UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
| Investment Company Act file number: | 811-03422 | |
| Exact name of registrant as specified in charter: | The Prudential Variable Contract Account-11 | |
| 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 | ||
| Registrant’s telephone number, including area code: | 973-367-7521 | |
| Date of fiscal year end: | 12/31/2013 | |
| Date of reporting period: | 12/31/2013 | |
Item 1 – Reports to Stockholders
The MEDLEY Program
ANNUAL REPORT Ÿ DECEMBER 31, 2013
|
| The Prudential MEDLEY Program Table of Contents |
Annual Report | December 31, 2013 |
| n | LETTER TO PARTICIPANTS |
| n | VCA-10 CAPITAL GROWTH ACCOUNT |
Financial Statements
| n | VCA-11 MONEY MARKET ACCOUNT |
Financial Statements
| n | VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS |
Conservative Balanced Portfolio
Diversified Bond Portfolio
Equity Portfolio
Flexible Managed Portfolio
Global Portfolio
Government Income Portfolio
Stock Index Portfolio
| The Prudential MEDLEY Program
Letter to Participants |
December 31, 2013 |
| n | DEAR PARTICIPANT: |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This MEDLEY Program annual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
|
| |
| Stuart Parker | Robert F. O’Donnell | |
| President, | President, | |
| The Prudential Variable Contract Accounts 10 & 11 | The Prudential Series Fund |
January 31, 2014
| Prudential Variable Contract Account-10 (VCA-10) & Variable Contract Account-24 (VCA-24)
Presentation of Portfolio Holdings — unaudited |
December 31, 2013 |
For a complete listing of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
| The Prudential MEDLEY Program — VCA-10 Capital Growth Account
|
December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
For the year ended December 31, 2013, the value of the standard contract for the Prudential Variable Contract Account 10 (“VCA-10” or the “Account”) gained 30.81%, the value of a contract with annual expenses of 0.50% gained 31.46%, and the value of a contract with annual expenses of 0.45% gained 31.53%.
The Account’s investment objective is long-term growth of capital. It is subadvised by Jennison Associates LLC (Jennison).
The U.S. equity markets, as measured by the broad market indexes, realized substantial gains for the year. The S&P 500 Index (the index) rose 32.37%, with double-digit gains in all sectors. Consumer discretionary, healthcare, and industrials had the strongest returns; those in telecommunication services and utilities were more modest. The Account performed in line with the Index.
Stock selection in information technology, financials, and industrials and an overweight position in consumer discretionary contributed most to relative returns. LinkedIn, Mastercard, Google, and Microsoft were key contributors in information technology. Morgan Stanley and MetLife led contributors in financials while Boeing led in industrials. LinkedIn is a leading global online professional network that provides what Jennison considers unique access to a large database of active and passive job candidates. Adjacent growth opportunities in marketing services and professional publishing are added potential drivers in early phases of development. MasterCard, the No. 2 payment system in the U.S., is likely to continue to benefit from the long-term shift from cash to electronic credit/debit transactions.
During the period, Morgan Stanley continued to make progress on several fronts; it announced an unexpected share buyback, anticipates being compliant with the Basel III supplementary leverage ratios by 2015, enjoyed steady growth in its wealth management division, and reported that it is on track to achieve expense reduction targets. Boeing reported several strong successive quarters, putting behind it a rocky start to the year as a result of 787 battery problems. Margins have been particularly strong as a result of higher production rates in high margin legacy programs and lower than expected research and development costs. Costs of 787 production also have continued to decline and free cash flow has consistently exceeded expectations.
Individual stock selection in materials and consumer discretionary was most detrimental to relative performance. An underweight in industrials and an overweight in energy also detracted. In materials, the gold-mining companies Kinross Gold and Goldcorp were the source of weakness, due largely to declining gold prices. Those mining companies that can get their costs under control now — and Jennison believes Goldcorp has demonstrated that it is able to — will most likely benefit from significant operating leverage when gold prices finally rise again.
JCPenney was the key detractor in consumer discretionary. JCPenney has been in the midst of a turnaround and began to show signs that it had reached a turning point late in the period, in Jennison’s view. Shares probably declined on profit taking as positive indicators accumulated.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Account.
| 1 | The Account performance results are after the deduction of all expenses and contract charges, but not including the effect of any sales charges. The standard VCA-10 contract has total annual expenses (as a percentage of net assets) of 1.00%. Certain VCA-10 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of the VCA-10 contracts with reduced expenses will be higher than the performance of the standard VCA-10 contract. All total returns are for the periods indicated and are calculated based on changes in unit values. |
| 2 | The graph is based on the performance of the Standard Contract. Performance of the 0.50% Contract and the 0.45% Contract will be higher due to differences in the fee structure. All the Contracts include total annual expenses (as a percentage of net assets) of 1.00%, 0.50%, and 0.45%, respectively, which are reflected in the performance. |
The S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. Investors cannot invest directly in an index.
For a complete list of holdings please see the Statement of Net Assets sections of this report.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial Company.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS | ||||||
December 31, 2013
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS | ||||||
December 31, 2013
The following abbreviations are used in the portfolio descriptions:
| ADR | American Depositary Receipt | |
| CVR | Contingent Value Rights |
| (a) | Non-income producing security. |
| (b) | Indicates a security that has been deemed illiquid. |
| (c) | Indicates a security restricted to resale. |
| (d) | Prudential Investments LLC, the Manager of the Account, also serves as Manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS | ||||||
December 31, 2013
Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1—quoted | prices generally in active markets for identical securities. |
| Level 2—other | significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3—significant | unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2013 in valuing such portfolio securities:
| Investments in Securities |
Level 1 |
Level 2 |
Level 3 |
|||||||||
| Common Stocks |
$ | 174,150,061 | $ | — | $ | — | ||||||
| Rights |
— | — | — | |||||||||
| Affiliated Money Market Mutual Fund |
3,517,020 | — | — | |||||||||
| Total |
$ | 177,667,081 | $ | — | $ | — | ||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| Common Stock |
||||
| Balance as of 12/31/2012 |
$ | 1,503,733 | ||
| Realized gain (loss) |
(1,590,888 | ) | ||
| Change in unrealized appreciation (depreciation) |
135,959 | |||
| Purchases |
— | |||
| Sales |
(48,804 | ) | ||
| Transfers into Level 3 |
— | |||
| Transfers out of Level 3 |
— | |||
| Balance as of 12/31/2013 |
$ | — | ||
Included in the table above, under Level 3 securities, are equity rights, that were fair valued in accordance with the Account’s Committee approved fair valuation procedures. Such rights were acquired through a private placement and the valuation was based on unobservable inputs.
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS | ||||||
December 31, 2013
The Account invested in derivative instruments (rights offerings) during the reporting period. The primary type of risk associated with derivative instruments is equity risk. The effect of such derivative instruments on the Account’s financial position and financial performance as reflected in the Statement of Net Assets and Statement of Operations is presented in the summary below.
At December 31, 2013, the Account held derivatives not accounted for as hedging instruments. These equity contracts have a fair value at December 31, 2013 of $0 and are presented in the Statement of Net Assets as such.
For the year ended December 31, 2013, the Account did not have any realized gain or (loss) or change in unrealized appreciation or (depreciation) on derivatives recognized in income on the Statement of Operations.
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF OPERATIONS | ||||||
Year Ended December 31, 2013
| INVESTMENT INCOME |
||||
| Unaffiliated Dividend Income (net of $87,516 foreign withholding tax) |
$ | 2,435,763 | ||
| Affiliated Dividend Income |
2,406 | |||
| Total Income |
2,438,169 | |||
| EXPENSES |
||||
| Fees Charged to Participants for Investment Management Services |
(418,601 | ) | ||
| Fees Charged to Participants for Administrative Expenses: |
||||
| Standard Contract |
(1,133,249 | ) | ||
| 0.50% Contract |
(7,079 | ) | ||
| 0.45% Contract |
(21,738 | ) | ||
| Total Expenses . |
(1,580,667 | ) | ||
| NET INVESTMENT INCOME |
857,502 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
||||
| Net Realized Gain on Investment Transactions |
24,415,833 | |||
| Net Change in Unrealized Appreciation (Depreciation) on Investments |
19,029,731 | |||
| NET GAIN ON INVESTMENTS |
43,445,564 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 44,303,066 | ||
| STATEMENT OF CHANGES IN NET ASSETS | ||||||
| Year Ended December 31, |
||||||||
| 2013 |
2012 | |||||||
| OPERATIONS |
||||||||
| Net Investment Income |
$ | 857,502 | $ | 1,300,945 | ||||
| Net Realized Gain on Investment Transactions |
24,415,833 | 6,057,458 | ||||||
| Net Change In Unrealized Appreciation (Depreciation) on Investments |
19,029,731 | 11,319,558 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
44,303,066 | 18,677,961 | ||||||
| CAPITAL TRANSACTIONS |
||||||||
| Purchase Payments and Transfers In |
23,423,935 | 2,973,827 | ||||||
| Withdrawals and Transfers Out |
(43,223,694 | ) | (26,372,849 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS |
(19,799,759 | ) | (23,399,022 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS |
(2,471 | ) | (61,443 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS |
24,500,836 | (4,782,504 | ) | |||||
| NET ASSETS |
||||||||
| Beginning of year |
151,441,049 | 156,223,553 | ||||||
| End of year |
$ | 175,941,885 | $ | 151,441,049 | ||||
| Accumulation Unit Values and Equity of Participants as of December 31, 2013 | ||||
| Standard Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $161,297,796 / 11,720,247 outstanding Accumulation Units |
$ | 13.7623 | ||
| 0.50% Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $3,367,521 / 224,201 outstanding Accumulation Units |
$ | 15.0201 | ||
| 0.45% Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $11,289,920 / 750,561 outstanding Accumulation Units |
$ | 15.0420 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR
VCA-10
| INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* | ||||||
(For an Accumulation Unit outstanding throughout the year)
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||||||||||||||
| Standard |
0.50% |
0.45% |
Standard Contract |
0.50% Contract |
0.45% Contract |
|||||||||||||||||||
| Investment Income |
$ | .1792 | $ | .1950 | $ | .1952 | $ | .1825 | $ | .1975 | $ | .1976 | ||||||||||||
| Expenses |
||||||||||||||||||||||||
| Investment management fee |
(.0303 | ) | (.0330 | ) | (.0330 | ) | (.0251 | ) | (.0272 | ) | (.0272 | ) | ||||||||||||
| Administrative expenses |
(.0906 | ) | (.0330 | ) | (.0264 | ) | (.0752 | ) | (.0272 | ) | (.0218 | ) | ||||||||||||
| Net Investment Income |
.0583 | .1290 | .1358 | .0822 | .1431 | .1486 | ||||||||||||||||||
| Capital Changes |
||||||||||||||||||||||||
| Net realized and unrealized gain (loss) on investment transactions |
3.1834 | 3.4658 | 3.4700 | 1.0786 | 1.1677 | 1.1686 | ||||||||||||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
3.2417 | 3.5948 | 3.6058 | 1.1608 | 1.3108 | 1.3172 | ||||||||||||||||||
| Accumulation Unit Value |
||||||||||||||||||||||||
| Beginning of year |
10.5206 | 11.4253 | 11.4362 | 9.3598 | 10.1145 | 10.1190 | ||||||||||||||||||
| End of year |
$ | 13.7623 | $ | 15.0201 | $ | 15.0420 | $ | 10.5206 | $ | 11.4253 | $ | 11.4362 | ||||||||||||
| Total Return** |
30.81 | % | 31.46 | % | 31.53 | % | 12.40 | % | 12.96 | % | 13.02 | % | ||||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
| Ratio of Net Investment Income To Average Net Assets*** |
.48 | % | .98 | % | 1.03 | % | .82 | % | 1.32 | % | 1.37 | % | ||||||||||||
| Portfolio Turnover Rate |
69 | % | 69 | % | 69 | % | 44 | % | 44 | % | 44 | % | ||||||||||||
| Number of Accumulation Units Outstanding |
11,720 | 224 | 751 | 13,204 | 205 | 891 | ||||||||||||||||||
| Year/Period Ended December 31, 2011 |
Year Ended December 31, |
|||||||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract† |
2010 | 2009 | ||||||||||||||||
| Investment Income |
$ | .1448 | $ | .1559 | $ | .1203 | $ | .1531 | $ | .1215 | ||||||||||
| Expenses |
||||||||||||||||||||
| Investment management fee |
(.0250 | ) | (.0270 | ) | (.0200 | ) | (.0227 | ) | (.0186 | ) | ||||||||||
| Administrative expenses |
(.0749 | ) | (.0270 | ) | (.0160 | ) | (.0678 | ) | (.0557 | ) | ||||||||||
| Net Investment Income |
.0449 | .1019 | .0843 | .0626 | .0472 | |||||||||||||||
| Capital Changes |
||||||||||||||||||||
| Net realized and unrealized gain (loss) on investment transactions |
(.7945 | ) | (.8579 | ) | (1.5558 | ) | .9846 | 2.8854 | ||||||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
(.7496 | ) | (.7560 | ) | (1.4715 | ) | 1.0472 | 2.9326 | ||||||||||||
| Accumulation Unit Value |
||||||||||||||||||||
| Beginning of period |
10.1094 | 10.8705 | 11.5905 | 9.0708 | 6.1382 | |||||||||||||||
| End of period |
$ | 9.3598 | $ | 10.1145 | $ | 10.1190 | $ | 10.1180 | $ | 9.0708 | ||||||||||
| Total Return** |
(7.41 | )% | (6.95 | )% | (12.70 | )% | 11.54 | % | 47.78 | % | ||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | .50 | % | .45 | %†† | 1.00 | % | 1.00 | % | ||||||||||
| Ratio of Net Investment Income To Average Net Assets*** |
.44 | % | .94 | % | 1.03 | %†† | .69 | % | 1.00 | % | ||||||||||
| Portfolio Turnover Rate |
56 | % | 56 | % | 56 | %††† | 70 | % | 62 | % | ||||||||||
| Number of Accumulation Units Outstanding |
15,386 | 205 | 1,001 | 18,330 | 20,072 | |||||||||||||||
| * | Calculated by accumulating the actual per unit amounts daily. |
| ** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-10. |
| † | Inception Date — April 1, 2011. |
| †† | Annualized. |
| ††† | Not Annualized. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO THE FINANCIAL STATEMENTS OF
VCA-10
| Note 1: | General |
The Prudential Variable Contract Account-10 (“VCA-10” or the “Account”) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940 (“1940 Act”), as amended. VCA-10 has been designed for use by employers (“Contract-holders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital. The Account’s investments are composed primarily of common stocks. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.
PICA issues standard VCA-10 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-10 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.
| Note 2: | Accounting Policies |
The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.
Security Valuation: The Account holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
Common stocks, exchange-traded funds, and derivative instruments that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price; they are classified as Level 1 in the fair value hierarchy.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an asked price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable and considered to be significant to the valuation.
Common stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
Over-the-counter derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Committee. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Rights: The Account may hold rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such rights are held as long positions by the Account until exercised, sold or expired. Rights are valued at fair value in accordance with the Committee Members’ approved fair valuation procedures.
Restricted and Illiquid Securities: The Account may hold up to 15% of its net assets in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities, sometimes referred to as private placements are valued pursuant to the valuation procedures noted above.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized and unrealized gains or losses on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Net investment income and realized and unrealized gain or losses (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Federal Income Taxes: The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.
| Note 3: | Investment Management Agreement and Charges |
The Account has a management agreement with PI. Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with the management of the Account. PI pays for the services of Jennison.
VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.
Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services.
PICA, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the year ended by cancelling Units.
| Note 4: | Other Transactions with Affiliates |
During the year ended December 31, 2013, the Account invested in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, as amended, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.
| Note 5: | Purchases and Sales of Portfolio Securities |
For the year ended December 31, 2013, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $111,739,911 and $129,676,925, respectively.
| Note 6: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the years ended December 31, 2013 and December 31, 2012, respectively, are as follows:
| Standard Contracts |
Units |
Amount |
||||||
| Year ended December 31, 2013: |
||||||||
| Account units issued |
1,756,379 | $ | 23,105,504 | |||||
| Account units redeemed |
(3,240,015 | ) | (41,295,579 | ) | ||||
| Net increase (decrease) in units outstanding |
(1,483,636 | ) | $ | (18,190,075 | ) | |||
| Year ended December 31, 2012: |
||||||||
| Account units issued |
277,286 | $ | 2,811,067 | |||||
| Account units redeemed |
(2,459,701 | ) | (25,011,387 | ) | ||||
| Net increase (decrease) in units outstanding |
(2,182,415 | ) | $ | (22,200,320 | ) | |||
| 0.50% Contracts |
||||||||
| Year ended December 31, 2013: |
||||||||
| Account units issued |
23,969 | $ | 318,431 | |||||
| Account units redeemed |
(4,812 | ) | (61,635 | ) | ||||
| Net increase (decrease) in units outstanding |
19,157 | $ | 256,796 | |||||
| Year ended December 31, 2012: |
||||||||
| Account units issued |
14,985 | $ | 162,760 | |||||
| Account units redeemed |
(14,614 | ) | (156,993 | ) | ||||
| Net increase (decrease) in units outstanding |
371 | $ | 5,767 | |||||
| 0.45% Contracts |
Units |
Amount |
||||||
| Year ended December 31, 2013: |
||||||||
| Account units issued |
— | $ | — | |||||
| Account units redeemed |
(140,775 | ) | (1,866,480 | ) | ||||
| Net increase (decrease) in units outstanding |
(140,775 | ) | $ | (1,866,480 | ) | |||
| Year ended December 31, 2012: |
||||||||
| Account units issued |
— | $ | — | |||||
| Account units redeemed |
(109,575 | ) | (1,204,469 | ) | ||||
| Net increase (decrease) in units outstanding |
(109,575 | ) | $ | (1,204,469 | ) | |||
| Note 7: | Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers |
The increase (decrease) in net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.
| Note 8: | Participant Loans |
Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.
For the year ended December 31, 2013, $185,603 in participant loans were withdrawn from VCA-10 and $107,576 of principal and interest was repaid to VCA-10. For the year ended December 31, 2012, $157,895 in participant loans were withdrawn from VCA-10 and $118,358 of principal and interest was repaid to VCA-10. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the year ended December 31, 2013, PICA has advised the Account that it received $1,784 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE COMMITTEE AND PARTICIPANTS OF
THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-10:
We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-10 (hereafter referred to as the “Account”) as of December 31, 2013, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2013, the results of its operations, the changes in its net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 21, 2014
| The Prudential MEDLEY Program — VCA-11 Money Market Account | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
For the year ended December 31, 2013, the value of the standard contract for the Prudential Variable Contract Account 11 (“VCA-11” or the “Account”) declined -0.81%, the value of a contract with annual expenses of 0.50% declined -0.31%, and the value of a contract with annual expenses of 0.45% declined -0.26%.
The Account’s investment objective is to seek high current income and maintain high levels of liquidity. The Account is subadvised by Prudential Investment Management, Inc.
The seven-day current yield and total return of the Account remained near zero during the period. Throughout the year, the yields on all money market funds in the United States stayed at historically low levels, as the Federal Reserve (Fed) maintained its efforts to keep rates low in hopes of fueling economic growth. In mid-spring, comments by Fed Chairman Ben Bernanke suggesting the Fed might begin winding down its bond-buying program sooner rather than later, drove longer term rates higher. Overall, the markets remained volatile in anticipation of Fed tapering and in response to fiscal gridlock in Washington, D.C., which emerged early in the fourth quarter.
During the reporting period, the three-month LIBOR (the interest rate at which banks borrow funds from other banks) declined from 0.30% to 0.25% as it was evident that global efforts to support the banking system would continue. The Federal Funds effective rate ended the year at 0.07%
On average, the Account’s weighted average maturity was well within its permitted limits as a flat yield curve and scarce supply provided few investment opportunities. Corporations took advantage of low interest rates to issue debt with maturities of longer than one year. At the same time, demand was strong for a limited number of shorter-term issues. As corporate spreads (the difference in yield between corporate bonds and government bonds of similar maturities) narrowed, the Account focused on increasing its exposure to government securities. In the latter part of the year, fiscal policy antics in Washington, D.C. disrupted the short end of the U.S. Treasury market. U.S. treasuries maturing in October and November rose in yield, as investors avoided holding any security likely to defer payment, temporarily creating a buying opportunity for the Account.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Account.
| 1 | The Account performance results are after the deduction of all expenses and contract charges, but not including the effect of any sales charges. The standard VCA-11 contract has total annual expenses (as a percentage of net assets) of 1.00%. Certain VCA-11 contracts include reduced administrative fees and have total annual expenses of either 0.50% or 0.45%. Performance of the VCA-11 contracts with reduced expenses will be higher than the performance of the standard VCA-11 contract. All total returns are for the periods indicated and are calculated based on changes in unit values. |
| 2 | The graph is based on the performance of the Standard Contract. Performance of the 0.50% Contract and the 0.45% Contract will be higher due to differences in the fee structure. All the Contracts include total annual expenses (as a percentage of net assets) of 1.00%, 0.50%, and 0.45%, respectively, which are reflected in the performance. |
The Citigroup 3-Month Treasury Bill Index is an index whereby equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over and reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. Investors cannot invest directly in an index.
London Interbank Offered Rate (LIBOR). The LIBOR is an interest rate at which banks can borrow funds, in marketable size, from other banks in the London interbank market. The LIBOR is fixed on a daily basis by the British Bankers’ Association.
For current yields on the Money Market Account, please call (800) 458-6333. An investment in the Account is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money by investing in the Account.
For a complete list of holdings, refer to the Statement of Net Assets section of this report.
Prudential Investment Management, Inc. is a registered investment adviser and a Prudential Financial Company.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS | ||||||
December 31, 2013
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS | ||||||
December 31, 2013
| (a) | Percentage quoted represents yield-to-maturity as of the purchase date. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (c) | Repurchase agreements are collaterized by FHLMC (coupon rate 3.50%, maturity date 07/01/2042) and U.S. Treasury Security (coupon rate 1.75%, maturity date 05/15/2023), with the aggregate value, including accrued interest, of $1,984,931. |
Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3— | significant unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures. |
The following is a summary of the inputs used as of December 31, 2013 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Certificates of Deposit |
$ | — | $ | 4,850,109 | $ | — | ||||||
| Commercial Paper |
— | 6,520,649 | — | |||||||||
| Other Instruments – Corporate Bonds |
— | 3,663,278 | — | |||||||||
| Time Deposit |
— | 794,000 | — | |||||||||
| U.S. Government Agency Obligations |
— | 7,996,161 | — | |||||||||
| U.S. Treasury Obligations |
— | 5,168,559 | — | |||||||||
| Repurchase Agreements |
— | 1,946,000 | ||||||||||
| Total |
$ | — | $ | 30,938,756 | $ | — | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS | ||||||
December 31, 2013
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage on net assets as of December 31, 2013 was as follows:
The Account invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities
| Description |
Gross Amounts Recognized |
Gross Amounts |
Gross Amounts Offset in the Statement of Financial Position |
Net Amounts Presented in the Statement of Financial Position |
||||||||||
| Assets: |
||||||||||||||
| Repurchase Agreements |
$ | 1,946,000 | $ — | $ | — | $ | 1,946,000 | |||||||
|
|
Collateral Amounts Pledged/(Received): |
|
||||||||||||
|
|
Repurchase Agreements |
|
(1,946,000 | ) | ||||||||||
|
|
Net Amount |
|
$ | — | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF OPERATIONS | ||||||
Year Ended December 31, 2013
| INVESTMENT INCOME |
||||
| Unaffiliated Interest Income |
$ | 58,953 | ||
| EXPENSES |
||||
| Fees Charged to Participants for Investment Management Services |
(80,037 | ) | ||
| Fees Charged to Participants for Administrative Expenses: |
||||
| Standard Contract |
(216,379 | ) | ||
| 0.50% Contract |
(4,333 | ) | ||
| 0.45% Contract |
(2,862 | ) | ||
| Total Expenses |
(303,611 | ) | ||
| NET INVESTMENT LOSS |
(244,658 | ) | ||
| Realized Gain on Investment Transactions |
629 | |||
| NET DECREASE IN NET ASSETS FROM OPERATIONS |
$ | (244,029 | ) | |
| STATEMENT OF CHANGES IN NET ASSETS | ||||||
| Year Ended December 31, |
||||||||
| 2013 |
2012 |
|||||||
| OPERATIONS |
||||||||
| Net Investment Loss |
$ | (244,658 | ) | $ | (258,446 | ) | ||
| Net Realized Gain on Investment Transactions |
629 | 1,006 | ||||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
(244,029 | ) | (257,440 | ) | ||||
| CAPITAL TRANSACTIONS |
||||||||
| Purchase Payments and Transfers In |
4,925,495 | 3,107,940 | ||||||
| Withdrawals and Transfers Out |
(8,285,654 | ) | (7,172,202 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS |
(3,360,159 | ) | (4,064,262 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS |
(89 | ) | (18,000 | ) | ||||
| TOTAL DECREASE IN NET ASSETS |
(3,604,277 | ) | (4,339,702 | ) | ||||
| NET ASSETS |
||||||||
| Beginning of year |
34,194,774 | 38,534,476 | ||||||
| End of year |
$ | 30,590,497 | $ | 34,194,774 | ||||
Accumulation Unit Values and Equity of Participants as of December 31, 2013
| Standard Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $27,440,360 / 8,445,827 outstanding Accumulation Units |
$ | 3.2490 | ||
| 0.50% Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $1,764,543 / 501,838 outstanding Accumulation Units |
$ | 3.5162 | ||
| 0.45% Contract: |
||||
| Accumulation Unit Value and Equity of Participants, $1,385,336 / 393,417 outstanding Accumulation Units |
$ | 3.5213 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-11
| INCOME PER ACCUMULATION UNIT* | ||||||
(For an Accumulation Unit outstanding throughout the year)
| Year Ended December 31, 2013 |
Year Ended December 31, 2012 |
|||||||||||||||||||||||
| Standard |
0.50% |
0.45% |
Standard Contract |
0.50% Contract |
0.45% Contract |
|||||||||||||||||||
| Investment Income |
$ | .0060 | $ | .0063 | $ | .0064 | $ | .0081 | $ | .0085 | $ | .0086 | ||||||||||||
| Expenses |
||||||||||||||||||||||||
| Investment management fee |
(.0081 | ) | (.0087 | ) | (.0087 | ) | (.0083 | ) | (.0088 | ) | (.0088 | ) | ||||||||||||
| Administrative expenses |
(.0244 | ) | (.0087 | ) | (.0071 | ) | (.0246 | ) | (.0088 | ) | (.0071 | ) | ||||||||||||
| Net Investment Loss |
(.0265 | ) | (.0111 | ) | (.0094 | ) | (.0248 | ) | (.0091 | ) | (.0073 | ) | ||||||||||||
| Capital Changes |
||||||||||||||||||||||||
| Net realized gain (loss) on investment transactions |
.0001 | .0001 | .0001 | .0001 | .0001 | .0001 | ||||||||||||||||||
| Net Decrease in Accumulation Unit Value |
(.0264 | ) | (.0110 | ) | (.0093 | ) | (.0247 | ) | (.0090 | ) | (.0072 | ) | ||||||||||||
| Accumulation Unit Value |
||||||||||||||||||||||||
| Beginning of year |
3.2754 | 3.5272 | 3.5306 | 3.3001 | 3.5362 | 3.5378 | ||||||||||||||||||
| End of year |
$ | 3.2490 | $ | 3.5162 | $ | 3.5213 | $ | 3.2754 | $ | 3.5272 | $ | 3.5306 | ||||||||||||
| Total Return** |
(.81 | )% | (.31 | )% | (.26 | )% | (.75 | )% | (.25 | )% | (.20 | )% | ||||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | .50 | % | .45 | % | 1.00 | % | .50 | % | .45 | % | ||||||||||||
| Ratio of Net Investment Loss To Average Net Assets*** |
(.81 | )% | (.32 | )% | (.27 | )% | (.75 | )% | (.26 | )% | (.21 | )% | ||||||||||||
| Number of Accumulation Units Outstanding |
8,446 | 502 | 393 | 9,435 | 500 | 433 | ||||||||||||||||||
| Year/Period Ended December 31, 2011 |
Year Ended December 31, |
|||||||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract† |
2010 | 2009 | ||||||||||||||||
| Investment Income |
$ | .0070 | $ | .0073 | $ | .0051 | $ | .0136 | $ | .0239 | ||||||||||
| Expenses |
||||||||||||||||||||
| Investment management fee |
(.0083 | ) | (.0088 | ) | (.0067 | ) | (.0083 | ) | (.0084 | ) | ||||||||||
| Administrative expenses |
(.0248 | ) | (.0088 | ) | (.0053 | ) | (.0249 | ) | (.0251 | ) | ||||||||||
| Net Investment Income (Loss) |
(.0261 | ) | (.0103 | ) | (.0069 | ) | (.0196 | ) | (.0096 | ) | ||||||||||
| Capital Changes |
||||||||||||||||||||
| Net realized gain (loss) on investment transactions |
.0001 | .0001 | .0000 | †† | — | — | ||||||||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
(.0260 | ) | (.0102 | ) | (.0069 | ) | (.0196 | ) | (.0096 | ) | ||||||||||
| Accumulation Unit Value |
||||||||||||||||||||
| Beginning of period |
3.3261 | 3.5464 | 3.5447 | 3.3520 | 3.3616 | |||||||||||||||
| End of period |
$ | 3.3001 | $ | 3.5362 | $ | 3.5378 | $ | 3.3324 | $ | 3.3520 | ||||||||||
| Total Return** |
(.78 | )% | (.29 | )% | (.19 | )% | (.58 | )% | (.29 | )% | ||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | .50 | % | .45 | %††† | 1.00 | % | 1.00 | % | ||||||||||
| Ratio of Net Investment Income (Loss) To Average Net Assets*** |
(.79 | )% | (.29 | )% | (.23 | )%††† | (.71 | )% | (.30 | )% | ||||||||||
| Number of Accumulation Units Outstanding |
10,650 | 495 | 458 | 12,886 | 14,777 | |||||||||||||||
| * | Calculated by accumulating the actual per unit amounts daily. |
| ** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-11. |
| † | Inception Date — April 1, 2011. |
| †† | Less than $.00005. |
| ††† | Annualized. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO THE FINANCIAL STATEMENTS OF
VCA-11
| Note 1: | General |
The Prudential Variable Contract Account-11 (VCA-11 or the Account) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940, as amended. VCA-11 has been designed for use by employers (Contract-holders) in making retirement arrangements on behalf of their employees (Participants). The investment objective of the Account is to realize a high level of current income as is consistent with the preservation of capital and liquidity. Its investments are primarily composed of short-term securities. The ability of the issuers of the securities held by the Account to meet their obligations may be affected by economic developments in a specific state, industry or region. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.
PICA issues standard VCA-11 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-11 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.
| Note 2: | Accounting Policies |
The following accounting policies conform to U.S. generally accepted accounting principles. The Account consistently follows such policies in the preparation of its financial statements.
Security Valuation: The Account holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Account’s Committee Members (the “Committee”) have adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Account to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not representative of fair value. A record of the Valuation Committee’s actions is subject to the Committee’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Account’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
The Account values all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost at the time of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy. If the amortized cost method is determined not to represent fair value, the fair value shall be determined by or under the direction of the Accounts’ Committee Members.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
The Account may hold up to 5% of its net assets in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities, sometimes referred to as private placements, are valued pursuant to the valuation procedures noted above.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Account’s 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 transaction, including accrued interest. To the extent that any repurchase agreement exceeds one business day, the value of collateral is marked-to-market on a daily basis to ensure 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 Account may be delayed or limited.
Master Netting Arrangements: The Account may be subject to various Master Agreements, or netting arrangements, with select counterparties. A master netting arrangement between the Account and the counterparty permits the Account to offset amounts payable by the Account to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Account to cover the Account’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforcable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right to set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from security transactions are calculated on the identified cost basis. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Net investment income (other than administration fees) is allocated to the Participants and PICA on a daily basis in proportion to their respective ownership or investment in VCA-11.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Federal Income Taxes: The operations of VCA-11 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-11 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-11 has not been reduced by federal income taxes.
| Note 3: | Investment Management Agreement and Charges |
The Account has a management agreement with Prudential Investments LLC (“PI”). Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Prudential Investment Management, Inc. (“PIM”). The subadvisory agreement provides that PIM will furnish investment advisory services in connection with management of the Account. PI pays for the services of PIM.
VCA-11 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.
Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services.
PICA, PI and PIM are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the end of the fiscal year by cancelling Units.
| Note 4: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the years ended December 31, 2013 and December 31, 2012, respectively, are as follows:
| Standard Contract |
Units |
Amount |
||||||
| Year ended December 31, 2013: |
||||||||
| Account units issued |
1,450,518 | $ | 4,724,481 | |||||
| Account units redeemed |
(2,439,487 | ) | (7,952,323 | ) | ||||
| Net increase (decrease) in units outstanding |
(988,969 | ) | $ | (3,227,842 | ) | |||
| Year ended December 31, 2012: |
||||||||
| Account units issued |
887,322 | $ | 2,918,023 | |||||
| Account units redeemed |
(2,102,783 | ) | (6,912,097 | ) | ||||
| Net increase (decrease) in units outstanding |
(1,215,461 | ) | $ | (3,994,074 | ) | |||
| 0.50% Contract |
||||||||
| Year ended December 31, 2013: |
||||||||
| Account units issued |
57,072 | $ | 201,014 | |||||
| Account units redeemed |
(54,758 | ) | (192,943 | ) | ||||
| Net increase (decrease) in units outstanding |
2,314 | $ | 8,071 | |||||
| Year ended December 31, 2012: |
||||||||
| Account units issued |
53,782 | $ | 189,917 | |||||
| Account units redeemed |
(49,096 | ) | (173,383 | ) | ||||
| Net increase (decrease) in units outstanding |
4,686 | $ | 16,534 | |||||
| 0.45% Contract |
||||||||
| Year ended December 31, 2013: |
||||||||
| Account units issued |
— | $ | — | |||||
| Account units redeemed |
(39,796 | ) | (140,388 | ) | ||||
| Net increase (decrease) in units outstanding |
(39,796 | ) | $ | (140,388 | ) | |||
| Year ended December 31, 2012: |
||||||||
| Account units issued |
— | $ | — | |||||
| Account units redeemed |
(24,532 | ) | (86,722 | ) | ||||
| Net increase (decrease) in units outstanding |
(24,532 | ) | $ | (86,722 | ) | |||
| Note 5: | Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers |
The increase (decrease) in net assets from surplus transfers represents the net increases to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.
| Note 6: | Participant Loans |
Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-11 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.
For the year ended December 31, 2013, $70,867 in participant loans were withdrawn from VCA-11 and $138,908 of principal and interest was repaid to VCA-11. For the year ended December 31, 2012, $81,187 in participant loans were withdrawn from VCA-11 and $105,887 of principal and interest was repaid to VCA-11. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-11. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-11. During the year ended December 31, 2013, PICA has advised the Account that it received $859 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE COMMITTEE AND PARTICIPANTS OF
THE PRUDENTIAL VARIABLE CONTRACT ACCOUNT-11:
We have audited the accompanying statement of net assets of The Prudential Variable Contract Account-11 (hereafter referred to as the “Account”) as of December 31, 2013, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Account’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Account as of December 31, 2013, the results of its operations, the changes in its net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 21, 2014
THE VCA 10 & 11 COMMITTEES AND OFFICERS
MANAGEMENT OF VCA 10 & 11 (Unaudited)
VCA 10 and VCA 11 are managed by The Prudential Variable Contract Account 10 Committee (the VCA 10 Committee) and The Prudential Variable Contract Account 11 Committee (the VCA 11 Committee), respectively. The members of the VCA 10 Committee and the VCA 11 Committee are each elected by the persons having voting rights in respect of the VCA 10 Account and the VCA 11 Account. The affairs of the VCA 10 Account and the VCA 11 Account are each conducted in accordance with the Rules and Regulations of each Account.
Information pertaining to the Committee Members of VCA 10 and VCA 11 is set forth below. Committee Members who are not deemed to be “interested persons” of VCA 10 or VCA 11 as defined in the 1940 Act, as amended (the 1940 Act) are referred to as “Independent Committee Members.” Committee Members who are deemed to be “interested persons” of VCA 10 or VCA 11 are referred to as “Interested Committee Members.” “Fund Complex” consists of VCA 10 and VCA 11 and any other investment companies managed by Prudential Investments LLC. Information pertaining to the Officers of VCA 10 and VCA 11 is also set forth below.
| Independent Committee Members(1) | ||||
| Name, Address, Age Position(s) Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
| Ellen S. Alberding (55) Committee Member Portfolios Overseen: 66 |
President and Board Member, The Joyce Foundation (charitable foundation) (since 2002); Vice Chair, City Colleges of Chicago (community college system) (since 2011); Trustee, Skills for America’s Future (national initiative to connect employers to community colleges) (since 2011); Trustee, National Park Foundation (charitable foundation for national park system) (since 2009); Trustee, Economic Club of Chicago (since 2009). | None. | ||
| Kevin J. Bannon (61) Committee Member Portfolios Overseen: 66 |
Managing Director (since April 2008) and Chief Investment Officer (since October 2008) of Highmount Capital LLC (registered investment adviser); formerly Executive Vice President and Chief Investment Officer (April 1993-August 2007) of Bank of New York Company; President (May 2003-May 2007) of BNY Hamilton Family of Mutual Funds. | Director of Urstadt Biddle Properties (since September 2008). | ||
| Linda W. Bynoe (61) Committee Member Portfolios Overseen: 66 |
President and Chief Executive Officer (since March 1995) and formerly Chief Operating Officer (December 1989-February 1995) of Telemat Ltd. (management consulting); formerly Vice President (January 1985-June 1989) at Morgan Stanley & Co (broker-dealer). | Director of Simon Property Group, Inc. (retail real estate) (May 2003-May 2012); Director of Anixter International, Inc. (communication products distributor) (since January 2006); Director of Northern Trust Corporation (financial services) (since April 2006); Trustee of Equity Residential (residential real estate) (since December 2009). | ||
| Keith F. Hartstein (57) Committee Member Portfolios Overseen: 66 |
Formerly President and Chief Executive Officer (2005-2012), Senior Vice President (2004-2005), Senior Vice President of Sales and Marketing (1997-2004), and various executive management positions (1990-1997), John Hancock Funds, LLC (asset management); Chairman, Investment Company Institute’s Sales Force Marketing Committee (2003-2008). | None. | ||
| Michael S. Hyland, CFA (68) Committee Member Portfolios Overseen: 66 |
Independent Consultant (since February 2005); formerly Senior Managing Director (July 2001-February 2005) of Bear Stearns & Co, Inc.; Global Partner, INVESCO (1999-2001); Managing Director and President of Salomon Brothers Asset Management (1989-1999). | None. | ||
| Douglas H. McCorkindale (74) Committee Member Portfolios Overseen: 66 |
Formerly Chairman (February 2001-June 2006), Chief Executive Officer (June 2000-July 2005), President (September 1997-July 2005) and Vice Chairman (March 1984-May 2000) of Gannett Co. Inc. (publishing and media). | Director of Lockheed Martin Corp. (aerospace and defense) (since May 2001). | ||
| Stephen P. Munn (71) Committee Member Portfolios Overseen: 66 |
Lead Director (since 2007) and formerly Chairman (1993-2007) of Carlisle Companies Incorporated (manufacturer of industrial products). | Lead Director (since 2007) of Carlisle Companies Incorporated (manufacturer of industrial products). | ||
| James E. Quinn (61) Committee Member Portfolios Overseen: 66 |
Formerly President (2003-2012) and Director (2003-2008), and Vice Chairman and Director (1998-2003), Tiffany & Company (jewelry retailing); Director, Mutual of America Capital Management Corporation (asset management) (since 1996); Director, Hofstra University (since 2008); Vice Chairman, Museum of the City of New York (since 1984). | Director of Deckers Outdoor Corporation (footwear manufacturer) (since 2011). | ||
| Richard A. Redeker (70) Committee Member & Independent Chair |
Retired Mutual Fund Senior Executive (44 years); Management Consultant; Independent Directors Council (organization of 2,800 Independent Mutual Fund Directors)-Executive Committee, Chair of Policy Steering Committee, Governing Council. | None. | ||
| Robin B. Smith (74) Committee Member Portfolios Overseen: 66 |
Chairman of the Board (since January 2003) of Publishers Clearing House (direct marketing); Member of the Board of Directors of ADLPartner (marketing) (since December 2010); formerly Chairman and Chief Executive Officer (August 1996-January 2003) of Publishers Clearing House. | Formerly Director of BellSouth Corporation (telecommunications) (1992-2006). | ||
| Independent Committee Members(1) | ||||
| Name, Address, Age Position(s) Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
| Stephen G. Stoneburn (70) Committee Member Portfolios Overseen: 66 |
Chairman, (since July 2011), President and Chief Executive Officer (since June 1996) of Quadrant Media Corp. (publishing company); formerly President (June 1995-June 1996) of Argus Integrated Media, Inc.; Senior Vice President and Managing Director (January 1993-1995) of Cowles Business Media; Senior Vice President of Fairchild Publications, Inc. (1975-1989). | None. | ||
| Interested Committee Members(1) | ||||
| Name, Address, Age Position(s) Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
| Stuart S. Parker (50) Committee Member & President Portfolios Overseen: 66 |
President of Prudential Investments LLC (since January 2012); Executive Vice President of Prudential Investment Management Services LLC (since December 2012); Executive Vice President of Jennison Associates LLC and Head of Retail Distribution of Prudential Investments LLC (June 2005-December 2011). | None. | ||
| Scott E. Benjamin (40) Committee Member & Vice President |
Executive Vice President (since June 2009) of Prudential Investments LLC; Executive Vice President (June 2009-June 2012) and Vice President (since June 2012) of Prudential Investment Management Services LLC; Executive Vice President (since September 2009) of AST Investment Services, Inc.; Senior Vice President of Product Development and Marketing, Prudential Investments (since February 2006); Vice President of Product Development and Product Management, Prudential Investments (2003-2006). | None. | ||
(1) The year that each Committee Member joined the Committee is as follows: Ellen S. Alberding, 2013; Kevin J. Bannon, 2008; Linda W. Bynoe, 2008; Keith F. Hartstein, 2013; Michael S. Hyland, 2008; Douglas H. McCorkindale, 2008; Stephen P. Munn, 2008; James E. Quinn, 2013; Richard A. Redeker, 2008; Robin B. Smith, 2008; Stephen G. Stoneburn, 2008; Scott E. Benjamin, Committee Member since 2010 and Vice President since 2009.
| VCA 10 & 11 Officers(a)(1) | ||
| Name, Address and Age Position with VCA 2 |
Principal Occupation(s) During Past Five Years | |
| Stuart S. Parker (50) President |
President of Prudential Investments LLC (since January 2012); Executive Vice President of Prudential Investment Management Services LLC (since December 2012); Executive Vice President of Jennison Associates LLC and Head of Retail Distribution of Prudential Investments LLC (June 2005-December 2011). | |
| Raymond A. O’Hara (58) Chief Legal Officer |
Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | |
| Deborah A. Docs (56) Secretary |
Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Jonathan D. Shain (55) Assistant Secretary |
Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Claudia DiGiacomo (39) Assistant Secretary |
Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). | |
| Andrew R. French (51) Assistant Secretary |
Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | |
| Amanda S. Ryan (36) Assistant Secretary |
Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray (2008-2012). | |
| Bruce Karpati (44) Chief Compliance Officer |
Chief Compliance Officer of the Prudential Investments Funds, Target Funds, Advanced Series Trust, the Prudential Series Fund and Prudential’s Gibraltar Fund, Inc. (May 2013-Present); formerly National Chief (May 2012-May 2013) and Co-Chief (January 2010-May 2012) of the Asset Management Unit, Division of Enforcement, of the U.S. Securities & Exchange Commission; Assistant Regional Director (January 2005-January 2010) of the U.S. Securities & Exchange Commission. | |
| Theresa C. Thompson (51) Deputy Chief Compliance Officer |
Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). |
| VCA 10 & 11 Officers(a)(1) | ||
| Name, Address and Age Position with VCA 2 |
Principal Occupation(s) During Past Five Years | |
| Richard W. Kinville (45) Anti-Money Laundering Compliance Officer |
Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009 ). | |
| Grace C. Torres (54) Treasurer and Principal Financial and Accounting Officer |
Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of Prudential Investments LLC; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc. | |
| M. Sadiq Peshimam (50) Assistant Treasurer |
Vice President (since 2005) of Prudential Investments LLC. | |
| Peter Parrella (55) Assistant Treasurer |
Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). |
(a) Excludes Mr. Parker and Mr. Benjamin, Interested Committee Members who also serve as President and Vice President, respectively.
(1) The year in which each individual became an Officer of VCA 10 & 11 is as follows: Stuart S. Parker, 2012; Raymond A. O’Hara, 2012; Deborah A. Docs, 2005; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; Andrew R. French, 2006; Amanda S. Ryan, 2012; Bruce Karpati, 2013; Theresa C. Thompson, 2008; Richard W. Kinville, 2011; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006.
