UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: | 811-08915 | |
Exact name of registrant as specified in charter: | Target Asset Allocation Funds | |
Address of principal executive offices: | Gateway Center 3, | |
100 Mulberry Street, | ||
Newark, New Jersey 07102 | ||
Name and address of agent for service: | Deborah A. Docs | |
Gateway Center 3, | ||
100 Mulberry Street, | ||
Newark, New Jersey 07102 | ||
Registrants telephone number, including area code: |
800-225-1852 | |
Date of fiscal year end: |
7/31/2011 | |
Date of reporting period: |
4/30/2011 |
Item 1. Schedule of Investments
Target Conservative Allocation Fund
Schedule of Investments
as of April 30, 2011 (Unaudited)
Shares |
Description |
Value | ||
LONG-TERM INVESTMENTS 91.5% | ||||
COMMON STOCKS 41.0% | ||||
Aerospace & Defense 1.2% | ||||
171 | AAR Corp. |
$ 4,453 | ||
1,706 | Boeing Co. (The) |
136,105 | ||
1,600 | Embraer SA, ADR (Brazil) |
51,968 | ||
4,855 | General Dynamics Corp. |
353,541 | ||
820 | Goodrich Corp. |
72,463 | ||
1,144 | Hexcel Corp.(a) |
24,630 | ||
3,800 | Lockheed Martin Corp. |
301,150 | ||
129 | Moog, Inc. (Class A Stock)(a) |
5,691 | ||
3,900 | Northrop Grumman Corp. |
248,079 | ||
91 | Teledyne Technologies, Inc.(a) |
4,595 | ||
251 | Triumph Group, Inc. |
21,616 | ||
3,967 | United Technologies Corp. |
355,364 | ||
1,579,655 | ||||
Air Freight & Logistics 0.1% | ||||
402 | Atlas Air Worldwide Holdings, Inc.(a) |
27,702 | ||
1,040 | FedEx Corp. |
99,497 | ||
127,199 | ||||
Airlines | ||||
2,531 | JetBlue Airways Corp.(a) |
14,325 | ||
Auto Components 0.1% | ||||
2,760 | Johnson Controls, Inc. |
113,188 | ||
Auto Parts & Equipment 0.1% | ||||
440 | BorgWarner, Inc.(a) |
33,986 | ||
1,198 | Meritor, Inc.(a) |
20,617 | ||
875 | Tenneco, Inc.(a) |
40,434 | ||
563 | WABCO Holdings, Inc.(a) |
41,577 | ||
136,614 | ||||
Automobile Manufacturers | ||||
920 | General Motors Co.(a) |
29,523 | ||
Automobiles | ||||
1,600 | Harley-Davidson, Inc. |
59,616 | ||
Automotive Parts | ||||
1,828 | American Axle & Manufacturing Holdings, Inc.(a) |
23,398 | ||
Beverages 0.4% | ||||
1,580 | Coca-Cola Co. (The) |
106,587 | ||
2,619 | Diageo PLC (United Kingdom) |
53,283 | ||
1,144 | Green Mountain Coffee Roasters, Inc.(a) |
76,602 | ||
2,100 | Molson Coors Brewing Co. (Class B Stock) |
102,375 | ||
2,066 | PepsiCo, Inc. |
142,327 | ||
259 | Pernod-Ricard SA (France) |
26,032 | ||
507,206 | ||||
Biotechnology 0.1% | ||||
2,612 | Amgen, Inc.(a) |
148,492 | ||
527 | Seattle Genetics, Inc.(a) |
8,754 | ||
157,246 | ||||
Building Products | ||||
500 | A.O. Smith Corp. |
21,985 | ||
525 | Lennox International, Inc. |
25,520 | ||
250 | NCI Building Systems, Inc.(a) |
3,095 | ||
50,600 | ||||
Business Services 0.1% | ||||
636 | ICON PLC, ADR (Ireland)(a) |
15,620 | ||
410 | MasterCard, Inc. (Class A Stock) |
113,115 | ||
128,735 | ||||
Capital Markets 0.8% | ||||
3,125 | Apollo Investment Corp. |
37,031 | ||
3,150 | Ares Capital Corp. |
55,786 | ||
1,650 | Fifth Street Finance Corp. |
21,995 | ||
4,775 | Goldman Sachs Group, Inc. (The) |
721,073 | ||
475 | KBW, Inc. |
10,792 | ||
1,900 | Morgan Stanley |
49,685 | ||
1,200 | State Street Corp. |
55,860 | ||
925 | Waddell & Reed Financial, Inc. (Class A Stock) |
37,934 | ||
990,156 | ||||
Chemicals 1.8% | ||||
857 | Air Products & Chemicals, Inc. |
81,861 | ||
640 | Airgas, Inc. |
44,448 | ||
1,029 | BASF SE, ADR (Germany)(a) |
105,946 | ||
3,550 | Celanese Corp. (Class A Stock) |
177,216 | ||
14,085 | Dow Chemical Co. (The) |
577,344 | ||
1,690 | Huntsman Corp. |
35,236 | ||
440 | Intrepid Potash, Inc.(a) |
15,074 | ||
5,291 | PPG Industries, Inc. |
500,899 | ||
6,415 | Praxair, Inc. |
682,684 | ||
1,099 | Scotts Miracle-Gro Co. (The) (Class A Stock) |
62,061 | ||
1,050 | Sensient Technologies Corp. |
39,784 | ||
550 | Solutia, Inc.(a) |
14,493 | ||
189 | Valspar Corp. (The) |
7,430 | ||
2,344,476 | ||||
Commercial Banks 1.4% | ||||
2,125 | Associated Banc-Corp. |
31,025 | ||
6,875 | Fifth Third Bancorp |
91,231 | ||
2,255 | FirstMerit Corp. |
39,395 | ||
1,795 | HSBC Holdings PLC, ADR (United Kingdom) |
97,774 | ||
10,560 | PNC Financial Services Group, Inc. |
658,310 | ||
925 | Prosperity Bancshares, Inc. |
42,411 | ||
7,600 | Regions Financial Corp. |
55,784 | ||
3,739 | SunTrust Banks, Inc. |
105,403 | ||
175 | Trustmark Corp. |
4,067 | ||
200 | UMB Financial Corp. |
8,422 | ||
158 | United Bankshares, Inc. |
4,133 | ||
22,997 | Wells Fargo & Co. |
669,443 | ||
1,807,398 | ||||
Commercial Services 0.3% | ||||
355 | Acacia Research - Acacia Technologies(a) |
14,594 | ||
375 | Consolidated Graphics, Inc.(a) |
21,056 | ||
1,575 | Corrections Corp. of America(a) |
39,202 | ||
1,225 | GEO Group, Inc. (The)(a) |
32,683 | ||
875 | KAR Auction Services, Inc.(a) |
17,063 | ||
675 | McGrath RentCorp |
19,163 | ||
1,490 | Moodys Corp. |
58,319 | ||
415 | PAREXEL International Corp.(a) |
11,520 | ||
237 | Pharmaceutical Product Development, Inc. |
7,312 | ||
587 | Sothebys |
29,655 | ||
754 | SuccessFactors, Inc.(a) |
26,141 | ||
880 | Verisk Analytics, Inc. (Class A Stock)(a) |
28,952 | ||
452 | Visa, Inc. (Class A Stock) |
35,310 | ||
1,805 | Waste Connections, Inc. |
55,540 | ||
396,510 | ||||
Computer Hardware 1.1% | ||||
4,192 | Apple, Inc.(a) |
1,459,780 | ||
1,023 | Radiant Systems, Inc.(a) |
20,378 | ||
1,480,158 | ||||
Computer Services & Software 1.1% | ||||
5,593 | Accenture PLC (Class A Stock) (Ireland) |
319,528 | ||
904 | Allscripts Healthcare Solutions, Inc.(a) |
19,472 | ||
2,000 | Autodesk, Inc.(a) |
89,960 | ||
11,080 | EMC Corp.(a) |
314,007 | ||
509 | Fortinet, Inc.(a) |
24,788 | ||
164 | Global Payments, Inc. |
8,731 | ||
490 | Google, Inc. (Class A Stock)(a) |
266,609 | ||
669 | Informatica Corp.(a) |
37,471 | ||
1,180 | MSCI, Inc. (Class A Stock)(a) |
41,855 | ||
2,440 | Nuance Communications, Inc.(a) |
50,508 | ||
525 | Riverbed Technology, Inc.(a) |
18,449 | ||
1,403 | salesforce.com, Inc.(a) |
194,456 | ||
920 | VeriFone Systems, Inc.(a) |
50,434 | ||
1,436,268 | ||||
Computers & Peripherals 0.3% | ||||
1,260 | Cognizant Technology Solutions Corp. (Class A Stock)(a) |
104,454 | ||
6,700 | Hewlett-Packard Co. |
270,479 | ||
1,675 | QLogic Corp.(a) |
30,116 | ||
405,049 | ||||
Construction | ||||
103 | Meritage Homes Corp.(a) |
2,463 | ||
650 | MYR Group, Inc.(a) |
16,204 | ||
521 | Texas Industries, Inc. |
21,971 | ||
130 | URS Corp.(a) |
5,817 | ||
46,455 | ||||
Consumer Finance 0.1% | ||||
1,700 | Capital One Financial Corp. |
93,041 | ||
725 | First Cash Financial Services, Inc.(a) |
28,449 | ||
121,490 | ||||
Consumer Products & Services 0.2% | ||||
660 | Avon Products, Inc. |
19,391 | ||
2,073 | Lauder, (Estee) Cos., Inc. (The) (Class A Stock) |
201,081 | ||
103 | Snap-on, Inc. |
6,362 | ||
1,019 | Vitamin Shoppe, Inc.(a) |
39,761 | ||
266,595 | ||||
Containers & Packaging 0.1% | ||||
1,675 | Packaging Corp. of America |
47,788 | ||
1,400 | Silgan Holdings, Inc. |
64,204 | ||
111,992 | ||||
Cosmetics/Personal Care | ||||
570 | Colgate-Palmolive Co. |
48,080 | ||
Distribution/Wholesale 0.1% | ||||
22,000 | Li & Fung Ltd. (Bermuda) |
112,461 | ||
Diversified Financial Services 2.0% | ||||
1,370 | Affiliated Managers Group, Inc.(a) |
149,440 | ||
4,418 | American Express Co. |
216,836 | ||
1,474 | Ameriprise Financial, Inc. |
91,476 | ||
37,932 | Bank of America Corp. |
465,805 | ||
320 | BlackRock, Inc. |
62,701 | ||
2,070 | Charles Schwab Corp. (The) |
37,902 | ||
155,070 | Citigroup, Inc.(a) |
711,771 | ||
653 | Janus Capital Group, Inc. |
7,947 | ||
17,908 | JPMorgan Chase & Co. |
817,142 | ||
510 | optionsXpress Holdings, Inc. |
9,404 | ||
2,570,424 | ||||
Diversified Operations | ||||
231 | LVMH Moet Hennessy Louis Vuitton SA (France) |
41,485 | ||
Diversified Telecommunication Services 0.6% | ||||
10,211 | AT&T, Inc. |
317,766 | ||
2,600 | CenturyLink, Inc. |
106,028 | ||
8,300 | Verizon Communications, Inc. |
313,574 | ||
737,368 | ||||
Electric Utilities 0.7% | ||||
6,531 | American Electric Power Co., Inc. |
238,251 | ||
825 | Cleco Corp. |
28,958 | ||
7,600 | Edison International |
298,452 | ||
950 | El Paso Electric Co.(a) |
29,431 | ||
5,800 | Exelon Corp. |
244,470 | ||
4,608 | PPL Corp. |
126,397 | ||
965,959 | ||||
Electronic Components 0.5% | ||||
7,261 | Agilent Technologies, Inc.(a) |
362,396 | ||
233 | Checkpoint Systems, Inc.(a) |
4,907 | ||
475 | Coherent, Inc.(a) |
29,692 | ||
658 | DTS, Inc.(a) |
28,991 | ||
317 | FLIR Systems, Inc. |
11,165 | ||
2,541 | GrafTech International Ltd.(a) |
58,951 | ||
2,975 | TE Connectivity Ltd. (Switzerland) |
106,654 | ||
222 | Universal Display Corp.(a) |
12,197 | ||
782 | Universal Electronics, Inc.(a) |
21,654 | ||
636,607 | ||||
Electronic Equipment & Instruments | ||||
925 | EnerSys(a) |
35,048 | ||
89 | Itron, Inc.(a) |
4,845 | ||
39,893 | ||||
Electronics 0.1% | ||||
652 | Gentex Corp. |
20,440 | ||
350 | Tech Data Corp.(a) |
18,596 | ||
500 | Thomas & Betts Corp.(a) |
28,985 | ||
68,021 | ||||
Energy - Alternate Sources | ||||
210 | First Solar, Inc.(a) |
29,310 | ||
Energy Equipment & Services 0.7% | ||||
2,390 | Cameron International Corp.(a) |
126,001 | ||
1,500 | Diamond Offshore Drilling, Inc. |
113,805 | ||
9,646 | Halliburton Co. |
486,930 | ||
820 | National Oilwell Varco, Inc. |
62,886 | ||
600 | Oil States International, Inc.(a) |
49,806 | ||
725 | Unit Corp.(a) |
45,689 | ||
885,117 | ||||
Engineering/Construction 0.1% | ||||
2,240 | Fluor Corp. |
156,666 | ||
675 | MasTec, Inc.(a) |
15,309 | ||
171,975 | ||||
Entertainment & Leisure 0.2% | ||||
667 | Bally Technologies, Inc.(a) |
26,007 | ||
4,197 | Carnival Corp. (Panama) |
159,780 | ||
167 | Life Time Fitness, Inc.(a) |
6,533 | ||
940 | Pinnacle Entertainment, Inc.(a) |
13,047 | ||
2,211 | Shuffle Master, Inc.(a) |
24,166 | ||
229,533 | ||||
Environmental Control 0.1% | ||||
490 | Stericycle, Inc.(a) |
44,727 | ||
1,627 | Waste Management, Inc. |
64,202 | ||
108,929 | ||||
Farming & Agriculture 0.5% | ||||
440 | Bunge Ltd. (Bermuda) |
33,194 | ||
8,113 | Monsanto Co. |
552,008 | ||
585,202 | ||||
Financial - Bank & Trust 0.1% | ||||
355 | Astoria Financial Corp. |
5,137 | ||
400 | Bank of Hawaii Corp. |
19,516 | ||
10,306 | KeyCorp |
89,353 | ||
114,006 | ||||
Financial Services 0.3% | ||||
197 | Eaton Vance Corp. |
6,653 | ||
237 | Jefferies Group, Inc. |
5,728 | ||
252 | Raymond James Financial, Inc. |
9,450 | ||
16,556 | U.S. Bancorp |
427,476 | ||
449,307 | ||||
Food & Staples Retailing 0.8% | ||||
12,026 | CVS Caremark Corp. |
435,822 | ||
7,200 | Safeway, Inc. |
175,032 | ||
7,245 | Wal-Mart Stores, Inc. |
398,330 | ||
380 | Whole Foods Market, Inc. |
23,849 | ||
1,033,033 | ||||
Food Products 0.1% | ||||
2,600 | ConAgra Foods, Inc. |
63,570 | ||
Foods 0.3% | ||||
917 | Fresh Market, Inc. (The)(a) |
38,349 | ||
4,264 | Kraft Foods, Inc. (Class A Stock) |
143,185 | ||
2,575 | Nestle SA (Switzerland) |
159,858 | ||
3,086 | Unilever NV (Netherlands) |
101,838 | ||
443,230 | ||||
Hand/Machine Tools | ||||
780 | Stanley Black & Decker, Inc. |
56,667 | ||
Healthcare Equipment & Supplies 0.2% | ||||
106 | Cantel Medical Corp. |
2,748 | ||
107 | MEDNAX, Inc.(a) |
7,588 | ||
2,560 | Medtronic, Inc. |
106,880 | ||
437 | Sirona Dental Systems, Inc.(a) |
24,940 | ||
675 | Teleflex, Inc. |
42,532 | ||
823 | Thoratec Corp.(a) |
25,266 | ||
209,954 | ||||
Healthcare Products 0.3% | ||||
567 | Arthrocare Corp.(a) |
20,032 | ||
1,037 | Bruker Corp.(a) |
20,470 | ||
452 | Cepheid, Inc.(a) |
14,604 | ||
3,939 | Covidien PLC (Ireland) |
219,363 | ||
731 | Delcath Systems, Inc.(a) |
5,168 | ||
440 | Gen-Probe, Inc.(a) |
36,485 | ||
220 | IDEXX Laboratories, Inc.(a) |
17,915 | ||
575 | West Pharmaceutical Services, Inc. |
27,163 | ||
361,200 | ||||
Healthcare Providers & Services 0.1% | ||||
697 | Centene Corp.(a) |
25,252 | ||
1,300 | CIGNA Corp. |
60,879 | ||
86,131 | ||||
Healthcare Services 0.3% | ||||
128 | Amedisys, Inc.(a) |
4,265 | ||
166 | AMERIGROUP Corp.(a) |
11,338 | ||
97 | Covance, Inc.(a) |
6,072 | ||
195 | Healthways, Inc.(a) |
3,299 | ||
4,097 | UnitedHealth Group, Inc. |
201,695 | ||
1,906 | WellPoint, Inc. |
146,362 | ||
373,031 | ||||
Hotels & Motels 0.2% | ||||
2,146 | Wynn Resorts Ltd. |
315,784 | ||
Hotels, Restaurants & Leisure 0.5% | ||||
588 | BJs Restaurants, Inc.(a) |
27,607 | ||
250 | Buffalo Wild Wings, Inc.(a) |
15,275 | ||
490 | Las Vegas Sands Corp.(a) |
23,035 | ||
7,040 | McDonalds Corp. |
551,302 | ||
1,002 | Orient-Express Hotels Ltd. (Class A Stock) (Bermuda)(a) |
12,294 | ||
629,513 | ||||
Household Products 0.1% | ||||
1,500 | Kimberly-Clark Corp. |
99,090 | ||
Industrial Conglomerates 0.1% | ||||
290 | 3M Co. |
28,191 | ||
1,175 | Tyco International Ltd. (Switzerland) |
57,269 | ||
85,460 | ||||
Insurance 1.4% | ||||
910 | ACE Ltd. (Switzerland) |
61,197 | ||
3,206 | Aflac, Inc. |
180,145 | ||
10,000 | Allstate Corp. (The) |
338,400 | ||
5,400 | CNO Financial Group, Inc.(a) |
43,524 | ||
170 | Delphi Financial Group, Inc. (Class A Stock) |
5,431 | ||
6,700 | Genworth Financial, Inc. (Class A Stock)(a) |
81,673 | ||
50 | Hanover Insurance Group, Inc. (The) |
2,111 | ||
1,487 | HCC Insurance Holdings, Inc. |
48,387 | ||
4,911 | Lincoln National Corp. |
153,371 | ||
1,300 | Loews Corp. |
57,538 | ||
1,900 | Marsh & McLennan Cos., Inc. |
57,532 | ||
9,340 | MetLife, Inc. |
437,019 | ||
249 | Protective Life Corp. |
6,701 | ||
136 | Reinsurance Group of America, Inc. |
8,609 | ||
137 | State Auto Financial Corp. |
2,326 | ||
1,375 | Tower Group, Inc. |
31,446 | ||
1,900 | Travelers Cos., Inc. (The) |
120,232 | ||
127 | United Fire & Casualty Co. |
2,515 | ||
1,100 | Unum Group |
29,128 | ||
7,683 | XL Group PLC (Ireland) |
187,619 | ||
1,854,904 | ||||
Internet & Catalog Retail 1.0% | ||||
3,158 | Amazon.com, Inc.(a) |
620,547 | ||
1,123 | priceline.com, Inc.(a) |
614,292 | ||
1,234,839 | ||||
Internet Services 0.2% | ||||
165 | Digital River, Inc.(a) |
5,369 | ||
1,191 | F5 Networks, Inc.(a) |
120,720 | ||
409 | Monster Worldwide, Inc.(a) |
6,712 | ||
1,682 | Sapient Corp.(a) |
21,235 | ||
1,364 | TIBCO Software, Inc.(a) |
40,906 | ||
1,025 | Youku.com, Inc., ADR (Cayman Islands)(a) |
60,598 | ||
255,540 | ||||
Internet Software & Services 1.5% | ||||
4,305 | Baidu, Inc., ADR (Cayman Islands)(a) |
639,379 | ||
34,342 | Oracle Corp. |
1,238,029 | ||
870 | VeriSign, Inc. |
32,155 | ||
1,909,563 | ||||
Investment Company 0.2% | ||||
240,000 | Hutchison Port Holdings Trust (Singapore)(a) |
220,800 | ||
IT Services 0.5% | ||||
725 | CACI International, Inc. (Class A Stock)(a) |
44,305 | ||
3,279 | International Business Machines Corp. |
559,332 | ||
603,637 | ||||
Life Sciences Tools & Services 0.2% | ||||
4,131 | Thermo Fisher Scientific, Inc.(a) |
247,819 | ||
Machinery 0.7% | ||||
1,700 | Actuant Corp. (Class A Stock) |
47,192 | ||
182 | Bucyrus International, Inc. |
16,644 | ||
1,811 | Cummins, Inc. |
217,646 | ||
275 | Lincoln Electric Holdings, Inc. |
21,609 | ||
2,150 | Mueller Water Products, Inc. (Class A Stock) |
9,460 | ||
1,400 | PACCAR, Inc. |
74,354 | ||
600 | Parker Hannifin Corp. |
56,592 | ||
335 | Regal-Beloit Corp. |
25,390 | ||
4,251 | Rockwell Automation, Inc. |
370,390 | ||
500 | Valmont Industries, Inc. |
52,650 | ||
891,927 | ||||
Manufacturing 1.1% | ||||
10,378 | Danaher Corp. |
573,281 | ||
6,297 | Eaton Corp. |
337,079 | ||
18,685 | General Electric Co. |
382,108 | ||
144 | Harsco Corp. |
5,126 | ||
2,280 | Honeywell International, Inc. |
139,604 | ||
1,437,198 | ||||
Media 1.2% | ||||
2,500 | CBS Corp. (Class B Stock) |
63,050 | ||
3,785 | Comcast Corp. (Class A Stock) |
99,318 | ||
7,390 | Comcast Corp. (Special Class A Stock) |
181,425 | ||
1,740 | DIRECTV (Class A Stock)(a) |
84,547 | ||
450 | Discovery Communications, Inc. (Class A Stock)(a) |
19,917 | ||
2,291 | Time Warner Cable, Inc. |
178,996 | ||
14,194 | Time Warner, Inc. |
537,385 | ||
2,590 | Viacom, Inc. (Class B Stock) |
132,504 | ||
6,130 | Walt Disney Co. (The) |
264,203 | ||
700 | Wiley, (John) & Sons, Inc. (Class A Stock) |
35,651 | ||
1,596,996 | ||||
Medical Supplies & Equipment | ||||
334 | Quality Systems, Inc. |
29,967 | ||
613 | Vital Images, Inc.(a) |
11,426 | ||
41,393 | ||||
Metals & Mining 1.2% | ||||
1,715 | Alpha Natural Resources, Inc.(a) |
99,762 | ||
1,988 | BHP Billiton Ltd., ADR (Australia) |
201,265 | ||
437 | Cloud Peak Energy, Inc.(a) |
9,098 | ||
10,610 | Freeport-McMoRan Copper & Gold, Inc. |
583,868 | ||
200 | Joy Global, Inc. |
20,190 | ||
565 | Northwest Pipe Co.(a) |
13,594 | ||
2,972 | Precision Castparts Corp. |
459,233 | ||
800 | RTI International Metals, Inc.(a) |
25,552 | ||
1,340 | Teck Resources Ltd. (Class B Stock) (Canada) |
72,695 | ||
1,725 | Thompson Creek Metals Co., Inc. (Canada)(a) |
21,269 | ||
191 | Timken Co. |
10,771 | ||
960 | Titanium Metals Corp.(a) |
19,229 | ||
160 | United States Steel Corp. |
7,634 | ||
1,544,160 | ||||
Miscellaneous Manufacturers 0.1% | ||||
3,107 | Illinois Tool Works, Inc. |
181,480 | ||
Multi-Line Retail 0.1% | ||||
4,400 | JC Penney Co., Inc. |
169,180 | ||
Multi-Utilities 0.4% | ||||
1,400 | Dominion Resources, Inc. |
64,988 | ||
1,075 | NorthWestern Corp. |
34,991 | ||
8,426 | Public Service Enterprise Group, Inc. |
271,065 | ||
2,331 | Sempra Energy |
128,438 | ||
499,482 | ||||
Office Electronics 0.1% | ||||
9,300 | Xerox Corp. |
93,837 | ||
Oil, Gas & Consumable Fuels 4.0% | ||||
3,772 | Anadarko Petroleum Corp. |
297,762 | ||
4,162 | Apache Corp. |
555,086 | ||
1,100 | Brigham Exploration Co.(a) |
36,883 | ||
227 | Cabot Oil & Gas Corp. |
12,776 | ||
3,500 | Chesapeake Energy Corp. |
117,845 | ||
2,400 | Chevron Corp. |
262,656 | ||
9,667 | ConocoPhillips |
763,016 | ||
1,701 | Continental Resources, Inc.(a) |
116,825 | ||
102 | Core Laboratories NV (Netherlands) |
9,790 | ||
3,173 | EOG Resources, Inc. |
358,264 | ||
3,168 | Exxon Mobil Corp. |
278,784 | ||
330 | FMC Technologies, Inc.(a) |
15,338 | ||
2,913 | Hess Corp. |
250,402 | ||
907 | Lufkin Industries, Inc. |
83,743 | ||
2,400 | Marathon Oil Corp. |
129,696 | ||
1,160 | Noble Energy, Inc. |
111,673 | ||
1,484 | Oasis Petroleum, Inc.(a) |
45,603 | ||
6,107 | Occidental Petroleum Corp. |
697,969 | ||
114 | ONEOK, Inc. |
7,973 | ||
4,416 | Peabody Energy Corp. |
295,077 | ||
1,175 | Resolute Energy Corp.(a) |
20,786 | ||
3,500 | Royal Dutch Shell PLC (Class B Stock), ADR (United Kingdom) |
274,260 | ||
2,030 | Schlumberger Ltd. (Netherlands) |
182,193 | ||
132 | South Jersey Industries, Inc. |
7,583 | ||
1,170 | Southwestern Energy Co.(a) |
51,316 | ||
169 | Swift Energy Co.(a) |
6,623 | ||
1,500 | Total SA, ADR (France) |
96,345 | ||
2,000 | Valero Energy Corp. |
56,600 | ||
166 | WGL Holdings, Inc. |
6,560 | ||
5,149,427 | ||||
Paper & Forest Products | ||||
1,825 | Louisiana-Pacific Corp.(a) |
16,973 | ||
Pharmaceuticals 2.2% | ||||
5,576 | Abbott Laboratories |
290,175 | ||
640 | Allergan, Inc. |
50,918 | ||
246 | American Medical Systems Holdings, Inc.(a) |
7,257 | ||
2,280 | AmerisourceBergen Corp. |
92,659 | ||
715 | BioMarin Pharmaceutical, Inc.(a) |
19,226 | ||
392 | Catalyst Health Solutions, Inc.(a) |
23,348 | ||
7,300 | Eli Lilly & Co. |
270,173 | ||
185 | Herbalife Ltd. (Cayman Islands) |
16,609 | ||
8,068 | Johnson & Johnson |
530,229 | ||
2,858 | Mead Johnson Nutrition Co. |
191,143 | ||
1,080 | Medco Health Solutions, Inc.(a) |
64,077 | ||
11,823 | Merck & Co., Inc. |
425,037 | ||
2,200 | Novartis AG, ADR (Switzerland) |
130,174 | ||
28,228 | Pfizer, Inc. |
591,659 | ||
227 | Regeneron Pharmaceuticals, Inc.(a) |
11,602 | ||
448 | Salix Pharmaceuticals Ltd.(a) |
17,602 | ||
1,490 | Teva Pharmaceutical Industries Ltd., ADR (Israel) |
68,138 | ||
2,800,026 | ||||
Pipelines | ||||
750 | Kinder Morgan, Inc. |
21,435 | ||
Professional Services | ||||
653 | Duff & Phelps Corp. (Class A Stock) |
10,050 | ||
925 | Towers Watson & Co. (Class A Stock) |
53,058 | ||
63,108 | ||||
Real Estate Investment Trusts 0.5% | ||||
9,600 | Annaly Capital Management, Inc. |
171,264 | ||
702 | AvalonBay Communities, Inc. |
88,880 | ||
852 | Boston Properties, Inc. |
89,060 | ||
263 | DuPont Fabros Technology, Inc. |
6,433 | ||
183 | First Potomac Realty Trust |
2,970 | ||
1,175 | Government Properties Income Trust |
32,218 | ||
850 | Invesco Mortgage Capital, Inc. |
19,329 | ||
450 | Kilroy Realty Corp. |
18,873 | ||
600 | LaSalle Hotel Properties |
16,884 | ||
531 | Medical Properties Trust, Inc. |
6,553 | ||
751 | Redwood Trust, Inc. |
11,888 | ||
1,372 | Simon Property Group, Inc. |
157,149 | ||
621,501 | ||||
Retail & Merchandising 2.2% | ||||
1,090 | Abercrombie & Fitch Co. (Class A Stock) |
77,172 | ||
985 | Cash America International, Inc. |
46,738 | ||
1,219 | Chicos FAS, Inc. |
17,834 | ||
57,293 | Cie Financiere Richemont SA, ADR (Switzerland) |
367,821 | ||
1,650 | Costco Wholesale Corp. |
133,518 | ||
1,201 | Genesco, Inc.(a) |
48,496 | ||
345 | Inditex SA (Spain) |
30,936 | ||
4,302 | Kohls Corp. |
226,759 | ||
3,380 | Lowes Cos., Inc. |
88,725 | ||
10,897 | Starbucks Corp. |
394,363 | ||
4,151 | Target Corp. |
203,814 | ||
5,253 | Tiffany & Co. |
