 | EQT Corporation | 226,244 | ||||||
117,010 | Exxon Mobil Corporation | 9,120,929 | ||||||
6,460 | FMC Technologies, Inc.a | 187,405 | ||||||
24,140 | Halliburton Company | 821,726 | ||||||
3,080 | Helmerich & Payne, Inc.b | 164,934 | ||||||
6,870 | Hess Corporation | 333,058 | ||||||
54,060 | Kinder Morgan, Inc. | 806,575 | ||||||
19,538 | Marathon Oil Corporation | 245,983 | ||||||
15,018 | Marathon Petroleum Corporation | 778,533 | ||||||
4,620 | Murphy Oil Corporation | 103,719 | ||||||
10,550 | National Oilwell Varco, Inc. | 353,319 | ||||||
4,760 | Newfield Exploration Companya | 154,986 | ||||||
12,160 | Noble Energy, Inc. | 400,429 | ||||||
21,660 | Occidental Petroleum Corporation | 1,464,433 | ||||||
5,590 | ONEOK, Inc. | 137,849 | ||||||
13,484 | Phillips 66 | 1,102,991 | ||||||
4,340 | Pioneer Natural Resources Company | 544,149 | ||||||
4,830 | Range Resources Corporation | 118,866 | ||||||
35,494 | Schlumberger, Ltd. | 2,475,706 | ||||||
10,650 | Southwestern Energy Companya | 75,721 | ||||||
19,054 | Spectra Energy Corporation | 456,153 | ||||||
3,370 | Tesoro Corporation | 355,097 | ||||||
9,810 | Transocean, Ltd.b | 121,448 | ||||||
13,470 | Valero Energy Corporation | 952,464 | ||||||
19,280 | Williams Companies, Inc. | 495,496 | ||||||
|
| |||||||
Total | 32,936,136 | |||||||
|
| |||||||
| Financials (15.8%) | |||||||
9,040 | ACE, Ltd. | 1,056,324 | ||||||
1,520 | Affiliated Managers Group, Inc.a | 242,835 | ||||||
11,960 | Aflac, Inc. | 716,404 | ||||||
10,902 | Allstate Corporation | 676,905 | ||||||
23,470 | American Express Company | 1,632,338 | ||||||
34,737 | American International Group, Inc. | 2,152,652 | ||||||
11,880 | American Tower Corporation | 1,151,766 | ||||||
4,870 | Ameriprise Financial, Inc. | 518,265 | ||||||
7,695 | Aon plc | 709,556 | ||||||
4,386 | Apartment Investment & Management Company | 175,572 | ||||||
1,850 | Assurant, Inc. | 148,999 | ||||||
3,811 | AvalonBay Communities, Inc. | 701,719 | ||||||
291,520 | Bank of America Corporation | 4,906,282 | ||||||
30,602 | Bank of New York Mellon Corporation | 1,261,414 | ||||||
21,890 | BB&T Corporation | 827,661 | ||||||
52,159 | Berkshire Hathaway, Inc.a | 6,887,074 | ||||||
3,520 | BlackRock, Inc. | 1,198,630 | ||||||
4,290 | Boston Properties, Inc. | 547,147 | ||||||
14,963 | Capital One Financial Corporation | 1,080,029 | ||||||
8,160 | CBRE Group, Inc.a | 282,173 | ||||||
33,585 | Charles Schwab Corporation | 1,105,954 | ||||||
6,360 | Chubb Corporation | 843,590 | ||||||
4,118 | Cincinnati Financial Corporation | 243,662 | ||||||
83,803 | Citigroup, Inc. | 4,336,805 | ||||||
9,540 | CME Group, Inc. | 864,324 | ||||||
4,950 | Comerica, Inc. | 207,059 | ||||||
9,370 | Crown Castle International Corporation | 810,037 | ||||||
11,935 | Discover Financial Services | 639,955 | ||||||
8,260 | E*TRADE Financial Corporationa | 244,826 | ||||||
1,732 | Equinix, Inc. | 523,757 | ||||||
10,180 | Equity Residential | 830,586 | ||||||
1,850 | Essex Property Trust, Inc. | 442,909 | ||||||
22,344 | Fifth Third Bancorp | 449,114 | ||||||
10,650 | Franklin Resources, Inc. | 392,133 | ||||||
16,410 | General Growth Properties, Inc. | 446,516 | ||||||
11,100 | Goldman Sachs Group, Inc. | 2,000,553 | ||||||
11,460 | Hartford Financial Services Group, Inc. | 498,052 | ||||||
13,060 | HCP, Inc. | 499,414 | ||||||
9,910 | Health Care REIT, Inc. | 674,177 | ||||||
20,971 | Host Hotels & Resorts, Inc. | 321,695 | ||||||
22,281 | Huntington Bancshares, Inc. | 246,428 | ||||||
3,330 | Intercontinental Exchange, Inc. | 853,346 | ||||||
11,860 | Invesco, Ltd. | 397,073 | ||||||
5,412 | Iron Mountain, Inc. | 146,178 | ||||||
102,678 | J.P. Morgan Chase & Company | 6,779,828 | ||||||
23,460 | KeyCorp | 309,437 | ||||||
11,560 | Kimco Realty Corporation | 305,878 | ||||||
3,020 | Legg Mason, Inc. | 118,475 | ||||||
9,261 | Leucadia National Corporation | 161,049 | ||||||
6,924 | Lincoln National Corporation | 348,000 | ||||||
7,860 | Loews Corporation | 301,824 | ||||||
4,466 | M&T Bank Corporation | 541,190 | ||||||
3,760 | Macerich Company | 303,394 | ||||||
14,650 | Marsh & McLennan Companies, Inc. | 812,343 | ||||||
7,590 | McGraw-Hill Financial, Inc. | 748,222 | ||||||
31,082 | MetLife, Inc. | 1,498,463 | ||||||
4,770 | Moody’s Corporation | 478,622 | ||||||
42,480 | Morgan Stanley | 1,351,289 | ||||||
3,200 | Nasdaq, Inc. | 186,144 | ||||||
10,180 | Navient Corporation | 116,561 | ||||||
6,050 | Northern Trust Corporation | 436,145 | ||||||
8,710 | People’s United Financial, Inc. | 140,667 | ||||||
4,880 | Plum Creek Timber Company, Inc. | 232,874 | ||||||
14,174 | PNC Financial Services Group, Inc. | 1,350,924 | ||||||
7,610 | Principal Financial Group, Inc. | 342,298 | ||||||
16,280 | Progressive Corporation | 517,704 | ||||||
14,706 | Prologis, Inc. | 631,182 | ||||||
12,530 | Prudential Financial, Inc. | 1,020,067 | ||||||
4,130 | Public Storage, Inc. | 1,023,001 | ||||||
7,010 | Realty Income Corporation | 361,926 | ||||||
36,857 | Regions Financial Corporation | 353,827 | ||||||
8,674 | Simon Property Group, Inc. | 1,686,573 | ||||||
2,780 | SL Green Realty Corporation | 314,084 | ||||||
11,320 | State Street Corporation | 751,195 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
164
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LARGE CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.4%) | Value | ||||||
| Financials (15.8%) - continued | |||||||
14,300 | SunTrust Banks, Inc. | $ | 612,612 | |||||
23,380 | Synchrony Financiala | 710,986 | ||||||
7,068 | T. Rowe Price Group, Inc. | 505,291 | ||||||
3,210 | Torchmark Corporation | 183,484 | ||||||
8,521 | Travelers Companies, Inc. | 961,680 | ||||||
46,035 | U.S. Bancorp | 1,964,313 | ||||||
6,804 | Unum Group | 226,506 | ||||||
9,320 | Ventas, Inc. | 525,928 | ||||||
4,967 | Vornado Realty Trust | 496,501 | ||||||
130,090 | Wells Fargo & Company | 7,071,692 | ||||||
14,382 | Weyerhaeuser Company | 431,172 | ||||||
8,360 | XL Group plc | 327,545 | ||||||
5,740 | Zions Bancorporation | 156,702 | ||||||
|
| |||||||
Total | 82,589,486 | |||||||
|
| |||||||
| Health Care (14.6%) |
| ||||||
41,970 | Abbott Laboratories | 1,884,873 | ||||||
46,030 | AbbVie, Inc. | 2,726,817 | ||||||
9,789 | Aetna, Inc. | 1,058,387 | ||||||
6,330 | Alexion Pharmaceuticals, Inc.a | 1,207,448 | ||||||
11,132 | Allergan plca | 3,478,750 | ||||||
5,510 | AmerisourceBergen Corporation | 571,442 | ||||||
21,420 | Amgen, Inc. | 3,477,109 | ||||||
7,240 | Anthem, Inc. | 1,009,546 | ||||||
15,350 | Baxalta, Inc. | 599,111 | ||||||
15,400 | Baxter International, Inc. | 587,510 | ||||||
5,925 | Becton, Dickinson and Company | 912,983 | ||||||
6,270 | Biogen, Inc.a | 1,920,814 | ||||||
37,840 | Boston Scientific Corporationa | 697,770 | ||||||
46,858 | Bristol-Myers Squibb Company | 3,223,362 | ||||||
2,080 | C.R. Bard, Inc. | 394,035 | ||||||
9,235 | Cardinal Health, Inc. | 824,408 | ||||||
22,110 | Celgene Corporationa | 2,647,894 | ||||||
8,530 | Cerner Corporationa | 513,250 | ||||||
7,210 | CIGNA Corporation | 1,055,039 | ||||||
4,650 | DaVita HealthCare Partners, Inc.a | 324,152 | ||||||
3,910 | DENTSPLY International, Inc. | 237,923 | ||||||
6,020 | Edwards Lifesciences Corporationa | 475,460 | ||||||
27,130 | Eli Lilly and Company | 2,285,974 | ||||||
5,970 | Endo International plca | 365,483 | ||||||
18,915 | Express Scripts Holding Companya | 1,653,360 | ||||||
40,610 | Gilead Sciences, Inc. | 4,109,326 | ||||||
8,780 | HCA Holdings, Inc.a | 593,791 | ||||||
2,310 | Henry Schein, Inc.a | 365,419 | ||||||
4,170 | Humana, Inc. | 744,387 | ||||||
4,090 | Illumina, Inc.a | 785,055 | ||||||
1,050 | Intuitive Surgical, Inc.a | 573,468 | ||||||
78,010 | Johnson & Johnson | 8,013,187 | ||||||
2,860 | Laboratory Corporation of America Holdingsa | 353,610 | ||||||
3,290 | Mallinckrodt, LLCa | 245,533 | ||||||
6,462 | McKesson Corporation | 1,274,500 | ||||||
39,329 | Medtronic, Inc. | 3,025,187 | ||||||
79,023 | Merck & Company, Inc. | 4,173,995 | ||||||
11,630 | Mylan NVa | 628,834 | ||||||
2,350 | Patterson Companies, Inc. | 106,243 | ||||||
3,130 | PerkinElmer, Inc. | 167,674 | ||||||
4,160 | Perrigo Company plc | 601,952 | ||||||
174,110 | Pfizer, Inc. | 5,620,271 | ||||||
4,040 | Quest Diagnostics, Inc. | 287,406 | ||||||
2,220 | Regeneron Pharmaceuticals, Inc.a | 1,205,171 | ||||||
7,974 | St. Jude Medical, Inc. | 492,554 | ||||||
8,880 | Stryker Corporation | 825,307 | ||||||
2,715 | Tenet Healthcare Corporationa | 82,264 | ||||||
11,140 | Thermo Fisher Scientific, Inc. | 1,580,209 | ||||||
26,650 | UnitedHealth Group, Inc. | 3,135,106 | ||||||
2,530 | Universal Health Services, Inc. | 302,310 | ||||||
2,730 | Varian Medical Systems, Inc.a | 220,584 | ||||||
6,900 | Vertex Pharmaceuticals, Inc.a | 868,227 | ||||||
2,280 | Waters Corporationa | 306,842 | ||||||
4,790 | Zimmer Biomet Holdings, Inc. | 491,406 | ||||||
12,930 | Zoetis, Inc. | 619,606 | ||||||
|
| |||||||
Total | 75,932,324 | |||||||
|
| |||||||
| Industrials (9.6%) |
| ||||||
17,300 | 3M Company | 2,606,072 | ||||||
4,650 | ADT Corporationb | 153,357 | ||||||
2,691 | Allegion plc | 177,391 | ||||||
6,720 | AMETEK, Inc. | 360,125 | ||||||
17,540 | Boeing Company | 2,536,109 | ||||||
4,060 | C.H. Robinson Worldwide, Inc. | 251,801 | ||||||
16,490 | Caterpillar, Inc. | 1,120,660 | ||||||
2,450 | Cintas Corporation | 223,072 | ||||||
27,510 | CSX Corporation | 713,884 | ||||||
4,610 | Cummins, Inc. | 405,726 | ||||||
16,720 | Danaher Corporation | 1,552,954 | ||||||
8,770 | Deere & Company | 668,888 | ||||||
21,660 | Delta Air Lines, Inc. | 1,097,945 | ||||||
4,350 | Dover Corporation | 266,699 | ||||||
1,010 | Dun & Bradstreet Corporation | 104,969 | ||||||
12,914 | Eaton Corporation | 672,045 | ||||||
18,140 | Emerson Electric Company | 867,636 | ||||||
3,310 | Equifax, Inc. | 368,635 | ||||||
5,260 | Expeditors International of Washington, Inc. | 237,226 | ||||||
8,150 | Fastenal Companyb | 332,683 | ||||||
7,430 | FedEx Corporation | 1,106,996 | ||||||
2,070 | First Solar, Inc.a | 136,599 | ||||||
3,700 | Flowserve Corporation | 155,696 | ||||||
4,010 | Fluor Corporation | 189,352 | ||||||
8,300 | General Dynamics Corporation | 1,140,088 | ||||||
265,097 | General Electric Company | 8,257,772 | ||||||
21,465 | Honeywell International, Inc. | 2,223,130 | ||||||
9,190 | Illinois Tool Works, Inc. | 851,729 | ||||||
7,320 | Ingersoll-Rand plc | 404,723 | ||||||
3,460 | Jacobs Engineering Group, Inc.a | 145,147 | ||||||
2,550 | JB Hunt Transport Services, Inc. | 187,068 | ||||||
3,090 | Kansas City Southern | 230,730 | ||||||
2,190 | L-3 Communications Holdings, Inc. | 261,727 | ||||||
7,390 | Lockheed Martin Corporation | 1,604,738 | ||||||
9,480 | Masco Corporation | 268,284 | ||||||
10,210 | Nielsen Holdings plc | 475,786 | ||||||
8,430 | Norfolk Southern Corporation | 713,094 | ||||||
5,088 | Northrop Grumman Corporation | 960,665 | ||||||
9,847 | PACCAR, Inc. | 466,748 | ||||||
3,805 | Parker Hannifin Corporation | 369,009 | ||||||
5,039 | Pentair, Ltd. | 249,582 | ||||||
5,510 | Pitney Bowes, Inc. | 113,782 | ||||||
3,880 | Precision Castparts Corporation | 900,199 | ||||||
4,510 | Quanta Services, Inc.a | 91,327 | ||||||
8,420 | Raytheon Company | 1,048,543 | ||||||
6,690 | Republic Services, Inc. | 294,293 | ||||||
3,720 | Robert Half International, Inc. | 175,361 | ||||||
3,700 | Rockwell Automation, Inc. | 379,657 | ||||||
3,650 | Rockwell Collins, Inc. | 336,895 | ||||||
2,820 | Roper Industries, Inc. | 535,208 | ||||||
1,510 | Ryder System, Inc. | 85,813 | ||||||
18,040 | Southwest Airlines Company | 776,802 | ||||||
4,240 | Stanley Black & Decker, Inc. | 452,535 | ||||||
2,370 | Stericycle, Inc.a | 285,822 | ||||||
7,570 | Textron, Inc. | 318,016 | ||||||
11,850 | Tyco International plc | 377,897 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
165
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LARGE CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.4%) | Value | ||||||
| Industrials (9.6%) - continued | |||||||
24,100 | Union Pacific Corporation | $ | 1,884,620 | |||||
10,310 | United Continental Holdings, Inc.a | 590,763 | ||||||
19,660 | United Parcel Service, Inc. | 1,891,882 | ||||||
2,530 | United Rentals, Inc.a | 183,526 | ||||||
23,090 | United Technologies Corporation | 2,218,256 | ||||||
17,360 | US Airways Group, Inc. | 735,196 | ||||||
4,380 | Verisk Analytics, Inc.a | 336,734 | ||||||
1,630 | W.W. Grainger, Inc.b | 330,222 | ||||||
11,629 | Waste Management, Inc. | 620,639 | ||||||
5,030 | Xylem, Inc. | 183,595 | ||||||
|
| |||||||
Total | 50,264,123 | |||||||
|
| |||||||
| Information Technology (20.0%) |
| ||||||
17,490 | Accenture plc | 1,827,705 | ||||||
14,010 | Activision Blizzard, Inc. | 542,327 | ||||||
13,970 | Adobe Systems, Inc.a | 1,312,342 | ||||||
9,195 | Agilent Technologies, Inc. | 384,443 | ||||||
4,990 | Akamai Technologies, Inc.a | 262,624 | ||||||
1,710 | Alliance Data Systems Corporationa | 472,935 | ||||||
8,160 | Alphabet, Inc., Class Aa | 6,348,562 | ||||||
8,309 | Alphabet, Inc., Class Ca | 6,305,534 | ||||||
8,590 | Amphenol Corporation | 448,656 | ||||||
8,750 | Analog Devices, Inc. | 484,050 | ||||||
156,510 | Apple, Inc.d | 16,474,243 | ||||||
32,040 | Applied Materials, Inc. | 598,187 | ||||||
6,290 | Autodesk, Inc.a | 383,250 | ||||||
12,950 | Automatic Data Processing, Inc. | 1,097,124 | ||||||
7,300 | Avago Technologies, Ltd. | 1,059,595 | ||||||
15,700 | Broadcom Corporation | 907,774 | ||||||
8,752 | CA, Inc. | 249,957 | ||||||
141,850 | Cisco Systems, Inc. | 3,851,937 | ||||||
4,350 | Citrix Systems, Inc.a | 329,077 | ||||||
16,940 | Cognizant Technology Solutions Corporationa | 1,016,739 | ||||||
3,870 | Computer Sciences Government Services, Inc. | 116,100 | ||||||
33,280 | Corning, Inc. | 608,358 | ||||||
31,210 | eBay, Inc.a | 857,651 | ||||||
8,700 | Electronic Arts, Inc.a | 597,864 | ||||||
54,406 | EMC Corporation | 1,397,146 | ||||||
1,990 | F5 Networks, Inc.a | 192,950 | ||||||
63,840 | Facebook, Inc.a | 6,681,494 | ||||||
7,760 | Fidelity National Information Services, Inc. | 470,256 | ||||||
6,420 | Fiserv, Inc.a | 587,173 | ||||||
3,910 | FLIR Systems, Inc. | 109,754 | ||||||
3,010 | GameStop Corporationb | 84,400 | ||||||
3,490 | Harris Corporation | 303,281 | ||||||
50,116 | Hewlett Packard Enterprise Company | 761,763 | ||||||
51,146 | Hewlett-Packard Company | 605,569 | ||||||
131,730 | Intel Corporation | 4,538,098 | ||||||
25,190 | International Business Machines Corporation | 3,466,648 | ||||||
7,390 | Intuit, Inc. | 713,135 | ||||||
10,380 | Juniper Networks, Inc. | 286,488 | ||||||
4,370 | KLA-Tencor Corporation | 303,059 | ||||||
4,440 | Lam Research Corporation | 352,625 | ||||||
6,720 | Linear Technology Corporation | 285,398 | ||||||
27,730 | MasterCard, Inc. | 2,699,793 | ||||||
5,710 | Microchip Technology, Inc. | 265,743 | ||||||
30,600 | Micron Technology, Inc.a | 433,296 | ||||||
221,960 | Microsoft Corporation | 12,314,341 | ||||||
4,505 | Motorola Solutions, Inc. | 308,367 | ||||||
8,250 | NetApp, Inc. | 218,872 | ||||||
14,270 | NVIDIA Corporation | 470,339 | ||||||
89,447 | Oracle Corporation | 3,267,499 | ||||||
9,060 | Paychex, Inc. | 479,183 | ||||||
31,040 | PayPal Holdings, Inc.a | 1,123,648 | ||||||
4,060 | Qorvo, Inc.a | 206,654 | ||||||
42,070 | QUALCOMM, Inc. | 2,102,869 | ||||||
5,160 | Red Hat, Inc.a | 427,300 | ||||||
17,450 | Salesforce.com, Inc.a | 1,368,080 | ||||||
5,650 | SanDisk Corporation | 429,343 | ||||||
8,300 | Seagate Technology plc | 304,278 | ||||||
5,390 | Skyworks Solutions, Inc. | 414,114 | ||||||
19,004 | Symantec Corporation | 399,084 | ||||||
10,790 | TE Connectivity, Ltd. | 697,142 | ||||||
3,740 | Teradata Corporationa | 98,811 | ||||||
28,380 | Texas Instruments, Inc. | 1,555,508 | ||||||
4,750 | Total System Services, Inc. | 236,550 | ||||||
2,750 | VeriSign, Inc.a,b | 240,240 | ||||||
54,550 | Visa, Inc. | 4,230,353 | ||||||
6,520 | Western Digital Corporation | 391,526 | ||||||
14,110 | Western Union Company | 252,710 | ||||||
26,505 | Xerox Corporation | 281,748 | ||||||
7,180 | Xilinx, Inc. | 337,245 | ||||||
24,500 | Yahoo!, Inc.a | 814,870 | ||||||
|
| |||||||
Total | 104,045,777 | |||||||
|
| |||||||
| Materials (2.6%) | |||||||
5,440 | Air Products and Chemicals, Inc. | 707,798 | ||||||
1,830 | Airgas, Inc. | 253,126 | ||||||
36,814 | Alcoa, Inc. | 363,354 | ||||||
2,540 | Avery Dennison Corporation | 159,156 | ||||||
3,840 | Ball Corporation | 279,283 | ||||||
6,560 | CF Industries Holdings, Inc. | 267,714 | ||||||
31,743 | Dow Chemical Company | 1,634,130 | ||||||
24,691 | E.I. du Pont de Nemours and Company | 1,644,420 | ||||||
4,190 | Eastman Chemical Company | 282,867 | ||||||
7,480 | Ecolab, Inc. | 855,562 | ||||||
3,720 | FMC Corporation | 145,564 | ||||||
32,412 | Freeport-McMoRan, Inc. | 219,429 | ||||||
2,250 | International Flavors & Fragrances, Inc. | 269,190 | ||||||
11,611 | International Paper Company | 437,735 | ||||||
10,150 | LyondellBasell Industries NV | 882,035 | ||||||
1,860 | Martin Marietta Materials, Inc. | 254,039 | ||||||
12,398 | Monsanto Company | 1,221,451 | ||||||
9,630 | Mosaic Company | 265,692 | ||||||