Explanatory Notes to Tables:
Committee Members are deemed to be “Interested”, as defined in the 1940 Act, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC.
Unless otherwise noted, the address of all Committee Members and Officers is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.
There is no set term of office for Committee Members or Officers. The Independent Committee Members have adopted a retirement policy, which calls for the retirement of Committee Members on December 31 of the year in which they reach the age of 78, provided that the Committee may extend the retirement age on a year-by-year basis for a Committee Member.
“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the 1940 Act.
“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust, Prudential’s Gibraltar Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Global Short Duration High Yield Fund, Inc.
The Prudential Series Fund
The following pages represent information on the Prudential Series Fund Portfolios. Returns are at the Portfolio level, not at the Subaccount level.
Each Subaccount of VCA-24 will invest in the corresponding portfolio of the Prudential Series Fund (the “Fund”). Of the portfolios comprising the Fund, seven portfolios are presently available to The MEDLEY Program. The Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Stock Index Subaccount in the Stock Index Portfolio, the Equity Subaccount invests in the Equity Portfolio, and the Global Subaccount in the Global Portfolio.
There is no assurance that the investment objective of the portfolios will be attained, nor is there any guarantee that the amount available to a Participant will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of investments necessary to meet the Subaccounts’ or Portfolios’ objectives.
Important Note
This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the seven portfolios of the Fund which are available through the Prudential Variable Contract Account-24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.
Contract unit values increase or decrease based on the performance of the portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance of the Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.
| The Prudential Series Fund, Conservative Balanced Portfolio
|
December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
For the year ended December 31, 2013, the Conservative Balanced Portfolio returned 16.15%.
The Portfolio is subadvised by Prudential Investment Management Inc. and Quantitative Management Associates LLC. The Portfolio’s investment objective is total investment return consistent with a conservatively managed diversified portfolio.
Historically strong equity market gains drove the Portfolio’s gain, despite a weak year for fixed income markets. The Portfolio topped its benchmark due to the tactical asset allocation decision to overweight stocks all year combined with solid active returns in equities and fixed income. In addition, cutting bond allocations and adding to cash helped returns in the second half of 2013 as bond yields rose, prices fell, and bonds slipped to negative returns.
Despite repeated calls by some for a correction in equity prices throughout 2013, as well as periodic chaos in Washington, the S&P 500 went nearly straight up in 2013, providing a total return over 30% without a single 5% pullback. Evidence mounted through the year that the U.S. economy was finally gaining some traction and breaking out of its weak 2% average annual Gross Domestic Product (GDP) growth pattern that had prevailed since 2009. By the third quarter, a reduced fiscal drag, recovery in housing, autos and other consumer goods, a highly stimulative Federal Reserve policy, contributions from a revived U.S. energy sector, and inventory accumulation resulted in a strong 4.1% GDP growth. Although there is no guarantee that growth will continue at this robust pace, consensus expectations have been rising closer to the 3%-plus average of the post-war period after wallowing for years at 2% or worse.
Equity returns were driven by rising Price-Earnings (P/E) multiples in 2013, since market returns were far above the more modest 6% earnings growth rate. Investors cannot count on multiples increasing indefinitely, but today’s levels are roughly in line with historical averages, and well below levels that led to bear markets. Returns in 2014 and over the next few years are more likely to come from sales and earnings growth rather than the rocket fuel of higher P/E ratios. But if the economy continues to recover and drive growth, returns in the vicinity of the historical average of around 10% may not be unreasonable.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Blended Index consists of S&P 500 Index (50%), Barclays U.S. Aggregate Bond Index (40%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and 3-Month T-Bill Index (10%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Prudential Investment Management, Inc., and Quantitative Management Associates LLC are registered investment advisers and Prudential Financial companies.
1
| The Prudential Series Fund, Diversified Bond Portfolio | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
For the year ended December 31, 2013, the Diversified Bond Portfolio declined by 0.71%.
The Portfolio is subadvised by Prudential Investment Management, Inc. The Portfolio’s investment objective is a high level of income over a longer term while providing reasonable safety of capital.
For the most part, the fixed-income markets were a challenging place to be in 2013, particularly the most rate-sensitive sectors. U.S. Treasury yields began a steep ascent in mid-May, after the Federal Reserve (Fed) indicated that it could begin to scale back its massive quantitative easing (QE) program later in the year, if warranted by the economic data. The rise in yields was briefly interrupted in September, after the Fed surprised the markets by postponing action on QE. However, improving economic data brought consideration of tapering QE back to the front burner late in the year, and the Fed finally pulled the trigger in December, announcing a $10 billion-per-month reduction of its bond-buying campaign. Consequently, Treasury yields finished the year near their highs, and government bond prices struggled, especially those with longer maturities. The yield of the bellwether 10-year Treasury note ended the year at 3.14%, versus just 1.78% on the final day of 2012. However, other fixed-income sectors, such as high-yield corporate bonds, short-term investment-grade corporates, and bank loans, finished the year with positive returns.
The Portfolio outperformed its benchmark, the Barclays U.S. Aggregate Bond Index (the Index), which declined by 2.02%. Security selection was the largest contributor to performance, adding value in all but the second quarter. The most notable successes here were in subprime non-agency mortgage backed securities (MBS), high-yield and investment-grade corporates, and emerging markets (EM) bonds.
Sector allocation was also a contributor to performance. The fund benefited from positions in a number of non-benchmark sectors — most notably, high-yield bonds and bank loans, both of which delivered positive returns — and from an underweighting in U.S. Treasury securities. An allocation to EM debt detracted from performance for the year overall, although a stronger second half of the year partially offset losses in the first half for this group.
Non-dollar exposure detracted from performance results for the full year, most notably from January through early July, when there was a strong rally in the U.S. dollar. Subsequently, the dollar reversed its strengthening trend due to the postponement of the anticipated QE taper and expectations of successful budget and debt ceiling negotiations around the end of the third quarter.
Duration and curve positioning detracted from performance. The Portfolio’s longer-duration bias had a negative impact for much of the May through August period, when rates climbed steadily, but contributed in September and October, after the Fed made its no-taper call, and was a positive contributor for the third quarter as a whole.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Barclays U.S. Aggregate Bond Index is an unmanaged index comprised of more than 5,000 government and corporate bonds. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
2
| The Prudential Series Fund, Equity Portfolio | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
The Russell 1000® Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
For the year ended December 31, 2013, the Equity Portfolio Class I shares returned 33.53% and Class II shares returned 32.99%.
The Portfolio’s investment objective is long-term growth of capital. It is subadvised by Jennison Associates LLC (Jennison).
The U.S. equity markets, as measured by the broad market indexes, realized substantial gains for the year. The S&P 500 Index (the “Index”) rose 32.37%, with double-digit gains in all sectors. Consumer discretionary, healthcare, and industrials had the strongest returns; those in telecommunication services and utilities were more modest. The Portfolio performed in line with the Index.
Stock selection in information technology, financials, and industrials and an overweight position in consumer discretionary contributed most to relative returns. LinkedIn, Mastercard, Google, and Microsoft were key contributors in information technology. Morgan Stanley and MetLife led contributors in financials while Boeing led in industrials. LinkedIn is a leading global online professional network that provides what Jennison considers unique access to a large database of active and passive job candidates. Adjacent growth opportunities in marketing services and professional publishing are added potential drivers in early phases of development. MasterCard, the No. 2 payment system in the U.S., is likely to continue to benefit from the long-term shift from cash to electronic credit/debit transactions.
During the period, Morgan Stanley continued to make progress on several fronts; it announced an unexpected share buyback, anticipates being compliant with the Basel III supplementary leverage ratios by 2015, enjoyed steady growth in its wealth management division, and reported that it is on track to achieve expense reduction targets. Boeing reported several strong successive quarters, putting behind it a rocky start to the year as a result of 787 battery problems. Margins have been particularly strong as a result of higher production rates in high margin legacy programs and lower than expected research and development costs. Costs of 787 production also have continued to decline and free cash flow has consistently exceeded expectations.
Individual stock selection in materials and consumer discretionary was most detrimental to relative performance. An underweight in industrials and an overweight in energy also detracted. In materials, the gold-mining companies Kinross Gold and Goldcorp were the source of weakness, due largely to declining gold prices. Those mining companies that can get their costs under control now — and Jennison believes Goldcorp has demonstrated that it is able to — will most likely benefit from significant operating leverage when gold prices finally rise again.
JCPenney was the key detractor in consumer discretionary. JCPenney has been in the midst of a turnaround and began to show signs that it had reached a turning point late in the period, in Jennison’s view. Shares probably declined on profit taking as positive indicators accumulated.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
| 1 | The graph is based on the performance of Class I shares. Performance of Class II shares will be lower due to differences in the fee structure. Class II shares have associated 12b-1 and administrative fees at an annual rate of 0.25% and 0.15%, respectively, of the average daily net assets of the Class II shares. |
Russell 1000® Index is an unmanaged market cap-weighted index that measures the performance of the 1,000 largest companies in the Russell 3000 Index, which represents approximately 92% of the total market. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
Jennison Associates LLC is a registered investment adviser and a Prudential Financial company.
3
| The Prudential Series Fund, Flexible Managed Portfolio | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
For the year ending December 31, 2013, the Flexible Managed Portfolio returned a 20.15%.
The Portfolio is subadvised by Prudential Investment Management Inc. and Quantitative Management Associates LLC. The Portfolio’s investment objective is total investment return consistent with an aggressively managed diversified portfolio.
Historically strong equity market gains drove the Portfolio’s gain, despite a weak year for fixed income markets. The Portfolio topped its benchmark with the tactical asset allocation decision to overweight stocks all year combining with solid active returns in equities and fixed income to deliver value-added to the portfolio. In addition, cutting bond allocations and adding to cash helped returns in the second half of 2013 as bond yields rose, prices fell, and bonds slipped to negative returns.
Despite repeated calls by some in the media for a correction in equity prices throughout 2013 and despite periodic chaos in Washington, the S&P 500 went nearly straight up in 2013, providing a total return over 30% without even one 5% pullback. The evidence mounted throughout the year that the U.S. economy was finally gaining some traction and breaking out of its weak, 2% average annual GDP growth pattern that prevailed since 2009. By Q3, a reduced fiscal drag, recovery in housing, autos and other consumer goods, a highly stimulative Federal Reserve policy, contributions from a revived U.S. energy sector and inventory accumulation resulted in a strong 4.1% GDP growth. Although there is no guarantee that growth will continue at this robust pace, consensus expectations have been rising closer to the 3%+ average of the post-war period after wallowing for years at 2% or worse.
Equity returns were driven by rising Price-Earnings (P/E) multiples in 2013, since market returns were far above the more modest 6% earnings growth rate. Investors cannot count on multiples increasing indefinitely, but today’s levels are roughly in line with historical averages, and well below levels that led to bear markets. Returns in 2014 and over the next few years are more likely to come from sales and earnings growth rather than the rocket fuel of higher P/E ratios. But if the economy continues to recover and drive growth, returns in the vicinity of the historical average of around 10% are not unreasonable.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Blended Index consists of S&P 500 Index (60%), Barclays U.S. Aggregate Bond Index (35%), an unmanaged index comprised of more than 5,000 government and corporate bonds, and 3-Month T-Bill Index (5%), an unmanaged market value-weighted index of investment grade fixed rate public obligations of the U.S. Treasury with maturities of three months, excluding zero coupon strips. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
4
| The Prudential Series Fund, Global Portfolio | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
For the year ended December 31, 2013, the Global Portfolio rose 27.29%.
The Portfolio seeks long-term growth of capital by investing in stocks, with about half of its assets invested in companies in the United States and half in companies located abroad. The Portfolio is co-managed by five subadvisers: Brown Advisory (Brown), LLC, (U.S. growth stocks), T. Rowe Price Associates, Inc. (U.S. value stocks), William Blair & Company LLC (international growth stocks), LSV Asset Management (international value stocks), and Quantitative Management Associates LLC. Brown replaced Marsico Capital Management, LLC early in 2013.
The MSCI World Index (GD) (the Index) rose 27.37%. Over the course of the year, investors came to realize that the economies of developed countries were in a sustained, albeit slow, recovery and that of these the United States was growing most rapidly. Nonetheless, the U.S. Federal Reserve was not going to allow interest rates to rise sharply and choke off the recovery. This set the stage for very strong domestic stock markets and sound international markets. The broad U.S. stock market, represented by the Russell 3000 Index, returned 33.55%, while the MSCI EAFE Index of other developed countries was about 10 percentage points lower, still a very good return.
The LSV International Value segment was the top contributor to the Portfolio’s performance relative to the Index due to strong stock selection in the financials, materials, and energy sectors. The Portfolio was also helped by an overweight in France compared with the Index, but hurt by an underweight in Japan, both of which had above-average returns for the international developed country markets.
The international growth segment of the Portfolio, managed by William Blair & Company, underperformed its target, primarily because of poor stock selection in the healthcare, consumer staples, and energy sectors. This was partially offset by good stock selection within the technology and consumer discretionary sectors.
None of the four subadvisers use derivative instruments as a principal investment strategy. The types of derivatives employed most often are stock futures contracts (to help manage cash flows in the Portfolio) and currency forwards and futures contracts (to hedge a portion of the Portfolio’s currency exposure).
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
MSCI World Index (GD) - The Morgan Stanley Capital International World Index is an unmanaged capitalization weighted index which includes the equity markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom, and United States. The GD version does not reflect the impact of withholding taxes on reinvested dividends. Russell 3000 Index, an unmanaged market cap-weighted index that measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market. MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index, an unmanaged capitalization-weighted index generally accepted as a benchmark for major overseas markets. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
5
| The Prudential Series Fund, Government Income Portfolio | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
For the year ended December 31, 2013, the Government Income Portfolio returned -2.34%.
The Portfolio is subadvised by Prudential Investment Management, Inc., and its investment objective is a high level of income over the long term consistent with the preservation of capital.
U.S. Treasury yields began a steep ascent in mid-May, after the Federal Reserve (Fed) indicated that it could begin to scale back its massive quantitative easing (QE) program later in the year, if warranted by the economic data. The rise in yields was briefly interrupted in September, after the Fed surprised the markets by postponing action on QE. However, improving economic data brought consideration of tapering QE back to the front burner late in the year, and the Fed finally pulled the trigger in December, announcing a $10 billion-per-month reduction of its bond-buying campaign. Consequently, Treasury yields finished the year near their highs, and government bond prices struggled, especially those with longer maturities. The yield of the bellwether 10-year Treasury note ended the year at 3.14%, versus just 1.78% on the final day of 2012.
The Portfolio outperformed its benchmark, the Barclays Government Bond Index (the Index). Sector allocation was the primary driver of performance. U.S. Treasuries were outperformed by most other high-quality fixed-income sectors, including commercial mortgage-backed securities (CMBS) and agency mortgages. Consequently, the Portfolio’s overweights in these high-quality sectors and its underweighting in Treasuries contributed to performance versus the index.
Security selection also contributed to performance, most notably within mortgage-backed securities. The Portfolio was overweight in CMBS and agency mortgages. Investment grade corporate bonds were an out-of-benchmark position.
The Portfolio’s exposure to the Prudential Core Short-Term Bond Fund was a key contributor to performance, as this Fund’s net asset value rose throughout much of the year.
These positive factors were modestly offset by security selection within the CMBS and MBS sectors, as the Portfolio had a higher-quality bias at a time when securities of lower credit quality performed best.
Tactical duration strategies and yield curve positioning that were partially implemented via interest rate swaps (derivatives) modestly benefited performance. (Duration measures the approximate price change of a bond portfolio for a given change in interest rates.)
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Barclays Government Bond Index is a weighted unmanaged index comprised of securities issued or backed by the U.S. Government, its agencies, and instrumentalities with a remaining maturity of one to 30 years. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
6
| The Prudential Series Fund, Stock Index Portfolio | December 31, 2013 |
Investment Manager’s Report - As of December 31, 2013
For the year ended December 31, 2013, the Prudential Stock Index Portfolio returned 31.89%.
Quantitative Management Associates LLC subadvises the Portfolio which is an index fund that uses a risk-controlled quantitative approach that seeks to effectively track the performance of its benchmark, the S&P 500 Index (the “Index”). While Prudential is one of the components of the S&P 500, the Portfolio cannot hold shares of Prudential Financial, Inc. because of compliance restrictions. The Portfolio’s investment objective is to achieve investment results that generally correspond to the performance of publicly traded common stocks.
Potential tracking error differences, brokerage costs, as well as other costs and expenses of the Portfolio, may cause its return to be lower than that of the Index. In 2013, the Portfolio modestly underperformed the Index which returned 32.37%.
U.S. market performance was strong in 2013. The market was buoyed by steady, albeit moderate, growth in the U.S. economy, positive news on the employment front, a more conciliatory environment in Washington regarding the budget, and a Federal Reserve that continues to be accommodative although a measured tapering of its bond-buying program was announced shortly before the period ended. In this environment, investors were willing to hold riskier assets in their portfolio in lieu of more defensive, stable, high quality assets.
All sectors in the Index finished the year firmly in positive territory. Cyclical sectors outperformed led by consumer discretionary, healthcare and industrials. Interest rate sensitive sectors including utilities and telecommunication services trailed although both posted double-digit returns. Lower quality stocks outperformed higher quality as investors became more comfortable with holding riskier assets. Small-capitalization stocks outperformed mid- and large-capitalization stocks. Often during a recovery, stocks of smaller firms, and particularly rapidly growing smaller firms, lead the markets.
The Portfolio uses derivative instruments, though not as a principal investment strategy. It had a small position in futures contracts on the S&P 500 Index to help enhance the Portfolio’s liquidity. This exposure did not have a material impact on performance.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns do not include the effect of any investment management expenses. These returns would have been lower if they included the effect of these expenses. Investors cannot invest directly in a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
7
| The Prudential Series Fund
Fees and Expenses — unaudited |
December 31, 2013 |
As a contract owner investing in Portfolios of the Fund through a variable annuity or variable life contract, you incur ongoing costs, including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other investment options. This example does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, the costs shown below would be higher. Please consult the prospectus for your contract for more information about contract fees and charges.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period July 1, 2013 through December 31, 2013.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the Portfolio expenses you paid on your account during this period. As noted above, the table does not reflect variable contract fees and charges.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other investment options.
Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect any contract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of the table is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owning different contracts. In addition, if these contract fee and charges were included, your costs would have been higher.
| The Prudential Series Fund Portfolios | Beginning Account Value July 1, 2013 |
Ending Account Value December 31, 2013 |
Annualized Expense Ratio based on the Six-Month period |
Expenses Paid During the Six-Month period* |
||||||||||||||
| Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,093.80 | 0.59 | % | $ | 3.11 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.23 | 0.59 | % | $ | 3.01 | ||||||||||
| Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,019.10 | 0.45 | % | $ | 2.29 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.94 | 0.45 | % | $ | 2.29 | ||||||||||
| Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,197.70 | 0.48 | % | $ | 2.66 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.79 | 0.48 | % | $ | 2.45 | ||||||||||
| Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,195.40 | 0.88 | % | $ | 4.87 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.77 | 0.88 | % | $ | 4.48 | ||||||||||
| Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,113.70 | 0.63 | % | $ | 3.36 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.03 | 0.63 | % | $ | 3.21 | ||||||||||
| Global (Class I) | Actual | $ | 1,000.00 | $ | 1,168.40 | 0.83 | % | $ | 4.54 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.02 | 0.83 | % | $ | 4.23 | ||||||||||
| Government Income (Class I) | Actual | $ | 1,000.00 | $ | 998.80 | 0.49 | % | $ | 2.47 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.74 | 0.49 | % | $ | 2.50 | ||||||||||
| Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,160.70 | 0.32 | % | $ | 1.74 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.59 | 0.32 | % | $ | 1.63 | ||||||||||
* Portfolio expenses (net of fee waivers or subsidies, if any) for each share class are equal to the annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended December 31, 2013, and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2013 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
| CONSERVATIVE BALANCED PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| ASSET-BACKED SECURITIES — 1.9% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Collateralized Debt Obligations |
||||||||||||||||
| Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A |
0.498% | (b) | 04/25/19 | 419 | $ | 413,522 | ||||||||||
| Collateralized Loan Obligations — 1.1% |
||||||||||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A |
1.422% | (b) | 04/20/25 | 2,100 | 2,064,702 | |||||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A |
3.360% | 04/20/25 | 250 | 245,150 | ||||||||||||
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.466% | (b) | 07/13/25 | 2,400 | 2,359,259 | |||||||||||
| Ares Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Series 2005-2A, Class A2, 144A |
0.498% | (b) | 01/26/20 | 600 | 594,016 | |||||||||||
| Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A |
1.475% | (b) | 07/15/24 | 1,000 | 978,771 | |||||||||||
| Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.394% | (b) | 04/17/25 | 2,200 | 2,150,165 | |||||||||||
| Carlyle Daytona CLO Ltd. (Cayman Islands), Series 2007-1A, Class A1L, 144A |
0.488% | (b) | 04/27/21 | 2,662 | 2,616,470 | |||||||||||
| Four Corners CLO Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A |
0.491% | (b) | 07/22/20 | 395 | 390,276 | |||||||||||
| Fraser Sullivan CLO Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A |
0.713% | (b) | 03/15/20 | 1,000 | 972,313 | |||||||||||
| ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.384% | (b) | 04/15/24 | 1,500 | 1,472,041 | |||||||||||
| Lafayette CLO Ltd. (Cayman Islands), Series 2012-1A, Class A, 144A |
1.642% | (b) | 09/06/22 | 179 | 179,240 | |||||||||||
| LCM CLO LP (Cayman Islands), Series 2005-3A, Class A, 144A |
0.499% | (b) | 06/01/17 | 120 | 119,533 | |||||||||||
| LightPoint CLO Ltd., Series 2005-3A, Class A1A, 144A |
0.503% | (b) | 09/15/17 | 335 | 331,568 | |||||||||||
| Magnetite VI Ltd. (Cayman Islands), Series 2012-6A, Class A, 144A |
1.743% | (b) | 09/15/23 | 300 | 299,301 | |||||||||||
| Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A |
1.708% | (b) | 05/18/23 | 1,100 | 1,095,989 | |||||||||||
| Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A |
0.488% | (b) | 02/22/20 | 161 | 159,685 | |||||||||||
| Mountain Capital CLO IV Ltd. (Cayman Islands), Series 2005-4A, Class A1L, 144A |
0.493% | (b) | 03/15/18 | 58 | 57,484 | |||||||||||
| OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A |
1.718% | (b) | 11/22/23 | 1,000 | 997,431 | |||||||||||
| OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class B, 144A |
2.438% | (b) | 11/22/23 | 900 | 883,435 | |||||||||||
| OHA Intrepid Leveraged Loan Fund CLO Ltd. (Cayman Islands), Series 2011-1AR, Class AR, 144A |
1.162% | (b) | 04/20/21 | 1,486 | 1,475,603 | |||||||||||
| OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A |
1.467% | (b) | 07/22/25 | 1,000 | 981,102 | |||||||||||
| Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.294% | (b) | 04/15/25 | 2,600 | 2,541,234 | |||||||||||
| Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A |
2.888% | (b) | 08/17/22 | 500 | 494,836 | |||||||||||
| Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A |
2.942% | (b) | 10/20/23 | 900 | 905,341 | |||||||||||
| Trimaran CLO VI Ltd. (Cayman Islands), Series 2006-2A, Class A1L, 144A |
0.492% | (b) | 11/01/18 | 912 | 902,570 | |||||||||||
| Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.393% | (b) | 07/15/25 | 2,200 | 2,155,550 | |||||||||||
| 27,423,065 | ||||||||||||||||
| Non-Residential Mortgage-Backed Securities — 0.4% |
||||||||||||||||
| American Express Credit Account Master Trust, Series 2012-4, Class C, 144A |
0.967% | (b) | 05/15/20 | 2,700 | 2,706,737 | |||||||||||
| Citibank Credit Card Issuance Trust, Series 2005-C2, Class C2 |
0.634% | (b) | 03/24/17 | 1,000 | 998,143 | |||||||||||
| GE Capital Credit Card Master Note Trust, Series 2012-4, Class B |
1.017% | (b) | 06/15/18 | 4,500 | 4,484,093 | |||||||||||
| MBNA Credit Card Master Note Trust, Series 2004-C2, Class C2 |
1.067% | (b) | 11/15/16 | 1,000 | 1,002,195 | |||||||||||
| SVO VOI Mortgage Corp., Series 2012-AA, Class A, 144A |
2.000% | 09/20/29 | 1,290 | 1,286,294 | ||||||||||||
| 10,477,462 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| ASSET-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Residential Mortgage-Backed Securities — 0.4% |
||||||||||||||||
| CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 |
1.816% | (b) | 03/25/33 | 372 | $ | 348,934 | ||||||||||
| Countrywide Asset-Backed Certificates, Series 2004-1, Class M1 |
0.916% | (b) | 03/25/34 | 3,240 | 3,058,145 | |||||||||||
| Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB6, Class A3 |
4.499% | 07/25/35 | 375 | 360,095 | ||||||||||||
| Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 |
5.141% | 07/25/34 | 506 | 481,144 | ||||||||||||
| Fremont Home Loan Trust, Series 2004-2, Class M1 |
1.021% | (b) | 07/25/34 | 506 | 433,216 | |||||||||||
| Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 |
0.696% | (b) | 06/25/34 | 774 | 727,219 | |||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 |
1.366% | (b) | 05/25/33 | 190 | 176,484 | |||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 |
1.216% | (b) | 12/27/33 | 1,070 | 1,027,765 | |||||||||||
| Morgan Stanley Dean Witter Capital I, Series 2002-HE1, Class M1 |
1.066% | (b) | 07/25/32 | 500 | 455,788 | |||||||||||
| Morgan Stanley Dean Witter Capital I, Series 2002-NC4, Class M1 |
1.441% | (b) | 09/25/32 | 708 | 655,613 | |||||||||||
| Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 |
0.930% | (b) | 02/25/34 | 1,112 | 1,020,012 | |||||||||||
| 8,744,415 | ||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
47,058,464 | ||||||||||||||
| BANK LOANS(b) — 0.3% | ||||||||||||||||
| Automotive |
||||||||||||||||
| Schaeffler AG (Germany) |
4.250% | 01/27/17 | 600 | 604,500 | ||||||||||||
| Cable |
||||||||||||||||
| Virgin Media Investment Holdings Ltd. (United Kingdom) |
3.500% | 06/08/20 | 1,000 | 1,001,250 | ||||||||||||
| Foods — 0.1% |
||||||||||||||||
| ARAMARK Corp. |
4.000% | 09/09/19 | 900 | 903,750 | ||||||||||||
| Del Monte Foods Co. |
4.000% | 03/08/18 | 958 | 959,051 | ||||||||||||
| 1,862,801 | ||||||||||||||||
| Healthcare & Pharmaceutical — 0.1% |
||||||||||||||||
| CHS/Community Health Systems, Inc. |
2.987% | 10/25/16 | 440 | 440,205 | ||||||||||||
| HCA, Inc. |
2.997% | 05/01/18 | 369 | 368,583 | ||||||||||||
| HCA, Inc. |
2.998% | 03/31/17 | 884 | 884,244 | ||||||||||||
| RPI Finance Trust |
4.000% | 09/11/18 | 892 | 892,269 | ||||||||||||
| Universal Health Services, Inc. |
1.675% | 08/15/16 | 85 | 85,299 | ||||||||||||
| 2,670,600 | ||||||||||||||||
| Technology — 0.1% |
||||||||||||||||
| First Data Corp. |
4.164% | 03/24/17 | 156 | 156,105 | ||||||||||||
| First Data Corp. |
4.164% | 03/26/18 | 2,055 | 2,055,955 | ||||||||||||
| Sensata Technologies BV (Netherlands) |
3.750% | 05/12/18 | 152 | 152,330 | ||||||||||||
| 2,364,390 | ||||||||||||||||
| TOTAL BANK LOANS |
|
8,503,541 | ||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.5% | ||||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 |
5.369% | 10/10/45 | 3,400 | 3,474,280 | ||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A |
5.742% | (b) | 04/10/49 | 3,886 | 4,226,649 | |||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-3, Class A2 |
5.797% | (b) | 06/10/49 | 318 | 318,177 | |||||||||||
| Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 |
5.894% | (b) | 12/10/49 | 800 | 894,707 | |||||||||||
| Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 |
2.815% | 04/10/46 | 900 | 835,325 | ||||||||||||
| Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class A2 |
1.765% | 10/15/45 | 2,600 | 2,577,515 | ||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 |
2.540% | 12/10/45 | 1,000 | 916,381 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR12, Class A3 |
3.765% | 10/10/46 | 1,000 | $ | 984,352 | |||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 |
2.929% | 03/10/46 | 1,400 | 1,313,766 | ||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR9, Class A3 |
4.022% | 07/10/45 | 1,100 | 1,115,083 | ||||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4 |
5.609% | (b) | 02/15/39 | 2,810 | 3,027,497 | |||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM |
5.643% | (b) | 02/15/39 | 530 | 566,327 | |||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4 |
4.832% | 04/15/37 | 900 | 933,833 | ||||||||||||
| CW Capital Cobalt Ltd., Series 2006-C1, Class A4 |
5.223% | 08/15/48 | 1,020 | 1,100,572 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 |
2.873% | 12/25/21 | 3,500 | 3,423,315 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 |
2.373% | 05/25/22 | 1,000 | 932,991 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O |
1.609% | (b) | 05/25/22 | 21,268 | 2,000,063 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O |
1.645% | (b) | 06/25/22 | 5,867 | 575,889 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 |
3.320% | (b) | 02/25/23 | 5,300 | 5,241,960 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 |
3.531% | (b) | 07/25/23 | 1,800 | 1,800,187 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O |
1.875% | (b) | 08/25/16 | 6,084 | 189,710 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O |
1.913% | (b) | 05/25/19 | 16,891 | 1,359,394 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O |
1.832% | (b) | 07/25/19 | 17,434 | 1,370,736 | |||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5 |
5.224% | (b) | 04/10/37 | 1,400 | 1,476,409 | |||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A2 |
5.381% | 03/10/39 | 2,044 | 2,089,942 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP1, Class ASB |
4.853% | (b) | 03/15/46 | 544 | 549,994 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
4.697% | 07/15/42 | 156 | 158,125 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
4.780% | 07/15/42 | 1,000 | 1,045,511 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
4.659% | 07/15/42 | 1,212 | 1,229,969 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
4.999% | (b) | 10/15/42 | 1,170 | 1,239,159 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
5.523% | 05/12/45 | 1,063 | 1,107,451 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
5.987% | (b) | 06/15/49 | 803 | 809,071 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
3.139% | 06/15/45 | 1,800 | 1,813,788 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
2.611% | 12/15/47 | 1,500 | 1,377,134 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
2.875% | 12/15/47 | 3,200 | 2,986,832 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
3.070% | 12/15/46 | 1,700 | 1,745,645 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, |
2.694% | 04/15/46 | 1,100 | 1,006,949 | ||||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5 |
4.739% | 07/15/30 | 628 | 652,990 | ||||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM |
5.263% | (b) | 11/15/40 | 1,390 | 1,489,851 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM |
5.866% | (b) | 05/12/39 | 780 | $ | 840,789 | ||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class AM |
5.703% | (b) | 02/12/39 | 440 | 475,984 | |||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4 |
6.081% | (b) | 06/12/46 | 2,210 | 2,413,948 | |||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A3 |
5.364% | 08/12/48 | 225 | 225,263 | ||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A2 |
5.331% | 03/12/51 | 1,992 | 1,994,840 | ||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 |
2.863% | 12/15/48 | 1,200 | 1,123,854 | ||||||||||||
| Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 |
5.839% | (b) | 10/15/42 | 2,265 | 2,428,827 | |||||||||||
| Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB |
5.444% | 02/12/44 | 2,716 | 2,789,542 | ||||||||||||
| Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB |
5.814% | (b) | 06/11/42 | 356 | 363,270 | |||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 |
2.792% | 12/10/45 | 1,400 | 1,305,017 | ||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 |
2.920% | 03/10/46 | 3,200 | 2,998,598 | ||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 |
2.971% | 04/10/46 | 1,500 | 1,408,757 | ||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 |
5.909% | (b) | 05/15/43 | 3,688 | 3,978,624 | |||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A |
5.608% | (b) | 05/15/46 | 4,240 | 4,655,967 | |||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
86,960,809 | ||||||||||||||
| CORPORATE BONDS — 8.1% | ||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
6.300% | 05/01/14 | 900 | 913,500 | ||||||||||||
| Airlines — 0.2% |
||||||||||||||||
| Continental Airlines, Inc. 1998-1 Class A Pass-Through Trust, Pass-Through Certificates, Series 1998-1 |
6.648% | 09/15/17 | 139 | 146,335 | ||||||||||||
| Continental Airlines, Inc. 2001-1 Class A-1 Pass-Through Trust, Pass-Through Certificates, Series 2001-1 |
6.703% | 06/15/21(c) | 126 | 135,579 | ||||||||||||
| Continental Airlines, Inc. 2009-2 Class A Pass-Through Trust, Pass-Through Certificates |
7.250% | 11/10/19 | 599 | 685,747 | ||||||||||||
| Continental Airlines, Inc. 2010-1 Class A Pass-Through Trust, Pass-Through Certificates, Series 2010-1 |
4.750% | 01/12/21(a) | 656 | 696,670 | ||||||||||||
| Continental Airlines, Inc. 2012-2 Class A Pass-Through Trust, Pass-Through Certificates, Series 2012-2 |
4.000% | 10/29/24 | 405 | 402,975 | ||||||||||||
| Delta Air Lines 2007-1 Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A |
6.821% | 08/10/22 | 336 | 379,263 | ||||||||||||
| Delta Air Lines 2010-2 Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A |
4.950% | 05/23/19(a) | 538 | 579,821 | ||||||||||||
| Delta Air Lines 2011-1 Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A |
5.300% | 04/15/19(a) | 870 | 947,814 | ||||||||||||
| 3,974,204 | ||||||||||||||||
| Automotive — 0.2% |
||||||||||||||||
| Cummins, Inc., Sr. Unsec’d. Notes |
4.875% | 10/01/43 | 70 | 70,104 | ||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
4.207% | 04/15/16 | 1,890 | 2,013,867 | ||||||||||||
| General Motors Co., Sr. Unsec’d. Notes, 144A |
4.875% | 10/02/23(a) | 755 | 764,438 | ||||||||||||
| General Motors Co., Sr. Unsec’d. Notes, 144A |
6.250% | 10/02/43 | 1,065 | 1,106,269 | ||||||||||||
| Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A |
2.700% | 03/15/17 | 380 | 389,555 | ||||||||||||
| Johnson Controls, Inc., Sr. Unsec’d. Notes |
5.500% | 01/15/16 | 235 | 255,265 | ||||||||||||
| 4,599,498 | ||||||||||||||||
| Banking — 2.2% |
||||||||||||||||
| Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A |
3.875% | 09/20/22 | 530 | 499,880 | ||||||||||||
| Bank of America Corp., Jr. Sub. Notes, Series K |
8.000% | (b) | 12/29/49(a) | 2,100 | 2,326,800 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
3.300% | 01/11/23 | 360 | 340,656 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Banking (continued) |
||||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
4.500% | 04/01/15 | 185 | $ | 193,543 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
5.650% | 05/01/18 | 105 | 119,518 | ||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
5.700% | 01/24/22 | 1,290 | 1,460,093 | ||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
6.000% | 09/01/17 | 1,330 | 1,518,583 | ||||||||||||
| Bank of America NA, Sub. Notes |
5.300% | 03/15/17 | 850 | 936,889 | ||||||||||||
| Bank of America NA, Sub. Notes |
6.000% | 10/15/36 | 805 | 923,865 | ||||||||||||
| Bank of Nova Scotia (Canada), Covered Bonds, 144A |
1.650% | 10/29/15 | 1,265 | 1,289,794 | ||||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
5.300% | 10/30/15 | 550 | 593,242 | ||||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
6.400% | 10/02/17 | 270 | 313,351 | ||||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
7.250% | 02/01/18 | 1,135 | 1,359,016 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
3.875% | 10/25/23 | 1,730 | 1,700,690 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
4.500% | 01/14/22(a) | 1,125 | 1,192,176 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
6.875% | 03/05/38 | 103 | 126,659 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.125% | 07/15/39 | 850 | 1,192,285 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.500% | 05/22/19 | 1,195 | 1,531,499 | ||||||||||||