364,768 | ||
10,714 | TJX Cos., Inc. (The) |
574,485 | ||
770 | Urban Outfitters, Inc.(a) |
24,224 | ||
1,870 | Walgreen Co. |
79,886 | ||
3,890 | Yum! Brands, Inc. |
208,660 | ||
2,888,199 | ||||
Road & Rail | ||||
710 | Landstar System, Inc. |
33,654 | ||
650 | Werner Enterprises, Inc. |
17,010 | ||
50,664 | ||||
Semiconductors 0.3% | ||||
5,082 | Advanced Micro Devices, Inc.(a) |
46,246 | ||
2,400 | ASML Holding NV (Netherlands) |
100,224 | ||
1,250 | Broadcom Corp. (Class A Stock) |
43,975 | ||
515 | Netlogic Microsystems, Inc.(a) |
22,212 | ||
293 | OYO Geospace Corp.(a) |
27,331 | ||
475 | Silicon Laboratories, Inc.(a) |
20,700 | ||
1,068 | Teradyne, Inc.(a) |
17,195 | ||
1,100 | TriQuint Semiconductor, Inc.(a) |
15,147 | ||
450 | Varian Semiconductor Equipment Associates, Inc.(a) |
18,869 | ||
441 | Veeco Instruments, Inc.(a) |
22,548 | ||
334,447 | ||||
Semiconductors & Semiconductor Equipment 0.1% | ||||
3,400 | Intel Corp. |
78,846 | ||
Shipbuilding | ||||
650 | Huntington Ingalls Industries, Inc.(a) |
26,000 | ||
Software 0.8% | ||||
488 | ANSYS, Inc.(a) |
26,981 | ||
100 | Blackboard, Inc.(a) |
4,811 | ||
7,964 | CA, Inc. |
195,835 | ||
460 | Cerner Corp.(a) |
55,283 | ||
2,310 | Check Point Software Technologies Ltd. (Israel)(a) |
126,888 | ||
1,973 | Compuware Corp.(a) |
22,354 | ||
1,480 | Intuit, Inc.(a) |
82,229 | ||
728 | MedAssets, Inc.(a) |
11,662 | ||
16,823 | Microsoft Corp. |
437,734 | ||
601 | Progress Software Corp.(a) |
17,820 | ||
510 | QLIK Technologies, Inc.(a) |
16,351 | ||
1,080 | Red Hat, Inc.(a) |
51,268 | ||
800 | Tyler Technologies, Inc.(a) |
19,832 | ||
1,069,048 | ||||
Specialty Retail 0.2% |
||||
1,395 | Aarons, Inc. |
40,162 | ||
375 | DSW, Inc. (Class A Stock)(a) |
17,805 | ||
7,000 | Gap, Inc. (The) |
162,680 | ||
2,052 | Home Depot, Inc. (The) |
76,211 | ||
296,858 | ||||
Telecommunications 0.6% |
||||
2,277 | Acme Packet, Inc.(a) |
188,103 | ||
3,750 | American Tower Corp. (Class A Stock)(a) |
196,163 | ||
471 | Arris Group, Inc.(a) |
5,652 | ||
2,740 | Cisco Systems, Inc. |
48,114 | ||
1,270 | Corning, Inc. |
26,594 | ||
990 | EMS Technologies, Inc.(a) |
25,007 | ||
1,410 | Juniper Networks, Inc.(a) |
54,045 | ||
491 | NICE Systems Ltd., ADR (Israel)(a) |
18,722 | ||
2,897 | QUALCOMM, Inc. |
164,665 | ||
128 | SBA Communications Corp. (Class A Stock)(a) |
4,945 | ||
732,010 | ||||
Textiles, Apparel & Luxury Goods 0.5% |
||||
800 | Hanesbrands, Inc.(a) |
26,008 | ||
1,000 | Jones Group, Inc. (The) |
13,630 | ||
5,592 | NIKE, Inc. (Class B Stock) |
460,334 | ||
1,310 | Phillips-Van Heusen Corp. |
92,237 | ||
301 | Steven Madden Ltd.(a) |
15,998 | ||
1,000 | Wolverine World Wide, Inc. |
39,680 | ||
647,887 | ||||
Thrifts & Mortgage Finance |
||||
2,125 | Washington Federal, Inc. |
34,191 | ||
Tobacco Products 0.3% |
||||
4,700 | Altria Group, Inc. |
126,148 | ||
3,501 | Philip Morris International, Inc. |
243,109 | ||
369,257 | ||||
Trading Companies & Distributors 0.1% |
||||
550 | United Rentals, Inc.(a) |
16,181 | ||
850 | WESCO International, Inc.(a) |
52,657 | ||
68,838 | ||||
Transportation 0.7% | ||||
109 | Bristow Group, Inc.(a) |
5,058 | ||
750 | CSX Corp. |
59,017 | ||
1,510 | Expeditors International of Washington, Inc. |
81,948 | ||
1,280 | Kansas City Southern(a) |
74,381 | ||
6,794 | Union Pacific Corp. |
702,975 | ||
923,379 | ||||
Utilities |
||||
1,371 | PG&E Corp. |
63,176 | ||
Wireless Telecommunication Services 0.3% |
||||
11,543 | Vodafone Group PLC, ADR (United Kingdom) |
336,132 | ||
TOTAL COMMON STOCKS |
53,258,349 | |||
EXCHANGE TRADED FUND |
||||
375 | iShares Russell 2000 Value Index Fund |
28,706 | ||
PREFERRED STOCKS 0.3% |
||||
Commercial Banks |
||||
11,200 | Itau Unibanco Holding SA, (PRFC), ADR, 2.79% (Brazil) |
266,000 | ||
2,650 | Wells Fargo & Co., Series J, 8.00%(a) |
76,559 | ||
TOTAL PREFERRED STOCKS |
342,559 | |||
Moodys Ratings |
Principal Amount (000)# |
|||||||
ASSET-BACKED SECURITIES 1.9% |
||||||||
Aaa | $ |
298 | Asset Backed Funding Certificates, |
240,247 | ||||
NR | EUR |
331 | Magnolia Funding Ltd., |
489,558 | ||||
C | 90 | Merrill Lynch Mortgage Investors, Inc., |
24,333 | |||||
AAA(c) | 400 | Plymouth Rock CLO Ltd., |
399,322 | |||||
Aaa | 1,193 | SLM Student Loan Trust, |
1,231,767 | |||||
Caa3 | 58 | Soundview Home Equity Loan Trust, |
19,870 | |||||
Aaa | 9 | Structured Asset Securities Corp., |
9,030 | |||||
TOTAL ASSET-BACKED SECURITIES |
2,414,127 | |||||||
BANK LOAN(b)(e) 0.8% |
||||||||
B2 |
1,212 | TXU Corp., |
1,032,203 | |||||
CORPORATE BONDS 26.5% |
||||||||
Airlines 0.2% |
||||||||
Ba2 | 300 | Continental Airlines, Inc., Sr. Secd. Notes, 144A |
302,250 | |||||
Automobile Manufacturers 0.2% |
||||||||
A3 | 200 | Daimler Finance North America LLC, Gtd. Notes, MTN |
203,586 | |||||
Building & Construction 0.5% |
||||||||
Ba3 | 600 | Urbi Desarrollos Urbanos Sab de CV, Gtd. Notes, 144A (Mexico) |
672,000 | |||||
Capital Markets 1.8% |
||||||||
A1 | AUD |
1,500 | Goldman Sachs Group, Inc. (The), Sr. Unsecd. Notes |
1,567,561 | ||||
A2 | 700 | Morgan Stanley, Sr. Unsecd. Notes |
700,857 | |||||
2,268,418 | ||||||||
Diversified Financial Services 3.5% |
||||||||
Baa1 | 200 | AK Transneft OJSC Via TransCapitalInvest Ltd., Gtd. Notes (Ireland) |
248,000 | |||||
A3 | 1,500 | Citigroup, Inc., Sr. Unsecd. Notes |
1,605,703 | |||||
Ba2 | 200 | Ford Motor Credit Co. LLC, Sr. Unsecd. Notes |
212,566 | |||||
Ba2 | 500 | 7.00%, 10/01/13 |
541,821 | |||||
Aa3 | GBP |
100 | General Electric Capital Corp., Sub. Notes, 144A |
163,693 | ||||
Ba3 | 700 | International Lease Finance Corp., Sr. Secd. Notes, 144A |
752,500 | |||||
Aa3 | 1,100 | JPMorgan Chase & Co., Sr. Unsecd. Notes |
1,069,540 | |||||
4,593,823 | ||||||||
Electric Utilities 0.9% |
||||||||
Baa1 | 1,000 | Ameren Illinois Co., Sr. Secd. Notes |
1,108,158 | |||||
Financial Bank & Trust 5.9% |
||||||||
Aa3 | 100 | Abbey National Treasury Services PLC, Bank Gtd. Notes, 144A (United Kingdom) |
102,011 | |||||
NR | 600 | Banco Santander Brazil SA, Sr. Unsecd. Notes, 144A (Brazil) |
602,770 | |||||
Baa1 | 1,600 | Barclays Bank PLC, Sub. Notes, 144A (United Kingdom) |
1,701,254 | |||||
Aa3 | 2,000 | Deutsche Bank AG, Sr. Unsecd. Notes, MTN (Germany) |
2,134,972 | |||||
Aaa | 100 | ING Bank NV, Govt. Liquid Gtd. Notes, 144A (Netherlands) |
106,702 | |||||
Aa3 | 700 | Lloyds TSB Bank PLC, (United Kingdom) |
723,813 | |||||
Ba1 | 800 | Jr. Sub. Notes, 144A 12.00%(b), 12/29/49 |
944,138 | |||||
Aa2 | 700 | Nordea Bank AB, Sr. Unsecd. Notes, 144A (Sweden) |
721,673 | |||||
Aa3 | 600 | Royal Bank of Scotland PLC (The) Bank Gtd. Notes (United Kingdom) |
616,114 | |||||
7,653,447 | ||||||||
Financial Services 2.8% |
||||||||
B1 | 800 | Ally Financial, Inc., Gtd. Notes |
899,000 | |||||
NR | 500 | Lehman Brothers Holdings, Inc.,(d) |
128,750 | |||||
NR | 400 | 6.875%(b), 05/02/18 |
104,000 | |||||
A2 | 1,000 | Merrill Lynch & Co., Inc., Notes, MTN |
1,134,745 | |||||
Baa2 | 600 | TNK-BP Finance SA, Gtd. Notes (Luxembourg) |
643,860 | |||||
Aa3 | 400 | UBS AG, (Switzerland) |
411,689 | |||||
Aa3 | 300 | Sr. Unsecd. Notes, MTN 1.413%(b), 02/23/12 |
302,309 | |||||
3,624,353 | ||||||||
Food Products 0.5% |
||||||||
Baa2 | 700 | WM Wrigley Jr. Co., Secd. Notes, 144A |
702,282 | |||||
Healthcare Providers & Services 0.4% |
||||||||
Baa3 | 500 | Cardinal Health, Inc., Sr. Unsecd. Notes |
559,921 | |||||
Hotels & Motels 0.7% |
||||||||
Baa2 | 800 | Marriott International, Inc., Sr. Unsecd. Notes |
921,957 | |||||
Insurance 1.0% |
||||||||
Baa1 | 500 | American International Group, Inc., |
593,491 | |||||
Baa1 | 600 | Sr. Unsecd. Notes, MTN 5.85%, 01/16/18 |
634,030 | |||||
1,227,521 | ||||||||
IT Services 0.4% |
||||||||
A2 | 500 | Electronic Data Systems LLC, Sr. Unsecd. Notes |
553,580 | |||||
Medical Supplies & Equipment 0.4% |
||||||||
B2 | 500 | HCA, Inc., Secd. Notes |
536,250 | |||||
Metals & Mining 1.4% |
||||||||
Ba1 | 600 | CSN Resources SA, Gtd. Notes, 144A (Luxembourg) |
637,500 | |||||
Baa2 | 1,000 | Spectra Energy Capital LLC, Gtd. Notes |
1,124,901 | |||||
1,762,401 | ||||||||
Oil, Gas & Consumable Fuels 1.7% |
||||||||
A2 | 400 | BP Capital Markets PLC, Gtd. Notes (United Kingdom) |
406,317 | |||||
A2 | 300 | 4.50%, 10/01/20 |
302,348 | |||||
Baa1 | 700 | Gazprom Via Gaz Capital SA, Sr. Unsecd. Notes (Luxembourg) |
873,250 | |||||
Ba1 | 44 | Petroleum Export Ltd., Sr. Secd. Notes, 144A (Cayman Islands) |
43,657 | |||||
Ba1 | 500 | Pride International, Inc., Sr. Unsecd. Notes |
625,477 | |||||
2,251,049 | ||||||||
Pharmaceuticals 0.2% |
||||||||
Ba3 | 300 | Valeant Pharmaceuticals International, Gtd. Notes, 144A |
290,625 | |||||
Telecommunications 1.6% |
||||||||
Baa3 | 900 | Embarq Corp., Sr. Unsecd. Notes |
979,062 | |||||
Baa3 | 1,000 | Qwest Corp., Sr. Unsecd. Notes |
1,142,500 | |||||
2,121,562 | ||||||||
Tobacco Products 0.7% |
||||||||
Baa1 | 700 | Altria Group, Inc., Gtd. Notes |
932,034 | |||||
Transportation 1.7% |
||||||||
Baa3 | 2,000 | Con-Way, Inc., Sr. Unsecd. Notes |
2,198,784 | |||||
TOTAL CORPORATE BONDS |
34,484,001 | |||||||
FOREIGN GOVERNMENT BONDS 4.3% |
||||||||
Aaa | AUD |
1,500 | Australia Government, Sr. Unsecd. Notes (Australia) |
1,607,132 | ||||
Aaa | AUD |
400 | 6.00%, 02/15/17 |
453,766 | ||||
Aaa | CAD |
1,500 | Canadian Government, (Canada) |
1,586,656 | ||||
Aaa | CAD |
200 | Notes 1.50%, 03/01/12 |
211,736 | ||||
Aaa | 700 | Kommunalbanken A/S, Sr. Unsecd. Notes, 144A (Norway) |
699,219 | |||||
Baa3 | BRL |
1,300 | Republic of Brazil, Sr. Unsecd. Notes (Brazil) |
1,000,699 | ||||
TOTAL FOREIGN GOVERNMENT BONDS |
5,559,208 | |||||||
MUNICIPAL BONDS 2.8% |
||||||||
California 0.8% |
||||||||
Aa3 | 400 | California State Public Works Board Lease, Revenue Bonds |
403,768 | |||||
Aa2 | 700 | Los Angeles Unified School District, Series A-1, General Obligation Unlimited |
687,022 | |||||
1,090,790 | ||||||||
Illinois 1.2% |
||||||||
Aa3 | 200 | Chicago Transit Authority, |
206,004 | |||||
Aa3 | 300 | Series B, Revenue Bonds |
309,006 | |||||
A1 | 1,000 | State of Illinois, General Obligation Unlimited |
1,004,770 | |||||
1,519,780 | ||||||||
Texas 0.8% |
||||||||
AAA(c) | 300 | Dallas County Hospital District, Series B, General Obligation Ltd. |
307,104 | |||||
Aaa | 700 | Texas State Transportation Commission, Series B, Revenue Bonds |
712,915 | |||||
1,020,019 | ||||||||
TOTAL MUNICIPAL BONDS |
3,630,589 | |||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES 3.1% |
||||||||
Ca | 306 | American Home Mortgage Assets, Series 2006-1, Class 2A1 |
180,999 | |||||
CCC(c) | 150 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1A1 |
113,228 | |||||
Caa1 | 160 | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2 |
143,073 | |||||
Ca | 331 | Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A |
145,137 | |||||
Aaa | 15 | Fannie Mae, Series 1992-146, Class PZ |
17,124 | |||||
Aaa | 457 | FHLMC Structured Pass-Through Securities, Series T-61, Class 1A1 |
458,448 | |||||
Aaa | 54 | Freddie Mac, Series 41, Class F |
60,351 | |||||
Aaa | 211 | GSR Mortgage Loan Trust, |
203,124 | |||||
C | 780 | Series 2006-OA1, Class 2A2 0.473%(b), 08/25/46 |
233,996 | |||||
Caa1 | 583 | Homebanc Mortgage Trust, Series 2006-1, Class 4A1 |
512,070 | |||||
Aaa | 700 | Permanent Master Issuer PLC (United Kingdom) |
700,934 | |||||
Aaa | EUR |
500 | Series 2011-1A, Class 1A3, 144A 2.617%(b), 07/15/42 |
740,767 | ||||
NR | 110 | Vendee Mortgage Trust, Series 2000-1, Class 1A |
126,937 | |||||
Caa1 | 318 | Washington Mutual Mortgage Pass-Through Certificates, |
240,013 | |||||
Caa3 | 315 | Series 2007-OA2, Class 1A 1.006%(b), 03/25/47 |
206,790 | |||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
4,082,991 | |||||||
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS 8.5% |
||||||||
8 | Federal Home Loan Mortgage Corp. |
7,609 | ||||||
241 | 2.697%(b), 03/01/36 |
253,117 | ||||||
131 | 5.50%, 01/01/38 |
141,253 | ||||||
386 | Federal National Mortgage Assoc. |
405,988 | ||||||
1,669 | 3.50%, 08/01/40-12/01/40 |
1,593,700 | ||||||
2,617 | 4.00%, 05/01/24-10/01/39 |
2,685,041 | ||||||
1,000 | 4.00%, TBA |
1,036,250 | ||||||
2,000 | 4.00%, TBA |
1,990,312 | ||||||
46 | 4.036%(b), 05/01/36 |
47,409 | ||||||
1,331 | 4.50%, 03/01/24-08/01/24 |
1,408,566 | ||||||
1,000 | 4.50%, TBA |
1,055,312 | ||||||
42 | 5.00%, 06/01/23 |
44,549 | ||||||
215 | 5.50%, 12/01/36 |
231,964 | ||||||
76 | 7.50%, 01/01/32 |
88,475 | ||||||
Government National Mortgage Assoc. |
||||||||
5 | 2.625%(b), 09/20/22 |
5,122 | ||||||
33 | 4.50%, 08/15/33-09/15/33 |
35,149 | ||||||
41 | 8.50%, 02/20/30-06/15/30 |
48,684 | ||||||
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS |
11,078,500 | |||||||
U.S. TREASURY OBLIGATIONS 2.3% |
||||
U.S. Treasury Bonds |
||||
200 | 4.375%, 02/15/38-11/15/39 |
199,376 | ||
300 | 4.50%, 02/15/36 |
307,453 | ||
100 | 7.50%, 11/15/24 |
139,594 | ||
36 | 8.125%, 05/15/21(f) |
50,861 | ||
U.S. Treasury Inflationary Indexed Bonds, TIPS |
||||
400 | 1.125%, 01/15/21 |
419,662 | ||
U.S. Treasury Notes |
||||
200 | 1.875%, 09/30/17 |
192,312 | ||
700 | 2.125%, 12/31/15 |
709,187 | ||
1,000 | 2.625%, 11/15/20 |
946,094 | ||
TOTAL U.S. TREASURY OBLIGATIONS |
2,964,539 | |||
TOTAL LONG-TERM INVESTMENTS |
118,875,772 | |||
SHORT-TERM INVESTMENTS 10.8% | ||||
U.S. GOVERNMENT AGENCY OBLIGATION(l) 0.2% | ||||
300 | Federal Home Loan Bank |
299,978 | ||
REPURCHASE AGREEMENT(i) 1.5% | ||||
1,900 | Barclays Capital, Inc., 0.03%, dated 04/29/11, due 05/02/11 in the amount of $1,900,005 |
1,900,000 | ||
Shares |
||||
AFFILIATED MONEY MARKET MUTUAL FUND 2.5% | ||||
3,282,765 | Prudential Investment Portfolios 2 - Prudential Core Taxable Money Market Fund |
3,282,765 | ||
Principal |
||||
U.S. TREASURY OBLIGATIONS(l) 6.6% |
||||
U.S. Treasury Bills |
||||
$ 1,200 | 0.14%, 09/08/11 |
1,199,712 | ||
1,600 | 0.164%, 09/01/11 |
1,599,675 | ||
1,800 | 0.175%, 08/18/11 |
1,799,692 | ||
300 | 0.186%, 06/23/11 |
299,985 | ||
3,700 | 0.298%, 07/28/11(f)(g) |
3,699,627 | ||
TOTAL U.S. TREASURY OBLIGATIONS |
8,598,691 | |||
TOTAL SHORT-TERM INVESTMENTS |
14,081,434 | |||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 102.3% |
132,957,206 | |||
Notional |
Counterparty |
|||||||
OPTIONS WRITTEN(a) (0.1)% |
| |||||||
Call Options |
| |||||||
90 Day Euro Dollar Futures, |
||||||||
7,000 | expiring 09/19/11, Strike Price $99.38 |
(5,206 | ) | |||||
10 Year U.S. Treasury Note Futures, |
||||||||
200 | expiring 05/20/11, Strike Price $121.00 |
(1,437 | ) | |||||
1,000 | expiring 05/20/11, Strike Price $122.00 |
(2,969 | ) | |||||
3,800 | expiring 06/24/11, Strike Price $121.00 |
(20,188 | ) | |||||
Option on forward 2 year swap rate, |
||||||||
1,600 | expiring 11/14/11, Strike Price $(k) |
Morgan Stanley | (27,449 | ) | ||||
(57,249 | ) | |||||||
Put Options (0.1)% |
| |||||||
90 Day Euro Dollar Futures, |
||||||||
7,000 | expiring 09/19/11, Strike Price $99.38 |
(481 | ) | |||||
5 Year CDX North America IG 15, |
||||||||
1,100 | expiring 06/15/11, Strike Price $1.20 |
Morgan Stanley | (93 | ) | ||||
5 Year CDX North America IG 16, |
||||||||
1,600 | expiring 09/21/11, Strike Price $1.20 |
Barclays Capital Group | (3,227 | ) | ||||
2,100 | expiring 12/21/11, Strike Price $1.20 |
Morgan Stanley | (8,587 | ) | ||||
10 Year U.S. Treasury Note Futures, |
||||||||
1,200 | expiring 05/20/11, Strike Price $117.00 |
(187 | ) | |||||
3,800 | expiring 06/24/11, Strike Price $117.00 |
(10,688 | ) | |||||
Interest Rate Swap Options, |
||||||||
700 | Receive a fixed rate of 2.75% and pay a floating rate based on 3-month LIBOR, expiring 06/18/12 |
Deutsche Bank | (6,089 | ) | ||||
500 | Receive a fixed rate of 3.00% and pay a floating rate based on 3-month LIBOR, expiring 06/18/12 |
Bank of America | (3,397 | ) | ||||
1,200 | Receive a fixed rate of 3.00% and pay a floating rate based on 3-month LIBOR, expiring 06/18/12 |
Barclays Capital Group | (8,153 | ) | ||||
800 | Receive a fixed rate of 3.00% and pay a floating rate based on 3-month LIBOR, expiring 06/18/12 |
Citigroup Global Markets | (5,435 | ) | ||||
1,200 | Receive a fixed rate of 10.00% and pay a floating rate based on 3-month LIBOR, expiring 07/10/12 |
Morgan Stanley | (20 | ) | ||||
1,400 | Receive a fixed rate of 2.25% and pay a floating rate based on 3-month LIBOR, expiring 09/24/12 |
Bank of America | (12,460 | ) | ||||
1,300 | Receive a fixed rate of 2.25% and pay a floating rate based on 3-month LIBOR, expiring 09/24/12 |
Citigroup Global Markets | (11,570 | ) | ||||
500 | Receive a fixed rate of 2.25% and pay a floating rate based on 3-month LIBOR, expiring 09/24/12 |
Morgan Stanley | (4,450 | ) | ||||
500 | Receive a fixed rate of 2.25% and pay a floating rate based on 3-month LIBOR, expiring 09/24/12 |
UBS Securities | (4,450 | ) | ||||
(79,287 | ) | |||||||
TOTAL OPTIONS WRITTEN |
(136,536 | ) | ||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN 102.2% |
132,820,670 | |||||||
OTHER LIABILITIES IN EXCESS OF OTHER ASSETS(m) (2.2)% |
(2,867,927 | ) | ||||||
NET ASSETS 100% |
$129,952,743 | |||||||
The following abbreviations are used in the Portfolio descriptions:
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
ADR | American Depositary Receipt | |
CDX | Credit Derivative Index | |
FHLMC | Federal Home Loan Mortgage Corporation | |
MTN | Medium Term Note | |
NR | Not Rated by Moodys or Standard & Poors | |
PRFC | Preference Shares | |
TBA | To Be Announced | |
TIPS | Treasury Inflation Protected Securities | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CNY | Chinese Yuan | |
EUR | Euro | |
GBP | British Pound | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
SGD | Singapore Dollar | |
TWD | New Taiwanese Dollar |
| The ratings reflected are as of April 30, 2011. Ratings of certain bonds may have changed subsequent to that date. |
# | Principal and notional amount is shown in U.S. dollars unless otherwise stated. |
(a) | Non-income producing security. |
(b) | Variable rate instrument. The interest rate shown reflects the rate in effect at April 30, 2011. |
(c) | Standard & Poors rating. |
(d) | Represents issuer in default on interest payments. Non-income producing security. |
(e) | Indicates a security that has been deemed illiquid. |
(f) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(g) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
(h) | Prudential Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 - Prudential Core Taxable Money Market Fund. |
(i) | Repurchase agreement is collateralized by United States Treasuries. |
(j) | The United States federal income tax basis of the Portfolios investments was $119,829,377; accordingly, net unrealized appreciation on investments for federal income tax purposes was $13,127,829 (gross unrealized appreciation $14,801,302; gross unrealized depreciation $1,673,473). The difference between book and tax basis is primarily attributable to deferred losses on wash sales and straddles as of the most recent fiscal year end. |
(k) | Exercise price and final cost determined on a future date, based upon the implied volatility. |
(l) | Rates shown are the effective yields at purchase date. |
(m) | Other liabilities in excess of other assets includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts open at April 30, 2011: | ||||||||||||||||
Number of |
Type |
Expiration |
Value at Trade Date |
Value at April 30, 2011 |
Unrealized Appreciation (Depreciation) |
|||||||||||
Long Positions: |
||||||||||||||||
83 | 90 Day Euro Dollar |
Dec. 2011 | $ | 20,602,575 | $ | 20,654,550 | $ | 51,975 | ||||||||
11 | 90 Day Euro Dollar |
Mar. 2012 | 2,724,113 | 2,733,088 | 8,975 | |||||||||||
59 | 90 Day Euro Euribor |
Jun. 2011 | 21,539,435 | 21,506,183 | (33,252 | ) | ||||||||||
5 | 90 Day Sterling |
Jun. 2011 | 1,032,376 | 1,035,090 | 2,714 | |||||||||||
$ | 30,412 | |||||||||||||||
Forward foreign currency exchange contracts outstanding at April 30, 2011:
Purchase Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Payable |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Brazilian Real, |
UBS Securities | BRL | 1,603 | $ | 1,004,584 | $ | 1,016,988 | $ | 12,404 | |||||||||||||
Canadian Dollar, |
Royal Bank of Canada | CAD | 86 | 87,239 | 90,777 | 3,538 | ||||||||||||||||
Chinese Yuan, |
Hong Kong & Shanghai Bank | CNY | 718 | 108,000 | 111,147 | 3,147 | ||||||||||||||||
Expiring 09/14/11 |
Citigroup Global Markets | CNY | 239 | 36,000 | 37,234 | 1,234 | ||||||||||||||||
Expiring 09/14/11 |
Royal Bank of Scotland | CNY | 146 | 22,000 | 22,720 | 720 | ||||||||||||||||
Expiring 09/14/11 |
UBS Securities | CNY | 358 | 54,000 | 55,768 | 1,768 | ||||||||||||||||
Expiring 11/04/11 |
Deutsche Bank | CNY | 383 | 60,000 | 59,881 | (119 | ) | |||||||||||||||
Expiring 11/15/11 |
Deutsche Bank | CNY | 497 | 75,000 | 77,701 | 2,701 | ||||||||||||||||
Expiring 02/13/12 |
Barclays Capital Group | CNY | 2,524 | 392,329 | 397,862 | 5,533 | ||||||||||||||||
Expiring 02/13/12 |
Barclays Capital Group | CNY | 701 | 108,709 | 110,499 | 1,790 | ||||||||||||||||
Expiring 02/13/12 |
Citigroup Global Markets | CNY | 2,072 | 322,420 | 326,612 | 4,192 | ||||||||||||||||