14,798 | Newmont Mining Corporation | 266,216 | ||||||
8,900 | Nucor Corporation | 358,670 | ||||||
4,510 | Owens-Illinois, Inc.a | 78,564 | ||||||
7,560 | PPG Industries, Inc. | 747,079 | ||||||
7,990 | Praxair, Inc. | 818,176 | ||||||
7,219 | Rock-Tenn Company | 329,331 | ||||||
5,582 | Sealed Air Corporation | 248,957 | ||||||
3,740 | Vulcan Materials Company | 355,188 | ||||||
|
| |||||||
Total | 13,344,726 | |||||||
|
| |||||||
| Telecommunications Services (2.3%) | |||||||
171,836 | AT&T, Inc. | 5,912,877 | ||||||
15,345 | CenturyLink, Inc. | 386,080 | ||||||
32,838 | Frontier Communications Corporation | 153,353 | ||||||
8,051 | Level 3 Communications, Inc.a | 437,652 | ||||||
114,666 | Verizon Communications, Inc. | 5,299,863 | ||||||
|
| |||||||
Total | 12,189,825 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
166
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LARGE CAP INDEX PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares | Common Stock (96.4%) | Value | ||||||
| Utilities (2.9%) | |||||||
18,900 | AES Corporation | $ | 180,873 | |||||
3,395 | AGL Resources, Inc. | 216,635 | ||||||
6,810 | Ameren Corporation | 294,396 | ||||||
13,760 | American Electric Power Company, Inc. | 801,795 | ||||||
12,223 | CenterPoint Energy, Inc. | 224,414 | ||||||
7,770 | CMS Energy Corporation | 280,342 | ||||||
8,230 | Consolidated Edison, Inc. | 528,942 | ||||||
16,744 | Dominion Resources, Inc. | 1,132,564 | ||||||
5,050 | DTE Energy Company | 404,960 | ||||||
19,302 | Duke Energy Corporation | 1,377,970 | ||||||
9,160 | Edison International, Inc. | 542,364 | ||||||
5,020 | Entergy Corporation | 343,167 | ||||||
26,024 | Exelon Corporation | 722,686 | ||||||
11,884 | FirstEnergy Corporation | 377,079 | ||||||
12,920 | NextEra Energy, Inc. | 1,342,259 | ||||||
9,019 | NiSource, Inc. | 175,961 | ||||||
8,930 | Northeast Utilities | 456,055 | ||||||
8,970 | NRG Energy, Inc. | 105,577 | ||||||
7,200 | Pepco Holdings, Inc. | 187,272 | ||||||
13,740 | PG&E Corporation | 730,831 | ||||||
3,110 | Pinnacle West Capital Corporation | 200,533 | ||||||
18,910 | PPL Corporation | 645,398 | ||||||
14,180 | Public Service Enterprise Group, Inc. | 548,624 | ||||||
4,010 | SCANA Corporation | 242,565 | ||||||
6,635 | Sempra Energy | 623,756 | ||||||
25,540 | Southern Company | 1,195,017 | ||||||
6,620 | TECO Energy, Inc. | 176,423 | ||||||
8,836 | Wisconsin Energy Corporation | 453,375 | ||||||
14,235 | Xcel Energy, Inc. | 511,179 | ||||||
|
| |||||||
Total | 15,023,012 | |||||||
|
| |||||||
Total Common Stock (cost $318,478,826) | 502,681,406 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (0.4%) | ||||||||
1,894,887 | Thrivent Cash Management Trust | 1,894,887 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $1,894,887) | 1,894,887 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (3.5%)e | |||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
100,000 | 0.230%, 1/4/2016d | 99,998 | ||||||
100,000 | 0.250%, 1/21/2016d | 99,986 | ||||||
1,000,000 | 0.230%, 1/27/2016d | 999,834 | ||||||
100,000 | 0.210%, 2/4/2016d | 99,980 | ||||||
Federal National Mortgage Association Discount Notes | ||||||||
100,000 | 0.180%, 2/2/2016d | 99,984 | ||||||
Thrivent Cash Management Trust | ||||||||
16,796,121 | 0.220% | 16,796,121 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 18,195,903 | |||||||
|
| |||||||
Total Investments (cost $338,569,616) 100.3% | $ | 522,772,196 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.3%) | (1,593,137 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 521,179,059 | ||||||
|
|
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | Security is valued at fair value. Market quotations or prices were not readily available or were determined to be unreliable. Fair value was determined in good faith pursuant to procedures adopted by the Board. Further information on fair valuation can be found in the Notes to Financial Statements. |
d | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
e | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Large Cap Index Portfolio as of December 31, 2015:
Securities Lending Transactions
Common Stock | $ | 1,841,982 | ||
|
| |||
Total lending | $ | 1,841,982 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 1,894,887 | ||
|
| |||
Net amounts due to counterparty | $ | 52,905 | ||
|
|
Definitions:
REIT | - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
167
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HIGH YIELD PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (4.7%)a | Value | ||||||
| Basic Materials (0.3%) |
| ||||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
$ | 3,178,740 | 4.250%, 6/30/2019 | $ | 2,348,612 | ||||
|
| |||||||
Total | 2,348,612 | |||||||
|
| |||||||
| Communications Services (2.0%) | |||||||
Birch Communication Inc., Term Loan | ||||||||
4,194,688 | 7.750%, 7/17/2020 | 4,005,927 | ||||||
Cengage Learning Acquisitions, Term Loan | ||||||||
5,213,949 | 7.000%, 3/31/2020 | 5,070,565 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
3,250,000 | 8.250%, 5/6/2022 | 2,827,500 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
2,205,817 | 4.750%, 3/22/2019 | 2,152,503 | ||||||
|
| |||||||
Total | 14,056,495 | |||||||
|
| |||||||
| Consumer Cyclical (1.1%) | |||||||
Amaya BV, Term Loan | ||||||||
707,437 | 8.000%, 8/1/2022 | 705,669 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
2,581,031 | 5.500%, 6/15/2018 | 2,519,266 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
4,999,500 | 6.000%, 10/1/2021 | 4,542,396 | ||||||
|
| |||||||
Total | 7,767,331 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.4%) | |||||||
Albertson’s, Inc., Term Loan | ||||||||
2,947,818 | 5.500%, 3/21/2019 | 2,935,290 | ||||||
|
| |||||||
Total | 2,935,290 | |||||||
|
| |||||||
| Technology (0.9%) | |||||||
First Data Corporation, Term Loan | ||||||||
6,540,676 | 3.918%, 3/23/2018 | 6,447,079 | ||||||
|
| |||||||
Total | 6,447,079 | |||||||
|
| |||||||
Total Bank Loans (cost $35,108,917) | 33,554,807 | |||||||
|
| |||||||
Long-Term Fixed Income (85.5%) | ||||||||
| Asset-Backed Securities (0.4%) | |||||||
Renaissance Home Equity Loan Trust | ||||||||
1,794,414 | 5.746%, 5/25/2036b | 1,236,215 | ||||||
1,800,000 | 6.011%, 5/25/2036b | 1,252,109 | ||||||
|
| |||||||
Total | 2,488,324 | |||||||
|
| |||||||
| Basic Materials (3.2%) | |||||||
ArcelorMittal SA | ||||||||
2,065,000 | 6.500%, 3/1/2021c | 1,662,098 | ||||||
First Quantum Minerals, Ltd. | ||||||||
2,205,000 | 6.750%, 2/15/2020d | 1,422,225 | ||||||
2,140,000 | 7.000%, 2/15/2021d | 1,342,850 | ||||||
Graphic Packaging International, Inc. | ||||||||
790,000 | 4.750%, 4/15/2021 | 805,800 | ||||||
530,000 | 4.875%, 11/15/2022 | 536,625 | ||||||
INEOS Group Holdings SA | ||||||||
2,795,000 | 6.125%, 8/15/2018c,d | 2,767,050 | ||||||
Midwest Vanadium, Pty. Ltd. | ||||||||
3,430,000 | 11.500%, 2/15/2018*,e | 175,787 | ||||||
Novelis, Inc. | ||||||||
3,950,000 | 8.750%, 12/15/2020 | 3,624,125 | ||||||
Resolute Forest Products, Inc. | ||||||||
3,815,000 | 5.875%, 5/15/2023c | 2,775,413 | ||||||
Ryerson, Inc. | ||||||||
2,100,000 | 9.000%, 10/15/2017 | 1,617,000 | ||||||
Sappi Papier Holding GmbH | ||||||||
3,080,000 | 6.625%, 4/15/2021d | 3,110,800 | ||||||
Signode Industrial Group Lux SA | ||||||||
1,080,000 | 6.375%, 5/1/2022d | 918,000 | ||||||
Tembec Industries, Inc. | ||||||||
2,660,000 | 9.000%, 12/15/2019c,d | 1,729,000 | ||||||
|
| |||||||
Total | 22,486,773 | |||||||
|
| |||||||
| Capital Goods (8.3%) | |||||||
Abengoa Finance SAU | ||||||||
3,250,000 | 7.750%, 2/1/2020d | 450,937 | ||||||
Abengoa Greenfield SA | ||||||||
3,460,000 | 6.500%, 10/1/2019d | 380,600 | ||||||
Anixter, Inc. | ||||||||
3,455,000 | 5.125%, 10/1/2021 | 3,455,000 | ||||||
Berry Plastics Corporation | ||||||||
6,370,000 | 5.125%, 7/15/2023 | 6,194,825 | ||||||
Bombardier, Inc. | ||||||||
2,130,000 | 7.500%, 3/15/2025d | 1,491,000 | ||||||
Building Materials Corporation of America | ||||||||
3,990,000 | 6.000%, 10/15/2025d | 4,069,800 | ||||||
Cemex Finance, LLC | ||||||||
2,245,000 | 9.375%, 10/12/2017d | 2,362,863 | ||||||
Cemex SAB de CV | ||||||||
2,750,000 | 5.700%, 1/11/2025c,d | 2,299,688 | ||||||
CNH Capital, LLC | ||||||||
1,680,000 | 3.625%, 4/15/2018c | 1,653,960 | ||||||
CNH Industrial Capital, LLC | ||||||||
1,850,000 | 4.375%, 11/6/2020c | 1,743,625 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
925,000 | 5.000%, 12/15/2021d | 942,344 | ||||||
2,650,000 | 5.000%, 11/15/2025d | 2,689,750 | ||||||
Milacron, LLC | ||||||||
2,640,000 | 7.750%, 2/15/2021d | 2,461,800 | ||||||
Moog, Inc. | ||||||||
1,725,000 | 5.250%, 12/1/2022d | 1,742,250 | ||||||
Nortek, Inc. | ||||||||
3,640,000 | 8.500%, 4/15/2021 | 3,776,864 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
3,070,000 | 5.875%, 8/15/2023d | 3,116,050 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
2,160,000 | 9.875%, 8/15/2019 | 2,176,200 | ||||||
350,000 | 5.750%, 10/15/2020 | 356,016 | ||||||
2,630,000 | 8.250%, 2/15/2021 | 2,531,375 | ||||||
Safeway Group Holding, LLC | ||||||||
3,175,000 | 7.000%, 5/15/2018d | 3,167,063 | ||||||
Silgan Holdings, Inc. | ||||||||
3,970,000 | 5.000%, 4/1/2020 | 4,039,475 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
168
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HIGH YIELD PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (85.5%) | Value | ||||||
| Capital Goods (8.3%) - continued | |||||||
United Rentals North America, Inc. | ||||||||
$1,625,000 | 6.125%, 6/15/2023 | $ | 1,661,562 | |||||
1,660,000 | 5.500%, 7/15/2025 | 1,610,200 | ||||||
UR Financing Escrow Corporation | ||||||||
4,250,000 | 7.625%, 4/15/2022 | 4,541,975 | ||||||
|
| |||||||
Total | 58,915,222 | |||||||
|
| |||||||
| Communications Services (15.4%) | |||||||
Activision Blizzard, Inc. | ||||||||
3,190,000 | 6.125%, 9/15/2023d | 3,381,400 | ||||||
Altice Financing SA | ||||||||
1,080,000 | 6.500%, 1/15/2022d | 1,069,200 | ||||||
790,000 | 6.625%, 2/15/2023d | 780,125 | ||||||
Altice Finco SA | ||||||||
1,050,000 | 9.875%, 12/15/2020d | 1,118,250 | ||||||
540,000 | 8.125%, 1/15/2024d | 522,450 | ||||||
AMC Networks, Inc. | ||||||||
1,060,000 | 7.750%, 7/15/2021 | 1,113,000 | ||||||
3,800,000 | 4.750%, 12/15/2022 | 3,800,000 | ||||||
CCO Holdings, LLC | ||||||||
800,000 | 7.375%, 6/1/2020 | 833,000 | ||||||
2,165,000 | 5.250%, 3/15/2021 | 2,248,894 | ||||||
2,165,000 | 5.250%, 9/30/2022 | 2,186,650 | ||||||
CCOH Safari, LLC | ||||||||
2,500,000 | 5.750%, 2/15/2026d | 2,506,250 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
3,195,000 | 6.500%, 11/15/2022 | 3,115,125 | ||||||
Columbus International, Inc. | ||||||||
5,060,000 | 7.375%, 3/30/2021d | 5,009,400 | ||||||
Digicel, Ltd. | ||||||||
1,680,000 | 7.000%, 2/15/2020* | 1,528,800 | ||||||
3,220,000 | 6.000%, 4/15/2021d | 2,712,850 | ||||||
Eileme 2 AB | ||||||||
4,260,000 | 11.625%, 1/31/2020* | 4,515,600 | ||||||
Frontier Communications Corporation | ||||||||
1,230,000 | 10.500%, 9/15/2022d | 1,225,388 | ||||||
6,930,000 | 11.000%, 9/15/2025d | 6,860,700 | ||||||
Gray Television, Inc. | ||||||||
2,710,000 | 7.500%, 10/1/2020 | 2,784,525 | ||||||
Hughes Satellite Systems Corporation | ||||||||
2,865,000 | 6.500%, 6/15/2019 | 3,087,037 | ||||||
Intelsat Jackson Holdings SA | ||||||||
5,970,000 | 7.250%, 10/15/2020 | 5,223,750 | ||||||
Level 3 Escrow II, Inc. | ||||||||
3,000,000 | 5.375%, 8/15/2022 | 3,045,000 | ||||||
Level 3 Financing, Inc. | ||||||||
1,620,000 | 6.125%, 1/15/2021 | 1,676,700 | ||||||
McGraw-Hill Global Education Holdings, LLC | ||||||||
2,855,000 | 9.750%, 4/1/2021 | 3,026,300 | ||||||
MDC Partners, Inc. | ||||||||
3,730,000 | 6.750%, 4/1/2020d | 3,841,900 | ||||||
Numericable-SFR | ||||||||
3,590,000 | 6.000%, 5/15/2022d | 3,482,300 | ||||||
2,710,000 | 6.250%, 5/15/2024d | 2,615,150 | ||||||
Sprint Communications, Inc. | ||||||||
10,325,000 | 9.000%, 11/15/2018d | 10,867,062 | ||||||
2,870,000 | 7.000%, 3/1/2020d | 2,877,175 | ||||||
Sprint Corporation | ||||||||
7,215,000 | 7.625%, 2/15/2025 | 5,266,950 | ||||||
T-Mobile USA, Inc. | ||||||||
3,790,000 | 6.542%, 4/28/2020 | 3,951,075 | ||||||
Unitymedia Hessen GmbH & Company KG | ||||||||
5,100,000 | 5.500%, 1/15/2023d | 5,087,250 | ||||||
Univision Communications, Inc. | ||||||||
2,713,000 | 6.750%, 9/15/2022d | 2,811,346 | ||||||
1,410,000 | 5.125%, 2/15/2025d | 1,339,500 | �� | |||||
UPCB Finance V, Ltd. | ||||||||
1,440,000 | 7.250%, 11/15/2021d | 1,530,000 | ||||||
Virgin Media Secured Finance plc | ||||||||
1,170,000 | 5.250%, 1/15/2026d | 1,137,825 | ||||||
Ziggo Bond Finance BV | ||||||||
1,320,000 | 5.875%, 1/15/2025d | 1,224,300 | ||||||
|
| |||||||
Total | 109,402,227 | |||||||
|
| |||||||
| Consumer Cyclical (13.6%) | |||||||
AMC Entertainment, Inc. | ||||||||
2,710,000 | 5.875%, 2/15/2022 | 2,750,650 | ||||||
Beazer Homes USA, Inc. | ||||||||
2,710,000 | 5.750%, 6/15/2019c | 2,493,200 | ||||||
Brookfield Residential Properties, Inc. | ||||||||
2,630,000 | 6.500%, 12/15/2020d | 2,534,662 | ||||||
2,110,000 | 6.125%, 7/1/2022d | 1,951,750 | ||||||
Choice Hotels International, Inc. | ||||||||
3,445,000 | 5.750%, 7/1/2022 | 3,686,150 | ||||||
Churchill Downs, Inc. | ||||||||
3,536,000 | 5.375%, 12/15/2021 | 3,544,840 | ||||||
Cinemark USA, Inc. | ||||||||
4,475,000 | 4.875%, 6/1/2023 | 4,363,125 | ||||||
CST Brands, Inc. | ||||||||
2,110,000 | 5.000%, 5/1/2023 | 2,088,900 | ||||||
CVS Health Corporation | ||||||||
1,590,000 | 4.750%, 12/1/2022d | 1,703,699 | ||||||
2,545,000 | 5.000%, 12/1/2024d | 2,753,306 | ||||||
Eldorado Resorts, Inc. | ||||||||
2,660,000 | 7.000%, 8/1/2023d | 2,606,800 | ||||||
Family Tree Escrow, LLC | ||||||||
1,590,000 | 5.250%, 3/1/2020d | 1,641,675 | ||||||
2,120,000 | 5.750%, 3/1/2023d | 2,194,200 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
990,000 | 4.125%, 12/15/2018d | 994,950 | ||||||
665,000 | 4.250%, 11/15/2019d | 669,987 | ||||||
1,050,000 | 5.625%, 2/1/2023d | 1,060,500 | ||||||
KB Home | ||||||||
1,070,000 | 7.250%, 6/15/2018 | 1,126,175 | ||||||
2,000,000 | 8.000%, 3/15/2020 | 2,167,500 | ||||||
1,580,000 | 7.500%, 9/15/2022 | 1,572,100 | ||||||
L Brands, Inc. | ||||||||
1,570,000 | 6.625%, 4/1/2021 | 1,738,775 | ||||||
1,860,000 | 5.625%, 2/15/2022 | 1,976,250 | ||||||
Lear Corporation | ||||||||
2,760,000 | 4.750%, 1/15/2023 | 2,773,800 | ||||||
Lennar Corporation | ||||||||
1,060,000 | 4.500%, 11/15/2019 | 1,077,888 | ||||||
3,190,000 | 4.750%, 5/30/2025 | 3,118,225 | ||||||
Live Nation Entertainment, Inc. | ||||||||
2,518,000 | 5.375%, 6/15/2022d | 2,480,230 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
169
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HIGH YIELD PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (85.5%) | Value | ||||||
| Consumer Cyclical (13.6%) - continued |
| ||||||
LKQ Corporation | ||||||||
$ | 4,005,000 | 4.750%, 5/15/2023 | $ | 3,754,687 | ||||
Masonite International Corporation | ||||||||
2,065,000 | 5.625%, 3/15/2023d | 2,132,113 | ||||||
New Cotai, LLC | ||||||||
3,996,095 | 10.625%, 5/1/2019*,c | 2,997,071 | ||||||
RHP Hotel Properties, LP | ||||||||
960,000 | 5.000%, 4/15/2023 | 960,000 | ||||||
Rite Aid Corporation | ||||||||
3,165,000 | 6.750%, 6/15/2021 | 3,315,337 | ||||||
3,160,000 | 6.125%, 4/1/2023d | 3,270,600 | ||||||
Scientific Games International, Inc. | ||||||||
2,190,000 | 6.625%, 5/15/2021c | 1,029,300 | ||||||
Seminole Indian Tribe of Florida | ||||||||
3,280,000 | 7.804%, 10/1/2020* | 3,378,400 | ||||||
Six Flags Entertainment Corporation | ||||||||
4,250,000 | 5.250%, 1/15/2021d | 4,303,125 | ||||||
Studio City Finance, Ltd. | ||||||||
2,665,000 | 8.500%, 12/1/2020c,d | 2,571,725 | ||||||
Summit Materials, LLC | ||||||||
2,650,000 | 6.125%, 7/15/2023d | 2,610,250 | ||||||
Toll Brothers Finance Corporation | ||||||||
2,660,000 | 4.875%, 11/15/2025 | 2,613,450 | ||||||
Tunica-Biloxi Gaming Authority | ||||||||
4,770,000 | 9.000%, 11/15/2015*,e | 2,432,700 | ||||||
West Corporation | ||||||||
2,560,000 | 5.375%, 7/15/2022d | 2,208,000 | ||||||
ZF North America Capital, Inc. | ||||||||
2,125,000 | 4.500%, 4/29/2022d | 2,077,188 | ||||||
2,125,000 | 4.750%, 4/29/2025d | 2,024,063 | ||||||
|
| |||||||
Total | 96,747,346 | |||||||
|
| |||||||
| Consumer Non-Cyclical (11.6%) | |||||||
B&G Foods, Inc. | ||||||||
3,700,000 | 4.625%, 6/1/2021 | 3,663,000 | ||||||
Cott Beverages, Inc. | ||||||||
3,265,000 | 5.375%, 7/1/2022 | 3,199,700 | ||||||
Endo Finance, LLC | ||||||||
2,650,000 | 5.375%, 1/15/2023d | 2,597,000 | ||||||
1,590,000 | 6.000%, 7/15/2023d | 1,582,050 | ||||||
Energizer Holdings, Inc. | ||||||||
4,240,000 | 5.500%, 6/15/2025d | 3,985,600 | ||||||
Envision Healthcare Corporation | ||||||||
3,795,000 | 5.125%, 7/1/2022d | 3,719,100 | ||||||
Grifols Worldwide Operations, Ltd. | ||||||||
4,395,000 | 5.250%, 4/1/2022 | 4,416,975 | ||||||
HCA, Inc. | ||||||||
650,000 | 3.750%, 3/15/2019 | 654,875 | ||||||
2,645,000 | 6.500%, 2/15/2020 | 2,881,727 | ||||||
4,810,000 | 5.875%, 3/15/2022 | 5,074,550 | ||||||
2,035,000 | 4.750%, 5/1/2023 | 2,014,650 | ||||||
3,705,000 | 5.375%, 2/1/2025 | 3,658,688 | ||||||
3,360,000 | 5.875%, 2/15/2026 | 3,372,600 | ||||||
JBS USA, LLC | ||||||||