| Citigroup, Inc., Sub. Notes |
6.125% | 08/25/36 | 725 | 772,973 | ||||||||||||
| Depfa ACS Bank (Ireland), Covered Bonds, 144A |
5.125% | 03/16/37 | 500 | 423,125 | ||||||||||||
| Discover Bank, Sub. Notes |
7.000% | 04/15/20 | 485 | 564,049 | ||||||||||||
| Discover Financial Services, Sr. Unsec’d. Notes |
3.850% | 11/21/22 | 900 | 853,353 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
5.250% | 07/27/21 | 2,305 | 2,523,611 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
5.750% | 01/24/22 | 1,250 | 1,407,110 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.250% | 02/01/41 | 220 | 253,528 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
5.625% | 01/15/17 | 765 | 842,983 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
6.450% | 05/01/36 | 1,020 | 1,092,336 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
6.750% | 10/01/37 | 113 | 125,718 | ||||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
4.875% | 01/14/22 | 1,230 | 1,327,318 | ||||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
5.100% | 04/05/21 | 920 | 1,022,533 | ||||||||||||
| Huntington Bancshares, Inc., Sub. Notes |
7.000% | 12/15/20(a) | 150 | 173,946 | ||||||||||||
| Intesa Sanpaolo SpA (Italy), Sr. Unsec’d. Notes |
3.125% | 01/15/16 | 1,145 | 1,166,826 | ||||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes |
7.900% | (b) | 04/24/49(a) | 2,000 | 2,205,000 | |||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
4.250% | 10/15/20 | 1,660 | 1,759,661 | ||||||||||||
| JPMorgan Chase & Co., Sub. Notes |
5.625% | 08/16/43 | 185 | 195,503 | ||||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A |
5.800% | 01/13/20 | 1,770 | 2,029,250 | ||||||||||||
| Morgan Stanley, Notes, MTN |
5.450% | 01/09/17 | 1,530 | 1,696,772 | ||||||||||||
| Morgan Stanley, Notes, MTN |
6.625% | 04/01/18 | 100 | 117,009 | ||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.500% | 07/28/21 | 1,535 | 1,715,298 | ||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.625% | 09/23/19 | 2,110 | 2,398,407 | ||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
6.375% | 07/24/42 | 640 | 749,620 | ||||||||||||
| MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes |
6.346% | (b) | 07/29/49 | 800 | 866,594 | |||||||||||
| Northern Trust Corp., Sub. Notes |
3.950% | 10/30/25 | 750 | 730,871 | ||||||||||||
| People’s United Financial, Inc., Sr. Unsec’d. Notes |
3.650% | 12/06/22 | 1,195 | 1,129,763 | ||||||||||||
| PNC Bank NA, Sub. Notes |
3.800% | 07/25/23 | 480 | 465,522 | ||||||||||||
| PNC Funding Corp., Gtd. Notes |
6.700% | 06/10/19 | 390 | 468,458 | ||||||||||||
| Royal Bank of Canada (Canada), Covered Bonds |
2.000% | 10/01/18 | 3,260 | 3,243,081 | ||||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
3.000% | 09/24/15 | 780 | 805,466 | ||||||||||||
| US Bancorp, Sub. Notes, MTN |
2.950% | 07/15/22 | 915 | 850,150 | ||||||||||||
| Westpac Banking Corp. (Australia), Covered Bonds, 144A |
1.850% | 11/26/18 | 4,640 | 4,556,944 | ||||||||||||
| 56,151,317 | ||||||||||||||||
| Brokerage — 0.1% |
||||||||||||||||
| Jefferies Group LLC, Sr. Unsec’d. Notes |
6.500% | 01/20/43 | 465 | 461,087 | ||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) |
6.875% | 02/06/12 | 1,850 | 393,125 | ||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(d) |
6.875% | 05/02/18 | 700 | 151,375 | ||||||||||||
| Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN |
2.000% | 09/13/16 | 680 | 685,622 | ||||||||||||
| 1,691,209 | ||||||||||||||||
| Building Materials & Construction — 0.1% |
||||||||||||||||
| D.R. Horton, Inc., Gtd. Notes |
3.625% | 02/15/18 | 900 | 913,500 | ||||||||||||
| Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A |
5.125% | 06/26/22(a) | 500 | 489,375 | ||||||||||||
| 1,402,875 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Cable — 0.3% |
||||||||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes |
8.625% | 09/15/17(a) | 900 | $ | 1,048,500 | |||||||||||
| Comcast Cable Holdings LLC, Gtd. Notes |
9.875% | 06/15/22 | 1,440 | 1,918,260 | ||||||||||||
| Comcast Corp., Gtd. Notes |
6.400% | 05/15/38 | 310 | 357,972 | ||||||||||||
| Comcast Corp., Gtd. Notes |
6.950% | 08/15/37 | 290 | 356,497 | ||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
3.500% | 03/01/16 | 605 | 635,062 | ||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
3.550% | 03/15/15 | 165 | 170,439 | ||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
5.150% | 03/15/42 | 520 | 467,013 | ||||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
5.850% | 05/01/17 | 1,240 | 1,352,466 | ||||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
7.500% | 04/01/14 | 345 | 350,728 | ||||||||||||
| Videotron Ltd. (Canada), Gtd. Notes |
5.000% | 07/15/22 | 850 | 830,875 | ||||||||||||
| 7,487,812 | ||||||||||||||||
| Capital Goods — 0.3% |
||||||||||||||||
| Actuant Corp., Gtd. Notes |
5.625% | 06/15/22 | 1,040 | 1,053,000 | ||||||||||||
| Case New Holland, Inc., Gtd. Notes |
7.875% | 12/01/17 | 1,100 | 1,298,000 | ||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
6.375% | 10/15/17(c)(e) | 1,198 | 1,386,305 | ||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
7.000% | 10/15/37(c)(e) | 390 | 461,535 | ||||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
4.125% | 10/09/42 | 455 | 420,355 | ||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., |
2.500% | 07/11/14(c)(e) | 320 | 322,604 | ||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A (original cost $419,593; purchased 05/08/12) |
3.125% | 05/11/15(c)(e) | 420 | 431,962 | ||||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes |
4.875% | 10/01/21 | 1,060 | 1,104,985 | ||||||||||||
| 6,478,746 | ||||||||||||||||
| Chemicals — 0.1% |
||||||||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
9.400% | 05/15/39(a) | 35 | 52,287 | ||||||||||||
| LyondellBasell Industries NV, Sr. Unsec’d. Notes |
5.000% | 04/15/19 | 800 | 888,497 | ||||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.450% | 11/15/33 | 370 | 376,974 | ||||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.625% | 11/15/43 | 775 | 786,224 | ||||||||||||
| Rhodia SA (France), Sr. Unsec’d. Notes, 144A |
6.875% | 09/15/20 | 950 | 1,051,612 | ||||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
7.500% | 06/01/25 | 500 | 579,012 | ||||||||||||
| 3,734,606 | ||||||||||||||||
| Consumer — 0.1% |
||||||||||||||||
| Newell Rubbermaid, Inc., Sr. Unsec’d. Notes |
6.250% | 04/15/18 | 1,600 | 1,811,864 | ||||||||||||
| Electric — 0.4% |
||||||||||||||||
| Arizona Public Service Co., Sr. Unsec’d. Notes |
6.250% | 08/01/16 | 170 | 190,734 | ||||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
6.350% | 10/01/36 | 530 | 622,910 | ||||||||||||
| Calpine Corp., Sr. Sec’d. Notes, 144A |
7.500% | 02/15/21 | 741 | 808,616 | ||||||||||||
| CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge., Series K2 |
6.950% | 03/15/33 | 300 | 385,403 | ||||||||||||
| Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Series 09-C |
5.500% | 12/01/39 | 145 | 160,070 | ||||||||||||
| Dominion Gas Holdings LLC, Sr. Unsec’d. Notes, 144A |
4.800% | 11/01/43 | 45 | 43,508 | ||||||||||||
| Duke Energy Carolinas LLC, First Mtge. Bonds |
6.050% | 04/15/38 | 530 | 629,053 | ||||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes |
6.000% | 05/15/35 | 845 | 876,565 | ||||||||||||
| Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes |
8.625% | 08/01/15 | 1,160 | 1,277,904 | ||||||||||||
| Energy East Corp. (Spain), Gtd. Notes |
6.750% | 09/15/33 | 140 | 147,935 | ||||||||||||
| Exelon Corp., Sr. Unsec’d. Notes |
4.900% | 06/15/15(a) | 195 | 205,589 | ||||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
6.250% | 10/01/39 | 1,375 | 1,393,407 | ||||||||||||
| Florida Power & Light Co., First Mtge. Bonds |
5.950% | 10/01/33 | 380 | 447,429 | ||||||||||||
| MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes |
5.950% | 05/15/37 | 325 | 355,636 | ||||||||||||
| Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A |
4.881% | 08/15/19 | 545 | 602,472 | ||||||||||||
| NSTAR LLC, Sr. Unsec’d. Notes |
4.500% | 11/15/19 | 605 | 656,649 | ||||||||||||
| Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes |
6.375% | 01/15/15 | 465 | 490,578 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Electric (continued) |
||||||||||||||||
| Public Service Co. of New Mexico, Sr. Unsec’d. Notes |
7.950% | 05/15/18 | 135 | $ | 160,470 | |||||||||||
| Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN |
5.800% | 05/01/37 | 515 | 591,129 | ||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
4.800% | 09/15/41 | 480 | 467,418 | ||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
5.613% | 04/01/17 | 263 | 289,767 | ||||||||||||
| 10,803,242 | ||||||||||||||||
| Energy – Integrated |
||||||||||||||||
| Reliance Holdings USA, Inc. (India), Gtd. Notes, 144A |
5.400% | 02/14/22 | 650 | 657,372 | ||||||||||||
| Energy – Other — 0.2% |
||||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.450% | 09/15/36 | 305 | 342,495 | ||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.950% | 06/15/19 | 225 | 267,802 | ||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes(f) |
7.936% | 10/10/36 | 1,000 | 357,090 | ||||||||||||
| Nabors Industries, Inc., Gtd. Notes |
4.625% | 09/15/21 | 890 | 891,043 | ||||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A |
5.375% | 01/26/19 | 350 | 352,625 | ||||||||||||
| Pemex Project Funding Master Trust (Mexico), Gtd. Notes |
6.625% | 06/15/35 | 513 | 539,933 | ||||||||||||
| Phillips 66, Gtd. Notes |
2.950% | 05/01/17 | 415 | 431,762 | ||||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
6.875% | 05/01/18 | 1,450 | 1,697,821 | ||||||||||||
| Transocean, Inc., Gtd. Notes |
2.500% | 10/15/17(a) | 755 | 762,998 | ||||||||||||
| Weatherford International Ltd., Gtd. Notes |
5.125% | 09/15/20(a) | 685 | 735,867 | ||||||||||||
| Weatherford International Ltd., Gtd. Notes |
6.500% | 08/01/36 | 25 | 26,075 | ||||||||||||
| 6,405,511 | ||||||||||||||||
| Foods — 0.3% |
||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes |
8.000% | 11/15/39 | 1,160 | 1,671,791 | ||||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
5.350% | 04/15/14 | 1,000 | 1,012,710 | ||||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
8.500% | 06/15/19 | 860 | 1,056,495 | ||||||||||||
| Darling International, Inc., Gtd. Notes |
8.500% | 12/15/18 | 1,000 | 1,102,500 | ||||||||||||
| Delhaize Group SA (Belgium), Gtd. Notes |
6.500% | 06/15/17 | 460 | 516,622 | ||||||||||||
| TreeHouse Foods, Inc., Gtd. Notes |
7.750% | 03/01/18 | 1,200 | 1,257,000 | ||||||||||||
| Tyson Foods, Inc., Gtd. Notes |
6.600% | 04/01/16 | 785 | 876,262 | ||||||||||||
| 7,493,380 | ||||||||||||||||
| Healthcare & Pharmaceutical — 0.3% |
||||||||||||||||
| Actavis PLC, Sr. Unsec’d. Notes |
4.625% | 10/01/42 | 460 | 418,508 | ||||||||||||
| Actavis, Inc., Sr. Unsec’d. Notes |
6.125% | 08/15/19 | 440 | 507,226 | ||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
5.150% | 11/15/41 | 1,365 | 1,359,930 | ||||||||||||
| AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes |
6.450% | 09/15/37 | 480 | 573,168 | ||||||||||||
| CHS/Community Health Systems, Inc., Sr. Sec’d. Notes |
5.125% | 08/15/18 | 900 | 929,250 | ||||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes |
5.650% | 12/01/41(a) | 140 | 155,853 | ||||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
3.750% | 08/23/22(a) | 150 | 145,296 | ||||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
5.625% | 12/15/15 | 560 | 608,025 | ||||||||||||
| Merck Sharp & Dohme Corp., Gtd. Notes |
5.950% | 12/01/28 | 205 | 239,081 | ||||||||||||
| Mylan, Inc., Gtd. Notes, 144A |
1.800% | 06/24/16 | 355 | 361,907 | ||||||||||||
| Thermo Fisher Scientific, Inc., Sr. Unsec’d. Notes |
4.150% | 02/01/24 | 925 | 916,211 | ||||||||||||
| Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A |
6.500% | 07/15/16(a) | 822 | 848,715 | ||||||||||||
| Zoetis, Inc., Sr. Unsec’d. Notes |
4.700% | 02/01/43 | 155 | 144,872 | ||||||||||||
| 7,208,042 | ||||||||||||||||
| Healthcare Insurance — 0.2% |
||||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
6.625% | 06/15/36 | 480 | 573,927 | ||||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
5.875% | 03/15/41 | 540 | 595,648 | ||||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
6.150% | 11/15/36 | 640 | 721,199 | ||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.000% | 06/15/17 | 115 | 131,975 | ||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.500% | 06/15/37 | 400 | 474,553 | ||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.625% | 11/15/37 | 410 | 496,041 | ||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
4.625% | 05/15/42 | 330 | 304,991 | ||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
4.650% | 01/15/43 | 775 | 717,497 | ||||||||||||
| 4,015,831 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Insurance — 0.7% |
||||||||||||||||
| Allied World Assurance Co. Ltd., Gtd. Notes |
5.500% | 11/15/20 | 480 | $ | 519,122 | |||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes |
4.500% | 06/15/43 | 125 | 118,272 | ||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
6.400% | 12/15/20 | 910 | 1,075,494 | ||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
8.250% | 08/15/18 | 900 | 1,125,792 | ||||||||||||
| Axis Specialty Finance LLC, Gtd. Notes |
5.875% | 06/01/20 | 990 | 1,086,038 | ||||||||||||
| Chubb Corp. (The), Jr. Sub. Notes |
6.375% | (b) | 03/29/67 | 1,260 | 1,363,950 | |||||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes |
5.125% | 04/15/22 | 635 | 691,649 | ||||||||||||
| Liberty Mutual Group, Inc., Gtd. Notes, 144A |
6.500% | 05/01/42 | 215 | 235,952 | ||||||||||||
| Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A |
7.000% | 03/15/34 | 910 | 1,039,449 | ||||||||||||
| Lincoln National Corp., Jr. Sub. Notes |
6.050% | (b) | 04/20/67 | 250 | 248,125 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
6.300% | 10/09/37 | 476 | 547,284 | ||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
7.000% | 06/15/40 | 660 | 826,896 | ||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
8.750% | 07/01/19 | 505 | 650,014 | ||||||||||||
| Markel Corp., Sr. Unsec’d. Notes |
5.000% | 03/30/43 | 165 | 154,307 | ||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
5.700% | 06/15/35 | 960 | 1,048,456 | ||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
6.375% | 06/15/34 | 85 | 100,527 | ||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
6.750% | 06/01/16 | 270 | 306,998 | ||||||||||||
| New York Life Insurance Co., Sub. Notes, 144A |
6.750% | 11/15/39(a) | 650 | 792,888 | ||||||||||||
| Northwestern Mutual Life Insurance Co. (The), Sub.Notes, 144A |
6.063% | 03/30/40 | 350 | 393,229 | ||||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
6.375% | 04/30/20 | 640 | 709,610 | ||||||||||||
| Pacific Life Insurance Co., Sub. Notes, 144A |
9.250% | 06/15/39 | 870 | 1,208,179 | ||||||||||||
| Principal Financial Group, Inc., Gtd. Notes |
4.625% | 09/15/42 | 105 | 98,648 | ||||||||||||
| Progressive Corp. (The), Jr. Sub. Notes |
6.700% | (b) | 06/15/37 | 715 | 772,200 | |||||||||||
| Teachers Insurance & Annuity Association of America, Sub. Notes, 144A |
6.850% | 12/16/39 | 1,430 | 1,765,176 | ||||||||||||
| Unum Group, Sr. Unsec’d. Notes |
5.625% | 09/15/20 | 315 | 345,286 | ||||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
5.600% | 05/15/15 | 705 | 744,201 | ||||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
6.150% | 08/15/19 | 575 | 647,811 | ||||||||||||
| XL Group PLC (Ireland), Sr. Unsec’d. Notes |
5.250% | 09/15/14 | 110 | 113,377 | ||||||||||||
| 18,728,930 | ||||||||||||||||
| Lodging — 0.3% |
||||||||||||||||
| Choice Hotels International, Inc., Gtd. Notes |
5.750% | 07/01/22 | 955 | 996,781 | ||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.000% | 03/01/19 | 490 | 493,433 | ||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.250% | 09/15/22 | 805 | 750,510 | ||||||||||||
| Starwood Hotels & Resorts Worldwide, Inc.,Sr.Unsec’d.Notes |
6.750% | 05/15/18 | 2,700 | 3,125,015 | ||||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
2.500% | 03/01/18 | 405 | 403,625 | ||||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
4.250% | 03/01/22 | 890 | 868,615 | ||||||||||||
| 6,637,979 | ||||||||||||||||
| Media & Entertainment — 0.2% |
||||||||||||||||
| Belo Corp., Gtd. Notes |
8.000% | 11/15/16 | 1,000 | 1,042,500 | ||||||||||||
| CBS Corp., Gtd. Notes |
4.850% | 07/01/42(c)(e) | 340 | 306,357 | ||||||||||||
| Historic TW, Inc., Gtd. Notes |
9.150% | 02/01/23 | 625 | 828,801 | ||||||||||||
| News America, Inc., Gtd. Notes |
6.150% | 03/01/37 | 250 | 274,772 | ||||||||||||
| News America, Inc., Gtd. Notes |
6.900% | 08/15/39 | 35 | 41,715 | ||||||||||||
| News America, Inc., Gtd. Notes |
7.625% | 11/30/28 | 1,265 | 1,569,033 | ||||||||||||
| Time Warner, Inc., Gtd. Notes |
6.200% | 03/15/40(a) | 175 | 192,791 | ||||||||||||
| Time Warner, Inc., Gtd. Notes |
6.250% | 03/29/41 | 495 | 549,689 | ||||||||||||
| Time Warner, Inc., Gtd. Notes |
7.625% | 04/15/31 | 155 | 196,163 | ||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
4.500% | 02/27/42 | 50 | 42,658 | ||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
5.850% | 09/01/43 | 460 | 483,562 | ||||||||||||
| 5,528,041 | ||||||||||||||||
| Metals — 0.1% |
||||||||||||||||
| BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes |
5.000% | 09/30/43 | 700 | 711,719 | ||||||||||||
| Newmont Mining Corp., Gtd. Notes |
6.250% | 10/01/39 | 15 | 13,268 | ||||||||||||
| Peabody Energy Corp., Gtd. Notes |
6.000% | 11/15/18 | 575 | 612,375 | ||||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
7.500% | 07/27/35 | 370 | 385,566 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Metals (continued) |
||||||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
2.050% | 10/23/15 | 905 | $ | 916,518 | |||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
2.850% | 11/10/14 | 995 | 1,008,811 | ||||||||||||
| 3,648,257 | ||||||||||||||||
| Non-Captive Finance — 0.3% |
||||||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
5.875% | 01/14/38 | 970 | 1,104,941 | ||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
6.000% | 08/07/19 | 3,010 | 3,531,669 | ||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
6.875% | 01/10/39 | 730 | 938,485 | ||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
5.750% | 05/15/16 | 230 | 246,388 | ||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
6.250% | 01/25/16 | 365 | 394,200 | ||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
8.450% | 06/15/18 | 295 | 343,675 | ||||||||||||
| 6,559,358 | ||||||||||||||||
| Packaging — 0.1% |
||||||||||||||||
| Ball Corp., Gtd. Notes |
4.000% | 11/15/23 | 1,710 | 1,530,450 | ||||||||||||
| Crown Americas LLC/Crown Americas Capital Corp. IV |
4.500% | 01/15/23(a) | 1,000 | 935,000 | ||||||||||||
| 2,465,450 | ||||||||||||||||
| Paper — 0.1% |
||||||||||||||||
| Georgia-Pacific LLC, Gtd. Notes, 144A |
5.400% | 11/01/20(c)(e) | 275 | 307,258 | ||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
6.000% | 11/15/41 | 1,270 | 1,379,164 | ||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
7.950% | 06/15/18 | 460 | 558,758 | ||||||||||||
| Rock-Tenn Co., Gtd. Notes |
4.000% | 03/01/23 | 360 | 343,833 | ||||||||||||
| Rock-Tenn Co., Gtd. Notes |
4.900% | 03/01/22 | 675 | 694,823 | ||||||||||||
| 3,283,836 | ||||||||||||||||
| Pipelines & Other — 0.1% |
||||||||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes |
4.650% | 06/01/21 | 610 | 627,472 | ||||||||||||
| Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes |
5.950% | 02/15/18 | 530 | 602,289 | ||||||||||||
| NiSource Finance Corp., Gtd. Notes |
5.450% | 09/15/20 | 500 | 555,996 | ||||||||||||
| ONEOK Partners LP, Gtd. Notes |
6.650% | 10/01/36 | 130 | 143,061 | ||||||||||||
| 1,928,818 | ||||||||||||||||
| Railroads — 0.1% |
||||||||||||||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes |
6.700% | 08/01/28 | 735 | 847,827 | ||||||||||||
| CSX Corp., Sr. Unsec’d. Notes |
6.150% | 05/01/37 | 690 | 770,431 | ||||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
5.590% | 05/17/25 | 120 | 131,136 | ||||||||||||
| 1,749,394 | ||||||||||||||||
| Real Estate Investment Trusts — 0.2% |
||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
10.000% | 10/01/14 | 369 | 390,218 | ||||||||||||
| HCP, Inc., Sr. Unsec’d. Notes |
2.700% | 02/01/14 | 670 | 671,046 | ||||||||||||
| Mack-Cali Realty Corp., Sr. Unsec’d. Notes |
7.750% | 08/15/19 | 685 | 821,184 | ||||||||||||
| ProLogis LP, Gtd. Notes |
6.875% | 03/15/20 | 68 | 80,091 | ||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
2.800% | 01/30/17(a) | 235 | 243,062 | ||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
3.375% | 03/15/22 | 190 | 185,190 | ||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
6.125% | 05/30/18 | 2,925 | 3,386,606 | ||||||||||||
| 5,777,397 | ||||||||||||||||
| Retailers — 0.1% |
||||||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
5.300% | 12/05/43 | 170 | 175,808 | ||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
5.750% | 05/15/41 | 130 | 141,878 | ||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
6.125% | 09/15/39 | 335 | 379,930 | ||||||||||||
| Lowe’s Cos, Inc., Sr. Unsec’d. Notes |
6.500% | 03/15/29 | 345 | 409,189 | ||||||||||||
| Ltd. Brands, Inc., Gtd. Notes |
5.625% | 02/15/22 | 1,300 | 1,329,250 | ||||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes |
3.875% | 01/15/22 | 300 | 295,703 | ||||||||||||
| 2,731,758 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Technology |
||||||||||||||||
| Arrow Electronics, Inc., Sr. Unsec’d. Notes |
3.375% | 11/01/15 | 370 | $ | 382,907 | |||||||||||
| Seagate HDD Cayman, Gtd. Notes, 144A |
3.750% | 11/15/18 | 455 | 460,119 | ||||||||||||
| 843,026 | ||||||||||||||||
| Telecommunications — 0.6% |
||||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
6.125% | 03/30/40 | 400 | 423,246 | ||||||||||||
| AT&T Corp., Gtd. Notes |
8.000% | 11/15/31 | 18 | 23,957 | ||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
5.350% | 09/01/40 | 1,378 | 1,363,437 | ||||||||||||
| British Telecommunications PLC (United Kingdom), |
9.625% | 12/15/30 | 350 | 522,285 | ||||||||||||
| Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes |
8.500% | 11/15/18 | 1,830 | 2,317,023 | ||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.082% | 06/01/16(c)(e) | 325 | 363,155 | ||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.995% | 06/01/36(c)(e) | 645 | 653,024 | ||||||||||||
| Qwest Corp., Sr. Unsec’d. Notes |
7.500% | 10/01/14 | 880 | 923,681 | ||||||||||||
| Sprint Communications, Inc., Sr. Unsec’d. Notes |
6.000% | 12/01/16(a) | 950 | 1,036,688 | ||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
6.400% | 09/15/33 | 1,285 | 1,477,905 | ||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
6.550% | 09/15/43 | 4,190 | 4,902,128 | ||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
6.400% | 02/15/38 | 55 | 61,763 | ||||||||||||
| 14,068,292 | ||||||||||||||||
| Tobacco — 0.2% |
||||||||||||||||
| Altria Group, Inc., Gtd. Notes |
4.000% | 01/31/24 | 1,585 | 1,549,201 | ||||||||||||
| Altria Group, Inc., Gtd. Notes |
9.700% | 11/10/18 | 354 | 465,295 | ||||||||||||
| Altria Group, Inc., Gtd. Notes |
9.950% | 11/10/38 | 42 | 64,067 | ||||||||||||
| Altria Group, Inc., Gtd. Notes |
10.200% | 02/06/39 | 274 | 427,499 | ||||||||||||
| Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A |
2.050% | 02/11/18 | 1,680 | 1,661,218 | ||||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
8.125% | 06/23/19(a) | 290 | 353,262 | ||||||||||||
| Reynolds American, Inc., Gtd. Notes |
4.750% | 11/01/42 | 290 | 257,758 | ||||||||||||
| 4,778,300 | ||||||||||||||||
| TOTAL CORPORATE BONDS |
|
203,557,845 | ||||||||||||||
| MUNICIPAL BONDS — 0.5% | ||||||||||||||||
| California — 0.2% |
||||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
6.263% | 04/01/49 | 1,305 | 1,565,230 | ||||||||||||
| State of California, GO, BABs |
7.300% | 10/01/39 | 1,250 | 1,571,988 | ||||||||||||
| State of California, GO, BABs |
7.500% | 04/01/34 | 350 | 445,382 | ||||||||||||
| State of California, GO, BABs |
7.550% | 04/01/39 | 245 | 317,518 | ||||||||||||
| State of California, GO, BABs |
7.625% | 03/01/40 | 205 | 269,899 | ||||||||||||
| 4,170,017 | ||||||||||||||||
| Colorado |
||||||||||||||||
| Regional Transportation District, Revenue Bonds, |
5.844% | 11/01/50 | 625 | 721,550 | ||||||||||||
| Illinois — 0.1% |
||||||||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
6.395% | 01/01/40 | 970 | 1,082,103 | ||||||||||||
| State of Illinois, GO, Taxable Series |
4.421% | 01/01/15 | 630 | 650,173 | ||||||||||||
| 1,732,276 | ||||||||||||||||
| New Jersey — 0.1% |
||||||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs |
7.414% | 01/01/40 | 1,000 | 1,332,450 | ||||||||||||
| New York — 0.1% |
||||||||||||||||
| New York City Transitional Finance Authority, Revenue Bonds, BABs |
5.767% | 08/01/36 | 1,100 | 1,247,697 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| MUNICIPAL BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Ohio |
||||||||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
4.910% | 06/01/40 | 415 | $ | 415,822 | |||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
4.879% | 12/01/34 | 275 | 278,930 | ||||||||||||
| 694,752 | ||||||||||||||||
| Oregon |
||||||||||||||||
| Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs |
5.834% | 11/15/34 | 425 | 489,247 | ||||||||||||
| Pennsylvania |
||||||||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs |
5.511% | 12/01/45 | 505 | 535,861 | ||||||||||||
| Tennessee |
||||||||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
6.731% | 07/01/43 | 945 | 1,047,514 | ||||||||||||
| Texas |
||||||||||||||||
| Texas State Transportation Commission, Revenue Bonds, |
5.028% | 04/01/26 | 305 | 328,064 | ||||||||||||
| TOTAL MUNICIPAL BONDS |
|
12,299,428 | ||||||||||||||
| NON-CORPORATE FOREIGN AGENCIES — 0.7% | ||||||||||||||||
| Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A |
4.875% | 01/15/24 | 490 | 486,325 | ||||||||||||
| Commonwealth Bank of Australia (Australia), |
2.700% | 11/25/14(a) | 7,220 | 7,373,208 | ||||||||||||
| Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes |
5.125% | 06/29/20 | 365 | 401,034 | ||||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), |
9.250% | 04/23/19 | 695 | 854,850 | ||||||||||||
| Kommunalbanken AS (Norway), Sr. Unsec’d Notes, 144A |
1.125% | 05/23/18 | 2,634 | 2,558,668 | ||||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
6.250% | 06/17/14 | 800 | 818,538 | ||||||||||||
| Pemex Project Funding Master Trust (Mexico), Gtd. Notes |
8.625% | 12/01/23 | 350 | 426,125 | ||||||||||||
| Petrobras Global Finance BV (Brazil), Gtd. Notes |
2.000% | 05/20/16 | 1,400 | 1,398,893 | ||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
3.500% | 01/30/23(a) | 795 | 728,419 | ||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
4.875% | 01/18/24 | 425 | 425,000 | ||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
5.500% | 01/21/21 | 2,240 | 2,408,000 | ||||||||||||
| RSHB Capital SA For OJSC Russian Agricultural Bank (Russia), Sr. Unsec’d. Notes, 144A |
6.299% | 05/15/17 | 760 | 810,350 | ||||||||||||
| TOTAL NON-CORPORATE FOREIGN AGENCIES |
|
18,689,410 | ||||||||||||||
| NON-CORPORATE SOVEREIGNS — 0.2% | ||||||||||||||||
| Brazilian Government International Bond (Brazil), Sr. Unsec’d. |
4.250% | 01/07/25 | 970 | 923,925 | ||||||||||||
| Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes |
4.000% | 02/26/24 | 1,120 | 1,079,680 | ||||||||||||
| Indonesia Government International Bond (Indonesia), |
5.875% | 03/13/20(a) | 870 | 919,590 | ||||||||||||
| Indonesia Government International Bond (Indonesia), |
6.875% | 01/17/18 | 845 | 945,133 | ||||||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes |
3.625% | 03/15/22 | 600 | 600,000 | ||||||||||||
| Mexico Government International Bond (Mexico), |
4.750% | 03/08/44(a) | 846 | 762,458 | ||||||||||||
| Panama Government International Bond (Panama), Sr. Unsec’d. |
5.200% | 01/30/20 | 475 | 517,156 | ||||||||||||
| TOTAL NON-CORPORATE SOVEREIGNS |
|
5,747,942 | ||||||||||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES — 0.2% | ||||||||||||||||
| Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 |
6.000% | 01/25/36 | 1,865 | 1,453,239 | ||||||||||||
| Banc of America Mortgage Trust, Series 2005-A, Class 2A1 |
2.945% | (b) | 02/25/35 | 407 | 403,489 | |||||||||||
| Banc of America Mortgage Trust, Series 2005-B, Class 2A1 |
2.879% | (b) | 03/25/35 | 463 | 427,313 | |||||||||||
| Chase Mortgage Finance Trust Series, Series 2007-A1, Class 1A5 |
2.740% | (b) | 02/25/37 | 994 | 985,420 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Countrywide Alternative Loan Trust, Series 2004-18CB, Class 3A1 |
5.250% | 09/25/19 | 473 | $ | 482,563 | |||||||||||
| JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 |
2.737% | (b) | 07/25/35 | 560 | 556,074 | |||||||||||
| MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 |
5.000% | 04/25/19 | 125 | 128,043 | ||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 |
1.840% | (b) | 02/25/34 | 570 | 570,304 | |||||||||||
| Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A |
5.000% | 03/25/20 | 341 | 348,054 | ||||||||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES |
|
5,354,499 | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.1% | ||||||||||||||||
| Federal Home Loan Bank |
0.375% | 08/28/15 | 375 | 375,232 | ||||||||||||
| Federal Home Loan Bank |
5.500% | 07/15/36(g) | 950 | 1,098,995 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
0.750% | 01/12/18 | 455 | 442,836 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
1.375% | 05/01/20(a) | 3,535 | 3,314,112 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
2.375% | 01/13/22(a) | 6,555 | 6,266,351 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
2.384% | (b) | 06/01/36 | 366 | 386,849 | |||||||||||
| Federal Home Loan Mortgage Corp. |
2.572% | (b) | 12/01/35 | 363 | 388,083 | |||||||||||
| Federal Home Loan Mortgage Corp. |
3.000% | 10/01/42 | 1,485 | 1,408,305 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | TBA | 1,000 | 1,042,500 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | TBA | 5,000 | 4,960,938 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | TBA | 4,500 | 4,621,289 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 5,703 | 5,962,929 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 02/01/19-10/01/41 | 14,455 | 15,325,582 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/18-05/01/39 | 5,388 | 5,785,896 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 12/01/33-07/01/38 | 4,669 | 5,102,030 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 03/01/32-08/01/39 | 1,750 | 1,951,432 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 12/01/14-09/01/16 | 15 | 15,304 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 05/01/31-10/01/31 | 380 | 425,432 | ||||||||||||
| Federal National Mortgage Assoc. |
1.625% | 11/27/18(a) | 4,205 | 4,169,922 | ||||||||||||
| Federal National Mortgage Assoc. |
2.014% | (b) | 07/01/33 | 480 | 505,391 | |||||||||||
| Federal National Mortgage Assoc. |
2.058% | (b) | 06/01/37 | 75 | 78,820 | |||||||||||
| Federal National Mortgage Assoc. |
2.166% | (b) | 07/01/37 | 586 | 619,472 | |||||||||||
| Federal National Mortgage Assoc. |
2.500% | TBA | 4,500 | 4,453,594 | ||||||||||||
| Federal National Mortgage Assoc. |
2.500% | 01/01/28 | 1,959 | 1,941,202 | ||||||||||||
| Federal National Mortgage Assoc. |
3.000% | TBA | 2,500 | 2,551,270 | ||||||||||||
| Federal National Mortgage Assoc. |
3.000% | TBA | 12,500 | 11,866,211 | ||||||||||||
| Federal National Mortgage Assoc. |
3.500% | TBA | 5,000 | 5,228,711 | ||||||||||||
| Federal National Mortgage Assoc. |
3.500% | 06/01/39-03/01/43 | 21,152 | 21,036,893 | ||||||||||||
| Federal National Mortgage Assoc. |
4.000% | TBA | 10,000 | 10,293,750 | ||||||||||||
| Federal National Mortgage Assoc. |
4.500% | TBA | 4,000 | 4,238,281 | ||||||||||||
| Federal National Mortgage Assoc. |
4.500% | 11/01/18-03/01/41 | 10,609 | 11,279,007 | ||||||||||||
| Federal National Mortgage Assoc. |
5.000% | TBA | 2,000 | 2,165,781 | ||||||||||||
| Federal National Mortgage Assoc. |
5.000% | 10/01/18-05/01/36 | 3,715 | 4,029,113 | ||||||||||||
| Federal National Mortgage Assoc. |
5.500% | 03/01/16-04/01/37 | 6,798 | 7,462,786 | ||||||||||||
| Federal National Mortgage Assoc. |
6.000% | 05/01/14-06/01/38 | 7,542 | 8,422,001 | ||||||||||||
| Federal National Mortgage Assoc. |
6.500% | 07/01/17-01/01/37 | 2,769 | 3,081,365 | ||||||||||||
| Federal National Mortgage Assoc. |
7.000% | 02/01/32-07/01/32 | 292 | 329,939 | ||||||||||||
| Federal National Mortgage Assoc. |
7.500% | 05/01/32 | 61 | 69,215 | ||||||||||||
| Government National Mortgage Assoc. |
3.000% | TBA | 2,000 | 1,931,406 | ||||||||||||
| Government National Mortgage Assoc. |
3.000% | TBA | 2,000 | 1,932,344 | ||||||||||||
| Government National Mortgage Assoc. |
3.500% | TBA | 8,000 | 8,062,813 | ||||||||||||
| Government National Mortgage Assoc. |
4.000% | TBA | 12,000 | 12,476,719 | ||||||||||||
| Government National Mortgage Assoc. |
4.000% | 06/15/40-05/20/41 | 1,743 | 1,813,590 | ||||||||||||
| Government National Mortgage Assoc. |
4.500% | TBA | 1,000 | 1,066,953 | ||||||||||||
| Government National Mortgage Assoc. |
4.500% | 01/20/41-02/20/41 | 4,972 | 5,337,383 | ||||||||||||
| Government National Mortgage Assoc. |
5.500% | 08/15/33-04/15/36 | 3,172 | 3,541,776 | ||||||||||||
| Government National Mortgage Assoc. |
6.000% | 11/15/23-07/15/34 | 1,087 | 1,229,474 | ||||||||||||
| Government National Mortgage Assoc. |
6.500% | 10/15/23-09/15/36 | 2,136 | 2,417,545 | ||||||||||||
| Government National Mortgage Assoc. |
8.000% | 01/15/24-07/15/24 | 41 | 46,391 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Tennessee Valley Authority, Sr. Unsecured Notes |
5.880% | 04/01/36 | 85 | $ | 98,466 | |||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
202,651,679 | ||||||||||||||
| U.S. TREASURY OBLIGATIONS — 3.0% | ||||||||||||||||
| U.S. Treasury Bonds |
3.625% | 08/15/43(a) | 1,625 | 1,534,609 | ||||||||||||
| U.S. Treasury Bonds |
3.750% | 11/15/43(h) | 5,765 | 5,572,230 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
0.125% | 04/15/18 | 3,673 | 3,746,011 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
0.375% | 07/15/23 | 2,424 | 2,337,632 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
0.625% | 02/15/43 | 711 | 546,792 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
1.375% | 01/15/20 | 9,316 | 10,003,541 | ||||||||||||
| U.S. Treasury Notes |
0.625% | 04/30/18 | 1,430 | 1,379,056 | ||||||||||||
| U.S. Treasury Notes |
0.875% | 07/31/19 | 4,980 | 4,689,372 | ||||||||||||
| U.S. Treasury Notes |
1.250% | 11/30/18(a) | 11,705 | 11,454,443 | ||||||||||||
| U.S. Treasury Notes |
1.500% | 12/31/18 | 10,760 | 10,638,950 | ||||||||||||
| U.S. Treasury Notes |
2.375% | 12/31/20 | 19,985 | 19,906,939 | ||||||||||||
| U.S. Treasury Notes |
2.750% | 11/15/23(a) | 20 | 19,566 | ||||||||||||
| U.S. Treasury Strips Principal |
7.187% | (f) | 05/15/43(a) | 7,040 | 2,067,219 | |||||||||||
| U.S. Treasury Strips Principal |
7.928% | (f) | 02/15/43 | 730 | 216,554 | |||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
|
74,112,914 | ||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
2,121,959,310 | ||||||||||||||
| SHORT-TERM INVESTMENTS — 21.8% | ||||||||||||||||
| U.S. TREASURY OBLIGATION — 0.1% |
||||||||||||||||
| U.S. Treasury Bills |
0.060% | (k) | 03/20/14(g) | 3,700 | 3,699,526 | |||||||||||
| Shares |
||||||||||||||||
| AFFILIATED MUTUAL FUNDS — 21.7% |
||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
10,287,849 | 95,779,870 | ||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
446,488,086 | 446,488,086 | ||||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
542,267,956 | ||||||||||||||
| Counterparty |
Notional Amount (000)# |
|||||||||||||||
| OPTIONS PURCHASED* |
||||||||||||||||
| Call Options |
||||||||||||||||
| Interest Rate Swap Options, |
|
|||||||||||||||
| Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 |
|
Barclays Capital Group | 22,670 | 229 | ||||||||||||
| Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 |
|
Citibank Global Markets | 27,775 | 280 | ||||||||||||
| Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 |
|
Citibank Global Markets | 27,775 | 280 | ||||||||||||
| TOTAL OPTIONS PURCHASED |
|
789 | ||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
545,968,271 | ||||||||||||||
| TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 106.5% |
|
2,667,927,581 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| SECURITY SOLD SHORT — (0.1)% | ||||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATION |
||||||||||||||||
| Federal National Mortgage Assoc. |
3.500% | 01/15/42 | 3,500 | $ | (3,476,758 | ) | ||||||||||
| TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 106.4% |
|
2,664,450,823 | ||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (6.4)% |
|
(160,052,513 | ) | |||||||||||||
| NET ASSETS — 100.0% |
|
$ | 2,504,398,310 | |||||||||||||
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. | |
| ABS | Asset-Backed Security | |
| BABs | Build America Bonds | |
| CDO | Collateralized Debt Obligation | |
| CDX | Credit Derivative Index | |
| CLO | Collateralized Loan Obligation | |
| EAFE | Europe, Australasia and Far East | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| GO | General Obligation | |
| I/O | Interest Only | |
| LIBOR | London Interbank Offered Rate | |
| MTN | Medium Term Note | |
| MSCI | Morgan Stanley Capital International | |
| PRFC | Preference Shares | |
| REIT | Real Estate Investment Trust | |
| SDR | Swedish Depositary Receipt | |
| TBA | To Be Announced | |
| TIPS | Treasury Inflation Protected Securities |
| * | Non-income producing security. |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $89,513,399; cash collateral of $91,648,093 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (c) | Indicates a security or securities that have been deemed illiquid. |
| (d) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. Such securities may be post maturity. |
| (e) | Indicates a restricted security; the aggregate original cost of the restricted securities is $3,962,968. The aggregate value of $4,232,200, is approximately 0.2% of net assets. |
| (f) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (i) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (j) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (k) | Rate quoted represents yield-to-maturity as of purchase date. |
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| (l) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2013:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 132 | 90 Day Euro Dollar | Sept. 2016 | $ | 32,420,825 | $ | 32,321,850 | $ | (98,975 | ) | |||||||||
| 839 | 5 Year U.S. Treasury Notes | Mar. 2014 | 100,801,381 | 100,103,188 | (698,193 | ) | ||||||||||||
| 167 | 10 Year U.S. Treasury Notes | Mar. 2014 | 20,733,733 | 20,548,828 | (184,905 | ) | ||||||||||||
| 297 | S&P 500 E-mini Futures | Mar. 2014 | 26,413,014 | 27,340,335 | 927,321 | |||||||||||||
| 96 | S&P 500 Index Futures | Mar. 2014 | 42,507,812 | 44,186,400 | 1,678,588 | |||||||||||||
| 1,623,836 | ||||||||||||||||||
| Short Positions: | ||||||||||||||||||
| 132 | 90 Day Euro Dollar | Sept. 2015 | 32,727,720 | 32,712,900 | 14,820 | |||||||||||||
| 151 | U.S. Long Bond | Mar. 2014 | 19,633,487 | 19,375,188 | 258,299 | |||||||||||||
| 56 | U.S. Ultra Bond | Mar. 2014 | 7,723,137 | 7,630,000 | 93,137 | |||||||||||||
| 366,256 | ||||||||||||||||||
| $ | 1,990,092 | |||||||||||||||||
Interest rate swap agreements outstanding at December 31, 2013:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||||
| 1,900 | 09/14/16 | 1.206% | 3 month LIBOR(2) |
$ | (30,560 | ) | $ | — | $ | (30,560 | ) | Deutsche Bank | ||||||||||||||
| 11,150 | 02/28/17 | 0.680% | 3 month LIBOR(1) |
(69,174 | ) | — | (69,174 | ) | Citigroup Global Markets | |||||||||||||||||
| 6,325 | 08/31/17 | 0.751% | 3 Month LIBOR(2) |
83,959 | — | 83,959 | Bank of Nova Scotia | |||||||||||||||||||
| 2,634 | 05/17/18 | 0.989% | 3 month LIBOR(2) |
56,942 | — | 56,942 | Credit Suisse First Boston Corp. | |||||||||||||||||||
| $ | 41,167 | $ | — | $ | 41,167 | |||||||||||||||||||||
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
Exchange-traded swap agreements: |
|
||||||||||||||||||||||
| 8,655 | 02/28/18 | 1.649% | 3 month LIBOR(2) |
$ | 189 | $ | (79,330 | ) | $ | (79,519 | ) | |||||||||||||
| 4,205 | 11/27/18 | 1.592% | 3 month LIBOR(2) |
169 | 32,061 | 31,892 | ||||||||||||||||||
| 6,400 | 08/31/20 | 2.085% | 3 month LIBOR(2) |
188 | 118,335 | 118,147 | ||||||||||||||||||
| 7,625 | 08/31/20 | 2.219% | 3 month LIBOR(2) |
196 | 76,034 | 75,838 | ||||||||||||||||||
| 5,965 | 08/31/20 | 2.220% | 3 month LIBOR(2) |
186 | 59,115 | 58,929 | ||||||||||||||||||
| 1,385 | 08/31/20 | 2.490% | 3 month LIBOR(2) |
158 | (10,099 | ) | (10,257 | ) | ||||||||||||||||
| 1,360 | 01/22/22 | 2.785% | 3 month LIBOR(2) |
158 | (4,606 | ) | (4,764 | ) | ||||||||||||||||
| 2,155 | 01/31/22 | 2.505% | 3 month LIBOR(2) |
163 | 38,560 | 38,397 | ||||||||||||||||||
| 15,350 | 08/05/23 | 0.238% | 3 month LIBOR(1) |
— | (213,315 | ) | (213,315 | ) | ||||||||||||||||
| 6,140 | 08/06/23 | 4.210% | 3 month LIBOR(1) |
— | (82,802 | ) | (82,802 | ) | ||||||||||||||||
| 5,905 | 10/28/23 | 4.220% | 3 month LIBOR(1) |
177 | (138,782 | ) | (138,959 | ) | ||||||||||||||||
| $ | 1,584 | $ | (204,829 | ) | $ | (206,413 | ) | |||||||||||||||||
| (1) | Portfolio pays the floating rate and receives the fixed rate. |
| (2) | Portfolio pays the fixed rate and receives the floating rate. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
SEE NOTES TO FINANCIAL STATEMENTS.
A25
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Credit default swap agreements outstanding at December 31, 2013:
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| Exchange-Traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
| CDX.NA.IG.21.V1 |
12/20/18 | 1.000% | $ | 46,250 | $ | (467,199 | ) | $ | (827,490 | ) | $ | (360,291 | ) | |||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on corporate issues—Buy Protection(1): | ||||||||||||||||||||||||||
| Bunge Ltd. Finance Corp. |
06/20/14 | 0.650% | 1,110 | $ | (2,905 | ) | $ | — | $ | (2,905 | ) | JPMorgan Chase | ||||||||||||||
| Newell Rubbermaid, Inc. |
06/20/18 | 1.000% | 1,600 | (41,402 | ) | — | (41,402 | ) | Morgan Stanley | |||||||||||||||||
| Simon Property Group LP |
06/20/18 | 0.970% | 2,700 | (62,630 | ) | — | (62,630 | ) | Morgan Stanley | |||||||||||||||||
| $ | (106,937 | ) | $ | — | $ | (106,937 | ) | |||||||||||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Fair Value(4) |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 1,200 | $ | 112,179 | $ | 50,007 | $ | 62,172 | Credit Suisse First Boston Corp. | ||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 3,120 | 291,665 | 133,918 | 157,747 | Deutsche Bank | |||||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 4,320 | 403,844 | 189,300 | 214,544 | Deutsche Bank | |||||||||||||||||||
| $ | 807,688 | $ | 373,225 | $ | 434,463 | |||||||||||||||||||||
The Portfolio entered into credit default swaps as the protection seller on credit indices to take an active short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness.