Expiring 02/13/12 |
Citigroup Global Markets | CNY | 1,458 | 226,525 | 229,881 | 3,356 | ||||||||||||||||
Expiring 02/13/12 |
Citigroup Global Markets | CNY | 668 | 103,591 | 105,281 | 1,690 | ||||||||||||||||
Expiring 02/13/12 |
Deutsche Bank | CNY | 664 | 103,102 | 104,719 | 1,617 | ||||||||||||||||
Expiring 02/13/12 |
Deutsche Bank | CNY | 639 | 99,178 | 100,741 | 1,563 | ||||||||||||||||
Expiring 02/13/12 |
JPMorgan Chase | CNY | 810 | 126,000 | 127,737 | 1,737 | ||||||||||||||||
Expiring 02/13/12 |
JPMorgan Chase | CNY | 676 | 104,910 | 106,563 | 1,653 | ||||||||||||||||
Expiring 02/13/12 |
UBS Securities | CNY | 534 | 82,867 | 84,121 | 1,254 | ||||||||||||||||
Expiring 02/01/13 |
Deutsche Bank | CNY | 291 | 46,248 | 46,874 | 626 | ||||||||||||||||
Expiring 02/01/13 |
Deutsche Bank | CNY | 27 | 4,186 | 4,273 | 87 |
Indian Rupee, |
Barclays Capital Group | INR | 9,917 | 214,047 | 223,834 | 9,787 | ||||||||||||||||
Expiring 08/12/11 |
Barclays Capital Group | INR | 16,324 | 347,921 | 361,321 | 13,400 | ||||||||||||||||
Expiring 08/12/11 |
Hong Kong & Shanghai Bank | INR | 9,917 | 219,592 | 219,495 | (97 | ) | |||||||||||||||
Mexican Peso, |
Hong Kong & Shanghai Bank | MXN | 2,067 | 177,000 | 178,416 | 1,416 | ||||||||||||||||
Expiring 07/07/11 |
Hong Kong & Shanghai Bank | MXN | 2,065 | 177,000 | 178,233 | 1,233 | ||||||||||||||||
Expiring 07/07/11 |
Morgan Stanley | MXN | 2,391 | 205,000 | 206,380 | 1,380 | ||||||||||||||||
Expiring 07/07/11 |
Morgan Stanley | MXN | 2,066 | 177,000 | 178,283 | 1,283 | ||||||||||||||||
New Taiwanese Dollar, |
Barclays Capital Group | TWD | 13,711 | 478,398 | 481,855 | 3,457 | ||||||||||||||||
Norwegian Krone, |
Barclays Capital Group | NOK | 2,515 | 446,978 | 479,188 | 32,210 | ||||||||||||||||
Expiring 05/05/11 |
Barclays Capital Group | NOK | 1,619 | 281,059 | 308,471 | 27,412 | ||||||||||||||||
Expiring 05/05/11 |
Royal Bank of Canada | NOK | 279 | 49,189 | 53,158 | 3,969 | ||||||||||||||||
Singapore Dollar, |
Deutsche Bank | SGD | 300 | 229,952 | 245,087 | 15,135 | ||||||||||||||||
Expiring 06/09/11 |
Deutsche Bank | SGD | 169 | 129,689 | 137,852 | 8,163 | ||||||||||||||||
Expiring 06/09/11 |
Goldman Sachs & Co. | SGD | 399 | 311,855 | 326,374 | 14,519 | ||||||||||||||||
South Korean Won, |
Barclays Capital Group | KRW | 182,800 | 160,000 | 170,461 | 10,461 | ||||||||||||||||
Expiring 05/09/11 |
Barclays Capital Group | KRW | 39,300 | 34,986 | 36,647 | 1,661 | ||||||||||||||||
Expiring 05/09/11 |
Citigroup Global Markets | KRW | 152,400 | 134,927 | 142,113 | 7,186 | ||||||||||||||||
Expiring 05/09/11 |
Citigroup Global Markets | KRW | 137,000 | 122,125 | 127,753 | 5,628 | ||||||||||||||||
Expiring 05/09/11 |
Citigroup Global Markets | KRW | 94,000 | 83,929 | 87,655 | 3,726 | ||||||||||||||||
Expiring 05/09/11 |
Deutsche Bank | KRW | 170,233 | 149,000 | 158,742 | 9,742 | ||||||||||||||||
Expiring 05/09/11 |
Goldman Sachs & Co. | KRW | 31,654 | 27,894 | 29,517 | 1,623 | ||||||||||||||||
Expiring 05/09/11 |
Hong Kong & Shanghai Bank | KRW | 74,000 | 65,918 | 69,005 | 3,087 | ||||||||||||||||
Expiring 05/09/11 |
JPMorgan Chase | KRW | 485,265 | 418,982 | 452,511 | 33,529 | ||||||||||||||||
Expiring 05/09/11 |
JPMorgan Chase | KRW | 171,200 | 150,966 | 159,645 | 8,679 | ||||||||||||||||
Expiring 05/09/11 |
Royal Bank of Scotland | KRW | 149,000 | 131,701 | 138,943 | 7,242 | ||||||||||||||||
Expiring 08/12/11 |
JPMorgan Chase | KRW | 1,686,851 | 1,536,084 | 1,563,202 | 27,118 | ||||||||||||||||
$ | 9,628,080 | $ | 9,931,520 | $ | 303,440 | |||||||||||||||||
Sale Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Receivable |
Current Value |
Unrealized Depreciation |
|||||||||||||||||
Australian Dollar, |
Royal Bank of Canada | AUD | 3,195 | $ | 3,443,066 | $ | 3,487,424 | $ | (44,358 | ) | ||||||||||||
Brazilian Real, |
Citigroup Global Markets | BRL | 1,297 | 765,614 | 822,659 | (57,045 | ) | |||||||||||||||
Expiring 06/02/11 |
Hong Kong & Shanghai Bank | BRL | 204 | 120,000 | 129,550 | (9,550 | ) | |||||||||||||||
Expiring 06/02/11 |
UBS Securities | BRL | 102 | 60,000 | 64,779 | (4,779 | ) | |||||||||||||||
Expiring 08/02/11 |
UBS Securities | BRL | 1,603 | 991,783 | 1,007,270 | (15,487 | ) | |||||||||||||||
British Pound, |
Citigroup Global Markets | GBP | 247 | 396,151 | 412,325 | (16,174 | ) | |||||||||||||||
Expiring 06/13/11 |
Credit Suisse First Boston Corp. |
GBP | 246 | 394,673 | 410,656 | (15,983 | ) | |||||||||||||||
Canadian Dollar, |
BNP Paribas |
CAD | 929 | 950,536 | 980,609 | (30,073 | ) | |||||||||||||||
Euro, |
Credit Suisse First Boston Corp. | EUR | 1,262 | 1,820,120 | 1,864,919 | (44,799 | ) | |||||||||||||||
Expiring 07/18/11 |
Citigroup Global Markets |
EUR | 447 | 634,034 | 660,554 | (26,520 | ) | |||||||||||||||
Indian Rupee, |
Hong Kong & Shanghai Bank | INR | 9,917 | 223,200 | 223,834 | (634 | ) | |||||||||||||||
Japanese Yen, |
JPMorgan Chase | JPY | 20,372 | 243,203 | 251,251 | (8,048 | ) | |||||||||||||||
South Korean Won, |
JPMorgan Chase | KRW | 1,686,851 | 1,544,877 | 1,572,993 | (28,116 | ) | |||||||||||||||
$ | 11,587,257 | $ | 11,888,823 | $ | (301,566 | ) | ||||||||||||||||
Interest rate swap agreements outstanding at April 30, 2011:
Counterparty |
Termination Date |
Notional Amount (000) |
Fixed |
Floating Rate |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Barclays Bank PLC(1) |
12/15/17 | AUD | 400 | 5.50% | 6 month Australian Bank Bill rate |
$ | (7,935 | ) | $ | (1,837 | ) | $ | (6,098 | ) | ||||||||||
Deutsche Bank(1) |
12/15/17 | AUD | 200 | 5.50% | 6 month Australian Bank Bill rate |
(3,967 | ) | (821 | ) | (3,146 | ) | |||||||||||||
Barclays Bank PLC(1) |
01/02/14 | BRL | 2,100 | 11.99% | Brazilian interbank lending rate |
3,622 | 478 | 3,144 | ||||||||||||||||
Goldman Sachs & Co. (1) |
01/02/14 | BRL | 4,400 | 11.96% | Brazilian interbank lending rate |
5,755 | (4,509 | ) | 10,264 | |||||||||||||||
Merrill Lynch & Co. (1) |
01/02/14 | BRL | 2,900 | 11.86% | Brazilian interbank lending rate |
(12,292 | ) | 3,653 | (15,945 | ) | ||||||||||||||
Morgan Stanley & Co.(1) |
01/02/13 | BRL | 2,700 | 11.98% | Brazilian interbank lending rate |
12,028 | 15,391 | (3,363 | ) | |||||||||||||||
UBS AG(1) |
01/02/13 | BRL | 2,400 | 12.51% | Brazilian interbank lending rate |
(782 | ) | (2,154 | ) | 1,372 | ||||||||||||||
Morgan Stanley & Co. (1) |
03/05/13 | MXN | 8,400 | 6.50% | 28 day Mexican interbank rate |
2,853 | (303 | ) | 3,156 | |||||||||||||||
$ | (718 | ) | $ | 9,898 | $ | (10,616 | ) | |||||||||||||||||
(1) | Fund pays the floating rate and receives the fixed rate. |
Credit default swap agreements outstanding at April 30, 2011:
Counterparty |
Termination Date |
Notional Amount (000)(4)# |
Fixed Rate |
Reference Entity/Obligation |
Fair Value(3) |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Credit default swaps on credit indices - Sell Protection (1): |
| |||||||||||||||||||||||
Bank of America Securities LLC |
12/20/19 | $ | 1,200 | 1.00% | Dow Jones CDX IG3 10Y Index |
$ | (6,957 | ) | $ | (12,589 | ) | $ | 5,632 | |||||||||||
Morgan Stanley & Co. |
12/20/15 | 470 | 0.46% | Dow Jones CDX IG5 10Y Index |
(33,572 | ) | | (33,572 | ) | |||||||||||||||
Morgan Stanley & Co. |
12/20/15 | 1,500 | 0.46% | Dow Jones CDX IG5 10Y Index |
(106,804 | ) | | (106,804 | ) | |||||||||||||||
$ | (147,333 | ) | $ | (12,589 | ) | $ | (134,744 | ) | ||||||||||||||||
The Fund entered into credit default swap agreements on credit indices as the protection seller to provide a measure of protection against the current portfolio of investments exposure to market conditions, or to take an active position with respect to the likelihood of a particular issuers default or the referenced entitys credit soundness.
Counterparty |
Termination Date |
Notional Amount (000)(4)# |
Fixed Rate |
Reference Entity/Obligation |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Credit default swaps - Buy Protection (2): |
| |||||||||||||||||||||||
Bank of America Securities LLC |
03/20/18 | $ | 2,000 | 1.83% | Con-way, Inc., 7.25%, |
$ | 87,934 | $ | | $ | 87,934 | |||||||||||||
Bank of America Securities LLC |
06/20/17 | 800 | 1.73% | Marriott International, 6.375%, |
(26,344 | ) | | (26,344 | ) | |||||||||||||||
Barclays Bank PLC |
12/20/17 | 1,065 | 0.80% | Dow Jones CDX IG9 10Y Index |
25,246 | 8,969 | 16,277 | |||||||||||||||||
Barclays Bank PLC |
06/20/13 | 200 | 1.00% | Embarq Corp., 7.08%, |
(2,726 | ) | (2,057 | ) | (669 | ) | ||||||||||||||
Citigroup, Inc. |
12/20/15 | 800 | 5.00% | Dow Jones CDX HY15 5Y Index |
(41,235 | ) | (26,904 | ) | (14,331 | ) | ||||||||||||||
Citigroup, Inc. |
02/09/46 | 600 | 2.20% | Vertical CDO, Ltd., 7.01%, due 02/09/46 |
552,742 | | 552,742 | |||||||||||||||||
Credit Suisse International |
06/20/15 | 700 | 1.00% | Dow Jones CDX IG14 5Y Index |
(9,970 | ) | (6,207 | ) | (3,763 | ) | ||||||||||||||
Deutsche Bank |
06/20/18 | 1,646 | 1.50% | Dow Jones CDX IG10 10Y Index |
(30,166 | ) | (19,268 | ) | (10,898 | ) | ||||||||||||||
Deutsche Bank |
06/20/13 | 1,258 | 1.55% | Dow Jones CDX IG10 5Y Index |
(28,376 | ) | (2,296 | ) | (26,080 | ) | ||||||||||||||
Deutsche Bank |
03/20/14 | 400 | 1.25% | Embarq Corp., 7.08%, |
(7,966 | ) | | (7,966 | ) | |||||||||||||||
Deutsche Bank |
03/20/14 | 200 | 1.27% | Embarq Corp., 7.08%, |
(4,102 | ) | | (4,102 | ) | |||||||||||||||
Deutsche Bank |
03/20/14 | 100 | 1.43% | Embarq Corp., 7.08%, |
(2,514 | ) | | (2,514 | ) | |||||||||||||||
Deutsche Bank |
06/20/18 | 1,000 | 0.84% | Spectra Energy Capital, 6.20%, due 04/15/18 |
(2,960 | ) | | (2,960 | ) | |||||||||||||||
Goldman Sachs |
06/20/13 | 4,937 | 1.55% | Dow Jones CDX IG10 5Y Index |
(111,319 | ) | 29,889 | (141,208 | ) | |||||||||||||||
Goldman Sachs |
12/20/17 | 1,646 | 0.80% | Dow Jones CDX IG9 10Y Index |
39,017 | 19,108 | 19,909 | |||||||||||||||||
Goldman Sachs & Co. |
06/20/18 | 4,453 | 1.50% | Dow Jones CDX IG10 10Y Index |
(81,626 | ) | (103,902 | ) | 22,276 | |||||||||||||||
Merrill Lynch & Co. |
12/20/11 | 272 | 0.00% | Dow Jones CDX HY7 5Y Index |
19,386 | 12,838 | 6,548 | |||||||||||||||||
Merrill Lynch & Co. |
12/20/17 | 194 | 0.80% | Dow Jones CDX IG9 10Y Index |
4,590 | 1,138 | 3,452 | |||||||||||||||||
Morgan Stanley & Co. |
06/20/18 | 4,356 | 1.50% | Dow Jones CDX IG10 10Y Index |
(79,852 | ) | (83,662 | ) | 3,810 | |||||||||||||||
Morgan Stanley & Co. |
06/20/15 | 1,400 | 1.00% | Dow Jones CDX IG14 5Y Index |
(19,920 | ) | (12,542 | ) | (7,378 | ) | ||||||||||||||
Morgan Stanley & Co. |
12/20/12 | 700 | 0.14% | Dow Jones CDX IG5 Index |
1,542 | | 1,542 | |||||||||||||||||
Morgan Stanley & Co. |
12/20/12 | 2,100 | 0.14% | Dow Jones CDX IG5 Index |
4,626 | | 4,626 | |||||||||||||||||
Morgan Stanley & Co. |
12/20/17 | 1,549 | 0.80% | Dow Jones CDX IG9 10Y Index |
36,721 | 25,585 | 11,136 | |||||||||||||||||
UBS AG |
06/20/17 | 500 | 0.56% | Cardinal Health Inc., 6.00%, due 06/15/17 |
6,727 | | 6,727 | |||||||||||||||||
$ | 329,455 | $ | (159,311 | ) | $ | 488,766 | ||||||||||||||||||
(1) | If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, represents a deterioration of the referenced entitys credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | Notional amount represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
# | Notional Amount is shown in U.S. dollars unless otherwise stated. |
Various inputs are used in determining the value of the Funds investments. These inputs are summarized in the three broad levels listed below.
Level 1 - quoted prices generally for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value.
Level 2 - other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.
Level 3 - significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of April 30, 2011 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
||||||||||||
Common Stocks |
$ | 53,258,349 | $ | | $ | | ||||||
Exchange Traded Fund |
28,706 | | | |||||||||
Preferred Stocks |
342,559 | | | |||||||||
Asset-Backed Securities |
| 2,014,805 | 399,322 | |||||||||
Bank Loan |
| 1,032,203 | | |||||||||
Corporate Bonds |
| 34,484,001 | | |||||||||
Foreign Government Bonds |
| 5,559,208 | | |||||||||
Municipal Bonds |
| 3,630,589 | | |||||||||
Residential Mortgage-Backed Securities |
| 4,082,991 | | |||||||||
U.S. Government Mortgage-Backed Obligations |
| 11,078,500 | | |||||||||
U.S. Treasury Obligations |
| 11,563,230 | | |||||||||
U.S. Government Agency Obligation |
| 299,978 | | |||||||||
Affiliated Money Market Mutual Fund |
3,282,765 | | | |||||||||
Repurchase Agreement |
| 1,900,000 | | |||||||||
Options Written |
(41,156 | ) | (67,931 | ) | (27,449 | ) | ||||||
Other Financial Instruments* |
||||||||||||
Futures |
30,412 | | | |||||||||
Forward foreign currency exchange contracts |
| 1,874 | | |||||||||
Interest rate swap agreements |
| (10,616 | ) | | ||||||||
Credit default swap agreements |
| 354,022 | | |||||||||
Total |
$ | 56,901,635 | $ | 75,922,854 | $ | 371,873 | ||||||
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
The following is a summary of the fair value of the derivative instruments utilized by the Fund as of April 30, 2011 categorized by risk exposure:
Derivative Fair
Value at 04/30/11 |
||||
Credit contracts |
$ | 342,115 | ||
Foreign exchange contracts |
1,874 | |||
Interest rate contracts |
(104,833 | ) | ||
Total |
$ | 239,156 | ||
Target Growth Allocation Fund
Schedule of Investments
as of April 30, 2011 (Unaudited)
Shares |
Description |
Value | ||
LONG-TERM INVESTMENTS 96.6% | ||||
COMMON STOCKS 96.1% | ||||
Aerospace & Defense 3.1% | ||||
1,500 | AAR Corp. |
$ 39,060 | ||
28,800 | BAE Systems PLC (United Kingdom) |
157,739 | ||
5,330 | Boeing Co. (The) |
425,227 | ||
1,700 | Elbit Systems Ltd. (Israel) |
96,159 | ||
8,200 | Embraer SA, ADR (Brazil) |
266,336 | ||
6,200 | Finmeccanica SpA (Italy) |
83,750 | ||
18,867 | General Dynamics Corp. |
1,373,895 | ||
2,460 | Goodrich Corp. |
217,390 | ||
4,150 | Hexcel Corp.* |
89,349 | ||
6,890 | Honeywell International, Inc. |
421,875 | ||
2,116 | Huntington Ingalls Industries, Inc.* |
84,640 | ||
12,216 | Lockheed Martin Corp. |
968,118 | ||
1,125 | Moog, Inc. (Class A Stock)* |
49,635 | ||
12,700 | Northrop Grumman Corp. |
807,847 | ||
800 | Teledyne Technologies, Inc.* |
40,392 | ||
981 | Triumph Group, Inc. |
84,484 | ||
12,419 | United Technologies Corp. |
1,112,494 | ||
6,318,390 | ||||
Air Freight & Logistics 0.2% |
||||
1,547 | Atlas Air Worldwide Holdings, Inc.* |
106,604 | ||
3,510 | FedEx Corp. |
335,802 | ||
442,406 | ||||
Airlines 0.1% |
||||
100,100 | Air New Zealand Ltd. (New Zealand) |
89,917 | ||
9,840 | JetBlue Airways Corp.* |
55,694 | ||
145,611 | ||||
Apparel & Textile 0.1% |
||||
1,150 | Hanesbrands, Inc.* |
37,387 | ||
1,425 | Wolverine World Wide, Inc. |
56,544 | ||
27,000 | Yue Yuen Industrial Holdings Ltd. (Bermuda) |
93,346 | ||
187,277 | ||||
Auto Components 0.2% |
||||
8,320 | Johnson Controls, Inc. |
341,203 | ||
Auto Parts & Equipment 0.2% |
||||
7,357 | American Axle & Manufacturing Holdings, Inc.* |
94,170 | ||
1,800 | Keihin Corp. (Japan) |
34,018 | ||
4,954 | Meritor, Inc.* |
85,258 | ||
1,900 | Valeo SA (France)* |
120,996 | ||
2,214 | WABCO Holdings, Inc.* |
163,504 | ||
497,946 | ||||
Auto Related | ||||
1,250 | Tenneco, Inc.* |
57,763 | ||
Automobile Manufacturers 0.4% |
||||
1,800 | Daimler AG (Germany) |
139,142 | ||
2,800 | General Motors Co.* |
89,852 | ||
1,180 | Hyundai Motor Co. (South Korea) |
271,423 | ||
12,000 | Nissan Shatai Co. Ltd. (Japan) |
89,355 | ||
5,782 | Toyota Motor Corp. (Japan) |
230,239 | ||
820,011 | ||||
Automobiles 0.1% |
||||
5,000 | Harley-Davidson, Inc. |
186,300 | ||
Automotive Parts 0.1% |
||||
1,180 | BorgWarner, Inc.* |
91,143 | ||
100 | Georg Fischer AG (Switzerland)* |
65,318 | ||
17,500 | Yokohama Rubber Co. Ltd. (The) (Japan) |
88,886 | ||
245,347 | ||||
Banks 0.5% |
||||
7,100 | Banco Espanol de Credito SA (Spain) |
66,420 | ||
3,234 | FirstMerit Corp. |
56,498 | ||
27,000 | Fukuoka Financial Group, Inc. (Japan) |
111,176 | ||
2,796 | Julius Baer Group Ltd. (Switzerland)* |
130,652 | ||
41,300 | Mitsubishi UFJ Financial Group, Inc. (Japan) |
197,043 | ||
34,000 | Nishi-Nippon City Bank Ltd. (The) (Japan) |
95,568 | ||
7,790 | Standard Chartered PLC (United Kingdom) |
215,868 | ||
28,600 | Turkiye Garanti Bankasi A/S (Turkey) |
148,171 | ||
629 | UMB Financial Corp. |
26,487 | ||
1,400 | United Bankshares, Inc. |
36,624 | ||
1,084,507 | ||||
Beverages 0.9% |
||||
4,770 | Coca-Cola Co. (The) |
321,784 | ||
7,899 | Diageo PLC (United Kingdom) |
160,703 | ||
3,447 | Green Mountain Coffee Roasters, Inc.* |
230,811 | ||
8,200 | Greene King PLC (United Kingdom) |
67,060 | ||
7,100 | Molson Coors Brewing Co. (Class B Stock) |
346,125 | ||
6,713 | PepsiCo, Inc. |
462,459 | ||
774 | Pernod-Ricard SA (France) |
77,795 | ||
3,931 | SABMiller PLC (United Kingdom) |
146,720 | ||
1,813,457 | ||||
Biotechnology 0.3% |
||||
8,526 | Amgen, Inc.* |
484,703 | ||
839 | Regeneron Pharmaceuticals, Inc.* |
42,881 | ||
2,080 | Seattle Genetics, Inc.* |
34,549 | ||
562,133 | ||||
Building Materials & Construction 0.1% | ||||
2,900 | Lafarge SA (France) |
205,210 | ||
750 | Lennox International, Inc. |
36,457 | ||
375 | NCI Building Systems, Inc.* |
4,643 | ||
246,310 | ||||
Building Products |
||||
725 | A.O. Smith Corp. |
31,878 | ||
Business Services 0.2% |
||||
2,331 | ICON PLC, ADR (Ireland)* |
57,249 | ||
1,330 | MasterCard, Inc. (Class A Stock) |
366,934 | ||
1,100 | URS Corp.* |
49,225 | ||
473,408 | ||||
Capital Markets 1.4% |
||||
4,475 | Apollo Investment Corp. |
53,029 | ||
4,525 | Ares Capital Corp. |
80,137 | ||
2,375 | Fifth Street Finance Corp. |
31,659 | ||
14,881 | Goldman Sachs Group, Inc. (The) |
2,247,180 | ||
675 | KBW, Inc. |
15,336 | ||
6,000 | Morgan Stanley |
156,900 | ||
4,200 | State Street Corp. |
195,510 | ||
1,325 | Waddell & Reed Financial, Inc. (Class A Stock) |
54,338 | ||
2,834,089 | ||||
Chemicals 4.9% |
||||
2,797 | Air Products & Chemicals, Inc. |
267,169 | ||
1,910 | Airgas, Inc. |
132,650 | ||
1,700 | BASF SE (Germany)* |
174,746 | ||
3,355 | BASF SE, ADR (Germany)* |
345,431 | ||
11,070 | Celanese Corp. (Class A Stock) |
552,614 | ||
5,300 | Clariant AG (Switzerland)* |
109,983 | ||
52,723 | Dow Chemical Co. (The) |
2,161,116 | ||
6,348 | Huntsman Corp. |
132,356 | ||
1,755 | Intrepid Potash, Inc.* |
60,126 | ||
20,500 | Kingboard Chemical Holdings Ltd. (Cayman Islands) |
112,316 | ||
2,600 | Koninklijke DSM NV (Netherlands) |
179,264 | ||
23,518 | Monsanto Co. |
1,600,165 | ||
9,000 | Nippon Shokubai Co. Ltd. (Japan) |
116,834 | ||
2,390 | Potash Corp. of Saskatchewan, Inc. (Canada) |
134,748 | ||
15,781 | PPG Industries, Inc. |
1,493,987 | ||
18,968 | Praxair, Inc. |
2,018,575 | ||
2,500 | Scotts Miracle-Gro Co. (The) (Class A Stock) |
141,175 | ||
1,500 | Sensient Technologies Corp. |
56,835 | ||
800 | Solutia, Inc.* |
21,080 | ||
19,000 | Toagosei Co. Ltd. (Japan) |
102,127 | ||
1,600 | Valspar Corp. (The) |
62,896 | ||
9,976,193 | ||||
Clothing & Apparel 0.8% |
||||
2,000 | Adidas AG (Germany) |
148,885 | ||
16,843 | NIKE, Inc. (Class B Stock) |
1,386,516 | ||
1,535,401 | ||||
Commercial Banks 3.1% |
||||
12,700 | Bank Hapoalim BM (Israel)* |
66,501 | ||
14,600 | Bank of Ireland (Ireland)* |
6,055 | ||
22,377 | Fifth Third Bancorp |
296,943 | ||
5,688 | HSBC Holdings PLC, ADR (United Kingdom) |
309,825 | ||
33,565 | KeyCorp |
291,009 | ||
38,581 | PNC Financial Services Group, Inc. |
2,405,140 | ||
1,325 | Prosperity Bancshares, Inc. |
60,751 | ||
23,600 | Regions Financial Corp. |
173,224 | ||
1,500 | Societe Generale (France) |
100,333 | ||
11,920 | Sumitomo Mitsui Trust Holdings, Inc. (Japan) |
40,559 | ||
12,010 | SunTrust Banks, Inc. |
338,562 | ||
1,499 | Trustmark Corp. |
34,837 | ||
300 | Verwaltungs-und Privat-Bank AG (Liechtenstein) |
39,676 | ||
74,149 | Wells Fargo & Co. |
2,158,477 | ||
6,321,892 | ||||
Commercial Services 0.5% |
||||
1,318 | Acacia Research - Acacia Technologies* |
54,183 | ||
12,900 | Berendsen PLC (United Kingdom) |
111,939 | ||
550 | Consolidated Graphics, Inc.* |
30,883 | ||
2,250 | Corrections Corp. of America* |
56,002 | ||
4,505 | GEO Group, Inc. (The)* |
120,193 | ||
1,050 | KAR Auction Services, Inc.* |
20,475 | ||
975 | McGrath RentCorp. |
27,680 | ||
4,530 | Moodys Corp. |
177,304 | ||
1,571 | PAREXEL International Corp.* |
43,611 | ||
2,040 | Sothebys |
103,061 | ||
2,702 | SuccessFactors, Inc.* |
93,678 | ||
775 | United Rentals, Inc.* |
22,801 | ||
2,580 | Verisk Analytics, Inc. (Class A Stock)* |
84,882 | ||
4,127 | Waste Connections, Inc. |
126,988 | ||
1,073,680 | ||||
Commercial Services & Supplies 0.1% |
||||
1,465 | Monster Worldwide, Inc.* |
24,040 | ||
5,482 | Waste Management, Inc. |
216,320 | ||
240,360 | ||||
Communication Equipment 0.1% |
||||
4,250 | Juniper Networks, Inc.* |
162,903 | ||
Computer Hardware 2.2% |
||||
12,245 | Apple, Inc.* |
4,264,076 | ||
1,004 | Logitech International SA (Switzerland)* |
13,905 | ||
4,042 | Radiant Systems, Inc.* |
80,517 | ||
4,358,498 | ||||