3,250,000 | 5.875%, 7/15/2024d | 2,941,250 | ||||||
4,705,000 | 5.750%, 6/15/2025d | 4,093,350 | ||||||
MPH Acquisition Holdings, LLC | ||||||||
4,645,000 | 6.625%, 4/1/2022d | 4,656,613 | ||||||
Revlon Consumer Products Corporation | ||||||||
4,760,000 | 5.750%, 2/15/2021c | 4,605,300 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
1,470,000 | 6.375%, 11/15/2020 | 1,561,875 | ||||||
2,030,000 | 6.625%, 11/15/2022 | 2,141,650 | ||||||
Spectrum Brands, Inc. | ||||||||
2,120,000 | 5.750%, 7/15/2025d | 2,173,000 | ||||||
Teleflex, Inc. | ||||||||
2,525,000 | 5.250%, 6/15/2024 | 2,512,375 | ||||||
Tenet Healthcare Corporation | ||||||||
3,250,000 | 6.000%, 10/1/2020 | 3,420,625 | ||||||
1,900,000 | 8.125%, 4/1/2022 | 1,895,250 | ||||||
TreeHouse Foods, Inc. | ||||||||
4,155,000 | 4.875%, 3/15/2022c | 3,957,637 | ||||||
Valeant Pharmaceuticals International | ||||||||
2,600,000 | 7.250%, 7/15/2022d | 2,541,500 | ||||||
2,645,000 | 5.500%, 3/1/2023d | 2,327,600 | ||||||
VPII Escrow Corporation | ||||||||
3,170,000 | 7.500%, 7/15/2021d | 3,162,075 | ||||||
|
| |||||||
Total | 82,810,615 | |||||||
|
| |||||||
| Energy (9.4%) | |||||||
Antero Resources Corporation | ||||||||
1,585,000 | 5.125%, 12/1/2022 | 1,204,600 | ||||||
2,640,000 | 5.625%, 6/1/2023d | 2,059,200 | ||||||
California Resources Corporation | ||||||||
2,620,000 | 8.000%, 12/15/2022d | 1,378,775 | ||||||
979,000 | 6.000%, 11/15/2024c | 298,595 | ||||||
Chaparral Energy, Inc. | ||||||||
3,165,000 | 7.625%, 11/15/2022 | 727,950 | ||||||
Concho Resources, Inc. | ||||||||
4,740,000 | 6.500%, 1/15/2022 | 4,550,400 | ||||||
Crestwood Midstream Partners, LP | ||||||||
2,435,000 | 6.125%, 3/1/2022 | 1,692,325 | ||||||
2,635,000 | 6.250%, 4/1/2023d | 1,837,913 | ||||||
Diamondback Energy, Inc. | ||||||||
3,555,000 | 7.625%, 10/1/2021 | 3,590,550 | ||||||
EP Energy, LLC | ||||||||
3,715,000 | 6.375%, 6/15/2023c | 1,857,500 | ||||||
Exterran Partners, LP | ||||||||
3,780,000 | 6.000%, 4/1/2021 | 3,109,050 | ||||||
Halcon Resources Corporation | ||||||||
2,655,000 | 8.625%, 2/1/2020c,d | 1,831,950 | ||||||
Hornbeck Offshore Services, Inc. | ||||||||
2,115,000 | 5.875%, 4/1/2020 | 1,459,350 | ||||||
1,590,000 | 5.000%, 3/1/2021 | 1,081,200 | ||||||
Laredo Petroleum, Inc. | ||||||||
4,330,000 | 5.625%, 1/15/2022 | 3,767,100 | ||||||
530,000 | 6.250%, 3/15/2023 | 461,100 | ||||||
MEG Energy Corporation | ||||||||
1,055,000 | 6.500%, 3/15/2021d | 738,500 | ||||||
3,160,000 | 6.375%, 1/30/2023d | 2,164,600 | ||||||
Noble Energy, Inc. | ||||||||
6,380,000 | 5.875%, 6/1/2024 | 6,104,926 | ||||||
Offshore Group Investment, Ltd. | ||||||||
4,230,000 | 7.125%, 4/1/2023e | 935,887 | ||||||
Pacific Drilling V, Ltd. | ||||||||
4,908,000 | 7.250%, 12/1/2017d | 2,527,620 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
170
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HIGH YIELD PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (85.5%) | Value | ||||||
| Energy (9.4%) - continued | |||||||
Precision Drilling Corporation | ||||||||
$2,450,000 | 6.625%, 11/15/2020 | $ | 1,911,000 | |||||
1,060,000 | 6.500%, 12/15/2021 | 816,200 | ||||||
1,350,000 | 5.250%, 11/15/2024 | 918,000 | ||||||
Rice Energy, Inc. | ||||||||
4,605,000 | 6.250%, 5/1/2022 | 3,315,600 | ||||||
1,060,000 | 7.250%, 5/1/2023d | 773,800 | ||||||
Sabine Pass Liquefaction, LLC | ||||||||
2,645,000 | 5.625%, 2/1/2021 | 2,433,400 | ||||||
2,085,000 | 5.625%, 3/1/2025d | 1,764,431 | ||||||
Sunoco, LP | ||||||||
2,665,000 | 5.500%, 8/1/2020d | 2,525,088 | ||||||
1,330,000 | 6.375%, 4/1/2023d | 1,250,200 | ||||||
Tesoro Logistics, LP | ||||||||
2,400,000 | 5.500%, 10/15/2019d | 2,328,000 | ||||||
2,130,000 | 6.250%, 10/15/2022d | 2,018,175 | ||||||
WPX Energy, Inc. | ||||||||
2,190,000 | 7.500%, 8/1/2020c | 1,773,900 | ||||||
2,670,000 | 8.250%, 8/1/2023c | 2,136,000 | ||||||
|
| |||||||
Total | 67,342,885 | |||||||
|
| |||||||
| Financials (8.8%) | |||||||
AerCap Ireland Capital, Ltd. | ||||||||
1,595,000 | 4.625%, 10/30/2020 | 1,632,881 | ||||||
1,190,000 | 5.000%, 10/1/2021 | 1,225,700 | ||||||
Ally Financial, Inc. | ||||||||
1,460,000 | 3.250%, 2/13/2018 | 1,452,700 | ||||||
4,670,000 | 4.125%, 3/30/2020 | 4,646,650 | ||||||
2,380,000 | 4.125%, 2/13/2022 | 2,356,200 | ||||||
Argos Merger Sub, Inc. | ||||||||
3,705,000 | 7.125%, 3/15/2023d | 3,673,507 | ||||||
Banco do Brasil SA/Cayman Islands | ||||||||
1,750,000 | 6.250%, 12/31/2049d,f | 848,750 | ||||||
BBVA International Preferred SA Unipersonal | ||||||||
1,585,000 | 5.919%, 12/29/2049c,f | 1,600,850 | ||||||
CIT Group, Inc. | ||||||||
3,795,000 | 3.875%, 2/19/2019 | 3,776,025 | ||||||
Corrections Corporation of America | ||||||||
3,585,000 | 4.625%, 5/1/2023 | 3,459,525 | ||||||
Credit Agricole SA | ||||||||
1,065,000 | 6.625%, 9/29/2049c,d,f | 1,046,895 | ||||||
CyrusOne, LP | ||||||||
3,540,000 | 6.375%, 11/15/2022 | 3,646,200 | ||||||
Drawbridge Special Opportunities Fund, LP | ||||||||
3,785,000 | 5.000%, 8/1/2021d | 3,671,450 | ||||||
HSBC Holdings plc | ||||||||
1,065,000 | 6.375%, 12/29/2049f | 1,051,688 | ||||||
Icahn Enterprises, LP | ||||||||
5,500,000 | 4.875%, 3/15/2019 | 5,450,500 | ||||||
6,485,000 | 6.000%, 8/1/2020 | 6,539,474 | ||||||
ILFC E-Capital Trust II | ||||||||
1,895,000 | 4.740%, 12/21/2065d,g | 1,743,400 | ||||||
Jefferies Finance, LLC | ||||||||
2,650,000 | 7.375%, 4/1/2020* | 2,351,875 | ||||||
Lloyds Banking Group plc | ||||||||
1,080,000 | 6.657%, 1/29/2049d,f | 1,209,600 | ||||||
MPT Operating Partnership, LP | ||||||||
1,192,000 | 6.375%, 2/15/2022 | 1,215,840 | ||||||
3,010,000 | 5.500%, 5/1/2024 | 2,994,950 | ||||||
Quicken Loans, Inc. | ||||||||
4,255,000 | 5.750%, 5/1/2025d | 4,052,888 | ||||||
RHP Hotel Properties, LP | ||||||||
790,000 | 5.000%, 4/15/2021 | 803,825 | ||||||
Royal Bank of Scotland Group plc | ||||||||
1,865,000 | 7.500%, 12/29/2049f | 1,941,931 | ||||||
|
| |||||||
Total | 62,393,304 | |||||||
|
| |||||||
| Industrials Other (0.5%) | |||||||
AECOM | ||||||||
2,660,000 | 5.750%, 10/15/2022 | 2,739,800 | ||||||
1,065,000 | 5.875%, 10/15/2024 | 1,086,300 | ||||||
|
| |||||||
Total | 3,826,100 | |||||||
|
| |||||||
| Technology (6.4%) | |||||||
Alliance Data Systems Corporation | ||||||||
6,880,000 | 5.375%, 8/1/2022d | 6,553,200 | ||||||
Amkor Technology, Inc. | ||||||||
3,130,000 | 6.625%, 6/1/2021 | 3,106,525 | ||||||
Brocade Communications Systems, Inc. | ||||||||
3,790,000 | 4.625%, 1/15/2023 | 3,600,500 | ||||||
CommScope Technologies Finance, LLC | ||||||||
4,775,000 | 6.000%, 6/15/2025d | 4,595,938 | ||||||
Denali Borrower, LLC | ||||||||
5,680,000 | 5.625%, 10/15/2020d | 5,949,800 | ||||||
Equinix, Inc. | ||||||||
3,185,000 | 5.750%, 1/1/2025 | 3,256,663 | ||||||
1,030,000 | 5.875%, 1/15/2026 | 1,060,900 | ||||||
First Data Corporation | ||||||||
3,000,000 | 5.375%, 8/15/2023d | 3,015,000 | ||||||
1,910,000 | 7.000%, 12/1/2023d | 1,910,000 | ||||||
NXP Funding, LLC | ||||||||
3,715,000 | 5.750%, 3/15/2023d | 3,835,737 | ||||||
Plantronics, Inc. | ||||||||
2,390,000 | 5.500%, 5/31/2023d | 2,378,050 | ||||||
Sensata Technologies BV | ||||||||
4,870,000 | 4.875%, 10/15/2023d | 4,736,075 | ||||||
SS&C Technologies Holdings, Inc. | ||||||||
1,590,000 | 5.875%, 7/15/2023d | 1,641,675 | ||||||
|
| |||||||
Total | 45,640,063 | |||||||
|
| |||||||
| Transportation (3.8%) | |||||||
Air Medical Merger Sub Corporation | ||||||||
3,190,000 | 6.375%, 5/15/2023c,d | 2,839,100 | ||||||
American Airlines Pass Through Trust | ||||||||
3,689,325 | 5.600%, 7/15/2020d | 3,763,112 | ||||||
Avis Budget Car Rental, LLC | ||||||||
1,670,000 | 5.125%, 6/1/2022d | 1,649,125 | ||||||
3,550,000 | 5.500%, 4/1/2023c | 3,558,875 | ||||||
Dynagas LNG Partners, LP | ||||||||
2,130,000 | 6.250%, 10/30/2019 | 1,480,350 | ||||||
Eletson Holdings, Inc. | ||||||||
2,170,000 | 9.625%, 1/15/2022* | 1,931,300 | ||||||
Navios Maritime Holdings, Inc. | ||||||||
2,220,000 | 8.125%, 2/15/2019c | 954,600 | ||||||
1,895,000 | 8.125%, 11/15/2021d | 1,653,388 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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HIGH YIELD PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (85.5%) | Value | ||||||
| Transportation (3.8%) - continued | |||||||
Navios South American Logistics, Inc. | ||||||||
$ | 1,900,000 | 7.250%, 5/1/2022d | $ | 1,244,500 | ||||
Teekay Offshore Partners, LP | ||||||||
3,790,000 | 6.000%, 7/30/2019 | 2,160,300 | ||||||
Ultrapetrol Bahamas, Ltd. | ||||||||
3,720,000 | 8.875%, 6/15/2021 | 372,000 | ||||||
United Airlines Pass Through Trust | ||||||||
1,419,036 | 5.375%, 8/15/2021 | 1,465,154 | ||||||
XPO Logistics, Inc. | ||||||||
2,390,000 | 7.875%, 9/1/2019d | 2,430,080 | ||||||
1,600,000 | 6.500%, 6/15/2022c,d | 1,480,000 | ||||||
|
| |||||||
Total | 26,981,884 | |||||||
|
| |||||||
| Utilities (4.1%) | |||||||
Access Midstream Partners, LP | ||||||||
2,615,000 | 4.875%, 5/15/2023 | 2,119,889 | ||||||
AES Corporation | ||||||||
2,650,000 | 4.875%, 5/15/2023 | 2,318,750 | ||||||
Calpine Corporation | ||||||||
3,720,000 | 5.375%, 1/15/2023 | 3,338,700 | ||||||
Chesapeake Midstream Partners, LP | ||||||||
930,000 | 6.125%, 7/15/2022 | 879,750 | ||||||
Covanta Holding Corporation | ||||||||
1,850,000 | 6.375%, 10/1/2022 | 1,840,750 | ||||||
Dynegy, Inc. | ||||||||
2,580,000 | 7.625%, 11/1/2024c | 2,205,384 | ||||||
Electricite de France SA | ||||||||
2,500,000 | 5.250%, 12/29/2049d,f | 2,350,000 | ||||||
Energy Transfer Equity, LP | ||||||||
4,245,000 | 5.500%, 6/1/2027 | 3,226,200 | ||||||
Holly Energy Partners, LP | ||||||||
2,700,000 | 6.500%, 3/1/2020 | 2,673,000 | ||||||
MPLX LP | ||||||||
3,590,000 | 4.875%, 12/1/2024d | 3,222,025 | ||||||
Regency Energy Partners, LP | ||||||||
4,650,000 | 5.500%, 4/15/2023 | 4,181,141 | ||||||
Targa Resources Partners, LP | ||||||||
1,465,000 | 5.250%, 5/1/2023 | 1,186,650 | ||||||
|
| |||||||
Total | 29,542,239 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $671,072,784) | 608,576,982 | |||||||
|
| |||||||
Shares | Preferred Stock (1.3%) | |||||||
| Financials (1.1%) | |||||||
62,331 | Citigroup, Inc., 6.875%f | 1,736,541 | ||||||
48,000 | Discover Financial Services, 6.500%f | 1,270,560 | ||||||
86,021 | Goldman Sachs Group, Inc., 5.500%f | 2,227,084 | ||||||
20,016 | Morgan Stanley, 6.875%f | 555,444 | ||||||
18,720 | PNC Financial Services Group, Inc., 6.125%f | 534,269 | ||||||
1,560 | Wells Fargo & Company, Convertible, 7.500%f | 1,811,160 | ||||||
|
| |||||||
Total | 8,135,058 | |||||||
|
| |||||||
| Materials (0.2%) | |||||||
43,350 | CHS, Inc., 7.100%f | 1,182,154 | ||||||
|
| |||||||
Total | 1,182,154 | |||||||
|
| |||||||
Total Preferred Stock (cost $9,184,908) | 9,317,212 | |||||||
|
| |||||||
Common Stock (<0.1%) | ||||||||
| Consumer Discretionary (<0.1%) | |||||||
121,520 | TVMAX Holdings, Inc.h,i | 12 | ||||||
|
| |||||||
Total | 12 | |||||||
|
| |||||||
| Financials (<0.1%) | |||||||
10 | New Cotai, LLC*,h,i | 59,373 | ||||||
|
| |||||||
Total | 59,373 | |||||||
|
| |||||||
Total Common Stock (cost $6,579,196) | 59,385 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (6.0%) | ||||||||
42,864,685 | Thrivent Cash Management Trust | 42,864,685 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $42,864,685) | 42,864,685 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (6.6%)j | |||||||
Federal National Mortgage Association Discount Notes | ||||||||
700,000 | 0.070%, 1/8/2016 | 699,991 | ||||||
Thrivent Cash Management Trust | ||||||||
46,291,200 | 0.220% | 46,291,200 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 46,991,191 | |||||||
|
| |||||||
Total Investments (cost $811,801,681) 104.1% | $ | 741,364,262 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (4.1%) | (29,230,750 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 712,133,512 | ||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
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HIGH YIELD PORTFOLIO
Schedule of Investments as of December 31, 2015
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
c | All or a portion of the security is on loan. |
d | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $268,723,399 or 37.7% of total net assets. |
e | Defaulted security. Interest is not being accrued. |
f | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
g | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
h | Security is valued at fair value. Market quotations or prices were not readily available or were determined to be unreliable. Fair value was determined in good faith pursuant to procedures adopted by the Board. Further information on fair valuation can be found in the Notes to Financial Statements. |
i | Non-income producing security. |
j | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in High Yield Portfolio as of December 31, 2015 was $19,370,906 or 2.7% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
Digicel, Ltd., 2/15/2020 | 2/7/2012 | $ | 1,680,000 | |||||
Eileme 2 AB, 1/31/2020 | 1/19/2012 | 4,179,060 | ||||||
Eletson Holdings, Inc., 1/15/2022 | 12/12/2013 | 2,139,989 | ||||||
Jefferies Finance, LLC, 4/1/2020 | 3/19/2013 | 2,650,000 | ||||||
Midwest Vanadium, Pty. Ltd., 2/15/2018 | 2/9/2011 | 3,245,874 | ||||||
New Cotai, LLC, 5/1/2019 | 4/12/2013 | 4,007,443 | ||||||
New Cotai, LLC | 4/12/2013 | 308,750 | ||||||
Seminole Indian Tribe of Florida, 10/1/2020 | 7/8/2010 | 3,109,387 | ||||||
Tunica-Biloxi Gaming Authority, 11/15/2016 | 11/8/2005 | 4,767,755 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent High Yield Portfolio as of December 31, 2015:
Securities Lending Transactions
Taxable Debt Security | $ | 41,133,634 | ||
|
| |||
Total lending | $ | 41,133,634 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 42,864,685 | ||
|
| |||
Net amounts due to counterparty | $ | 1,731,051 | ||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
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INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (3.8%)a | Value | ||||||
| Basic Materials (0.2%) | |||||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
$ | 1,596,746 | 4.250%, 6/30/2019 | $ | 1,179,756 | ||||
Ineos US Finance, LLC, Term Loan | ||||||||
1,526,024 | 3.750%, 12/15/2020 | 1,461,167 | ||||||
|
| |||||||
Total | 2,640,923 | |||||||
|
| |||||||
| Capital Goods (0.2%) | |||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
1,498,222 | 3.750%, 10/9/2019 | 1,447,657 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
1,433,814 | 3.500%, 2/8/2020 | 1,404,163 | ||||||
|
| |||||||
Total | 2,851,820 | |||||||
|
| |||||||
| Communications Services (1.5%) | |||||||
CSC Holdings, LLC, Term Loan | ||||||||
775,000 | 5.000%, 10/9/2022 | 772,822 | ||||||
Hargray Communications Group, Inc., Term Loan | ||||||||
1,524,855 | 5.250%, 6/26/2019 | 1,513,891 | ||||||
Intelsat Jackson Holdings SA, Term Loan | ||||||||
1,789,713 | 3.750%, 6/30/2019 | 1,688,720 | ||||||
Level 3 Communications, Inc., Term Loan | ||||||||
1,600,000 | 4.000%, 1/15/2020 | 1,593,424 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
1,552,041 | 4.000%, 4/13/2020 | 1,507,808 | ||||||
McGraw-Hill Global Education Holdings, LLC, Term Loan | ||||||||
1,593,571 | 4.750%, 3/22/2019 | 1,555,054 | ||||||
NEP/NCP Holdco, Inc., Term Loan | ||||||||
1,556,339 | 4.250%, 1/22/2020 | 1,451,286 | ||||||
Numericable US, LLC, Term Loan | ||||||||
1,550,000 | 4.750%, 2/10/2023 | 1,486,341 | ||||||
TNS, Inc., Term Loan | ||||||||
933,522 | 5.000%, 2/14/2020 | 917,185 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
1,617,037 | 4.000%, 3/1/2020 | 1,579,845 | ||||||
Virgin Media Investment Holdings, Ltd., Term Loan | ||||||||
1,077,314 | 3.500%, 6/30/2023 | 1,053,581 | ||||||
WideOpenWest Finance, LLC, Term Loan | ||||||||
1,556,240 | 4.500%, 4/1/2019 | 1,497,399 | ||||||
Yankee Cable Acquisition, LLC, Term Loan | ||||||||
1,462,173 | 4.250%, 3/1/2020 | 1,438,866 | ||||||
Zayo Group, LLC, Term Loan | ||||||||
1,552,116 | 3.750%, 5/6/2021 | 1,524,116 | ||||||
|
| |||||||
Total | 19,580,338 | |||||||
|
| |||||||
| Consumer Cyclical (0.5%) | |||||||
Amaya BV, Term Loan | ||||||||
1,552,200 | 5.000%, 8/1/2021 | 1,451,307 | ||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
1,301,838 | 4.250%, 8/13/2021 | 1,283,938 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
1,535,776 | 3.500%, 5/24/2017 | 1,529,157 | ||||||
IMG Worldwide, Inc., Term Loan | ||||||||
1,243,687 | 5.250%, 5/6/2021 | 1,219,982 | ||||||
MGM Resorts International, Term Loan | ||||||||
931,200 | 3.500%, 12/20/2019 | 917,232 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
1,211,526 | 5.000%, 6/20/2019 | 1,124,696 | ||||||
|
| |||||||
Total | 7,526,312 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.4%) | |||||||
Albertson’s, Inc., Term Loan | ||||||||
1,700,228 | 5.500%, 3/21/2019 | 1,693,003 | ||||||
CHS/Community Health Systems, Inc., Term Loan | ||||||||
740,654 | 4.000%, 1/27/2021 | 727,959 | ||||||
JBS USA, LLC, Term Loan | ||||||||
950,000 | 4.000%, 10/30/2022 | 946,438 | ||||||
Sterigenics-Nordion Holdings, LLC, Term Loan | ||||||||
743,138 | 4.250%, 5/16/2022 | 720,843 | ||||||
Valeant Pharmaceuticals International, Inc., Term Loan | ||||||||
1,067,312 | 4.000%, 4/1/2022b,c | 1,024,352 | ||||||