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index of (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The fair value of credit default swap agreements on credit indices 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 entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3— | significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The following is a summary of the inputs used as of December 31, 2013 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 1,285,156,020 | $ | 167,629,974 | $ | — | ||||||
| Exchange Traded Fund |
2,625,399 | — | — | |||||||||
| Preferred Stocks |
545,000 | 1,066,386 | — | |||||||||
| Asset-Backed Securities |
||||||||||||
| Collateralized Debt Obligations |
— | 413,522 | — | |||||||||
| Collateralized Loan Obligations |
— | 27,423,065 | — | |||||||||
| Non-Residential Mortgage-Backed Securities |
— | 10,477,462 | — | |||||||||
| Residential Mortgage-Backed Securities |
— | 8,744,415 | — | |||||||||
| Bank Loans |
— | 8,503,541 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 86,960,809 | — | |||||||||
| Corporate Bonds |
— | 199,583,641 | 3,974,204 | |||||||||
| Municipal Bonds |
— | 12,299,428 | — | |||||||||
| Non-Corporate Foreign Agencies |
— | 18,689,410 | — | |||||||||
| Non-Corporate Sovereigns |
— | 5,747,942 | — | |||||||||
| Residential Mortgage-Backed Securities |
— | 5,354,499 | — | |||||||||
| U.S. Government Agency Obligations |
— | 202,651,679 | — | |||||||||
| U.S. Treasury Obligations |
— | 77,812,440 | — | |||||||||
| Affiliated Mutual Funds |
542,267,956 | — | — | |||||||||
| Options Purchased |
— | 789 | — | |||||||||
| U.S. Government Agency Obligation Security Sold Short |
— | (3,476,758 | ) | — | ||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
1,990,092 | — | — | |||||||||
| Interest Rate Swaps Agreements |
(206,413 | ) | 41,167 | — | ||||||||
| Credit Default Swap Agreements |
(360,291 | ) | 327,526 | — | ||||||||
| Total |
$ | 1,832,017,763 | $ | 830,250,937 | $ | 3,974,204 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of the instrument. |
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2013 as presented in the Statement of Assets and Liabilities:
| Derivatives not designated as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Credit contracts |
Premiums paid for swap agreements | $ | 373,225 | — | $ | — | ||||||
| Credit contracts |
Unrealized appreciation on over-the-counter swap agreements | 434,463 | Unrealized depreciation on over-the-counter swap agreements | 106,937 | ||||||||
| Credit contracts |
— | — | Due from broker — variation margin | 360,291 | * | |||||||
| Equity contracts |
Due from broker — variation margin | 2,605,909 | * | — | — | |||||||
| Interest rate contracts |
Unaffiliated investments | 789 | — | — | ||||||||
| Interest rate contracts |
Unrealized appreciation on over-the-counter swap agreements | 140,901 | Unrealized depreciation on over-the-counter swap agreements | 99,734 | ||||||||
| Interest rate contracts |
Due from broker — variation margin | 689,459 | * | Due from broker — variation margin | 1,511,689 | * | ||||||
| Total |
$ | 4,244,746 | $ | 2,078,651 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap contracts cleared through an exchange. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||
| Derivatives not designated as hedging |
Rights* |
Options Purchased* |
Options Written |
Futures |
Swaps |
Total |
||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | (280,315 | ) | $ | (280,315 | ) | ||||||||||
| Equity contracts |
8,191 | — | — | 11,121,860 | — | 11,130,051 | ||||||||||||||||||
| Interest rate contracts |
— | (212,653 | ) | 18,490 | (1,412,757 | ) | 544,224 | (1,062,696 | ) | |||||||||||||||
| Total |
$ | 8,191 | $ | (212,653 | ) | $ | 18,490 | $ | 9,709,103 | $ | 263,909 | $ | 9,787,040 | |||||||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Rights** |
Options Purchased** |
Futures |
Swaps |
Total |
|||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | (29,662 | ) | $ | (29,662 | ) | ||||||||
| Equity contracts |
(690 | ) | — | 2,955,956 | — | 2,955,266 | ||||||||||||||
| Interest rate contracts |
— | (82,037 | ) | (930,865 | ) | 389,775 | (623,127 | ) | ||||||||||||
| Total |
$ | (690 | ) | $ | (82,037 | ) | $ | 2,025,091 | $ | 360,113 | $ | 2,302,477 | ||||||||
| ** | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| Options Purchased |
Options Written |
Futures |
Futures | |||
| $104,487 | $10,250 | $169,940,310 | $32,994,674 |
| Interest Rate
Swaps |
Credit Default |
Credit Default | ||
| $111,858 | $43,738 | $6,912 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| Description |
Gross Amounts Recognized |
Gross Amounts not subject to netting |
Gross Amounts Offset in the Statement of Financial Position |
Net Amounts Presented in the Statement of Financial Position |
||||||||||||
| Assets: |
||||||||||||||||
| Securities on loan |
$ | 89,513,399 | $ | — | $ | — | $ | 89,513,399 | ||||||||
| Exchange-traded and cleared derivatives |
237,238 | — | — | 237,238 | ||||||||||||
| Over-the-counter derivatives* |
576,153 | (789 | ) | — | 575,364 | |||||||||||
| 90,326,001 | ||||||||||||||||
| Liabilities: |
||||||||||||||||
| Securities sold short |
(3,476,758 | ) | 3,476,758 | — | — | |||||||||||
| Exchange-traded and cleared derivatives |
— | — | — | — | ||||||||||||
| Over-the-counter derivatives* |
(206,671 | ) | — | — | (206,671 | ) | ||||||||||
| (206,671 | ) | |||||||||||||||
| Collateral Amounts Pledged/(Received): |
||||||||||||||||
| Securities on loan |
(89,513,399 | ) | ||||||||||||||
| Exchange-traded and cleared derivatives |
— | |||||||||||||||
| Over-the-counter derivatives |
(341,731 | ) | ||||||||||||||
| Net Amount |
$ | 264,200 | ||||||||||||||
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2013 |
2012 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 44,219,234 | $ | 48,100,637 | ||||
| Net realized gain on investment and foreign currency transactions |
99,020,902 | 40,776,625 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
214,601,177 | 152,480,681 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
357,841,313 | 241,357,943 | ||||||
| DISTRIBUTIONS | — | (47,221,872 | ) | |||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [937,002 and 580,731 shares, respectively] |
18,092,234 | 10,042,436 | ||||||
| Series shares issued in reinvestment of distributions [0 and 2,817,534 shares, respectively] |
— | 47,221,872 | ||||||
| Series shares repurchased [8,251,336 and 8,997,150 shares, respectively] |
(158,563,701 | ) | (155,986,711 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(140,471,467 | ) | (98,722,403 | ) | ||||
| TOTAL INCREASE IN NET ASSETS | 217,369,846 | 95,413,668 | ||||||
| NET ASSETS: | ||||||||
| Beginning of year |
2,287,028,464 | 2,191,614,796 | ||||||
| End of year |
$ | 2,504,398,310 | $ | 2,287,028,464 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A30
| DIVERSIFIED BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| LONG-TERM INVESTMENTS — 89.5% ASSET-BACKED SECURITIES — 11.6% |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||||
| Collateralized Debt Obligations |
||||||||||||||||||||
| Eaton Vance CDO IX Ltd. (Cayman Islands), Series 2007-9A, Class A1A, 144A |
0.452% | (a) | 04/20/19(b) | 444 | $ | 442,479 | ||||||||||||||
| Collateralized Loan Obligations — 4.5% |
||||||||||||||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A |
1.422% | (a) | 04/20/25 | 3,300 | 3,244,532 | |||||||||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A |
3.360% | 04/20/25 | 500 | 490,299 | ||||||||||||||||
| Battalion CLO Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A |
1.689% | (a) | 10/22/25 | 1,300 | 1,283,741 | |||||||||||||||
| Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A |
1.472% | (a) | 07/15/24 | 900 | 880,893 | |||||||||||||||
| Black Diamond CLO Delaware Corp. (Cayman Islands), Series 2005-1A, Class A1, 144A |
0.515% | (a) | 06/20/17 | 1,618 | 1,609,928 | |||||||||||||||
| Blue Hill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A |
1.767% | (a) | 01/15/26 | 700 | 697,262 | |||||||||||||||
| Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.394% | (a) | 04/17/25 | 2,600 | 2,541,105 | |||||||||||||||
| Carlyle Daytona CLO Ltd. (Cayman Islands), Series 2007-1A, Class A1L, 144A |
0.488% | (a) | 04/27/21 | 416 | 408,823 | |||||||||||||||
| Flagship CLO (Cayman Islands), Series 2013-7A, Class A1, 144A |
1.714% | (a) | 01/20/26 | 2,500 | 2,490,000 | |||||||||||||||
| Flatiron CLO Ltd., Series 2013-1A, Class A1, 144A |
1.641% | (a) | 01/17/26 | 3,750 | 3,720,076 | |||||||||||||||
| Four Corners CLO Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A |
0.491% | (a) | 07/22/20 | 987 | 975,689 | |||||||||||||||
| Fraser Sullivan CLO Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A |
0.713% | (a) | 03/15/20 | 1,500 | 1,458,469 | |||||||||||||||
| ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.384% | (a) | 04/15/24 | 4,200 | 4,121,715 | |||||||||||||||
| LCM CLO LP (Cayman Islands), Series 2005-3A, Class A, 144A |
0.499% | (a) | 06/01/17 | 150 | 149,416 | |||||||||||||||
| LightPoint CLO Ltd., Series 2005-3A, Class A1A, 144A |
0.503% | (a) | 09/15/17 | 1,302 | 1,289,429 | |||||||||||||||
| Mountain Capital CLO IV Ltd. (Cayman Islands), Series 2005-4A, Class A1L, 144A |
0.493% | (a) | 03/15/18 | 433 | 431,129 | |||||||||||||||
| North Westerly CLO BV (Netherlands), Series II-A, Class A, 144A |
0.721% | 09/14/19 | EUR | 2,671 | 3,616,071 | |||||||||||||||
| OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A |
1.718% | (a) | 11/22/23 | 2,800 | 2,792,807 | |||||||||||||||
| OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class B, 144A |
2.438% | (a) | 11/22/23 | 2,700 | 2,650,304 | |||||||||||||||
| OCP CLO Ltd. (Cayman Islands), Series 2013-4A, Class A2, 144A |
2.052% | (a) | 10/24/25 | 2,200 | 2,164,078 | |||||||||||||||
| OHA Intrepid Leveraged Loan Fund CLO Ltd. (Cayman Islands), Series 2011-1AR, Class AR, 144A |
1.162% | (a) | 04/20/21 | 4,128 | 4,098,899 | |||||||||||||||
| Shackleton CLO Ltd. (Cayman Islands), Series 2013-3A, Class B2, 144A |
3.440% | 04/15/25 | 700 | 689,749 | ||||||||||||||||
| Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.294% | (a) | 04/15/25 | 7,300 | 7,135,003 | |||||||||||||||
| Trimaran CLO VI Ltd. (Cayman Islands), Series 2006-2A, Class A1L, 144A |
0.492% | (a) | 11/01/18 | 1,414 | 1,398,983 | |||||||||||||||
| Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.393% | (a) | 07/15/25 | 300 | 293,939 | |||||||||||||||
| Wind River CLO Ltd. (Cayman Islands), Series 2013-2A, Class A1, 144A |
1.694% | (a) | 01/18/26 | 3,300 | 3,281,766 | |||||||||||||||
| 53,914,105 | ||||||||||||||||||||
| Non-Residential Mortgage-Backed Securities — 1.6% |
||||||||||||||||||||
| Bank One Issuance Trust, Series 2004-C2, Class C2 |
0.967% | (a) | 02/15/17 | 2,100 | 2,102,119 | |||||||||||||||
| Citibank Credit Card Issuance Trust, Series 2005-C2, Class C2 |
0.634% | (a) | 03/24/17 | 2,320 | 2,315,692 | |||||||||||||||
| GE Business Loan Trust, Series 2006-1A, Class D, 144A |
1.167% | (a) | 05/15/34 | 184 | 131,229 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| ASSET-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Non-Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||
| Marriott Vacation Club Owner Trust, Series 2010-1A, Class A, 144A |
3.540% | 10/20/32 | 2,967 | $ | 3,062,447 | |||||||||||||
| MBNA Credit Card Master Note Trust, Series 2004-C2, Class C2 |
1.067% | (a) | 11/15/16 | 9,800 | 9,821,511 | |||||||||||||
| SVO VOI Mortgage Corp., Series 2012-AA, Class A, 144A |
2.000% | 09/20/29 | 1,765 | 1,760,192 | ||||||||||||||
| 19,193,190 | ||||||||||||||||||
| Residential Mortgage-Backed Securities — 5.5% |
||||||||||||||||||
| ABFC Trust, Series 2004-OPT1, Class M1 |
1.215% | (a) | 08/25/33 | 1,600 | 1,499,967 | |||||||||||||
| ACE Securities Corp. Home Equity Loan Trust, Series 2004-FM1, Class M1 |
1.065% | (a) | 09/25/33 | 1,521 | 1,411,670 | |||||||||||||
| Alternative Loan Trust, Series 2004-18CB, Class 3A1 |
5.250% | 09/25/19 | 585 | 596,855 | ||||||||||||||
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M1 |
1.125% | (a) | 09/25/34 | 950 | 915,689 | |||||||||||||
| Argent Securities, Inc., Series 2003-W2, Class M4 |
5.790% | (a) | 09/25/33 | 2,400 | 2,231,467 | |||||||||||||
| Argent Securities, Inc., Series 2004-W10, Class A2 |
0.945% | (a) | 10/25/34 | 1,802 | 1,711,689 | |||||||||||||
| Argent Securities, Inc., Series 2004-W6, Class M1 |
0.715% | (a) | 05/25/34 | 2,159 | 2,106,663 | |||||||||||||
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2003-HE3, Class M1 |
1.412% | (a) | 06/15/33 | 1,368 | 1,291,041 | |||||||||||||
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE1, Class M1 |
1.217% | (a) | 01/15/34 | 235 | 225,485 | |||||||||||||
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE5, Class M1 |
1.065% | (a) | 08/25/34 | 2,081 | 1,996,694 | |||||||||||||
| Bear Stearns Asset-Backed Securities Trust, Series 2004-HE2, Class M1 |
1.066% | (a) | 03/25/34 | 4,784 | 4,453,453 | |||||||||||||
| Bear Stearns Asset-Backed Securities Trust, Series 2004-HE3, Class M2 |
1.890% | (a) | 04/25/34 | 1,935 | 1,698,509 | |||||||||||||
| CDC Mortgage Capital Trust, Series 2002-HE3, Class M2 |
3.541% | (a) | 03/25/33 | 224 | 23,527 | |||||||||||||
| Centex Home Equity Loan Trust, Series 2004-B, Class AF6 |
4.686% | 03/25/34 | 1,216 | 1,217,123 | ||||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., |
2.416% | (a) | 08/25/32 | 78 | 66,890 | |||||||||||||
| Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 |
5.121% | 07/25/34 | 641 | 608,676 | ||||||||||||||
| FBR Securitization Trust, Series 2005-2, Class M1 |
0.886% | (a) | 09/25/35 | 3,600 | 3,382,085 | |||||||||||||
| Floating Rate Mortgage Pass-Through Certificates, Series 2001-2, Class M3 |
3.090% | (a) | 10/25/31 | 492 | 386,874 | |||||||||||||
| Fremont Home Loan Trust, Series 2003-B, Class M1 |
1.215% | (a) | 12/25/33 | 243 | 228,651 | |||||||||||||
| GSAMP Trust, Series 2004-FM1, Class M1 |
1.140% | (a) | 11/25/33 | 2,391 | 2,319,012 | |||||||||||||
| HSBC Home Equity Loan Trust, Series 2006-1, Class M1 |
0.447% | (a) | 01/20/36 | 583 | 558,814 | |||||||||||||
| HSBC Home Equity Loan Trust, Series 2006-2, Class A1 |
0.317% | (a) | 03/20/36 | 156 | 152,041 | |||||||||||||
| HSBC Home Equity Loan Trust, Series 2006-2, Class A2 |
0.347% | (a) | 03/20/36 | 189 | 184,244 | |||||||||||||
| Long Beach Mortgage Loan Trust, Series 2004-1, Class M1 |
0.915% | (a) | 02/25/34 | 4,250 | 3,957,753 | |||||||||||||
| MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 |
5.000% | 04/25/19 | 125 | 128,042 | ||||||||||||||
| MASTR Asset-Backed Securities Trust, Series 2004-WMC1, Class M1 |
0.945% | (a) | 02/25/34 | 2,381 | 2,349,087 | |||||||||||||
| Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class M1 |
0.965% | (a) | 08/25/35 | 776 | 686,896 | |||||||||||||
| Merrill Lynch Mortgage Investors Trust, Series 2004-OPT1, Class A1A |
0.686% | (a) | 06/25/35 | 2,154 | 2,019,000 | |||||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 |
1.365% | (a) | 05/25/33 | 1,412 | 1,314,802 | |||||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE3, Class M1 |
1.185% | (a) | 10/25/33 | 1,090 | 1,006,222 | |||||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 |
1.215% | (a) | 12/25/33 | 869 | 835,059 | |||||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-OP1, Class M1 |
1.035% | (a) | 11/25/34 | 3,688 | 3,257,144 | |||||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC1, Class M1 |
1.095% | (a) | 06/25/34 | 2,415 | 2,243,820 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| ASSET-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-WMC2, Class M1 |
1.080% | (a) | 07/25/34 | 1,908 | $ | 1,808,872 | ||||||||||||||
| New Century Home Equity Loan Trust, Series 2003-4, Class M1 |
1.290% | (a) | 10/25/33 | 3,219 | 3,104,922 | |||||||||||||||
| New Century Home Equity Loan Trust, Series 2004-4, Class M1 |
0.930% | (a) | 02/25/35 | 3,048 | 2,716,185 | |||||||||||||||
| Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2 |
1.365% | (a) | 12/25/34 | 477 | 468,480 | |||||||||||||||
| Residential Asset Securities Corp., Series 2004-KS1, Class AI5 |
5.221% | 02/25/34 | 1,000 | 1,058,562 | ||||||||||||||||
| Saxon Asset Securities Trust, Series 2002-3, Class M1 |
1.290% | (a) | 12/25/32 | 199 | 181,427 | |||||||||||||||
| Securitized Asset-Backed Receivables LLC Trust, Series 2004-NC1, Class M1 |
0.945% | (a) | 02/25/34 | 3,601 | 3,220,716 | |||||||||||||||
| Specialty Underwriting & Residential Finance Trust, Series 2004-BC1, Class M1 |
0.930% | (a) | 02/25/35 | 76 | 71,913 | |||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 |
2.906% | (a) | 02/25/34 | 1,596 | 1,596,851 | |||||||||||||||
| Structured Asset Investment Loan Trust, Series 2004-2, Class A4 |
0.870% | (a) | 03/25/34 | 2,297 | 2,153,416 | |||||||||||||||
| Structured Asset Investment Loan Trust, Series 2004-7, Class A8 |
1.365% | (a) | 08/25/34 | 1,400 | 1,258,698 | |||||||||||||||
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-HF2, Class M3 |
3.165% | (a) | 07/25/32 | 996 | 924,644 | |||||||||||||||
| Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A |
5.000% | 03/25/20 | 524 | 533,946 | ||||||||||||||||
| 66,163,576 | ||||||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
139,713,350 | ||||||||||||||||||
| BANK LOANS(a) — 3.1% | ||||||||||||||||||||
| Automotive — 0.1% |
||||||||||||||||||||
| Chrysler Group LLC |
3.750% | 05/24/17 | 1,356 | 1,361,760 | ||||||||||||||||
| Banking — 0.2% |
||||||||||||||||||||
| AA Group (United Kingdom) |
3.264% | 07/31/18 | GBP | 1,212 | 1,993,684 | |||||||||||||||
| Cable |
||||||||||||||||||||
| Cequel Communication LLC |
3.500% | 02/14/19 | 295 | 295,951 | ||||||||||||||||
| Capital Goods — 0.1% |
||||||||||||||||||||
| Gardner Denver, Inc. |
4.750% | 07/30/20(b)(c) | EUR | 1,047 | 1,447,483 | |||||||||||||||
| Chemicals — 0.1% |
||||||||||||||||||||
| Ceramtec GmbH (Germany) |
4.750% | 08/30/20 | EUR | 690 | 960,841 | |||||||||||||||
| Ceramtec GmbH (Germany) |
4.750% | 08/30/20 | EUR | 210 | 292,254 | |||||||||||||||
| 1,253,095 | ||||||||||||||||||||
| Electric — 0.1% |
||||||||||||||||||||
| Calpine Corp. |
4.000% | 04/01/18 | 821 | 825,261 | ||||||||||||||||
| Financials — 0.2% |
||||||||||||||||||||
| Scandlines GmbH (Germany) |
4.691% | 12/03/20 | EUR | 2,000 | 2,785,803 | |||||||||||||||
| Gaming — 0.2% |
||||||||||||||||||||
| CCM Merger, Inc. |
5.000% | 03/01/17 | 2,469 | 2,490,321 | ||||||||||||||||
| Healthcare & Pharmaceutical — 0.7% |
||||||||||||||||||||
| Alere, Inc. |
3.198% | 06/30/16 | 468 | 466,329 | ||||||||||||||||
| DaVita, Inc. |
4.000% | 11/01/19 | 1,036 | 1,041,235 | ||||||||||||||||
| HCA, Inc. |
2.919% | 03/31/17 | 1,105 | 1,105,305 | ||||||||||||||||
| HCA, Inc. |
2.997% | 05/01/18 | 461 | 460,728 | ||||||||||||||||
| Quintiles Transnational Corp. |
4.000% | 06/08/18 | 1,473 | 1,471,390 | ||||||||||||||||
| RPI Finance Trust (Luxembourg) |
3.250% | 09/05/18 | 3,861 | 3,864,383 | ||||||||||||||||
| 8,409,370 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| BANK LOANS(a) (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||||
| Media & Entertainment — 0.4% |
||||||||||||||||||||
| ProSiebenSat 1 Media AG (Germany) |
2.970% | 07/03/18 | EUR | 2,805 | $ | 3,859,791 | ||||||||||||||
| Non-Captive Finance — 0.1% |
||||||||||||||||||||
| RBS WorldPay, Inc. (United Kingdom) |
5.750% | 11/29/19 | GBP | 900 | 1,498,878 | |||||||||||||||
| Retailers — 0.3% |
||||||||||||||||||||
| Alliance Boots Holdings Ltd. (United Kingdom) |
3.970% | 07/09/17 | GBP | 2,000 | 3,303,636 | |||||||||||||||
| Technology — 0.4% |
||||||||||||||||||||
| First Data Corp. |
4.164% | 03/24/17 | 183 | 183,123 | ||||||||||||||||
| First Data Corp. |
4.164% | 03/26/18 | 2,411 | 2,411,793 | ||||||||||||||||
| Freescale Semiconductor, Inc. |
5.000% | 02/28/20 | 1,737 | 1,754,244 | ||||||||||||||||
| Sensata Technologies BV, Inc. (Netherlands) |
3.250% | 12/05/19 | 437 | 439,347 | ||||||||||||||||
| 4,788,507 | ||||||||||||||||||||
| Transportation — 0.2% |
||||||||||||||||||||
| RAC PLC |
5.344% | 10/29/19(b)(c) | GBP | 1,500 | 2,505,672 | |||||||||||||||
| TOTAL BANK LOANS |
|
36,819,212 | ||||||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 13.3% | ||||||||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-3, Class A4 |
5.889% | (a) | 07/10/44 | 1,591 | 1,730,866 | |||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-5, Class A2 |
5.317% | 09/10/47 | 2,204 | 2,216,466 | ||||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-6, Class A2 |
5.309% | 10/10/45 | 385 | 385,349 | ||||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-6, Class A4 |
5.356% | 10/10/45 | 800 | 861,267 | ||||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-1, Class A3 |
5.449% | 01/15/49 | 654 | 653,609 | ||||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A |
5.572% | (a) | 04/10/49 | 1,762 | 1,916,081 | |||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-4, Class A3 |
5.813% | (a) | 02/10/51 | 3,749 | 3,821,904 | |||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3 |
5.620% | 02/10/51 | 2,390 | 2,399,218 | ||||||||||||||||
| Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR9, Class A2 |
4.735% | 09/11/42 | 11 | 10,969 | ||||||||||||||||
| Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 |
5.705% | (a) | 12/10/49 | 1,590 | 1,778,231 | |||||||||||||||
| Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 |
2.815% | 04/10/46 | 2,800 | 2,598,789 | ||||||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class AAB |
5.334% | (a) | 01/15/46 | 1,154 | 1,167,718 | |||||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 |
5.293% | 12/11/49 | 2,515 | 2,561,394 | ||||||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 |
2.540% | 12/10/45 | 2,000 | 1,832,762 | ||||||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR11, Class A3 |
3.983% | 10/10/46 | 3,600 | 3,608,341 | ||||||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR12, Class A3 |
3.765% | 10/10/46 | 6,500 | 6,398,288 | ||||||||||||||||
| Commercial Mortgage Trust, Series 2005-GG3, Class AJ |
4.859% | (a) | 08/10/42 | 1,700 | 1,757,307 | |||||||||||||||
| Commercial Mortgage Trust, Series 2006-C7, Class A4 |
5.752% | (a) | 06/10/46 | 4,000 | 4,349,628 | |||||||||||||||
| Commercial Mortgage Trust, Series 2007-GG9, Class A2 |
5.381% | 03/10/39 | 2,560 | 2,617,652 | ||||||||||||||||
| Commercial Mortgage Trust, Series 2013-CR7, Class A3 |
2.929% | 03/10/46 | 3,900 | 3,659,776 | ||||||||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A2 |
5.760% | (a) | 09/15/39 | 266 | 265,724 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A3 |
5.760% | (a) | 09/15/39 | 10,550 | $ | 10,638,225 | ||||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM |
5.465% | (a) | 02/15/39 | 970 | 1,036,486 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O |
1.473% | (a) | 05/25/22 | 29,181 | 2,744,273 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O |
1.512% | (a) | 06/25/22 | 16,607 | 1,630,060 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O |
1.751% | (a) | 08/25/16 | 11,883 | 370,527 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O |
1.783% | (a) | 05/25/19 | 23,349 | 1,879,163 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O |
1.710% | (a) | 07/25/19 | 27,895 | 2,193,178 | |||||||||||||
| GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A2 |
5.417% | 12/10/49 | 4,979 | 4,976,488 | ||||||||||||||
| GS Mortgage Securities Trust, Series 2006-GG6, Class A4 |
5.553% | (a) | 04/10/38 | 6,700 | 7,214,594 | |||||||||||||
| GS Mortgage Securities Trust, Series 2013-GC12, Class A3 |
2.860% | 06/10/46 | 4,600 | 4,272,291 | ||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM |
4.999% | (a) | 10/15/42 | 1,820 | 1,927,580 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A2 |
5.791% | (a) | 06/15/49 | 4,252 | 4,284,029 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class A3 |
5.927% | (a) | 02/15/51 | 9,174 | 9,256,667 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Class A4 |
2.611% | 12/15/47 | 2,000 | 1,836,178 | ||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 |
2.875% | 12/15/47 | 4,600 | 4,293,571 | ||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 |
2.694% | 04/15/46 | 4,600 | 4,210,877 | ||||||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM |
5.263% | (a) | 11/15/40 | 2,100 | 2,250,854 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A2 |
5.300% | 11/15/38 | 880 | 912,269 | ||||||||||||||
| Merrill Lynch Mortgage Trust, Series 2007-C1, Class A3 |
5.859% | (a) | 06/12/50 | 526 | 541,654 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A2 |
5.112% | 12/12/49 | 483 | 483,100 | ||||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A2 |
5.590% | 09/12/49 | 777 | 777,822 | ||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A3 |
3.968% | (a) | 07/15/46 | 4,800 | 4,882,800 | |||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A3 |
3.973% | 10/15/46 | 3,600 | 3,641,947 | ||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 |
2.863% | 12/15/48 | 1,700 | 1,592,127 | ||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A3 |
2.834% | 05/15/46 | 2,300 | 2,131,716 | ||||||||||||||
| Morgan Stanley Capital I Trust, Series 2006-T23, Class A3 |
5.807% | (a) | 08/12/41 | 1,318 | 1,324,661 | |||||||||||||
| Morgan Stanley Capital I Trust, Series 2007-IQ14, Class AAB |
5.654% | (a) | 04/15/49 | 4,150 | 4,305,069 | |||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 |
2.792% | 12/10/45 | 2,300 | 2,143,957 | ||||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 |
2.920% | 03/10/46 | 4,600 | 4,310,485 | ||||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 |
2.971% | 04/10/46 | 3,800 | 3,568,850 | ||||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class AMFX |
5.179% | (a) | 07/15/42 | 3,145 | 3,337,518 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A2 |
5.500% | 10/15/48 | 69 | 69,439 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 |
5.509% | 04/15/47(d) | 5,150 | $ | 5,620,896 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A1A |
5.733% | (a) | 06/15/49 | 2,716 | 2,997,077 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A3 |
5.925% | (a) | 02/15/51 | 3,421 | 3,463,912 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A2 |
5.569% | 05/15/46 | 1,973 | 1,969,559 | ||||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
159,681,238 | ||||||||||||||||
| CORPORATE BONDS — 46.8% | ||||||||||||||||||
| Aerospace & Defense — 0.2% |
||||||||||||||||||
| Textron, Inc., Sr. Unsec’d. Notes |
7.250% | 10/01/19 | 2,350 | 2,720,546 | ||||||||||||||
| Airlines — 0.5% |
||||||||||||||||||
| Continental Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Ser. 2001-1, Class A-1 |
6.703% | 06/15/21(b) | 2 | 2,558 | ||||||||||||||
| Continental Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2001-1, Class B |
7.373% | 12/15/15 | 394 | 420,489 | ||||||||||||||
| Continental Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2007-2, Class A |
5.983% | 04/19/22 | 1,591 | 1,738,097 | ||||||||||||||
| Continental Airlines, Inc. Pass-Through Trust, Pass-Through Certificates, Series 2010-1, Class A |
4.750% | 01/12/21(d) | 500 | 530,797 | ||||||||||||||
| Delta Air Lines Pass-Through Trust, Pass-Through Certificates, Series 2007-1, Class A |
6.821% | 08/10/22 | 1,248 | 1,407,064 | ||||||||||||||
| Delta Air Lines Pass-Through Trust, Pass-Through Certificates, Series 2010-2, Class A |
4.950% | 05/23/19(d) | 623 | 671,591 | ||||||||||||||
| Delta Air Lines Pass-Through Trust, Pass-Through Certificates, Series 2011-1, Class A |
5.300% | 04/15/19 | 648 | 706,704 | ||||||||||||||
| United Airlines Pass-Through Trust, Pass-Through Certificates, Series 071A, Class A |
6.636% | 07/02/22 | 931 | 986,931 | ||||||||||||||
| 6,464,231 | ||||||||||||||||||
| Automotive — 1.2% |
||||||||||||||||||
| Cummins, Inc., Sr. Unsec’d. Notes |
4.875% | 10/01/43 | 125 | 125,186 | ||||||||||||||
| Delphi Corp., Gtd. Notes |
5.875% | 05/15/19 | 1,400 | 1,480,500 | ||||||||||||||
| Ford Motor Co., Sr. Unsec’d. Notes |
4.750% | 01/15/43 | 750 | 676,406 | ||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
2.375% | 01/16/18 | 2,225 | 2,247,161 | ||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
3.984% | 06/15/16 | 375 | 398,775 | ||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
4.207% | 04/15/16 | 4,630 | 4,933,441 | ||||||||||||||
| General Motors Co., Sr. Unsec’d. Notes, 144A |
4.875% | 10/02/23 | 1,350 | 1,366,875 | ||||||||||||||
| General Motors Co., Sr. Unsec’d. Notes, 144A |
6.250% | 10/02/43 | 1,885 | 1,958,044 | ||||||||||||||
| Harley-Davidson Funding Corp., Gtd. Notes, MTN, 144A |
5.750% | 12/15/14 | 660 | 689,282 | ||||||||||||||
| 13,875,670 | ||||||||||||||||||
| Banking — 10.5% |
||||||||||||||||||
| American Express Co., Sr. Unsec’d. Notes |
2.650% | 12/02/22 | 3,202 | 2,970,412 | ||||||||||||||
| Bangkok Bank PCL (Thailand), Sr. Unsec’d. Notes, 144A |
3.875% | 09/27/22(d) | 1,730 | 1,607,955 | ||||||||||||||
| Bank of America Corp., Jr. Sub. Notes, Series K |
8.000% | (a) | 12/29/49(d) | 3,500 | 3,878,000 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
3.300% | 01/11/23 | 4,275 | 4,045,291 | ||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
5.700% | 01/24/22 | 1,775 | 2,009,043 | ||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
6.000% | 09/01/17 | 4,590 | 5,240,825 | ||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Series 1 |
3.750% | 07/12/16 | 1,340 | 1,424,577 | ||||||||||||||
| Bank of America NA, Sub. Notes |
5.300% | 03/15/17 | 790 | 870,755 | ||||||||||||||
| Barclays Bank PLC, Sr. Unsec’d. Notes |
6.750% | 05/22/19(d) | 1,610 | 1,940,486 | ||||||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
7.250% | 02/01/18 | 1,575 | 1,885,859 | ||||||||||||||
| Capital One Financial Corp., Sr. Unsec’d. Notes |
5.250% | 02/21/17 | 2,460 | 2,659,796 | ||||||||||||||
| Capital One Financial Corp., Sub. Notes |
6.150% | 09/01/16 | 700 | 782,937 | ||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
6.125% | 11/21/17 | 2,050 | 2,363,053 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Banking (continued) |
||||||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
6.125% | 05/15/18(d) | 2,500 | $ | 2,893,223 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.125% | 07/15/39(d) | 4,120 | 5,779,075 | ||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.500% | 05/22/19 | 1,375 | 1,762,185 | ||||||||||||||
| Discover Bank, Sub. Notes |
7.000% | 04/15/20 | 2,005 | 2,331,789 | ||||||||||||||
| Euasian Development Bank (Supranational Bank), Sr. Unsec’d. Notes, 144A |
5.000% | 09/26/20 | 1,600 | 1,628,000 | ||||||||||||||
| Fifth Third Bank, Sr. Unsec’d. Notes |
1.450% | 02/28/18 | 3,275 | 3,191,203 | ||||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
5.750% | 01/24/22 | 4,200 | 4,727,890 | ||||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.000% | 06/15/20 | 2,420 | 2,774,716 | ||||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.150% | 04/01/18 | 1,355 | 1,553,747 | ||||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.250% | 09/01/17 | 3,195 | 3,657,828 | ||||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.250% | 02/01/41 | 2,195 | 2,529,518 | ||||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
6.750% | 10/01/37 | 440 | 489,520 | ||||||||||||||
| HSBC Holdings PLC (United Kingdom), Sub. Notes |
6.500% | 09/15/37 | 1,625 | 1,921,946 | ||||||||||||||
| Huntington Bancshares, Inc., Sub. Notes |
7.000% | 12/15/20(d) | 260 | 301,506 | ||||||||||||||
| ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A |
7.250% | (a) | 08/29/49 | 2,380 | 2,225,300 | |||||||||||||
| ING Bank NV (Netherlands), Unsec’d. Notes, 144A |
2.000% | 09/25/15 | 770 | 782,757 | ||||||||||||||
| Intesa Sanpaolo SpA, Sr. Unsec’d. Notes |
3.125% | 01/15/16 | 1,625 | 1,655,976 | ||||||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes |
7.900% | (a) | 04/29/49(d) | 6,130 | 6,758,325 | |||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
3.150% | 07/05/16 | 2,245 | 2,353,618 | ||||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
3.250% | 09/23/22 | 500 | 479,161 | ||||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
4.250% | 10/15/20 | 600 | 636,022 | ||||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
4.400% | 07/22/20 | 5,100 | 5,482,291 | ||||||||||||||
| JPMorgan Chase & Co., Sub. Notes |
5.625% | 08/16/43 | 675 | 713,322 | ||||||||||||||
| KeyCorp, Sr. Unsec’d. Notes, MTN |
5.100% | 03/24/21(d) | 1,155 | 1,262,315 | ||||||||||||||
| Krung Thai Bank PCL (Thailand), Bank Gtd. Notes |
7.378% | (a) | 10/29/49 | 1,590 | 1,613,799 | |||||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A |
5.800% | 01/13/20 | 2,650 | 3,038,143 | ||||||||||||||
| Mizuho Bank Ltd. (Japan), Gtd. Notes, 144A |
1.850% | 03/21/18(d) | 1,125 | 1,096,504 | ||||||||||||||
| Morgan Stanley, Notes, GMTN |
5.450% | 01/09/17 | 4,035 | 4,474,819 | ||||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, GMTN |
5.500% | 07/28/21 | 3,830 | 4,279,864 | ||||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.625% | 09/23/19 | 2,635 | 2,995,168 | ||||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
5.750% | 01/25/21 | 1,920 | 2,172,027 | ||||||||||||||
| Northern Trust Corp., Sub. Notes |
3.950% | 10/30/25(d) | 3,025 | 2,947,847 | ||||||||||||||
| People’s United Financial, Inc., Sr. Unsec’d. Notes |
3.650% | 12/06/22 | 1,675 | 1,583,558 | ||||||||||||||
| Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes |
2.550% | 09/18/15 | 625 | 639,223 | ||||||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
3.000% | 09/24/15 | 950 | 981,017 | ||||||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
4.625% | 04/19/16 | 525 | 559,835 | ||||||||||||||
| State Street Corp., Jr. Sub. Debs |
4.956% | 03/15/18 | 3,025 | 3,281,823 | ||||||||||||||
| Sumitomo Mitsui Banking Corp. (Japan), Bank Gtd. Notes |
3.000% | 01/18/23(d) | 2,250 | 2,087,838 | ||||||||||||||
| US Bancorp, Jr. Sub. Notes |
3.442% | 02/01/16 | 4,120 | 4,297,518 | ||||||||||||||
| 125,619,205 | ||||||||||||||||||
| Brokerage — 0.2% |
||||||||||||||||||
| Jefferies Group LLC, Sr. Unsec’d. Notes |
6.500% | 01/20/43 | 650 | 644,531 | ||||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(j) |
6.875% | 05/02/18 | 2,740 | 592,525 | ||||||||||||||
| Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN |
2.000% | 09/13/16 | 950 | 957,854 | ||||||||||||||
| 2,194,910 | ||||||||||||||||||
| Building Materials & Construction — 1.1% |
||||||||||||||||||
| Building Materials Corp. of America, Gtd. Notes, 144A (original cost $1,800,725; purchased 05/09/13) |
7.500% | 03/15/20(c) | 1,615 | 1,744,200 | ||||||||||||||
| Cemex Espana Luxembourg, Sr. Sec’d. Notes |
9.875% | 04/30/19 | 1,000 | 1,142,500 | ||||||||||||||
| Cemex Finance LLC, Sr. Sec’d. Notes, 144A |
9.875% | 04/30/19(d) | 1,360 | 1,553,800 | ||||||||||||||
| Mohawk Industries, Inc., Sr. Unsec’d. Notes |
3.850% | 02/01/23 | 594 | 564,300 | ||||||||||||||
| Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A |
5.125% | 06/26/22(d) | 2,000 | 1,957,500 | ||||||||||||||
| Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A |
7.125% | 06/26/42 | 1,540 | 1,422,575 | ||||||||||||||
| Toll Brothers Finance Corp., Gtd. Notes |
5.150% | 05/15/15 | 4,695 | 4,900,406 | ||||||||||||||
| 13,285,281 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Cable — 1.9% |
||||||||||||||||||
| Columbus International, Inc. (Barbados), Sr. Sec’d. Notes, 144A (original cost $410,238; purchased 09/13/12) |
11.500% | 11/20/14(b)(c) | 370 | $ | 398,675 | |||||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes |
6.750% | 11/15/21(d) | 2,225 | 2,397,438 | ||||||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes |
8.625% | 02/15/19 | 1,610 | 1,887,725 | ||||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
3.500% | 03/01/16 | 2,825 | 2,965,371 | ||||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
3.550% | 03/15/15 | 275 | 284,066 | ||||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
5.150% | 03/15/42 | 1,375 | 1,234,890 | ||||||||||||||
| DISH DBS Corp., Gtd. Notes |
6.625% | 10/01/14 | 1,400 | 1,456,000 | ||||||||||||||
| Nara Cable Funding Ltd. (Spain), Sr. Sec’d. Notes, RegS |
8.875% | 12/01/18 | EUR | 800 | 1,193,099 | |||||||||||||
| NBCUniversal Media LLC, Gtd. Notes |
4.375% | 04/01/21 | 1,350 | 1,428,870 | ||||||||||||||
| NBCUniversal Media LLC, Gtd. Notes |
4.450% | 01/15/43(d) | 2,675 | 2,396,329 | ||||||||||||||
| TCI Communications, Inc., Sr. Unsec’d. Notes |
7.875% | 02/15/26 | 750 | 971,611 | ||||||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
6.750% | 07/01/18(d) | 2,620 | 2,938,168 | ||||||||||||||
| Videotron Ltd. (Canada), Gtd. Notes |
9.125% | 04/15/18 | 953 | 998,268 | ||||||||||||||
| Virgin Media Secured Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A |
6.000% | 04/15/21 | GBP | 1,050 | 1,786,572 | |||||||||||||
| 22,337,082 | ||||||||||||||||||
| Capital Goods — 1.4% |
||||||||||||||||||
| Ashtead Capital, Inc. (United Kingdom), Sec’d. Notes, 144A |
6.500% | 07/15/22 | 1,375 | 1,466,094 | ||||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
6.700% | 06/01/34(b)(c) | 920 | 1,021,209 | ||||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
7.000% | 10/15/37(b)(c) | 770 | 911,236 | ||||||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
4.125% | 10/09/42 | 1,275 | 1,177,919 | ||||||||||||||
| Hertz Corp. (The), Gtd. Notes |
6.750% | 04/15/19(d) | 1,500 | 1,616,250 | ||||||||||||||
| Ingersoll-Rand Global Holding Co. Ltd., Gtd. Notes, 144A |
5.750% | 06/15/43 | 425 | 431,363 | ||||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A |
2.500% | 07/11/14(b)(c) | 475 | 478,866 | ||||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A |
2.500% | 03/15/16(b)(c) | 2,025 | 2,074,647 | ||||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A |
3.125% | 05/11/15(b)(c) | 675 | 694,224 | ||||||||||||||
| Pentair Finance SA, Gtd. Notes |
1.875% | 09/15/17 | 625 | 617,459 | ||||||||||||||
| Rockwell Automation, Inc., Sr. Unsec’d. Notes |
5.200% | 01/15/98 | 1,100 | 945,700 | ||||||||||||||