Computer Services & Software 2.3% | ||||
17,191 | Accenture PLC (Class A Stock) (Ireland) |
982,122 | ||
3,583 | Allscripts Healthcare Solutions, Inc.* |
77,178 | ||
6,030 | Autodesk, Inc.* |
271,229 | ||
3,800 | Cognizant Technology Solutions Corp. (Class A Stock)* |
315,020 | ||
33,300 | EMC Corp.* |
943,722 | ||
2,088 | Fortinet, Inc.* |
101,686 | ||
1,400 | Global Payments, Inc. |
74,536 | ||
2,108 | Informatica Corp.* |
118,069 | ||
2,100 | Itochu Techno-Solutions Corp. (Japan) |
73,525 | ||
3,500 | MSCI, Inc. (Class A Stock)* |
124,145 | ||
7,380 | Nuance Communications, Inc.* |
152,766 | ||
3,320 | Red Hat, Inc.* |
157,600 | ||
1,963 | Riverbed Technology, Inc.* |
68,980 | ||
4,063 | salesforce.com, Inc.* |
563,132 | ||
4,624 | SAP AG (Germany) |
297,925 | ||
4,400 | Tieto Oyj (Finland) |
81,137 | ||
2,800 | VeriFone Systems, Inc.* |
153,496 | ||
4,556,268 | ||||
Computers & Peripherals 0.5% |
||||
21,400 | Hewlett-Packard Co. |
863,918 | ||
2,400 | QLogic Corp.* |
43,152 | ||
907,070 | ||||
Construction 0.2% |
||||
600 | Ciments Francais SA (France) |
63,417 | ||
10,700 | COMSYS Holdings Corp. (Japan) |
111,597 | ||
26,625 | Downer EDI Ltd. (Australia) |
107,979 | ||
1,400 | Meritage Homes Corp.* |
33,474 | ||
1,997 | Texas Industries, Inc. |
84,214 | ||
400,681 | ||||
Construction & Engineering |
||||
925 | MYR Group, Inc.* |
23,060 | ||
Consumer Finance 0.5% |
||||
14,148 | American Express Co. |
694,384 | ||
5,500 | Capital One Financial Corp. |
301,015 | ||
1,050 | First Cash Financial Services, Inc.* |
41,202 | ||
1,036,601 | ||||
Consumer Products & Services 0.6% |
||||
2,020 | Avon Products, Inc. |
59,348 | ||
1,700 | Colgate-Palmolive Co. |
143,395 | ||
5,862 | Lauder, (Estee) Cos., Inc. (The) (Class A Stock) |
568,614 | ||
59,700 | Pacific Brands Ltd. (Australia) |
47,769 | ||
3,682 | Reckitt Benckiser Group PLC (United Kingdom) |
204,432 | ||
900 | Snap-on, Inc. |
55,593 | ||
3,689 | Vitamin Shoppe, Inc.* |
143,945 | ||
1,223,096 | ||||
Containers & Packaging 0.2% |
||||
2,400 | Packaging Corp. of America |
68,472 | ||
23,200 | Rexam PLC (United Kingdom) |
151,365 | ||
2,000 | Silgan Holdings, Inc. |
91,720 | ||
311,557 | ||||
Cosmetics & Toiletries 0.1% |
||||
5,700 | Natura Cosmeticos SA (Brazil) |
159,964 | ||
Distribution/Wholesale 0.4% |
||||
64,000 | Li & Fung Ltd. (Bermuda) |
327,159 | ||
16,000 | Marubeni Corp. (Japan) |
115,589 | ||
13,600 | Sumitomo Corp. (Japan) |
185,603 | ||
4,800 | Toyota Tsusho Corp. (Japan) |
79,354 | ||
707,705 | ||||
Diversified Financial Services 3.9% |
||||
4,140 | Affiliated Managers Group, Inc.* |
451,591 | ||
4,811 | Ameriprise Financial, Inc. |
298,571 | ||
122,812 | Bank of America Corp. |
1,508,131 | ||
969 | BlackRock, Inc. |
189,866 | ||
18,420 | BM&FBOVESPA SA (Brazil) |
138,279 | ||
24,000 | Challenger Ltd. (Australia) |
126,796 | ||
474,980 | Citigroup, Inc.* |
2,180,158 | ||
2,446 | Duff & Phelps Corp. (Class A Stock) |
37,644 | ||
3,500 | Fuyo General Lease Co. Ltd. (Japan) |
108,303 | ||
2,657 | Janus Capital Group, Inc. |
32,336 | ||
58,351 | JPMorgan Chase & Co. |
2,662,556 | ||
2,022 | optionsXpress Holdings, Inc. |
37,286 | ||
9,800 | Tullett Prebon PLC (United Kingdom) |
68,833 | ||
7,840,350 | ||||
Diversified Manufacturing Operations 0.5% |
||||
19,046 | Eaton Corp. |
1,019,532 | ||
Diversified Operations 0.2% |
||||
2,387 | LVMH Moet Hennessy Louis Vuitton SA (France) |
428,681 | ||
Diversified Telecommunication Services 1.1% |
||||
31,048 | AT&T, Inc. |
966,214 | ||
9,000 | CenturyLink, Inc. |
367,020 | ||
25,664 | Verizon Communications, Inc. |
969,586 | ||
2,302,820 | ||||
Electric 0.1% |
||||
1,200 | Cleco Corp. |
42,120 | ||
2,100 | E.ON AG (Germany) |
71,788 | ||
1,800 | RWE AG (Germany) |
117,454 | ||
231,362 | ||||
Electric Utilities 1.6% |
||||
20,324 | American Electric Power Co., Inc. |
741,419 | ||
24,900 | Edison International |
977,823 | ||
32,500 | Enel SpA (Italy) |
231,734 | ||
18,600 | Exelon Corp. |
783,990 | ||
14,632 | PPL Corp. |
401,356 | ||
3,136,322 | ||||
Electrical Equipment 0.1% |
||||
1,700 | EnerSys* |
64,413 | ||
7,731 | GrafTech International Ltd.* |
179,359 | ||
243,772 | ||||
Electronic Components & Equipment 1.0% |
||||
22,013 | Agilent Technologies, Inc.* |
1,098,669 | ||
3,790 | Broadcom Corp. (Class A Stock)* |
133,332 | ||
2,000 | Checkpoint Systems, Inc.* |
42,120 | ||
1,888 | Coherent, Inc.* |
118,019 | ||
2,407 | DTS, Inc.* |
106,053 | ||
944 | Fanuc Corp. (Japan) |
156,528 | ||
2,800 | FLIR Systems, Inc. |
98,616 | ||
851 | Universal Display Corp.* |
46,754 | ||
2,922 | Universal Electronics, Inc.* |
80,910 | ||
1,987 | Vestas Wind Systems A/S (Denmark)* |
70,560 | ||
1,951,561 | ||||
Electronic Equipment & Instruments 0.2% |
||||
760 | Itron, Inc.* |
41,367 | ||
9,375 | TE Connectivity Ltd. (Switzerland) |
336,094 | ||
377,461 | ||||
Electronics 0.1% |
||||
2,446 | Gentex Corp. |
76,682 | ||
450 | Tech Data Corp.* |
23,909 | ||
725 | Thomas & Betts Corp.* |
42,028 | ||
142,619 | ||||
Energy - Alternate Sources |
||||
600 | First Solar, Inc.* |
83,742 | ||
Energy Equipment & Services 1.0% |
||||
5,200 | Diamond Offshore Drilling, Inc. |
394,524 | ||
27,921 | Halliburton Co. |
1,409,452 | ||
875 | Oil States International, Inc.* |
72,634 | ||
1,050 | Unit Corp.* |
66,171 | ||
1,942,781 | ||||
Engineering & Construction 0.2% |
||||
6,740 | Fluor Corp. |
471,396 | ||
975 | MasTec, Inc.* |
22,113 | ||
493,509 | ||||
Entertainment & Leisure 0.6% |
||||
2,491 | Bally Technologies, Inc.* |
97,124 | ||
13,241 | Carnival Corp. (Panama) |
504,085 | ||
5,506 | Carnival PLC (United Kingdom) |
222,105 | ||
1,450 | Las Vegas Sands Corp.* |
68,165 | ||
1,500 | Life Time Fitness, Inc.* |
58,680 | ||
3,347 | Pinnacle Entertainment, Inc.* |
46,456 | ||
8,859 | Shuffle Master, Inc.* |
96,829 | ||
10,500 | Tabcorp Holdings Ltd. (Australia) |
87,814 | ||
24,000 | Thomas Cook Group PLC (United Kingdom) |
68,671 | ||
1,249,929 | ||||
Environmental Control 0.1% |
||||
1,440 | Stericycle, Inc.* |
131,443 | ||
Equipment Services |
||||
2,600 | Kyoei Steel Ltd. (Japan) |
45,612 | ||
Farming & Agriculture 0.1% |
||||
1,340 | Bunge Ltd. (Bermuda) |
101,090 | ||
78,366 | Chaoda Modern Agriculture Holdings Ltd. (Cayman Islands) |
48,737 | ||
149,827 | ||||
Financial - Bank & Trust 1.4% |
||||
3,050 | Astoria Financial Corp. |
44,134 | ||
9,500 | Banco Bilbao Vizcaya Argentaria SA (Spain) |
121,854 | ||
17,900 | Banco Santander SA (Spain) |
228,592 | ||
575 | Bank of Hawaii Corp. |
28,054 | ||
25,900 | Barclays PLC (United Kingdom) |
122,128 | ||
5,801 | BNP Paribas (France) |
459,079 | ||
5,980 | Charles Schwab Corp. (The) |
109,494 | ||
70,606 | China Merchants Bank Co. Ltd. (Class H Stock) (China) |
181,828 | ||
7,600 | Credit Agricole SA (France) |
126,526 | ||
8,400 | Credit Suisse Group AG (Switzerland) |
381,739 | ||
2,200 | Danske Bank A/S (Denmark)* |
52,869 | ||
6,350 | Deutsche Bank AG (Germany) |
414,775 | ||
3,561 | Dexia NV/SA (Belgium)* |
14,188 | ||
96,100 | Mizuho Financial Group, Inc. (Japan) |
151,646 | ||
6,200 | National Australia Bank Ltd. (Australia) |
184,030 | ||
6,400 | Sumitomo Mitsui Financial Group, Inc. (Japan) |
196,856 | ||
2,817,792 | ||||
Financial Services 1.2% |
||||
3,050 | Associated Banc-Corp. |
44,530 | ||
3,700 | DnB NOR ASA (Norway) |
60,155 | ||
1,700 | Eaton Vance Corp. |
57,409 | ||
4,000 | Hitachi Capital Corp. (Japan) |
56,759 | ||
11,510 | Hong Kong Exchanges and Clearing Ltd. (Hong Kong) |
262,620 | ||
264,400 | Industrial & Commercial Bank of China Ltd. (Class H Stock) (China) |
223,674 | ||
10,900 | Irish Life & Permanent Group Holdings PLC (Ireland)* |
2,422 | ||
2,100 | Jefferies Group, Inc. |
50,757 | ||
800 | Muenchener Rueckversicherungs-Gesellschaft AG (Germany) |
132,059 | ||
2,150 | Raymond James Financial, Inc. |
80,625 | ||
50,950 | U.S. Bancorp |
1,315,529 | ||
1,358 | Visa, Inc. (Class A Stock) |
106,087 | ||
2,392,626 | ||||
Food 1.1% |
||||
1,300 | Axfood AB (Sweden) |
47,762 | ||
700 | Casino Guichard Perrachon SA (France) |
73,686 | ||
11,800 | Dairy Crest Group PLC (United Kingdom) |
79,234 | ||
2,000 | Delhaize Group (Belgium) |
173,176 | ||
3,495 | Fresh Market, Inc. (The)* |
146,161 | ||
88,500 | Goodman Fielder Ltd. (Australia) |
104,280 | ||
5,200 | Koninklijke Ahold NV (Netherlands) |
73,007 | ||
14,614 | Kraft Foods, Inc. (Class A Stock) |
490,738 | ||
34,870 | Marstons PLC (United Kingdom) |
63,138 | ||
12,273 | Nestle SA (Switzerland) |
761,919 | ||
17,000 | Nichirei Corp. (Japan) |
74,401 | ||
46,600 | Northern Foods PLC (United Kingdom) |
56,627 | ||
900 | Nutreco NV (Netherlands) |
70,051 | ||
1,150 | Whole Foods Market, Inc. |
72,174 | ||
2,286,354 | ||||
Food & Staples Retailing 1.6% |
||||
2,092 | BJs Restaurants, Inc.* |
98,219 | ||
35,111 | CVS Caremark Corp. |
1,272,423 | ||
20,000 | Safeway, Inc. |
486,200 | ||
23,618 | Wal-Mart Stores, Inc. |
1,298,518 | ||
3,155,360 | ||||
Food Products 0.3% |
||||
8,700 | ConAgra Foods, Inc. |
212,715 | ||
10,070 | Unilever NV (Netherlands) |
332,310 | ||
545,025 | ||||
Gas Utilities 0.2% |
||||
7,608 | Sempra Energy |
419,201 | ||
Hand/Machine Tools 0.1% |
||||
1,148 | Regal-Beloit Corp. |
87,007 | ||
2,320 | Stanley Black & Decker, Inc. |
168,548 | ||
255,555 | ||||
Healthcare Equipment & Supplies 0.3% |
||||
2,234 | Arthrocare Corp.* |
78,927 | ||
7,840 | Medtronic, Inc. |
327,320 | ||
975 | Teleflex, Inc. |
61,435 | ||
3,186 | Thoratec Corp.* |
97,810 | ||
825 | West Pharmaceutical Services, Inc. |
38,973 | ||
604,465 | ||||
Healthcare Products 0.6% |
||||
3,852 | Bruker Corp.* |
76,039 | ||
900 | Cantel Medical Corp. |
23,337 | ||
1,688 | Cepheid, Inc.* |
54,539 | ||
15,038 | Covidien PLC (Ireland) |
837,466 | ||
2,812 | Delcath Systems, Inc.* |
19,881 | ||
1,340 | Gen-Probe, Inc.* |
111,113 | ||
640 | IDEXX Laboratories, Inc.* |
52,115 | ||
1,174,490 | ||||
Healthcare Providers & Services 0.5% |
||||
1,100 | Amedisys, Inc.* |
36,652 | ||
4,800 | CIGNA Corp. |
224,784 | ||
900 | MEDNAX, Inc.* |
63,828 | ||
13,370 | UnitedHealth Group, Inc. |
658,205 | ||
983,469 | ||||
Healthcare Services 0.4% |
||||
1,400 | AMERIGROUP Corp.* |
95,620 | ||
2,494 | Centene Corp.* |
90,358 | ||
800 | Covance, Inc.* |
50,080 | ||
1,700 | Healthways, Inc.* |
28,764 | ||
6,034 | WellPoint, Inc. |
463,351 | ||
728,173 | ||||
Healthcare Technology |
||||
14,700 | AGFA-Gevaert NV (Belgium)* |
65,537 | ||
Holding Companies 0.1% |
||||
94,000 | Dah Chong Hong Holdings Ltd. (Hong Kong) |
107,480 | ||
Hotels, Restaurants & Leisure 1.7% |
||||
1,025 | Buffalo Wild Wings, Inc.* |
62,628 | ||
21,365 | McDonalds Corp. |
1,673,093 | ||
3,095 | Orient-Express Hotels Ltd. (Class A Stock) (Bermuda)* |
37,976 | ||
6,195 | Wynn Resorts Ltd. |
911,594 | ||
14,288 | Yum! Brands, Inc. |
766,408 | ||
3,451,699 | ||||
Household Products 0.1% |
||||
600 | Helen of Troy Ltd. (Bermuda)* |
18,672 | ||
4,000 | Kimberly-Clark Corp. |
264,240 | ||
282,912 | ||||
Independent Power Producers & Energy Traders |
||||
10,000 | Drax Group PLC (United Kingdom) |
73,478 | ||
Industrial Conglomerates 0.7% |
||||
840 | 3M Co. |
81,656 | ||
58,897 | General Electric Co. |
1,204,444 | ||
3,675 | Tyco International Ltd. (Switzerland) |
179,120 | ||
1,465,220 | ||||
Industrial Products 0.7% |
||||
1,300 | Harsco Corp. |
46,280 | ||
21,200 | Kurabo Industries Ltd. (Japan) |
37,897 | ||
8,637 | Precision Castparts Corp. |
1,334,589 | ||
1,418,766 | ||||
Insurance 3.9% |
||||
3,021 | ACE Ltd. (Switzerland) |
203,162 | ||
10,121 | Aflac, Inc. |
568,699 | ||
2,690 | Allianz SE (Germany) |
423,531 | ||
32,600 | Allstate Corp. (The) |
1,103,184 | ||
13,800 | Aviva PLC (United Kingdom) |
102,991 | ||
1,100 | Baloise Holding AG (Switzerland)* |
121,636 | ||
31,500 | Beazley PLC (United Kingdom) |
68,874 | ||
34,977 | China Life Insurance Co. Ltd. (Class H Stock) (China) |
124,303 | ||
7,725 | CNO Financial Group, Inc.* |
62,264 | ||
84 | Dai-ichi Life Insurance Co. Ltd. (The) (Japan) |
137,937 | ||
1,475 | Delphi Financial Group, Inc. (Class A Stock) |
47,126 | ||
22,200 | Genworth Financial, Inc. (Class A Stock)* |
270,618 | ||
50 | Hanover Insurance Group, Inc. (The) |
2,111 | ||
2,137 | HCC Insurance Holdings, Inc. |
69,538 | ||
21,900 | ING Groep NV, CVA (Netherlands)* |
288,691 | ||
56,100 | Legal & General Group PLC (United Kingdom) |
115,071 | ||
15,563 | Lincoln National Corp. |
486,033 | ||
4,900 | Loews Corp. |
216,874 | ||
7,000 | Marsh & McLennan Cos., Inc. |
211,960 | ||
30,451 | MetLife, Inc. |
1,424,802 | ||
36,200 | Old Mutual PLC (United Kingdom) |
84,048 | ||
2,200 | Protective Life Corp. |
59,202 | ||
1,200 | Reinsurance Group of America, Inc. |
75,960 | ||
2,400 | SCOR SE (France) |
73,317 | ||
1,200 | State Auto Financial Corp. |
20,376 | ||
2,500 | Swiss Reinsurance Co. Ltd. (Switzerland)* |
148,988 | ||
1,975 | Tower Group, Inc. |
45,168 | ||
6,000 | Travelers Cos., Inc. (The) |
379,680 | ||
1,100 | United Fire & Casualty Co. |
21,780 | ||
3,600 | Unum Group |
95,328 | ||
24,466 | XL Group PLC (Ireland) |
597,460 | ||
800 | Zurich Financial Services AG (Switzerland)* |
224,740 | ||
7,875,452 | ||||
Internet Services 2.6% |
||||
9,450 | Amazon.com, Inc.* |
1,856,925 | ||
1,400 | Digital River, Inc.* |
45,556 | ||
3,582 | F5 Networks, Inc.* |
363,072 | ||
1,450 | Google, Inc. (Class A Stock)* |
788,945 | ||
3,293 | priceline.com, Inc.* |
1,801,304 | ||
5,039 | Sapient Corp.* |
63,617 | ||
4,783 | TIBCO Software, Inc.* |
143,442 | ||
2,944 | Youku.com, Inc., ADR (Cayman Islands)* |
174,049 | ||
5,236,910 | ||||
Internet Software & Services 2.7% |
||||
11,851 | Baidu, Inc., ADR (Cayman Islands)* |
1,760,110 | ||
101,280 | Oracle Corp. |
3,651,144 | ||
2,630 | VeriSign, Inc. |
97,205 | ||
5,508,459 | ||||
Investment Company 0.3% |
||||
691,000 | Hutchison Port Holdings Trust (Singapore)* |
635,720 | ||
IT Services 1.0% |
||||
1,050 | CACI International, Inc. (Class A Stock)* |
64,166 | ||
10,233 | International Business Machines Corp. |
1,745,545 | ||
50,600 | Logica PLC (United Kingdom) |
113,932 | ||
1,923,643 | ||||
Life Sciences Tools & Services 0.4% |
||||
12,795 | Thermo Fisher Scientific, Inc.* |
767,572 | ||
Machinery 0.7% |
||||
2,425 | Actuant Corp. (Class A Stock) |
67,318 | ||
1,600 | Bucyrus International, Inc. |
146,320 | ||
5,202 | Cummins, Inc. |
625,176 | ||
375 | Lincoln Electric Holdings, Inc. |
29,468 | ||
4,500 | PACCAR, Inc. |
238,995 | ||
2,200 | Parker Hannifin Corp. |
207,504 | ||
725 | Valmont Industries, Inc. |
76,342 | ||
1,391,123 | ||||
Machinery & Equipment 0.6% |
||||
8,700 | Kyowa Exeo Corp. (Japan) |
91,167 | ||
1,100 | Rheinmetall AG (Germany) |
98,669 | ||
12,779 | Rockwell Automation, Inc. |
1,113,434 | ||
1,303,270 | ||||
Machinery - Construction & Mining 0.2% |
||||
9,663 | Komatsu Ltd. (Japan) |
338,321 | ||
Manufacturing 1.4% |
||||
10,500 | Cookson Group PLC (United Kingdom)* |
125,489 | ||
32,568 | Danaher Corp. |
1,799,056 | ||
10,070 | Illinois Tool Works, Inc. |
588,189 | ||
2,100 | Siemens AG (Germany) |
305,505 | ||
2,818,239 | ||||
Media 2.7% |
||||
10,500 | CBS Corp. (Class B Stock) |
264,810 | ||
12,307 | Comcast Corp. (Class A Stock) |
322,936 | ||
22,780 | Comcast Corp. (Special Class A Stock) |
559,249 | ||
5,240 | DIRECTV (Class A Stock)* |
254,612 | ||
1,360 | Discovery Communications, Inc. (Class A Stock)* |
60,194 | ||
6,548 | Pearson PLC (United Kingdom) |
125,889 | ||
3,165 | Publicis Groupe SA (France) |
179,357 | ||
7,235 | Time Warner Cable, Inc. |
565,270 | ||
46,585 | Time Warner, Inc. |
1,763,708 | ||
7,850 | Viacom, Inc. (Class B Stock) |
401,606 | ||
18,642 | Walt Disney Co. (The) |
803,470 | ||
1,000 | Wiley, (John) & Sons, Inc. (Class A Stock) |
50,930 | ||
5,352,031 | ||||
Medical Supplies & Equipment 0.2% |
||||
3,200 | Fresenius Medical Care AG & Co. KGaA (Germany) |
251,488 | ||
1,315 | Quality Systems, Inc. |
117,982 | ||
1,861 | Sirona Dental Systems, Inc.* |
106,207 | ||
475,677 | ||||
Metals & Mining 2.2% |
||||
5,594 | Alpha Natural Resources, Inc.* |
325,403 | ||
6,500 | ArcelorMittal (Luxembourg) |
239,147 | ||
4,844 | BHP Billiton Ltd. (Australia) |
243,334 | ||
6,489 | BHP Billiton Ltd., ADR (Australia) |
656,946 | ||
23,600 | BlueScope Steel Ltd. (Australia) |
44,751 | ||
6,400 | Boliden AB (Sweden)* |
144,259 | ||
1,631 | Cloud Peak Energy, Inc.* |
33,957 | ||
32,904 | Freeport-McMoRan Copper & Gold, Inc. |
1,810,707 | ||
610 | Joy Global, Inc. |
61,580 | ||
3,075 | Mueller Water Products, Inc. (Class A Stock) |
13,530 | ||
2,140 | Northwest Pipe Co.* |
51,488 | ||
58,200 | OneSteel Ltd. (Australia) |
135,879 | ||
3,135 | RTI International Metals, Inc.* |
100,132 | ||
300 | Southern Copper Corp. |
11,238 | ||
4,030 | Teck Resources Ltd. (Class B Stock) (Canada) |
218,628 | ||
2,475 | Thompson Creek Metals Co., Inc. (Canada)* |
30,517 | ||
2,500 | ThyssenKrupp AG (Germany) |
115,030 | ||
1,700 | Timken Co. |
95,863 | ||
2,994 | Titanium Metals Corp.* |
59,970 | ||
506 | United States Steel Corp. |
24,141 | ||
4,416,500 | ||||
Multi-Line Insurance |
||||
3,100 | AXA SA (France) |
69,562 | ||
Multi-Line Retail 0.3% |
||||
13,800 | J.C. Penney Co., Inc. |
530,610 | ||
Multi-Utilities 0.6% |
||||
4,000 | Dominion Resources, Inc. |
185,680 | ||
1,550 | NorthWestern Corp. |
50,452 | ||
27,011 | Public Service Enterprise Group, Inc. |
868,944 | ||
1,105,076 | ||||
Office Electronics 0.3% |
||||
3,602 | Canon, Inc. (Japan) |
168,743 | ||
34,500 | Xerox Corp. |
348,105 | ||
516,848 | ||||
Oil & Gas 1.9% |
||||
13,947 | Anadarko Petroleum Corp. |
1,100,976 | ||
10,452 | BG Group PLC (United Kingdom) |
267,725 | ||
1,575 | Brigham Exploration Co.* |
52,810 | ||
9,200 | Caltex Australia Ltd. (Australia) |
143,093 | ||
2,483 | Cenovus Energy, Inc. (Canada) |
95,473 | ||
4,889 | Continental Resources, Inc.* |
335,776 | ||
9,510 | Hess Corp. |
817,480 | ||
2,460 | National Oilwell Varco, Inc. |
188,657 | ||
4,397 | Oasis Petroleum, Inc.* |
135,120 | ||
3,300 | Statoil ASA (Norway) |
96,548 | ||
4,300 | Total SA (France) |
275,266 | ||
4,800 | Total SA, ADR (France) |
308,304 | ||
3,817,228 | ||||
Oil, Gas & Consumable Fuels 8.5% |
||||
1,654 | Air Liquide SA (France) |
244,689 | ||
13,548 | Apache Corp. |
1,806,897 | ||
19,300 | BP PLC (United Kingdom) |
149,115 | ||
2,000 | Cabot Oil & Gas Corp. |
112,560 | ||
7,190 | Cameron International Corp.* |
379,057 | ||
4,570 | Canadian Natural Resources Ltd. (Canada) |
214,988 | ||
12,600 | Chesapeake Energy Corp. |
424,242 | ||
7,900 | Chevron Corp. |
864,576 | ||
107,725 | CNOOC Ltd. (Hong Kong) |
265,767 | ||
31,774 | ConocoPhillips |
2,507,922 | ||
900 | Core Laboratories NV (Netherlands) |
86,382 | ||
8,700 | ENI SpA (Italy) |
232,593 | ||
11,834 | EOG Resources, Inc. |
1,336,177 | ||
10,293 | Exxon Mobil Corp. |
905,784 | ||
990 | FMC Technologies, Inc.* |
46,015 | ||
12,800 | JX Holdings, Inc. (Japan) |
88,684 | ||
3,971 | Lufkin Industries, Inc. |
366,642 | ||
8,100 | Marathon Oil Corp. |
437,724 | ||
3,520 | Noble Energy, Inc. |
338,870 | ||
19,046 | Occidental Petroleum Corp. |
2,176,767 | ||
2,600 | OMV AG (Austria) |
118,572 | ||
1,000 | ONEOK, Inc. |
69,940 | ||
14,648 | Peabody Energy Corp. |
978,779 | ||
5,400 | Repsol YPF SA (Spain) |
192,837 | ||
1,675 | Resolute Energy Corp.* |
29,631 | ||
12,300 | Royal Dutch Shell PLC (Class B Stock) (United Kingdom) |
478,087 | ||
11,200 | Royal Dutch Shell PLC (Class B Stock), ADR (United Kingdom) |
877,632 | ||
8,783 | Schlumberger Ltd. (Netherlands) |
788,274 | ||
3,276 | Seadrill Ltd. (Bermuda) |
116,077 | ||
1,100 | South Jersey Industries, Inc. |
63,195 | ||
3,540 | Southwestern Energy Co.* |
155,264 | ||
1,500 | Swift Energy Co.* |
58,785 | ||
6,400 | Valero Energy Corp. |
181,120 | ||
1,400 | WGL Holdings, Inc. |
55,328 | ||
17,148,972 | ||||
Paper & Forest Products 0.1% |
||||
34,600 | DS Smith PLC (United Kingdom) |
125,355 | ||
2,625 | Louisiana-Pacific Corp.* |
24,412 | ||
7,700 | Svenska Cellulosa AB SCA (Class B Stock) (Sweden) |
118,002 | ||
267,769 | ||||
Pharmaceuticals 5.6% |
||||
17,875 | Abbott Laboratories |
930,215 | ||
1,910 | Allergan, Inc. |
151,960 | ||
6,840 | AmerisourceBergen Corp. |
277,978 | ||
5,600 | AstraZeneca PLC (United Kingdom) |
279,682 | ||
1,974 | BioMarin Pharmaceutical, Inc.* |
53,081 | ||
1,502 | Catalyst Health Solutions, Inc.* |
89,459 | ||
23,900 | Eli Lilly & Co. |
884,539 | ||
8,700 | GlaxoSmithKline PLC (United Kingdom) |
189,715 | ||
5,500 | H. Lundbeck A/S (Denmark) |
132,063 | ||
613 | Herbalife Ltd. (Cayman Islands) |
55,035 | ||
26,730 | Johnson & Johnson |
1,756,696 | ||
4,000 | Kyorin Holdings, Inc. (Japan) |
71,257 | ||
8,065 | Mead Johnson Nutrition Co. |
539,387 | ||
3,280 | Medco Health Solutions, Inc.* |
194,602 | ||
38,949 | Merck & Co., Inc. |
1,400,216 | ||
1,500 | Miraca Holdings, Inc. (Japan) |
56,771 | ||
7,567 | Novartis AG (Switzerland) |
449,209 | ||
6,900 | Novartis AG, ADR (Switzerland) |
408,273 | ||
2,318 | Novo Nordisk A/S (Class B Stock) (Denmark) |
293,024 | ||
95,048 | Pfizer, Inc. |
1,992,206 | ||
2,100 | Pharmaceutical Product Development, Inc. |
64,785 | ||