|
| |||||||
Total | 5,112,595 | |||||||
|
| |||||||
| Energy (0.1%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
1,548,913 | 6.250%, 5/16/2018 | 681,955 | ||||||
McJunkin Red Man Corporation, Term Loan | ||||||||
423,961 | 4.750%, 11/8/2019 | 387,925 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
780,000 | 0.000%, 3/28/2019d | 156,648 | ||||||
|
| |||||||
Total | 1,226,528 | |||||||
|
| |||||||
| Financials (0.1%) | |||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
1,552,000 | 4.000%, 10/15/2019 | 1,524,840 | ||||||
|
| |||||||
Total | 1,524,840 | |||||||
|
| |||||||
| Technology (0.4%) | |||||||
Avago Technologies Cayman Finance, Ltd., Term Loan | ||||||||
1,045,000 | 0.000%, 11/13/2022b,c | 1,032,596 | ||||||
BMC Software, Inc., Term Loan | ||||||||
1,502,992 | 5.000%, 9/10/2020 | 1,233,520 | ||||||
First Data Corporation, Term Loan | ||||||||
1,600,000 | 3.918%, 3/23/2018 | 1,577,104 | ||||||
Infor US, Inc., Term Loan | ||||||||
818,685 | 3.750%, 6/3/2020 | 766,838 | ||||||
Syniverse Holdings, Inc., Term Loan | ||||||||
614,289 | 4.000%, 4/23/2019 | 445,360 | ||||||
|
| |||||||
Total | 5,055,418 | |||||||
|
| |||||||
| Transportation (0.2%) | |||||||
American Airlines, Inc., Term Loan | ||||||||
1,456,250 | 3.250%, 6/27/2020 | 1,431,901 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (3.8%)a | Value | ||||||
| Transportation (0.2%) - continued | |||||||
XPO Logistics, Inc., Term Loan | ||||||||
$1,550,000 | 5.500%, 11/1/2021 | $ | 1,541,599 | |||||
|
| |||||||
Total | 2,973,500 | |||||||
|
| |||||||
| Utilities (0.2%) | |||||||
Calpine Corporation, Term Loan | ||||||||
1,257,750 | 4.000%, 10/9/2019 | 1,223,162 | ||||||
1,252,552 | 3.500%, 5/27/2022 | 1,191,803 | ||||||
|
| |||||||
Total | 2,414,965 | |||||||
|
| |||||||
Total Bank Loans (cost $54,298,009) | 50,907,239 | |||||||
|
| |||||||
Long-Term Fixed Income (89.8%) | ||||||||
| Asset-Backed Securities (1.4%) | |||||||
Bayview Opportunity Master Fund Trust | ||||||||
3,893,768 | 3.721%, 7/28/2035e,f | 3,890,631 | ||||||
CAM Mortgage, LLC | ||||||||
2,365,851 | 3.500%, 7/15/2064*,f | 2,363,679 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
1,988,015 | 0.401%, 8/25/2035g,h | 1,859,839 | ||||||
3,075,255 | 0.401%, 12/25/2036g,h | 2,698,716 | ||||||
IndyMac Seconds Asset-Backed Trust | ||||||||
500,807 | 0.762%, 10/25/2036g,h | 314,439 | ||||||
Preferred Term Securities XXIII, Ltd. | ||||||||
2,591,231 | 0.712%, 12/22/2036*,h | 2,020,331 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
2,050,758 | 5.746%, 5/25/2036f | 1,412,817 | ||||||
2,000,000 | 6.011%, 5/25/2036f | 1,391,232 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
3,184,511 | 3.500%, 6/26/2045e | 3,136,066 | ||||||
|
| |||||||
Total | 19,087,750 | |||||||
|
| |||||||
| Basic Materials (3.2%) | |||||||
Albemarle Corporation | ||||||||
3,150,000 | 4.150%, 12/1/2024 | 3,010,367 | ||||||
Alcoa, Inc. | ||||||||
1,260,000 | 5.125%, 10/1/2024 | 1,146,600 | ||||||
Anglo American Capital plc | ||||||||
1,910,000 | 4.125%, 4/15/2021e,i | 1,308,350 | ||||||
Barrick Gold Corporation | ||||||||
599,000 | 4.100%, 5/1/2023 | 513,858 | ||||||
BHP Billiton Finance USA, Ltd. | ||||||||
1,250,000 | 6.250%, 10/19/2075e | 1,223,438 | ||||||
Dow Chemical Company | ||||||||
2,570,000 | 4.250%, 11/15/2020 | 2,690,189 | ||||||
1,870,000 | 3.500%, 10/1/2024 | 1,813,150 | ||||||
Freeport-McMoRan, Inc. | ||||||||
3,220,000 | 3.550%, 3/1/2022 | 1,867,600 | ||||||
2,675,000 | 3.875%, 3/15/2023 | 1,524,750 | ||||||
2,520,000 | 4.550%, 11/14/2024i | 1,442,700 | ||||||
Georgia-Pacific, LLC | ||||||||
3,780,000 | 3.163%, 11/15/2021e | 3,774,247 | ||||||
Glencore Funding, LLC | ||||||||
3,190,000 | 3.125%, 4/29/2019e,i | 2,663,650 | ||||||
3,180,000 | 4.125%, 5/30/2023e | 2,345,282 | ||||||
International Paper Company | ||||||||
2,500,000 | 3.800%, 1/15/2026 | 2,463,112 | ||||||
1,190,000 | 4.800%, 6/15/2044 | 1,082,569 | ||||||
LYB International Finance BV | ||||||||
2,555,000 | 4.000%, 7/15/2023 | 2,546,993 | ||||||
LyondellBasell Industries NV | ||||||||
3,170,000 | 6.000%, 11/15/2021 | 3,558,271 | ||||||
Sappi Papier Holding GmbH | ||||||||
1,910,000 | 6.625%, 4/15/2021e | 1,929,100 | ||||||
Teck Resources, Ltd. | ||||||||
1,870,000 | 2.500%, 2/1/2018i | 1,421,200 | ||||||
Weyerhaeuser Company | ||||||||
1,265,000 | 4.625%, 9/15/2023 | 1,315,625 | ||||||
2,570,000 | 7.375%, 3/15/2032 | 3,058,256 | ||||||
Yara International ASA | ||||||||
50,000 | 7.875%, 6/11/2019e | 56,569 | ||||||
|
| |||||||
Total | 42,755,876 | |||||||
|
| |||||||
| Capital Goods (1.6%) | |||||||
BAE Systems plc | ||||||||
3,880,000 | 4.750%, 10/11/2021e | 4,129,663 | ||||||
Huntington Ingalls Industries, Inc. | ||||||||
630,000 | 5.000%, 12/15/2021e | 641,813 | ||||||
Republic Services, Inc. | ||||||||
2,200,000 | 5.250%, 11/15/2021 | 2,432,179 | ||||||
3,170,000 | 3.550%, 6/1/2022 | 3,237,166 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
1,940,000 | 9.875%, 8/15/2019 | 1,954,550 | ||||||
Textron, Inc. | ||||||||
2,360,000 | 5.600%, 12/1/2017 | 2,508,380 | ||||||
1,280,000 | 4.300%, 3/1/2024 | 1,303,708 | ||||||
630,000 | 3.875%, 3/1/2025 | 617,702 | ||||||
United Rentals North America, Inc. | ||||||||
1,250,000 | 5.500%, 7/15/2025 | 1,212,500 | ||||||
Waste Management, Inc. | ||||||||
3,140,000 | 4.100%, 3/1/2045 | 2,920,288 | ||||||
|
| |||||||
Total | 20,957,949 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (0.9%) | |||||||
CitiMortgage Alternative Loan Trust | ||||||||
1,834,021 | 5.750%, 4/25/2037 | 1,573,291 | ||||||
Countrywide Alternative Loan Trust | ||||||||
2,410,698 | 6.000%, 1/25/2037 | 2,215,464 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
2,059,864 | 1.027%, 4/25/2047h | 1,756,520 | ||||||
HomeBanc Mortgage Trust | ||||||||
2,058,391 | 2.229%, 4/25/2037 | 1,551,731 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
1,919,322 | 2.913%, 5/20/2036 | 1,683,132 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
545,677 | 0.712%, 10/25/2045h | 502,608 | ||||||
Washington Mutual Mortgage Pass Through Certificates | ||||||||
3,744,692 | 1.007%, 2/25/2047h | 2,684,183 | ||||||
|
| |||||||
Total | 11,966,929 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
175
Table of Contents
INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (89.8%) | Value | ||||||
| Commercial Mortgage-Backed Securities (0.6%) | |||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
$ | 2,925,321 | 5.331%, 2/11/2044 | $ | 3,007,553 | ||||
Citigroup/Deutsche Bank Commercial Mortgage Trust | ||||||||
1,696,524 | 5.322%, 12/11/2049 | 1,725,083 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
3,200,000 | 5.542%, 1/15/2049 | 3,271,809 | ||||||
|
| |||||||
Total | 8,004,445 | |||||||
|
| |||||||
| Communications Services (8.8%) | |||||||
21st Century Fox America, Inc. | ||||||||
1,900,000 | 7.625%, 11/30/2028 | 2,394,241 | ||||||
1,880,000 | 6.150%, 2/15/2041 | 2,112,607 | ||||||
American Tower Corporation | ||||||||
3,500,000 | 3.450%, 9/15/2021 | 3,517,157 | ||||||
AT&T, Inc. | ||||||||
3,100,000 | 2.450%, 6/30/2020 | 3,052,954 | ||||||
1,240,000 | 3.400%, 5/15/2025 | 1,191,752 | ||||||
3,190,000 | 4.300%, 12/15/2042 | 2,725,842 | ||||||
British Telecommunications plc | ||||||||
1,870,000 | 9.625%, 12/15/2030 | 2,728,620 | ||||||
CCO Safari II, LLC | ||||||||
4,370,000 | 4.464%, 7/23/2022e | 4,354,749 | ||||||
3,120,000 | 6.484%, 10/23/2045e | 3,125,114 | ||||||
CenturyLink, Inc. | ||||||||
2,200,000 | 5.800%, 3/15/2022 | 2,016,300 | ||||||
Columbus International, Inc. | ||||||||
1,910,000 | 7.375%, 3/30/2021e | 1,890,900 | ||||||
Comcast Corporation | ||||||||
3,740,000 | 3.375%, 8/15/2025 | 3,786,271 | ||||||
2,700,000 | 6.400%, 5/15/2038 | 3,351,245 | ||||||
Cox Communications, Inc. | ||||||||
1,900,000 | 9.375%, 1/15/2019e | 2,201,403 | ||||||
2,500,000 | 3.850%, 2/1/2025e | 2,290,403 | ||||||
DIRECTV Holdings, LLC | ||||||||
3,310,000 | 3.800%, 3/15/2022 | 3,330,929 | ||||||
3,190,000 | 4.450%, 4/1/2024 | 3,276,423 | ||||||
1,000,000 | 3.950%, 1/15/2025 | 985,810 | ||||||
Frontier Communications Corporation | ||||||||
1,880,000 | 6.875%, 1/15/2025 | 1,548,650 | ||||||
Hughes Satellite Systems Corporation | ||||||||
2,322,000 | 6.500%, 6/15/2019 | 2,501,955 | ||||||
NBCUniversal Media, LLC | ||||||||
3,510,000 | 4.375%, 4/1/2021 | 3,812,667 | ||||||
Numericable-SFR | ||||||||
1,920,000 | 6.000%, 5/15/2022e | 1,862,400 | ||||||
Omnicom Group, Inc. | ||||||||
4,245,000 | 4.450%, 8/15/2020 | 4,527,085 | ||||||
940,000 | 3.650%, 11/1/2024 | 931,112 | ||||||
Scripps Networks Interactive, Inc. | ||||||||
3,110,000 | 3.500%, 6/15/2022 | 2,992,327 | ||||||
SES Global Americas Holdings GP | ||||||||
3,180,000 | 2.500%, 3/25/2019e | 3,136,094 | ||||||
Sprint Communications, Inc. | ||||||||
1,290,000 | 7.000%, 3/1/2020e | 1,293,225 | ||||||
Sprint Corporation | ||||||||
1,280,000 | 7.125%, 6/15/2024 | 923,200 | ||||||
Time Warner Cable, Inc. | ||||||||
3,800,000 | 4.125%, 2/15/2021 | 3,880,089 | ||||||
Time Warner Entertainment Company, LP | ||||||||
3,620,000 | 8.375%, 3/15/2023 | 4,445,682 | ||||||
Time Warner, Inc. | ||||||||
2,490,000 | 4.750%, 3/29/2021 | 2,676,479 | ||||||
3,740,000 | 3.600%, 7/15/2025 | 3,640,811 | ||||||
1,600,000 | 7.700%, 5/1/2032 | 1,997,059 | ||||||
Univision Communications, Inc. | ||||||||
1,920,000 | 6.750%, 9/15/2022e | 1,989,600 | ||||||
UPCB Finance VI, Ltd. | ||||||||
2,340,000 | 6.875%, 1/15/2022e | 2,474,550 | ||||||
Verizon Communications, Inc. | ||||||||
3,277,000 | 2.625%, 2/21/2020 | 3,288,394 | ||||||
3,830,000 | 3.450%, 3/15/2021 | 3,918,435 | ||||||
4,030,000 | 3.500%, 11/1/2024 | 3,980,431 | ||||||
5,854,000 | 4.272%, 1/15/2036 | 5,284,979 | ||||||
3,200,000 | 6.550%, 9/15/2043 | 3,799,072 | ||||||
5,457,000 | 4.522%, 9/15/2048 | 4,880,179 | ||||||
|
| |||||||
Total | 118,117,195 | |||||||
|
| |||||||
| Consumer Cyclical (5.3%) | |||||||
American Honda Finance Corporation | ||||||||
4,400,000 | 3.875%, 9/21/2020e | 4,660,304 | ||||||
CVS Health Corporation | ||||||||
3,190,000 | 2.750%, 12/1/2022 | 3,108,039 | ||||||
1,870,000 | 4.750%, 12/1/2022e | 2,003,722 | ||||||
1,910,000 | 6.125%, 9/15/2039 | 2,230,278 | ||||||
3,120,000 | 5.125%, 7/20/2045 | 3,286,705 | ||||||
Family Tree Escrow, LLC | ||||||||
1,870,000 | 5.750%, 3/1/2023e | 1,935,450 | ||||||
Ford Motor Credit Company, LLC | ||||||||
2,560,000 | 1.594%, 5/9/2016h | 2,563,487 | ||||||
1,700,000 | 2.597%, 11/4/2019 | 1,669,125 | ||||||
2,575,000 | 4.250%, 9/20/2022 | 2,634,320 | ||||||
2,510,000 | 3.664%, 9/8/2024 | 2,440,752 | ||||||
5,000,000 | 4.134%, 8/4/2025 | 4,982,075 | ||||||
General Motors Company | ||||||||
3,150,000 | 5.000%, 4/1/2035 | 2,939,652 | ||||||
General Motors Financial Company, Inc. | ||||||||
3,370,000 | 3.200%, 7/13/2020 | 3,318,112 | ||||||
1,890,000 | 4.375%, 9/25/2021 | 1,916,560 | ||||||
3,100,000 | 3.450%, 4/10/2022 | 2,973,703 | ||||||
2,510,000 | 4.000%, 1/15/2025 | 2,381,380 | ||||||
Hilton Worldwide Finance, LLC | ||||||||
1,910,000 | 5.625%, 10/15/2021 | 1,979,238 | ||||||
Hyundai Capital America | ||||||||
2,065,000 | 2.875%, 8/9/2018e | 2,086,720 | ||||||
Jaguar Land Rover Automotive plc | ||||||||
1,910,000 | 4.125%, 12/15/2018e | 1,919,550 | ||||||
Johnson Controls, Inc. | ||||||||
1,150,000 | 5.250%, 12/1/2041 | 1,053,846 | ||||||
L Brands, Inc. | ||||||||
1,900,000 | 5.625%, 2/15/2022 | 2,018,750 | ||||||
Lennar Corporation | ||||||||
1,880,000 | 4.500%, 11/15/2019 | 1,911,725 | ||||||
Macy’s Retail Holdings, Inc. | ||||||||
3,570,000 | 3.875%, 1/15/2022 | 3,515,347 | ||||||
1,940,000 | 3.625%, 6/1/2024 | 1,779,682 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
176
Table of Contents
INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (89.8%) | Value | ||||||
| Consumer Cyclical (5.3%) - continued | |||||||
MGM Resorts International | ||||||||
$ | 1,880,000 | 6.000%, 3/15/2023i | $ | 1,865,900 | ||||
Starwood Hotels & Resorts Worldwide, Inc. | ||||||||
1,850,000 | 6.750%, 5/15/2018 | 2,024,050 | ||||||
Toll Brothers Finance Corporation | ||||||||
2,000,000 | 6.750%, 11/1/2019 | 2,200,000 | ||||||
960,000 | 4.375%, 4/15/2023 | 931,200 | ||||||
ZF North America Capital, Inc. | ||||||||
1,870,000 | 4.500%, 4/29/2022e | 1,827,925 | ||||||
|
| |||||||
Total | 70,157,597 | |||||||
|
| |||||||
| Consumer Non-Cyclical (9.8%) | |||||||
Actavis Funding SCS | ||||||||
2,480,000 | 3.450%, 3/15/2022 | 2,482,706 | ||||||
2,555,000 | 3.850%, 6/15/2024 | 2,559,550 | ||||||
Altria Group, Inc. | ||||||||
2,175,000 | 4.000%, 1/31/2024 | 2,253,267 | ||||||
804,000 | 9.950%, 11/10/2038 | 1,288,705 | ||||||
Amgen, Inc. | ||||||||
1,870,000 | 3.625%, 5/22/2024 | 1,869,303 | ||||||
3,750,000 | 3.125%, 5/1/2025 | 3,562,384 | ||||||
1,870,000 | 4.400%, 5/1/2045 | 1,732,596 | ||||||
Becton Dickinson and Company | ||||||||
3,120,000 | 3.125%, 11/8/2021 | 3,146,221 | ||||||
Biogen, Inc. | ||||||||
3,740,000 | 3.625%, 9/15/2022 | 3,781,424 | ||||||
Boston Scientific Corporation | ||||||||
3,190,000 | 6.000%, 1/15/2020 | 3,542,211 | ||||||
4,360,000 | 3.375%, 5/15/2022 | 4,301,166 | ||||||
BRF SA | ||||||||
3,830,000 | 4.750%, 5/22/2024e | 3,514,025 | ||||||
Bunge Limited Finance Corporation | ||||||||
2,530,000 | 8.500%, 6/15/2019 | 2,928,171 | ||||||
1,920,000 | 3.500%, 11/24/2020 | 1,909,311 | ||||||
Cardinal Health, Inc. | ||||||||
3,120,000 | 4.900%, 9/15/2045 | 3,160,725 | ||||||
Celgene Corporation | ||||||||
3,770,000 | 3.950%, 10/15/2020 | 3,956,396 | ||||||
3,750,000 | 3.550%, 8/15/2022 | 3,786,454 | ||||||
ConAgra Foods, Inc. | ||||||||
2,560,000 | 3.200%, 1/25/2023 | 2,462,794 | ||||||
Diageo Capital plc | ||||||||
3,120,000 | 2.625%, 4/29/2023 | 3,014,282 | ||||||
Edwards Lifesciences Corporation | ||||||||
2,375,000 | 2.875%, 10/15/2018 | 2,402,555 | ||||||
Endo Finance, LLC | ||||||||
1,260,000 | 6.000%, 2/1/2025e | 1,241,100 | ||||||
Forest Laboratories, Inc. | ||||||||
2,550,000 | 5.000%, 12/15/2021e | 2,770,840 | ||||||
H. J. Heinz Company | ||||||||
3,120,000 | 3.500%, 7/15/2022e | 3,141,512 | ||||||
1,860,000 | 5.200%, 7/15/2045e | 1,943,529 | ||||||
HCA, Inc. | ||||||||
2,560,000 | 4.750%, 5/1/2023 | 2,534,400 | ||||||
Imperial Tobacco Finance plc | ||||||||
2,190,000 | 3.750%, 7/21/2022e | 2,198,767 | ||||||
JBS USA, LLC | ||||||||
1,910,000 | 7.250%, 6/1/2021e | 1,895,675 | ||||||
Kraft Foods Group, Inc. | ||||||||
4,390,000 | 3.500%, 6/6/2022 | 4,438,053 | ||||||
Laboratory Corporation of America Holdings | ||||||||
1,250,000 | 3.200%, 2/1/2022 | 1,226,784 | ||||||
1,250,000 | 4.700%, 2/1/2045 | 1,142,070 | ||||||
McKesson Corporation | ||||||||
2,510,000 | 3.796%, 3/15/2024 | 2,523,122 | ||||||
2,550,000 | 4.883%, 3/15/2044 | 2,548,728 | ||||||
Mead Johnson Nutrition Company | ||||||||
1,250,000 | 4.125%, 11/15/2025 | 1,259,399 | ||||||
Mylan NV | ||||||||
3,190,000 | 3.750%, 12/15/2020e | 3,193,343 | ||||||
Pernod Ricard SA | ||||||||
3,130,000 | 5.750%, 4/7/2021e | 3,454,221 | ||||||
1,910,000 | 4.450%, 1/15/2022e | 1,980,065 | ||||||
Pfizer, Inc. | ||||||||
1,870,000 | 5.600%, 9/15/2040 | 2,152,680 | ||||||
Reynolds American, Inc. | ||||||||
3,120,000 | 4.000%, 6/12/2022 | 3,243,496 | ||||||
1,560,000 | 5.850%, 8/15/2045 | 1,734,314 | ||||||
SABMiller Holdings, Inc. | ||||||||
3,040,000 | 3.750%, 1/15/2022e | 3,126,591 | ||||||
Spectrum Brands Escrow Corporation | ||||||||
1,460,000 | 6.375%, 11/15/2020 | 1,551,250 | ||||||
Tenet Healthcare Corporation | ||||||||
1,910,000 | 8.125%, 4/1/2022 | 1,905,225 | ||||||
Teva Pharmaceutical Finance Company BV | ||||||||
2,490,000 | 2.950%, 12/18/2022 | 2,383,797 | ||||||
Tyson Foods, Inc. | ||||||||
3,190,000 | 4.500%, 6/15/2022 | 3,395,318 | ||||||
Valeant Pharmaceuticals International | ||||||||
2,560,000 | 6.375%, 10/15/2020e | 2,470,400 | ||||||
Watson Pharmaceuticals, Inc. | ||||||||
3,180,000 | 3.250%, 10/1/2022 | 3,126,414 | ||||||
Whirlpool Corporation | ||||||||
3,245,000 | 3.700%, 3/1/2023 | 3,265,418 | ||||||
2,490,000 | 3.700%, 5/1/2025 | 2,465,548 | ||||||
Zoetis, Inc. | ||||||||
3,190,000 | 3.250%, 2/1/2023 | 3,045,959 | ||||||
1,270,000 | 4.500%, 11/13/2025 | 1,287,085 | ||||||
|
| |||||||
Total | 130,299,349 | |||||||
|
| |||||||
| Energy (7.8%) | |||||||
Antero Resources Corporation | ||||||||
1,880,000 | 5.625%, 6/1/2023e | 1,466,400 | ||||||
BP Capital Markets plc | ||||||||
2,490,000 | 3.814%, 2/10/2024 | 2,488,700 | ||||||
Buckeye Partners, LP | ||||||||
3,180,000 | 5.850%, 11/15/2043 | 2,456,302 | ||||||
Canadian Natural Resources, Ltd. | ||||||||
3,110,000 | 3.450%, 11/15/2021 | 2,930,796 | ||||||
Canadian Oil Sands, Ltd. | ||||||||
2,600,000 | 4.500%, 4/1/2022e | 2,332,187 | ||||||
Chaparral Energy, Inc. | ||||||||
1,920,000 | 7.625%, 11/15/2022 | 441,600 | ||||||
Concho Resources, Inc. | ||||||||
1,930,000 | 6.500%, 1/15/2022 | 1,852,800 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
177
Table of Contents
INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (89.8%) | Value | ||||||
| Energy (7.8%) - continued | |||||||
Continental Resources, Inc. | ||||||||
$ | 3,830,000 | 3.800%, 6/1/2024 | $ | 2,697,955 | ||||
Devon Energy Corporation | ||||||||
2,560,000 | 5.850%, 12/15/2025i | 2,489,713 | ||||||