| United Rentals North America, Inc., Gtd. Notes |
7.625% | 04/15/22 | 1,700 | 1,889,125 | ||||||||||||||
| United Technologies Corp., Sr. Unsec’d. Notes |
4.500% | 06/01/42 | 1,675 | 1,626,571 | ||||||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes |
4.875% | 10/01/21 | 1,960 | 2,043,180 | ||||||||||||||
| 16,993,843 | ||||||||||||||||||
| Chemicals — 1.5% |
||||||||||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
4.900% | 06/01/43(d) | 1,300 | 1,203,804 | ||||||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
6.125% | 01/15/41 | 450 | 484,350 | ||||||||||||||
| Ashland, Inc., Gtd. Notes |
4.750% | 08/15/22(d) | 875 | 831,250 | ||||||||||||||
| CF Industries, Inc., Gtd. Notes |
4.950% | 06/01/43(d) | 675 | 614,322 | ||||||||||||||
| CF Industries, Inc., Gtd. Notes |
6.875% | 05/01/18 | 380 | 440,729 | ||||||||||||||
| CF Industries, Inc., Gtd. Notes |
7.125% | 05/01/20 | 300 | 351,643 | ||||||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
9.400% | 05/15/39(d) | 1,252 | 1,870,374 | ||||||||||||||
| LyondellBasell Industries NV, Sr. Unsec’d. Notes |
6.000% | 11/15/21 | 3,550 | 4,082,898 | ||||||||||||||
| Mexichem SAB de CV, Sr. Unsec’d. Notes, 144A |
4.875% | 09/19/22 | 850 | 833,000 | ||||||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.450% | 11/15/33 | 655 | 667,345 | ||||||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.625% | 11/15/43 | 1,395 | 1,415,202 | ||||||||||||||
| Sibur Securities Ltd. (Russia), Gtd. Notes, 144A |
3.914% | 01/31/18 | 1,050 | 1,025,063 | ||||||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
7.875% | 04/01/23 | 3,058 | 3,643,136 | ||||||||||||||
| 17,463,116 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Consumer — 0.2% |
||||||||||||||||||
| Service Corp. International, Sr. Unsec’d. Notes |
7.625% | 10/01/18 | 2,000 | $ | 2,300,000 | |||||||||||||
| Electric — 3.2% |
||||||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes |
8.000% | 10/15/17 | 4,000 | 4,700,000 | ||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes |
9.750% | 04/15/16(d) | 775 | 912,563 | ||||||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
3.350% | 07/01/23 | 550 | 528,058 | ||||||||||||||
| Calpine Corp., Sr. Sec’d. Notes, 144A |
7.500% | 02/15/21 | 1,108 | 1,209,105 | ||||||||||||||
| Covanta Holding Corp., Sr. Unsec’d. Notes |
7.250% | 12/01/20 | 2,500 | 2,729,235 | ||||||||||||||
| Duke Energy Corp., Sr. Unsec’d. Notes |
2.100% | 06/15/18(d) | 3,775 | 3,753,328 | ||||||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes |
6.000% | 05/15/35 | 2,325 | 2,411,850 | ||||||||||||||
| Enel Finance International NV (Netherlands), Gtd. Notes, 144A |
6.000% | 10/07/39 | 1,450 | 1,390,746 | ||||||||||||||
| Enersis SA (Chile), Sr. Unsec’d. Notes |
7.375% | 01/15/14 | 1,700 | 1,703,237 | ||||||||||||||
| Exelon Corp., Sr. Unsec’d. Notes |
4.900% | 06/15/15(d) | 500 | 527,152 | ||||||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
6.200% | 10/01/17(d) | 1,930 | 2,180,989 | ||||||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
6.250% | 10/01/39(d) | 1,900 | 1,925,435 | ||||||||||||||
| FirstEnergy Corp., Sr. Unsec’d. Notes |
2.750% | 03/15/18 | 1,800 | 1,768,626 | ||||||||||||||
| Iberdrola International BV (Spain), Gtd. Notes |
6.750% | 09/15/33 | 1,150 | 1,215,176 | ||||||||||||||
| NRG Energy, Inc., Gtd. Notes |
6.625% | 03/15/23(d) | 2,750 | 2,770,625 | ||||||||||||||
| Pacific Gas & Electric Co., Sr. Unsec’d. Notes |
4.600% | 06/15/43(d) | 1,950 | 1,860,754 | ||||||||||||||
| South Carolina Electric & Gas Co., First Mortgage |
4.600% | 06/15/43 | 2,025 | 1,978,658 | ||||||||||||||
| TransAlta Corp. (Canada), Sr. Unsec’d. Notes |
6.650% | 05/15/18 | 1,953 | 2,205,398 | ||||||||||||||
| Westar Energy, Inc., First Mortgage |
4.100% | 04/01/43 | 475 | 430,277 | ||||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
5.613% | 04/01/17 | 1,947 | 2,145,156 | ||||||||||||||
| 38,346,368 | ||||||||||||||||||
| Energy – Integrated — 1.0% |
||||||||||||||||||
| Cenovus Energy, Inc., Sr. Unsec’d. Notes |
4.450% | 09/15/42 | 1,825 | 1,643,321 | ||||||||||||||
| LUKOIL international Finance BV (Netherlands), Gtd. Notes, 144A |
7.250% | 11/05/19 | 1,300 | 1,501,500 | ||||||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A |
5.375% | 01/26/19 | 870 | 876,525 | ||||||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A |
7.250% | 12/12/21(d) | 1,340 | 1,420,400 | ||||||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Notes |
7.250% | 12/12/21 | 340 | 360,400 | ||||||||||||||
| Reliance Holdings USA, Inc. (India), Gtd. Notes, RegS |
5.400% | 02/14/22 | 500 | 505,671 | ||||||||||||||
| Reliance Holdings USA, Inc. (India), Gtd. Notes, 144A |
5.400% | 02/14/22 | 1,860 | 1,881,096 | ||||||||||||||
| Rosneft Finance SA (Russia), Gtd. Notes, 144A |
6.625% | 03/20/17 | 585 | 646,425 | ||||||||||||||
| Sasol Financing International PLC (South Africa), Gtd. Notes |
4.500% | 11/14/22 | 2,725 | 2,534,250 | ||||||||||||||
| 11,369,588 | ||||||||||||||||||
| Energy – Other — 1.5% |
||||||||||||||||||
| Afren PLC (United Kingdom), Sr. Sec’d. Notes, RegS |
11.500% | 02/01/16 | 600 | 687,000 | ||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.375% | 09/15/17 | 3,265 | 3,748,445 | ||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.450% | 09/15/36 | 1,450 | 1,628,256 | ||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.950% | 06/15/19 | 250 | 297,558 | ||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
7.936% | (e) | 10/10/36 | 2,000 | 714,180 | |||||||||||||
| Cameron International Corp., Sr. Unsec’d. Notes |
7.000% | 07/15/38 | 450 | 544,108 | ||||||||||||||
| Nabors Industries, Inc., Gtd. Notes |
4.625% | 09/15/21 | 1,650 | 1,651,934 | ||||||||||||||
| Noble Energy Inc, Sr. Unsec’d. Notes |
5.250% | 11/15/43 | 430 | 429,649 | ||||||||||||||
| Noble Energy, Inc., Sr. Unsec’d. Notes |
6.000% | 03/01/41 | 1,530 | 1,635,992 | ||||||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
6.875% | 05/01/18 | 1,750 | 2,049,094 | ||||||||||||||
| Precision Drilling Corp. (Canada), Gtd. Notes |
6.625% | 11/15/20 | 1,000 | 1,067,500 | ||||||||||||||
| Transocean, Inc., Gtd. Notes |
2.500% | 10/15/17(d) | 1,075 | 1,086,389 | ||||||||||||||
| Weatherford International Ltd., Gtd. Notes |
5.125% | 09/15/20 | 1,165 | 1,251,511 | ||||||||||||||
| Weatherford International Ltd., Gtd. Notes |
5.950% | 04/15/42 | 1,550 | 1,553,007 | ||||||||||||||
| 18,344,623 | ||||||||||||||||||
| Foods — 1.4% |
||||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), |
7.750% | 01/15/19 | 1,640 | 2,047,801 | ||||||||||||||
| ARAMARK Corp., Gtd. Notes, 144A |
5.750% | 03/15/20(d) | 1,350 | 1,410,750 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Foods (continued) |
||||||||||||||||||
| BRF SA (Brazil), Sr. Unsec’d. Notes, 144A |
3.950% | 05/22/23 | 275 | $ | 237,875 | |||||||||||||
| Coca-Cola Icecek A/S (Turkey), Sr. Unsec’d. Notes, 144A |
4.750% | 10/01/18(d) | 375 | 381,608 | ||||||||||||||
| Corp. Pesquera Inca SAC, Gtd. Notes, 144A |
9.000% | 02/10/17 | 1,000 | 995,000 | ||||||||||||||
| Cott Beverages, Inc., Gtd. Notes |
8.125% | 09/01/18 | 3,356 | 3,624,480 | ||||||||||||||
| JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A |
7.250% | 06/01/21(b)(c)(d) | 1,330 | 1,386,525 | ||||||||||||||
| Kraft Foods Group, Inc., Sr. Unsec’d. Notes |
5.000% | 06/04/42 | 900 | 887,213 | ||||||||||||||
| Minerva Luxembourg SA (Brazil), Gtd. Notes, 144A |
12.250% | 02/10/22 | 725 | 833,750 | ||||||||||||||
| Sigma Alimentos SA de CV, Gtd. Notes |
5.625% | 04/14/18 | 950 | 1,026,000 | ||||||||||||||
| Stater Brothers Holdings, Inc., Gtd. Notes |
7.750% | 04/15/15 | 2,200 | 2,205,544 | ||||||||||||||
| Tyson Foods, Inc., Gtd. Notes |
6.600% | 04/01/16 | 1,000 | 1,116,257 | ||||||||||||||
| 16,152,803 | ||||||||||||||||||
| Gaming — 0.1% |
||||||||||||||||||
| Pinnacle Entertainment, Inc., Gtd. Notes |
7.500% | 04/15/21 | 1,550 | 1,681,750 | ||||||||||||||
| Healthcare & Pharmaceutical — 2.1% |
||||||||||||||||||
| AbbVie, Inc., Sr. Unsec’d. Notes |
4.400% | 11/06/42 | 850 | 792,773 | ||||||||||||||
| Actavis PLC, Sr. Unsec’d. Notes |
4.625% | 10/01/42 | 700 | 636,860 | ||||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
5.150% | 11/15/41 | 2,515 | 2,505,659 | ||||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
5.375% | 05/15/43 | 115 | 118,072 | ||||||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes |
8.000% | 11/15/19 | 2,500 | 2,712,500 | ||||||||||||||
| Express Scripts Holding Co., Gtd. Notes |
2.750% | 11/21/14 | 3,750 | 3,822,319 | ||||||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes |
5.650% | 12/01/41(d) | 250 | 278,309 | ||||||||||||||
| HCA, Inc., Gtd. Notes |
8.000% | 10/01/18(d) | 2,250 | 2,657,813 | ||||||||||||||
| HCA, Inc., Sr. Unsec’d. Notes |
6.375% | 01/15/15 | 1,000 | 1,050,000 | ||||||||||||||
| HCA, Inc., Sr. Unsec’d. Notes, MTN |
9.000% | 12/15/14 | 320 | 342,400 | ||||||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
3.750% | 08/23/22 | 225 | 217,944 | ||||||||||||||
| LifePoint Hospitals, Inc., Gtd. Notes |
6.625% | 10/01/20 | 1,000 | 1,065,000 | ||||||||||||||
| Merck & Co, Inc., Sr. Unsec’d. Notes |
4.150% | 05/18/43(d) | 2,075 | 1,895,699 | ||||||||||||||
| Pfizer, Inc., Sr. Unsec’d. Notes |
4.300% | 06/15/43(d) | 1,550 | 1,457,543 | ||||||||||||||
| Valeant Pharmaceuticals International, Gtd. Notes, 144A |
6.875% | 12/01/18 | 1,500 | 1,605,000 | ||||||||||||||
| Valeant Pharmaceuticals International, Inc., |
6.750% | 08/15/18(d) | 2,000 | 2,197,500 | ||||||||||||||
| Zoetis, Inc., Sr. Unsec’d. Notes, 144A |
4.700% | 02/01/43 | 1,525 | 1,425,355 | ||||||||||||||
| 24,780,746 | ||||||||||||||||||
| Healthcare Insurance — 1.2% |
||||||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
6.750% | 12/15/37 | 1,900 | 2,317,099 | ||||||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
4.375% | 12/15/20 | 745 | 792,646 | ||||||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
5.375% | 03/15/17 | 2,125 | 2,354,815 | ||||||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
5.875% | 03/15/41 | 750 | 827,289 | ||||||||||||||
| Coventry Health Care, Inc., Sr. Unsec’d. Notes |
6.125% | 01/15/15 | 4,025 | 4,250,545 | ||||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
4.250% | 03/15/43 | 1,200 | 1,076,916 | ||||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.500% | 06/15/37 | 760 | 901,650 | ||||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.625% | 11/15/37 | 195 | 235,922 | ||||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
4.625% | 05/15/42 | 525 | 485,212 | ||||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
4.650% | 01/15/43 | 1,225 | 1,134,107 | ||||||||||||||
| 14,376,201 | ||||||||||||||||||
| Insurance — 3.3% |
||||||||||||||||||
| Allied World Assurance Co. Ltd., Gtd. Notes |
5.500% | 11/15/20 | 430 | 465,047 | ||||||||||||||
| Allied World Assurance Co. Ltd., Gtd. Notes |
7.500% | 08/01/16 | 2,475 | 2,841,295 | ||||||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes |
4.500% | 06/15/43 | 375 | 354,815 | ||||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
5.050% | 10/01/15 | 315 | 337,379 | ||||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes, MTN |
5.850% | 01/16/18 | 3,700 | 4,244,085 | ||||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes(f) |
6.400% | 12/15/20 | 950 | 1,122,768 | ||||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
8.250% | 08/15/18 | 2,005 | 2,508,014 | ||||||||||||||
| Axis Capital Holdings Ltd., Sr. Unsec’d. Notes |
5.750% | 12/01/14 | 3,350 | 3,500,241 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Insurance (continued) |
||||||||||||||||
| Berkshire Hathaway, Inc., Sr. Unsec’d. Notes(f) |
3.000% | 02/11/23 | 1,850 | $ | 1,747,083 | |||||||||||
| Berkshire Hathaway, Inc., Sr. Unsec’d. Notes |
4.500% | 02/11/43(d) | 1,350 | 1,248,002 | ||||||||||||
| Chubb Corp. (The), Jr. Sub. Notes |
6.375%(a) | 03/29/67(d) | 1,775 | 1,921,438 | ||||||||||||
| Endurance Specialty Holdings Ltd., Sr. Unsec’d. Notes |
7.000% | 07/15/34 | 1,350 | 1,492,001 | ||||||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes |
5.125% | 04/15/22 | 500 | 544,606 | ||||||||||||
| Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A |
6.500% | 03/15/35(d) | 1,030 | 1,124,525 | ||||||||||||
| Lincoln National Corp., Jr. Sub. Notes |
6.050%(a) | 04/20/67 | 350 | 347,375 | ||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
7.000% | 06/15/40 | 1,265 | 1,584,884 | ||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
8.750% | 07/01/19 | 1,265 | 1,628,252 | ||||||||||||
| Markel Corp., Sr. Unsec’d. Notes |
5.000% | 03/30/43 | 350 | 327,318 | ||||||||||||
| Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A |
8.875% | 06/01/39 | 1,200 | 1,719,674 | ||||||||||||
| Nippon Life Insurance Co. (Japan), Sub. Notes, 144A |
5.000%(a) | 10/18/42 | 850 | 877,625 | ||||||||||||
| Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A |
6.063% | 03/30/40 | 500 | 561,755 | ||||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
6.375% | 04/30/20 | 850 | 942,451 | ||||||||||||
| Principal Financial Group, Inc., Gtd. Notes |
4.625% | 09/15/42 | 150 | 140,926 | ||||||||||||
| Progressive Corp. (The), Jr. Sub. Notes |
6.700%(a) | 06/15/37 | 1,015 | 1,096,200 | ||||||||||||
| Teachers Insurance & Annuity Association of America, Sub. Notes, 144A |
6.850% | 12/16/39 | 2,310 | 2,851,439 | ||||||||||||
| Unum Group, Sr. Unsec’d. Notes |
5.625% | 09/15/20 | 500 | 548,073 | ||||||||||||
| Willis Group Holdings PLC, Gtd. Notes |
4.125% | 03/15/16 | 1,280 | 1,340,076 | ||||||||||||
| XL Group PLC (Ireland), Jr. Sub. Notes |
6.500%(a) | 12/31/49(d) | 1,880 | 1,849,450 | ||||||||||||
| XL Group PLC (Ireland), Sr. Unsec’d. Notes |
5.250% | 09/15/14 | 140 | 144,298 | ||||||||||||
| 39,411,095 | ||||||||||||||||
| Lodging — 0.3% |
||||||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.250% | 09/15/22 | 1,325 | 1,235,311 | ||||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
2.950% | 03/01/17 | 2,420 | 2,454,483 | ||||||||||||
| 3,689,794 | ||||||||||||||||
| Media & Entertainment — 2.4% |
||||||||||||||||
| British Sky Broadcasting Group PLC, Gtd. Notes, 144A |
6.100% | 02/15/18 | 210 | 239,074 | ||||||||||||
| CBS Corp., Gtd. Notes |
4.850% | 07/01/42(b)(c) | 1,200 | 1,081,261 | ||||||||||||
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes |
9.125% | 08/01/18 | 2,300 | 2,495,500 | ||||||||||||
| Historic TW, Inc., Gtd. Notes |
6.625% | 05/15/29 | 1,837 | 2,108,384 | ||||||||||||
| Liberty Interactive LLC, Sr. Unsec’d. Notes |
8.250% | 02/01/30(d) | 2,250 | 2,396,250 | ||||||||||||
| Myriad International Holdings BV (South Africa), Gtd. Notes, 144A |
6.000% | 07/18/20 | 775 | 829,250 | ||||||||||||
| News America, Inc., Gtd. Notes |
6.150% | 03/01/37 | 460 | 505,581 | ||||||||||||
| News America, Inc., Gtd. Notes |
6.150% | 02/15/41(d) | 1,430 | 1,593,771 | ||||||||||||
| News America, Inc., Gtd. Notes |
6.900% | 08/15/39 | 65 | 77,470 | ||||||||||||
| News America, Inc., Gtd. Notes |
7.625% | 11/30/28 | 1,415 | 1,755,084 | ||||||||||||
| RR Donnelley & Sons Co., Sr. Unsec’d. Notes |
4.950% | 04/01/14 | 7,000 | 7,070,000 | ||||||||||||
| RR Donnelley & Sons Co., Sr. Unsec’d. Notes |
8.600% | 08/15/16 | 4,750 | 5,498,125 | ||||||||||||
| Time Warner Cos., Inc., Gtd. Notes |
6.950% | 01/15/28 | 532 | 627,672 | ||||||||||||
| Time Warner Cos., Inc., Gtd. Notes |
7.250% | 10/15/17 | 1,440 | 1,716,633 | ||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
4.500% | 02/27/42(d) | 95 | 81,051 | ||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
4.875% | 06/15/43 | 275 | 248,773 | ||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
5.850% | 09/01/43 | 625 | 657,014 | ||||||||||||
| 28,980,893 | ||||||||||||||||
| Metals — 1.0% |
||||||||||||||||
| Berau Capital Resources Pte Ltd., Sr. Sec’d. Notes, RegS |
12.500% | 07/08/15 | 1,600 | 1,688,000 | ||||||||||||
| BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes |
5.000% | 09/30/43 | 1,250 | 1,270,926 | ||||||||||||
| Newmont Mining Corp., Gtd. Notes |
6.250% | 10/01/39 | 75 | 66,339 | ||||||||||||
| Peabody Energy Corp., Gtd. Notes |
6.000% | 11/15/18(d) | 4,075 | 4,339,875 | ||||||||||||
| PT Adaro Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS |
7.625% | 10/22/19 | 745 | 785,975 | ||||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
6.750% | 04/16/40 | 990 | 958,580 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Metals (continued) |
||||||||||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
7.500% | 07/27/35 | 550 | $ | 573,138 | |||||||||||||
| Vedanta Resources PLC, Sr. Notes, 144A |
6.000% | 01/31/19 | 1,050 | 1,015,875 | ||||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
2.850% | 11/10/14 | 1,825 | 1,850,331 | ||||||||||||||
| 12,549,039 | ||||||||||||||||||
| Non-Captive Finance — 2.8% |
||||||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes |
5.000% | 08/15/22 | 1,350 | 1,316,250 | ||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes, 144A |
5.500% | 02/15/19(d) | 4,000 | 4,290,000 | ||||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
5.875% | 01/14/38(d) | 675 | 768,902 | ||||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, GMTN(f) |
6.000% | 08/07/19 | 6,315 | 7,409,465 | ||||||||||||||
| General Electric Capital Corp., Sub. Notes |
5.300% | 02/11/21(d) | 1,185 | 1,325,565 | ||||||||||||||
| HSBC Finance Corp., Sub. Notes |
6.676% | 01/15/21 | 295 | 338,966 | ||||||||||||||
| International Lease Finance Corp., Sr. Sec’d. Notes, 144A |
6.500% | 09/01/14 | 2,875 | 2,972,031 | ||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
5.750% | 05/15/16 | 1,125 | 1,205,156 | ||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
6.250% | 05/15/19 | 1,400 | 1,515,500 | ||||||||||||||
| Nelnet, Inc., Jr. Sub. Notes |
3.622% | (a) | 09/29/36 | 3,775 | 2,765,188 | |||||||||||||
| Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A |
0.970% | (a) | 07/03/33(b) | 1,171 | 974,365 | |||||||||||||
| Schahin II Finance Co. SPV Ltd. (Brazil), Sr. Sec’d. Notes, 144A |
5.875% | 09/25/22(d) | 1,820 | 1,738,291 | ||||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
5.050% | 11/14/14 | 4,150 | 4,284,875 | ||||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
6.000% | 01/25/17 | 1,075 | 1,163,688 | ||||||||||||||
| Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN |
6.900% | 12/15/17(d) | 1,000 | 1,093,000 | ||||||||||||||
| 33,161,242 | ||||||||||||||||||
| Packaging — 0.4% |
||||||||||||||||||
| Ball Corp., Gtd. Notes |
6.750% | 09/15/20(d) | 345 | 375,188 | ||||||||||||||
| Greif Luxembourg Finance, Notes, MTN, 144A |
7.375% | 07/15/21 | EUR | 1,470 | 2,376,187 | |||||||||||||
| Greif, Inc., Sr. Unsec’d. Notes |
7.750% | 08/01/19 | 1,815 | 2,060,025 | ||||||||||||||
| 4,811,400 | ||||||||||||||||||
| Paper — 0.9% |
||||||||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
6.000% | 11/15/41 | 675 | 733,020 | ||||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
7.300% | 11/15/39 | 1,000 | 1,234,722 | ||||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
7.950% | 06/15/18 | 1,640 | 1,992,095 | ||||||||||||||
| MeadWestvaco Corp., Sr. Unsec’d. Notes |
7.375% | 09/01/19 | 4,400 | 5,222,202 | ||||||||||||||
| Rock-Tenn Co., Gtd. Notes |
4.450% | 03/01/19(d) | 1,165 | 1,228,842 | ||||||||||||||
| 10,410,881 | ||||||||||||||||||
| Pipelines & Other — 0.9% |
||||||||||||||||||
| AGL Capital Corp., Gtd. Notes |
4.400% | 06/01/43 | 1,050 | 946,742 | ||||||||||||||
| Buckeye Partners LP, Sr. Unsec’d. Notes |
4.150% | 07/01/23(d) | 1,760 | 1,692,312 | ||||||||||||||
| Dominion Gas Holdings LLC, Sr. Unsec’d. Notes, 144a |
4.800% | 11/01/43 | 75 | 72,512 | ||||||||||||||
| Enterprise Products Operating LLC, Gtd. Notes |
5.700% | 02/15/42 | 900 | 948,875 | ||||||||||||||
| Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes |
5.000% | 08/15/42 | 550 | 507,958 | ||||||||||||||
| Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes |
7.300% | 08/15/33 | 1,550 | 1,825,212 | ||||||||||||||
| NiSource Finance Corp., Gtd. Notes |
4.800% | 02/15/44 | 300 | 270,680 | ||||||||||||||
| NiSource Finance Corp., Gtd. Notes |
5.450% | 09/15/20 | 1,345 | 1,495,628 | ||||||||||||||
| ONEOK Partners LP, Gtd. Notes |
2.000% | 10/01/17 | 750 | 746,335 | ||||||||||||||
| Sempra Energy, Sr. Unsec’d. Notes |
6.500% | 06/01/16 | 2,275 | 2,559,837 | ||||||||||||||
| 11,066,091 | ||||||||||||||||||
| Real Estate Investment Trusts — 0.6% |
||||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
10.000% | 10/01/14 | 1,921 | 2,031,458 | ||||||||||||||
| Hospitality Properties Trust, Sr. Unsec’d. Notes |
7.875% | 08/15/14 | 2,900 | 2,923,539 | ||||||||||||||
| ProLogis LP, Gtd. Notes |
6.875% | 03/15/20 | 8 | 9,422 | ||||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
2.800% | 01/30/17(d) | 45 | 46,544 | ||||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
3.375% | 03/15/22 | 325 | 316,772 | ||||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
6.125% | 05/30/18 | 40 | 46,313 | ||||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
10.350% | 04/01/19 | 1,685 | 2,280,095 | ||||||||||||||
| 7,654,143 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Retailers — 0.6% |
||||||||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
5.300% | 12/05/43 | 125 | $ | 129,270 | |||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
6.125% | 09/15/39(d) | 2,000 | 2,268,238 | ||||||||||||||
| Home Depot, Inc. (The), Sr. Unsec’d. Notes |
4.200% | 04/01/43 | 1,025 | 934,080 | ||||||||||||||
| Ltd. Brands, Inc., Gtd. Notes |
5.625% | 02/15/22 | 2,200 | 2,249,500 | ||||||||||||||
| Wal-Mart Stores, Inc., Sr. Unsec’d. Notes |
5.625% | 04/15/41 | 1,190 | 1,351,214 | ||||||||||||||
| 6,932,302 | ||||||||||||||||||
| Technology — 1.2% |
||||||||||||||||||
| Arrow Electronics, Inc., Sr. Unsec’d. Notes |
3.375% | 11/01/15 | 600 | 620,930 | ||||||||||||||
| Avaya, Inc., Sec’d. Notes, 144A |
10.500% | 03/01/21(d) | 2,200 | 2,101,000 | ||||||||||||||
| CDW LLC/CDW Finance Corp., Gtd. Notes |
12.535% | 10/12/17 | 843 | 880,935 | ||||||||||||||
| Fiserv, Inc., Gtd. Notes |
3.125% | 10/01/15 | 195 | 201,892 | ||||||||||||||
| NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A |
3.750% | 06/01/18 | 1,925 | 1,939,438 | ||||||||||||||
| Seagate HDD Cayman, Gtd. Notes |
6.875% | 05/01/20 | 2,875 | 3,108,594 | ||||||||||||||
| SunGard Data Systems, Inc., Gtd. Notes |
7.625% | 11/15/20(d) | 1,700 | 1,853,000 | ||||||||||||||
| TransUnion LLC/TransUnion Financing Corp., Gtd. Notes |
11.375% | 06/15/18 | 1,850 | 2,016,500 | ||||||||||||||
| Xerox Corp., Sr. Unsec’d. Notes |
4.250% | 02/15/15 | 2,000 | 2,074,856 | ||||||||||||||
| 14,797,145 | ||||||||||||||||||
| Telecommunications — 2.2% |
||||||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
6.125% | 03/30/40 | 655 | 693,066 | ||||||||||||||
| AT&T Corp., Gtd. Notes |
8.000% | 11/15/31 | 103 | 137,086 | ||||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
5.350% | 09/01/40 | 483 | 477,896 | ||||||||||||||
| Bharti Airtel International Netherlands BV (India), Gtd. Notes, 144A |
5.125% | 03/11/23 | 1,305 | 1,198,512 | ||||||||||||||
| British Telecommunications PLC (United Kingdom), |
9.625% | 12/15/30 | 328 | 489,456 | ||||||||||||||
| Cellco Partnership/Verizon Wireless Capital LLC, |
8.500% | 11/15/18 | 2,255 | 2,855,130 | ||||||||||||||
| Eileme 2 AB (Sweden), Sr. Sec’d. Notes, RegS |
11.750% | 01/31/20 | EUR | 1,400 | 2,320,814 | |||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.995% | 06/01/36(b)(c) | 1,250 | 1,265,550 | ||||||||||||||
| MetroPCS Wireless, Inc., Gtd. Notes |
7.875% | 09/01/18 | 775 | 832,156 | ||||||||||||||
| SK Telecom Co. Ltd. (South Korea), Sr. Unsec’d. Notes, MTN, 144A |
2.125% | 05/01/18 | 675 | 655,300 | ||||||||||||||
| Sprint Capital Corp., Gtd. Notes |
6.900% | 05/01/19(d) | 1,300 | 1,420,250 | ||||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
6.400% | 09/15/33 | 2,250 | 2,587,772 | ||||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
6.550% | 09/15/43 | 7,400 | 8,657,697 | ||||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
4.750% | 11/01/41 | 745 | 696,460 | ||||||||||||||
| Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, |
7.748% | 02/02/21 | 1,300 | 1,412,125 | ||||||||||||||
| Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, |
9.125% | 04/30/18(b) | 200 | 234,500 | ||||||||||||||
| Wind Acquisition Finance SA, Sec’d. Notes, 144A |
11.750% | 07/15/17(c) | EUR | 450 | 657,833 | |||||||||||||
| 26,591,603 | ||||||||||||||||||
| Tobacco — 1.0% |
||||||||||||||||||
| Altria Group, Inc., Gtd. Notes |
4.000% | 01/31/24 | 4,300 | 4,202,880 | ||||||||||||||
| Altria Group, Inc., Gtd. Notes |
9.950% | 11/10/38 | 873 | 1,331,675 | ||||||||||||||
| Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A |
2.050% | 02/11/18 | 2,375 | 2,348,448 | ||||||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
3.500% | 08/04/16 | 515 | 541,906 | ||||||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
3.750% | 05/20/23(d) | 825 | 751,054 | ||||||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
8.125% | 06/23/19(d) | 895 | 1,090,241 | ||||||||||||||
| Philip Morris International, Inc., Sr. Unsec’d. Notes |
4.875% | 11/15/43 | 2100 | 2,080,323 | ||||||||||||||
| 12,346,527 | ||||||||||||||||||
| TOTAL CORPORATE BONDS |
|
560,708,118 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| COVERED BOND — 0.1% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Depfa ACS Bank (Ireland), Covered Bonds, 144A |
5.125% | 03/16/37 | 1,400 | $ | 1,184,750 | |||||||||||||
| FOREIGN AGENCIES — 3.3% | ||||||||||||||||||
| CNOOC Finance 2013 Ltd. (China), Gtd. Notes |
3.000% | 05/09/23(d) | 750 | 669,887 | ||||||||||||||
| Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A |
4.875% | 01/15/24 | 875 | 868,438 | ||||||||||||||
| Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A |
5.888% | 06/15/19 | 2,190 | 2,390,229 | ||||||||||||||
| Export Credit Bank of Turkey (Turkey), Sr. Unsec’d. Notes, 144A |
5.375% | 11/04/16 | 265 | 272,235 | ||||||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, RegS |
9.250% | 04/23/19 | 1,080 | 1,328,400 | ||||||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A |
4.950% | 05/23/16(d) | 1,950 | 2,069,925 | ||||||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A |
6.510% | 03/07/22 | 975 | 1,046,906 | ||||||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A |
9.250% | 04/23/19 | 2,845 | 3,499,350 | ||||||||||||||
| KazMunayGas National Co. JSC (Kazakhstan), |
5.750% | 04/30/43 | 1,075 | 927,403 | ||||||||||||||
| KazMunayGas National Co. JSC (Kazakhstan), |
9.125% | 07/02/18 | 935 | 1,133,688 | ||||||||||||||
| KazMunayGas National Co. JSC (Kazakhstan), |
11.750% | 01/23/15 | 1,475 | 1,618,813 | ||||||||||||||
| Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes |
4.625% | 11/16/21 | 600 | 633,550 | ||||||||||||||
| Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, RegS |
4.250% | 11/02/20(d) | 1,750 | 1,817,648 | ||||||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
3.000% | 09/19/22 | 1,450 | 1,331,509 | ||||||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
4.750% | 07/13/21 | 1,650 | 1,733,485 | ||||||||||||||
| Majapahit Holding BV (Indonesia), Gtd. Notes, RegS |
7.750% | 10/17/16 | 2,500 | 2,746,875 | ||||||||||||||
| Pertamina Persero PT (Indonesia), Sr. Unsec’d. Notes, MTN, 144A |
4.300% | 05/20/23 | 650 | 565,500 | ||||||||||||||
| Petrobras International Finance Co. (Brazil), Gtd. Notes |
5.375% | 01/27/21(d) | 2,925 | 2,902,735 | ||||||||||||||
| Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes |
4.900% | 10/28/14 | 3,435 | 3,134,438 | ||||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
3.500% | 01/30/23(d) | 1,125 | 1,030,781 | ||||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
4.875% | 01/24/22 | 2,100 | 2,157,750 | ||||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
5.500% | 06/27/44 | 2,180 | 1,989,250 | ||||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
6.500% | 06/02/41 | 745 | 778,525 | ||||||||||||||
| Power Sector Assets & Liabilities Management Corp. (Philippines), Gov’t. Gtd. Notes, RegS |
7.390% | 12/02/24 | 1,750 | 2,135,000 | ||||||||||||||
| State Bank of India (India), Sr. Unsec’d. Notes, 144A |
4.125% | 08/01/17 | 250 | 252,818 | ||||||||||||||
| TOTAL FOREIGN AGENCIES |
|
39,035,138 | ||||||||||||||||
| MUNICIPAL BONDS — 2.0% | ||||||||||||||||||
| California — 0.6% |
||||||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
6.907% | 10/01/50 | 1,125 | 1,363,129 | ||||||||||||||
| State of California, General Obligation Unlimited, BABs |
7.300% | 10/01/39 | 2,280 | 2,867,305 | ||||||||||||||
| State of California, General Obligation Unlimited, BABs |
7.625% | 03/01/40 | 725 | 954,520 | ||||||||||||||
| University of California, Revenue Bonds, BABs |
5.770% | 05/15/43 | 1,400 | 1,553,384 | ||||||||||||||
| 6,738,338 | ||||||||||||||||||
| Colorado — 0.1% |
||||||||||||||||||
| Regional Transportation District, Revenue Bonds, Series 2010B, BABs |
5.844% | 11/01/50 | 1,000 | 1,154,480 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| MUNICIPAL BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Illinois — 0.6% |
||||||||||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
6.395% | 01/01/40 | 1,380 | $ | 1,539,487 | |||||||||||||
| State of Illinois, GO |
4.421% | 01/01/15 | 5,030 | 5,191,061 | ||||||||||||||
| 6,730,548 | ||||||||||||||||||
| New Jersey — 0.3% |
||||||||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Series 2010, BABs |
7.102% | 01/01/41 | 1,175 | 1,504,540 | ||||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs |
7.414% | 01/01/40 | 2,050 | 2,731,522 | ||||||||||||||
| 4,236,062 | ||||||||||||||||||
| Ohio — 0.1% |
||||||||||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
4.910% | 06/01/40 | 695 | 696,376 | ||||||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
4.879% | 12/01/34 | 450 | 456,431 | ||||||||||||||
| 1,152,807 | ||||||||||||||||||
| Oregon — 0.1% |
||||||||||||||||||
| Oregon State Department of Transportation, Revenue Bonds, Series A, BABs |
5.834% | 11/15/34 | 615 | 707,970 | ||||||||||||||
| Pennsylvania — 0.1% |
||||||||||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs |
5.511% | 12/01/45 | 800 | 848,888 | ||||||||||||||
| Tennessee — 0.1% |
||||||||||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
6.731% | 07/01/43 | 1,375 | 1,524,160 | ||||||||||||||
| Texas |
||||||||||||||||||
| Texas State Transportation Commission, Revenue Bonds, Series B, BABs |
5.028% | 04/01/26 | 425 | 457,138 | ||||||||||||||
| TOTAL MUNICIPAL BONDS |
|
23,550,391 | ||||||||||||||||
| SOVEREIGNS — 5.6% | ||||||||||||||||||
| Brazilian Government International Bond (Brazil), |
5.625% | 01/07/41(d) | 1,000 | 970,000 | ||||||||||||||
| Colombia Government International Bond (Colombia), |
4.000% | 02/26/24 | 2,000 | 1,928,000 | ||||||||||||||
| Hellenic Republic Government Bond (Greece), |
2.000% | 02/24/23 | EUR | 2,245 | 2,078,186 | |||||||||||||
| Hellenic Republic Government Bond (Greece), |
5.800% | 07/14/15 | JPY | 76,200 | 665,692 | |||||||||||||
| Hellenic Republic Government Bond (Greece), |
5.800% | 07/14/15 | JPY | 107,100 | 935,638 | |||||||||||||
| Hungary Government International Bond (Hungary), |
6.375% | 03/29/21 | 776 | 832,260 | ||||||||||||||
| Hungary Government International Bond (Hungary), |
4.125% | 02/19/18 | 1,370 | 1,385,070 | ||||||||||||||
| Hungary Government International Bond (Hungary), |
5.750% | 11/22/23 | 650 | 653,250 | ||||||||||||||
| Hungary Government International Bond (Hungary), |
6.000% | 01/11/19 | EUR | 715 | 1,077,074 | |||||||||||||
| Indonesia Government International Bond (Indonesia), |
5.875% | 03/13/20 | 2,245 | 2,372,965 | ||||||||||||||
| Ireland Government Bond (Ireland), Sr. Unsec’d. Notes |
4.400% | 06/18/19 | EUR | 2,880 | 4,347,837 | |||||||||||||
| Italy Buoni Poliennali del Tesoro (Italy), Sr. Unsec’d. Notes |
6.500% | 11/01/27 | EUR | 3,545 | 5,899,594 | |||||||||||||
| Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS |
3.450% | 03/24/17 | JPY | 170,000 | 1,653,310 | |||||||||||||
| Italy Government International Bond (Italy), Sr. Unsec’d. Notes, RegS |
4.500% | 06/08/15 | JPY | 130,000 | 1,282,509 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| SOVEREIGNS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Mexico Government International Bond (Mexico), |
4.750% | 03/08/44(d) | 2,500 | $ | 2,253,125 | |||||||||||||
| Panama Government International Bond (Panama), |
5.200% | 01/30/20 | 1,115 | 1,213,956 | ||||||||||||||
| Peru Enhanced Pass-Through Finance Ltd. (Peru), Pass-Through Certificates, 144A |
4.841% | (e) | 05/31/18 | 889 | 822,100 | |||||||||||||
| Portugal Obrigacoes do Tesouro OT (Portugal), |
4.450% | 06/15/18 | EUR | 950 | 1,283,918 | |||||||||||||
| Portugal Obrigacoes do Tesouro OT (Portugal), |
4.750% | 06/14/19 | EUR | 4,480 | 5,954,844 | |||||||||||||
| Qatar Government International Bond (Qatar), |
5.750% | 01/20/42 | 900 | 945,000 | ||||||||||||||
| Republic of Brazil (Brazil), Sr. Unsec’d. Notes |
7.125% | 01/20/37 | 900 | 1,030,500 | ||||||||||||||
| Republic of Brazil (Brazil), Sr. Unsec’d. Notes |
8.250% | 01/20/34 | 510 | 651,525 | ||||||||||||||
| Republic of Brazil (Brazil), Unsec’d. Notes |
11.000% | 06/26/17 | EUR | 2,200 | 3,901,224 | |||||||||||||
| Republic of Colombia (Colombia), Sr. Unsec’d. Notes |
7.375% | 09/18/37 | 900 | 1,104,750 | ||||||||||||||
| Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, RegS |
4.875% | 05/05/21 | 1,600 | 1,584,000 | ||||||||||||||
| Republic of Indonesia (Indonesia), Sr. Unsec’d. Notes, MTN, 144A |
4.625% | 04/15/43(d) | 1,450 | 1,161,813 | ||||||||||||||
| Republic of Philippines (Philippines), Sr. Unsec’d. Notes |
6.250% | 03/15/16 | EUR | 850 | 1,265,762 | |||||||||||||
| Republic of Portugal (Portugal), Sr. Unsec’d. Notes, RegS |
3.500% | 03/25/15 | 2,130 | 2,151,436 | ||||||||||||||
| Republic of Turkey (Turkey), Sr. Unsec’d. Notes |
8.000% | 02/14/34 | 845 | 940,063 | ||||||||||||||
| Russian Foreign Bond — Eurobond (Russia), Sr. Unsec’d. Notes, 144A |
7.500% | 03/31/30 | 872 | 1,016,404 | ||||||||||||||
| Slovenia Government International Bond (Slovenia), |
4.750% | 05/10/18 | 1,300 | 1,332,500 | ||||||||||||||
| Spain Government Bond (Spain), Sr. Unsec’d. Notes |
4.250% | 10/31/16 | EUR | 1,940 | 2,837,540 | |||||||||||||
| Spain Government International Bond (Spain), |
4.000% | 03/06/18 | 3,000 | 3,049,500 | ||||||||||||||
| Spain Government International Bond (Spain), |
4.000% | 03/06/18 | 1,500 | 1,524,750 | ||||||||||||||
| Turkey Government International Bond (Turkey), |
7.000% | 06/05/20 | 1,510 | 1,648,165 | ||||||||||||||
| United Mexican States (Mexico), Sr. Unsec’d. Notes |
2.750% | 04/22/23 | EUR | 2,350 | 3,117,815 | |||||||||||||
| TOTAL SOVEREIGNS |
|
66,872,075 | ||||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.9% | ||||||||||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | TBA | 500 | 496,094 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | TBA | 2,000 | 2,053,906 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/19 | 179 | 190,016 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 10/01/33-06/01/34 | 1,836 | 2,045,441 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 11/01/33-06/01/34 | 1,382 | 1,545,396 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 07/01/32-09/01/32 | 1,046 | 1,175,661 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 10/01/32 | 161 | 181,283 | ||||||||||||||
| Federal National Mortgage Assoc.(g) |
1.625% | 11/27/18(d) | 5,945 | 5,895,407 | ||||||||||||||
| Federal National Mortgage Assoc. |
4.000% | 05/01/19 | 115 | 121,913 | ||||||||||||||
| Federal National Mortgage Assoc. |
4.500% | TBA | 500 | 529,785 | ||||||||||||||
| Federal National Mortgage Assoc. |
4.500% | 12/01/18-02/01/35 | 972 | 1,034,679 | ||||||||||||||
| Federal National Mortgage Assoc. |
5.500% | 03/01/17-06/01/34 | 3,490 | 3,775,162 | ||||||||||||||
| Federal National Mortgage Assoc. |
6.000% | 09/01/17-11/01/36 | 2,712 | 3,032,310 | ||||||||||||||
| Federal National Mortgage Assoc. |
6.500% | 12/01/14-11/01/33 | 2,026 | 2,260,924 | ||||||||||||||
| Federal National Mortgage Assoc. |
7.000% | 05/01/32-06/01/32 | 184 | 206,926 | ||||||||||||||
| Government National Mortgage Assoc. |
3.500% | TBA | 2,000 | 2,015,703 | ||||||||||||||
| Government National Mortgage Assoc. |
5.500% | 01/15/33-07/15/35 | 2,549 | 2,827,361 | ||||||||||||||
| Government National Mortgage Assoc. |
6.000% | 12/15/32-11/15/34 | 2,707 | 3,069,115 | ||||||||||||||
| Government National Mortgage Assoc. |
6.500% | 09/15/32-11/15/33 | 2,117 | 2,364,071 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Government National Mortgage Assoc. |
7.500% | 10/15/25-02/15/26 | 64 | $ | 71,815 | |||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
34,892,968 | ||||||||||||||||
| U.S. TREASURY OBLIGATIONS — 0.7% | ||||||||||||||||||
| U.S. Treasury Bonds |
3.625% | 08/15/43 | 1,280 | 1,208,800 | ||||||||||||||
| U.S. Treasury Notes |
1.250% | 11/30/18(d) | 2,730 | 2,671,562 | ||||||||||||||
| U.S. Treasury Notes |
1.500% | 12/31/18 | 425 | 420,219 | ||||||||||||||
| U.S. Treasury Notes(f) |
2.375% | 02/28/15 | 4,000 | 4,100,156 | ||||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
|
8,400,737 | ||||||||||||||||
| Shares |
||||||||||||||||||
| PREFERRED STOCK — 0.1% | ||||||||||||||||||
| Banking — 0.1% |
||||||||||||||||||
| Citigroup Capital XIII, 7.875%, (Capital Security, fixed to floating preferred)(a) |
45,000 | 1,226,250 | ||||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
1,072,084,227 | ||||||||||||||||
| SHORT-TERM INVESTMENTS — 17.8% | ||||||||||||||||||
| AFFILIATED MUTUAL FUNDS |
||||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
12,203,390 | 113,613,561 | ||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
99,097,020 | 99,097,020 | ||||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
212,710,581 | ||||||||||||||||
| TOTAL INVESTMENTS — 107.3% |
|
1,284,794,808 | ||||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (7.3)% |
|
(87,288,729 | ) | |||||||||||||||
| NET ASSETS — 100.0% |
|
$ | 1,197,506,079 | |||||||||||||||