1,715 | Salix Pharmaceuticals Ltd.* |
67,382 | ||
3,800 | Sanofi-Aventis SA (France) |
300,555 | ||
36,999 | Sinopharm Group Co. (Class H Stock) (China) |
128,154 | ||
1,500 | Takeda Pharmaceutical Co. Ltd. (Japan) |
72,490 | ||
9,712 | Teva Pharmaceutical Industries Ltd., ADR (Israel) |
444,130 | ||
11,282,864 | ||||
Pipelines |
||||
2,250 | Kinder Morgan, Inc. |
64,305 | ||
Professional Services |
||||
1,300 | Towers Watson & Co. (Class A Stock) |
74,568 | ||
Real Estate Investment Trusts 0.9% |
||||
32,600 | Annaly Capital Management, Inc. |
581,584 | ||
2,312 | AvalonBay Communities, Inc. |
292,722 | ||
2,797 | Boston Properties, Inc. |
292,370 | ||
1,154 | Dupont Fabros Technology, Inc. |
28,227 | ||
1,700 | First Potomac Realty Trust |
27,591 | ||
1,700 | Government Properties Income Trust |
46,614 | ||
1,225 | Invesco Mortgage Capital, Inc. |
27,857 | ||
650 | Kilroy Realty Corp. |
27,261 | ||
850 | LaSalle Hotel Properties |
23,919 | ||
4,600 | Medical Properties Trust, Inc. |
56,764 | ||
2,973 | Redwood Trust, Inc. |
47,063 | ||
4,017 | Simon Property Group, Inc. |
460,107 | ||
1,912,079 | ||||
Retail 0.3% |
||||
4,400 | Aoyama Trading Co. Ltd. (Japan) |
72,416 | ||
4,734 | Genesco, Inc.* |
191,159 | ||
32,100 | Home Retail Group PLC (United Kingdom) |
117,906 | ||
43,536 | Kingfisher PLC (United Kingdom) |
199,616 | ||
1,500 | Tsuruha Holdings, Inc. (Japan) |
70,640 | ||
651,737 | ||||
Retail & Merchandising 3.6% |
||||
3,300 | Abercrombie & Fitch Co. (Class A Stock) |
233,640 | ||
4,451 | Cash America International, Inc. |
211,200 | ||
3,211 | Chicos FAS, Inc. |
46,977 | ||
164,652 | Cie Financiere Richemont SA, ADR (Switzerland) |
1,057,066 | ||
4,400 | Circle K Sunkus Co. Ltd. (Japan) |
67,371 | ||
4,960 | Costco Wholesale Corp. |
401,363 | ||
1,037 | Inditex SA (Spain) |
92,987 | ||
13,225 | Kohls Corp. |
697,090 | ||
10,130 | Lowes Cos., Inc. |
265,912 | ||
2,700 | NEXT PLC (United Kingdom) |
100,887 | ||
1,100 | Rallye SA (France) |
57,863 | ||
4,300 | Shimachu Co. Ltd. (Japan) |
100,085 | ||
31,531 | Starbucks Corp. |
1,141,107 | ||
13,141 | Target Corp. |
645,223 | ||
32,064 | TJX Cos., Inc. (The) |
1,719,272 | ||
58,400 | Wal-Mart de Mexico SAB de CV (Class V Stock) (Mexico) |
182,631 | ||
5,630 | Walgreen Co. |
240,514 | ||
7,261,188 | ||||
Retail Apparel 0.1% |
||||
6,319 | Hennes & Mauritz AB (Class B Stock) (Sweden) |
223,271 | ||
Retailers - Food & Drug 0.1% |
||||
40,095 | Tesco PLC (United Kingdom) |
270,267 | ||
Semiconductor Components 0.1% |
||||
14,200 | ARM Holdings PLC (United Kingdom) |
147,175 | ||
Semiconductors 0.6% |
||||
15,298 | Advanced Micro Devices, Inc.* |
139,212 | ||
7,160 | ASML Holding NV (Netherlands) |
299,002 | ||
600 | Cabot Microelectronics Corp.* |
29,310 | ||
8,500 | Intel Corp. |
197,115 | ||
2,257 | Netlogic Microsystems, Inc.* |
97,344 | ||
1,069 | OYO Geospace Corp.* |
99,716 | ||
675 | Silicon Laboratories, Inc.* |
29,416 | ||
3,898 | Teradyne, Inc.* |
62,758 | ||
1,550 | TriQuint Semiconductor, Inc.* |
21,343 | ||
1,635 | Varian Semiconductor Equipment Associates, Inc.* |
68,556 | ||
1,559 | Veeco Instruments, Inc.* |
79,712 | ||
1,123,484 | ||||
Software 1.6% |
||||
1,687 | ANSYS, Inc.* |
93,274 | ||
900 | Blackboard, Inc.* |
43,299 | ||
25,205 | CA, Inc. |
619,791 | ||
1,360 | Cerner Corp.* |
163,445 | ||
6,970 | Check Point Software Technologies Ltd. (Israel)* |
382,862 | ||
7,531 | Compuware Corp.* |
85,326 | ||
4,430 | Intuit, Inc.* |
246,131 | ||
2,611 | MedAssets, Inc.* |
41,828 | ||
49,901 | Microsoft Corp. |
1,298,424 | ||
2,362 | Progress Software Corp.* |
70,033 | ||
1,943 | QLIK Technologies, Inc.* |
62,293 | ||
1,125 | Tyler Technologies, Inc.* |
27,889 | ||
3,134,595 | ||||
Specialty Retail 1.0% |
||||
3,795 | Aarons, Inc. |
109,258 | ||
550 | DSW, Inc. (Class A Stock)* |
26,114 | ||
21,600 | Gap, Inc. (The) |
501,984 | ||
6,430 | Home Depot, Inc. (The) |
238,810 | ||
15,202 | Tiffany & Co. |
1,055,627 | ||
2,300 | Urban Outfitters, Inc.* |
72,358 | ||
2,004,151 | ||||
Steel Producers/Products |
||||
1,100 | Voestalpine AG (Austria) |
54,132 | ||
Telecommunications 1.8% |
||||
6,664 | Acme Packet, Inc.* |
550,513 | ||
2,260 | America Movil SAB de CV (Class L Stock), ADR (Mexico) |
129,272 | ||
4,100 | Arris Group, Inc.* |
49,200 | ||
61,900 | BT Group PLC (United Kingdom) |
202,446 | ||
8,310 | Cisco Systems, Inc. |
145,924 | ||
3,810 | Corning, Inc. |
79,781 | ||
3,793 | EMS Technologies, Inc.* |
95,811 | ||
3,000 | France Telecom SA (France) |
70,362 | ||
8,609 | HTC Corp. (Taiwan) |
390,792 | ||
35 | KDDI Corp. (Japan) |
232,139 | ||
1,866 | NICE Systems Ltd., ADR (Israel)* |
71,151 | ||
3,100 | Nippon Telegraph & Telephone Corp. (Japan) |
143,124 | ||
10,600 | Nokia Oyj (Finland) |
97,655 | ||
70 | NTT DoCoMo, Inc. (Japan) |
128,842 | ||
8,683 | QUALCOMM, Inc. |
493,542 | ||
1,100 | SBA Communications Corp. (Class A Stock)* |
42,493 | ||
66,600 | Telecom Italia SpA (Italy) |
100,322 | ||
13,012 | Telefonica SA (Spain) |
349,800 | ||
48,500 | Telstra Corp. Ltd. (Australia) |
154,697 | ||
6,400 | Vivendi (France) |
200,821 | ||
3,728,687 | ||||
Textiles, Apparel & Luxury Goods 0.2% |
||||
3,400 | Jones Group, Inc. (The) |
46,342 | ||
3,385 | Phillips-Van Heusen Corp. |
238,338 | ||
1,249 | Steven Madden Ltd.* |
66,384 | ||
351,064 | ||||
Thrifts & Mortgage Finance |
||||
3,025 | Washington Federal, Inc. |
48,672 | ||
Tobacco 0.7% |
||||
15,400 | Altria Group, Inc. |
413,336 | ||
6,594 | British American Tobacco PLC (United Kingdom) |
287,581 | ||
10,954 | Philip Morris International, Inc. |
760,646 | ||
1,461,563 | ||||
Trading Companies & Distributors |
||||
1,200 | WESCO International, Inc.* |
74,340 | ||
Transportation 1.7% |
||||
900 | Bristow Group, Inc.* |
41,760 | ||
2,440 | Canadian National Railway Co. (Canada) |
189,263 | ||
2,260 | CSX Corp. |
177,839 | ||
4,580 | Expeditors International of Washington, Inc. |
248,557 | ||
3,860 | Kansas City Southern* |
224,305 | ||
1,730 | Landstar System, Inc. |
82,002 | ||
23,000 | Sankyu, Inc. (Japan) |
105,196 | ||
10,000 | Seino Holding Co. Ltd. (Japan) |
74,709 | ||
20,984 | Union Pacific Corp. |
2,171,215 | ||
925 | Werner Enterprises, Inc. |
24,207 | ||
3,339,053 | ||||
Utilities 0.1% |
||||
1,350 | El Paso Electric Co.* |
41,823 | ||
4,475 | PG&E Corp. |
206,208 | ||
248,031 | ||||
Wireless Telecommunication Services 0.9% |
||||
11,320 | American Tower Corp. (Class A Stock)* |
592,149 | ||
54,800 | Vodafone Group PLC (United Kingdom) |
157,074 | ||
37,767 | Vodafone Group PLC, ADR (United Kingdom) |
1,099,775 | ||
1,848,998 | ||||
TOTAL COMMON STOCKS |
194,085,096 | |||
EXCHANGE TRADED FUND |
||||
525 | iShares Russell 2000 Value Index Fund (cost $39,939) |
40,189 | ||
PREFERRED STOCKS 0.5% |
||||
Automobile Manufacturers 0.2% |
||||
1,856 | Volkswagen AG, 1.81% (Germany) |
365,620 | ||
Banks 0.2% |
||||
15,600 | Itau Unibanco Holding SA, ADR, 2.79% (Brazil) |
370,500 | ||
Commercial Banks 0.1% |
||||
7,325 | Wells Fargo & Co., Series J, 8.00%, CVT |
211,619 | ||
TOTAL PREFERRED STOCKS |
947,739 | |||
TOTAL LONG-TERM INVESTMENTS |
195,073,024 | |||
SHORT-TERM INVESTMENT 3.0% |
||||
AFFILIATED MONEY MARKET MUTUAL FUND |
||||
6,046,183 | Prudential Investment Portfolios 2 Prudential Core Taxable Money Market Fund |
6,046,183 | ||
TOTAL INVESTMENTS 99.6% |
201,119,207 | |||
OTHER ASSETS IN EXCESS OF LIABILITIES(c) 0.4% |
871,347 | |||
NET ASSETS 100% |
$201,990,554 | |||
The following abbreviations are used in the Portfolio descriptions:
ADR | American Depositary Receipt |
CVA | Certificate Van Aandelen |
CVT | Convertible Security |
MXN | Mexican Peso |
* | Non-income producing security. |
(a) | Prudential Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 Prudential Core Taxable Money Market Fund. |
(b) | The United States federal income tax basis of the Portfolio of Investments was $164,208,309; accordingly, net unrealized appreciation on investments for federal income tax purposes was $36,910,898 (gross unrealized appreciation $39,557,949; gross unrealized depreciation $2,647,051). The difference between book and tax basis is primarily attributable to deferred losses on wash sales and investments in passive foreign investment companies as of the most recent fiscal year. |
(c) | Other assets in excess of liabilities includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Forward foreign currency exchange contracts outstanding at April 30, 2011:
Purchase Contracts |
Counterparty |
Notional Amount (000) |
Value
at Settlement Date Payable |
Current Value |
Unrealized Appreciation(1) |
|||||||||||||||||
Mexican Peso, |
State Street Bank | MXN | 727 | $ | 58,152 | $ | 63,025 | $ | 4,873 | |||||||||||||
Expiring 05/24/11 |
State Street Bank | MXN | 724 | 62,281 | 62,765 | 484 | ||||||||||||||||
Expiring 05/24/11 |
State Street Bank | MXN | 688 | 56,131 | 59,592 | 3,461 | ||||||||||||||||
$ | 176,564 | $ | 185,382 | $ | 8,818 | |||||||||||||||||
Sale Contracts |
Counterparty |
Notional Amount (000) |
Value
at Settlement Date Receivable |
Current Value |
Unrealized Depreciation(1) |
|||||||||||||||||
Mexican Peso, |
State Street Bank | MXN | 5,000 | $ | 399,667 | $ | 433,337 | $ | (33,670 | ) | ||||||||||||
(1) | The amount represents fair value of derivative instruments subject to foreign exchange contracts risk exposure as of April 30, 2011. |
Various inputs are used in determining the value of the Funds investments. These inputs are summarized in the three broad levels listed below.
Level 1 - quoted prices generally for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value.
Level 2 - other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.
Level 3 - significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of April 30, 2011 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
||||||||||||
Common Stocks |
$ | 194,085,096 | $ | | $ | | ||||||
Exchange Traded Fund |
40,189 | | | |||||||||
Preferred Stocks |
947,739 | | | |||||||||
Affiliated Money Market Mutual Fund |
6,046,183 | | | |||||||||
Other Financial Instruments* |
||||||||||||
Forward foreign currency exchange contracts |
| (24,852 | ) | | ||||||||
Total |
$ | 201,119,207 | $ | (24,852 | ) | $ | | |||||
* | Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
Target Moderate Allocation Fund
Schedule of Investments
as of April 30, 2011 (Unaudited)
Shares |
Description |
Value | ||
LONG-TERM INVESTMENTS 90.2% | ||||
COMMON STOCKS 66.3% | ||||
Advertising 0.1% | ||||
4,900 | Publicis Groupe SA (France) |
$ 277,678 | ||
Aerospace & Defense 2.0% | ||||
1,700 | AAR Corp. |
44,268 | ||
43,500 | BAE Systems PLC (United Kingdom) |
238,252 | ||
5,358 | Boeing Co. (The) |
427,461 | ||
1,900 | Elbit Systems Ltd. (Israel) |
107,471 | ||
10,300 | Embraer SA, ADR (Brazil) |
334,544 | ||
5,400 | Finmeccanica SpA (Italy) |
72,944 | ||
16,502 | General Dynamics Corp. |
1,201,676 | ||
2,600 | Goodrich Corp. |
229,762 | ||
4,775 | Hexcel Corp.* |
102,806 | ||
7,220 | Honeywell International, Inc. |
442,081 | ||
2,033 | Huntington Ingalls Industries, Inc.* |
81,320 | ||
12,080 | Lockheed Martin Corp. |
957,340 | ||
1,375 | Moog, Inc. (Class A Stock)* |
60,665 | ||
12,400 | Northrop Grumman Corp. |
788,764 | ||
1,000 | Teledyne Technologies, Inc.* |
50,490 | ||
1,011 | Triumph Group, Inc. |
87,067 | ||
12,604 | United Technologies Corp. |
1,129,066 | ||
6,355,977 | ||||
Air Freight & Logistics 0.1% | ||||
1,595 | Atlas Air Worldwide Holdings, Inc.* |
109,911 | ||
3,370 | FedEx Corp. |
322,408 | ||
432,319 | ||||
Airlines 0.1% | ||||
75,500 | Air New Zealand Ltd. (New Zealand) |
67,819 | ||
41,000 | Cathay Pacific Airways Ltd. (Hong Kong) |
102,312 | ||
10,030 | JetBlue Airways Corp.* |
56,770 | ||
226,901 | ||||
Apparel 0.1% | ||||
2,900 | Adidas AG (Germany) |
215,884 | ||
Apparel & Textile | ||||
1,575 | Wolverine World Wide, Inc. |
62,496 | ||
Auto Components 0.1% | ||||
8,610 | Johnson Controls, Inc. |
353,096 | ||
1,375 | Tenneco, Inc.* |
63,539 | ||
416,635 | ||||
Auto Parts & Equipment 0.1% | ||||
7,210 | American Axle & Manufacturing Holdings, Inc.* |
92,288 | ||
6,200 | Keihin Corp. (Japan) |
117,174 | ||
4,885 | Meritor, Inc.* |
84,071 | ||
2,179 | WABCO Holdings, Inc.* |
160,919 | ||
454,452 | ||||
Automobile Manufacturers 0.2% | ||||
2,000 | Daimler AG (Germany) |
154,603 | ||
2,950 | General Motors Co.* |
94,665 | ||
14,000 | Nissan Shatai Co. Ltd. (Japan) |
104,247 | ||
8,963 | Toyota Motor Corp. (Japan) |
356,907 | ||
710,422 | ||||
Automobiles 0.1% | ||||
4,900 | Harley-Davidson, Inc. |
182,574 | ||
1,700 | Renault SA (France)* |
103,589 | ||
1,700 | Valeo SA (France)* |
108,259 | ||
394,422 | ||||
Automotive Parts 0.1% | ||||
1,260 | BorgWarner, Inc.* |
97,322 | ||
140 | Georg Fischer AG (Switzerland)* |
91,445 | ||
188,767 | ||||
Banks 0.5% | ||||
7,600 | Banco Espanol de Credito SA (Spain) |
71,098 | ||
14,800 | Bendigo and Adelaide Bank Ltd. (Australia) |
151,515 | ||
23,000 | Fukuoka Financial Group, Inc. (Japan) |
94,705 | ||
4,151 | Julius Baer Group Ltd. (Switzerland)* |
193,969 | ||
105,900 | Mizuho Financial Group, Inc. (Japan) |
167,111 | ||
36,000 | Nishi-Nippon City Bank Ltd. (The) (Japan) |
101,190 | ||
30,500 | Sapporo Hokuyo Holdings, Inc. (Japan) |
134,611 | ||
11,844 | Standard Chartered PLC (United Kingdom) |
328,209 | ||
7,700 | Sumitomo Mitsui Financial Group, Inc. (Japan) |
236,843 | ||
1,479,251 | ||||
Beverages 0.5% | ||||
8,948 | Diageo PLC (United Kingdom) |
182,045 | ||
3,573 | Green Mountain Coffee Roasters, Inc.* |
239,248 | ||
6,900 | Molson Coors Brewing Co. (Class B Stock) |
336,375 | ||
6,652 | PepsiCo, Inc. |
458,256 | ||
863 | Pernod-Ricard SA (France) |
86,741 | ||
5,226 | SABMiller PLC (United Kingdom) |
195,054 | ||
1,497,719 | ||||
Biotechnology | ||||
2,394 | BioMarin Pharmaceutical, Inc.* |
64,375 | ||
858 | Regeneron Pharmaceuticals, Inc.* |
43,852 | ||
2,203 | Seattle Genetics, Inc.* |
36,592 | ||
144,819 | ||||
Building Materials 0.2% |
||||
500 | Ciments Francais SA (France) |
52,847 | ||
65,913 | Kingfisher PLC (United Kingdom) |
302,217 | ||
4,234 | Lafarge SA (France) |
299,607 | ||
3,000 | Sanwa Holdings Corp. (Japan) |
9,727 | ||
664,398 | ||||
Building Products |
||||
800 | A.O. Smith Corp. |
35,176 | ||
825 | Lennox International, Inc. |
40,103 | ||
400 | NCI Building Systems, Inc.* |
4,952 | ||
80,231 | ||||
Capital Goods |
||||
1,500 | Harsco Corp. |
53,400 | ||
Capital Markets 1.0% |
||||
4,950 | Apollo Investment Corp. |
58,658 | ||
5,000 | Ares Capital Corp. |
88,550 | ||
2,625 | Fifth Street Finance Corp. |
34,991 | ||
15,500 | Goldman Sachs Group, Inc. (The) |
2,340,655 | ||
750 | KBW, Inc. |
17,040 | ||
6,000 | Morgan Stanley |
156,900 | ||
1,450 | Prosperity Bancshares, Inc. |
66,482 | ||
2,300 | Raymond James Financial, Inc. |
86,250 | ||
3,900 | State Street Corp. |
181,545 | ||
1,475 | Waddell & Reed Financial, Inc. (Class A Stock) |
60,490 | ||
3,091,561 | ||||
Chemicals 3.2% |
||||
2,772 | Air Products & Chemicals, Inc. |
264,781 | ||
1,980 | Airgas, Inc. |
137,511 | ||
2,300 | BASF SE (Germany) |
236,422 | ||
3,325 | BASF SE, ADR (Germany) |
342,342 | ||
11,140 | Celanese Corp. (Class A Stock) |
556,109 | ||
5,100 | Clariant AG (Switzerland)* |
105,832 | ||
43,949 | Dow Chemical Co. (The) |
1,801,470 | ||
6,469 | Huntsman Corp. |
134,879 | ||
1,766 | Intrepid Potash, Inc.* |
60,503 | ||
3,200 | Koninklijke DSM NV (Netherlands) |
220,632 | ||
25,721 | Monsanto Co. |
1,750,057 | ||
10,000 | Nippon Shokubai Co. Ltd. (Japan) |
129,816 | ||
4,335 | Potash Corp. of Saskatchewan, Inc. (Canada) |
244,407 | ||
16,987 | PPG Industries, Inc. |
1,608,159 | ||
20,236 | Praxair, Inc. |
2,153,515 | ||
2,650 | Scotts Miracle-Gro Co. (The) (Class A Stock) |
149,646 | ||
1,650 | Sensient Technologies Corp. |
62,519 | ||
875 | Solutia, Inc.* |
23,056 | ||
26,000 | Toagosei Co. Ltd. (Japan) |
139,752 | ||
1,700 | Valspar Corp. (The) |
66,827 | ||
10,188,235 | ||||
Clothing & Apparel 0.5% |
||||
17,439 | NIKE, Inc. (Class B Stock) |
1,435,578 | ||
1,099 | Steven Madden Ltd.* |
58,412 | ||
1,493,990 | ||||
Commercial Banks 1.9% |
||||
4,500 | Allied Irish Banks PLC (Ireland)* |
1,533 | ||
4,800 | Alpha Bank A.E. (Greece)* |
28,012 | ||
3,375 | Associated Banc-Corp. |
49,275 | ||
8,300 | Banco Espirito Santo SA (Portugal) |
34,963 | ||
15,000 | Bank of Ireland (Ireland)* |
6,221 | ||
18,300 | Barclays PLC (United Kingdom) |
86,291 | ||
5,000 | Chiba Bank Ltd. (The) (Japan) |
29,403 | ||
22,173 | Fifth Third Bancorp |
294,236 | ||
3,586 | FirstMerit Corp. |
62,647 | ||
5,579 | HSBC Holdings PLC, ADR (United Kingdom) |
303,888 | ||
33,260 | KeyCorp |
288,364 | ||
33,736 | PNC Financial Services Group, Inc. |
2,103,102 | ||
23,300 | Regions Financial Corp. |
171,022 | ||
13,410 | Sumitomo Mitsui Trust Holdings, Inc. (Japan) |
45,629 | ||
1,700 | Trustmark Corp. |
39,508 | ||
37,900 | Turkiye Garanti Bankasi A/S (Turkey) |
196,352 | ||
750 | UMB Financial Corp. |
31,583 | ||
1,700 | United Bankshares, Inc. |
44,472 | ||
73,031 | Wells Fargo & Co. |
2,125,932 | ||
5,942,433 | ||||
Commercial Services |
||||
1,351 | Acacia Research - Acacia Technologies* |
55,540 | ||
1,225 | KAR Auction Services, Inc.* |
23,887 | ||
1,597 | PAREXEL International Corp.* |
44,333 | ||
123,760 | ||||
Commercial Services & Supplies 0.5% |
||||
625 | Consolidated Graphics, Inc.* |
35,094 | ||
2,500 | Corrections Corp. of America* |
62,225 | ||
4,460 | GEO Group, Inc. (The)* |
118,993 | ||
1,420 | MasterCard, Inc. (Class A Stock) |
391,764 | ||
1,100 | McGrath RentCorp |
31,229 | ||
4,770 | Moodys Corp. |
186,698 | ||
2,099 | Sothebys |
106,041 | ||
2,919 | SuccessFactors, Inc.* |
101,202 | ||
2,750 | Verisk Analytics, Inc. (Class A Stock)* |
90,475 | ||
1,425 | Visa, Inc. (Class A Stock) |
111,321 | ||
4,745 | Waste Connections, Inc. |
146,003 | ||
5,432 | Waste Management, Inc. |
214,347 | ||
1,595,392 | ||||
Communication Equipment 0.1% |
||||
4,900 | Arris Group, Inc.* |
58,800 | ||
3,570 | EMS Technologies, Inc.* |
90,178 | ||
4,440 | Juniper Networks, Inc.* |
170,185 | ||
319,163 | ||||
Computer Hardware 1.4% |
||||
13,059 | Apple, Inc.* |
4,547,536 | ||
1,397 | Logitech International SA (Switzerland)* |
19,348 | ||
4,566,884 | ||||
Computer Services & Software 1.5% |
||||
17,206 | Accenture PLC (Class A Stock) (Ireland) |
982,979 | ||
3,775 | Allscripts Healthcare Solutions, Inc.* |
81,314 | ||
6,220 | Autodesk, Inc.* |
279,776 | ||
34,560 | EMC Corp.* |
979,430 | ||
2,126 | Fortinet, Inc.* |
103,536 | ||
1,500 | Global Payments, Inc. |
79,860 | ||
2,181 | Informatica Corp.* |
122,158 | ||
4,590 | Intuit, Inc.* |
255,020 | ||
3,100 | Itochu Techno-Solutions Corp. (Japan) |
108,537 | ||
3,700 | MSCI, Inc. (Class A Stock)* |
131,239 | ||
7,790 | Nuance Communications, Inc.* |
161,253 | ||
1,960 | QLIK Technologies, Inc.* |
62,838 | ||
4,121 | Radiant Systems, Inc.* |
82,090 | ||
2,038 | Riverbed Technology, Inc.* |
71,615 | ||
4,461 | salesforce.com, Inc.* |
618,295 | ||
6,746 | SAP AG (Germany) |
434,646 | ||
6,700 | Tieto Oyj (Finland) |
123,550 | ||
2,920 | VeriFone Systems, Inc.* |
160,074 | ||
4,838,210 | ||||
Computers & Peripherals 0.4% |
||||
4,020 | Cognizant Technology Solutions Corp. (Class A Stock)* |
333,258 | ||
20,900 | Hewlett-Packard Co. |
843,733 | ||
2,650 | QLogic Corp.* |
47,647 | ||
1,224,638 | ||||
Construction & Engineering 0.3% |
||||
8,800 | COMSYS Holdings Corp. (Japan) |
91,781 | ||
7,110 | Fluor Corp. |
497,273 | ||
14,000 | Kyowa Exeo Corp. (Japan) |
146,705 | ||
1,075 | MasTec, Inc.* |
24,381 | ||
1,025 | MYR Group, Inc.* |
25,553 | ||
4,300 | NCC AB (Class B Stock) (Sweden) |
114,929 | ||
1,710 | Northwest Pipe Co.* |
41,143 | ||
2,013 | Texas Industries, Inc. |
84,888 | ||
1,100 | URS Corp.* |
49,225 | ||
1,075,878 | ||||
Consumer Finance 0.4% |
||||
14,167 | American Express Co. |
695,317 | ||
5,400 | Capital One Financial Corp. |
295,542 | ||
4,483 | Cash America International, Inc. |
212,718 | ||
1,150 | First Cash Financial Services, Inc.* |
45,126 | ||
1,248,703 | ||||
Consumer Products & Services 0.4% |
||||
2,080 | Avon Products, Inc. |
61,110 | ||
1,780 | Colgate-Palmolive Co. |
150,143 | ||
6,476 | Lauder, (Estee) Cos., Inc. (The) (Class A Stock) |
628,172 | ||
55,000 | Pacific Brands Ltd. (Australia) |
44,008 | ||
5,448 | Reckitt Benckiser Group PLC (United Kingdom) |
302,485 | ||
3,859 | Vitamin Shoppe, Inc.* |
150,578 | ||
1,336,496 | ||||
Containers & Packaging 0.1% |
||||
2,650 | Packaging Corp. of America |
75,605 | ||
26,000 | Rexam PLC (United Kingdom) |
169,633 | ||
2,200 | Silgan Holdings, Inc. |
100,892 | ||
346,130 | ||||
Cosmetics & Toiletries 0.1% |
||||
8,900 | Natura Cosmeticos SA (Brazil) |
249,768 | ||
Distribution/Wholesale 0.2% |
||||
66,000 | Li & Fung Ltd. (Bermuda) |
337,383 | ||
18,000 | Sumitomo Corp. (Japan) |
245,651 | ||
6,200 | Toyota Tsusho Corp. (Japan) |
102,499 | ||
685,533 | ||||
Diversified Financial Services 2.2% |
||||
115,816 | Bank of America Corp. |
1,422,220 | ||
30,550 | BM&FBOVESPA SA (Brazil) |
229,339 | ||
27,700 | Challenger Ltd. (Australia) |
146,344 | ||
492,425 | Citigroup, Inc.* |