El Paso Pipeline Partners Operating Company, LLC | ||||||||
3,850,000 | 5.000%, 10/1/2021 | 3,633,949 | ||||||
3,800,000 | 4.300%, 5/1/2024 | 3,267,286 | ||||||
1,280,000 | 4.700%, 11/1/2042 | 900,676 | ||||||
Encana Corporation | ||||||||
2,550,000 | 6.500%, 8/15/2034 | 2,062,460 | ||||||
Energy Transfer Partners, LP | ||||||||
5,325,000 | 4.650%, 6/1/2021 | 4,999,355 | ||||||
1,200,000 | 4.050%, 3/15/2025 | 985,512 | ||||||
2,500,000 | 6.125%, 12/15/2045 | 2,034,015 | ||||||
Enterprise Products Operating, LLC | ||||||||
2,490,000 | 3.700%, 2/15/2026 | 2,233,535 | ||||||
1,690,000 | 7.034%, 1/15/2068 | 1,715,350 | ||||||
EQT Midstream Partners, LP | ||||||||
3,030,000 | 4.000%, 8/1/2024 | 2,497,920 | ||||||
Halliburton Company | ||||||||
1,880,000 | 3.800%, 11/15/2025 | 1,830,597 | ||||||
1,260,000 | 5.000%, 11/15/2045 | 1,245,564 | ||||||
Hess Corporation | ||||||||
2,520,000 | 5.600%, 2/15/2041 | 2,124,153 | ||||||
Hornbeck Offshore Services, Inc. | ||||||||
1,560,000 | 5.000%, 3/1/2021 | 1,060,800 | ||||||
Magellan Midstream Partners, LP | ||||||||
2,500,000 | 4.200%, 3/15/2045 | 1,820,602 | ||||||
Marathon Oil Corporation | ||||||||
2,364,000 | 5.900%, 3/15/2018 | 2,390,777 | ||||||
3,120,000 | 3.850%, 6/1/2025i | 2,511,126 | ||||||
Marathon Petroleum Corporation | ||||||||
1,920,000 | 6.500%, 3/1/2041 | 1,921,069 | ||||||
MPLX, LP | ||||||||
4,390,000 | 4.000%, 2/15/2025 | 3,689,650 | ||||||
NiSource Finance Corporation | ||||||||
1,250,000 | 6.800%, 1/15/2019 | 1,402,301 | ||||||
Noble Energy, Inc. | ||||||||
3,110,000 | 5.875%, 6/1/2022 | 2,958,543 | ||||||
Noble Holding International, Ltd. | ||||||||
3,045,000 | 5.950%, 4/1/2025i | 2,100,578 | ||||||
1,200,000 | 6.950%, 4/1/2045i | 767,861 | ||||||
Occidental Petroleum Corporation | ||||||||
3,140,000 | 4.100%, 2/1/2021 | 3,294,344 | ||||||
Pioneer Natural Resources Company | ||||||||
2,240,000 | 3.450%, 1/15/2021 | 2,068,311 | ||||||
3,150,000 | 3.950%, 7/15/2022 | 2,875,629 | ||||||
Sabine Pass Liquefaction, LLC | ||||||||
1,910,000 | 5.750%, 5/15/2024 | 1,661,700 | ||||||
Schlumberger Holdings Corporation | ||||||||
3,200,000 | 3.625%, 12/21/2022e | 3,161,034 | ||||||
Spectra Energy Partners, LP | ||||||||
1,560,000 | 3.500%, 3/15/2025 | 1,364,521 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
2,700,000 | 4.400%, 4/1/2021 | 2,616,492 | ||||||
3,200,000 | 3.450%, 1/15/2023 | 2,700,928 | ||||||
Tesoro Logistics, LP | ||||||||
1,880,000 | 5.500%, 10/15/2019e | 1,823,600 | ||||||
Transocean, Inc. | ||||||||
2,550,000 | 4.300%, 10/15/2022 | 1,351,500 | ||||||
Valero Energy Corporation | ||||||||
2,300,000 | 4.900%, 3/15/2045 | 1,917,912 | ||||||
Weatherford International, Ltd. | ||||||||
3,200,000 | 6.000%, 3/15/2018 | 2,950,720 | ||||||
Williams Companies, Inc. | ||||||||
2,560,000 | 3.700%, 1/15/2023 | 1,768,356 | ||||||
Williams Partners, LP | ||||||||
1,930,000 | 4.500%, 11/15/2023 | 1,562,140 | ||||||
1,600,000 | 3.900%, 1/15/2025 | 1,202,322 | ||||||
Woodside Finance, Ltd. | ||||||||
3,130,000 | 3.650%, 3/5/2025e | 2,772,269 | ||||||
|
| |||||||
Total | 104,401,910 | |||||||
|
| |||||||
| Financials (29.2%) | |||||||
ABN AMRO Bank NV | ||||||||
2,480,000 | 4.750%, 7/28/2025e | 2,471,816 | ||||||
Aegon NV | ||||||||
2,600,000 | 2.142%, 7/29/2049h,j | 1,950,000 | ||||||
Air Lease Corporation | ||||||||
1,260,000 | 2.125%, 1/15/2018 | 1,237,950 | ||||||
2,510,000 | 3.750%, 2/1/2022 | 2,465,380 | ||||||
1,260,000 | 4.250%, 9/15/2024 | 1,234,800 | ||||||
Ally Financial, Inc. | ||||||||
2,490,000 | 3.600%, 5/21/2018 | 2,490,000 | ||||||
1,860,000 | 4.125%, 3/30/2020 | 1,850,700 | ||||||
American Express Company | ||||||||
1,880,000 | 4.900%, 12/29/2049j | 1,786,000 | ||||||
American International Group, Inc. | ||||||||
1,870,000 | 3.750%, 7/10/2025 | 1,853,282 | ||||||
1,880,000 | 3.875%, 1/15/2035 | 1,658,220 | ||||||
3,130,000 | 4.500%, 7/16/2044 | 2,894,493 | ||||||
American Tower Trust I | ||||||||
3,200,000 | 1.551%, 3/15/2018* | 3,124,889 | ||||||
Ares Capital Corporation | ||||||||
3,190,000 | 4.875%, 11/30/2018 | 3,321,358 | ||||||
Associated Banc-Corporation | ||||||||
3,150,000 | 4.250%, 1/15/2025 | 3,151,928 | ||||||
Assured Guaranty US Holdings, Inc. | ||||||||
3,200,000 | 5.000%, 7/1/2024i | 3,324,464 | ||||||
AXA SA | ||||||||
2,580,000 | 8.600%, 12/15/2030 | 3,466,872 | ||||||
Axis Specialty Finance, LLC | ||||||||
920,000 | 5.875%, 6/1/2020 | 1,015,972 | ||||||
Banco de Brasil SA | ||||||||
1,371,000 | 9.000%, 12/31/2049e,j | 898,005 | ||||||
Bank of America Corporation | ||||||||
3,840,000 | 1.656%, 3/22/2018h | 3,852,319 | ||||||
3,380,000 | 7.625%, 6/1/2019 | 3,915,115 | ||||||
1,000,000 | 4.100%, 7/24/2023 | 1,033,963 | ||||||
3,830,000 | 4.125%, 1/22/2024 | 3,955,815 | ||||||
2,830,000 | 4.200%, 8/26/2024 | 2,807,864 | ||||||
1,950,000 | 5.875%, 2/7/2042 | 2,275,802 | ||||||
3,110,000 | 4.750%, 4/21/2045 | 2,989,220 | ||||||
3,130,000 | 6.500%, 10/23/2049j | 3,298,237 | ||||||
Bank of Nova Scotia | ||||||||
2,560,000 | 4.500%, 12/16/2025 | 2,548,155 | ||||||
Barclays Bank plc | ||||||||
1,910,000 | 10.179%, 6/12/2021e | 2,474,206 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
178
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INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (89.8%) | Value | ||||||
| Financials (29.2%) - continued | |||||||
$ | 3,760,000 | 0.875%, 11/29/2049h,j | $ | 2,265,400 | ||||
Barclays plc | ||||||||
1,890,000 | 4.375%, 9/11/2024 | 1,848,082 | ||||||
3,120,000 | 5.250%, 8/17/2045 | 3,142,729 | ||||||
BBVA Bancomer SA/Texas | ||||||||
2,285,000 | 6.750%, 9/30/2022e | 2,513,500 | ||||||
BPCE SA | ||||||||
2,535,000 | 5.700%, 10/22/2023e | 2,661,611 | ||||||
2,190,000 | 5.150%, 7/21/2024e | 2,208,405 | ||||||
Branch Banking and Trust Company | ||||||||
3,130,000 | 3.625%, 9/16/2025 | 3,159,438 | ||||||
Camden Property Trust | ||||||||
3,140,000 | 3.500%, 9/15/2024 | 3,062,448 | ||||||
Capital One Bank USA NA | ||||||||
5,425,000 | 2.250%, 2/13/2019 | 5,401,157 | ||||||
Capital One Financial Corporation | ||||||||
2,490,000 | 5.550%, 12/29/2049i,j | 2,477,550 | ||||||
CIT Group, Inc. | ||||||||
3,120,000 | 5.250%, 3/15/2018 | 3,221,400 | ||||||
Citigroup, Inc. | ||||||||
4,370,000 | 4.400%, 6/10/2025 | 4,413,735 | ||||||
3,305,000 | 5.500%, 9/13/2025 | 3,587,558 | ||||||
2,490,000 | 4.450%, 9/29/2027 | 2,473,514 | ||||||
CNA Financial Corporation | ||||||||
1,995,000 | 7.350%, 11/15/2019 | 2,296,897 | ||||||
1,870,000 | 7.250%, 11/15/2023 | 2,210,202 | ||||||
Compass Bank | ||||||||
1,575,000 | 2.750%, 9/29/2019 | 1,559,244 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
3,120,000 | 4.375%, 8/4/2025 | 3,173,205 | ||||||
1,910,000 | 5.750%, 12/1/2043 | 2,135,038 | ||||||
1,290,000 | 11.000%, 12/29/2049e,j | 1,592,505 | ||||||
Credit Suisse Group Funding, Ltd. | ||||||||
3,190,000 | 3.125%, 12/10/2020e | 3,175,511 | ||||||
4,400,000 | 3.750%, 3/26/2025e | 4,256,050 | ||||||
DDR Corporation | ||||||||
2,010,000 | 3.625%, 2/1/2025 | 1,896,688 | ||||||
Developers Diversified Realty Corporation | ||||||||
1,290,000 | 7.875%, 9/1/2020 | 1,543,930 | ||||||
Discover Bank of Greenwood Delaware | ||||||||
1,635,000 | 4.200%, 8/8/2023 | 1,670,256 | ||||||
1,600,000 | 4.250%, 3/13/2026 | 1,610,763 | ||||||
Duke Realty, LP | ||||||||
3,220,000 | 3.875%, 10/15/2022 | 3,234,835 | ||||||
Essex Portfolio, LP | ||||||||
2,940,000 | 3.500%, 4/1/2025 | 2,828,339 | ||||||
Fairfax Financial Holdings, Ltd. | ||||||||
1,915,000 | 5.800%, 5/15/2021e | 2,027,548 | ||||||
GE Capital International Funding Company | ||||||||
2,527,000 | 4.418%, 11/15/2035e | 2,578,758 | ||||||
GE Capital Trust I | ||||||||
4,500,000 | 6.375%, 11/15/2067 | 4,677,187 | ||||||
General Electric Capital Corporation | ||||||||
3,200,000 | 1.512%, 3/15/2023h | 3,151,005 | ||||||
Glitnir Banki HF | ||||||||
50,000 | Zero Coupon, 1/21/2011*,k | 15,500 | ||||||
Goldman Sachs Group, Inc. | ||||||||
2,900,000 | 5.375%, 3/15/2020 | 3,185,775 | ||||||
3,275,000 | 5.250%, 7/27/2021 | 3,620,905 | ||||||
2,190,000 | 4.000%, 3/3/2024 | 2,247,772 | ||||||
4,450,000 | 3.850%, 7/8/2024 | 4,541,047 | ||||||
2,490,000 | 4.250%, 10/21/2025 | 2,470,969 | ||||||
1,260,000 | 6.750%, 10/1/2037 | 1,472,859 | ||||||
2,490,000 | 5.150%, 5/22/2045 | 2,418,751 | ||||||
Hartford Financial Services Group, Inc. | ||||||||
3,230,000 | 5.125%, 4/15/2022 | 3,547,231 | ||||||
HCP, Inc. | ||||||||
2,200,000 | 4.250%, 11/15/2023 | 2,203,093 | ||||||
2,555,000 | 4.200%, 3/1/2024 | 2,538,091 | ||||||
Host Hotels & Resorts, LP | ||||||||
1,240,000 | 4.000%, 6/15/2025 | 1,188,670 | ||||||
HSBC Finance Corporation | ||||||||
3,210,000 | 6.676%, 1/15/2021 | 3,684,040 | ||||||
HSBC Holdings plc | ||||||||
1,870,000 | 5.250%, 3/14/2044 | 1,940,357 | ||||||
1,870,000 | 6.375%, 12/29/2049j | 1,867,662 | ||||||
1,880,000 | 6.375%, 12/29/2049j | 1,856,500 | ||||||
Huntington Bancshares, Inc. | ||||||||
2,850,000 | 7.000%, 12/15/2020 | 3,318,722 | ||||||
Hutchison Whampoa Finance CI, Ltd. | ||||||||
2,520,000 | 1.625%, 10/31/2017e | 2,497,756 | ||||||
Hutchison Whampoa International 14, Ltd. | ||||||||
2,510,000 | 3.625%, 10/31/2024e | 2,490,377 | ||||||
Icahn Enterprises, LP | ||||||||
2,040,000 | 6.000%, 8/1/2020 | 2,057,136 | ||||||
ILFC E-Capital Trust II | ||||||||
2,230,000 | 4.740%, 12/21/2065e,h | 2,051,600 | ||||||
ING Bank NV | ||||||||
3,165,000 | 5.800%, 9/25/2023e | 3,438,678 | ||||||
J.P. Morgan Chase & Company | ||||||||
3,200,000 | 3.375%, 5/1/2023 | 3,145,014 | ||||||
2,830,000 | 3.875%, 9/10/2024 | 2,815,126 | ||||||
3,150,000 | 5.500%, 10/15/2040 | 3,563,775 | ||||||
2,550,000 | 6.750%, 8/29/2049j | 2,779,500 | ||||||
2,560,000 | 6.000%, 12/29/2049j | 2,556,426 | ||||||
Kilroy Realty, LP | ||||||||
3,190,000 | 4.250%, 8/15/2029 | 3,126,082 | ||||||
Liberty Mutual Group, Inc. | ||||||||
3,535,000 | 4.950%, 5/1/2022e | 3,747,047 | ||||||
3,190,000 | 4.850%, 8/1/2044e | 2,954,048 | ||||||
Liberty Property, LP | ||||||||
1,875,000 | 4.750%, 10/1/2020 | 1,992,165 | ||||||
Lincoln National Corporation | ||||||||
4,150,000 | 4.000%, 9/1/2023 | 4,249,206 | ||||||
Macquarie Bank, Ltd. | ||||||||
3,215,000 | 1.650%, 3/24/2017e | 3,210,161 | ||||||
Merrill Lynch & Company, Inc. | ||||||||
3,050,000 | 6.875%, 4/25/2018 | 3,364,934 | ||||||
MetLife Capital Trust IV | ||||||||
700,000 | 7.875%, 12/15/2037e | 854,000 | ||||||
MetLife Capital Trust X | ||||||||
2,250,000 | 9.250%, 4/8/2038e | 3,105,000 | ||||||
MetLife, Inc. | ||||||||
2,500,000 | 3.600%, 4/10/2024 | 2,565,000 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
179
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INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (89.8%) | Value | ||||||
| Financials (29.2%) - continued | |||||||
Mizuho Bank, Ltd. | ||||||||
$ | 2,400,000 | 3.600%, 9/25/2024e | $ | 2,428,476 | ||||
Morgan Stanley | ||||||||
2,730,000 | 6.625%, 4/1/2018 | 2,993,527 | ||||||
3,180,000 | 5.625%, 9/23/2019 | 3,509,445 | ||||||
3,400,000 | 5.500%, 1/26/2020 | 3,743,101 | ||||||
3,205,000 | 4.875%, 11/1/2022 | 3,401,313 | ||||||
1,870,000 | 4.000%, 7/23/2025 | 1,925,677 | ||||||
2,550,000 | 5.000%, 11/24/2025 | 2,706,947 | ||||||
2,510,000 | 4.350%, 9/8/2026 | 2,518,205 | ||||||
1,570,000 | 4.300%, 1/27/2045 | 1,497,950 | ||||||
National Retail Properties, Inc. | ||||||||
3,200,000 | 3.900%, 6/15/2024 | 3,165,382 | ||||||
Nationwide Building Society | ||||||||
2,490,000 | 3.900%, 7/21/2025e | 2,568,418 | ||||||
Nordea Bank AB | ||||||||
3,170,000 | 4.875%, 5/13/2021e | 3,420,975 | ||||||
1,890,000 | 5.500%, 9/29/2049e,i,j | 1,882,912 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
2,960,000 | 5.875%, 3/15/2024 | 3,063,600 | ||||||
1,870,000 | 5.250%, 1/15/2026e | 1,908,773 | ||||||
Peachtree Corners Funding Trust | ||||||||
1,400,000 | 3.976%, 2/15/2025e | 1,389,891 | ||||||
PNC Capital Trust C | ||||||||
3,120,000 | 0.984%, 6/1/2028h | 2,745,600 | ||||||
Prologis, LP | ||||||||
2,510,000 | 4.250%, 8/15/2023 | 2,641,009 | ||||||
3,740,000 | 3.750%, 11/1/2025 | 3,709,975 | ||||||
Prudential Financial, Inc. | ||||||||
1,915,000 | 3.500%, 5/15/2024 | 1,922,955 | ||||||
1,425,000 | 6.200%, 11/15/2040 | 1,682,426 | ||||||
1,930,000 | 5.875%, 9/15/2042 | 2,006,235 | ||||||
Realty Income Corporation | ||||||||
3,830,000 | 3.875%, 7/15/2024 | 3,757,165 | ||||||
Regions Bank | ||||||||
377,000 | 7.500%, 5/15/2018 | 418,900 | ||||||
Reinsurance Group of America, Inc. | ||||||||
1,930,000 | 6.450%, 11/15/2019 | 2,171,673 | ||||||
3,815,000 | 4.700%, 9/15/2023 | 4,022,647 | ||||||
Royal Bank of Scotland Group plc | ||||||||
2,520,000 | 6.000%, 12/19/2023 | 2,714,078 | ||||||
2,490,000 | 7.500%, 12/29/2049j | 2,592,713 | ||||||
Santander Holdings USA, Inc. | ||||||||
2,490,000 | 2.650%, 4/17/2020 | 2,442,859 | ||||||
2,500,000 | 4.500%, 7/17/2025 | 2,544,865 | ||||||
Santander Issuances SA | ||||||||
2,750,000 | 5.179%, 11/19/2025 | 2,708,332 | ||||||
Santander UK Group Holdings plc | ||||||||
1,560,000 | 2.875%, 10/16/2020 | 1,549,409 | ||||||
2,500,000 | 4.750%, 9/15/2025e,i | 2,467,018 | ||||||
Santander UK plc | ||||||||
960,000 | 5.000%, 11/7/2023e | 999,313 | ||||||
Simon Property Group, LP | ||||||||
2,775,000 | 2.750%, 2/1/2023 | 2,711,680 | ||||||
SLM Corporation | ||||||||
2,515,000 | 6.000%, 1/25/2017i | 2,577,875 | ||||||
1,024,000 | 4.625%, 9/25/2017 | 1,008,640 | ||||||
Societe Generale SA | ||||||||
2,490,000 | 8.000%, 12/31/2049e,i,j | 2,537,477 | ||||||
Standard Chartered plc | ||||||||
1,870,000 | 6.500%, 12/29/2049e,i,j | 1,806,758 | ||||||
Synchrony Financial | ||||||||
2,510,000 | 2.700%, 2/3/2020 | 2,461,871 | ||||||
1,600,000 | 3.750%, 8/15/2021 | 1,598,250 | ||||||
1,260,000 | 4.250%, 8/15/2024 | 1,242,942 | ||||||
Synovus Financial Corporation | ||||||||
1,920,000 | 5.750%, 12/15/2025 | 1,958,400 | ||||||
UBS Group Funding Jersey, Ltd. | ||||||||
2,490,000 | 4.125%, 9/24/2025e | 2,487,418 | ||||||
UnionBanCal Corporation | ||||||||
2,580,000 | 3.500%, 6/18/2022 | 2,616,424 | ||||||
UnitedHealth Group, Inc. | ||||||||
2,480,000 | 3.350%, 7/15/2022 | 2,536,648 | ||||||
1,240,000 | 4.750%, 7/15/2045 | 1,306,080 | ||||||
Voya Financial, Inc. | ||||||||
3,215,000 | 5.500%, 7/15/2022 | 3,597,540 | ||||||
Wachovia Capital Trust III | ||||||||
120,000 | 5.570%, 3/15/2042h,j | 115,590 | ||||||
Wells Fargo & Company | ||||||||
3,035,000 | 3.450%, 2/13/2023 | 3,042,150 | ||||||
3,220,000 | 7.980%, 2/28/2049j | 3,344,775 | ||||||
1,250,000 | 5.875%, 12/31/2049j | 1,315,625 | ||||||
Welltower, Inc. | ||||||||
1,280,000 | 6.125%, 4/15/2020 | 1,433,687 | ||||||
3,150,000 | 4.950%, 1/15/2021 | 3,377,323 | ||||||
1,550,000 | 4.000%, 6/1/2025 | 1,524,682 | ||||||
XLIT, Ltd. | ||||||||
1,870,000 | 4.450%, 3/31/2025 | 1,831,203 | ||||||
1,840,000 | 5.250%, 12/15/2043 | 1,903,110 | ||||||
|
| |||||||
Total | 389,640,200 | |||||||
|
| |||||||
| Foreign Government (0.6%) | |||||||
Colombia Government International Bond | ||||||||
3,200,000 | 5.625%, 2/26/2044 | 2,920,000 | ||||||
Mexico Government International Bond | ||||||||
3,480,000 | 4.000%, 10/2/2023 | 3,525,240 | ||||||
2,100,000 | 3.600%, 1/30/2025 | 2,046,450 | ||||||
|
| |||||||
Total | 8,491,690 | |||||||
|
| |||||||
| Industrials Other (0.1%) | |||||||
AECOM | ||||||||
1,870,000 | 5.875%, 10/15/2024 | 1,907,400 | ||||||
|
| |||||||
Total | 1,907,400 | |||||||
|
| |||||||
| Mortgage-Backed Securities (3.9%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
3,612,500 | 3.000%, 1/1/2031c | 3,722,586 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
2,412,500 | 4.000%, 1/1/2046c | 2,548,532 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
26,550,000 | 3.500%, 1/1/2046c | 27,392,251 | ||||||
12,937,500 | 4.000%, 1/1/2046c | 13,690,099 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
180
Table of Contents
INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (89.8%) | Value | ||||||
| Mortgage-Backed Securities (3.9%) - continued | |||||||
$ | 4,650,000 | 4.500%, 1/1/2046c | $ | 5,021,419 | ||||
|
| |||||||
Total | 52,374,887 | |||||||
|
| |||||||
| Technology (1.8%) | |||||||
Amkor Technology, Inc. | ||||||||
1,910,000 | 6.375%, 10/1/2022i | 1,857,475 | ||||||
Equinix, Inc. | ||||||||
1,890,000 | 5.375%, 1/1/2022 | 1,937,250 | ||||||
Fidelity National Information Services, Inc. | ||||||||
1,560,000 | 2.850%, 10/15/2018 | 1,565,508 | ||||||
3,190,000 | 3.875%, 6/5/2024 | 3,078,998 | ||||||
First Data Corporation | ||||||||
1,250,000 | 5.375%, 8/15/2023e | 1,256,250 | ||||||
Fiserv, Inc. | ||||||||
3,740,000 | 3.850%, 6/1/2025 | 3,734,588 | ||||||
Hewlett Packard Enterprise Company | ||||||||
2,490,000 | 2.850%, 10/5/2018e | 2,488,611 | ||||||
2,500,000 | 3.600%, 10/15/2020e | 2,505,737 | ||||||
Qualcomm, Inc. | ||||||||
2,490,000 | 3.450%, 5/20/2025 | 2,388,306 | ||||||
Seagate HDD Cayman | ||||||||
1,870,000 | 4.875%, 6/1/2027e | 1,434,965 | ||||||
Sensata Technologies BV | ||||||||
1,890,000 | 4.875%, 10/15/2023e | 1,838,025 | ||||||
|
| |||||||
Total | 24,085,713 | |||||||
|
| |||||||
| Transportation (3.6%) | |||||||
American Airlines Pass Through Trust | ||||||||
2,226,694 | 5.600%, 7/15/2020e | 2,271,227 | ||||||
2,305,112 | 4.000%, 7/15/2025 | 2,328,163 | ||||||
British Airways plc | ||||||||