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. | |
| RegS | Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
| ABS | Asset-Backed Security | |
| BABs | Build America Bonds | |
| BBR | New Zealand Bank Bill Rate | |
| bps | Basis Points | |
| BUBOR | Budapest Interbank Offered Rate | |
| CDO | Collateralized Debt Obligation | |
| CDX | Credit Derivative Index | |
| CLO | Collateralized Loan Obligation | |
| COLIBOR | Columbia Interbank Offered Rate | |
| EURIBOR | Euro Interbank Offered Rate | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| GMTN | Global Medium Term Note | |
| GO | General Obligation | |
| I/O | Interest Only | |
| JIBAR | Johannesburg Interbank Agreed Rate | |
| LIBOR | London Interbank Offered Rate | |
| MIBOR | Mumbai Interbank Offered Rate |
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| MOSPRIME | Moscow Prime Offered Rate | |
| MTN | Medium Term Note | |
| TBA | To Be Announced | |
| TELBOR | Tel Aviv Interbank Offered Rate | |
| WIBOR | Warsaw Interbank Offered Rate | |
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CHF | Swiss Franc | |
| CNY | Chinese Yuan Renminbi | |
| COP | Colombian Peso | |
| CZK | Czech Koruna | |
| EUR | Euro | |
| GBP | British Pound | |
| HUF | Hungarian Forint | |
| ILS | Israel New Shekel | |
| INR | Indian Rupee | |
| JPY | Japanese Yen | |
| KRW | South Korean Won | |
| MXN | Mexican Peso | |
| MYR | Malaysian Ringgit | |
| NOK | Norwegian Krone | |
| NZD | New Zealand Dollar | |
| PEN | Peruvian Nuevo Sol | |
| PHP | Philippine Peso | |
| PLN | Polish Zloty | |
| RON | Romanian Leu | |
| RUB | Russian Ruble | |
| SEK | Swedish Krona | |
| SGD | Singapore Dollar | |
| TRY | Turkish Lira | |
| ZAR | South African Rand |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (b) | Indicates a security or securities that have been deemed illiquid. |
| (c) | Indicates a restricted security; the aggregate original cost of the restricted securities is $15,534,291. The aggregate value, $15,667,381, is approximately 1.3% of net assets. |
| (d) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $90,924,537; cash collateral of $93,280,167 (included with liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (e) | Represents zero coupon bond or step coupon bond. Rate quoted represents yield to maturity at purchase date. |
| (f) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (i) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (j) | Represents issuer in default on interest payments and/or principal repayments; non-income producing security. |
| (k) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2013:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 395 | 5 Year U.S. Treasury Notes | Mar. 2014 | $ | 47,388,717 | $ | 47,128,438 | $ (260,279 | ) | ||||||||||
| 2,916 | 10 Year U.S. Treasury Notes | Mar. 2014 | 364,484,184 | 358,804,688 | (5,679,496 | ) | ||||||||||||
| (5,939,775 | ) | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Open futures contracts outstanding at December 31, 2013 (continued):
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Short Positions: | ||||||||||||||||||
| 73 | Euro-Bobl | Mar. 2014 | $ | 12,625,508 | $ | 12,496,066 | $ | 129,442 | ||||||||||
| 40 | Euro-Bond | Mar. 2014 | 7,775,990 | 7,658,275 | 117,715 | |||||||||||||
| 12 | U.S. Ultra Bond | Mar. 2014 | 1,651,858 | 1,635,000 | 16,858 | |||||||||||||
| 264,015 | ||||||||||||||||||
| $ | (5,675,760 | ) | ||||||||||||||||
Forward foreign currency exchange contracts outstanding at December 31, 2013:
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Payable |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Australian Dollar, |
||||||||||||||||||
| Expiring 01/23/14 |
Citigroup Global Markets |
AUD | 9,729 | $ | 9,307,938 | $ | 8,673,223 | $ | (634,715 | ) | ||||||||
| Expiring 01/23/14 |
Goldman Sachs & Co. |
AUD | 133 | 120,700 | 118,317 | (2,383 | ) | |||||||||||
| Expiring 01/23/14 |
JPMorgan Chase & Co. |
AUD | 3,239 | 3,038,100 | 2,887,303 | (150,797 | ) | |||||||||||
| Expiring 01/23/14 |
JPMorgan Chase & Co. |
AUD | 1,306 | 1,233,000 | 1,164,501 | (68,499 | ) | |||||||||||
| Brazilian Real, |
||||||||||||||||||
| Expiring 01/17/14 |
Citigroup Global Markets |
BRL | 2,700 | 1,210,500 | 1,139,177 | (71,323 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
BRL | 5,682 | 2,536,760 | 2,394,758 | (142,002 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
BRL | 1,438 | 602,500 | 605,972 | 3,472 | ||||||||||||
| British Pound, |
||||||||||||||||||
| Expiring 01/27/14 |
Barclays Bank PLC |
GBP | 1,118 | 1,819,900 | 1,850,304 | 30,404 | ||||||||||||
| Expiring 01/27/14 |
Citigroup Global Markets |
GBP | 1,841 | 3,014,700 | 3,048,001 | 33,301 | ||||||||||||
| Expiring 01/27/14 |
Citigroup Global Markets |
GBP | 1,099 | 1,801,100 | 1,819,781 | 18,681 | ||||||||||||
| Expiring 01/27/14 |
Goldman Sachs & Co. |
GBP | 2,220 | 3,633,400 | 3,675,517 | 42,117 | ||||||||||||
| Expiring 01/27/14 |
JPMorgan Chase & Co. |
GBP | 2,579 | 4,213,800 | 4,270,708 | 56,908 | ||||||||||||
| Expiring 01/27/14 |
JPMorgan Chase & Co. |
GBP | 1,503 | 2,415,800 | 2,487,950 | 72,150 | ||||||||||||
| Expiring 01/27/14 |
JPMorgan Chase & Co. |
GBP | 701 | 1,147,078 | 1,160,109 | 13,031 | ||||||||||||
| Canadian Dollar, |
||||||||||||||||||
| Expiring 01/22/14 |
Barclays Bank PLC |
CAD | 2,581 | 2,466,000 | 2,427,996 | (38,004 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
CAD | 4,330 | 4,199,733 | 4,074,071 | (125,662 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
CAD | 1,929 | 1,845,200 | 1,815,128 | (30,072 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
CAD | 1,909 | 1,825,000 | 1,796,270 | (28,730 | ) | |||||||||||
| Expiring 01/22/14 |
Deutsche Bank |
CAD | 4,330 | 4,198,418 | 4,074,071 | (124,347 | ) | |||||||||||
| Expiring 01/22/14 |
Goldman Sachs & Co. |
CAD | 1,911 | 1,830,600 | 1,797,767 | (32,833 | ) | |||||||||||
| Expiring 01/22/14 |
JPMorgan Chase & Co. |
CAD | 1,931 | 1,849,500 | 1,817,001 | (32,499 | ) | |||||||||||
| Expiring 01/22/14 |
JPMorgan Chase & Co. |
CAD | 1,919 | 1,827,100 | 1,806,002 | (21,098 | ) | |||||||||||
| Chinese Yuan Renminbi, |
||||||||||||||||||
| Expiring 01/15/14 |
Citigroup Global Markets |
CNY | 35,935 | 5,864,296 | 5,930,230 | 65,934 | ||||||||||||
| Expiring 01/15/14 |
Citigroup Global Markets |
CNY | 22,523 | 3,696,400 | 3,716,945 | 20,545 | ||||||||||||
| Expiring 01/15/14 |
HSBC Securities, Inc. |
CNY | 18,798 | 3,067,935 | 3,102,100 | 34,165 | ||||||||||||
| Expiring 01/15/14 |
JPMorgan Chase & Co. |
CNY | 19,597 | 3,197,995 | 3,233,978 | 35,983 | ||||||||||||
| Expiring 01/15/14 |
UBS AG |
CNY | 22,584 | 3,684,635 | 3,727,005 | 42,370 | ||||||||||||
| Colombian Peso, |
||||||||||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
COP | 2,301,384 | 1,214,707 | 1,191,859 | (22,848 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
COP | 1,409,658 | 739,590 | 730,045 | (9,545 | ) | |||||||||||
| Czech Koruna, |
||||||||||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
CZK | 34,421 | 1,848,200 | 1,733,662 | (114,538 | ) | |||||||||||
| Euro, |
||||||||||||||||||
| Expiring 01/27/14 |
Barclays Bank PLC |
EUR | 2,212 | 3,027,704 | 3,042,924 | 15,220 | ||||||||||||
| Expiring 01/27/14 |
Barclays Bank PLC |
EUR | 1,346 | 1,842,417 | 1,851,676 | 9,259 | ||||||||||||
| Expiring 01/27/14 |
Citigroup Global Markets |
EUR | 1,940 | 2,673,298 | 2,668,580 | (4,718 | ) | |||||||||||
| Expiring 01/27/14 |
Citigroup Global Markets |
EUR | 1,346 | 1,855,070 | 1,852,226 | (2,844 | ) | |||||||||||
| Expiring 01/27/14 |
Citigroup Global Markets |
EUR | 210 | 284,778 | 288,238 | 3,460 | ||||||||||||
| Expiring 01/27/14 |
Credit Suisse |
EUR | 4,258 | 5,869,684 | 5,858,080 | (11,604 | ) | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A49
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2013 (continued):
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Payable |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Euro (continued), |
||||||||||||||||||
| Expiring 01/27/14 |
Goldman Sachs & Co. |
EUR | 4,034 | $ | 5,435,500 | $ | 5,548,998 | $ | 113,498 | |||||||||
| Expiring 01/27/14 |
Goldman Sachs & Co. |
EUR | 1,799 | 2,411,600 | 2,474,757 | 63,157 | ||||||||||||
| Expiring 01/27/14 |
Goldman Sachs & Co. |
EUR | 1,776 | 2,449,700 | 2,443,533 | (6,167 | ) | |||||||||||
| Expiring 01/27/14 |
JPMorgan Chase & Co. |
EUR | 1,786 | 2,426,600 | 2,457,494 | 30,894 | ||||||||||||
| Hungarian Forint, |
||||||||||||||||||
| Expiring 01/24/14 |
UBS AG |
HUF | 389,529 | 1,787,200 | 1,800,150 | 12,950 | ||||||||||||
| Expiring 01/24/14 |
Citigroup Global Markets |
HUF | 394,721 | 1,828,800 | 1,824,143 | (4,657 | ) | |||||||||||
| Expiring 01/24/14 |
Citigroup Global Markets |
HUF | 134,864 | 614,278 | 623,255 | 8,977 | ||||||||||||
| Expiring 01/24/14 |
Citigroup Global Markets |
HUF | 134,864 | 614,446 | 623,255 | 8,809 | ||||||||||||
| Expiring 01/24/14 |
Deutsche Bank |
HUF | 788,013 | 3,642,137 | 3,641,683 | (454 | ) | |||||||||||
| Expiring 01/24/14 |
HSBC Securities, Inc. |
HUF | 788,013 | 3,667,735 | 3,641,683 | (26,052 | ) | |||||||||||
| Indian Rupee, |
||||||||||||||||||
| Expiring 02/03/14 |
Citigroup Global Markets |
INR | 76,063 | 1,209,500 | 1,229,699 | 20,199 | ||||||||||||
| Expiring 02/03/14 |
UBS AG |
INR | 263,466 | 4,183,656 | 4,223,774 | 40,118 | ||||||||||||
| Expiring 02/03/14 |
UBS AG |
INR | 397,774 | 6,249,645 | 6,376,953 | 127,308 | ||||||||||||
| Japanese Yen, |
||||||||||||||||||
| Expiring 01/27/14 |
Citigroup Global Markets |
JPY | 34,014 | 339,546 | 323,036 | (16,510 | ) | |||||||||||
| Expiring 01/27/14 |
Goldman Sachs & Co. |
JPY | 170,160 | 1,726,200 | 1,616,015 | (110,185 | ) | |||||||||||
| Malaysian Ringgit, |
||||||||||||||||||
| Expiring 01/16/14 |
UBS AG |
MYR | 3,922 | 1,214,200 | 1,196,254 | (17,946 | ) | |||||||||||
| Expiring 01/22/14 |
UBS AG |
MYR | 5,796 | 1,817,500 | 1,766,933 | (50,567 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
MYR | 5,833 | 1,849,500 | 1,778,309 | (71,191 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
MYR | 5,799 | 1,822,900 | 1,767,848 | (55,052 | ) | |||||||||||
| Mexican Peso, |
||||||||||||||||||
| Expiring 01/22/14 |
UBS AG |
MXN | 23,719 | 1,813,200 | 1,813,170 | (30 | ) | |||||||||||
| Expiring 01/22/14 |
Barclays Bank PLC |
MXN | 23,888 | 1,808,700 | 1,826,135 | 17,435 | ||||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
MXN | 39,817 | 3,075,800 | 3,043,842 | (31,958 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
MXN | 31,301 | 2,407,900 | 2,392,811 | (15,089 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
MXN | 23,969 | 1,849,500 | 1,832,320 | (17,180 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
MXN | 23,274 | 1,805,400 | 1,779,204 | (26,196 | ) | |||||||||||
| Expiring 01/22/14 |
JPMorgan Chase & Co. |
MXN | 108,206 | 8,384,694 | 8,271,839 | (112,855 | ) | |||||||||||
| Expiring 01/22/14 |
Morgan Stanley & Co. |
MXN | 23,924 | 1,845,500 | 1,828,885 | (16,615 | ) | |||||||||||
| New Zealand Dollar, |
||||||||||||||||||
| Expiring 01/23/14 |
Citigroup Global Markets |
NZD | 10,977 | 9,134,774 | 9,012,265 | (122,509 | ) | |||||||||||
| Expiring 01/23/14 |
JPMorgan Chase & Co. |
NZD | 1,499 | 1,230,100 | 1,231,010 | 910 | ||||||||||||
| Expiring 10/23/14 |
Goldman Sachs & Co. |
NZD | 3,824 | 3,082,500 | 3,063,790 | (18,710 | ) | |||||||||||
| Norwegian Krone, |
||||||||||||||||||
| Expiring 01/24/14 |
UBS AG |
NOK | 10,933 | 1,848,200 | 1,800,827 | (47,373 | ) | |||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
NOK | 14,461 | 2,438,300 | 2,382,023 | (56,277 | ) | |||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
NOK | 11,119 | 1,811,800 | 1,831,563 | 19,763 | ||||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
NOK | 11,065 | 1,808,800 | 1,822,552 | 13,752 | ||||||||||||
| Expiring 01/24/14 |
Citigroup Global Markets |
NOK | 11,102 | 1,805,800 | 1,828,731 | 22,931 | ||||||||||||
| Expiring 01/24/14 |
Credit Suisse |
NOK | 17,999 | 3,026,566 | 2,964,867 | (61,699 | ) | |||||||||||
| Expiring 01/24/14 |
Deutsche Bank |
NOK | 10,915 | 1,795,700 | 1,797,883 | 2,183 | ||||||||||||
| Expiring 01/24/14 |
Goldman Sachs & Co. |
NOK | 14,848 | 2,422,300 | 2,445,727 | 23,427 | ||||||||||||
| Expiring 01/24/14 |
JPMorgan Chase & Co. |
NOK | 17,999 | 3,026,764 | 2,964,867 | (61,897 | ) | |||||||||||
| Expiring 01/24/14 |
Morgan Stanley & Co. |
NOK | 10,896 | 1,849,500 | 1,794,850 | (54,650 | ) | |||||||||||
| Peruvian Nuevo Sol, |
||||||||||||||||||
| Expiring 02/04/14 |
Citigroup Global Markets |
PEN | 6,714 | 2,407,085 | 2,386,287 | (20,798 | ) | |||||||||||
| Philippine Peso, |
||||||||||||||||||
| Expiring 01/17/14 |
UBS AG |
PHP | 184,909 | 4,240,961 | 4,167,330 | (73,631 | ) | |||||||||||
| Polish Zloty, |
||||||||||||||||||
| Expiring 01/24/14 |
Citigroup Global Markets |
PLN | 5,638 | 1,811,800 | 1,863,258 | 51,458 | ||||||||||||
| Expiring 01/24/14 |
Goldman Sachs & Co. |
PLN | 9,225 | 3,009,800 | 3,048,732 | 38,932 | ||||||||||||
| Expiring 01/24/14 |
JPMorgan Chase & Co. |
PLN | 30,792 | 10,065,887 | 10,176,494 | 110,607 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A50
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2013 (continued):
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Payable |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Romanian Leu, |
||||||||||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
RON | 10,053 | $ | 3,084,801 | $ | 3,089,690 | $ | 4,889 | |||||||||
| Expiring 01/24/14 |
Citigroup Global Markets |
RON | 10,053 | 3,087,170 | 3,089,690 | 2,520 | ||||||||||||
| Expiring 01/24/14 |
Deutsche Bank |
RON | 5,968 | 1,849,500 | 1,834,180 | (15,320 | ) | |||||||||||
| Russian Ruble, |
||||||||||||||||||
| Expiring 01/17/14 |
Citigroup Global Markets |
RUB | 39,610 | 1,210,500 | 1,200,683 | (9,817 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
RUB | 39,374 | 1,219,200 | 1,192,461 | (26,739 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
RUB | 39,173 | 1,182,879 | 1,186,367 | 3,488 | ||||||||||||
| Expiring 01/22/14 |
Credit Suisse |
RUB | 39,603 | 1,232,100 | 1,199,388 | (32,712 | ) | |||||||||||
| Singapore Dollar, |
||||||||||||||||||
| Expiring 01/17/14 |
Credit Suisse |
SGD | 5,715 | 4,597,291 | 4,529,019 | (68,272 | ) | |||||||||||
| Expiring 01/17/14 |
Deutsche Bank |
SGD | 5,715 | 4,599,049 | 4,529,020 | (70,029 | ) | |||||||||||
| South African Rand, |
||||||||||||||||||
| Expiring 01/30/14 |
Barclays Bank PLC |
ZAR | 23,730 | 2,376,596 | 2,252,133 | (124,463 | ) | |||||||||||
| Expiring 01/30/14 |
Barclays Bank PLC |
ZAR | 369 | 35,132 | 35,063 | (69 | ) | |||||||||||
| Expiring 01/30/14 |
Citigroup Global Markets |
ZAR | 12,331 | 1,213,000 | 1,170,287 | (42,713 | ) | |||||||||||
| South Korean Won, |
||||||||||||||||||
| Expiring 01/17/14 |
UBS AG |
KRW | 5,514,677 | 5,088,044 | 5,225,448 | 137,404 | ||||||||||||
| Expiring 01/17/14 |
UBS AG |
KRW | 1,944,514 | 1,811,800 | 1,840,259 | 28,459 | ||||||||||||
| Expiring 01/17/14 |
UBS AG |
KRW | 1,286,414 | 1,207,900 | 1,217,443 | 9,543 | ||||||||||||
| Swedish Krona, |
||||||||||||||||||
| Expiring 01/24/14 |
UBS AG |
SEK | 15,952 | 2,450,400 | 2,479,121 | 28,721 | ||||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
SEK | 15,875 | 2,421,300 | 2,467,139 | 45,839 | ||||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
SEK | 11,932 | 1,811,300 | 1,854,379 | 43,079 | ||||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
SEK | 11,841 | 1,808,800 | 1,840,160 | 31,360 | ||||||||||||
| Expiring 01/24/14 |
Credit Suisse |
SEK | 49,669 | 7,765,224 | 7,719,039 | (46,185 | ) | |||||||||||
| Expiring 01/24/14 |
Deutsche Bank |
SEK | 15,389 | 2,394,300 | 2,391,614 | (2,686 | ) | |||||||||||
| Expiring 01/24/14 |
Deutsche Bank |
SEK | 11,701 | 1,845,500 | 1,818,458 | (27,042 | ) | |||||||||||
| Swiss Franc, |
||||||||||||||||||
| Expiring 01/24/14 |
Credit Suisse |
CHF | 2,730 | 3,062,100 | 3,060,425 | (1,675 | ) | |||||||||||
| Expiring 01/24/14 |
Deutsche Bank |
CHF | 1,637 | 1,837,300 | 1,835,166 | (2,134 | ) | |||||||||||
| Turkish Lira, |
||||||||||||||||||
| Expiring 01/30/14 |
Citigroup Global Markets |
TRY | 3,723 | 1,817,500 | 1,721,193 | (96,307 | ) | |||||||||||
| Expiring 01/30/14 |
Citigroup Global Markets |
TRY | 3,714 | 1,822,900 | 1,717,287 | (105,613 | ) | |||||||||||
| Expiring 01/30/14 |
Citigroup Global Markets |
TRY | 2,462 | 1,213,000 | 1,138,362 | (74,638 | ) | |||||||||||
| Expiring 01/30/14 |
Goldman Sachs & Co. |
TRY | 500 | 241,600 | 231,134 | (10,466 | ) | |||||||||||
| Expiring 01/30/14 |
JPMorgan Chase & Co. |
TRY | 3,724 | 1,811,800 | 1,721,755 | (90,045 | ) | |||||||||||
| $ | 286,199,496 | $ | 284,146,872 | $ | (2,052,624 | ) | ||||||||||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Receivable |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Australian Dollar, |
||||||||||||||||||
| Expiring 01/23/14 |
Citigroup Global Markets |
AUD | 1,466 | $ | 1,383,363 | $ | 1,307,022 | $ | 76,341 | |||||||||
| Expiring 01/23/14 |
Goldman Sachs & Co. |
AUD | 1,700 | 1,583,500 | 1,515,263 | 68,237 | ||||||||||||
| Expiring 01/23/14 |
Goldman Sachs & Co. |
AUD | 2,585 | 2,433,300 | 2,304,523 | 128,777 | ||||||||||||
| Expiring 01/23/14 |
Goldman Sachs & Co. |
AUD | 3,288 | 3,020,100 | 2,931,554 | 88,546 | ||||||||||||
| Expiring 01/23/14 |
JPMorgan Chase & Co. |
AUD | 5,164 | 4,928,500 | 4,603,465 | 325,035 | ||||||||||||
| Brazilian Real, |
||||||||||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
BRL | 3,415 | 1,470,300 | 1,439,117 | 31,183 | ||||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
BRL | 2,762 | 1,232,100 | 1,164,168 | 67,932 | ||||||||||||
| British Pound, |
||||||||||||||||||
| Expiring 01/27/14 |
Citigroup Global Markets |
GBP | 398 | 637,678 | 658,288 | (20,610 | ) | |||||||||||
| Expiring 01/27/14 |
Citigroup Global Markets |
GBP | 3,899 | 6,300,914 | 6,455,679 | (154,765 | ) | |||||||||||
| Expiring 01/27/14 |
Credit Suisse |
GBP | 1,877 | 3,042,172 | 3,108,078 | (65,906 | ) | |||||||||||
| Expiring 01/27/14 |
JPMorgan Chase & Co. |
GBP | 1,144 | 1,848,200 | 1,894,287 | (46,087 | ) | |||||||||||
| Expiring 01/27/14 |
JPMorgan Chase & Co. |
GBP | 2,558 | 4,170,100 | 4,234,640 | (64,540 | ) | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2013 (continued):
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Receivable |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Canadian Dollar, |
||||||||||||||||||
| Expiring 01/22/14 |
UBS AG |
CAD | 5,704 | $ | 5,435,500 | $ | 5,366,491 | $ | 69,009 | |||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
CAD | 3,174 | 3,020,100 | 2,986,403 | 33,697 | ||||||||||||
| Expiring 01/22/14 |
Goldman Sachs & Co. |
CAD | 4,843 | 4,654,400 | 4,556,377 | 98,023 | ||||||||||||
| Expiring 01/22/14 |
JPMorgan Chase & Co. |
CAD | 3,185 | 3,018,900 | 2,996,527 | 22,373 | ||||||||||||
| Expiring 01/22/14 |
JPMorgan Chase & Co. |
CAD | 3,823 | 3,674,600 | 3,596,506 | 78,094 | ||||||||||||
| Colombian Peso, |
||||||||||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
COP | 1,410,432 | 744,410 | 730,446 | 13,964 | ||||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
COP | 2,322,778 | 1,224,900 | 1,202,939 | 21,961 | ||||||||||||
| Czech Koruna, |
||||||||||||||||||
| Expiring 01/24/14 |
Deutsche Bank |
CZK | 35,093 | 1,849,500 | 1,767,526 | 81,974 | ||||||||||||
| Euro, |
||||||||||||||||||
| Expiring 01/27/14 |
Barclays Bank PLC |
EUR | 94 | 128,954 | 128,895 | 59 | ||||||||||||
| Expiring 01/27/14 |
Credit Suisse |
EUR | 1,932 | 2,653,444 | 2,657,532 | (4,088 | ) | |||||||||||
| Expiring 01/27/14 |
Goldman Sachs & Co. |
EUR | 4,898 | 6,658,200 | 6,737,531 | (79,331 | ) | |||||||||||
| Hungarian Forint, |
||||||||||||||||||
| Expiring 01/24/14 |
UBS AG |
HUF | 1,636,048 | 7,380,700 | 7,560,751 | (180,051 | ) | |||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
HUF | 380,693 | 1,694,900 | 1,759,316 | (64,416 | ) | |||||||||||
| Expiring 01/24/14 |
Citigroup Global Markets |
HUF | 268,840 | 1,211,100 | 1,242,405 | (31,305 | ) | |||||||||||
| Indian Rupee, |
||||||||||||||||||
| Expiring 03/04/14 |
UBS AG |
INR | 112,373 | 1,937,300 | 1,789,995 | 147,305 | ||||||||||||
| Expiring 03/04/14 |
UBS AG |
INR | 112,966 | 1,944,500 | 1,799,435 | 145,065 | ||||||||||||
| Expiring 03/04/14 |
UBS AG |
INR | 133,937 | 2,325,300 | 2,133,492 | 191,808 | ||||||||||||
| Expiring 03/04/14 |
UBS AG |
INR | 151,938 | 2,591,700 | 2,420,232 | 171,468 | ||||||||||||
| Expiring 03/04/14 |
Citigroup Global Markets |
INR | 69,996 | 1,093,000 | 1,114,964 | (21,964 | ) | |||||||||||
| Expiring 03/04/14 |
Citigroup Global Markets |
INR | 70,391 | 1,123,200 | 1,121,260 | 1,940 | ||||||||||||
| Expiring 03/04/14 |
Citigroup Global Markets |
INR | 87,301 | 1,330,000 | 1,390,624 | (60,624 | ) | |||||||||||
| Japanese Yen, |
||||||||||||||||||
| Expiring 01/27/14 |
Barclays Bank PLC |
JPY | 96,429 | 991,783 | 915,793 | 75,990 | ||||||||||||
| Expiring 01/27/14 |
Credit Suisse |
JPY | 182,354 | 1,849,500 | 1,731,824 | 117,676 | ||||||||||||
| Malaysian Ringgit, |
||||||||||||||||||
| Expiring 01/16/14 |
Citigroup Global Markets |
MYR | 3,922 | 1,219,750 | 1,196,254 | 23,496 | ||||||||||||
| Expiring 01/22/14 |
UBS AG |
MYR | 7,842 | 2,407,800 | 2,390,723 | 17,077 | ||||||||||||
| Expiring 01/22/14 |
UBS AG |
MYR | 9,471 | 2,911,900 | 2,887,254 | 24,646 | ||||||||||||
| Mexican Peso, |
||||||||||||||||||
| Expiring 01/22/14 |
UBS AG |
MXN | 15,939 | 1,213,300 | 1,218,467 | (5,167 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
MXN | 32,236 | 2,464,199 | 2,464,261 | (62 | ) | |||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
MXN | 84,383 | 6,416,100 | 6,450,688 | (34,588 | ) | |||||||||||
| Expiring 01/22/14 |
Credit Suisse |
MXN | 48,253 | 3,722,400 | 3,688,711 | 33,689 | ||||||||||||
| Expiring 01/22/14 |
JPMorgan Chase & Co. |
MXN | 32,353 | 2,450,400 | 2,473,219 | (22,819 | ) | |||||||||||
| Expiring 01/22/14 |
Morgan Stanley & Co. |
MXN | 39,901 | 3,062,100 | 3,050,245 | 11,855 | ||||||||||||
| New Zealand Dollar, |
||||||||||||||||||
| Expiring 01/23/14 |
Goldman Sachs & Co. |
NZD | 1,485 | 1,232,100 | 1,219,371 | 12,729 | ||||||||||||
| Expiring 01/23/14 |
Goldman Sachs & Co. |
NZD | 2,234 | 1,845,500 | 1,834,417 | 11,083 | ||||||||||||
| Expiring 01/23/14 |
Goldman Sachs & Co. |
NZD | 3,582 | 2,952,700 | 2,941,021 | 11,679 | ||||||||||||
| Expiring 01/23/14 |
JPMorgan Chase & Co. |
NZD | 5,056 | 4,105,700 | 4,150,623 | (44,923 | ) | |||||||||||
| Expiring 01/23/14 |
Morgan Stanley & Co. |
NZD | 3,675 | 3,062,100 | 3,017,426 | 44,674 | ||||||||||||
| Norwegian Krone, |
||||||||||||||||||
| Expiring 01/24/14 |
Citigroup Global Markets |
NOK | 11,141 | 1,815,900 | 1,835,164 | (19,264 | ) | |||||||||||
| Expiring 01/24/14 |
Citigroup Global Markets |
NOK | 36,784 | 6,126,100 | 6,059,015 | 67,085 | ||||||||||||
| Expiring 01/24/14 |
Goldman Sachs & Co. |
NOK | 14,844 | 2,422,300 | 2,445,025 | (22,725 | ) | |||||||||||
| Expiring 01/24/14 |
Morgan Stanley & Co. |
NOK | 17,328 | 2,801,600 | 2,854,213 | (52,613 | ) | |||||||||||
| Expiring 01/24/14 |
Morgan Stanley & Co. |
NOK | 18,392 | 3,041,700 | 3,029,470 | 12,230 | ||||||||||||
| Peruvian Nuevo Sol, |
||||||||||||||||||
| Expiring 02/04/14 |
Citigroup Global Markets |
PEN | 6,861 | 2,426,100 | 2,438,508 | (12,408 | ) | |||||||||||
| Philippine Peso, |
||||||||||||||||||
| Expiring 03/17/14 |
Citigroup Global Markets |
PHP | 185,239 | 4,231,900 | 4,178,207 | 53,693 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2013 (continued):
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Receivable |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Polish Zloty, |
||||||||||||||||||
| Expiring 01/24/14 |
Morgan Stanley & Co. |
PLN | 24,657 | $ | 7,872,800 | $ | 8,148,955 | $ | (276,155 | ) | ||||||||
| Romanian Leu, |
||||||||||||||||||
| Expiring 01/24/14 |
JPMorgan Chase & Co. |
RON | 14,402 | 4,351,800 | 4,426,054 | (74,254 | ) | |||||||||||
| Russian Ruble, |
||||||||||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
RUB | 52,139 | 1,602,800 | 1,579,056 | 23,744 | ||||||||||||
| Expiring 01/22/14 |
Citigroup Global Markets |
RUB | 109,032 | 3,288,800 | 3,302,082 | (13,282 | ) | |||||||||||
| Singapore Dollar, |
||||||||||||||||||
| Expiring 01/17/14 |
UBS AG |
SGD | 4,529 | 3,627,400 | 3,588,886 | 38,514 | ||||||||||||
| Expiring 01/17/14 |
Goldman Sachs & Co. |
SGD | 2,266 | 1,811,300 | 1,795,259 | 16,041 | ||||||||||||
| Expiring 01/17/14 |
Goldman Sachs & Co. |
SGD | 4,552 | 3,631,700 | 3,607,165 | 24,535 | ||||||||||||
| South African Rand, |
||||||||||||||||||
| Expiring 01/30/14 |
Citigroup Global Markets |
ZAR | 11,289 | 1,092,000 | 1,071,410 | 20,590 | ||||||||||||
| Expiring 01/30/14 |
JPMorgan Chase & Co. |
ZAR | 25,356 | 2,460,200 | 2,406,475 | 53,725 | ||||||||||||
| South Korean Won, |
||||||||||||||||||
| Expiring 01/17/14 |
UBS AG |
KRW | 3,520,871 | 3,264,600 | 3,332,100 | (67,500 | ) | |||||||||||
| Expiring 01/17/14 |
Citigroup Global Markets |
KRW | 1,956,620 | 1,813,700 | 1,851,715 | (38,015 | ) | |||||||||||
| Swedish Krona, |
||||||||||||||||||
| Expiring 01/24/14 |
UBS AG |
SEK | 11,890 | 1,849,500 | 1,847,884 | 1,616 | ||||||||||||
| Expiring 01/24/14 |
UBS AG |
SEK | 43,134 | 6,621,600 | 6,703,381 | (81,781 | ) | |||||||||||
| Expiring 01/24/14 |
UBS AG |
SEK | 50,363 | 7,767,900 | 7,826,813 | (58,913 | ) | |||||||||||
| Expiring 01/24/14 |
Barclays Bank PLC |
SEK | 15,344 | 2,314,400 | 2,384,530 | (70,130 | ) | |||||||||||
| Swiss Franc, |
||||||||||||||||||
| Expiring 01/24/14 |
Brown Brothers Harriman & Co. |
CHF | 2,205 | 2,462,799 | 2,472,257 | (9,458 | ) | |||||||||||
| Expiring 01/24/14 |
Credit Suisse |
CHF | 2,161 | 2,405,420 | 2,423,333 | (17,913 | ) | |||||||||||
| Turkish Lira, |
||||||||||||||||||
| Expiring 01/30/14 |
Citigroup Global Markets |
TRY | 56,614 | 28,157,039 | 26,174,666 | 1,982,373 | ||||||||||||
| Expiring 01/30/14 |
Deutsche Bank |
TRY | 1,734 | 862,500 | 801,556 | 60,944 | ||||||||||||
| Expiring 01/30/14 |
Deutsche Bank |
TRY | 6,180 | 3,026,500 | 2,857,161 | 169,339 | ||||||||||||
| Expiring 01/30/14 |
Goldman Sachs & Co. |
TRY | 7,458 | 3,639,900 | 3,447,988 | 191,912 | ||||||||||||
| $ | 246,442,425 | $ | 243,194,356 | $ | 3,248,069 | |||||||||||||
| $ | 1,195,445 | |||||||||||||||||
Cross currency exchange contracts outstanding at December 31, 2013:
| Settlement |
Type |
Notional Amount (000) |
In Exchange for (000) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||
| 01/24/14 | BUY | EUR | 1,805 | PLN | 7,630 | $ | (39,109 | ) | Goldman Sachs & Co. | |||||||
| 01/24/14 | BUY | SEK | 15,921 | EUR | 1,793 | 8,310 | Deutsche Bank | |||||||||
| 01/27/14 | BUY | EUR | 1,767 | GBP | 1,477 | (13,936 | ) | JPMorgan Chase & Co. | ||||||||
| 01/27/14 | BUY | EUR | 3,952 | GBP | 3,334 | (82,258 | ) | Goldman Sachs & Co. | ||||||||
| 01/30/14 | BUY | TRY | 753 | EUR | 273 | (28,016 | ) | Goldman Sachs & Co. | ||||||||
| $ | (155,009 | ) | ||||||||||||||
Interest rate swap agreements outstanding at December 31, 2013:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||||
| 15,385 | 12/14/14 | 0.351% | 3 month LIBOR(2) |
$ | 7,775 | $ | — | $ | 7,775 | Citigroup Global Markets | ||||||||||||||||
| 19,220 | 01/25/16 | 0.503% | 3 month LIBOR(1) |
(32,718 | ) | — | (32,718 | ) | Citigroup Global Markets | |||||||||||||||||
| 59,295 | 08/31/16 | 0.934% | 3 month LIBOR(2) |
510,484 | — | 510,484 | Credit Suisse First Boston Corp. | |||||||||||||||||||
| 17,550 | 08/31/17 | 0.751% | 3 month LIBOR(2) |
232,961 | — | 232,961 | Bank of Nova Scotia | |||||||||||||||||||
| 870 | 04/18/18 | 0.986% | 6 month LIBOR(1) |
20,577 | — | 20,577 | Citigroup Global Markets | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Interest rate swap agreements outstanding at December 31, 2013 (continued):
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements (continued): | |||||||||||||||||||||||||
| 25,690 | 11/15/19 | 1.334% | 3 month LIBOR(1) |
$ | 1,113,375 | $ | — | $ | 1,113,375 | Citigroup Global Markets | ||||||||||||||||
| 2,225 | 04/19/20 | 1.441% | 6 month LIBOR(1) |
119,241 | — | 119,241 | Citigroup Global Markets | |||||||||||||||||||
| 2,090 | 12/13/27 | 2.200% | 3 month LIBOR(2) |
(320,499 | ) | — | (320,499 | ) | Barclays Capital Group | |||||||||||||||||
| AUD | 1,270 | 12/19/32 | 4.423% | 6 month Australian Bank Bill Rate(2) |
(77,511 | ) | — | (77,511 | ) | Citigroup Global Markets | ||||||||||||||||
| AUD | 1,620 | 12/20/32 | 4.420% | 6 month Australian Bank Bill Rate(2) |
(99,727 | ) | — | (99,727 | ) | Citigroup Global Markets | ||||||||||||||||
| BRL | 7,942 | 01/01/17 | 0.00% | 1 day Brazil Interbank Rate(2) |
(373,321 | ) | — | (373,321 | ) | Citigroup Global Markets | ||||||||||||||||
| BRL | 13,135 | 01/01/17 | 9.130% | 1 day Brazil Interbank Rate(2) |
(421,934 | ) | — | (421,934 | ) | Barclays Bank Group | ||||||||||||||||
| BRL | 37,393 | 01/02/17 | 10.580% | 1 day Brazil Interbank Rate(2) |
(632,137 | ) | — | (632,137 | ) | HSBC Bank USA NA | ||||||||||||||||
| COP | 1,935,000 | 11/19/18 | 0.00% | 1 day COLIBOR OIS(2) |
12,020 | — | 12,020 | HSBC Bank USA, NA | ||||||||||||||||||
| COP | 1,935,000 | 11/20/18 | 0.00% | 1 day COLIBOR OIS(2) |
7,844 | — | 7,844 | Deutsche Bank AG | ||||||||||||||||||
| EUR | 13,985 | 12/14/14 | 0.349% | 6 month EURIBOR(1) |
8,261 | — | 8,261 | Citigroup Global Markets | ||||||||||||||||||
| EUR | 16,020 | 01/25/16 | 0.695% | 6 month EURIBOR(2) |
201,648 | — | 201,648 | Citigroup Global Markets | ||||||||||||||||||
| EUR | 1,640 | 12/13/27 | 2.065% | 6 month EURIBOR(1) |
124,541 | — | 124,541 | Barclays Capital Group | ||||||||||||||||||
| ILS | 40,700 | 11/20/18 | 2.163% | 3 month TELBOR(2) |
(63,836 | ) | — | (63,836 | ) | Barclays Bank, PLC | ||||||||||||||||
| MXN | 65,000 | 12/02/15 | 5.080% | 28 day Mexican Interbank Rate(2) |
83,720 | — | 83,720 | Morgan Stanley Capital Services | ||||||||||||||||||
| MXN | 76,000 | 06/20/18 | 6.020% | 28 day Mexican Interbank Rate(2) |
166,926 | — | 166,926 | Credit Suisse International Corp. | ||||||||||||||||||
| MXN | 73,100 | 11/09/18 | 5.410% | 28 day Mexican Interbank Rate(2) |
(21,357 | ) | — | (21,357 | ) | Deutsche Bank AG | ||||||||||||||||
| MXN | 48,200 | 05/25/22 | 6.370% | 28 day Mexican Interbank Rate(2) |
(42,696 | ) | — | (42,696 | ) | Morgan Stanley & Co., Inc. | ||||||||||||||||
| MXN | 20,100 | 04/28/23 | 5.100% | 28 day Mexican Interbank Rate(2) |
(191,497 | ) | — | (191,497 | ) | Barclays Bank PLC | ||||||||||||||||
| MXN | 43,400 | 10/20/23 | 6.540% | 28 day Mexican Interbank Rate(2) |
(72,533 | ) | — | (72,533 | ) | Deutsche Bank | ||||||||||||||||
| NZD | 13,400 | 08/18/16 | 4.173% | 3 month BBR(2) |
163,332 | — | 163,332 | Citigroup Global Markets | ||||||||||||||||||
| NZD | 4,320 | 03/26/17 | 3.810% | 3 month BBR(2) |
(15,172 | ) | — | (15,172 | ) | HSBC Bank USA NA | ||||||||||||||||
| NZD | 325 | 08/12/18 | 4.143% | 3 month BBR(2) |
(2,065 | ) | — | (2,065 | ) | Citigroup Global Markets | ||||||||||||||||
| NZD | 245 | 08/13/18 | 4.160% | 3 month BBR(2) |
(1,402 | ) | — | (1,402 | ) | Citigroup Global Markets | ||||||||||||||||
| NZD | 245 | 08/13/18 | 4.218% | 3 month BBR(2) |
(876 | ) | — | (876 | ) | Barclays Capital Group | ||||||||||||||||
| NZD | 1,960 | 09/25/22 | 3.790% | 3 month BBR(2) |
(141,967 | ) | — | (141,967 | ) | Citigroup Global Markets | ||||||||||||||||
| NZD | 330 | 08/12/23 | 4.648% | 3 month BBR(2) |
(8,228 | ) | — | (8,228 | ) | Citigroup Global Markets | ||||||||||||||||
| NZD | 240 | 08/13/23 | 4.668% | 3 month BBR(2) |
(5,678 | ) | — | (5,678 | ) | Citigroup Global Markets | ||||||||||||||||
| NZD | 240 | 08/13/23 | 4.730% | 3 month BBR(2) |
(4,697 | ) | — | (4,697 | ) | Barclays Capital Group | ||||||||||||||||
| PLN | 31,900 | 06/28/18 | 3.736% | 6 month WIBOR(2) |
260,195 | — | 260,195 | Citigroup Global Markets | ||||||||||||||||||
| RUB | 95,000 | 05/17/23 | 7.250% | 3 month MOSPRIME(2) |
36,289 | — | 36,289 | Credit Suisse International | ||||||||||||||||||
| RUB | 95,000 | 05/20/23 | 7.250% | 3 month MOSPRIME(2) |
35,227 | — | 35,227 | Credit Suisse International | ||||||||||||||||||
| ZAR | 63,400 | 06/25/18 | 7.420% | 3 month JIBAR(2) |
51,580 | — | 51,580 | Barclays Bank PLC | ||||||||||||||||||
| ZAR | 10,000 | 09/03/33 | 8.970% | 3 month JIBAR(2) |
16,936 | — | 16,936 | HSBC Bank USA NA | ||||||||||||||||||
| $ | 643,081 | $ | — | $ | 643,081 | |||||||||||||||||||||
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
Exchange-traded swap agreements: |
| ||||||||||||||||||||||
| 24,320 | 08/29/15 | 0.740% | 3 month LIBOR(1) |
$ | 174 | $ | (63,653 | ) | $ | (63,827 | ) | |||||||||||||
| 5,945 | 11/27/18 | 1.592% | 3 month LIBOR(2) |
177 | 44,439 | 44,262 | ||||||||||||||||||
| 22,775 | 08/31/20 | 2.085% | 3 month LIBOR(2) |
286 | 419,949 | 419,663 | ||||||||||||||||||
| 18,000 | 08/31/20 | 2.160% | 3 month LIBOR(1) |
258 | 245,464 | 245,206 | ||||||||||||||||||
| 19,625 | 08/31/20 | 2.219% | 3 month LIBOR(2) |
268 | 194,640 | 194,372 | ||||||||||||||||||
| 21,315 | 08/31/20 | 2.220% | 3 month LIBOR(2) |
278 | 210,091 | 209,813 | ||||||||||||||||||
| 19,125 | 08/31/20 | 2.278% | 3 month LIBOR(1) |
265 | 117,793 | 117,528 | ||||||||||||||||||
| 250 | 05/09/23 | 1.955% | 3 month LIBOR(2) |
— | (21,937 | ) | (21,937 | ) | ||||||||||||||||
| 30,450 | 08/07/23 | 4.248% | 3 month LIBOR(2) |
287 | (375,726 | ) | (376,013 | ) | ||||||||||||||||
| 13,270 | 08/08/23 | 4.283% | 3 month LIBOR(2) |
210 | (144,586 | ) | (144,796 | ) | ||||||||||||||||
| 13,270 | 08/09/23 | 4.231% | 3 month LIBOR(2) |
210 | (173,695 | ) | (173,905 | ) | ||||||||||||||||
| EUR | 43,700 | 09/11/15 | 0.565% | 6 month EURIBOR(1) |
352 | (79,970 | ) | (80,322 | ) | |||||||||||||||
| GBP | 3,800 | 11/21/23 | 2.761% | 6 month GBP LIBOR(2) |
292 | (119,662 | ) | (119,954 | ) | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
Exchange-traded swap agreements (continued): |
| ||||||||||||||||||||||
| HUF | 1,380,000 | 11/18/18 | 4.340% | 6 month BUBOR(2) |
$ | 29 | $ | 74,951 | $ | 74,922 | ||||||||||||||
| HUF | 209,900 | 09/02/23 | 6.085% | 6 month BUBOR(2) |
8 | 68,270 | 68,262 | |||||||||||||||||
| HUF | 400,000 | 09/03/23 | 5.940% | 6 month BUBOR(2) |
14 | 109,412 | 109,398 | |||||||||||||||||
| NZD | 32,430 | 09/01/15 | 3.858% | 3 month NZD LIBOR(2) |
142 | (56,973 | ) | (57,115 | ) | |||||||||||||||
| PLN | 25,000 | 09/03/18 | 3.985% | 6 month WIBOR(2) |
81 | 123,874 | 123,793 | |||||||||||||||||
| PLN | 10,000 | 11/18/23 | 4.020% | 6 month WIBOR(2) |
74 | (50,512 | ) | (50,586 | ) | |||||||||||||||
| ZAR | 20,000 | 10/22/23 | 7.625% | 3 month JIBAR(2) |
32 | (76,595 | ) | (76,627 | ) | |||||||||||||||
| ZAR | 38,300 | 11/14/23 | 8.190% | 3 month JIBAR(2) |
45 | (7,006 | ) | (7,051 | ) | |||||||||||||||
| $ | 3,482 | $ | 438,568 | $ | 435,086 | |||||||||||||||||||
| (1) | Portfolio pays the fixed rate and receives the floating rate. |
| (2) | Portfolio pays the floating rate and receives the fixed rate. |
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
Credit default swap agreements outstanding at December 31, 2013:
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(4) |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Depreciation |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on corporate issues—Buy Protection(1): | ||||||||||||||||||||||||||
| American International Group, Inc. |
03/20/18 | 3.700% | 3,700 | $ | (483,059 | ) | $ | — | $ | (483,059 | ) | Deutsche Bank AG | ||||||||||||||
| Centex Corp. |
06/20/14 | 1.000% | 2,500 | (11,854 | ) | (1,623 | ) | (10,231 | ) | Credit Suisse International | ||||||||||||||||
| Duke Energy Corp. |
03/20/14 | 0.700% | 3,400 | (5,934 | ) | — | (5,934 | ) | Goldman Sachs & Co. | |||||||||||||||||
| R.R. Donnelley & Sons Co. |
06/20/14 | 1.000% | 7,000 | (31,797 | ) | 52,540 | (84,337 | ) | Deutsche Bank AG | |||||||||||||||||
| R.R. Donnelley & Sons Co. |
09/20/16 | 1.000% | 4,750 | (21,026 | ) | 229,661 | (250,687 | ) | JPMorgan Chase | |||||||||||||||||
| SLM Corp. |
06/20/14 | 5.000% | 4,150 | (98,773 | ) | 75,432 | (174,205 | ) | JPMorgan Chase | |||||||||||||||||
| Toll Brothers Financial Corp. |
03/20/15 | 1.000% | 4,695 | (47,941 | ) | 8,900 | (56,841 | ) | Credit Suisse First Boston Corp. | |||||||||||||||||
| Westvaco Corp. |
09/20/19 | 1.000% | 4,400 | 18,373 | 49,517 | (31,144 | ) | JPMorgan Chase | ||||||||||||||||||
| $ | (682,011 | ) | $ | 414,427 | $ | (1,096,438 | ) | |||||||||||||||||||
| Over-the-counter credit default swaps on credit indices—Buy Protection(1): | ||||||||||||||||||||||||||
| iTRAXX.EUR.18.V1 |
12/20/17 | 1.000% | EUR23,000 | (595,166 | ) | 212,651 | (807,817 | ) | Bank of America | |||||||||||||||||
| iTRAXX.EUR.18.V1 |
12/20/17 | 1.000% | EUR23,000 | (595,166 | ) | 351,134 | (946,300 | ) | Deutsche Bank | |||||||||||||||||
| $ | (1,190,332 | ) | $ | 563,785 | $ | (1,754,117 | ) | |||||||||||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(4) |
Fair Value(3) |
Upfront Premiums Paid (Received) |
Unrealized Appreciation |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 6,720 | $ | 628,203 | $ | 281,867 | $ | 346,336 | Credit Suisse First Boston Corp. | ||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 12,960 | 1,211,533 | 592,200 | 619,333 | Deutsche Bank | |||||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 18,720 | 1,749,992 | 808,600 | 941,392 | Deutsche Bank | |||||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 12,000 | 1,121,790 | 525,833 | 595,957 | Deutsche Bank | |||||||||||||||||||
| $ | 4,711,518 | $ | 2,208,500 | $ | 2,503,018 | |||||||||||||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(4) |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Depreciation |
||||||||||||||||||||
| Exchange-traded credit default swap on credit indices—Buy Protection(1): |
|
|||||||||||||||||||||||||
| CDX.NA.IG.21.V1 |
12/20/18 | 1.000% | 175,250 | $ | (1,760,176 | ) | $ | (3,154,990 | ) | $ | (1,394,814 | ) | ||||||||||||||
The Portfolio entered into credit default swaps as the protection seller on credit indices and sovereign issues to take an active short position with respect to the likelihood of a particular issuer’s default or the referenced entity’s credit soundness.