2,260,231 | ||
4,200 | Fuyo General Lease Co. Ltd. (Japan) |
129,964 | ||
3,295 | Janus Capital Group, Inc. |
40,100 | ||
56,272 | JPMorgan Chase & Co. |
2,567,691 | ||
16,100 | Tullett Prebon PLC (United Kingdom) |
113,083 | ||
6,908,972 | ||||
Diversified Manufacturing |
||||
9,400 | Cookson Group PLC (United Kingdom)* |
112,342 | ||
Diversified Manufacturing Operations 0.1% |
||||
2,800 | Siemens AG (Germany) |
407,341 | ||
Diversified Operations 0.2% |
||||
10,800 | Berendsen PLC (United Kingdom) |
93,716 | ||
3,255 | LVMH Moet Hennessy Louis Vuitton SA (France) |
584,565 | ||
678,281 | ||||
Diversified Telecommunication Services 0.7% |
||||
32,412 | AT&T, Inc. |
1,008,662 | ||
8,800 | CenturyLink, Inc. |
358,864 | ||
25,721 | Verizon Communications, Inc. |
971,739 | ||
2,339,265 | ||||
Electric Utilities 1.0% |
||||
20,119 | American Electric Power Co., Inc. |
733,941 | ||
1,325 | Cleco Corp. |
46,508 | ||
23,900 | Edison International |
938,553 | ||
1,500 | El Paso Electric Co.* |
46,470 | ||
48,500 | Enel SpA (Italy) |
345,818 | ||
18,100 | Exelon Corp. |
762,915 | ||
14,361 | PPL Corp. |
393,922 | ||
3,268,127 | ||||
Electrical Equipment 0.1% |
||||
660 | First Solar, Inc.* |
92,116 | ||
7,972 | GrafTech International Ltd.* |
184,951 | ||
800 | Thomas & Betts Corp.* |
46,376 | ||
323,443 | ||||
Electronic Components 0.6% |
||||
23,007 | Agilent Technologies, Inc.* |
1,148,279 | ||
2,471 | DTS, Inc.* |
108,872 | ||
1,404 | Fanuc Corp. (Japan) |
232,803 | ||
2,900 | FLIR Systems, Inc. |
102,138 | ||
2,666 | Gentex Corp. |
83,579 | ||
963 | Itron, Inc.* |
52,416 | ||
10,000 | Nippon Electric Glass Co. Ltd. (Japan) |
150,774 | ||
1,878,861 | ||||
Electronic Equipment & Instruments 0.2% |
||||
1,927 | Coherent, Inc.* |
120,457 | ||
1,850 | EnerSys* |
70,097 | ||
28,000 | Kingboard Chemical Holdings Ltd. (Cayman Islands) |
153,407 | ||
9,050 | TE Connectivity Ltd. (Switzerland) |
324,443 | ||
525 | Tech Data Corp.* |
27,893 | ||
859 | Universal Display Corp.* |
47,193 | ||
743,490 | ||||
Energy Equipment & Services 1.0% |
||||
7,450 | Cameron International Corp.* |
392,764 | ||
900 | Core Laboratories NV (Netherlands) |
86,382 | ||
5,100 | Diamond Offshore Drilling, Inc. |
386,937 | ||
30,544 | Halliburton Co. |
1,541,861 | ||
4,077 | Lufkin Industries, Inc. |
376,429 | ||
950 | Oil States International, Inc.* |
78,860 | ||
1,073 | OYO Geospace Corp.* |
100,090 | ||
1,150 | Unit Corp.* |
72,473 | ||
2,595 | Vestas Wind Systems A/S (Denmark)* |
92,150 | ||
3,127,946 | ||||
Entertainment & Leisure 0.5% |
||||
13,445 | Carnival Corp. (Panama) |
511,851 | ||
7,348 | Carnival PLC (United Kingdom) |
296,409 | ||
9,404 | Hennes & Mauritz AB (Class B Stock) (Sweden) |
332,275 | ||
1,700 | Life Time Fitness, Inc.* |
66,504 | ||
3,877 | Pinnacle Entertainment, Inc.* |
53,813 | ||
2,300 | Sankyo Co. Ltd. (Japan) |
118,806 | ||
14,400 | Tabcorp Holdings Ltd. (Australia) |
120,430 | ||
36,200 | Thomas Cook Group PLC (United Kingdom) |
103,579 | ||
1,603,667 | ||||
Environmental Control |
||||
1,480 | Stericycle, Inc.* |
135,094 | ||
Equipment Services 0.1% |
||||
29,500 | Downer EDI Ltd. (Australia) |
119,639 | ||
5,900 | Kyoei Steel Ltd. (Japan) |
103,503 | ||
223,142 | ||||
Farming & Agriculture 0.1% |
||||
1,380 | Bunge Ltd. (Bermuda) |
104,107 | ||
118,000 | Chaoda Modern Agriculture Holdings Ltd. (Cayman Islands) |
73,387 | ||
177,494 | ||||
Financial - Bank & Trust 1.3% |
||||
3,650 | Astoria Financial Corp. |
52,815 | ||
12,396 | Banco Bilbao Vizcaya Argentaria SA (Spain) |
159,001 | ||
28,100 | Banco Santander SA (Spain) |
358,851 | ||
650 | Bank of Hawaii Corp. |
31,713 | ||
7,898 | BNP Paribas (France) |
625,032 | ||
6,340 | Charles Schwab Corp. (The) |
116,085 | ||
94,862 | China Merchants Bank Co. Ltd. (Class H Stock) (China) |
244,293 | ||
15,200 | Credit Agricole SA (France) |
253,052 | ||
11,700 | Credit Suisse Group AG (Switzerland) |
531,707 | ||
3,100 | Danske Bank A/S (Denmark)* |
74,497 | ||
7,900 | Deutsche Bank AG (Germany) |
516,019 | ||
5,552 | Dexia SA (Belgium)* |
22,121 | ||
63,700 | Mitsubishi UFJ Financial Group, Inc. (Japan) |
303,913 | ||
10,500 | National Australia Bank Ltd. (Australia) |
311,664 | ||
1,600 | Societe Generale (France) |
107,022 | ||
12,028 | SunTrust Banks, Inc. |
339,069 | ||
400 | Verwaltungs-und Privat-Bank AG (Liechtenstein) |
52,902 | ||
4,099,756 | ||||
Financial Services 1.3% |
||||
4,280 | Affiliated Managers Group, Inc.* |
466,862 | ||
4,767 | Ameriprise Financial, Inc. |
295,840 | ||
1,023 | BlackRock, Inc. |
200,447 | ||
1,700 | Eaton Vance Corp. |
57,409 | ||
16,995 | Hong Kong Exchanges and Clearing Ltd. (Hong Kong) |
387,769 | ||
407,084 | Industrial & Commercial Bank of China Ltd. (Class H Stock) (China) |
344,380 | ||
7,400 | Irish Life & Permanent Group Holdings PLC (Ireland)* |
1,644 | ||
33,600 | Itau Unibanco Holding SA, ADR, (Brazil) |
798,000 | ||
2,200 | Jefferies Group, Inc. |
53,174 | ||
1,873 | optionsXpress Holdings, Inc. |
34,538 | ||
52,519 | U.S. Bancorp |
1,356,041 | ||
3,996,104 | ||||
Food & Beverage 0.2% |
||||
4,960 | Coca-Cola Co. (The) |
334,602 | ||
12,400 | Dairy Crest Group PLC (United Kingdom) |
83,263 | ||
48,600 | Northern Foods PLC (United Kingdom) |
59,057 | ||
476,922 | ||||
Food & Staples Retailing 1.0% |
||||
34,505 | CVS Caremark Corp. |
1,250,461 | ||
22,400 | Safeway, Inc. |
544,544 | ||
23,263 | Wal-Mart Stores, Inc. |
1,279,000 | ||
1,190 | Whole Foods Market, Inc. |
74,684 | ||
3,148,689 | ||||
Food Products 0.2% |
||||
8,300 | ConAgra Foods, Inc. |
202,935 | ||
14,323 | Kraft Foods, Inc. (Class A Stock) |
480,966 | ||
683,901 | ||||
Foods 0.9% |
||||
1,000 | Casino Guichard Perrachon SA (France) |
105,266 | ||
3,100 | Delhaize Group (Belgium) |
268,423 | ||
3,530 | Fresh Market, Inc. (The)* |
147,625 | ||
100,700 | Goodman Fielder Ltd. (Australia) |
118,655 | ||
6,500 | Koninklijke Ahold NV (Netherlands) |
91,259 | ||
30,600 | Metcash Ltd. (Australia) |
136,174 | ||
14,155 | Nestle SA (Switzerland) |
878,756 | ||
30,000 | Nichirei Corp. (Japan) |
131,295 | ||
15,000 | Nisshin Oillio Group Ltd. (The) (Japan) |
69,901 | ||
300 | Nutreco NV (Netherlands) |
23,350 | ||
61,914 | Tesco PLC (United Kingdom) |
417,341 | ||
9,978 | Unilever NV (Netherlands) |
329,274 | ||
2,717,319 | ||||
Hand/Machine Tools 0.1% |
||||
2,430 | Stanley Black & Decker, Inc. |
176,540 | ||
Healthcare Equipment & Supplies 0.5% |
||||
580 | American Medical Systems Holdings, Inc.* |
17,110 | ||
16,569 | Covidien PLC (Ireland) |
922,728 | ||
7,640 | Medtronic, Inc. |
318,970 | ||
1,708 | Sirona Dental Systems, Inc.* |
97,475 | ||
1,075 | Teleflex, Inc. |
67,736 | ||
2,994 | Thoratec Corp.* |
91,916 | ||
900 | West Pharmaceutical Services, Inc. |
42,516 | ||
1,558,451 | ||||
Healthcare Products 0.1% |
||||
2,277 | Arthrocare Corp.* |
80,446 | ||
4,322 | Bruker Corp.* |
85,316 | ||
1,100 | Cantel Medical Corp. |
28,523 | ||
1,753 | Cepheid, Inc.* |
56,640 | ||
2,871 | Delcath Systems, Inc.* |
20,298 | ||
1,410 | Gen-Probe, Inc.* |
116,917 | ||
670 | IDEXX Laboratories, Inc.* |
54,558 | ||
442,698 | ||||
Healthcare Providers & Services 0.3% |
||||
1,300 | Amedisys, Inc.* |
43,316 | ||
2,542 | Centene Corp.* |
92,097 | ||
4,300 | CIGNA Corp. |
201,369 | ||
13,249 | UnitedHealth Group, Inc. |
652,248 | ||
989,030 | ||||
Healthcare Services 0.2% |
||||
1,700 | AMERIGROUP Corp.* |
116,110 | ||
1,000 | Covance, Inc.* |
62,600 | ||
2,000 | Healthways, Inc.* |
33,840 | ||
1,100 | MEDNAX, Inc.* |
78,012 | ||
6,099 | WellPoint, Inc. |
468,342 | ||
758,904 | ||||
Healthcare Technology |
||||
9,300 | AGFA-Gevaert NV (Belgium)* |
41,462 | ||
Holding Companies - Diversified 0.1% |
||||
161,000 | First Pacific Co. Ltd. (Bermuda) |
151,334 | ||
Hotels, Restaurants & Leisure 1.0% |
||||
2,585 | Bally Technologies, Inc.* |
100,789 | ||
2,379 | BJs Restaurants, Inc.* |
111,694 | ||
1,550 | Las Vegas Sands Corp.* |
72,866 | ||
22,676 | McDonalds Corp. |
1,775,758 | ||
2,683 | Orient-Express Hotels Ltd. (Class A Stock) (Bermuda)* |
32,920 | ||
9,691 | Shuffle Master, Inc.* |
105,923 | ||
6,809 | Wynn Resorts Ltd. |
1,001,944 | ||
3,201,894 | ||||
Household Durables 0.1% |
||||
5,800 | Alpine Electronics, Inc. (Japan) |
72,433 | ||
700 | Helen of Troy Ltd. (Bermuda)* |
21,784 | ||
3,132 | Universal Electronics, Inc.* |
86,725 | ||
180,942 | ||||
Household Products 0.1% |
||||
5,100 | Kimberly-Clark Corp. |
336,906 | ||
Independent Power Producers & Energy Traders |
||||
13,300 | Drax Group PLC (United Kingdom) |
97,726 | ||
Industrial Conglomerates 0.5% |
||||
870 | 3M Co. |
84,573 | ||
57,620 | General Electric Co. |
1,178,329 | ||
3,550 | Tyco International Ltd. (Switzerland) |
173,027 | ||
1,435,929 | ||||
Insurance 3.0% |
||||
2,993 | ACE Ltd. (Switzerland) |
201,279 | ||
7,600 | Aegon NV (Netherlands)* |
60,347 | ||
11,074 | Aflac, Inc. |
622,248 | ||
4,000 | Allianz SE (Germany) |
629,786 | ||
31,400 | Allstate Corp. (The) |
1,062,576 | ||
24,800 | Aviva PLC (United Kingdom) |
185,085 | ||
4,600 | AXA SA (France) |
103,222 | ||
2,100 | Baloise Holding AG (Switzerland)* |
232,214 | ||
47,647 | Beazley PLC (United Kingdom) |
104,179 | ||
46,400 | China Life Insurance Co. Ltd. (Class H Stock) (China) |
164,898 | ||
8,550 | CNO Financial Group, Inc.* |
68,913 | ||
117 | Dai-ichi Life Insurance Co. Ltd. (The) (Japan) |
192,127 | ||
1,700 | Delphi Financial Group, Inc. (Class A Stock) |
54,315 | ||
21,300 | Genworth Financial, Inc. (Class A Stock)* |
259,647 | ||
75 | Hanover Insurance Group, Inc. (The) |
3,167 | ||
2,362 | HCC Insurance Holdings, Inc. |
76,859 | ||
45,100 | ING Groep NV, CVA (Netherlands)* |
594,520 | ||
121,100 | Legal & General Group PLC (United Kingdom) |
248,398 | ||
15,266 | Lincoln National Corp. |
476,757 | ||
4,200 | Loews Corp. |
185,892 | ||
6,600 | Marsh & McLennan Cos., Inc. |
199,848 | ||
29,951 | MetLife, Inc. |
1,401,407 | ||
1,500 | Muenchener Rueckversicherungs-Gesellschaft AG (Germany) |
247,612 | ||
50,900 | Old Mutual PLC (United Kingdom) |
118,178 | ||
2,500 | Protective Life Corp. |
67,275 | ||
1,200 | Reinsurance Group of America, Inc. |
75,960 | ||
4,400 | SCOR SE (France) |
134,415 | ||
1,400 | State Auto Financial Corp. |
23,772 | ||
3,600 | Swiss Reinsurance Co. Ltd. (Switzerland)* |
214,543 | ||
2,175 | Tower Group, Inc. |
49,742 | ||
7,000 | Travelers Cos., Inc. (The) |
442,960 | ||
1,300 | United Fire & Casualty Co. |
25,740 | ||
3,600 | Unum Group |
95,328 | ||
24,083 | XL Group PLC (Ireland) |
588,107 | ||
1,000 | Zurich Financial Services AG (Switzerland)* |
280,925 | ||
9,492,241 | ||||
Internet 0.2% |
||||
3,753 | F5 Networks, Inc.* |
380,404 | ||
5,138 | Sapient Corp.* |
64,867 | ||
3,253 | Youku.com, Inc., ADR (Cayman Islands)* |
192,318 | ||
637,589 | ||||
Internet Services 1.5% |
||||
9,994 | Amazon.com, Inc.* |
1,963,821 | ||
1,700 | Digital River, Inc.* |
55,318 | ||
1,490 | Google, Inc. (Class A Stock)* |
810,709 | ||
3,594 | priceline.com, Inc.* |
1,965,954 | ||
4,795,802 | ||||
Internet Software & Services 1.9% |
||||
13,187 | Baidu, Inc., ADR (Cayman Islands)* |
1,958,533 | ||
108,247 | Oracle Corp. |
3,902,304 | ||
2,730 | VeriSign, Inc. |
100,901 | ||
5,961,738 | ||||
Investment Company 0.2% |
||||
763,000 | Hutchison Port Holdings Trust (Singapore)* |
701,960 | ||
IT Services 0.6% |
||||
1,175 | CACI International, Inc. (Class A Stock)* |
71,804 | ||
10,180 | International Business Machines Corp. |
1,736,504 | ||
51,000 | Logica PLC (United Kingdom) |
114,833 | ||
1,923,141 | ||||
Life Sciences Tools & Services 0.3% |
||||
2,346 | ICON PLC, ADR (Ireland)* |
57,618 | ||
13,055 | Thermo Fisher Scientific, Inc.* |
783,169 | ||
840,787 | ||||
Machinery 1.1% |
||||
2,675 | Actuant Corp. (Class A Stock) |
74,258 | ||
28,000 | BlueScope Steel Ltd. (Australia) |
53,095 | ||
1,600 | Bucyrus International, Inc. |
146,320 | ||
5,745 | Cummins, Inc. |
690,434 | ||
14,063 | Komatsu Ltd. (Japan) |
492,374 | ||
425 | Lincoln Electric Holdings, Inc. |
33,397 | ||
44,000 | Mitsui Engineering & Shipbuilding Co. Ltd. (Japan) |
108,488 | ||
3,400 | Mueller Water Products, Inc. (Class A Stock) |
14,960 | ||
4,300 | PACCAR, Inc. |
228,373 | ||
2,000 | Parker Hannifin Corp. |
188,640 | ||
1,152 | Regal-Beloit Corp. |
87,310 | ||
1,100 | Rheinmetall AG (Germany) |
98,668 | ||
13,399 | Rockwell Automation, Inc. |
1,167,455 | ||
900 | Snap-on, Inc. |
55,593 | ||
800 | Valmont Industries, Inc. |
84,240 | ||
3,523,605 | ||||
Manufacturing 1.1% |
||||
32,029 | Danaher Corp. |
1,769,282 | ||
19,958 | Eaton Corp. |
1,068,352 | ||
9,978 | Illinois Tool Works, Inc. |
582,815 | ||
3,420,449 | ||||
Media 1.8% |
||||
8,100 | CBS Corp. (Class B Stock) |
204,282 | ||
12,195 | Comcast Corp. (Class A Stock) |
319,997 | ||
22,840 | Comcast Corp. (Special Class A Stock) |
560,722 | ||
5,430 | DIRECTV (Class A Stock)* |
263,844 | ||
1,400 | Discovery Communications, Inc. (Class A Stock)* |
61,964 | ||
9,596 | Pearson PLC (United Kingdom) |
184,489 | ||
7,345 | Time Warner Cable, Inc. |
573,865 | ||
45,179 | Time Warner, Inc. |
1,710,477 | ||
8,290 | Viacom, Inc. (Class B Stock) |
424,116 | ||
11,500 | Vivendi (France) |
360,849 | ||
19,251 | Walt Disney Co. (The) |
829,718 | ||
1,100 | Wiley, (John) & Sons, Inc. (Class A Stock) |
56,023 | ||
5,550,346 | ||||
Medical Supplies & Equipment 0.1% |
||||
4,700 | Fresenius Medical Care AG & Co. KGaA (Germany) |
369,373 | ||
Metals & Mining 2.1% |
||||
5,331 | Alpha Natural Resources, Inc.* |
310,104 | ||
10,200 | ArcelorMittal (Luxembourg) |
375,277 | ||
7,142 | BHP Billiton Ltd. (Australia) |
358,771 | ||
6,430 | BHP Billiton Ltd., ADR (Australia) |
650,973 | ||
11,200 | Boliden AB (Sweden) |
252,454 | ||
1,693 | Cloud Peak Energy, Inc.* |
35,248 | ||
33,899 | Freeport-McMoRan Copper & Gold, Inc. |
1,865,462 | ||
640 | Joy Global, Inc. |
64,608 | ||
33,800 | Mincor Resources NL (Australia) |
44,458 | ||
50,900 | OneSteel Ltd. (Australia) |
118,835 | ||
9,417 | Precision Castparts Corp. |
1,455,115 | ||
2,900 | Rio Tinto Ltd. (Australia) |
261,319 | ||
3,197 | RTI International Metals, Inc.* |
102,112 | ||
300 | Southern Copper Corp. |
11,238 | ||
4,260 | Teck Resources Ltd. (Class B Stock) (Canada) |
231,105 | ||
2,725 | Thompson Creek Metals Co., Inc. (Canada)* |
33,599 | ||
3,400 | ThyssenKrupp AG (Germany) |
156,441 | ||
1,700 | Timken Co. |
95,863 | ||
3,015 | Titanium Metals Corp.* |
60,390 | ||
498 | United States Steel Corp. |
23,760 | ||
6,507,132 | ||||
Multi-Line Retail 0.2% |
||||
13,600 | J.C. Penney Co., Inc. |
522,920 | ||
Multi-Utilities 0.4% |
||||
4,700 | Dominion Resources, Inc. |
218,174 | ||
1,725 | NorthWestern Corp. |
56,149 | ||
26,594 | Public Service Enterprise Group, Inc. |
855,529 | ||
3,000 | RWE AG (Germany) |
195,756 | ||
1,325,608 | ||||
Office Electronics 0.2% |
||||
5,091 | Canon, Inc. (Japan) |
238,498 | ||
33,100 | Xerox Corp. |
333,979 | ||
572,477 | ||||
Oil, Gas & Consumable Fuels 6.9% |
||||
2,579 | Air Liquide SA (France) |
381,531 | ||
11,942 | Anadarko Petroleum Corp. |
942,701 | ||
13,219 | Apache Corp. |
1,763,018 | ||
15,653 | BG Group PLC (United Kingdom) |
400,947 | ||
32,900 | BP PLC (United Kingdom) |
254,191 | ||
1,750 | Brigham Exploration Co.* |
58,678 | ||
2,100 | Cabot Oil & Gas Corp. |
118,188 | ||
6,160 | Canadian Natural Resources Ltd. (Canada) |
289,787 | ||
3,368 | Cenovus Energy, Inc. (Canada) |
129,501 | ||
12,000 | Chesapeake Energy Corp. |
404,040 | ||
7,500 | Chevron Corp. |
820,800 | ||
153,054 | CNOOC Ltd. (Hong Kong) |
377,597 | ||
30,447 | ConocoPhillips |
2,403,182 | ||
5,401 | Continental Resources, Inc.* |
370,941 | ||
11,700 | ENI SpA (Italy) |
312,797 | ||
12,461 | EOG Resources, Inc. |
1,406,972 | ||
10,200 | Exxon Mobil Corp. |
897,600 | ||
1,040 | FMC Technologies, Inc.* |
48,339 | ||
9,424 | Hess Corp. |
810,087 | ||
12,980 | JX Holdings, Inc. (Japan) |
89,931 | ||
7,600 | Marathon Oil Corp. |
410,704 | ||
2,570 | National Oilwell Varco, Inc. |
197,093 | ||
3,720 | Noble Energy, Inc. |
358,124 | ||
4,420 | Oasis Petroleum, Inc.* |
135,827 | ||
19,368 | Occidental Petroleum Corp. |
2,213,569 | ||
5,400 | OMV AG (Austria) |
246,265 | ||
1,000 | ONEOK, Inc. |
69,940 | ||
14,341 | Peabody Energy Corp. |
958,266 | ||
9,400 | Repsol YPF SA (Spain) |
335,679 | ||
1,850 | Resolute Energy Corp.* |
32,727 | ||
19,000 | Royal Dutch Shell PLC (Class B Stock) (United Kingdom) |
738,508 | ||
11,000 | Royal Dutch Shell PLC (Class B Stock), ADR (United Kingdom) |
861,960 | ||
10,623 | Schlumberger Ltd. (Netherlands) |
953,414 | ||
5,331 | Seadrill Ltd. (Bermuda) |
188,891 | ||
7,539 | Sempra Energy |
415,399 | ||
1,400 | South Jersey Industries, Inc. |
80,430 | ||
3,740 | Southwestern Energy Co.* |
164,036 | ||
3,900 | Statoil ASA (Norway) |
114,102 | ||
1,700 | Swift Energy Co.* |
66,623 | ||
6,900 | Total SA (France) |
441,706 | ||
4,600 | Total SA, ADR (France) |
295,458 | ||
6,100 | Valero Energy Corp. |
172,630 | ||
1,700 | WGL Holdings, Inc. |
67,184 | ||
21,799,363 | ||||
Paper & Forest Products |
||||
2,900 | Louisiana-Pacific Corp.* |
26,970 | ||
Pharmaceuticals 4.1% |
||||
17,704 | Abbott Laboratories |
921,316 | ||
2,010 | Allergan, Inc. |
159,916 | ||
7,090 | AmerisourceBergen Corp. |
288,138 | ||
8,448 | Amgen, Inc.* |
480,269 | ||
7,800 | AstraZeneca PLC (United Kingdom) |
389,557 | ||
1,512 | Catalyst Health Solutions, Inc.* |
90,055 | ||
22,700 | Eli Lilly & Co. |
840,127 | ||
16,700 | GlaxoSmithKline PLC (United Kingdom) |
364,165 | ||
6,600 | H. Lundbeck A/S (Denmark) |
158,475 | ||
522 | Herbalife Ltd. (Cayman Islands) |
46,865 | ||
26,003 | Johnson & Johnson |
1,708,917 | ||
8,000 | Kyorin Holdings, Inc. (Japan) |
142,514 | ||
8,579 | Mead Johnson Nutrition Co. |
573,764 | ||
14,300 | Meda AB (Sweden) |
151,343 | ||
3,390 | Medco Health Solutions, Inc.* |
201,129 | ||
37,782 | Merck & Co., Inc. |
1,358,263 | ||
11,509 | Novartis AG (Switzerland) |
683,222 | ||
6,800 | Novartis AG, ADR (Switzerland) |
402,356 | ||
3,242 | Novo Nordisk A/S (Class B Stock) (Denmark) |
409,830 | ||
89,690 | Pfizer, Inc. |
1,879,902 | ||
2,200 | Pharmaceutical Product Development, Inc. |
67,870 | ||
1,000 | Roche Holding AG (Switzerland) |
162,197 | ||
1,725 | Salix Pharmaceuticals Ltd.* |
67,775 | ||
5,800 | Sanofi-Aventis SA (France) |
458,742 | ||
51,899 | Sinopharm Group Co. (Class H Stock) (China) |
179,763 | ||
2,300 | Takeda Pharmaceutical Co. Ltd. (Japan) |
111,151 | ||
12,743 | Teva Pharmaceutical Industries Ltd., ADR (Israel) |
582,737 | ||
12,880,358 | ||||
Pipelines |
||||
2,350 | Kinder Morgan, Inc. |
67,163 | ||
Professional Services 0.1% |
||||
2,591 | Duff & Phelps Corp. (Class A Stock) |
39,875 | ||
2,036 | Monster Worldwide, Inc.* |
33,411 | ||
1,450 | Towers Watson & Co. (Class A Stock) |
83,172 | ||
156,458 | ||||
Real Estate |
||||
1,500 | Meritage Homes Corp.* |
35,865 | ||
Real Estate Investment Trusts 0.6% |
||||
30,800 | Annaly Capital Management, Inc. |
549,472 | ||
2,227 | AvalonBay Communities, Inc. |
281,960 | ||
2,686 | Boston Properties, Inc. |
280,768 | ||
1,084 | DuPont Fabros Technology, Inc. |
26,515 | ||
1,900 | First Potomac Realty Trust |
30,837 | ||
1,875 | Government Properties Income Trust |
51,412 | ||
1,350 | Invesco Mortgage Capital, Inc. |
30,699 | ||
700 | Kilroy Realty Corp. |
29,358 | ||
950 | LaSalle Hotel Properties |
26,733 | ||
5,400 | Medical Properties Trust, Inc. |
66,636 | ||
3,435 | Redwood Trust, Inc. |
54,376 | ||
4,133 | Simon Property Group, Inc. |
473,394 | ||
1,902,160 | ||||
Restaurants |
||||
1,205 | Buffalo Wild Wings, Inc.* |
73,626 | ||
Retail 0.3% |
||||
35,200 | Home Retail Group PLC (United Kingdom) |
129,292 | ||
3,400 | NEXT PLC (United Kingdom) |
127,043 | ||
2,700 | Rallye SA (France) |
142,028 | ||
4,600 | Shimachu Co. Ltd. (Japan) |
107,068 | ||
88,100 | Wal-Mart de Mexico SAB de CV (Class V Stock) (Mexico) |
275,511 | ||
780,942 | ||||
Retail & Merchandising 2.8% |
||||
3,470 | Abercrombie & Fitch Co. (Class A Stock) |
245,676 | ||
6,100 | Aoyama Trading Co. Ltd. (Japan) |
100,395 | ||
3,666 | Chicos FAS, Inc. |
53,634 | ||
181,865 | Cie Financiere Richemont SA, ADR (Switzerland) |
1,167,573 | ||
5,300 | Circle K Sunkus Co. Ltd. (Japan) |
81,151 | ||
5,140 | Costco Wholesale Corp. |
415,929 | ||
1,087 | Inditex SA (Spain) |
97,470 | ||
13,304 | Kohls Corp. |
701,254 | ||
10,460 | Lowes Cos., Inc. |
274,575 | ||
34,374 | Starbucks Corp. |
1,243,995 | ||
12,964 | Target Corp. |
636,532 | ||
16,683 | Tiffany & Co. |
1,158,468 | ||
34,301 | TJX Cos., Inc. (The) |
1,839,220 | ||
5,870 | Walgreen Co. |
250,766 | ||
11,980 | Yum! Brands, Inc. |
642,607 | ||
8,909,245 | ||||
Road & Rail |
||||
1,793 | Landstar System, Inc. |
84,988 | ||
1,025 | Werner Enterprises, Inc. |
26,824 | ||
111,812 | ||||
Semiconductors 0.3% |
||||
15,854 | Advanced Micro Devices, Inc.* |
144,272 | ||
19,100 | ARM Holdings PLC (United Kingdom) |
197,961 | ||
7,470 | ASML Holding NV (Netherlands) |
311,947 | ||
3,960 | Broadcom Corp. (Class A Stock)* |
139,313 | ||
800 | Cabot Microelectronics Corp.* |
39,080 | ||
2,400 | Checkpoint Systems, Inc.* |