4,192,646 | 4.625%, 6/20/2024e | 4,370,833 | ||||||
Burlington Northern Santa Fe, LLC | ||||||||
3,120,000 | 3.000%, 4/1/2025 | 2,999,783 | ||||||
2,500,000 | 4.700%, 9/1/2045 | 2,494,568 | ||||||
Canadian Pacific Railway Company | ||||||||
3,130,000 | 2.900%, 2/1/2025 | 2,946,250 | ||||||
940,000 | 3.700%, 2/1/2026 | 925,005 | ||||||
2,560,000 | 7.125%, 10/15/2031 | 3,170,056 | ||||||
Continental Airlines, Inc. | ||||||||
810,585 | 7.250%, 11/10/2019 | 913,529 | ||||||
1,269,214 | 4.000%, 10/29/2024 | 1,300,945 | ||||||
Delta Air Lines, Inc. | ||||||||
1,514,086 | 4.950%, 5/23/2019 | 1,589,790 | ||||||
1,005,175 | 4.750%, 5/7/2020 | 1,060,460 | ||||||
1,870,000 | 4.250%, 7/30/2023 | 1,884,025 | ||||||
ERAC USA Finance, LLC | ||||||||
3,450,000 | 5.250%, 10/1/2020e | 3,779,979 | ||||||
1,915,000 | 4.500%, 8/16/2021e | 2,026,239 | ||||||
2,000,000 | 3.800%, 11/1/2025e | 1,979,070 | ||||||
Navios South American Logistics, Inc. | ||||||||
325,000 | 7.250%, 5/1/2022e | 212,875 | ||||||
Penske Truck Leasing Company, LP | ||||||||
2,510,000 | 3.375%, 2/1/2022e | 2,437,177 | ||||||
United Airlines Pass Through Trust | ||||||||
1,590,000 | 3.750%, 9/3/2026 | 1,603,992 | ||||||
United Airlines, Inc. | ||||||||
2,173,426 | 4.000%, 4/11/2026 | 2,222,328 | ||||||
US Airways Pass Through Trust | ||||||||
2,894,780 | 3.950%, 11/15/2025 | 2,916,491 | ||||||
Virgin Australia Holdings, Ltd. | ||||||||
2,101,540 | 5.000%, 10/23/2023e | 2,169,840 | ||||||
|
| |||||||
Total | 47,602,625 | |||||||
|
| |||||||
| U.S. Government and Agencies (5.3%) | |||||||
U.S. Treasury Bonds | ||||||||
4,500,000 | 4.375%, 5/15/2041 | 5,678,964 | ||||||
5,307,000 | 3.125%, 2/15/2042 | 5,479,684 | ||||||
7,500,000 | 3.000%, 11/15/2045 | 7,477,440 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
2,670,644 | 0.625%, 1/15/2024 | 2,640,357 | ||||||
U.S. Treasury Notes | ||||||||
1,000,000 | 2.875%, 3/31/2018 | 1,038,047 | ||||||
10,023,000 | 1.000%, 6/30/2019 | 9,857,390 | ||||||
3,130,000 | 1.625%, 7/31/2020 | 3,115,082 | ||||||
7,000,000 | 1.375%, 10/31/2020 | 6,876,408 | ||||||
4,380,000 | 2.000%, 7/31/2022 | 4,368,196 | ||||||
4,500,000 | 1.875%, 8/31/2022 | 4,448,147 | ||||||
7,000,000 | 1.875%, 10/31/2022 | 6,911,408 | ||||||
6,410,000 | 2.000%, 11/30/2022 | 6,374,944 | ||||||
4,380,000 | 2.500%, 2/15/2045 | 3,929,854 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
2,019,787 | 0.625%, 7/15/2021 | 2,033,041 | ||||||
|
| |||||||
Total | 70,228,962 | |||||||
|
| |||||||
| U.S. Municipals (0.2%) | |||||||
Denver, CO City & County Airport Rev. | ||||||||
2,550,000 | 5.250%, 11/15/2022, Ser. A, AMT | 2,995,969 | ||||||
|
| |||||||
Total | 2,995,969 | |||||||
|
| |||||||
| Utilities (5.7%) | |||||||
Access Midstream Partners, LP | ||||||||
1,570,000 | 4.875%, 5/15/2023 | 1,272,744 | ||||||
American Electric Power Company, Inc. | ||||||||
2,565,000 | 2.950%, 12/15/2022 | 2,533,543 | ||||||
Arizona Public Service Company | ||||||||
2,880,000 | 8.750%, 3/1/2019 | 3,420,023 | ||||||
Calpine Corporation | ||||||||
1,920,000 | 5.375%, 1/15/2023 | 1,723,200 | ||||||
Cleveland Electric Illuminating Company | ||||||||
923,000 | 5.700%, 4/1/2017 | 956,016 | ||||||
Commonwealth Edison Company | ||||||||
1,500,000 | 6.150%, 9/15/2017 | 1,610,391 | ||||||
DCP Midstream Operating, LP | ||||||||
2,560,000 | 3.875%, 3/15/2023 | 1,932,372 | ||||||
2,550,000 | 5.600%, 4/1/2044 | 1,548,671 | ||||||
DCP Midstream, LLC | ||||||||
1,750,000 | 5.850%, 5/21/2043e | 1,338,750 | ||||||
DPL, Inc. | ||||||||
565,000 | 6.500%, 10/15/2016 | 565,000 | ||||||
Dynegy Finance I, Inc. | ||||||||
1,250,000 | 7.375%, 11/1/2022 | 1,087,500 | ||||||
Electricite de France SA | ||||||||
3,200,000 | 5.250%, 12/29/2049e,j | 3,008,000 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (89.8%) | Value | ||||||
| Utilities (5.7%) - continued | |||||||
Energy Transfer Equity, LP | ||||||||
$ | 1,870,000 | 5.500%, 6/1/2027 | $ | 1,421,200 | ||||
Enterprise Products Operating, LLC | ||||||||
1,930,000 | 6.650%, 4/15/2018 | 2,095,598 | ||||||
Exelon Corporation | ||||||||
3,120,000 | 3.950%, 6/15/2025e | 3,115,850 | ||||||
Exelon Generation Company, LLC | ||||||||
1,050,000 | 5.200%, 10/1/2019 | 1,131,150 | ||||||
2,500,000 | 4.000%, 10/1/2020 | 2,576,518 | ||||||
FirstEnergy Transmission, LLC | ||||||||
3,830,000 | 4.350%, 1/15/2025e | 3,882,375 | ||||||
Great River Energy | ||||||||
13,090 | 5.829%, 7/1/2017* | 13,412 | ||||||
ITC Holdings Corporation | ||||||||
5,080,000 | 4.050%, 7/1/2023 | 5,218,862 | ||||||
Kinder Morgan Energy Partners, LP | ||||||||
1,920,000 | 3.500%, 3/1/2021 | 1,718,164 | ||||||
2,550,000 | 5.800%, 3/1/2021 | 2,538,313 | ||||||
MidAmerican Energy Holdings Company | ||||||||
4,450,000 | 3.750%, 11/15/2023 | 4,566,501 | ||||||
Nevada Power Company | ||||||||
2,800,000 | 6.750%, 7/1/2037 | 3,551,758 | ||||||
NiSource Finance Corporation | ||||||||
3,200,000 | 5.450%, 9/15/2020 | 3,507,936 | ||||||
Ohio Power Company | ||||||||
2,400,000 | 6.050%, 5/1/2018 | 2,606,986 | ||||||
Oncor Electric Delivery Company, LLC | ||||||||
2,490,000 | 3.750%, 4/1/2045 | 2,069,519 | ||||||
Pennsylvania Electric Company | ||||||||
3,700,000 | 5.200%, 4/1/2020 | 3,944,403 | ||||||
PPL Capital Funding, Inc. | ||||||||
3,205,000 | 3.500%, 12/1/2022 | 3,228,775 | ||||||
3,190,000 | 3.950%, 3/15/2024 | 3,264,640 | ||||||
Southern California Edison Company | ||||||||
2,585,000 | 6.250%, 8/1/2049j | 2,848,024 | ||||||
Xcel Energy, Inc. | ||||||||
2,490,000 | 3.300%, 6/1/2025 | 2,434,159 | ||||||
|
| |||||||
Total | 76,730,353 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $1,218,017,052) | 1,199,806,799 | |||||||
|
| |||||||
Shares | Preferred Stock (2.3%) | |||||||
| Financials (2.0%) | |||||||
79,875 | Allstate Corporation, 5.100% | 1,972,114 | ||||||
102,122 | Citigroup, Inc., 6.6919% | 2,654,151 | ||||||
22,500 | Cobank ACB, 6.250%e,j | 2,309,767 | ||||||
31,925 | Countrywide Capital V, 7.000% | 818,238 | ||||||
128,000 | Discover Financial Services, 6.500%j | 3,388,160 | ||||||
78,590 | GMAC Capital Trust I, 8.125% | 1,993,042 | ||||||
95,940 | Goldman Sachs Group, Inc., 5.500%j | 2,483,886 | ||||||
102,122 | HSBC USA, Inc., 6.500%j | 2,658,236 | ||||||
88,200 | Morgan Stanley, 7.125%j | 2,522,520 | ||||||
62,918 | RBS Capital Funding Trust V, 5.900%j | 1,544,008 | ||||||
63,611 | RBS Capital Funding Trust VII, 6.080%j | 1,585,822 | ||||||
101,500 | Wells Fargo & Company, 5.850%j | 2,651,180 | ||||||
|
| |||||||
Total | 26,581,124 | |||||||
|
| |||||||
| Materials (0.2%) | |||||||
76,576 | CHS, Inc., 7.100%j | 2,088,227 | ||||||
|
| |||||||
Total | 2,088,227 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
50,000 | Southern California Edison Company Trust IV, 5.375%j | 1,358,000 | ||||||
|
| |||||||
Total | 1,358,000 | |||||||
|
| |||||||
Total Preferred Stock (cost $29,018,928) | 30,027,351 | |||||||
|
| |||||||
Collateral Held for Securities Loaned (2.1%) | ||||||||
28,613,386 | Thrivent Cash Management Trust | 28,613,386 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $28,613,386) | 28,613,386 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (7.2%)l | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
1,200,000 | 0.100%, 1/4/2016m | 1,199,990 | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
100,000 | 0.080%, 1/8/2016m | 99,999 | ||||||
100,000 | 0.300%, 2/11/2016m | 99,966 | ||||||
Thrivent Cash Management Trust | ||||||||
94,638,205 | 0.220% | 94,638,205 | ||||||
U.S. Treasury Bills | ||||||||
400,000 | 0.190%, 1/7/2016n | 399,987 | ||||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 96,438,147 | |||||||
|
| |||||||
Total Investments (cost $1,426,385,522) 105.2% | $ | 1,405,792,922 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (5.2%) | (69,772,489 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 1,336,020,433 | ||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
182
Table of Contents
INCOME PORTFOLIO
Schedule of Investments as of December 31, 2015
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | All or a portion of the loan is unfunded. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Defaulted security. Interest is not being accrued. |
e | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $224,166,057 or 16.8% of total net assets. |
f | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
g | All or a portion of the security is insured or guaranteed. |
h | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
i | All or a portion of the security is on loan. |
j | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
k | In bankruptcy. Interest is not being accrued. |
l | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
m | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
n | At December 31, 2015, $50,998 of investments were segregated to cover exposure to a counterparty for margin on open mortgage-backed security transactions. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Income Portfolio as of December 31, 2015 was $7,537,811 or 0.6% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
American Tower Trust I, 3/15/2018 | 3/6/2013 | $ | 3,200,409 | |||||
CAM Mortgage, LLC, 7/15/2064 | 6/24/2015 | 2,365,851 | ||||||
Glitnir Banki HF, 1/21/2016 | 5/1/2008 | 50,000 | ||||||
Great River Energy, 7/1/2017 | 4/13/2009 | 13,091 | ||||||
Preferred Term Securities XXIII, Ltd., 12/22/2036 | 9/14/2006 | 2,591,231 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Income Portfolio as of December 31, 2015:
Securities Lending Transactions
Taxable Debt Security | $ | 27,727,136 | ||
|
| |||
Total lending | $ | 27,727,136 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 28,613,386 | ||
|
| |||
Net amounts due to counterparty | $ | 886,250 | ||
|
|
Definitions:
AMT | - | Subject to Alternative Minimum Tax | ||
Rev. | - | Revenue | ||
Ser. | - | Series | ||
TIPS | - | Treasury Inflation Protected Security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
183
Table of Contents
LIMITED MATURITY BOND PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Bank Loans (3.4%)a | Value | ||||||
| Basic Materials (0.1%) | |||||||
Fortescue Metals Group, Ltd., Term Loan | ||||||||
$ | 1,043,290 | 4.250%, 6/30/2019 | $ | 770,835 | ||||
|
| |||||||
Total | 770,835 | |||||||
|
| |||||||
| Capital Goods (0.3%) | |||||||
ADS Waste Holdings, Inc., Term Loan | ||||||||
1,162,416 | 3.750%, 10/9/2019 | 1,123,185 | ||||||
Berry Plastics Group, Inc., Term Loan | ||||||||
938,463 | 3.500%, 2/8/2020 | 919,055 | ||||||
Silver II Borrower, Term Loan | ||||||||
620,291 | 4.000%, 12/13/2019 | 523,215 | ||||||
|
| |||||||
Total | 2,565,455 | |||||||
|
| |||||||
| Communications Services (0.7%) | |||||||
Grande Communications Networks, LLC, Term Loan | ||||||||
940,897 | 4.500%, 5/29/2020 | 921,298 | ||||||
Integra Telecom Holdings, Inc., Term Loan | ||||||||
1,182,379 | 5.250%, 8/14/2020 | 1,140,996 | ||||||
LTS Buyer, LLC, Term Loan | ||||||||
672,750 | 4.000%, 4/13/2020 | 653,577 | ||||||
NEP/NCP Holdco, Inc., Term Loan | ||||||||
938,667 | 4.250%, 1/22/2020 | 875,307 | ||||||
NTelos, Inc., Term Loan | ||||||||
672,620 | 5.750%, 11/9/2019 | 665,894 | ||||||
TNS, Inc., Term Loan | ||||||||
708,631 | 5.000%, 2/14/2020 | 696,230 | ||||||
Univision Communications, Inc., Term Loan | ||||||||
1,181,815 | 4.000%, 3/1/2020 | 1,154,633 | ||||||
|
| |||||||
Total | 6,107,935 | |||||||
|
| |||||||
| Consumer Cyclical (1.0%) | |||||||
Burlington Coat Factory Warehouse Corporation, Term Loan | ||||||||
613,955 | 4.250%, 8/13/2021 | 605,514 | ||||||
Ceridian HCM Holding, Inc., Term Loan | ||||||||
659,283 | 4.500%, 9/15/2020 | 557,918 | ||||||
Chrysler Group, LLC, Term Loan | ||||||||
937,990 | 3.500%, 5/24/2017 | 933,947 | ||||||
J.C. Penney Corporation, Inc., Term Loan | ||||||||
1,209,000 | 6.000%, 5/22/2018 | 1,185,727 | ||||||
MGM Resorts International, Term Loan | ||||||||
1,015,332 | 3.500%, 12/20/2019 | 1,000,102 | ||||||
Mohegan Tribal Gaming Authority, Term Loan | ||||||||
1,334,341 | 5.500%, 6/15/2018 | 1,302,410 | ||||||
ROC Finance, LLC, Term Loan | ||||||||
943,287 | 5.000%, 6/20/2019 | 875,682 | ||||||
Scientific Games International, Inc., Term Loan | ||||||||
1,215,200 | 6.000%, 10/18/2020 | 1,108,870 | ||||||
Seminole Hard Rock Entertainment, Inc., Term Loan | ||||||||
472,875 | 3.500%, 5/14/2020 | 462,235 | ||||||
|
| |||||||
Total | 8,032,405 | |||||||
|
| |||||||
| Consumer Non-Cyclical (0.4%) | |||||||
Albertson’s, Inc., Term Loan | ||||||||
607,778 | 5.500%, 3/21/2019 | 605,195 | ||||||
JBS USA, LLC, Term Loan | ||||||||
606,525 | 3.750%, 5/25/2018 | 602,734 | ||||||
Supervalu, Inc., Term Loan | ||||||||
1,876,369 | 4.500%, 3/21/2019 | 1,848,617 | ||||||
|
| |||||||
Total | 3,056,546 | |||||||
|
| |||||||
| Energy (0.1%) | |||||||
Arch Coal, Inc., Term Loan | ||||||||
672,612 | 6.250%, 5/16/2018 | 296,138 | ||||||
Offshore Group Investment, Ltd., Term Loan | ||||||||
472,875 | 0.000%, 3/28/2019b | 94,967 | ||||||
Pacific Drilling SA, Term Loan | ||||||||
1,184,625 | 4.500%, 6/3/2018 | 506,427 | ||||||
|
| |||||||
Total | 897,532 | |||||||
|
| |||||||
| Financials (0.2%) | |||||||
Harland Clarke Holdings Corporation, Term Loan | ||||||||
581,855 | 7.000%, 5/22/2018 | 561,973 | ||||||
WaveDivision Holdings, LLC, Term Loan | ||||||||
936,050 | 4.000%, 10/15/2019 | 919,669 | ||||||
|
| |||||||
Total | 1,481,642 | |||||||
|
| |||||||
| Technology (0.3%) | |||||||
BMC Software, Inc., Term Loan | ||||||||
1,299,757 | 5.000%, 9/10/2020 | 1,066,723 | ||||||
First Data Corporation, Term Loan | ||||||||
1,240,000 | 3.918%, 3/23/2018 | 1,222,256 | ||||||
|
| |||||||
Total | 2,288,979 | |||||||
|
| |||||||
| Transportation (0.2%) | |||||||
American Airlines, Inc., Term Loan | ||||||||
1,350,938 | 3.250%, 6/27/2020 | 1,328,350 | ||||||
|
| |||||||
Total | 1,328,350 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
Calpine Corporation, Term Loan | ||||||||
235,200 | 4.000%, 10/31/2020 | 228,732 | ||||||
Intergen NV, Term Loan | ||||||||
1,184,625 | 5.500%, 6/15/2020 | 1,067,643 | ||||||
|
| |||||||
Total | 1,296,375 | |||||||
|
| |||||||
Total Bank Loans (cost $30,656,007) | 27,826,054 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
184
Table of Contents
LIMITED MATURITY BOND PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (91.7%) | Value | ||||||
| Asset-Backed Securities (13.9%) | |||||||
American Homes 4 Rent | ||||||||
$ | 3,211,633 | 1.351%, 6/17/2031c,d | $ | 3,147,232 | ||||
BA Credit Card Trust | ||||||||
4,800,000 | 0.711%, 6/15/2021d | 4,791,700 | ||||||
Bayview Opportunity Master Fund Trust | ||||||||
2,702,506 | 3.228%, 7/28/2034*,e | 2,697,842 | ||||||
Betony CLO, Ltd. | ||||||||
3,425,000 | 1.831%, 4/15/2027*,d | 3,387,875 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
2,750,000 | 1.260%, 1/15/2020 | 2,749,201 | ||||||
Chase Issuance Trust | ||||||||
3,700,000 | 1.590%, 2/18/2020 | 3,699,485 | ||||||
2,800,000 | 1.620%, 7/15/2020 | 2,790,479 | ||||||
Chesapeake Funding, LLC | ||||||||
555,016 | 0.719%, 5/7/2024c,d | 554,811 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
5,225,000 | 1.020%, 2/22/2019 | 5,212,482 | ||||||
Commonbond Student Loan Trust | ||||||||
1,353,952 | 3.200%, 6/25/2032* | 1,353,289 | ||||||
Credit Based Asset Servicing and Securitization, LLC | ||||||||
1,610,788 | 3.546%, 12/25/2036e | 1,158,911 | ||||||
Edlinc Student Loan Funding Trust | ||||||||
2,081,343 | 3.200%, 10/1/2025*,d | 2,081,890 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates | ||||||||
215,069 | 5.500%, 3/25/2036*,b | 2 | ||||||
Ford Credit Auto Owner Trust | ||||||||
3,575,000 | 2.260%, 11/15/2025c | 3,603,838 | ||||||
GMAC Mortgage Corporation Loan Trust | ||||||||
596,405 | 0.401%, 8/25/2035d,f | 557,952 | ||||||
929,565 | 5.750%, 10/25/2036f | 901,930 | ||||||
1,871,895 | 0.401%, 12/25/2036d,f | 1,642,697 | ||||||
Golden Credit Card Trust | ||||||||
7,200,000 | 0.581%, 2/15/2018c,d | 7,198,218 | ||||||
1,000,000 | 0.761%, 9/15/2018c,d | 999,474 | ||||||
GoldenTree Loan Opportunities IX, Ltd. | ||||||||
3,750,000 | 1.804%, 10/29/2026*,d | 3,708,644 | ||||||
Mortgage Equity Conversion Asset Trust | ||||||||
4,381,572 | 1.140%, 1/25/2042*,d | 3,724,336 | ||||||
4,433,200 | 0.810%, 2/25/2042*,d | 3,768,220 | ||||||
Motor plc | ||||||||
1,258,100 | 0.902%, 8/25/2021c,d | 1,257,987 | ||||||
NextGear Floorplan Master Owner Trust | ||||||||
3,000,000 | 1.920%, 10/15/2019* | 2,973,860 | ||||||
Northstar Education Finance, Inc. | ||||||||
2,998,383 | 1.122%, 12/26/2031c,d | 2,897,761 | ||||||
OZLM VIII, Ltd. | ||||||||
3,760,000 | 1.755%, 10/17/2026*,d | 3,716,914 | ||||||
Race Point IX CLO, Ltd. | ||||||||
1,500,000 | 1.831%, 4/15/2027*,d | 1,491,157 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
3,454,460 | 5.608%, 5/25/2036e | 2,276,278 | ||||||
1,196,923 | 5.285%, 1/25/2037e | 650,178 | ||||||
Selene Non-Performing Loans, LLC | ||||||||
1,341,484 | 2.981%, 5/25/2054*,e | 1,326,175 | ||||||
SLM Student Loan Trust | ||||||||
1,823,650 | 0.931%, 8/15/2022c,d | 1,818,414 | ||||||
1,482,712 | 1.081%, 10/16/2023c,d | 1,479,538 | ||||||
1,616,409 | 0.822%, 3/25/2025d | 1,560,144 | ||||||
4,345,650 | 0.942%, 3/25/2026d | 4,289,858 | ||||||