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery |
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay 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 obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | The fair value of credit default swap agreements on 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 entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| (4) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
Currency swap agreements outstanding at December 31, 2013:
| Notional Amount (000)# |
Fund Receives |
Notional Amount (000)# |
Fund Pays |
Counterparty |
Termination Date |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
|
|
Over-the-counter swap agreements: |
|
||||||||||||||||||||||||||||
| 22,206 | 3 month LIBOR | EUR | 16,740 | 3 month EURIBOR minus 26.25 bps | Barclays Bank PLC | 01/25/15 | $ | (760,021 | ) | $ | — | $ | (760,021 | ) | ||||||||||||||||
| 3,494 | 3 month LIBOR | EUR | 2,700 | 3 month EURIBOR minus 28.25 bps | Barclays Bank PLC | 10/17/14 | (210,883 | ) | — | (210,883 | ) | |||||||||||||||||||
| 2,143 | 3 month LIBOR | EUR | 1,650 | 3 month EURIBOR minus 30.50 bps | Barclays Bank PLC | 12/04/14 | (121,252 | ) | — | (121,252 | ) | |||||||||||||||||||
| 502 | 3 month LIBOR | JPY | 50,000 | 3 month EURIBOR minus 54.00 bps |
Barclays Bank PLC | 10/12/16 | 30,763 | — | 30,763 | |||||||||||||||||||||
| 18,547 | 3 month LIBOR | EUR | 13,940 | 3 month EURIBOR minus 26.00 bps | Citigroup Global Markets | 01/25/15 | (577,610 | ) | — | (577,610 | ) | |||||||||||||||||||
| 956 | 3 month LIBOR | JPY | 93,235 | 3 month EURIBOR minus 32.75 bps | Citigroup Global Markets | 05/02/15 | 73,733 | — | 73,733 | |||||||||||||||||||||
| 1,541 | 3 month LIBOR | JPY | 120,000 | 3.450% | Citigroup Global Markets | 03/24/17 | 459,102 | 7,475 | 451,627 | |||||||||||||||||||||
| 384 | 3 month LIBOR | JPY | 30,000 | 4.500% | Citigroup Global Markets | 06/08/15 | 99,350 | (15,095 | ) | 114,445 | ||||||||||||||||||||
| 1,284 | 3 month LIBOR | JPY | 100,000 | 4.500% | Citigroup Global Markets | 06/08/15 | 310,227 | (56,202 | ) | 366,429 | ||||||||||||||||||||
| 1,157 | 3 month LIBOR | EUR | 900 | 3 month EURIBOR minus 31.75 bps | HSBC | 09/28/17 | (71,182 | ) | — | (71,182 | ) | |||||||||||||||||||
| 1,040 | 3 month LIBOR | EUR | 780 | 3 month EURIBOR minus 25.75 bps | HSBC Bank USA NA | 01/17/15 | (30,426 | ) | — | (30,426 | ) | |||||||||||||||||||
| 8,894 | 3 month LIBOR | EUR | 6,770 | 3 month EURIBOR minus 26.00 bps | HSBC Bank USA NA | 01/25/15 | (304,271 | ) | — | (304,271 | ) | |||||||||||||||||||
| TRY5,590 | 7.700% | 2,904 | 3 month LIBOR | Barclays Capital Group | 07/22/18 | (368,938 | ) | — | (368,938 | ) | ||||||||||||||||||||
| TRY5,900 | 7.710% | 3,068 | 3 month LIBOR | Barclays Capital Group | 07/23/18 | (392,195 | ) | — | (392,195 | ) | ||||||||||||||||||||
| TRY20,000 | 8.680% | 9,749 | 3 month LIBOR | HSBC Bank USA NA | 09/05/15 | (246,622 | ) | — | (246,622 | ) | ||||||||||||||||||||
| TRY23,640 | 8.690% | 11,376 | 3 month LIBOR | HSBC Bank USA NA | 09/09/15 | (151,788 | ) | — | (151,788 | ) | ||||||||||||||||||||
| $ | (2,262,013 | ) | $ | (63,822 | ) | $ | (2,198,191 | ) | ||||||||||||||||||||||
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1—quoted | prices generally in active markets for identical securities. |
| Level 2—other | significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3—significant | unobservable inputs for securities valued in accordance with Board approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The following is a summary of the inputs used as of December 31, 2013 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Asset-Backed Securities |
||||||||||||
| Collateralized Debt Obligations |
$ | — | $ | 442,479 | $ | — | ||||||
| Collateralized Loan Obligations |
— | 51,424,105 | 2,490,000 | |||||||||
| Non-Residential Mortgage-Backed Securities |
— | 19,193,190 | — | |||||||||
| Residential Mortgage-Backed Securities |
— | 66,163,576 | — | |||||||||
| Bank Loans |
— | 33,515,576 | 3,303,636 | |||||||||
| Commercial Mortgage-Backed Securities |
— | 159,681,238 | — | |||||||||
| Corporate Bonds |
— | 553,269,522 | 7,438,596 | |||||||||
| Covered Bond |
— | 1,184,750 | — | |||||||||
| Foreign Agencies |
— | 39,035,138 | — | |||||||||
| Municipal Bonds |
— | 23,550,391 | — | |||||||||
| Sovereigns |
— | 66,872,075 | — | |||||||||
| U.S. Government Agency Obligations |
— | 34,892,968 | — | |||||||||
| U.S. Treasury Obligations |
— | 8,400,737 | — | |||||||||
| Preferred Stock |
1,226,250 | — | — | |||||||||
| Affiliated Mutual Funds |
212,710,581 | — | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
(5,675,760 | ) | — | — | ||||||||
| Forward Foreign Currency Exchange Contracts |
— | 1,040,436 | — | |||||||||
| Interest Rate Swaps |
435,086 | 643,081 | — | |||||||||
| Credit Default Swap Agreements |
(1,394,814 | ) | (341,603 | ) | (5,934 | ) | ||||||
| Currency Swap Agreements |
— | (2,198,191 | ) | — | ||||||||
| Total |
$ | 207,301,343 | $ | 1,056,769,468 | $ | 13,226,298 | ||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| Collateralized Loan Obligations |
Non-Residential Mortgage Backed Securities |
Bank Loans |
Corporate Bonds |
Sovereigns |
Credit Default Swaps |
|||||||||||||||||||
| Balance as of 12/31/12 |
$ | — | $ | 199,293 | $ | 195,353 | $ | 6,948,002 | $ | 978,284 | $ | (27,303 | ) | |||||||||||
| Realized gain (loss) |
— | 130 | (3,741 | ) | — | — | — | ** | ||||||||||||||||
| Change in unrealized appreciation (depreciation)*** |
— | (481 | ) | 235,276 | 55,381 | — | 21,369 | |||||||||||||||||
| Purchases |
2,490,000 | — | 3,034,472 | — | — | — | ||||||||||||||||||
| Sales |
— | (198,972 | ) | (193,678 | ) | (802,861 | ) | — | — | |||||||||||||||
| Accrued discount/premium |
— | 30 | 35,954 | (733 | ) | — | — | |||||||||||||||||
| Transfers into Level 3 |
— | — | — | 1,238,807 | — | — | ||||||||||||||||||
| Transfers out of Level 3 |
— | — | — | — | (978,284 | ) | — | |||||||||||||||||
| Balance as of 12/31/13 |
$ | 2,490,000 | $ | — | $ | 3,303,636 | $ | 7,438,596 | $ | — | $ | (5,934 | ) | |||||||||||
| * | Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument. |
| ** | The realized loss incurred during the period for other financial instruments was $(24,131). |
| *** | Of which, $(289,139) was included in Net Assets relating to securities held at the reporting period end. |
It is the Portfolio’s policy to recognize transfers in and transfers out at the far value as of the beginning of period. At the reporting period end, 1 Sovereign transferred out of Level 3 as a result of being valued by an independent pricing source and 1 Corporate Bond transferred into level 3 as a result of using fixed income securities valuation model.
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board of Trustees, which contain unobservable inputs. Such methodologies include, but are not limited to, using prices provided by a single broker/dealer, the cost of the investment and prices of any recent transactions or bids/offers for such securities or any comparable securities.
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Included in the table above, under Level 3, are securities that were fair valued using pricing methodologies approved by the Board of Trustees, which contain unobservable inputs. Such methodologies include, but not limited to, using prices provided by a single broker/dealer, the cost of the investment, and prices of any recent transactions or bids/offers for such securities or any comparable securities.
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, foreign exchange risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2013 as presented in the Statement of Assets and Liabilities:
| Derivatives not designated as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Credit contracts |
— | $ | — | Due to broker — variation margin | $ | 1,394,814 | * | |||||
| Credit contracts |
Premiums paid for swap agreements | 3,188,335 | Premiums received for swap agreements | 1,623 | ||||||||
| Credit contracts |
Unrealized appreciation on swap agreements | 2,503,018 | Unrealized depreciation on swap agreements | 2,850,555 | ||||||||
| Foreign exchange contracts |
Unrealized appreciation on forward currency contracts | 6,661,272 | Unrealized depreciation on forward currency contracts | 5,620,836 | ||||||||
| Interest rate contracts |
Due to broker — variation margin | 1,871,234 | * | Due to broker — variation margin | 7,111,908 | * | ||||||
| Interest rate contracts |
Premiums paid for swap agreements | 7,475 | Premiums received for swap agreements | 71,297 | ||||||||
| Interest rate contracts |
Unrealized appreciation on swap agreements | 4,209,929 | Unrealized depreciation on swap agreements | 5,765,039 | ||||||||
| Total |
$ | 18,441,263 | $ | 22,816,072 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||
| Derivatives not designated as |
Options Purchased(1) |
Options Written |
Futures |
Forward Currency Contracts(2) |
Swaps |
Total |
||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | (5,008,175 | ) | $ | (5,008,175 | ) | ||||||||||
| Foreign exchange contracts |
— | — | — | (7,118,438 | ) | — | (7,118,438 | ) | ||||||||||||||||
| Interest rate contracts |
(331,159 | ) | (39,440 | ) | (11,500,957 | ) | — | 3,736,851 | (8,134,705 | ) | ||||||||||||||
| Total |
$ | (331,159 | ) | $ | (39,440 | ) | $ | (11,500,957 | ) | $ | (7,118,438 | ) | $ | (1,271,324 | ) | $ | (20,261,318 | ) | ||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||
| Derivatives not designated as hedging |
Futures |
Forward Currency Contracts(3) |
Swaps |
Total |
||||||||||||
| Credit contracts |
$ | — | $ | — | $ | (116,363 | ) | $ | (116,363 | ) | ||||||
| Foreign exchange contracts |
— | 1,603,474 | — | 1,603,474 | ||||||||||||
| Interest rate contracts |
(4,927,631 | ) | — | (2,622,504 | ) | (7,550,135 | ) | |||||||||
| Total |
$ | (4,927,631 | ) | $ | 1,603,474 | $ | (2,738,867 | ) | $ | (6,063,024 | ) | |||||
| (1) | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| (2) | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
| (3) | Included in net change in unrealized appreciation (depreciation) on foreign currencies in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| Options Purchased |
Options Written |
Futures |
Futures |
Forward Currency |
Forward Currency | |||||
| $167,002 | $14,256 | $394,507,888 | $45,413,351 | $346,500,036 | $279,646,490 |
| Interest Rate Swaps |
Credit
Default |
Credit Default |
Currency
Swaps | |||
| $498,637 | $253,297 | $45,270 | $61,617 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| Description |
Gross Amounts Recognized |
Gross Amounts not subject to netting |
Gross Amounts Offset in the Statement of Financial Position |
Net Amounts Presented in the Statement of Financial Position |
||||||||||||
| Assets: |
||||||||||||||||
| Securities on loan |
$ | 90,924,537 | $ | — | $ | — | $ | 90,924,537 | ||||||||
| Exchange-traded and cleared derivatives |
— | — | — | — | ||||||||||||
| Over-the-counter derivatives* |
13,374,219 | — | — | 13,374,219 | ||||||||||||
| 104,298,756 | ||||||||||||||||
| Liabilities: |
||||||||||||||||
| Exchange-traded and cleared derivatives |
(445,591 | ) | — | — | (445,591 | ) | ||||||||||
| Over-the-counter derivatives* |
(14,236,430 | ) | — | — | (14,236,430 | ) | ||||||||||
| (14,682,021 | ) | |||||||||||||||
| Collateral Amounts Pledged/(Received): |
||||||||||||||||
| Exchange-traded and cleared derivatives |
445,591 | |||||||||||||||
| Securities on loan |
(90,924,537 | ) | ||||||||||||||
| Over-the-counter derivatives |
203,389 | |||||||||||||||
| Net Amount |
$ | (658,822 | ) | |||||||||||||
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2013 |
2012 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 51,213,022 | $ | 63,489,896 | ||||
| Net realized gain (loss) on investments and foreign currency transactions |
(9,582,132 | ) | 35,260,830 | |||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
(51,666,169 | ) | 44,689,412 | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
(10,035,279 | ) | 143,440,138 | |||||
| DISTRIBUTIONS | (84,677,590 | ) | (119,592,407 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [2,523,548 and 10,761,927 shares, respectively] |
29,114,479 | 126,405,304 | ||||||
| Series shares issued in reinvestment of distributions [7,523,922 and 10,330,307 shares, respectively] |
84,677,590 | 119,592,407 | ||||||
| Series shares repurchased [11,154,465 and 43,877,359 shares, respectively] |
(127,474,174 | ) | (520,843,578 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(13,682,105 | ) | (274,845,867 | ) | ||||
| TOTAL DECREASE IN NET ASSETS | (108,394,974 | ) | (250,998,136 | ) | ||||
| NET ASSETS: | ||||||||
| Beginning of year |
1,305,901,053 | 1,556,899,189 | ||||||
| End of year |
$ | 1,197,506,079 | $ | 1,305,901,053 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities
| Description |
Gross Amounts Recognized |
Gross Amounts not subject to netting |
Gross Amounts Offset in the Statement of Financial Position |
Net Amounts Presented in the Statement of Financial Position |
||||||||||||
| Assets: |
||||||||||||||||
| Securities on Loan |
$ | 126,169,077 | $ | — | $ | — | $ | 126,169,077 | ||||||||
| Collateral Amounts Pledged/(Received): |
| |||||||||||||||
| Securities on Loan |
(126,169,077 | ) | ||||||||||||||
| Net Amount |
$ | — | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A63
| EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2013 |
2012 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 30,516,315 | $ | 32,977,472 | ||||
| Net realized gain on investment and foreign currency transactions |
417,610,720 | 160,093,957 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
579,405,992 | 208,970,300 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
1,027,533,027 | 402,041,729 | ||||||
| DISTRIBUTIONS | ||||||||
| Class I |
— | (18,817,932 | ) | |||||
| Class II |
— | (4,233 | ) | |||||
| TOTAL DISTRIBUTIONS |
— | (18,822,165 | ) | |||||
| SERIES SHARE TRANSACTIONS (Note 7): | ||||||||
| Series shares sold |
15,823,185 | 17,165,247 | ||||||
| Series shares issued in reinvestment of distributions |
— | 18,822,165 | ||||||
| Series shares repurchased |
(238,940,216 | ) | (249,839,713 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(223,117,031 | ) | (213,852,301 | ) | ||||
| TOTAL INCREASE IN NET ASSETS | 804,415,996 | 169,367,263 | ||||||
| NET ASSETS: | ||||||||
| Beginning of year |
3,168,828,500 | 2,999,461,237 | ||||||
| End of year |
$ | 3,973,244,496 | $ | 3,168,828,500 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| FLEXIBLE MANAGED PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| ASSET-BACKED SECURITIES — 1.5% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
|||||||||||||
| Collateralized Loan Obligations — 1.3% |
||||||||||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class A, 144A |
1.422% | (b) | 04/20/25 | 2,550 | 2,507,139 | |||||||||||
| ACAS CLO Ltd. (Cayman Islands), Series 2013-1A, Class B2, 144A |
3.360% | 04/20/25 | 500 | 490,299 | ||||||||||||
| American Express Credit Account Master Trust, Series 2012-4, Class C, 144A |
0.967% | (b) | 05/15/20 | 3,900 | 3,909,731 | |||||||||||
| Anchorage Capital CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.466% | (b) | 07/13/25 | 2,700 | 2,654,166 | |||||||||||
| Ares Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Series 2005-2A, Class A2, 144A |
0.498% | (b) | 01/26/20 | 729 | 721,306 | |||||||||||
| Benefit Street Partners CLO Ltd. (Cayman Islands), Series 2013-IIA, Class A1, 144A |
1.472% | (b) | 07/15/24 | 1,200 | 1,174,525 | |||||||||||
| Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.394% | (b) | 04/17/25 | 2,100 | 2,052,431 | |||||||||||
| Carlyle Daytona CLO Ltd. (Cayman Islands), Series 2007-1A, Class A1L, 144A |
0.488% | (b) | 04/27/21 | 3,410 | 3,352,352 | |||||||||||
| Cent CDO XI Ltd. (Cayman Islands), Series 2006-11A, Class A1, 144A |
0.498% | (b) | 04/25/19 | 502 | 496,226 | |||||||||||
| Chatham Light CLO Ltd. (Cayman Islands), Series 2005-2A, Class A1, 144A |
0.492% | (b) | 08/03/19 | 189 | 187,326 | |||||||||||
| Citibank Credit Card Issuance Trust, Series 2005-C2, Class C2 |
0.634% | (b) | 03/24/17 | 2,200 | 2,195,915 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| ASSET-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Collateralized Loan Obligations (continued) |
||||||||||||||||
| Flagship CLO (Cayman Islands), Series 2013-7A, Class A1, 144A |
1.715% | 01/20/26 | 2,300 | $ | 2,290,800 | |||||||||||
| Four Corners CLO Ltd. (Cayman Islands), Series 2006-3A, Class A, 144A |
0.491% | (b) | 07/22/20 | 592 | 585,413 | |||||||||||
| Fraser Sullivan CLO Ltd. (Cayman Islands), Series 2006-1A, Class B, 144A |
0.713% | (b) | 03/15/20 | 1,000 | 972,313 | |||||||||||
| GE Capital Credit Card Master Note Trust, Series 2012-4, Class B |
1.017% | (b) | 06/15/18 | 5,500 | 5,480,558 | |||||||||||
| ING Investment Management CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.384% | (b) | 04/15/24 | 1,850 | 1,815,517 | |||||||||||
| Lafayette CLO Ltd. (Cayman Islands), Series 2012-1A, Class A, 144A |
1.642% | (b) | 09/06/22 | 287 | 286,783 | |||||||||||
| LCM CLO LP (Cayman Islands), Series 2005-3A, Class A, 144A |
0.499% | (b) | 06/01/17 | 144 | 143,440 | |||||||||||
| LightPoint CLO Ltd., Series 2005-3A, Class A1A, 144A |
0.503% | (b) | 09/15/17 | 409 | 405,249 | |||||||||||
| Marine Park CLO Ltd. (Cayman Islands), Series 2012-1A, Class A1A, 144A |
1.708% | (b) | 05/18/23 | 1,350 | 1,345,078 | |||||||||||
| Mayport CLO Ltd. (Cayman Islands), Series 2006-1A, Class A1L, 144A |
0.488% | (b) | 02/22/20 | 202 | 199,606 | |||||||||||
| Mountain Capital CLO IV Ltd. (Cayman Islands), Series 2005-4A, Class A1L, 144A |
0.493% | (b) | 03/15/18 | 87 | 86,226 | |||||||||||
| OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class A2, 144A |
1.718% | (b) | 11/22/23 | 1,200 | 1,196,917 | |||||||||||
| OCP CLO Ltd. (Cayman Islands), Series 2012-2A, Class B, 144A |
2.438% | (b) | 11/22/23 | 1,200 | 1,177,913 | |||||||||||
| OHA Intrepid Leveraged Loan Fund CLO Ltd. (Cayman Islands), Series 2011-1AR, Class AR, 144A |
1.162% | (b) | 04/20/21 | 1,816 | 1,803,515 | |||||||||||
| OZLM Funding IV Ltd. (Cayman Islands), Series 2013-4A, Class A1, 144A |
1.467% | (b) | 07/22/25 | 1,200 | 1,177,323 | |||||||||||
| Sheridan Square CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.294% | (b) | 04/15/25 | 3,200 | 3,127,673 | |||||||||||
| Slater Mill Loan Fund LP (Cayman Islands), Series 2012-1A, Class B, 144A |
2.888% | (b) | 08/17/22 | 500 | 494,836 | |||||||||||
| Sound Point CLO Ltd. (Cayman Islands), Series 2012-1A, Class B, 144A |
2.942% | (b) | 10/20/23 | 1,100 | 1,106,528 | |||||||||||
| SVO VOI Mortgage Corp., Series 2012-AA, Class A, 144A |
2.000% | 09/20/29 | 1,562 | 1,557,093 | ||||||||||||
| Trimaran CLO VI Ltd. (Cayman Islands), Series 2006-2A, Class A1L, 144A |
0.492% | (b) | 11/01/18 | 1,095 | 1,083,084 | |||||||||||
| Tyron Park CLO Ltd. (Cayman Islands), Series 2013-1A, Class A1, 144A |
1.393% | (b) | 07/15/25 | 2,700 | 2,645,448 | |||||||||||
| 48,722,729 | ||||||||||||||||
| Residential Mortgage-Backed Securities — 0.2% |
||||||||||||||||
| CDC Mortgage Capital Trust, Series 2002-HE3, Class M1 |
1.815% | (b) | 03/25/33 | 296 | 276,966 | |||||||||||
| Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB6, Class A3 |
4.465% | (b) | 07/25/35 | 302 | 289,731 | |||||||||||
| Equity One Mortgage Pass-Through Trust, Series 2004-3, Class M1 |
5.121% | (b) | 07/25/34 | 390 | 371,003 | |||||||||||
| GSAMP Trust, Series 2004-HE2, Class A3C |
0.745% | (b) | 09/25/34 | 674 | 653,387 | |||||||||||
| Long Beach Mortgage Loan Trust, Series 2004-2, Class M1 |
0.695% | (b) | 06/25/34 | 774 | 727,219 | |||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-HE1, Class M1 |
1.365% | (b) | 05/25/33 | 474 | 441,209 | |||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE5, Class M1 |
1.110% | (b) | 06/25/34 | 989 | 920,127 | |||||||||||
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC1, Class M1 |
1.215% | (b) | 12/27/33 | 869 | 835,059 | |||||||||||
| Morgan Stanley Dean Witter Capital I, Series 2002-HE1, Class M1 |
1.065% | (b) | 07/25/32 | 460 | 419,805 | |||||||||||
| Morgan Stanley Dean Witter Capital I, Series 2002-NC4, Class M1 |
1.440% | (b) | 09/25/32 | 539 | 499,515 | |||||||||||
| Securitized Asset-Backed Receivables LLC Trust, Series 2004-OP1, Class M1 |
0.930% | (b) | 02/25/34 | 887 | 813,685 | |||||||||||
| 6,247,706 | ||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
54,970,435 | ||||||||||||||
| BANK LOANS(b) — 0.2% | ||||||||||||||||
| Automotive |
||||||||||||||||
| Schaeffler AG (Germany) |
4.250% | 01/27/17 | 750 | 755,625 | ||||||||||||
| Cable |
||||||||||||||||
| Virgin Media Investment Holdings Ltd. (United Kingdom) |
3.500% | 06/08/20 | 1,000 | 1,001,250 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| BANK LOANS(b) (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Foods |
||||||||||||||||
| ARAMARK Corp. |
4.000% | 08/22/19 | 1,100 | $ | 1,104,584 | |||||||||||
| Del Monte Foods Co. |
4.000% | 03/08/18 | 1,065 | 1,066,129 | ||||||||||||
| 2,170,713 | ||||||||||||||||
| Healthcare & Pharmaceutical — 0.1% |
||||||||||||||||
| CHS/Community Health Systems, Inc. |
2.987% | 10/25/16 | 440 | 440,205 | ||||||||||||
| HCA, Inc. |
2.919% | 03/31/17 | 884 | 883,797 | ||||||||||||
| HCA, Inc. |
2.997% | 05/01/18 | 369 | 368,583 | ||||||||||||
| RPI Finance Trust |
3.250% | 11/09/18 | 1,058 | 1,057,504 | ||||||||||||
| 2,750,089 | ||||||||||||||||
| Technology — 0.1% |
||||||||||||||||
| First Data Corp. |
4.164% | 03/24/17 | 162 | 162,109 | ||||||||||||
| First Data Corp. |
4.164% | 03/26/18 | 2,134 | 2,135,030 | ||||||||||||
| Sensata Technologies BV (Netherlands) |
3.250% | 05/12/19 | 150 | 150,599 | ||||||||||||
| 2,447,738 | ||||||||||||||||
| TOTAL BANK LOANS |
|
9,125,415 | ||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1% | ||||||||||||||||
| Banc of America Alternative Loan Trust, Series 2005-12, Class 3CB1 |
6.000% | 01/25/36 | 2,238 | 1,743,887 | ||||||||||||
| Banc of America Mortgage Trust, Series 2005-A, Class 2A1 |
2.944% | (b) | 02/25/35 | 445 | 441,148 | |||||||||||
| Banc of America Mortgage Trust, Series 2005-B, Class 2A1 |
2.843% | (b) | 03/25/35 | 383 | 353,245 | |||||||||||
| Chase Mortgage Finance Trust Series, Series 2007-A1, Class 1A5 |
2.722% | (b) | 02/25/37 | 1,029 | 1,020,614 | |||||||||||
| Countrywide Alternative Loan Trust, Series 2004-18CB, Class 3A1 |
5.250% | 09/25/19 | 374 | 380,971 | ||||||||||||
| JPMorgan Mortgage Trust, Series 2007-A1, Class 4A1 |
2.737% | (b) | 07/25/35 | 604 | 600,176 | |||||||||||
| MASTR Alternative Loan Trust, Series 2004-4, Class 4A1 |
5.000% | 04/25/19 | 125 | 128,042 | ||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 |
2.906% | (b) | 02/25/34 | 456 | 456,243 | |||||||||||
| Washington Mutual Mortgage Pass-Through Certificates, Series 2005-1, Class 3A |
5.000% | 03/25/20 | 175 | 177,982 | ||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
5,302,308 | ||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 3.2% | ||||||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2006-6, Class A3 |
5.369% | 10/10/45 | 3,900 | 3,985,203 | ||||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-2, Class A1A |
5.572% | (b) | 04/10/49 | 6,839 | 7,438,902 | |||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-2, Class A3 |
5.596% | (b) | 04/10/49 | 1,500 | 1,534,082 | |||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-3, Class A2 |
5.649% | (b) | 06/10/49 | 328 | 327,617 | |||||||||||
| Banc of America Commercial Mortgage Trust, Series 2007-5, Class A3 |
5.620% | 02/10/51 | 1,877 | 1,884,048 | ||||||||||||
| Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 |
5.705% | (b) | 12/10/49 | 1,000 | 1,118,384 | |||||||||||
| Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class A3 |
2.815% | 04/10/46 | 1,100 | 1,020,953 | ||||||||||||
| Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class A2 |
1.765% | 10/15/45 | 3,100 | 3,073,191 | ||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 |
2.540% | 12/10/45 | 1,000 | 916,381 | ||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR12, Class A3 |
3.765% | 10/10/46 | 1,300 | 1,279,658 | ||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR7, Class A3 |
2.929% | 03/10/46 | 1,700 | 1,595,287 | ||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2013-CR9, Class A3 |
4.022% | 07/10/45 | 1,400 | 1,419,197 | ||||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class A4 |
5.465% | (b) | 02/15/39 | 2,700 | 2,908,983 | |||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM |
5.465% | (b) | 02/15/39 | 640 | 683,867 | |||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C2, Class A4 |
4.832% | 04/15/37 | 1,900 | 1,971,425 | ||||||||||||
| CW Capital Cobalt Ltd., Series 2006-C1, Class A4 |
5.223% | 08/15/48 | 1,230 | 1,327,160 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K017, Class A2 |
2.873% | 12/25/21 | 3,500 | 3,423,315 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class A2 |
2.373% | 05/25/22 | 2,000 | $ | 1,865,982 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O |
1.473% | (b) | 05/25/22 | 25,719 | 2,418,681 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O |
1.512% | (b) | 06/25/22 | 7,259 | 712,541 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 |
3.320% | 02/25/23 | 5,800 | 5,736,484 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 |
3.531% | 07/25/23 | 2,400 | 2,400,250 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O |
1.751% | (b) | 08/25/16 | 7,510 | 234,173 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O |
1.783% | (b) | 05/25/19 | 19,872 | 1,599,287 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O |
1.710% | (b) | 07/25/19 | 20,921 | 1,644,884 | |||||||||||
| GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4 |
5.310% | (b) | 11/10/45 | 2,585 | 2,747,312 | |||||||||||
| GE Capital Commercial Mortgage Corp., Series 2006-C1, Class A4 |
5.280% | (b) | 03/10/44 | 2,060 | 2,206,301 | |||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A3 |
4.569% | 08/10/42 | 131 | 131,099 | ||||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5 |
5.224% | (b) | 04/10/37 | 8,050 | 8,489,353 | |||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A2 |
5.381% | 03/10/39 | 2,044 | 2,089,942 | ||||||||||||
| GS Mortgage Securities Trust, Series 2006-GG6, Class AAB |
5.587% | 04/10/38 | 3,076 | 3,148,109 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A3A |
5.863% | (b) | 04/15/45 | 38 | 37,736 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP1, Class ASB |
4.853% | 03/15/46 | 571 | 577,494 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class A3 |
4.697% | 07/15/42 | 187 | 189,750 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class AM |
4.780% | 07/15/42 | 1,000 | 1,045,511 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP2, Class ASB |
4.659% | 07/15/42 | 1,206 | 1,224,185 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-LDP4, Class AM |
4.999% | (b) | 10/15/42 | 1,270 | 1,345,070 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB16, Class ASB |
5.523% | 05/12/45 | 2,074 | 2,159,530 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CBX, Class A3 |
3.139% | 06/15/45 | 2,100 | 2,116,086 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A4 |
2.611% | 12/15/47 | 1,700 | 1,560,751 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class A4 |
2.875% | 12/15/47 | 3,900 | 3,640,202 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2 |
3.070% | 12/15/46 | 2,700 | 2,772,495 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4 |
2.694% | 04/15/46 | 1,400 | 1,281,571 | ||||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2005-C7, Class AM |
5.263% | (b) | 11/15/40 | 1,510 | 1,618,471 | |||||||||||
| Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM |
5.676% | (b) | 05/12/39 | 930 | 1,002,479 | |||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class AM |
5.518% | (b) | 02/12/39 | 530 | 573,344 | |||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4 |
5.886% | (b) | 06/12/46 | 1,795 | 1,960,650 | |||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A2 |
5.331% | 03/12/51 | 2,213 | 2,216,489 | ||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A3 |
2.863% | 12/15/48 | 1,500 | 1,404,818 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 |
5.668% | (b) | 10/15/42 | 2,265 | $ | 2,428,827 | ||||||||||
| Morgan Stanley Capital I Trust, Series 2007-HQ11, Class A31 |
5.439% | 02/12/44 | 649 | 655,542 | ||||||||||||
| Morgan Stanley Capital I Trust, Series 2007-HQ11, Class AAB |
5.444% | 02/12/44 | 2,839 | 2,916,339 | ||||||||||||
| Morgan Stanley Capital I Trust, Series 2007-T27, Class AAB |
5.648% | (b) | 06/11/42 | 379 | 385,974 | |||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 |
2.792% | 12/10/45 | 1,700 | 1,584,664 | ||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A3 |
2.920% | 03/10/46 | 3,900 | 3,654,542 | ||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A3 |
2.971% | 04/10/46 | 1,800 | 1,690,508 | ||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A4 |
5.724% | (b) | 05/15/43 | 700 | 755,264 | |||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4(a) |
5.509% | 04/15/47 | 4,500 | 4,911,462 | ||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A |
5.608% | (b) | 05/15/46 | 1,330 | 1,460,696 | |||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
118,502,501 | ||||||||||||||
| CORPORATE BONDS — 7.0% | ||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
6.300% | 05/01/14 | 1,075 | 1,091,125 | ||||||||||||
| Airlines — 0.1% |
||||||||||||||||
| Continental Airlines, Inc. 1998-1 Class A Pass-Through Trust, Pass-Through Certificates |
6.648% | 09/15/17 | 153 | 160,346 | ||||||||||||
| Continental Airlines, Inc. 2010-1 Class A Pass-Through Trust, Pass-Through Certificates(a) |
4.750% | 01/12/21 | 763 | 810,413 | ||||||||||||
| Continental Airlines, Inc. 2012-2 Class A Pass-Through Trust, Pass-Through Certificates |
4.000% | 10/29/24 | 705 | 701,475 | ||||||||||||
| Continental Airlines, Inc., 2009-2 Class A Pass-Through Trust, Pass-Through Certificates, Series 2009-2 |
7.250% | 11/10/19 | 653 | 747,228 | ||||||||||||
| Delta Air Lines 2007-1, Class A Pass-Through Trust, Pass-Through Certificates |
6.821% | 08/10/22 | 350 | 394,433 | ||||||||||||
| Delta Air Lines 2010-2, Class A Pass-Through Trust, Pass-Through Certificates(a) |
4.950% | 05/23/19 | 592 | 638,220 | ||||||||||||
| Delta Air Lines 2011-1, Class A Pass-Through Trust, Pass-Through Certificates |
5.300% | 04/15/19 | 1,133 | 1,234,653 | ||||||||||||
| 4,686,768 | ||||||||||||||||
| Automotive — 0.1% |
||||||||||||||||
| Cummins, Inc., Sr. Unsec’d. Notes |
4.875% | 10/01/43 | 90 | 90,134 | ||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
4.207% | 04/15/16 | 2,090 | 2,226,974 | ||||||||||||
| General Motors Co., Sr. Unsec’d. Notes, 144A(a) |
4.875% | 10/02/23 | 995 | 1,007,438 | ||||||||||||
| General Motors Co., Sr. Unsec’d. Notes, 144A |
6.250% | 10/02/43 | 1,395 | 1,449,056 | ||||||||||||
| Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A |
2.700% | 03/15/17 | 450 | 461,315 | ||||||||||||
| Johnson Controls, Inc., Sr. Unsec’d. Notes |
5.500% | 01/15/16 | 245 | 266,127 | ||||||||||||
| 5,501,044 | ||||||||||||||||
| Banking — 1.9% |
||||||||||||||||
| American Express Co., Sr. Unsec’d. Notes |
2.650% | 12/02/22 | 2,213 | 2,052,943 | ||||||||||||
| Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A |
3.875% | 09/20/22 | 645 | 608,345 | ||||||||||||
| Bank of America Corp., Jr. Sub. Notes, Series K(a) |
8.000% | (b) | 12/29/49 | 2,200 | 2,437,600 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
3.300% | 01/11/23 | 780 | 738,088 | ||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
4.500% | 04/01/15 | 595 | 622,475 | ||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
5.000% | 05/13/21 | 630 | 688,447 | ||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
5.700% | 01/24/22 | 1,770 | 2,003,383 | ||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
6.000% | 09/01/17 | 1,075 | 1,227,426 | ||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Series 1 |
3.750% | 07/12/16 | 870 | 924,912 | ||||||||||||
| Bank of America Corp., Sub. Notes |
5.750% | 08/15/16 | 1,775 | 1,957,488 | ||||||||||||
| Bank of America NA, Sub. Notes |
5.300% | 03/15/17 | 930 | 1,025,066 | ||||||||||||
| Bank of America NA, Sub. Notes |
6.000% | 10/15/36 | 410 | 470,540 | ||||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
5.300% | 10/30/15 | 515 | 555,490 | ||||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
6.400% | 10/02/17 | 330 | 382,985 | ||||||||||||
| Bear Stearns Cos. LLC, Sr. Unsec’d. Notes |
7.250% | 02/01/18 | 1,175 | 1,406,911 | ||||||||||||
| Capital One Bank USA NA, Sub. Notes(a) |
3.375% | 02/15/23 | 1,560 | 1,450,301 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
3.875% | 10/25/23 | 1,900 | 1,867,810 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Banking (continued) |
||||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
3.953% | 06/15/16 | 1,010 | $ | 1,074,541 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes(a) |
4.500% | 01/14/22 | 2,450 | 2,596,294 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
4.750% | 05/19/15 | 2,265 | 2,383,351 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
6.875% | 03/05/38 | 69 | 84,849 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.125% | 07/15/39 | 710 | 995,908 | ||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
8.500% | 05/22/19 | 1,895 | 2,428,611 | ||||||||||||
| Citigroup, Inc., Sub. Notes |
5.000% | 09/15/14 | 454 | 466,932 | ||||||||||||
| Citigroup, Inc., Sub. Notes |
6.125% | 08/25/36 | 570 | 607,717 | ||||||||||||
| Discover Bank, Sub. Notes |
7.000% | 04/15/20 | 570 | 662,903 | ||||||||||||
| Discover Financial Services, Sr. Unsec’d. Notes |
3.850% | 11/21/22 | 900 | 853,353 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a) |
3.625% | 02/07/16 | 2,000 | 2,098,960 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
5.250% | 07/27/21 | 2,055 | 2,249,900 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
5.750% | 01/24/22 | 3,620 | 4,074,991 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
6.250% | 02/01/41 | 270 | 311,148 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
5.625% | 01/15/17 | 1,190 | 1,311,306 | ||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
6.750% | 10/01/37 | 104 | 115,705 | ||||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a) |
4.875% | 01/14/22 | 1,910 | 2,061,119 | ||||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a) |
5.100% | 04/05/21 | 1,025 | 1,139,235 | ||||||||||||
| Huntington Bancshares, Inc., Sub. Notes(a) |
7.000% | 12/15/20 | 170 | 197,138 | ||||||||||||
| Intesa Sanpaolo SpA (Italy), Sr. Unsec’d. Notes |
3.125% | 01/15/16 | 1,395 | 1,421,591 | ||||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes |
7.900% | (b) | 04/29/49 | 2,000 | 2,205,000 | |||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
4.250% | 10/15/20 | 2,930 | 3,105,908 | ||||||||||||
| JPMorgan Chase & Co., Sub. Notes |
5.625% | 08/16/43 | 490 | 517,819 | ||||||||||||
| Lloyds Bank PLC (United Kingdom), Bank Gtd. Notes(a) |
6.375% | 01/21/21 | 1,400 | 1,650,873 | ||||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Bank Gtd. Notes, MTN, 144A |
5.800% | 01/13/20 | 1,870 | 2,143,897 | ||||||||||||
| Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN |
6.400% | 08/28/17 | 20 | 23,058 | ||||||||||||
| Morgan Stanley, Notes, MTN(a) |
5.450% | 01/09/17 | 1,345 | 1,491,606 | ||||||||||||
| Morgan Stanley, Notes, MTN |
6.625% | 04/01/18 | 105 | 122,860 | ||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.500% | 07/28/21 | 2,360 | 2,637,201 | ||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
5.625% | 09/23/19 | 1,415 | 1,608,411 | ||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
5.750% | 01/25/21 | 1,400 | 1,583,770 | ||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
6.375% | 07/24/42 | 780 | 913,599 | ||||||||||||
| MUFG Capital Finance 1 Ltd. (Japan), Gtd. Notes |
6.346% | (b) | 07/29/49 | 800 | 866,594 | |||||||||||
| Northern Trust Corp., Sub. Notes |
3.950% | 10/30/25 | 990 | 964,750 | ||||||||||||
| People’s United Financial, Inc., Sr. Unsec’d. Notes |
3.650% | 12/06/22 | 1,455 | 1,375,569 | ||||||||||||
| PNC Bank NA, Sub. Notes |
3.800% | 07/25/23 | 270 | 261,856 | ||||||||||||
| PNC Funding Corp., Gtd. Notes |
6.700% | 06/10/19 | 440 | 528,517 | ||||||||||||
| Royal Bank of Scotland Group PLC (The) (United Kingdom), Sr. Unsec’d. Notes |
2.550% | 09/18/15 | 455 | 465,354 | ||||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
3.000% | 09/24/15 | 955 | 986,180 | ||||||||||||
| US Bancorp, Sub. Notes, MTN |
2.950% | 07/15/22 | 1,120 | 1,040,621 | ||||||||||||
| 72,049,205 | ||||||||||||||||
| Brokerage — 0.1% |
||||||||||||||||
| Jefferies Group LLC, Sr. Unsec’d. Notes |
6.500% | 01/20/43 | 560 | 555,288 | ||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c) |
6.875% | 02/06/12 | 1,715 | 364,438 | ||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(c) |
6.875% | 05/02/18 | 700 | 151,375 | ||||||||||||
| Nomura Holdings, Inc. (Japan), Sr. Unsec’d. Notes, MTN |
2.000% | 09/13/16 | 820 | 826,779 | ||||||||||||
| 1,897,880 | ||||||||||||||||
| Building Materials & Construction — 0.1% |
||||||||||||||||
| D.R. Horton, Inc., Gtd. Notes |
3.625% | 02/15/18 | 1,150 | 1,167,250 | ||||||||||||
| Odebrecht Finance Ltd. (Brazil), Gtd. Notes, 144A(a) |
5.125% | 06/26/22 | 700 | 685,125 | ||||||||||||
| Owens Corning, Inc., Gtd. Notes |
4.200% | 12/15/22 | 775 | 740,072 | ||||||||||||
| 2,592,447 | ||||||||||||||||
| Cable — 0.2% |
||||||||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes |
8.625% | 09/15/17 | 1,000 | 1,165,000 | ||||||||||||
| Comcast Cable Communications Holdings, Inc., Gtd. Notes |
9.455% | 11/15/22 | 255 | 353,194 | ||||||||||||
| Comcast Corp., Gtd. Notes |
6.400% | 05/15/38 | 570 | 658,206 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Cable (continued) |
||||||||||||||||
| Comcast Corp., Gtd. Notes |
6.450% | 03/15/37 | 155 | $ | 179,884 | |||||||||||
| Comcast Corp., Gtd. Notes |
6.500% | 11/15/35 | 450 | 524,881 | ||||||||||||
| Comcast Corp., Gtd. Notes |
6.950% | 08/15/37 | 605 | 743,727 | ||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
3.500% | 03/01/16 | 920 | 965,714 | ||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
3.550% | 03/15/15 | 165 | 170,439 | ||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
5.150% | 03/15/42 | 860 | 772,368 | ||||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
5.850% | 05/01/17 | 1,710 | 1,865,094 | ||||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
7.500% | 04/01/14 | 345 | 350,728 | ||||||||||||
| Videotron Ltd. (Canada), Gtd. Notes |
5.000% | 07/15/22 | 1,040 | 1,016,600 | ||||||||||||
| 8,765,835 | ||||||||||||||||
| Capital Goods — 0.3% |
||||||||||||||||
| Actuant Corp., Gtd. Notes |
5.625% | 06/15/22 | 1,205 | 1,220,063 | ||||||||||||
| Case New Holland, Inc., Gtd. Notes(a) |
7.875% | 12/01/17 | 1,255 | 1,480,900 | ||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
6.375% | 10/15/17(d)(e) | 1,302 | 1,506,652 | ||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
6.700% | 06/01/34(d)(e) | 420 | 466,204 | ||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
7.000% | 10/15/37(d)(e) | 380 | 449,701 | ||||||||||||
| General Electric Co., Sr. Unsec’d. Notes(a) |
4.125% | 10/09/42 | 485 | 448,071 | ||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A |
2.500% | 07/11/14(d)(e) | 385 | 388,134 | ||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unsec’d. Notes, 144A |
2.500% | 03/15/16(d)(e) | 1,890 | 1,936,337 | ||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A |
3.125% | 05/11/15(d)(e) | 500 | 514,240 | ||||||||||||
| United Technologies Corp., Sr. Unsec’d. Notes |
4.500% | 06/01/42 | 1,445 | 1,403,221 | ||||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes |
4.875% | 10/01/21 | 1,260 | 1,313,473 | ||||||||||||
| 11,126,996 | ||||||||||||||||
| Chemicals — 0.1% |
||||||||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
3.150% | 10/01/22 | 780 | 714,853 | ||||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes(a) |
9.400% | 05/15/39 | 432 | 645,369 | ||||||||||||
| LyondellBasell Industries NV, Sr. Unsec’d. Notes |
5.000% | 04/15/19 | 1,000 | 1,110,621 | ||||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.450% | 11/15/33 | 485 | 494,141 | ||||||||||||
| Mosaic Co. (The), Sr. Unsec’d. Notes |
5.625% | 11/15/43 | 1,020 | 1,034,772 | ||||||||||||
| Rhodia SA (France), Sr. Unsec’d. Notes, 144A |
6.875% | 09/15/20 | 1,175 | 1,300,678 | ||||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
7.500% | 06/01/25 | 460 | 532,691 | ||||||||||||
| 5,833,125 | ||||||||||||||||
| Consumer — 0.1% |
||||||||||||||||
| Newell Rubbermaid, Inc., Sr. Unsec’d. Notes |
6.250% | 04/15/18 | 1,700 | 1,925,106 | ||||||||||||
| Electric — 0.4% |
||||||||||||||||
| Arizona Public Service Co., Sr. Unsec’d. Notes |
6.250% | 08/01/16 | 175 | 196,344 | ||||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
6.350% | 10/01/36 | 550 | 646,416 | ||||||||||||
| Calpine Corp., Sr. Sec’d. Notes, 144A |
7.500% | 02/15/21 | 871 | 950,479 | ||||||||||||
| CenterPoint Energy Houston Electric LLC, Gen. Ref. Mtge. |
6.950% | 03/15/33 | 590 | 757,958 | ||||||||||||
| Comision Federal de Electricidad (Mexico), Sr. Unsec’d. Notes, 144A |
4.875% | 01/15/24 | 645 | 640,163 | ||||||||||||
| Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes |
5.500% | 12/01/39 | 220 | 242,864 | ||||||||||||
| Dominion Gas Holdings LLC, Sr. Unsec’d. Notes, 144A |