50,544 | ||
4,128 | Teradyne, Inc.* |
66,461 | ||
949,578 | ||||
Semiconductors & Semiconductor Equipment 0.2% |
||||
8,500 | Intel Corp. |
197,115 | ||
2,117 | Netlogic Microsystems, Inc.* |
91,306 | ||
750 | Silicon Laboratories, Inc.* |
32,685 | ||
1,725 | TriQuint Semiconductor, Inc.* |
23,754 | ||
1,643 | Varian Semiconductor Equipment Associates, Inc.* |
68,891 | ||
1,647 | Veeco Instruments, Inc.* |
84,211 | ||
497,962 | ||||
Software 1.0% |
||||
1,627 | ANSYS, Inc.* |
89,957 | ||
1,000 | Blackboard, Inc.* |
48,110 | ||
24,605 | CA, Inc. |
605,037 | ||
1,430 | Cerner Corp.* |
171,857 | ||
7,360 | Check Point Software Technologies Ltd. (Israel)* |
404,285 | ||
8,244 | Compuware Corp.* |
93,405 | ||
3,090 | MedAssets, Inc.* |
49,502 | ||
48,939 | Microsoft Corp. |
1,273,393 | ||
2,485 | Progress Software Corp.* |
73,680 | ||
1,240 | Quality Systems, Inc. |
111,253 | ||
3,420 | Red Hat, Inc.* |
162,347 | ||
4,840 | TIBCO Software, Inc.* |
145,152 | ||
1,250 | Tyler Technologies, Inc.* |
30,987 | ||
3,258,965 | ||||
Specialty Retail 0.4% |
||||
4,320 | Aarons, Inc. |
124,373 | ||
600 | DSW, Inc. (Class A Stock)* |
28,488 | ||
21,200 | Gap, Inc. (The) |
492,688 | ||
4,585 | Genesco, Inc.* |
185,142 | ||
6,294 | Home Depot, Inc. (The) |
233,759 | ||
2,430 | Urban Outfitters, Inc.* |
76,448 | ||
1,140,898 | ||||
Steel Producers/Products |
||||
1,600 | Voestalpine AG (Austria) |
78,738 | ||
Telecommunications 1.5% |
||||
7,201 | Acme Packet, Inc.* |
594,875 | ||
3,410 | America Movil SAB de CV (Class L Stock), ADR (Mexico) |
195,052 | ||
89,700 | BT Group PLC (United Kingdom) |
293,366 | ||
8,790 | Cisco Systems, Inc. |
154,352 | ||
3,940 | Corning, Inc. |
82,504 | ||
6,000 | France Telecom SA (France) |
140,724 | ||
11,000 | HTC Corp. (Taiwan) |
499,328 | ||
60 | KDDI Corp. (Japan) |
397,953 | ||
70 | M1 Ltd. (Singapore) |
137 | ||
2,157 | NICE Systems Ltd., ADR (Israel)* |
82,246 | ||
5,000 | Nippon Telegraph & Telephone Corp. (Japan) |
230,845 | ||
10,600 | Nokia Oyj (Finland) |
97,655 | ||
130 | NTT DoCoMo, Inc. (Japan) |
239,278 | ||
9,178 | QUALCOMM, Inc. |
521,678 | ||
1,200 | SBA Communications Corp. (Class A Stock)* |
46,356 | ||
127,800 | Telecom Italia SpA (Italy) |
192,509 | ||
19,781 | Telefonica SA (Spain) |
531,771 | ||
42,000 | Telstra Corp. Ltd. (Australia) |
133,965 | ||
98,100 | Vodafone Group PLC (United Kingdom) |
281,185 | ||
4,715,779 | ||||
Textiles, Apparel & Luxury Goods 0.2% |
||||
1,275 | Hanesbrands, Inc.* |
41,450 | ||
3,200 | Jones Group, Inc. (The) |
43,616 | ||
11,000 | Kurabo Industries Ltd. (Japan) |
19,664 | ||
3,695 | Phillips-Van Heusen Corp. |
260,165 | ||
41,000 | Yue Yuen Industrial Holdings Ltd. (Bermuda) |
141,748 | ||
506,643 | ||||
Thrifts & Mortgage Finance |
||||
3,350 | Washington Federal, Inc. |
53,902 | ||
Tobacco 0.5% |
||||
15,400 | Altria Group, Inc. |
413,336 | ||
9,908 | British American Tobacco PLC (United Kingdom) |
432,114 | ||
10,973 | Philip Morris International, Inc. |
761,965 | ||
1,607,415 | ||||
Trading Companies & Distributors 0.1% |
||||
30,000 | Marubeni Corp. (Japan) |
216,729 | ||
850 | United Rentals, Inc.* |
25,007 | ||
1,325 | WESCO International, Inc.* |
82,084 | ||
323,820 | ||||
Transportation 1.1% |
||||
1,100 | Bristow Group, Inc.* |
51,040 | ||
3,670 | Canadian National Railway Co. (Canada) |
284,671 | ||
2,390 | CSX Corp. |
188,069 | ||
4,800 | Expeditors International of Washington, Inc. |
260,496 | ||
3,600 | Go-Ahead Group PLC (United Kingdom) |
85,027 | ||
4,070 | Kansas City Southern* |
236,508 | ||
74 | Orient Overseas International Ltd. (Bermuda) |
565 | ||
26,000 | Sankyu, Inc. (Japan) |
118,917 | ||
21,419 | Union Pacific Corp. |
2,216,224 | ||
3,441,517 | ||||
Utilities 0.1% |
||||
4,700 | E.ON AG (Germany) |
160,669 | ||
4,435 | PG&E Corp. |
204,365 | ||
365,034 | ||||
Wireless Telecommunication Services 0.5% |
||||
11,950 | American Tower Corp. (Class A Stock)* |
625,104 | ||
36,850 | Vodafone Group PLC, ADR (United Kingdom) |
1,073,072 | ||
1,698,176 | ||||
TOTAL COMMON STOCKS |
209,932,074 | |||
EXCHANGE TRADED FUND | ||||
600 | iShares Russell 2000 Value Index Fund |
45,930 | ||
PREFERRED STOCKS 0.2% | ||||
Automobile Manufacturers 0.1% | ||||
2,554 | Volkswagen AG,1.81% (Germany) |
503,121 | ||
Financial Bank & Trust 0.1% | ||||
7,950 | Wells Fargo & Co., Series J, 8.00%, CVT |
229,675 | ||
TOTAL PREFERRED STOCKS |
732,796 | |||
Moody's Ratings |
Principal Amount (000)# |
|||||||
ASSET-BACKED SECURITIES 0.9% | ||||||||
NR | EUR |
464 | Magnolia Funding Ltd., |
685,381 | ||||
AAA(b) | $ |
600 | Plymouth Rock CLO Ltd., Inc., |
598,983 | ||||
AAA(b) | 1,590 | SLM Student Loan Trust, |
1,642,356 | |||||
TOTAL ASSET-BACKED SECURITIES |
2,926,720 | |||||||
BANK LOANS(a)(c) 0.3% | ||||||||
Ford Motor Corp., Term B1 | ||||||||
Baa- | 19 | 2.97%, 12/15/13 |
18,644 | |||||
Baa- | 106 | 2.97%, 12/15/13 |
106,539 | |||||
Baa- | 237 | 2.97%, 12/15/13 |
237,581 | |||||
B | 653 | Texas Competitive Electric Holdings Co. LLC |
555,802 | |||||
TOTAL BANK LOANS |
918,566 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 0.2% | ||||||||
AA(b) | 327 | Bear Stearns Commercial Mortgage Securities, |
322,294 | |||||
AAA(b) | 134 | Federal National Mortgage Assoc., |
145,946 | |||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
468,240 | |||||||
CORPORATE BONDS 9.3% | ||||||||
Automobile Manufacturers | ||||||||
A3 | 100 | Daimler Finance North America LLC, Gtd. Notes, MTN |
101,793 | |||||
Banking 1.5% | ||||||||
Aa3 | 400 | Abbey National Treasury Services PLC, Bank Gtd. Notes (United Kingdom) |
401,934 | |||||
NR | 1,000 | Banco Santander Brazil SA, Sr. Unsecd. Notes, 144A (Brazil) |
1,004,617 | |||||
Aaa | 1,400 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, Gtd. Notes |
1,437,891 | |||||
A2 | 1,000 | Morgan Stanley, |
1,001,224 | |||||
Aa3 | 1,000 | Royal Bank of Scotland PLC (The), Bank Gtd. Notes (United Kingdom) |
1,026,856 | |||||
4,872,522 | ||||||||
Commercial Banks 0.5% | ||||||||
Baa1 | 1,120 | Barclays Bank PLC, Sub. Notes, 144A (United Kingdom) |
1,457,019 | |||||
Consumer Finance 0.2% | ||||||||
A3 | 600 | American Express Co., Sr. Unsecd. Notes |
710,884 | |||||
Diversified Financial Services 1.7% | ||||||||
A2 | 1,000 | Bank of America Corp., Sr. Unsecd. Notes |
1,094,942 | |||||
Aa3 | 900 | Bear Stearns Cos. LLC (The), Sr. Unsecd. Notes |
1,027,918 | |||||
Aaa | 1,000 | Credit Agricole Home Loan SFH, Covered, 144A (France) |
1,000,448 | |||||
Ba3 | 500 | International Lease Finance Corp., Sr. Secd. Notes, 144A |
537,500 | |||||
Aa3 | 700 | JPMorgan Chase & Co., Sr. Unsecd. Notes |
680,616 | |||||
Aa2 | 900 | JPMorgan Chase Bank NA, Sub. Notes |
1,003,895 | |||||
5,345,319 | ||||||||
Financial Bank & Trust 1.3% | ||||||||
B1 | 100 | Ally Financial, Inc., Sr. Unsecd. Notes |
111,734 | |||||
A2 | 400 | American Express Bank FSB, Sr. Unsecd. Notes |
430,041 | |||||
Baa1 | 1,600 | American International Group, Inc., |
1,899,173 | |||||
Aa3 | 600 | Lloyds TSB Bank PLC, (United Kingdom), 144A |
620,411 | |||||
BB+(b) | 1,000 | Jr. Sub. Notes 12.00%(a), 12/29/49 |
1,180,173 | |||||
4,241,532 | ||||||||
Financial Services 1.1% | ||||||||
B1 | 1,000 | Ally Financial, Inc., Gtd. Notes |
1,123,750 | |||||
Ba2 | 500 | Ford Motor Credit Co. LLC, Sr. Unsecd. Notes |
531,415 | |||||
NR | 500 | Lehman Brothers Holdings, Inc., Sr. Unsecd. Notes, MTN(d) |
130,000 | |||||
Baa2 | 1,000 | TNK-BP Finance SA, Gtd. Notes (Luxembourg) |
1,096,250 | |||||
Aa3 | 500 | UBS AG, Sr. Unsecd. Notes (Switzerland) |
514,612 | |||||
3,396,027 | ||||||||
Food Products 0.3% | ||||||||
Baa1 | 900 | WM Wrigley Jr. Co., Secd. Notes, 144A |
902,934 | |||||
Industrial Conglomerates 0.1% | ||||||||
Aa3 | GBP |
100 | General Electric Capital Corp., Sub. Notes, 144A |
163,693 | ||||
Medical Supplies & Equipment 0.2% | ||||||||
B2 | 600 | HCA, Inc., Secd. Notes |
643,500 | |||||
Oil, Gas & Consumable Fuels 0.9% | ||||||||
A2 | 600 | BP Capital Markets PLC, Gtd. Notes (United Kingdom) |
609,475 | |||||
A2 | 400 | 4.50%, 10/01/20 |
403,130 | |||||
Baa1 | 800 | Gazprom Via Gaz Capital SA, Sr. Unsecd. Notes (Luxembourg) |
998,000 | |||||
Ba1 | 800 | Pride International, Inc., Sr. Unsecd. Notes |
924,563 | |||||
2,935,168 | ||||||||
Paper & Forest Products 0.1% | ||||||||
Ba1 | 400 | Georgia-Pacific LLC, Gtd. Notes, 144A |
425,000 | |||||
Pharmaceuticals 0.1% | ||||||||
Ba3 | 400 | Valeant Pharmaceuticals International, Gtd. Notes, 144A |
387,500 | |||||
Real Estate Investment Trusts 0.4% | ||||||||
Baa3 | 1,000 | Goodman Funding Pty Ltd., Gtd. Notes, 144A (Australia) |
1,038,119 | |||||
Baa2 | 200 | Nationwide Health Properties, Inc., Sr. Unsecd. Notes |
202,151 | |||||
1,240,270 | ||||||||
Telecommunications 0.4% | ||||||||
Baa3 | 1,000 | Embarq Corp., Sr. Unsecd. Notes |
1,131,184 | |||||
Tobacco 0.3% | ||||||||
Baa1 | 800 | Altria Group, Inc., Gtd. Notes |
1,053,035 | |||||
Utilities 0.2% | ||||||||
A1 | 500 | Korea Electric Power Corp., Sr. Unsecd. Notes, 144A (South Korea) |
493,095 | |||||
TOTAL CORPORATE BONDS |
29,500,475 | |||||||
FOREIGN GOVERNMENT BONDS 2.3% | ||||||||
Aaa |
AUD | 1,900 | Australia Government, Sr. Unsecd. Notes (Australia) |
2,035,701 | ||||
Aaa | AUD |
600 | 6.00%, 02/15/17 |
680,648 | ||||
Aaa |
CAD | 200 | Canadian Government, Bonds (Canada) |
211,736 | ||||
Aaa | CAD |
2,000 | 1.75%, 03/01/13 |
2,115,542 | ||||
Aa1 | 900 | Province of Ontario Canada, Sr. Unsecd. Notes (Canada) |
927,783 | |||||
Baa3 | BRL |
1,800 | Republic of Brazil, Sr. Unsecd. Notes (Brazil) |
1,385,584 | ||||
TOTAL FOREIGN GOVERNMENT BONDS |
7,356,994 | |||||||
MUNICIPAL BONDS 1.2% | ||||||||
California 0.6% | ||||||||
Aa3 | 500 | California State Public Works Board Lease Revenue, Revenue Bonds |
504,710 | |||||
A1 | 400 | State of California, General Obligation Unlimited |
372,968 | |||||
A1 | 800 | 5.00%, 11/01/37 |
745,584 | |||||
A1 | 200 | 5.00%, 12/01/37 |
186,368 | |||||
1,809,630 | ||||||||
Illinois 0.6% | ||||||||
Aa3 | 1,100 | Chicago Transit Authority, Series A, Revenue Bonds |
1,133,022 | |||||
Aa3 | 800 | Chicago Transit Authority, Series B, Revenue Bonds |
824,016 | |||||
1,957,038 | ||||||||
Texas |
||||||||
Aaa | 100 | Texas State Transportation Commission, Revenue Bonds |
101,845 | |||||
TOTAL MUNICIPAL BONDS |
3,868,513 | |||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES 1.2% | ||||||||
Aaa | 36 | Bank Trust Mortgage Trust, Series 1, Class G |
34,463 | |||||
Caa1 | 160 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-4, Class 23A2 |
143,073 | |||||
CCC(b) | 445 | Countrywide Alternative Loan Trust, |
328,189 | |||||
Ca | 469 | Series 2006-OA11, Class A1B 0.403%(a), 09/25/46 |
259,929 | |||||
Aaa | 21 | Federal Home Loan Mortgage Corp., Series 119, Class H |
24,356 | |||||
Aaa | 7 | Federal National Mortgage Assoc., |
6,558 | |||||
Aaa | 484 | Series 2006-5, Class 3A2 2.535%(a), 05/25/35 |
496,625 | |||||
Aaa | 3 | Series 2266, Class F 0.669%(a), 11/15/30 |
3,276 | |||||
Aaa | 98 | FHLMC Structured Pass-Through Securities, Series T-61, Class 1A1 |
98,239 | |||||
Aaa | 20 | Government National Mortgage Assoc., Series 2000-9, Class FH |
19,562 | |||||
AAA(b) | 253 | GSR Mortgage Loan Trust, |
243,749 | |||||
CCC(b) | 535 | Series 2005-AR7, Class 4A1 5.246%(a), 11/25/35 |
441,995 | |||||
Caa3 | 514 | Harborview Mortgage Loan Trust, Series 2006-12, Class 2A2B |
310,246 | |||||
C | 416 | Indymac Index Mortgage Loan Trust, |
119,749 | |||||
C | 440 | Series 2006-5, Class 2A1A 0.403%(a), 04/25/37 |
109,112 | |||||
CCC(b) | 428 | Washington Mutual Mortgage Pass-Through Certificates, |
323,745 | |||||
CCC(b) | 462 | Series 2007-HY2, Class 1A1 4.547%(a), 12/25/36 |
366,845 | |||||
Caa2 | 475 | Series 2007-OA3, Class 2A1A 1.066%(a), 04/25/47 |
351,271 | |||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
3,680,982 | |||||||
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS 6.9% | ||||||||
105 | Federal Home Loan Mortgage Corp. |
110,673 | ||||||
78 | 5.50%, 12/01/36 |
84,770 | ||||||
100 | 6.00%, 04/01/16-07/01/17 |
108,943 | ||||||
152 | Federal National Mortgage Assoc. |
152,100 | ||||||
123 | 2.136%(a), 12/01/34 |
127,661 | ||||||
1,000 | 3.00%, TBA |
983,281 | ||||||
5,448 | 4.00%, 03/01/24-09/01/25 |
5,656,292 | ||||||
4,000 | 4.00%, TBA |
3,980,624 | ||||||
46 | 4.036%(a), 05/01/36 |
47,409 | ||||||
5,206 | 4.50%, 02/01/23-03/01/41 |
5,464,508 | ||||||
3,000 | 4.50%, TBA |
3,075,468 | ||||||
62 | 4.779%(a), 09/01/34 |
64,358 | ||||||
367 | 5.50%, 06/01/36 |
395,844 | ||||||
1,426 | 6.00%, 09/01/37 |
1,560,680 | ||||||
13 | Government National Mortgage Assoc. |
13,959 | ||||||
5 | 2.625%(a), 09/20/22 |
4,653 | ||||||
33 | 4.50%, 08/15/33 |
35,191 | ||||||
5 | 8.50%, 05/20/30-04/20/31 |
6,236 | ||||||
TOTAL U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS |
21,872,650 | |||||||
U.S. TREASURY OBLIGATIONS 1.4% |
||||||||
100 | U.S. Treasury Bonds |
139,594 | ||||||
400 | U.S. Treasury Inflationary Indexed Bonds, TIPS |
419,662 | ||||||
100 | 2.125%, 02/15/40 |
111,463 | ||||||
1,800 | U.S. Treasury Notes |
1,730,812 | ||||||
900 | 2.125%, 12/31/15 |
911,812 | ||||||
800 | 2.625%, 11/15/20 |
756,875 | ||||||
300 | 3.625%, 02/15/21 |
308,156 | ||||||
TOTAL U.S. TREASURY OBLIGATIONS |
4,378,374 | |||||||
TOTAL LONG-TERM INVESTMENTS |
285,682,314 | |||||||
SHORT-TERM INVESTMENTS 11.7% |
||||||||
REPURCHASE AGREEMENT(h) 4.9% |
||||||||
15,300 |
Credit Suisse Securities (USA) LLC, 0.04%, dated 04/29/11, due 05/02/11 in the amount of $15,300,051 (cost $15,300,000) |
15,300,000 | ||||||
U.S. TREASURY OBLIGATIONS 3.5% |
||||||||
2,100 | U.S. Treasury Bills |
2,099,754 | ||||||
6,300 | 0.175%, 08/11/11(e) |
6,299,118 | ||||||
2,600 | 0.175%, 08/18/11 |
2,599,556 | ||||||
TOTAL U.S. TREASURY OBLIGATIONS |
10,998,428 | |||||||
Shares |
||||||||
AFFILIATED MONEY MARKET MUTUAL FUND 2.7% |
||||||||
8,620,311 | Prudential Investment Portfolios 2 Prudential Core Taxable Money Market Fund (cost $8,620,311)(g) |
8,620,311 | ||||||
Principal Amount (000)# |
||||||
U.S. GOVERNMENT AGENCY OBLIGATION 0.6% |
||||||
Federal National Mortgage Assoc. |
||||||
$ 2,000 | 0.08%, 07/21/11 |
1,999,822 | ||||
TOTAL SHORT-TERM INVESTMENTS |
36,918,561 | |||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN AND |
322,600,875 | |||||
Notional Amount (000)# |
Counterparty |
|||||
OPTIONS WRITTEN* |
||||||
Call Options |
||||||
11,000 | 90 Day Eurodollar Futures, |
(8,181) | ||||
1,400 | 10 Year U.S. Treasury Note Futures, |
(10,063) | ||||
1,400 | expiring 05/20/11, Strike Price $122.00 |
(4,156) | ||||
3,700 | expiring 06/24/11, Strike Price $121.00 |
(19,656) | ||||
2,400 | Option on forward 2 year swap rate |
Morgan Stanley | (41,174) | |||
(83,230) | ||||||
Put Options |
||||||
11,000 | 90 Day Eurodollar Futures, |
(756) | ||||
3,700 | 5 Year CDX North America IG 15, |
(314) | ||||
2,100 | 5 Year CDX North America IG 16, |
(4,235) | ||||
2,800 | expiring 12/21/11, Strike Price $1.20 |
(11,449) | ||||
2,800 | 10 Year U.S. Treasury Note Futures, |
(438) | ||||
3,700 | expiring 06/24/11, Strike Price $117.00 |
(10,406) | ||||
Interest Rate Swap Options, |
||||||
900 | Receive a fixed rate of 2.75% and pay a floating |
Deutshe Bank | (7,828) | |||
600 | Receive a fixed rate of 3.00% and pay a floating |
Bank of America | (4,077) | |||
1,500 | Receive a fixed rate of 3.00% and pay a floating |
Barclays Capital Group | (10,191) | |||
1,100 | Receive a fixed rate of 3.00% and pay a floating |
Citigroup Global Markets | (7,474) | |||
1,600 | Receive a fixed rate of 10.00% and pay a floating |
Morgan Stanley | (26) | |||
2,000 | Receive a fixed rate of 2.25% and pay a floating |
Bank of America | (17,800) | |||
1,800 | Receive a fixed rate of 2.25% and pay a floating rate based on 3-month LIBOR, expiring 09/24/12 |
Citigroup Global Markets | (16,020) | |||
500 | Receive a fixed rate of 2.25% and pay a floating rate based on 3-month LIBOR, expiring 09/24/12 |
Morgan Stanley | (4,450) | |||
700 | Receive a fixed rate of 2.25% and pay a floating rate based on 3-month LIBOR, expiring 09/24/12 |
UBS Securities | (6,230) | |||
(101,694) | ||||||
TOTAL OPTIONS WRITTEN |
(184,924) | |||||
Principal Amount (000)# |
||||||
SECURITIES SOLD SHORT (2.0)% |
||||||
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS |
||||||
Federal National Mortgage Assoc. |
||||||
2,000 | 4.00%, TBA |
(2,072,500) | ||||
3,000 | 4.50%, TBA |
(3,165,936) | ||||
1,000 | 6.00%, TBA |
(1,093,438) | ||||
TOTAL SECURITIES SOLD SHORT |
(6,331,874) | |||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN AND SECURITIES SOLD SHORT(j) 99.9% |
316,084,077 | |||||
Other assets in excess of other liabilities(l) 0.1% |
445,956 | |||||
NET ASSETS 100% |
$316,530,033 | |||||
The following abbreviations are used in the Portfolio descriptions:
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
ADR | American Depositary Receipt | |
CDX | Credit Derivative Index | |
CVA | Certificate Van Aandelen | |
CVT | Convertible Security | |
FHLMC | Federal Home Loan Mortgage Corporation | |
FSB | Federal Savings Bank | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
NR | Not Rated by Moodys or Standard & Poors | |
TBA | To Be Announced | |
TIPS | Treasury Inflation Protected Securities | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CNY | Chinese Yuan | |
EUR | Euro | |
GBP | British Pound | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
SGD | Singapore Dollar |
TWD | New Taiwanese Dollar | |
# | Principal and notional amount is shown in U.S. dollars unless otherwise stated. | |
* | Non-income producing security. | |
| The ratings reflected are as of April 30, 2011. Ratings of certain bonds may have changed subsequent to that date. | |
(a) | Variable rate instrument. The interest rate shown reflects the rate in effect at April 30, 2011. | |
(b) | Standard & Poors rating. | |
(c) | Indicates a security or securities that have been deemed illiquid. | |
(d) | Represents issuer in default on interest payments. Non-income producing security. | |
(e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. | |
(f) | Represents security, or a portion thereof, segregated as collateral for swap agreements. | |
(g) | Prudential Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 - Prudential Core Taxable Money Market Fund. | |
(h) | Repurchase agreements are collateralized by U.S. Treasuries. | |
(i) | Exercise price and final cost determined on a future date, based upon the implied volatility. | |
(j) | As of April 30, 2011, three securities representing $592,272 and 0.2% of net assets were fair valued in accordance with the policies adopted by the Board of Trustees. | |
(k) | The United States federal income tax basis of the Funds investments was $280,882,833; accordingly, net unrealized appreciation on investments for federal income tax purposes was $41,718,042 (gross unrealized appreciation $45,878,064; gross unrealized depreciation $4,160,022). The difference between book basis and tax basis is primarily attributable to deferred losses on wash sales, straddles and investments in passive foreign investment companies as of the most recent fiscal year end. | |
(l) | Other assets in excess of other liabilities includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts open at April 30, 2011:
Number of Contracts |
Type |
Expiration |
Value at Trade Date |
Value at April 30, 2011 |
Unrealized Appreciation (Depreciation)(1) |
|||||||||||
Long Positions: |
||||||||||||||||
14 | 90 Day Euro Dollar |
Mar. 2012 | $ | 3,467,414 | $ | 3,478,476 | $ | 11,062 | ||||||||
59 | 90 Day Euro Dollar |
Mar. 2014 | 14,303,075 | 14,339,950 | 36,875 | |||||||||||
147 | 90 Day Euro Dollar |
Dec. 2011 | 36,489,162 | 36,580,950 | 91,788 | |||||||||||
82 | 90 Day Euro Euribor |
Jun. 2011 | 29,937,143 | 29,889,950 | (47,193 | ) | ||||||||||
6 | 90 Day Sterling |
Jun. 2011 | 1,238,851 | 1,242,108 | 3,257 | |||||||||||
$ | 95,789 | |||||||||||||||
(1) | Cash of $23,000 and U.S. Treasury Securities with market value of $343,262 has been segregated to cover requirements for open futures contracts at April 30, 2011. |
Forward foreign currency exchange contracts outstanding at April 30, 2011:
Purchase Contracts |
Counterparty |
Notional Amount (000) |
Value
at Settlement Date Payable |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Brazilian Real, |
UBS Securities | BRL | 2,207 | $ | 1,382,974 | $ | 1,400,050 | $ | 17,076 | |||||||||||||
Canadian Dollar, |
Royal Bank of Canada | CAD | 113 | 114,628 | 119,277 | 4,649 | ||||||||||||||||
Chinese Yuan, |
Hong Kong & Shanghai Bank | CNY | 1,064 | 160,000 | 164,662 | 4,662 | ||||||||||||||||
Expiring 09/14/11 |
Citigroup Global Markets | CNY | 332 | 50,000 | 51,715 | 1,715 | ||||||||||||||||
Expiring 09/14/11 |
Royal Bank of Scotland | CNY | 206 | 31,000 | 32,015 | 1,015 |
Expiring 09/14/11 |
UBS Securities | CNY | 497 | 75,000 | 77,455 | 2,455 | ||||||||||||||||
Expiring 11/04/11 |
Deutsche Bank | CNY | 441 | 69,000 | 68,863 | (137 | ) | |||||||||||||||
Expiring 11/15/11 |
Deutsche Bank | CNY | 689 | 104,000 | 107,746 | 3,746 | ||||||||||||||||