2,700,000 | 1.381%, 5/17/2027c,d | 2,678,960 | ||||||
SoFi Professional Loan Program, LLC | ||||||||
3,058,130 | 2.420%, 3/25/2030c | 3,006,697 | ||||||
2,742,528 | 2.510%, 8/25/2033c | 2,687,817 | ||||||
U.S. Residential Opportunity Fund III Trust | ||||||||
2,164,688 | 3.721%, 1/27/2035* | 2,150,624 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
2,595,344 | 3.500%, 6/26/2045c,e | 2,557,442 | ||||||
1,203,575 | 3.375%, 10/26/2054c | 1,192,099 | ||||||
Volvo Financial Equipment, LLC | ||||||||
974,483 | 0.740%, 3/15/2017c | 973,989 | ||||||
Wachovia Asset Securitization, Inc. | ||||||||
865,897 | 0.562%, 7/25/2037*,d,f | 739,156 | ||||||
World Financial Network Credit Card Master Trust | ||||||||
3,000,000 | 0.711%, 12/15/2019d | 3,000,120 | ||||||
4,000,000 | 0.910%, 3/16/2020 | 3,996,788 | ||||||
World Omni Master Owner Trust | ||||||||
5,400,000 | 0.681%, 2/15/2018c,d | 5,399,083 | ||||||
|
| |||||||
Total | 113,851,547 | |||||||
|
| |||||||
| Basic Materials (0.8%) | |||||||
Albemarle Corporation | ||||||||
1,095,000 | 3.000%, 12/1/2019 | 1,074,038 | ||||||
Freeport-McMoRan, Inc. | ||||||||
1,000,000 | 2.375%, 3/15/2018 | 780,000 | ||||||
1,500,000 | 3.550%, 3/1/2022 | 870,000 | ||||||
Georgia-Pacific, LLC | ||||||||
2,555,000 | 2.539%, 11/15/2019c | 2,540,301 | ||||||
Glencore Funding, LLC | ||||||||
1,000,000 | 1.377%, 4/16/2018c,d | 843,803 | ||||||
Mosaic Company | ||||||||
500,000 | 4.250%, 11/15/2023 | 495,213 | ||||||
|
| |||||||
Total | 6,603,355 | |||||||
|
| |||||||
| Capital Goods (0.7%) | |||||||
Lockheed Martin Corporation | ||||||||
1,500,000 | 1.850%, 11/23/2018 | 1,497,348 | ||||||
Pentair Finance SA | ||||||||
1,750,000 | 3.625%, 9/15/2020 | 1,748,275 | ||||||
Roper Industries, Inc. | ||||||||
2,250,000 | 1.850%, 11/15/2017 | 2,238,167 | ||||||
Textron, Inc. | ||||||||
400,000 | 3.875%, 3/1/2025 | 392,192 | ||||||
|
| |||||||
Total | 5,875,982 | |||||||
|
| |||||||
| Collateralized Mortgage Obligations (11.4%) | |||||||
Alm Loan Funding CLO | ||||||||
3,760,000 | 1.745%, 10/17/2026*,d | 3,718,462 | ||||||
American Home Mortgage Assets Trust | ||||||||
2,583,561 | 1.177%, 11/25/2046d | 1,310,933 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (91.7%) | Value | ||||||
| Collateralized Mortgage Obligations (11.4%) - continued | |||||||
Apidos CLO XVIII | ||||||||
$ | 3,775,000 | 1.732%, 7/22/2026*,d | $ | 3,745,143 | ||||
Babson CLO, Ltd. | ||||||||
3,760,000 | 1.707%, 10/17/2026*,d | 3,703,730 | ||||||
BCAP, LLC Trust | ||||||||
1,561,903 | 0.602%, 3/25/2037d | 1,323,467 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
899,259 | 2.660%, 10/25/2035d | 884,139 | ||||||
Birchwood Park CLO, Ltd. | ||||||||
3,760,000 | 1.761%, 7/15/2026*,d | 3,719,485 | ||||||
BlueMountain CLO, Ltd. | ||||||||
3,760,000 | 1.801%, 10/15/2026*,d | 3,726,100 | ||||||
Carlyle Global Market Strategies CLO, Ltd. | ||||||||
3,750,000 | 1.617%, 7/20/2023*,d | 3,732,619 | ||||||
3,750,000 | 1.821%, 10/15/2026*,d | 3,721,936 | ||||||
Cent CLO 16, LP | ||||||||
3,760,000 | 1.579%, 8/1/2024*,d | 3,745,307 | ||||||
Cent CLO 22, Ltd. | ||||||||
3,750,000 | 1.824%, 11/7/2026*,d | 3,704,974 | ||||||
Countrywide Alternative Loan Trust | ||||||||
577,242 | 5.500%, 11/25/2035 | 570,786 | ||||||
622,628 | 5.500%, 2/25/2036 | 589,947 | ||||||
1,147,951 | 6.000%, 1/25/2037 | 1,054,983 | ||||||
Countrywide Home Loans, Inc. | ||||||||
1,636,506 | 2.526%, 3/20/2036 | 1,409,951 | ||||||
1,470,493 | 2.560%, 9/20/2036 | 1,303,885 | ||||||
Deutsche Alt-A Securities, Inc., Mortgage Loan Trust | ||||||||
2,883,810 | 1.027%, 4/25/2047d | 2,459,129 | ||||||
Dryden 34 Senior Loan Fund CLO | ||||||||
3,760,000 | 1.751%, 10/15/2026*,d | 3,718,446 | ||||||
HarborView Mortgage Loan Trust | ||||||||
1,443,880 | 2.203%, 6/19/2034 | 1,413,304 | ||||||
HomeBanc Mortgage Trust | ||||||||
1,431,925 | 2.229%, 4/25/2037 | 1,079,465 | ||||||
Impac CMB Trust | ||||||||
1,554,511 | 0.942%, 4/25/2035d | 1,428,384 | ||||||
487,679 | 1.062%, 8/25/2035d | 430,541 | ||||||
J.P. Morgan Alternative Loan Trust | ||||||||
2,292,054 | 2.595%, 3/25/2036 | 1,916,891 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
358,555 | 2.691%, 10/25/2036 | 322,625 | ||||||
Madison Park Funding XIV CLO, Ltd. | ||||||||
4,150,000 | 1.767%, 7/20/2026*,d | 4,109,705 | ||||||
Master Asset Securitization Trust | ||||||||
1,364,672 | 0.922%, 6/25/2036d | 779,354 | ||||||
MLCC Mortgage Investors, Inc. | ||||||||
468,998 | 1.082%, 8/25/2029d | 467,224 | ||||||
Neuberger Berman CLO, Ltd. | ||||||||
3,000,000 | 1.804%, 8/4/2025*,d | 2,964,947 | ||||||
Octagon Investment Partners XX CLO, Ltd. | ||||||||
3,760,000 | 1.796%, 8/12/2026*,d | 3,711,042 | ||||||
Residential Accredit Loans, Inc. | ||||||||
1,215,457 | 3.633%, 9/25/2035 | 1,007,470 | ||||||
Sequoia Mortgage Trust | ||||||||
2,705,626 | 1.269%, 9/20/2034d | 2,606,413 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
29,376 | 2.761%, 12/25/2034 | 28,693 | ||||||
Symphony CLO VIII, Ltd. | ||||||||
3,678,677 | 1.419%, 1/9/2023*,d | 3,664,863 | ||||||
Voya CLO 3, Ltd. | ||||||||
3,760,000 | 1.740%, 7/25/2026*,d | 3,718,584 | ||||||
Wachovia Mortgage Loan Trust, LLC | ||||||||
1,163,225 | 2.913%, 5/20/2036 | 1,020,080 | ||||||
WaMu Mortgage Pass Through Certificates | ||||||||
779,538 | 0.712%, 10/25/2045d | 718,011 | ||||||
2,440,204 | 1.137%, 10/25/2046d | 1,923,538 | ||||||
2,409,302 | 1.063%, 12/25/2046d | 1,854,309 | ||||||
2,526,677 | 0.997%, 1/25/2047d | 2,037,807 | ||||||
Washington Mutual Mortgage Pass Through Certificates | ||||||||
1,854,783 | 1.177%, 9/25/2046d | 1,237,794 | ||||||
3,203,792 | 1.007%, 2/25/2047d | 2,296,468 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
3,575,000 | 2.632%, 5/15/2048 | 3,601,546 | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||
1,105,568 | 2.763%, 3/25/2036 | 1,097,976 | ||||||
787,544 | 2.801%, 3/25/2036 | 763,913 | ||||||
|
| |||||||
Total | 94,344,369 | |||||||
|
| |||||||
| Commercial Mortgage-Backed Securities (5.2%) | |||||||
Bear Stearns Commercial Mortgage Securities, Inc. | ||||||||
1,671,612 | 5.331%, 2/11/2044 | 1,718,602 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
1,250,000 | 5.710%, 12/10/2049 | 1,291,708 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust | ||||||||
2,678,723 | 5.322%, 12/11/2049 | 2,723,815 | ||||||
Commercial Mortgage Pass-Through Certificates | ||||||||
5,000,000 | 1.326%, 6/8/2030c,d | 4,993,928 | ||||||
1,386,563 | 5.306%, 12/10/2046 | 1,411,265 | ||||||
Credit Suisse First Boston Mortgage Securities | ||||||||
4,460,000 | 5.542%, 1/15/2049 | 4,560,084 | ||||||
Credit Suisse Mortgage Capital Certificates | ||||||||
3,153,978 | 5.467%, 9/15/2039 | 3,187,304 | ||||||
Federal National Mortgage Association | ||||||||
1,855,813 | 1.272%, 1/25/2017 | 1,855,884 | ||||||
GS Mortgage Securities Trust | ||||||||
2,956,266 | 2.999%, 8/10/2044 | 2,971,085 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corporation | ||||||||
4,500,000 | 1.281%, 12/15/2028c,d | 4,499,806 | ||||||
6,193,844 | 5.429%, 12/12/2043 | 6,297,658 | ||||||
Morgan Stanley Capital, Inc. | ||||||||
2,500,000 | 5.406%, 3/15/2044 | 2,566,153 | ||||||
SCG Trust | ||||||||
3,150,000 | 1.731%, 11/15/2026c,d | 3,159,943 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (91.7%) | Value | ||||||
| Commercial Mortgage-Backed Securities (5.2%) - continued | |||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
$1,756,124 | 5.765%, 7/15/2045 | $ | 1,753,937 | |||||
|
| |||||||
Total | 42,991,172 | |||||||
|
| |||||||
| Communications Services (3.0%) | |||||||
America Movil SAB de CV | ||||||||
3,000,000 | 1.502%, 9/12/2016d | 2,999,961 | ||||||
American Tower Corporation | ||||||||
2,200,000 | 3.450%, 9/15/2021 | 2,210,784 | ||||||
AT&T, Inc. | ||||||||
1,735,000 | 1.533%, 6/30/2020d | 1,722,595 | ||||||
CCO Safari II, LLC | ||||||||
1,397,000 | 3.579%, 7/23/2020c | 1,388,631 | ||||||
1,397,000 | 4.464%, 7/23/2022c | 1,392,124 | ||||||
Crown Castle Towers, LLC | ||||||||
1,650,000 | 4.174%, 8/15/2017c | 1,687,179 | ||||||
DIRECTV Holdings, LLC | ||||||||
1,125,000 | 1.750%, 1/15/2018 | 1,120,526 | ||||||
Moody’s Corporation | ||||||||
1,250,000 | 2.750%, 7/15/2019 | 1,260,583 | ||||||
NBC Universal Enterprise, Inc. | ||||||||
2,250,000 | 1.662%, 4/15/2018c | 2,250,605 | ||||||
SES Global Americas Holdings GP | ||||||||
1,375,000 | 2.500%, 3/25/2019c | 1,356,015 | ||||||
Verizon Communications, Inc. | ||||||||
1,650,000 | 2.042%, 9/15/2016d | 1,660,103 | ||||||
1,000,000 | 0.877%, 6/9/2017d | 995,787 | ||||||
2,580,000 | 1.296%, 6/17/2019d | 2,562,505 | ||||||
1,825,000 | 3.000%, 11/1/2021 | 1,819,870 | ||||||
|
| |||||||
Total | 24,427,268 | |||||||
|
| |||||||
| Consumer Cyclical (1.0%) | |||||||
CVS Health Corporation | ||||||||
1,065,000 | 2.250%, 8/12/2019 | 1,063,599 | ||||||
Daimler Finance North America, LLC | ||||||||
2,500,000 | 1.044%, 8/3/2017c,d | 2,497,080 | ||||||
Home Depot, Inc. | ||||||||
825,000 | 0.882%, 9/15/2017d | 826,215 | ||||||
2,100,000 | 4.400%, 4/1/2021 | 2,312,562 | ||||||
Ralph Lauren Corporation | ||||||||
275,000 | 2.625%, 8/18/2020 | 277,619 | ||||||
Yale University | ||||||||
1,550,000 | 2.086%, 4/15/2019 | 1,563,142 | ||||||
|
| |||||||
Total | 8,540,217 | |||||||
|
| |||||||
| Consumer Non-Cyclical (6.4%) | |||||||
Actavis Funding SCS | ||||||||
2,435,000 | 1.757%, 3/12/2020d | 2,443,698 | ||||||
Altria Group, Inc. | ||||||||
500,000 | 2.850%, 8/9/2022 | 487,440 | ||||||
Amgen, Inc. | ||||||||
1,675,000 | 2.125%, 5/1/2020 | 1,652,158 | ||||||
BAT International Finance plc | ||||||||
2,335,000 | 1.022%, 6/15/2018c,d | 2,331,834 | ||||||
Bayer U.S. Finance, LLC | ||||||||
1,250,000 | 2.375%, 10/8/2019c | 1,250,785 | ||||||
Boston Scientific Corporation | ||||||||
2,045,000 | 6.000%, 1/15/2020 | 2,270,790 | ||||||
Bunge Limited Finance Corporation | ||||||||
1,135,000 | 3.500%, 11/24/2020 | 1,128,681 | ||||||
Cardinal Health, Inc. | ||||||||
1,275,000 | 1.950%, 6/15/2018 | 1,271,680 | ||||||
Celgene Corporation | ||||||||
1,270,000 | 3.550%, 8/15/2022 | 1,282,346 | ||||||
Church & Dwight Company, Inc. | ||||||||
1,440,000 | 2.450%, 12/15/2019 | 1,432,480 | ||||||
Edwards Lifesciences Corporation | ||||||||
1,500,000 | 2.875%, 10/15/2018 | 1,517,403 | ||||||
EMD Finance, LLC | ||||||||
2,470,000 | 0.876%, 3/17/2017c,d | 2,462,427 | ||||||
Forest Laboratories, Inc. | ||||||||
2,750,000 | 4.375%, 2/1/2019c | 2,880,834 | ||||||
Gilead Sciences, Inc. | ||||||||
1,300,000 | 2.550%, 9/1/2020 | 1,299,506 | ||||||
1,300,000 | 3.250%, 9/1/2022 | 1,309,008 | ||||||
Howard Hughes Medical Institute | ||||||||
1,500,000 | 3.500%, 9/1/2023 | 1,557,792 | ||||||
Imperial Tobacco Finance plc | ||||||||
1,750,000 | 3.750%, 7/21/2022c | 1,757,005 | ||||||
Japan Tobacco, Inc. | ||||||||
2,500,000 | 2.100%, 7/23/2018c | 2,498,025 | ||||||
JM Smucker Company | ||||||||
1,540,000 | 2.500%, 3/15/2020 | 1,529,031 | ||||||
Laboratory Corporation of America Holdings | ||||||||
1,705,000 | 2.625%, 2/1/2020 | 1,683,266 | ||||||
Mead Johnson Nutrition Company | ||||||||
1,150,000 | 3.000%, 11/15/2020 | 1,149,653 | ||||||
Merck & Company, Inc. | ||||||||
1,825,000 | 0.716%, 2/10/2020d | 1,813,795 | ||||||
Mondelez International, Inc. | ||||||||
1,858,000 | 0.849%, 2/1/2019d | 1,825,362 | ||||||
Mylan NV | ||||||||
1,580,000 | 3.750%, 12/15/2020c | 1,581,656 | ||||||
PepsiCo, Inc. | ||||||||
1,300,000 | 1.850%, 4/30/2020 | 1,285,090 | ||||||
Reynolds American, Inc. | ||||||||
1,020,000 | 3.250%, 6/12/2020 | 1,036,629 | ||||||
SABMiller Holdings, Inc. | ||||||||
2,500,000 | 2.450%, 1/15/2017c | 2,519,257 | ||||||
Unilever Capital Corporation | ||||||||
2,600,000 | 2.200%, 3/6/2019 | 2,638,691 | ||||||
3,650,000 | 2.100%, 7/30/2020g | 3,634,451 | ||||||
Zoetis, Inc. | ||||||||
1,175,000 | 3.450%, 11/13/2020 | 1,176,369 | ||||||
|
| |||||||
Total | 52,707,142 | |||||||
|
| |||||||
| Energy (2.7%) | |||||||
Cameron International Corporation | ||||||||
1,575,000 | 1.400%, 6/15/2017 | 1,552,663 | ||||||
Chevron Corporation | ||||||||
3,000,000 | 1.718%, 6/24/2018 | 2,984,676 | ||||||
CNPC General Capital, Ltd. | ||||||||
1,000,000 | 2.750%, 5/14/2019c | 998,390 | ||||||
DCP Midstream Operating, LP | ||||||||
1,650,000 | 2.700%, 4/1/2019 | 1,336,649 | ||||||
Enable Midstream Partners, LP | ||||||||
1,250,000 | 2.400%, 5/15/2019 | 1,110,593 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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LIMITED MATURITY BOND PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (91.7%) | Value | ||||||
| Energy (2.7%) - continued | |||||||
Enbridge, Inc. | ||||||||
$ | 1,700,000 | 0.866%, 6/2/2017d | $ | 1,665,019 | ||||
Exxon Mobil Corporation | ||||||||
1,785,000 | 0.822%, 3/6/2022d | 1,754,348 | ||||||
Marathon Petroleum Corporation | ||||||||
1,500,000 | 3.400%, 12/15/2020 | 1,473,126 | ||||||
Noble Holding International, Ltd. | ||||||||
1,650,000 | 4.000%, 3/16/2018 | 1,494,106 | ||||||
Petroleos Mexicanos | ||||||||
2,075,750 | 2.378%, 4/15/2025 | 2,072,302 | ||||||
Pioneer Natural Resources Company | ||||||||
1,114,000 | 3.450%, 1/15/2021 | 1,028,615 | ||||||
Schlumberger Holdings Corporation | ||||||||
1,500,000 | 3.000%, 12/21/2020c | 1,480,622 | ||||||
Shell International Finance BV | ||||||||
1,735,000 | 0.806%, 5/11/2020d | 1,709,587 | ||||||
Sunoco Logistics Partners Operations, LP | ||||||||
1,860,000 | 4.400%, 4/1/2021 | 1,802,472 | ||||||
|
| |||||||
Total | 22,463,168 | |||||||
|
| |||||||
| Financials (18.5%) | |||||||
ABN AMRO Bank NV | ||||||||
2,040,000 | 2.450%, 6/4/2020c | 2,022,480 | ||||||
Aflac, Inc. | ||||||||
2,100,000 | 2.400%, 3/16/2020 | 2,111,086 | ||||||
American Express Credit Corporation | ||||||||
2,580,000 | 1.083%, 3/18/2019d | 2,549,879 | ||||||
850,000 | 1.552%, 9/14/2020d | 857,254 | ||||||
American International Group, Inc. | ||||||||
1,430,000 | 2.300%, 7/16/2019 | 1,417,891 | ||||||
American Tower Trust I | ||||||||
1,650,000 | 1.551%, 3/15/2018* | 1,611,271 | ||||||
Ares Capital Corporation | ||||||||
1,400,000 | 3.875%, 1/15/2020g | 1,421,262 | ||||||
Aviation Capital Group Corporation | ||||||||
1,350,000 | 3.875%, 9/27/2016c | 1,360,125 | ||||||
Bank of America Corporation | ||||||||
1,800,000 | 1.700%, 8/25/2017 | 1,794,854 | ||||||
2,000,000 | 1.656%, 3/22/2018d | 2,006,416 | ||||||
2,200,000 | 1.196%, 4/1/2019d | 2,190,309 | ||||||
1,100,000 | 4.000%, 1/22/2025 | 1,076,821 | ||||||
1,100,000 | 6.100%, 12/29/2049h | 1,115,125 | ||||||
Bank of America NA | ||||||||
2,000,000 | 5.300%, 3/15/2017 | 2,080,550 | ||||||
Bank of New York Mellon Corporation | ||||||||
675,000 | 4.500%, 12/31/2049h | 617,625 | ||||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. | ||||||||
1,445,000 | 2.850%, 9/8/2021c | 1,439,269 | ||||||
BB&T Corporation | ||||||||
1,520,000 | 1.036%, 1/15/2020d | 1,506,876 | ||||||
Bear Stearns Companies, LLC | ||||||||
2,500,000 | 6.400%, 10/2/2017 | 2,692,317 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
2,155,000 | 0.989%, 1/29/2018c,d | 2,150,787 | ||||||
Citigroup, Inc. | ||||||||
1,840,000 | 1.088%, 4/8/2019d | 1,827,725 | ||||||
CNA Financial Corporation | ||||||||
3,000,000 | 5.875%, 8/15/2020 | 3,324,861 | ||||||
CoBank ACB | ||||||||
1,965,000 | 1.112%, 6/15/2022*,d | 1,859,694 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | ||||||||
800,000 | 4.625%, 12/1/2023 | 833,716 | ||||||
Credit Agricole SA | ||||||||
1,650,000 | 1.121%, 4/15/2019c,d | 1,640,597 | ||||||
1,800,000 | 1.457%, 6/10/2020c,d | 1,796,137 | ||||||
Credit Suisse Group AG | ||||||||
1,500,000 | 6.500%, 8/8/2023c | 1,616,250 | ||||||
990,000 | 7.500%, 12/11/2049c,h | 1,039,334 | ||||||
Discover Financial Services | ||||||||
2,750,000 | 2.600%, 11/13/2018 | 2,747,803 | ||||||
DRB Prime Student Loan Trust | ||||||||
2,628,269 | 2.322%, 10/27/2031*,d | 2,658,346 | ||||||
Fifth Third Bancorp | ||||||||
1,440,000 | 2.875%, 10/1/2021 | 1,434,201 | ||||||
Goldman Sachs Group, Inc. | ||||||||
1,915,000 | 1.462%, 11/15/2018d | 1,922,777 | ||||||
2,160,000 | 1.476%, 4/23/2020d | 2,163,199 | ||||||
1,375,000 | 2.012%, 11/29/2023d | 1,387,203 | ||||||
1,950,000 | 5.375%, 12/29/2049h | 1,937,813 | ||||||
HCP, Inc. | ||||||||
1,330,000 | 4.000%, 12/1/2022 | 1,323,851 | ||||||
HSBC Holdings plc | ||||||||
1,375,000 | 6.375%, 12/29/2049h | 1,373,281 | ||||||
HSBC USA, Inc. | ||||||||
1,905,000 | 0.893%, 6/23/2017d | 1,888,891 | ||||||
ING Bank NV | ||||||||
2,750,000 | 1.334%, 8/17/2020c,d | 2,758,841 | ||||||
ING Capital Funding Trust III | ||||||||
1,000,000 | 4.207%, 12/29/2049d,h | 997,500 | ||||||
ING Groep NV | ||||||||
1,650,000 | 6.000%, 12/31/2045g,h | 1,650,000 | ||||||
Intesa Sanpaolo SPA | ||||||||
1,500,000 | 5.017%, 6/26/2024c | 1,475,774 | ||||||
J.P. Morgan Chase & Company | ||||||||
4,000,000 | 1.220%, 1/25/2018d | 4,008,228 | ||||||
1,750,000 | 2.250%, 1/23/2020 | 1,721,617 | ||||||
1,750,000 | 3.875%, 9/10/2024 | 1,740,802 | ||||||
1,450,000 | 7.900%, 4/29/2049h | 1,476,100 | ||||||
Japan Bank for International Cooperation | ||||||||
4,000,000 | 1.750%, 7/31/2018 | 3,991,056 | ||||||
KeyBank NA | ||||||||
2,750,000 | 0.934%, 6/1/2018d | 2,743,406 | ||||||
Kilroy Realty, LP | ||||||||
750,000 | 3.800%, 1/15/2023 | 743,123 | ||||||