Expiring 02/13/12 |
Barclays Capital Group | CNY | 3,295 | 512,131 | 519,354 | 7,223 | ||||||||||||||||
Expiring 02/13/12 |
Barclays Capital Group | CNY | 895 | 138,833 | 141,119 | 2,286 | ||||||||||||||||
Expiring 02/13/12 |
Citigroup Global Markets | CNY | 2,705 | 420,875 | 426,347 | 5,472 | ||||||||||||||||
Expiring 02/13/12 |
Citigroup Global Markets | CNY | 1,904 | 295,697 | 300,077 | 4,380 | ||||||||||||||||
Expiring 02/13/12 |
Citigroup Global Markets | CNY | 853 | 132,296 | 134,454 | 2,158 | ||||||||||||||||
Expiring 02/13/12 |
Deutsche Bank | CNY | 848 | 131,673 | 133,738 | 2,065 | ||||||||||||||||
Expiring 02/13/12 |
Deutsche Bank | CNY | 816 | 126,631 | 128,627 | 1,996 | ||||||||||||||||
Expiring 02/13/12 |
Deutsche Bank | CNY | 347 | 53,506 | 54,758 | 1,252 | ||||||||||||||||
Expiring 02/13/12 |
JPMorgan Chase | CNY | 1,035 | 161,000 | 163,220 | 2,220 | ||||||||||||||||
Expiring 02/13/12 |
JPMorgan Chase | CNY | 863 | 133,950 | 136,061 | 2,111 | ||||||||||||||||
Expiring 02/13/12 |
UBS Securities | CNY | 681 | 105,805 | 107,406 | 1,601 | ||||||||||||||||
Expiring 02/01/13 |
Deutsche Bank | CNY | 456 | 72,525 | 73,507 | 982 | ||||||||||||||||
Expiring 02/01/13 |
Deutsche Bank | CNY | 40 | 6,279 | 6,408 | 129 | ||||||||||||||||
Euro, |
Barclays Capital Group | EUR | 46 | 66,521 | 67,977 | 1,456 | ||||||||||||||||
Indian Rupee, |
Barclays Capital Group | INR | 13,959 | 301,294 | 315,071 | 13,777 | ||||||||||||||||
Expiring 08/12/11 |
Barclays Capital Group | INR | 21,673 | 461,916 | 479,706 | 17,790 | ||||||||||||||||
Expiring 08/12/11 |
Hong Kong & Shanghai Bank | INR | 13,959 | 309,100 | 308,963 | (137 | ) | |||||||||||||||
Malaysian Ringgit, |
Citigroup Global Markets | MYR | 9 | 2,907 | 3,013 | 106 | ||||||||||||||||
Mexican Peso, |
State Street Bank | MXN | 892 | 74,056 | 77,342 | 3,286 | ||||||||||||||||
Expiring 05/24/11 |
State Street Bank | MXN | 799 | 65,209 | 69,230 | 4,021 | ||||||||||||||||
Expiring 07/07/11 |
Hong Kong & Shanghai Bank | MXN | 2,768 | 237,000 | 238,896 | 1,896 | ||||||||||||||||
Expiring 07/07/11 |
Hong Kong & Shanghai Bank | MXN | 2,765 | 237,000 | 238,651 | 1,651 | ||||||||||||||||
Expiring 07/07/11 |
Hong Kong & Shanghai Bank | MXN | 164 | 13,224 | 14,168 | 944 |
Expiring 07/07/11 |
Morgan Stanley | MXN | 3,220 | 276,000 | 277,858 | 1,858 | ||||||||||||||||
Expiring 07/07/11 |
Morgan Stanley | MXN | 2,766 | 237,000 | 238,718 | 1,718 | ||||||||||||||||
New Taiwanese Dollar, |
Barclays Capital Group | TWD | 21,560 | 752,279 | 757,716 | 5,437 | ||||||||||||||||
Norwegian Krone, |
Barclays Capital Group | NOK | 3,305 | 587,381 | 629,708 | 42,327 | ||||||||||||||||
Expiring 05/05/11 |
Barclays Capital Group | NOK | 2,154 | 373,935 | 410,406 | 36,471 | ||||||||||||||||
Expiring 05/05/11 |
Royal Bank of Canada | NOK | 392 | 69,112 | 74,689 | 5,577 | ||||||||||||||||
Singapore Dollar, |
Deutsche Bank | SGD | 410 | 314,268 | 334,953 | 20,685 | ||||||||||||||||
Expiring 06/09/11 |
Deutsche Bank | SGD | 221 | 169,609 | 180,285 | 10,676 | ||||||||||||||||
Expiring 06/09/11 |
Goldman Sachs & Co. | SGD | 531 | 414,788 | 434,099 | 19,311 | ||||||||||||||||
South Korean Won, |
Barclays Capital Group | KRW | 251,350 | 220,000 | 234,384 | 14,384 | ||||||||||||||||
Expiring 05/09/11 |
Barclays Capital Group | KRW | 51,300 | 45,669 | 47,837 | 2,168 | ||||||||||||||||
Expiring 05/09/11 |
Citigroup Global Markets | KRW | 199,100 | 176,272 | 185,661 | 9,389 | ||||||||||||||||
Expiring 05/09/11 |
Citigroup Global Markets | KRW | 179,000 | 159,565 | 166,918 | 7,353 | ||||||||||||||||
Expiring 05/09/11 |
Citigroup Global Markets | KRW | 123,000 | 109,822 | 114,698 | 4,876 | ||||||||||||||||
Expiring 05/09/11 |
Deutsche Bank | KRW | 229,643 | 201,000 | 214,142 | 13,142 | ||||||||||||||||
Expiring 05/09/11 |
Goldman Sachs & Co. | KRW | 41,383 | 36,467 | 38,590 | 2,123 | ||||||||||||||||
Expiring 05/09/11 |
Hong Kong & Shanghai Bank | KRW | 97,000 | 86,407 | 90,453 | 4,046 | ||||||||||||||||
Expiring 05/09/11 |
JPMorgan Chase | KRW | 652,984 | 563,792 | 608,909 | 45,117 | ||||||||||||||||
Expiring 05/09/11 |
JPMorgan Chase | KRW | 223,800 | 197,349 | 208,694 | 11,345 | ||||||||||||||||
Expiring 05/09/11 |
Royal Bank of Scotland | KRW | 194,000 | 171,477 | 180,905 | 9,428 | ||||||||||||||||
Expiring 08/12/11 |
JPMorgan Chase | KRW | 2,242,559 | 2,042,124 | 2,078,175 | 36,051 | ||||||||||||||||
$ | 13,250,346 | $ | 13,667,674 | $ | 417,328 | |||||||||||||||||
Sale Contracts |
Counterparty |
Notional Amount (000) |
Value
at Settlement Date Receivable |
Current Value |
Unrealized Depreciation |
|||||||||||||||||
Australian Dollar, |
Royal Bank of Canada | AUD | 2,512 | $ | 2,707,037 | $ | 2,741,912 | $ | (34,875 | ) |
Brazilian Real, |
Citigroup Global Markets | BRL | 1,816 | 1,071,877 | 1,151,742 | (79,865 | ) | |||||||||||||||
Expiring 06/02/11 |
Hong Kong & Shanghai Bank | BRL | 272 | 160,000 | 172,734 | (12,734 | ) | |||||||||||||||
Expiring 06/02/11 |
UBS Securities | BRL | 119 | 70,000 | 75,575 | (5,575 | ) | |||||||||||||||
Expiring 08/02/11 |
UBS Securities | BRL | 2,207 | 1,365,351 | 1,386,671 | (21,320 | ) | |||||||||||||||
British Pound, |
Citigroup Global Markets | GBP | 293 | 469,928 | 489,114 | (19,186 | ) | |||||||||||||||
Expiring 06/13/11 |
Credit Suisse First Boston Corp. | GBP | 292 | 468,473 | 487,445 | (18,972 | ) | |||||||||||||||
Canadian Dollar, |
BNP Paribas | CAD | 1,183 | 1,210,425 | 1,248,720 | (38,295 | ) | |||||||||||||||
Euro, |
Credit Suisse First Boston Corp. | EUR | 1,674 | 2,414,326 | 2,473,751 | (59,425 | ) | |||||||||||||||
Indian Rupee, |
Hong Kong & Shanghai Bank | INR | 13,959 | 314,179 | 315,071 | (892 | ) | |||||||||||||||
Japanese Yen, |
JPMorgan Chase | JPY | 27,361 | 326,638 | 337,447 | (10,809 | ) | |||||||||||||||
Mexican Peso, |
State Street Bank | MXN | 6,050 | 483,596 | 524,338 | (40,742 | ) | |||||||||||||||
South Korean Won, |
JPMorgan Chase | KRW | 2,242,559 | 2,053,813 | 2,091,191 | (37,378 | ) | |||||||||||||||
$ | 13,115,643 | $ | 13,495,711 | $ | (380,068 | ) | ||||||||||||||||
Interest rate swap agreements outstanding at April 30, 2011:
Counterparty |
Termination Date |
Notional Amount (000) |
Fixed Rate |
Floating Rate |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Barclays Bank PLC(1) |
12/15/17 | AUD | 500 | 5.50% | 6 month Australian Bank Bill rate |
$ | (10,636 | ) | $ | (2,292 | ) | $ | (8,344 | ) | ||||||||||||||
Deutsche Bank(1) |
12/15/17 | AUD | 300 | 5.50% | 6 month Australian Bank Bill rate |
(5,968 | ) | (1,229 | ) | (4,739 | ) | |||||||||||||||||
Barclays Bank PLC(1) |
01/02/14 | BRL | 2,800 | 11.99% | Brazilian interbank lending rate |
4,829 | 636 | 4,193 | ||||||||||||||||||||
Goldman Sachs & |
01/02/14 | BRL | 5,900 | 11.96% | Brazilian interbank lending rate |
7,716 | (6,325 | ) | 14,041 | |||||||||||||||||||
Merrill Lynch & |
01/02/14 | BRL | 4,000 | 11.86% | Brazilian interbank lending rate |
(16,956 | ) | 4,993 | (21,949 | ) | ||||||||||||||||||
Morgan Stanley & |
01/02/13 | BRL | 3,600 | 11.98% | Brazilian interbank lending rate |
16,037 | 20,521 | (4,484 | ) | |||||||||||||||||||
UBS AG(1) |
01/02/13 | BRL | 3,200 | 12.51% | Brazilian interbank lending rate |
(1,043 | ) | (2,891 | ) | 1,848 | ||||||||||||||||||
Barclays Bank PLC(1) |
09/21/16 | EUR | 2,500 | 3.00% | 6 month Euribor |
(35,227 | ) | (73,234 | ) | 38,007 | ||||||||||||||||||
Morgan Stanley & |
03/05/13 | MXN | 10,800 | 6.50% | 28 day Mexican interbank rate |
3,668 | (390 | ) | 4,058 | |||||||||||||||||||
$ | (37,580 | ) | $ | (60,211 | ) | $ | 22,631 | |||||||||||||||||||||
(1) | Fund pays the floating rate and receives the fixed rate. |
Credit default swap agreements outstanding at April 30, 2011:
Counterparty |
Termination Date |
Notional Amount (000)(4)# |
Fixed Rate |
Reference Entity/Obligation |
Fair Value(3) |
Upfront Premiums Paid (Received) |
Unrealized Depreciation |
|||||||||||||||||
Credit default swaps on credit indices - Sell Protection (1): |
| |||||||||||||||||||||||
Morgan Stanley & Co. |
12/20/15 | $ | 530 | 0.46% | Dow Jones CDX IG5 10Y Index |
$ | (37,858 | ) | $ | | $ | (37,858 | ) | |||||||||||
Morgan Stanley & Co. |
12/20/15 | 1,900 | 0.46% | Dow Jones CDX IG5 10Y Index |
(135,259 | ) | | (135,259 | ) | |||||||||||||||
$ | (173,117 | ) | $ | | $ | (173,117 | ) | |||||||||||||||||
The Fund entered into credit default swap agreements on credit indices as the protection seller to provide a measure of protection against the current portfolio of investments exposure to market conditions, or to take an active position with respect to the likelihood of a particular issuers default or the referenced entitys credit soundness.
Counterparty |
Termination Date |
Notional Amount (000)(4)# |
Fixed Rate |
Reference Entity/Obligation |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Credit default swaps - Buy Protection (2): |
| |||||||||||||||||||||||
Barclays Bank PLC |
12/20/17 | $ | 968 | 0.80% | Dow Jones CDX IG9 10Y Index |
$ | 22,952 | $ | 8,724 | $ | 14,228 | |||||||||||||
Barclays Bank PLC |
06/20/11 | 100 | 1.00% | Transocean, Inc., 7.375%, due 04/15/18 |
(203 | ) | 82 | (285 | ) | |||||||||||||||
Citigroup, Inc. |
06/20/15 | 200 | 5.00% | Dow Jones CDX HY14 Index |
(12,178 | ) | 13,316 | (25,494 | ) | |||||||||||||||
Credit Suisse International |
06/20/15 | 1,300 | 1.00% | Dow Jones CDX IG14 5Y Index |
(18,498 | ) | (8,507 | ) | (9,991 | ) | ||||||||||||||
Deutsche Bank |
06/20/15 | 100 | 5.00% | Dow Jones CDX HY14 Index |
(6,089 | ) | 6,250 | (12,339 | ) | |||||||||||||||
Deutsche Bank |
06/20/18 | 1,839 | 1.50% | Dow Jones CDX IG10 10Y Index |
(33,716 | ) | (21,535 | ) | (12,181 | ) | ||||||||||||||
Deutsche Bank |
06/20/13 | 2,226 | 1.55% | Dow Jones CDX IG10 5Y Index |
(50,203 | ) | (4,077 | ) | (46,126 | ) | ||||||||||||||
Deutsche Bank |
03/20/14 | 300 | 1.25% | Embarq Corp., 7.08%, due 06/01/16 |
(5,975 | ) | | (5,975 | ) | |||||||||||||||
Deutsche Bank |
03/20/14 | 200 | 1.27% | Embarq Corp., 7.08%, due 06/01/16 |
(4,106 | ) | | (4,106 | ) | |||||||||||||||
Deutsche Bank |
03/20/14 | 200 | 1.43% | Embarq Corp., 7.08%, due 06/01/16 |
(5,032 | ) | 18 | (5,050 | ) | |||||||||||||||
Deutsche Bank |
09/20/11 | 200 | 0.62% | Nationwide Health, 6.50%, due 07/15/11 |
(353 | ) | | (353 | ) | |||||||||||||||
Goldman Sachs & Co. |
06/20/18 | 2,226 | 1.50% | Dow Jones CDX IG10 10Y Index |
(40,813 | ) | (57,451 | ) | 16,638 | |||||||||||||||
Goldman Sachs & Co. |
12/20/17 | 3,872 | 0.80% | Dow Jones CDX IG9 10Y Index |
91,718 | 22,616 | 69,102 | |||||||||||||||||
Merrill Lynch & Co. |
12/20/11 | 272 | 0.00% | Dow Jones CDX HY7 Index |
19,386 | 12,838 | 6,548 | |||||||||||||||||
Merrill Lynch & Co. |
12/20/17 | 1,936 | 0.80% | Dow Jones CDX IG9 10Y Index |
45,902 | 27,436 | 18,466 | |||||||||||||||||
Morgan Stanley & Co. |
06/20/18 | 5,227 | 1.50% | Dow Jones CDX IG10 10Y Index |
(95,823 | ) | (108,934 | ) | 13,111 | |||||||||||||||
Morgan Stanley & Co. |
06/20/15 | 2,700 | 1.00% | Dow Jones CDX IG14 5Y Index |
(38,419 | ) | (17,917 | ) | (20,502 | ) | ||||||||||||||
Morgan Stanley & Co. |
12/20/12 | 700 | 0.14% | Dow Jones CDX IG5 Index |
1,539 | | 1,539 | |||||||||||||||||
Morgan Stanley & Co. |
12/20/12 | 2,700 | 0.14% | Dow Jones CDX IG5 Index |
5,937 | | 5,937 | |||||||||||||||||
Morgan Stanley & Co. |
12/20/17 | 4,066 | 0.80% | Dow Jones CDX IG9 10Y Index |
96,395 | 68,643 | 27,752 | |||||||||||||||||
Morgan Stanley & Co. |
03/20/14 | 100 | 1.30% | Embarq Corp., 7.08%, due 06/01/16 |
(2,143 | ) | 8 | (2,151 | ) | |||||||||||||||
$ | (29,722 | ) | $ | (58,490 | ) | $ | 28,768 | |||||||||||||||||
(1) | If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, represents a deterioration of the referenced entitys credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | Notional amount represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
# | Notional Amount is shown in U.S. dollars unless otherwise stated. |
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below.
Level 1 - quoted prices generally for stocks, exchange traded funds, options and futures traded in active markets for identical securities, and mutual funds which trade at daily net asset value.
Level 2 - other significant observable inputs (including, but not limited to, quoted prices for similar securities, interest rates, prepayment speeds, foreign currency exchange rates, and amortized cost) generally for debt securities, swaps, forward foreign currency contracts and for foreign stocks priced using vendor modeling tools.
Level 3 - significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of April 30, 2011 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
||||||||||||
Common Stocks |
$ | 209,932,074 | $ | | $ | | ||||||
Exchange Traded Fund |
45,930 | | | |||||||||
Preferred Stocks |
732,796 | | | |||||||||
Asset-Backed Securities |
| 2,327,737 | 598,983 | |||||||||
Bank Loans |
| 918,566 | | |||||||||
Commerical Mortgage-Backed Securities |
| 468,240 | | |||||||||
Corporate Bonds |
| 29,500,475 | | |||||||||
Foreign Government Bonds |
| 7,356,994 | | |||||||||
Municipal Bonds |
| 3,868,513 | | |||||||||
Residential Mortgage-Backed Securities |
| 3,646,519 | 34,463 | |||||||||
U.S. Government Agency Obligation |
| 1,999,822 | | |||||||||
U.S. Government Mortgage-Backed Obligations |
| 21,872,650 | | |||||||||
U.S. Treasury Obligations |
| 15,376,802 | | |||||||||
Repurchase Agreement |
| 15,300,000 | | |||||||||
Options Written |
(53,656 | ) | (90,094 | ) | (41,174 | ) | ||||||
Affiliated Money Market Mutual Fund |
8,620,311 | | | |||||||||
Securities Sold Short - U.S. Government Mortgage-Backed Obligations |
| (6,331,874 | ) | | ||||||||
Other Financial Instruments* |
||||||||||||
Futures |
95,789 | | | |||||||||
Forward foreign currency exchange contracts |
| 37,260 | | |||||||||
Interest rate swap agreements |
| 22,631 | | |||||||||
Credit default swap agreements |
| (144,349 | ) | | ||||||||
Total |
$ | 219,373,244 | $ | 96,129,892 | $ | 592,272 | ||||||
* | Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
The following is a summary of the fair value of the derivative instruments utilized by the Fund as of April 30, 2011 categorized by risk exposure:
Derivative Fair
Value at 04/30/11 |
||||
Credit contracts |
$ | (160,347 | ) | |
Foreign exchange contracts |
37,260 | |||
Interest rate contracts |
(50,506 | ) | ||
Total |
$ | (173,593 | ) | |
Notes to Schedules of Investments (Unaudited)
Securities Valuation: Securities listed on a securities exchange (other than options on securities and indices) are valued at the last sale price on such exchange on the day of valuation or, if there was no sale on such day, at the mean between the last reported bid and asked prices, or at the last bid price on such day in the absence of an asked price. Securities traded via NASDAQ are valued at the NASDAQ official closing price (NOCP) on the day of valuation, or if there was no NOCP, at the last sale price. Securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by the subadvisers, in consultation with Prudential Investments LLC (PI or Manager), to be over-the-counter, are valued at market value using prices provided by an independent pricing agent or principal market maker.
Corporate bonds (other than convertible debt securities) and U.S. government securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by an Adviser in consultation with the Manager to be over-the-counter, are valued by an independent pricing agent or more than one principal market maker (if available, otherwise by a principal market maker or a primary market dealer). Convertible debt securities that are actively traded in the over-the-counter market, including listed securities for which the primary market is believed by an Adviser in consultation with the Manager to be over-the-counter, are valued by an independent pricing agent or at the mean between the last reported bid and asked prices (or at the last bid price in the absence of an asked price) provided by more than one principal market maker (if available, otherwise by a principal market maker or a primary market dealer).
Municipal securities (including commitments to purchase such securities on a when-issued basis) are valued as of the close of trading on the New York Stock Exchange, on the basis of prices provided by a pricing service which uses information with respect to transactions in comparable securities and various relationships between securities in determining values.
Options on securities and indices traded on an exchange are valued on their last sales price as of the close of trading on the applicable exchange or, if there was no sale, at the mean between the most recently quoted bid and asked prices on such exchange or at the last bid price in the absence of an asked price.
Futures contracts and options thereon traded on a commodities exchange or board of trade are valued at the last sale price at the close of trading on such exchange or board of trade or, if there was no sale on the applicable commodities exchange or board of trade on such day, at the mean between the most recently quoted bid and asked prices on such exchange or board of trade or at the last bid price in the absence of an asked price.
Repurchase Agreements: In connection with transactions in repurchase agreements with the United States financial institutions, it is each Funds policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transactions, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to- market on a daily basis to ensure the adequacy of the collateral. If the seller defaults and the value of the collateral declines or, if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.
Securities for which market quotations are not readily available, or whose values have been affected by events occurring after the close of the securitys foreign market and before the Funds normal pricing time, are valued at fair value in accordance with the Board of Trustees approved fair valuation procedures. When determining the fair valuation of securities some of the factors influencing the valuation include, the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuers financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a securitys most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Market values of investments traded in a foreign currency are translated into U.S. dollars at the current rates of exchange.
Forward currency contracts are valued daily at current exchange rates.
Swaps are valued by marking-to-market the unrealized gains or losses daily.
Investments in open end, non exchange-traded mutual funds are valued at the net asset value as of the close of the New York Stock Exchange on the date of valuation.
Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. Short-term debt securities which mature in more than sixty days are valued at fair value.
The Funds invest in the Prudential Core Taxable Money Market Fund, a portfolio of Prudential Investment Portfolios 2. The Prudential Core Taxable Money Market Fund is a money market mutual fund registered under the 1940 Act, as amended, and managed by PI.
Other information regarding the Funds is available in the Funds most recent Report to Shareholders. This information is available on The Securities and Exchange Commissions website (www.sec.gov).
Item 2. Controls and Procedures
(a) | It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commissions rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
(b) | There have been no significant changes in the registrants internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. |
Item 3. Exhibits
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 Attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Target Asset Allocation Funds
By (Signature and Title)* |
/s/ Deborah A. Docs |
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Deborah A. Docs | ||||||
Secretary of the Fund |
Date June 20, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* |
/s/ Judy A. Rice |
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Judy A. Rice | ||||||
President and Principal Executive Officer | ||||||
Date June 20, 2011 |
By (Signature and Title)* |
/s/ Grace C. Torres |
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Grace C. Torres | ||||||
Treasurer and Principal Financial Officer |
Date June 20, 2011
* | Print the name and title of each signing officer under his or her signature. |
CERTIFICATIONS
I, Judy A. Rice, certify that:
1. | I have reviewed this report on Form N-Q of Target Asset Allocation Funds; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: June 20, 2011 | /s/ Judy A. Rice | |||||
Judy A. Rice | ||||||
President and Principal | ||||||
Executive Officer |
CERTIFICATIONS
I, Grace C. Torres, certify that:
1. | I have reviewed this report on Form N-Q of Target Asset Allocation Funds; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: June 20, 2011 | /s/ Grace C. Torres | |||||
Grace C. Torres | ||||||
Treasurer and Principal | ||||||
Financial Officer |