Lloyds Bank plc | ||||||||
2,475,000 | 1.038%, 3/16/2018d | 2,461,902 | ||||||
Lloyds Banking Group plc | ||||||||
350,000 | 4.582%, 12/10/2025c | 350,853 | ||||||
Metropolitan Life Global Funding I | ||||||||
3,250,000 | 3.650%, 6/14/2018c | 3,383,042 | ||||||
Mizuho Financial Group Cayman 3, Ltd. | ||||||||
825,000 | 4.600%, 3/27/2024c | 849,253 | ||||||
Morgan Stanley | ||||||||
2,155,000 | 1.463%, 1/27/2020d | 2,159,605 | ||||||
1,750,000 | 5.000%, 11/24/2025 | 1,857,709 | ||||||
1,000,000 | 5.450%, 12/29/2049h | 976,250 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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LIMITED MATURITY BOND PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (91.7%) | Value | ||||||
| Financials (18.5%) - continued | |||||||
$ | 1,100,000 | 5.550%, 12/29/2049h | $ | 1,100,000 | ||||
New York Life Global Funding | ||||||||
600,000 | 1.550%, 11/2/2018c | 595,113 | ||||||
Peachtree Corners Funding Trust | ||||||||
1,375,000 | 3.976%, 2/15/2025c | 1,365,071 | ||||||
Prudential Financial, Inc. | ||||||||
1,430,000 | 2.350%, 8/15/2019 | 1,423,233 | ||||||
Realty Income Corporation | ||||||||
1,500,000 | 2.000%, 1/31/2018 | 1,500,857 | ||||||
Reliance Standard Life Global Funding II | ||||||||
1,740,000 | 2.500%, 4/24/2019c | 1,733,160 | ||||||
Royal Bank of Scotland Group plc | ||||||||
2,205,000 | 1.543%, 3/31/2017d | 2,200,702 | ||||||
Simon Property Group, LP | ||||||||
1,635,000 | 2.500%, 9/1/2020 | 1,636,262 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
2,500,000 | 1.375%, 5/29/2018c | 2,472,205 | ||||||
SLM Corporation | ||||||||
700,000 | 4.625%, 9/25/2017 | 689,500 | ||||||
Stadshypotek AB | ||||||||
2,000,000 | 1.875%, 10/2/2019c | 1,972,044 | ||||||
Standard Chartered plc | ||||||||
1,225,000 | 3.950%, 1/11/2023c | 1,178,448 | ||||||
State Street Corporation | ||||||||
2,499,000 | 1.264%, 8/18/2020d | 2,499,260 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
2,555,000 | 0.897%, 1/16/2018d | 2,546,231 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
1,800,000 | 4.436%, 4/2/2024c | 1,849,246 | ||||||
Svensk Exportkredit AB | ||||||||
3,500,000 | 0.616%, 1/23/2017d | 3,503,861 | ||||||
Svenska Handelsbanken AB | ||||||||
750,000 | 1.016%, 6/17/2019d | 743,132 | ||||||
Swedbank AB | ||||||||
1,750,000 | 1.750%, 3/12/2018c | 1,740,044 | ||||||
Synchrony Financial | ||||||||
1,520,000 | 3.000%, 8/15/2019 | 1,517,890 | ||||||
1,440,000 | 1.564%, 2/3/2020d | 1,417,249 | ||||||
Toronto-Dominion Bank | ||||||||
1,500,000 | 1.432%, 12/14/2020d | 1,499,649 | ||||||
UBS AG | ||||||||
2,750,000 | 1.303%, 3/26/2018d | 2,744,910 | ||||||
USB Group Funding Jersey, Ltd. | ||||||||
2,250,000 | 2.034%, 9/24/2020c,d | 2,258,078 | ||||||
USB Realty Corporation | ||||||||
1,495,000 | 1.468%, 12/29/2049c,d,h | 1,345,500 | ||||||
Voya Financial, Inc. | ||||||||
1,500,000 | 2.900%, 2/15/2018 | 1,516,215 | ||||||
500,000 | 5.650%, 5/15/2053 | 492,500 | ||||||
Wells Fargo & Company | ||||||||
2,155,000 | 1.002%, 1/30/2020d | 2,134,926 | ||||||
925,000 | 3.450%, 2/13/2023 | 927,179 | ||||||
1,100,000 | 4.100%, 6/3/2026 | 1,110,333 | ||||||
1,100,000 | 5.875%, 12/31/2049h | 1,157,750 | ||||||
Westpac Banking Corporation | ||||||||
2,500,000 | 1.250%, 12/15/2017c | 2,478,123 | ||||||
XLIT, Ltd. | ||||||||
1,100,000 | 4.450%, 3/31/2025 | 1,077,178 | ||||||
|
| |||||||
Total | 152,568,786 | |||||||
|
| |||||||
| Foreign Government (0.9%) | |||||||
Bahama Government International Bond | ||||||||
275,000 | 5.750%, 1/16/2024c | 287,375 | ||||||
Costa Rica Government International Bond | ||||||||
1,650,000 | 4.250%, 1/26/2023c | 1,443,750 | ||||||
Export-Import Bank of Korea | ||||||||
2,130,000 | 2.250%, 1/21/2020 | 2,097,307 | ||||||
Kommunalbanken AS | ||||||||
3,500,000 | 1.500%, 10/22/2019c | 3,457,006 | ||||||
Mexico Government International Bond | ||||||||
325,000 | 3.500%, 1/21/2021 | 329,875 | ||||||
Poland Government International Bond | ||||||||
125,000 | 4.000%, 1/22/2024 | 131,500 | ||||||
|
| |||||||
Total | 7,746,813 | |||||||
|
| |||||||
| Mortgage-Backed Securities (3.6%) | |||||||
Federal Home Loan Mortgage Corporation Gold 15-Yr. Pass Through | ||||||||
3,000,000 | 3.000%, 1/1/2031i | 3,091,421 | ||||||
Federal Home Loan Mortgage Corporation Gold 30-Yr. Pass Through | ||||||||
559,913 | 6.500%, 9/1/2037 | 637,660 | ||||||
3,000,000 | 4.000%, 1/1/2046i | 3,169,160 | ||||||
Federal National Mortgage Association Conventional 15-Yr. Pass Through | ||||||||
2,932,780 | 2.250%, 6/25/2025 | 2,977,125 | ||||||
8,350,000 | 3.500%, 1/1/2030i | 8,744,345 | ||||||
Federal National Mortgage Association Conventional 30-Yr. Pass Through | ||||||||
770,093 | 5.559%, 9/1/2037d | 816,954 | ||||||
419,215 | 5.196%, 10/1/2037d | 429,115 | ||||||
3,541,297 | 2.069%, 1/1/2043d | 3,627,836 | ||||||
5,923,074 | 1.728%, 7/1/2043d | 6,022,372 | ||||||
|
| |||||||
Total | 29,515,988 | |||||||
|
| |||||||
| Technology (2.0%) | |||||||
Amphenol Corporation | ||||||||
1,409,000 | 2.550%, 1/30/2019 | 1,409,245 | ||||||
Apple, Inc. | ||||||||
3,050,000 | 0.637%, 5/6/2019d | 3,035,061 | ||||||
1,735,000 | 0.659%, 5/6/2020d | 1,721,922 | ||||||
Automatic Data Processing, Inc. | ||||||||
1,000,000 | 2.250%, 9/15/2020 | 1,003,787 | ||||||
Cisco Systems, Inc. | ||||||||
2,335,000 | 0.914%, 3/1/2019d | 2,332,906 | ||||||
Hewlett Packard Enterprise Company | ||||||||
2,800,000 | 2.249%, 10/5/2018c,d | 2,807,350 | ||||||
Intel Corporation | ||||||||
905,000 | 3.100%, 7/29/2022 | 922,840 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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LIMITED MATURITY BOND PORTFOLIO
Schedule of Investments as of December 31, 2015
Principal Amount | Long-Term Fixed Income (91.7%) | Value | ||||||
| Technology (2.0%) - continued | |||||||
Oracle Corporation | ||||||||
$ | 1,675,000 | 2.500%, 5/15/2022 | $ | 1,644,034 | ||||
Texas Instruments, Inc. | ||||||||
1,300,000 | 1.750%, 5/1/2020 | 1,266,330 | ||||||
|
| |||||||
Total | 16,143,475 | |||||||
|
| |||||||
| Transportation (1.7%) | |||||||
Air Canada Pass Through Trust | ||||||||
1,490,000 | 3.875%, 3/15/2023c | 1,445,300 | ||||||
American Airlines Pass Through Trust | ||||||||
1,353,480 | 5.600%, 7/15/2020c | 1,380,550 | ||||||
1,301,744 | 4.950%, 1/15/2023 | 1,373,340 | ||||||
1,054,984 | 3.700%, 5/1/2023 | 1,031,247 | ||||||
British Airways plc | ||||||||
1,403,788 | 4.625%, 6/20/2024c | 1,463,449 | ||||||
Continental Airlines, Inc. | ||||||||
2,850,098 | 4.150%, 4/11/2024 | 2,924,200 | ||||||
Delta Air Lines, Inc. | ||||||||
743,126 | 4.750%, 5/7/2020 | 783,998 | ||||||
J.B. Hunt Transport Services, Inc. | ||||||||
1,450,000 | 3.300%, 8/15/2022 | 1,436,013 | ||||||
TTX Company | ||||||||
800,000 | 4.125%, 10/1/2023* | 834,240 | ||||||
Virgin Australia Holdings, Ltd. | ||||||||
1,359,388 | 5.000%, 10/23/2023c | 1,403,568 | ||||||
|
| |||||||
Total | 14,075,905 | |||||||
|
| |||||||
| U.S. Government and Agencies (17.3%) | |||||||
Federal Home Loan Mortgage Corporation | ||||||||
500,000 | 1.250%, 8/1/2019 | 494,439 | ||||||
Federal National Mortgage Association | ||||||||
4,000,000 | 1.875%, 12/28/2020g | 3,997,832 | ||||||
NCUA Guaranteed Notes | ||||||||
2,817,970 | 2.900%, 10/29/2020 | 2,811,094 | ||||||
1,535,210 | 0.637%, 12/7/2020d | 1,531,157 | ||||||
U.S. Treasury Bonds | ||||||||
8,000,000 | 5.375%, 2/15/2031 | 10,848,440 | ||||||
2,200,000 | 3.000%, 5/15/2042 | 2,213,578 | ||||||
U.S. Treasury Bonds, TIPS | ||||||||
19,285,570 | 0.125%, 4/15/2019 | 19,172,325 | ||||||
U.S. Treasury Notes | ||||||||
12,350,000 | 1.500%, 10/31/2019 | 12,311,406 | ||||||
52,570,000 | 1.875%, 6/30/2020 | 52,937,570 | ||||||
10,150,000 | 2.125%, 6/30/2022 | 10,202,333 | ||||||
2,565,000 | 1.625%, 8/15/2022 | 2,498,369 | ||||||
8,300,000 | 3.625%, 2/15/2044 | 9,336,853 | ||||||
U.S. Treasury Notes, TIPS | ||||||||
8,012,655 | 0.125%, 1/15/2022 | 7,764,655 | ||||||
7,032,548 | 0.125%, 1/15/2023 | 6,742,730 | ||||||
|
| |||||||
Total | 142,862,781 | |||||||
|
| |||||||
| Utilities (2.6%) | |||||||
Ameren Corporation | ||||||||
1,175,000 | 2.700%, 11/15/2020 | 1,170,526 | ||||||
Berkshire Hathaway Energy Company | ||||||||
1,550,000 | 2.400%, 2/1/2020 | 1,535,542 | ||||||
DTE Energy Company | ||||||||
730,000 | 2.400%, 12/1/2019 | 726,902 | ||||||
Electricite de France SA | ||||||||
1,500,000 | 5.250%, 12/29/2049c,h | 1,410,000 | ||||||
Eversource Energy | ||||||||
1,560,000 | 1.600%, 1/15/2018 | 1,543,520 | ||||||
1,250,000 | 1.450%, 5/1/2018 | 1,229,607 | ||||||
Exelon Corporation | ||||||||
1,650,000 | 2.850%, 6/15/2020 | 1,640,979 | ||||||
Exelon Generation Company, LLC | ||||||||
1,385,000 | 2.950%, 1/15/2020 | 1,380,020 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
1,150,000 | 4.750%, 4/30/2043 | 1,134,360 | ||||||
Pacific Gas & Electric Company | ||||||||
250,000 | 5.625%, 11/30/2017 | 267,230 | ||||||
PG&E Corporation | ||||||||
1,500,000 | 2.400%, 3/1/2019 | 1,496,801 | ||||||
Public Service Electric And Gas Company | ||||||||
2,570,000 | 1.800%, 6/1/2019 | 2,543,539 | ||||||
Sempra Energy | ||||||||
2,425,000 | 2.300%, 4/1/2017 | 2,439,101 | ||||||
1,765,000 | 2.400%, 3/15/2020 | 1,729,859 | ||||||
Southern California Edison Company | ||||||||
1,040,000 | 2.400%, 2/1/2022 | 1,019,841 | ||||||
|
| |||||||
Total | 21,267,827 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $769,511,286) | 755,985,795 | |||||||
|
| |||||||
Shares | Preferred Stock (0.7%) | Value | ||||||
| Financials (0.6%) | |||||||
66,000 | Citigroup, Inc., 6.6919% | 1,715,340 | ||||||
8,125 | Farm Credit Bank of Texas, 6.750%c,h | 846,016 | ||||||
66,000 | HSBC Holdings plc, 8.000%h | 1,720,620 | ||||||
|
| |||||||
Total | 4,281,976 | |||||||
|
| |||||||
| Utilities (0.1%) | |||||||
36,000 | Southern California Edison Company Trust IV, 5.375%h | 977,760 | ||||||
|
| |||||||
Total | 977,760 | |||||||
|
| |||||||
Total Preferred Stock (cost $5,184,100) | 5,259,736 | |||||||
|
| |||||||
Shares | Collateral Held for Securities Loaned (1.3%) | Value | ||||||
11,023,000 | Thrivent Cash Management Trust | 11,023,000 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $11,023,000) | 11,023,000 | |||||||
|
| |||||||
Shares or Principal Amount | Short-Term Investments (5.7%)j | Value | ||||||
Federal Home Loan Mortgage Corporation Discount Notes | ||||||||
200,000 | 0.060%, 1/5/2016 | 199,999 | ||||||
1,100,000 | 0.100%, 1/8/2016k | 1,099,979 | ||||||
600,000 | 0.200%, 2/17/2016k | 599,843 |
The accompanying Notes to Financial Statements are an integral part of this schedule.
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LIMITED MATURITY BOND PORTFOLIO
Schedule of Investments as of December 31, 2015
Shares or Principal Amount | Short-Term Investments (5.7%)j | Value | ||||||
Thrivent Cash Management Trust | ||||||||
44,769,481 | 0.220% | $ | 44,769,481 | |||||
|
| |||||||
Total Short-Term Investments (at amortized cost) | 46,669,302 | |||||||
|
| |||||||
Total Investments (cost $863,043,695) 102.8% | $ | 846,763,887 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (2.8%) | (22,867,294 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 823,896,593 | ||||||
|
|
a | The stated interest rate represents the weighted average of all contracts within the bank loan facility. |
b | Defaulted security. Interest is not being accrued. |
c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities have been deemed liquid and may be resold to other dealers in the program or to other qualified institutional buyers. As of December 31, 2015, the value of these investments was $144,637,748 or 17.6% of total net assets. |
d | Denotes variable rate securities. Variable rate securities are securities whose yields vary with a designated market index or market rate. The rate shown is as of December 31, 2015. |
e | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of December 31, 2015. |
f | All or a portion of the security is insured or guaranteed. |
g | All or a portion of the security is on loan. |
h | Denotes perpetual securities. Perpetual securities pay an indefinite stream of interest, but may be called by the issuer at an earlier date. |
i | Denotes investments purchased on a when-issued or delayed delivery basis. |
j | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
k | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
* | Denotes restricted securities. Restricted securities are investment securities which have been deemed illiquid and cannot be offered for public sale without first being registered under the Securities Act of 1933. The value of all restricted securities held in Limited Maturity Bond Portfolio as of December 31, 2015 was $95,488,878 or 11.6% of total net assets. The following table indicates the acquisition date and cost of restricted securities shown in the schedule as of December 31, 2015. |
Security | Acquisition Date | Cost | ||||||
Alm Loan Funding CLO, 10/17/2026 | 7/31/2014 | $ | 3,758,120 | |||||
American Tower Trust I, 3/15/2018 | 3/6/2013 | 1,650,000 | ||||||
Apidos CLO XVIII, 7/22/2026 | 6/25/2014 | 3,765,563 | ||||||
Babson CLO, Ltd., 10/17/2026 | 8/15/2014 | 3,758,120 | ||||||
Bayview Opportunity Master Fund Trust, 7/28/2034 | 6/27/2014 | 2,699,803 | ||||||
Betony CLO, Ltd., 4/15/2027 | 2/25/2015 | 3,425,000 | ||||||
Birchwood Park CLO, Ltd., 7/15/2026 | 7/31/2014 | 3,760,000 | ||||||
BlueMountain CLO, Ltd., 10/15/2026 | 8/27/2014 | 3,756,203 |
Security | Acquisition Date | Cost | ||||||
Carlyle Global Market Strategies CLO, Ltd., 7/20/2023 | 7/3/2014 | $ | 3,750,000 | |||||
Carlyle Global Market Strategies CLO, Ltd., 10/15/2026 | 9/19/2014 | 3,750,000 | ||||||
Cent CLO 16, LP, 8/1/2024 | 9/5/2014 | 3,760,000 | ||||||
Cent CLO 22, Ltd., 11/7/2026 | 9/19/2014 | 3,750,000 | ||||||
CoBank ACB, 6/15/2022 | 10/18/2013 | 1,899,494 | ||||||
Commonbond Student Loan Trust, 6/25/2032 | 6/17/2015 | 1,353,608 | ||||||
DRB Prime Student Loan Trust, 10/27/2031 | 9/23/2015 | 2,628,270 | ||||||
Dryden 34 Senior Loan Fund CLO, 10/15/2026 | 7/21/2014 | 3,760,000 | ||||||
Edlinc Student Loan Funding Trust, 10/1/2025 | 11/29/2012 | 2,096,894 | ||||||
First Franklin Mortgage Loan Asset-Backed Certificates, 3/25/2036 | 4/19/2006 | 214,738 | ||||||
GoldenTree Loan Opportunities IX, Ltd., 10/29/2026 | 10/3/2014 | 3,746,250 | ||||||
Madison Park Funding XIV CLO, Ltd., 7/20/2026 | 7/3/2014 | 4,145,020 | ||||||
Mortgage Equity Conversion Asset Trust, 2/25/2042 | 2/14/2007 | 4,433,200 | ||||||
Mortgage Equity Conversion Asset Trust, 1/25/2042 | 1/18/2007 | 4,381,572 | ||||||
Neuberger Berman CLO, Ltd., 8/4/2025 | 6/19/2014 | 3,000,000 | ||||||
NextGear Floorplan Master Owner Trust, 10/15/2019 | 11/3/2014 | 2,999,466 | ||||||
Octagon Investment Partners XX CLO, Ltd., 8/12/2026 | 7/10/2014 | 3,760,000 | ||||||
OZLM VIII, Ltd., 10/17/2026 | 8/7/2014 | 3,738,568 | ||||||
Race Point IX CLO, Ltd., 4/15/2027 | 2/13/2015 | 1,500,000 | ||||||
Selene Non-Performing Loans, LLC, 5/25/2054 | 5/23/2014 | 1,341,484 | ||||||
Symphony CLO VIII, Ltd., 1/9/2023 | 9/15/2014 | 3,678,677 | ||||||
TTX Company, 10/1/2023 | 9/19/2013 | 799,992 | ||||||
U.S. Residential Opportunity Fund III Trust, 1/27/2035 | 2/6/2015 | 2,164,688 | ||||||
Voya CLO 3, Ltd., 7/25/2026 | 7/10/2014 | 3,754,360 | ||||||
Wachovia Asset Securitization, Inc., 7/25/2037 | 3/16/2007 | 865,897 |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Limited Maturity Bond Portfolio as of December 31, 2015:
Securities Lending Transactions
Taxable Debt Security | $ | 10,703,545 | ||
|
| |||
Total lending | $ | 10,703,545 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 11,023,000 | ||
|
| |||
Net amounts due to counterparty | $ | 319,455 | ||
|
|
Definitions:
CLO | - | Collateralized Loan Obligation | ||
TIPS | - | Treasury Inflation Protected Security. |
The accompanying Notes to Financial Statements are an integral part of this schedule.
191
Table of Contents
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
Item 8. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 9. | Submission of Matters to a Vote of Security Holders |
There have been no material changes to the procedures by which shareholders may recommend nominees to registrant’s board of directors.
Item 10. | Controls and Procedures |
(a)(i) Registrant’s President and Treasurer have concluded that registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) Registrant’s President and Treasurer are aware of no change in registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, registrant’s internal control over financial reporting.
Item 11. | Exhibits |
(a) | The code of ethics pursuant to Item 2 is attached hereto. |
(b) | Certifications pursuant to Rules 30a-2(a) and 30a-2(b) under the Investment Company Act of 1940 are attached hereto. |
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Date: February 26, 2016 | THRIVENT SERIES FUND, INC. | |||
By: | /s/ David S. Royal | |||
David S. Royal | ||||
President |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Date: February 26, 2016 | By: | /s/ David S. Royal | ||
David S. Royal | ||||
President | ||||
Date: February 26, 2016 | By: | /s/ Gerard V. Vaillancourt | ||
Gerard V. Vaillancourt | ||||
Treasurer | ||||