4.800% | 11/01/43 | 65 | 62,845 | ||||||||||||
| Duke Energy Carolinas LLC, First Mtge. Bonds |
6.050% | 04/15/38 | 550 | 652,791 | ||||||||||||
| Duke Energy Carolinas LLC, First Ref. Mortgage(a) |
4.000% | 09/30/42 | 570 | 514,486 | ||||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes |
6.000% | 05/15/35 | 670 | 695,028 | ||||||||||||
| Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes(a) |
8.625% | 08/01/15 | 1,295 | 1,426,625 | ||||||||||||
| Energy East Corp. (Spain), Gtd. Notes |
6.750% | 09/15/33 | 145 | 153,218 | ||||||||||||
| Exelon Corp., Sr. Unsec’d. Notes |
4.900% | 06/15/15 | 155 | 163,417 | ||||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes(a) |
6.250% | 10/01/39 | 1,425 | 1,444,076 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A78
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Electric (continued) |
||||||||||||||||
| Florida Power & Light Co., First Mtge. Bonds |
5.950% | 10/01/33 | 295 | $ | 347,346 | |||||||||||
| MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes |
5.950% | 05/15/37 | 300 | 328,280 | ||||||||||||
| Nevada Power Co., Gen. Ref. Mtge. |
6.500% | 05/15/18 | 1,260 | 1,485,158 | ||||||||||||
| Niagara Mohawk Power Corp. (United Kingdom), Sr. Unsec’d. Notes, 144A |
4.881% | 08/15/19 | 610 | 674,327 | ||||||||||||
| NSTAR LLC, Sr. Unsec’d. Notes |
4.500% | 11/15/19 | 615 | 667,503 | ||||||||||||
| Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes |
6.375% | 01/15/15 | 345 | 363,977 | ||||||||||||
| Public Service Co. of New Mexico, Sr. Unsec’d. Notes |
7.950% | 05/15/18 | 140 | 166,414 | ||||||||||||
| Public Service Electric & Gas Co, Sr. Sec’d. Notes, MTN |
5.800% | 05/01/37 | 535 | 614,086 | ||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
4.800% | 09/15/41 | 480 | 467,418 | ||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
5.613% | 04/01/17 | 199 | 219,253 | ||||||||||||
| 13,880,472 | ||||||||||||||||
| Energy – Integrated |
||||||||||||||||
| Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A |
5.375% | 01/26/19 | 460 | 463,450 | ||||||||||||
| Reliance Holdings USA, Inc. (India), Gtd. Notes, 144A |
5.400% | 02/14/22 | 800 | 809,074 | ||||||||||||
| 1,272,524 | ||||||||||||||||
| Energy – Other — 0.3% |
||||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.375% | 09/15/17 | 1,195 | 1,371,942 | ||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.450% | 09/15/36 | 325 | 364,954 | ||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
6.950% | 06/15/19 | 250 | 297,558 | ||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes(f) |
7.790% | 10/10/36 | 2,000 | 714,180 | ||||||||||||
| Cameron International Corp., Sr. Unsec’d. Notes |
4.500% | 06/01/21 | 2,200 | 2,287,666 | ||||||||||||
| Nabors Industries, Inc., Gtd. Notes |
4.625% | 09/15/21 | 1,070 | 1,071,254 | ||||||||||||
| Phillips 66, Gtd. Notes |
2.950% | 05/01/17 | 490 | 509,791 | ||||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
6.875% | 05/01/18 | 1,500 | 1,756,367 | ||||||||||||
| Transocean, Inc., Gtd. Notes(a) |
2.500% | 10/15/17 | 920 | 929,746 | ||||||||||||
| Weatherford International Ltd., Gtd. Notes(a) |
5.125% | 09/15/20 | 810 | 870,149 | ||||||||||||
| 10,173,607 | ||||||||||||||||
| Foods — 0.3% |
||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes |
8.000% | 11/15/39 | 1,285 | 1,851,941 | ||||||||||||
| Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes |
8.200% | 01/15/39 | 250 | 365,640 | ||||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
5.350% | 04/15/14 | 1,040 | 1,053,218 | ||||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
8.500% | 06/15/19 | 985 | 1,210,056 | ||||||||||||
| Constellation Brands, Inc., Gtd. Notes |
4.250% | 05/01/23 | 1,400 | 1,305,500 | ||||||||||||
| Darling International, Inc., Gtd. Notes |
8.500% | 12/15/18 | 1,200 | 1,323,000 | ||||||||||||
| Delhaize Group SA (Belgium), Gtd. Notes |
6.500% | 06/15/17 | 480 | 539,084 | ||||||||||||
| TreeHouse Foods, Inc., Gtd. Notes |
7.750% | 03/01/18 | 1,271 | 1,331,373 | ||||||||||||
| Tyson Foods, Inc., Gtd. Notes |
6.600% | 04/01/16 | 735 | 820,449 | ||||||||||||
| 9,800,261 | ||||||||||||||||
| Healthcare & Pharmaceutical — 0.2% |
||||||||||||||||
| Actavis PLC, Sr. Unsec’d. Notes(a) |
4.625% | 10/01/42 | 560 | 509,488 | ||||||||||||
| Actavis, Inc., Sr. Unsec’d. Notes |
6.125% | 08/15/19 | 445 | 512,990 | ||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
5.150% | 11/15/41 | 1,640 | 1,633,909 | ||||||||||||
| CHS/Community Health Systems, Inc., Sr. Sec’d. Notes |
5.125% | 08/15/18 | 1,100 | 1,135,750 | ||||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes(a) |
5.650% | 12/01/41 | 185 | 205,949 | ||||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a) |
3.750% | 08/23/22 | 180 | 174,356 | ||||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
5.625% | 12/15/15 | 580 | 629,740 | ||||||||||||
| Merck Sharp & Dohme Corp., Gtd. Notes |
5.950% | 12/01/28 | 165 | 192,431 | ||||||||||||
| Mylan, Inc., Gtd. Notes, 144A |
1.800% | 06/24/16 | 425 | 433,269 | ||||||||||||
| Thermo Fisher Scientific, Inc., Sr. Unsec’d. Notes |
4.150% | 02/01/24 | 1,215 | 1,203,455 | ||||||||||||
| Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A |
6.500% | 07/15/16 | 498 | 514,185 | ||||||||||||
| Wyeth LLC, Gtd. Notes |
6.450% | 02/01/24 | 60 | 71,840 | ||||||||||||
| Zoetis, Inc., Sr. Unsec’d. Notes |
4.700% | 02/01/43 | 190 | 177,585 | ||||||||||||
| 7,394,947 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Healthcare Insurance — 0.2% |
||||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
6.500% | 09/15/18 | 1,570 | $ | 1,849,361 | |||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
6.625% | 06/15/36 | 515 | 615,776 | ||||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
5.875% | 03/15/41 | 650 | 716,984 | ||||||||||||
| Cigna Corp., Sr. Unsec’d. Notes |
6.150% | 11/15/36 | 670 | 755,005 | ||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
3.950% | 10/15/42 | 260 | 220,497 | ||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.000% | 06/15/17 | 195 | 223,784 | ||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.500% | 06/15/37 | 420 | 498,280 | ||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
6.625% | 11/15/37 | 420 | 508,139 | ||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
4.625% | 05/15/42 | 390 | 360,443 | ||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
4.650% | 01/15/43 | 995 | 921,173 | ||||||||||||
| 6,669,442 | ||||||||||||||||
| Insurance — 0.6% |
||||||||||||||||
| Allied World Assurance Co. Ltd., Gtd. Notes |
5.500% | 11/15/20 | 525 | 567,790 | ||||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes |
4.500% | 06/15/43 | 150 | 141,926 | ||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
6.400% | 12/15/20 | 2,425 | 2,866,013 | ||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
8.250% | 08/15/18 | 990 | 1,238,371 | ||||||||||||
| Aon Corp., Gtd. Notes |
3.125% | 05/27/16 | 2,655 | 2,768,820 | ||||||||||||
| Axis Specialty Finance LLC, Gtd. Notes |
5.875% | 06/01/20 | 1,030 | 1,129,918 | ||||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(a) |
6.375% | (b) | 03/29/67 | 1,300 | 1,407,250 | |||||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes |
5.125% | 04/15/22 | 755 | 822,354 | ||||||||||||
| Liberty Mutual Group, Inc., Gtd. Notes, 144A |
6.500% | 05/01/42 | 365 | 400,570 | ||||||||||||
| Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A |
7.000% | 03/15/34 | 850 | 970,914 | ||||||||||||
| Lincoln National Corp., Jr. Sub. Notes |
6.050% | (b) | 04/20/67 | 260 | 258,050 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
6.300% | 10/09/37 | 492 | 565,680 | ||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
7.000% | 06/15/40 | 705 | 883,275 | ||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
8.750% | 07/01/19 | 605 | 778,729 | ||||||||||||
| Markel Corp., Sr. Unsec’d. Notes |
5.000% | 03/30/43 | 200 | 187,039 | ||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
5.700% | 06/15/35 | 835 | 911,939 | ||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
6.375% | 06/15/34 | 400 | 473,067 | ||||||||||||
| New York Life Insurance Co., Sub. Notes, 144A(a) |
6.750% | 11/15/39 | 660 | 805,086 | ||||||||||||
| Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A |
6.063% | 03/30/40 | 370 | 415,699 | ||||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
6.375% | 04/30/20 | 680 | 753,961 | ||||||||||||
| Pacific Life Insurance Co., Sub. Notes, 144A |
9.250% | 06/15/39 | 995 | 1,381,767 | ||||||||||||
| Principal Financial Group, Inc., Gtd. Notes |
4.625% | 09/15/42 | 130 | 122,136 | ||||||||||||
| Progressive Corp. (The), Jr. Sub. Notes |
6.700% | (b) | 06/15/37 | 735 | 793,800 | |||||||||||
| Teachers Insurance & Annuity Association of America, Sub. Notes, 144A |
6.850% | 12/16/39 | 1,450 | 1,789,864 | ||||||||||||
| Unum Group, Sr. Unsec’d. Notes |
5.625% | 09/15/20 | 350 | 383,651 | ||||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
5.600% | 05/15/15 | 555 | 585,860 | ||||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
6.150% | 08/15/19 | 460 | 518,248 | ||||||||||||
| XL Group PLC (Ireland), Sr. Unsec’d. Notes |
5.250% | 09/15/14 | 85 | 87,610 | ||||||||||||
| 24,009,387 | ||||||||||||||||
| Lodging — 0.2% |
||||||||||||||||
| Choice Hotels International, Inc., Gtd. Notes |
5.750% | 07/01/22 | 1,000 | 1,043,750 | ||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.000% | 03/01/19 | 580 | 584,063 | ||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
3.250% | 09/15/22 | 980 | 913,664 | ||||||||||||
| Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes |
6.750% | 05/15/18 | 2,800 | 3,240,756 | ||||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
2.500% | 03/01/18 | 490 | 488,337 | ||||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
4.250% | 03/01/22 | 1,055 | 1,029,650 | ||||||||||||
| 7,300,220 | ||||||||||||||||
| Media & Entertainment — 0.2% |
||||||||||||||||
| Belo Corp., Gtd. Notes |
8.000% | 11/15/16 | 1,200 | 1,251,000 | ||||||||||||
| CBS Corp., Gtd. Notes |
4.850% | 07/01/42(d)(e) | 400 | 360,420 | ||||||||||||
| Historic TW, Inc., Gtd. Notes |
9.150% | 02/01/23 | 505 | 669,671 | ||||||||||||
| News America, Inc., Gtd. Notes |
6.150% | 03/01/37 | 620 | 681,435 | ||||||||||||
| News America, Inc., Gtd. Notes(a) |
6.150% | 02/15/41 | 1,315 | 1,465,600 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A80
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Media & Entertainment (continued) |
||||||||||||||||
| News America, Inc., Gtd. Notes |
6.900% | 08/15/39 | 90 | $ | 107,267 | |||||||||||
| Time Warner, Inc., Gtd. Notes(a) |
6.200% | 03/15/40 | 210 | 231,349 | ||||||||||||
| Time Warner, Inc., Gtd. Notes |
6.250% | 03/29/41 | 1,465 | 1,626,856 | ||||||||||||
| Time Warner, Inc., Gtd. Notes |
7.625% | 04/15/31 | 180 | 227,802 | ||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes(a) |
4.500% | 02/27/42 | 50 | 42,658 | ||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes |
5.850% | 09/01/43 | 605 | 635,989 | ||||||||||||
| 7,300,047 | ||||||||||||||||
| Metals — 0.1% |
||||||||||||||||
| BHP Billiton Finance USA Ltd. (Australia), Gtd. Notes |
5.000% | 09/30/43 | 920 | 935,402 | ||||||||||||
| Newmont Mining Corp., Gtd. Notes |
6.250% | 10/01/39 | 35 | 30,958 | ||||||||||||
| Peabody Energy Corp., Gtd. Notes |
6.000% | 11/15/18 | 725 | 772,125 | ||||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
7.500% | 07/27/35 | 425 | 442,879 | ||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
2.050% | 10/23/15 | 1,110 | 1,124,127 | ||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
2.700% | 10/25/17 | 1,220 | 1,233,848 | ||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
2.850% | 11/10/14 | 1,185 | 1,201,448 | ||||||||||||
| 5,740,787 | ||||||||||||||||
| Non-Captive Finance — 0.2% |
||||||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a) |
5.875% | 01/14/38 | 1,750 | 1,993,450 | ||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
6.000% | 08/07/19 | 920 | 1,079,447 | ||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
6.875% | 01/10/39 | 1,625 | 2,089,094 | ||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
5.750% | 05/15/16 | 375 | 401,719 | ||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
6.250% | 01/25/16 | 570 | 615,600 | ||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
8.450% | 06/15/18 | 240 | 279,600 | ||||||||||||
| 6,458,910 | ||||||||||||||||
| Packaging — 0.1% |
||||||||||||||||
| Ball Corp., Gtd. Notes |
4.000% | 11/15/23 | 2,015 | 1,803,425 | ||||||||||||
| Crown Americas LLC/Crown Americas Capital Corp. IV(a) |
4.500% | 01/15/23 | 1,100 | 1,028,500 | ||||||||||||
| 2,831,925 | ||||||||||||||||
| Paper — 0.1% |
||||||||||||||||
| Georgia-Pacific LLC, Gtd. Notes, 144A |
5.400% | 11/01/20(d)(e) | 290 | 324,017 | ||||||||||||
| International Paper Co., Sr. Unsec’d. Notes(a) |
6.000% | 11/15/41 | 1,595 | 1,732,100 | ||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
7.950% | 06/15/18 | 510 | 619,493 | ||||||||||||
| Rock-Tenn Co., Gtd. Notes |
4.000% | 03/01/23 | 440 | 420,240 | ||||||||||||
| Rock-Tenn Co., Gtd. Notes |
4.900% | 03/01/22 | 800 | 823,494 | ||||||||||||
| 3,919,344 | ||||||||||||||||
| Pipelines & Other — 0.1% |
||||||||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes |
4.650% | 06/01/21 | 675 | 694,333 | ||||||||||||
| Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes |
5.950% | 02/15/18 | 510 | 579,561 | ||||||||||||
| NiSource Finance Corp., Gtd. Notes |
5.250% | 09/15/17 | 245 | 270,522 | ||||||||||||
| NiSource Finance Corp., Gtd. Notes |
5.450% | 09/15/20 | 350 | 389,197 | ||||||||||||
| ONEOK Partners LP, Gtd. Notes |
6.650% | 10/01/36 | 145 | 159,569 | ||||||||||||
| 2,093,182 | ||||||||||||||||
| Railroads |
||||||||||||||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes |
6.700% | 08/01/28 | 670 | 772,849 | ||||||||||||
| CSX Corp., Sr. Unsec’d. Notes |
6.150% | 05/01/37 | 715 | 798,345 | ||||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
5.590% | 05/17/25 | 100 | 109,280 | ||||||||||||
| 1,680,474 | ||||||||||||||||
| Real Estate Investment Trusts — 0.2% |
||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
10.000% | 10/01/14 | 385 | 407,138 | ||||||||||||
| HCP, Inc., Sr. Unsec’d. Notes |
2.700% | 02/01/14 | 750 | 751,171 | ||||||||||||
| Mack-Cali Realty Corp., Sr. Unsec’d. Notes |
7.750% | 08/15/19 | 765 | 917,089 | ||||||||||||
| ProLogis LP, Gtd. Notes |
6.875% | 03/15/20 | 72 | 84,802 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| CORPORATE BONDS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Real Estate Investment Trusts (continued) |
||||||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes(a) |
2.800% | 01/30/17 | 295 | $ | 305,120 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
3.375% | 03/15/22 | 230 | 224,177 | ||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
6.125% | 05/30/18 | 3,080 | 3,566,067 | ||||||||||||
| 6,255,564 | ||||||||||||||||
| Retailers — 0.1% |
||||||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
5.300% | 12/05/43 | 225 | 232,687 | ||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
5.750% | 05/15/41 | 100 | 109,137 | ||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes(a) |
6.125% | 09/15/39 | 515 | 584,071 | ||||||||||||
| Lowe’s Cos, Inc., Sr. Unsec’d. Notes |
6.500% | 03/15/29 | 385 | 456,631 | ||||||||||||
| Ltd. Brands, Inc., Gtd. Notes |
5.625% | 02/15/22 | 1,450 | 1,482,625 | ||||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes |
3.875% | 01/15/22 | 360 | 354,844 | ||||||||||||
| 3,219,995 | ||||||||||||||||
| Technology — 0.1% |
||||||||||||||||
| Arrow Electronics, Inc., Sr. Unsec’d. Notes |
3.375% | 11/01/15 | 400 | 413,953 | ||||||||||||
| Fidelity National Information Services, Inc., Gtd. Notes |
7.875% | 07/15/20 | 1,100 | 1,200,055 | ||||||||||||
| Fiserv, Inc., Gtd. Notes |
3.125% | 06/15/16 | 2,410 | 2,514,849 | ||||||||||||
| Seagate HDD Cayman, Gtd. Notes, 144A |
3.750% | 11/15/18 | 605 | 611,806 | ||||||||||||
| 4,740,663 | ||||||||||||||||
| Telecommunications — 0.5% |
||||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
6.125% | 03/30/40 | 480 | 507,896 | ||||||||||||
| AT&T Corp., Gtd. Notes |
8.000% | 11/15/31 | 7 | 9,317 | ||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
5.350% | 09/01/40 | 815 | 806,387 | ||||||||||||
| British Telecommunications PLC (United Kingdom), Sr. Unsec’d. Notes |
9.625% | 12/15/30 | 400 | 596,898 | ||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.082% | 06/01/16(d)(e) | 325 | 363,155 | ||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
7.995% | 06/01/36(d)(e) | 1,000 | 1,012,440 | ||||||||||||
| Qwest Corp., Sr. Unsec’d. Notes |
7.500% | 10/01/14 | 1,440 | 1,511,479 | ||||||||||||
| Sprint Communications, Inc., Sr. Unsec’d. Notes(a) |
6.000% | 12/01/16 | 1,075 | 1,173,094 | ||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
6.400% | 09/15/33 | 1,705 | 1,960,956 | ||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
6.550% | 09/15/43 | 5,580 | 6,528,371 | ||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
6.350% | 04/01/19 | 3,165 | 3,720,109 | ||||||||||||
| 18,190,102 | ||||||||||||||||
| Tobacco — 0.1% |
||||||||||||||||
| Altria Group, Inc., Gtd. Notes |
4.000% | 01/31/24 | 1,500 | 1,466,121 | ||||||||||||
| Altria Group, Inc., Gtd. Notes |
9.950% | 11/10/38 | 46 | 70,168 | ||||||||||||
| Altria Group, Inc., Gtd. Notes |
10.200% | 02/06/39 | 254 | 396,295 | ||||||||||||
| Imperial Tobacco Finance PLC (United Kingdom), Gtd. Notes, 144A |
2.050% | 02/11/18 | 2,050 | 2,027,081 | ||||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
3.500% | 08/04/16 | 465 | 489,294 | ||||||||||||
| Lorillard Tobacco Co., Gtd. Notes(a) |
8.125% | 06/23/19 | 325 | 395,897 | ||||||||||||
| Reynolds American, Inc., Gtd. Notes |
4.750% | 11/01/42 | 330 | 293,311 | ||||||||||||
| 5,138,167 | ||||||||||||||||
| TOTAL CORPORATE BONDS |
|
263,539,551 | ||||||||||||||
| COVERED BONDS — 0.4% | ||||||||||||||||
| Bank Of Nova Scotia (Canada), Covered Bonds, 144A |
1.650% | 10/29/15 | 1,535 | 1,565,086 | ||||||||||||
| Depfa ACS Bank (Ireland), Covered Bonds, 144A |
5.125% | 03/16/37 | 500 | 423,125 | ||||||||||||
| Royal Bank of Canada (Canada), Covered Bonds |
2.000% | 10/01/18 | 4,280 | 4,257,787 | ||||||||||||
| Westpac Banking Corp. (Australia), Covered Bonds, 144A |
1.850% | 11/26/18 | 6,500 | 6,383,650 | ||||||||||||
| TOTAL COVERED BONDS |
|
12,629,648 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| FOREIGN AGENCIES — 0.6% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Commonwealth Bank of Australia (Australia), Gov’t. Gtd. Notes, 144A |
2.700% | 11/25/14 | 7,435 | $ | 7,592,771 | |||||||||||
| Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes |
5.125% | 06/29/20 | 400 | 439,490 | ||||||||||||
| Gazprom OAO Via Gaz Capital SA (Russia), Sr. Unsec’d. Notes, 144A |
9.250% | 04/23/19 | 930 | 1,143,900 | ||||||||||||
| Kommunalbanken AS (Norway), Sr. Unsec’d Notes, 144A |
1.125% | 05/23/18 | 3,158 | 3,067,681 | ||||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), Sr. Unsec’d. Notes, 144A |
6.250% | 06/17/14 | 1,000 | 1,023,173 | ||||||||||||
| Pemex Project Funding Master Trust (Mexico), Gtd. Notes |
6.625% | 06/15/35 | 1,624 | 1,709,260 | ||||||||||||
| Pemex Project Funding Master Trust (Mexico), Gtd. Notes |
8.625% | 12/01/23 | 350 | 426,125 | ||||||||||||
| Petrobras Global Finance BV (Brazil), Gtd. Notes |
2.000% | 05/20/16 | 1,665 | 1,663,683 | ||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes(a) |
3.500% | 01/30/23 | 970 | 888,763 | ||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
4.875% | 01/18/24 | 510 | 510,000 | ||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
5.500% | 01/21/21 | 2,730 | 2,934,750 | ||||||||||||
| RSHB Capital SA For OJSC Russian Agricultural Bank (Russia), Sr. Unsec’d. Notes, 144A |
6.299% | 05/15/17 | 1,030 | 1,098,238 | ||||||||||||
| TOTAL FOREIGN AGENCIES |
|
22,497,834 | ||||||||||||||
| MUNICIPAL BONDS — 0.4% | ||||||||||||||||
| California — 0.1% |
||||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
6.263% | 04/01/49 | 1,325 | 1,589,218 | ||||||||||||
| State of California, GO, BABs |
7.300% | 10/01/39 | 1,270 | 1,597,139 | ||||||||||||
| State of California, GO, BABs |
7.500% | 04/01/34 | 475 | 604,447 | ||||||||||||
| State of California, GO, BABs |
7.550% | 04/01/39 | 245 | 317,518 | ||||||||||||
| State of California, GO, BABs |
7.625% | 03/01/40 | 215 | 283,065 | ||||||||||||
| 4,391,387 | ||||||||||||||||
| Colorado |
||||||||||||||||
| Regional Transportation District, Revenue Bonds, Series 2010B, BABs |
5.844% | 11/01/50 | 680 | 785,046 | ||||||||||||
| Illinois — 0.1% |
||||||||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
6.395% | 01/01/40 | 1,030 | 1,149,037 | ||||||||||||
| State of Illinois, GO, Taxable Series |
4.421% | 01/01/15 | 740 | 763,695 | ||||||||||||
| 1,912,732 | ||||||||||||||||
| New Jersey — 0.1% |
||||||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Series F, BABs |
7.414% | 01/01/40 | 1,070 | 1,425,722 | ||||||||||||
| New York — 0.1% |
||||||||||||||||
| New York City Transitional Finance Authority, Revenue Bonds, BABs |
5.767% | 08/01/36 | 1,130 | 1,281,725 | ||||||||||||
| Ohio |
||||||||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
4.910% | 06/01/40 | 455 | 455,901 | ||||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
4.879% | 12/01/34 | 300 | 304,287 | ||||||||||||
| 760,188 | ||||||||||||||||
| Oregon |
||||||||||||||||
| Oregon State Department of Transportation Highway, Revenue Bonds, Series A, BABs |
5.834% | 11/15/34 | 445 | 512,271 | ||||||||||||
| Pennsylvania |
||||||||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, Series B, BABs |
5.511% | 12/01/45 | 550 | 583,611 | ||||||||||||
| Tennessee |
||||||||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
6.731% | 07/01/43 | 1,000 | 1,108,480 | ||||||||||||
| Texas |
||||||||||||||||
| Texas State Transportation Commission, Revenue Bonds, Series B, BABs |
5.028% | 04/01/26 | 335 | 360,333 | ||||||||||||
| TOTAL MUNICIPAL BONDS |
|
13,121,495 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| SOVEREIGN BONDS — 0.2% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes |
4.250% | 01/07/25 | 1,275 | $ | 1,214,438 | |||||||||||
| Colombia Government International Bond (Colombia), Sr. Unsec’d. Notes |
4.000% | 02/26/24 | 1,475 | 1,421,900 | ||||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A(a) |
5.875% | 03/13/20 | 1,135 | 1,199,695 | ||||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A |
6.875% | 01/17/18 | 1,120 | 1,252,720 | ||||||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes |
3.625% | 03/15/22 | 700 | 700,000 | ||||||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, MTN(a) |
4.750% | 03/08/44 | 1,006 | 906,658 | ||||||||||||
| Panama Government International Bond (Panama), Sr. Unsec’d. Notes |
5.200% | 01/30/20 | 620 | 675,025 | ||||||||||||
| TOTAL SOVEREIGN BONDS |
|
7,370,436 | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.1% | ||||||||||||||||
| Federal Home Loan Bank |
0.375% | 08/28/15 | 460 | 460,284 | ||||||||||||
| Federal Home Loan Bank |
5.500% | 07/15/36 | 1,080 | 1,249,384 | ||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
0.750% | 01/12/18 | 685 | 666,688 | ||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
1.375% | 05/01/20 | 5,785 | 5,423,518 | ||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
2.375% | 01/13/22 | 8,305 | 7,939,289 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
2.384% | (b) | 06/01/36 | 549 | 580,273 | |||||||||||
| Federal Home Loan Mortgage Corp. |
2.572% | (b) | 12/01/35 | 337 | 360,486 | |||||||||||
| Federal Home Loan Mortgage Corp. |
3.000% | 10/01/42 | 1,980 | 1,877,741 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | TBA 30YR | 6,500 | 6,449,219 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | TBA 15 YR | 1,500 | 1,563,750 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | TBA 30 YR | 6,500 | 6,675,195 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 6,524 | 6,817,090 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 02/01/19-10/01/41 | 17,294 | 18,331,442 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/18-06/01/39 | 6,401 | 6,881,435 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 12/01/33-07/01/38 | 6,855 | 7,493,256 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 03/01/32-08/01/39 | 3,028 | 3,360,694 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 12/01/14 | 9 | 9,160 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 01/01/31-10/01/32 | 431 | 481,665 | ||||||||||||
| Federal National Mortgage Assoc.(a)(g) |
1.625% | 11/27/18 | 4,690 | 4,650,876 | ||||||||||||
| Federal National Mortgage Assoc. |
2.014% | (b) | 07/01/33 | 393 | 414,113 | |||||||||||
| Federal National Mortgage Assoc. |
2.058% | (b) | 06/01/37 | 139 | 146,582 | |||||||||||
| Federal National Mortgage Assoc. |
2.500% | TBA 15 YR | 6,000 | 5,938,125 | ||||||||||||
| Federal National Mortgage Assoc. |
2.500% | 01/01/28 | 2,939 | 2,911,802 | ||||||||||||
| Federal National Mortgage Assoc. |
3.000% | TBA 15 YR | 9,500 | 9,694,824 | ||||||||||||
| Federal National Mortgage Assoc. |
3.000% | TBA 30 YR | 12,500 | 11,866,211 | ||||||||||||
| Federal National Mortgage Assoc. |
3.000% | 12/01/42 | 2,460 | 2,337,542 | ||||||||||||
| Federal National Mortgage Assoc. |
3.500% | TBA 15 YR | 5,500 | 5,751,582 | ||||||||||||
| Federal National Mortgage Assoc. |
3.500% | 06/01/39-03/01/43 | 27,581 | 27,432,049 | ||||||||||||
| Federal National Mortgage Assoc. |
4.000% | TBA 30 YR | 12,500 | 12,867,188 | ||||||||||||
| Federal National Mortgage Assoc. |
4.500% | TBA 30 YR | 5,500 | 5,827,637 | ||||||||||||
| Federal National Mortgage Assoc. |
4.500% | 11/01/18-07/01/42 | 13,886 | 14,755,067 | ||||||||||||
| Federal National Mortgage Assoc. |
5.000% | 10/01/18-02/01/36 | 6,032 | 6,553,292 | ||||||||||||
| Federal National Mortgage Assoc. |
5.500% | 03/01/16-08/01/37 | 8,659 | 9,522,751 | ||||||||||||
| Federal National Mortgage Assoc. |
6.000% | 05/01/14-05/01/38 | 7,572 | 8,444,606 | ||||||||||||
| Federal National Mortgage Assoc. |
6.500% | 07/01/17-09/01/37 | 2,675 | 2,979,706 | ||||||||||||
| Federal National Mortgage Assoc. |
7.000% | 02/01/32-07/01/32 | 279 | 315,316 | ||||||||||||
| Federal National Mortgage Assoc. |
7.500% | 05/01/32 | 61 | 69,215 | ||||||||||||
| Financing Corp., Strips Principal, Series A-P |
1.610% | (f) | 10/06/17 | 1,570 | 1,479,262 | |||||||||||
| Financing Corp., Strips Principal, Series B-P |
1.610% | (f) | 10/06/17 | 2,140 | 2,016,319 | |||||||||||
| Government National Mortgage Assoc. |
3.000% | TBA 30 YR | 2,500 | 2,414,258 | ||||||||||||
| Government National Mortgage Assoc. |
3.000% | TBA 30 YR | 3,000 | 2,898,516 | ||||||||||||
| Government National Mortgage Assoc. |
3.500% | TBA 30 YR | 11,000 | 11,086,368 | ||||||||||||
| Government National Mortgage Assoc. |
4.000% | TBA 30 YR | 15,000 | 15,595,899 | ||||||||||||
| Government National Mortgage Assoc. |
4.000% | 06/15/40-05/20/41 | 2,994 | 3,116,904 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Government National Mortgage Assoc. |
4.500% | TBA 30 YR | 2,000 | $ | 2,133,906 | |||||||||||
| Government National Mortgage Assoc. |
4.500% | TBA 30 YR | 1,000 | 1,069,141 | ||||||||||||
| Government National Mortgage Assoc. |
4.500% | 01/20/41-02/20/41 | 5,564 | 5,973,314 | ||||||||||||
| Government National Mortgage Assoc. |
5.500% | 11/15/32-02/15/36 | 3,329 | 3,683,590 | ||||||||||||
| Government National Mortgage Assoc. |
6.000% | 02/15/33-10/15/34 | 1,598 | 1,800,589 | ||||||||||||
| Government National Mortgage Assoc. |
6.500% | 10/15/23-07/15/35 | 1,915 | 2,164,699 | ||||||||||||
| Government National Mortgage Assoc. |
8.000% | 01/15/24-04/15/25 | 61 | 69,346 | ||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
264,601,164 | ||||||||||||||
| U.S. TREASURY OBLIGATIONS — 2.6% | ||||||||||||||||
| U.S. Treasury Bonds(a)(h) |
3.625% | 08/15/43 | 5,300 | 5,005,188 | ||||||||||||
| U.S. Treasury Bonds |
3.750% | 11/15/43 | 7,080 | 6,843,259 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds |
0.125% | 04/15/18 | 4,820 | 4,915,673 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds |
0.375% | 07/15/23 | 3,192 | 3,078,124 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds |
0.625% | 02/15/43 | 935 | 718,641 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds |
1.375% | 01/15/20 | 6,005 | 6,448,660 | ||||||||||||
| U.S. Treasury Notes |
0.625% | 04/30/18 | 1,875 | 1,808,203 | ||||||||||||
| U.S. Treasury Notes |
0.875% | 07/31/19 | 4,145 | 3,903,102 | ||||||||||||
| U.S. Treasury Notes(a) |
1.250% | 11/30/18 | 18,330 | 17,937,628 | ||||||||||||
| U.S. Treasury Notes |
1.500% | 12/31/18 | 16,020 | 15,839,775 | ||||||||||||
| U.S. Treasury Notes |
2.375% | 12/31/20 | 24,390 | 24,294,733 | ||||||||||||
| U.S. Treasury Notes(a) |
2.750% | 11/15/23 | 15 | 14,674 | ||||||||||||
| U.S. Treasury Notes |
3.500% | 02/15/18 | 4,010 | 4,353,356 | ||||||||||||
| U.S. Treasury Strips Principal(a) |
8.020% | (f) | 05/15/43 | 8,120 | 2,384,349 | |||||||||||
| U.S. Treasury Strips Principal |
8.070% | (f) | 02/15/43 | 1,920 | 569,566 | |||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
|
98,114,931 | ||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
3,512,250,000 | ||||||||||||||
| SHORT-TERM INVESTMENTS — 11.4% | ||||||||||||||||
| U.S. TREASURY OBLIGATION — 0.1% |
||||||||||||||||
| U.S. Treasury Bonds(g) |
0.047% | (f) | 03/20/14 | 1,925 | 1,924,754 | |||||||||||
| Shares |
||||||||||||||||
| AFFILIATED MUTUAL FUNDS — 11.3% |
| |||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
13,390,235 | 124,663,087 | ||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
296,818,840 | 296,818,840 | ||||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
421,481,927 | ||||||||||||||
| Counterparty |
Notional Amount (000)# |
|||||||||||||||
| OPTIONS PURCHASED* |
||||||||||||||||
| Call Options |
||||||||||||||||
| Interest Rate Swap Options, |
||||||||||||||||
| Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 |
|
Barclays Bank PLC | 29,770 | 300 | ||||||||||||
| Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 |
|
Citibank NA | 36,480 | 368 | ||||||||||||
| Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 |
|
Citibank NA | 36,480 | 368 | ||||||||||||
| TOTAL OPTIONS PURCHASED |
|
1,036 | ||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
423,407,717 | ||||||||||||||
| TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 105.5% |
|
3,935,657,717 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| SECURITY SOLD SHORT — (0.2)% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATION |
||||||||||||||||
| Federal National Mortgage Assoc. (proceeds received $5,450,156) |
3.500% | 01/15/42 | 5,500 | $ | (5,463,477 | ) | ||||||||||
| TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 105.3% |
|
3,930,194,240 | ||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(k) — (5.3)% |
|
(199,568,459 | ) | |||||||||||||
| NET ASSETS — 100.0% |
|
$ | 3,730,625,781 | |||||||||||||
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 the rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be illiquid. | |
| ABS | Asset-Back Security | |
| BABs | Build America Bonds | |
| CDO | Collateralized Debt Obligation | |
| CDX | Credit Derivative Index | |
| CLO | Collateralized Loan Obligation | |
| EAFE | Europe, Australasia and Far East | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| GO | General Obligation | |
| I/O | Interest Only | |
| LIBOR | London Interbank Offered Rate | |
| MSCI | Morgan Stanley Capital International | |
| MTN | Medium Term Note | |
| REIT | Real Estate Investment Trust | |
| SDR | Swedish Depositary Receipt | |
| TBA | To Be Announced |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| * | Non-income producing security. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $105,942,063; cash collateral of $108,463,728 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (c) | Represents issuer in default on interest payments. Non-income producing security. Such securities may be post maturity. |
| (d) | Indicates a security that has been deemed illiquid. |
| (e) | Indicates a restricted security; the aggregate original cost of the restricted securities is $7,025,680. The aggregate value, $7,321,300, is approximately 0.2% of net assets. |
| (f) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (i) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (j) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (k) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Open futures contracts outstanding at December 31, 2013:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
| Long Positions: | ||||||||||||||||||||
| 968 | 5 Year U.S. Treasury Notes | Mar. 2014 | $ | 116,300,600 | $ | 115,494,500 | $ | (806,100 | ) | |||||||||||
| 196 | 10 Year U.S. Treasury Notes | Mar. 2014 | 24,333,384 | 24,117,188 | (216,196 | ) | ||||||||||||||
| 172 | 90 Day Euro Dollar | Sept. 2016 | 42,245,330 | 42,116,350 | (128,980 | ) | ||||||||||||||
| 430 | S&P 500 E-mini Futures | Mar. 2014 | 38,277,787 | 39,583,650 | 1,305,863 | |||||||||||||||
| 154,587 | ||||||||||||||||||||
| Short Positions: | ||||||||||||||||||||
| 172 | 90 Day Euro Dollar | Sept. 2015 | 42,645,251 | 42,625,900 | 19,351 | |||||||||||||||
| 164 | U.S. Long Bond | Mar. 2014 | 21,320,899 | 21,043,250 | 277,649 | |||||||||||||||
| 64 | U.S. Ultra Bond | Mar. 2014 | 8,829,843 | 8,720,000 | 109,843 | |||||||||||||||
| 406,843 | ||||||||||||||||||||
| $ | 561,430 | |||||||||||||||||||
Interest rate swap agreements outstanding at December 31, 2013:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||||
| 2,195 | 09/14/16 | 1.206% | 3 month LIBOR(2) |
$ | (35,305 | ) | $ | — | $ | (35,305 | ) | Deutsche Bank AG | ||||||||||||||
| 13,615 | 02/28/17 | 0.680% | 3 month LIBOR(1) |
(84,466 | ) | — | (84,466 | ) | Citibank Global Markets | |||||||||||||||||
| 7,580 | 08/31/17 | 0.751% | 3 Month LIBOR(2) |
100,618 | — | 100,618 | Bank of Nova Scotia | |||||||||||||||||||
| 3,158 | 05/17/18 | 0.989% | 3 month LIBOR(2) |
68,269 | — | 68,269 | Credit Suisse First Boston Corp. | |||||||||||||||||||
| $ | 49,116 | $ | — | $ | 49,116 | |||||||||||||||||||||
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
Exchange-traded swap agreements: |
|
||||||||||||||||||||||
| 11,365 | 02/28/18 | 1.649% | 3 month LIBOR(2) |
$ | 201 | $ | (104,169 | ) | $ | (104,370 | ) | |||||||||||||
| 4,690 | 11/27/18 | 1.592% | 3 month LIBOR(2) |
171 | 35,758 | 35,587 | ||||||||||||||||||
| 8,370 | 08/31/20 | 2.085% | 3 month LIBOR(2) |
200 | 154,760 | 154,560 | ||||||||||||||||||
| 10,000 | 08/31/20 | 2.219% | 3 month LIBOR(2) |
210 | 99,717 | 99,507 | ||||||||||||||||||
| 7,865 | 08/31/20 | 2.220% | 3 month LIBOR(2) |
197 | 77,944 | 77,747 | ||||||||||||||||||
| 1,815 | 08/31/20 | 2.490% | 3 month LIBOR(2) |
161 | (13,235 | ) | (13,396 | ) | ||||||||||||||||
| 1,785 | 01/22/22 | 2.785% | 3 month LIBOR(2) |
161 | (6,045 | ) | (6,206 | ) | ||||||||||||||||
| 1,970 | 01/31/22 | 2.505% | 3 month LIBOR(2) |
162 | 35,249 | 35,087 | ||||||||||||||||||
| 18,450 | 08/05/23 | 4.210% | 3 month LIBOR(1) |
— | (256,396 | ) | (256,396 | ) | ||||||||||||||||
| 7,380 | 08/06/23 | 4.220% | 3 month LIBOR(1) |
— | (99,524 | ) | (99,524 | ) | ||||||||||||||||
| 7,760 | 10/28/23 | 4.029% | 3 month LIBOR(1) |
185 | (182,379 | ) | (182,564 | ) | ||||||||||||||||
| $ | 1,648 | $ | (258,320 | ) | $ | (259,968 | ) | |||||||||||||||||
| (1) | Portfolio pays the floating rate and receives the fixed rate. |
| (2) | Portfolio pays the fixed rate and receives the floating rate. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Credit default swap agreements outstanding at December 31, 2013:
| Reference Entity/ Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Depreciation |
||||||||||||||||||
| Exchange-traded credit default swaps on credit indices—Buy Protection(1): |
| |||||||||||||||||||||||
| CDX.NA.IG.21.V1 |
12/20/18 | 1.000% | 43,000 | $ | (441,990 | ) | $ | (769,342 | ) | $ | (327,352 | ) | ||||||||||||
| Reference Entity/ |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Fair Value(4) |
Upfront Premiums Paid (Received) |
Unrealized Depreciation |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on corporate issues—Buy Protection(1): | ||||||||||||||||||||||||||
| Bunge Ltd. Finance Corp. |
06/20/14 | 0.650% | 1,150 | $ | (3,010 | ) | $ | — | $ | (3,010 | ) | JPMorgan Chase Bank | ||||||||||||||
| Newell Rubbermaid, Inc. |
06/20/18 | 1.000% | 1,700 | (43,990 | ) | — | (43,990 | ) | Morgan Stanley Capital Services, Inc. | |||||||||||||||||
| Simon Property Group LP |
06/20/18 | 0.970% | 2,800 | (64,950 | ) | — | (64,950 | ) | Morgan Stanley Capital Services, Inc. | |||||||||||||||||
| $ | (111,950 | ) | $ | — | $ | (111,950 | ) | |||||||||||||||||||
| Reference Entity/ |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Fair Value(4) |
Upfront Premiums Paid (Received) |
Unrealized Appreciation |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on credit indices—Sell Protection(2): | ||||||||||||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 1,440 | $ | 134,615 | $ | 60,400 | $ | 74,215 | Credit Suisse First Boston Corp. | ||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 3,840 | 358,973 | 165,867 | 193,106 | Deutsche Bank | |||||||||||||||||||
| CDX.NA.HY.17.V5 |
12/20/16 | 5.000% | 5,280 | 493,588 | 231,367 | 262,221 | Deutsche Bank | |||||||||||||||||||
| $ | 987,176 | $ | 457,634 | $ | 529,542 | |||||||||||||||||||||
The Portfolio entered into credit default swaps as the protection seller on credit indices to take an active short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness.
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | The fair value of credit default swap agreements on 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 the reporting date. Increasing fair value in absolute terms, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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 December 31, 2013 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 2,506,648,590 | $ | 133,009,195 | $ | — | ||||||
| Exchange Traded Fund |
2,065,448 | — | — | |||||||||
| Preferred Stocks |
599,500 | 151,549 | — | |||||||||
| Asset-Backed Securities |
— | 52,679,635 | 2,290,800 | |||||||||
| Bank Loans |
— | 9,125,415 | — | |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Collateralized Mortgage Obligations |
$ | — | $ | 5,302,308 | $ | — | ||||||
| Commercial Mortgage-Backed Securities |
— | 118,502,501 | — | |||||||||
| Corporate Bonds |
— | 258,852,783 | 4,686,768 | |||||||||
| Covered Bonds |
— | 12,629,648 | — | |||||||||
| Foreign Agencies |
— | 22,497,834 | — | |||||||||
| Municipal Bonds |
— | 13,121,495 | — | |||||||||
| Sovereign Bonds |
— | 7,370,436 | — | |||||||||
| U.S. Government Agency Obligations |
— | 264,601,164 | — | |||||||||
| U.S. Treasury Obligations |
— | 100,039,685 | — | |||||||||
| Affiliated Mutual Funds |
421,481,927 | — | — | |||||||||
| Options Purchased |
— | 1,036 | — | |||||||||
| U.S. Government Agency Obligation Sold Short |
— | (5,463,477 | ) | — | ||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
561,430 | — | — | |||||||||
| Interest Rate Swap Agreements |
(259,968 | ) | 49,116 | — | ||||||||
| Credit Default Swap Agreements |
(327,352 | ) | 417,592 | — | ||||||||
| Total |
$ | 2,930,769,575 | $ | 992,887,915 | $ | 6,977,568 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of the instrument. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, equity risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2013 as presented in the Statement of Assets and Liabilities:
| Derivatives not designated as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Credit contracts |
— | — | Due from broker — variation margin | $ | 327,352 | * | ||||||
| Credit contracts |
Premiums paid for swap agreements | 457,633 | Premiums received for swap agreements | — | ||||||||
| Credit contracts |
Unrealized appreciation on over-the-counter swap agreements | 529,542 | Unrealized depreciation on over-the-counter swap agreements | 111,950 | ||||||||
| Equity contracts |
Due from broker — variation margin | 1,305,863 | * | — | — | |||||||
| Interest rate contracts |
Due from broker — variation margin | 809,331 | * | Due from broker — variation margin | 1,813,732 | * | ||||||
| Interest rate contracts |
Unaffiliated investments | 1,036 | — | — | ||||||||
| Interest rate contracts |
Unrealized appreciation on over-the-counter swap agreements | 168,887 | Unrealized depreciation on over-the-counter swap agreements | 119,771 | ||||||||
| Total |
$ | 3,272,292 | $ | 2,372,805 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||
| Derivatives not designated as hedging |
Rights* |
Options Purchased* |
Options Written |
Futures |
Swaps |
Total |
||||||||||||||||||
| Credit contracts |
$ | — | — | — | $ | — | $ | (297,646 | ) | $ | (297,646 | ) | ||||||||||||
| Equity contracts |
6,811 | — | — | 3,574,077 | — | 3,580,888 | ||||||||||||||||||
| Interest rate contracts |
— | (266,674 | ) | 24,481 | (511,258 | ) | 681,686 | (71,765 | ) | |||||||||||||||
| Total |
$ | 6,811 | $ | (266,674 | ) | $ | 24,481 | $ | 3,062,819 | $ | 384,040 | $ | 3,211,477 | |||||||||||
* Included in net realized gain (loss) on investment transactions on the Statement of Operations |
| |||||||||||||||||||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||||||
| Derivatives not designated as hedging |
Rights** |
Options Purchased** |
Futures |
Swaps |
Total |
|||||||||||||||||||
| Credit contracts |
|
$ | — | $ | — | $ | — | $ | 94,627 | $ | 94,627 | |||||||||||||
| Equity contracts |
|
(1,409 | ) | — | 1,305,863 | — | 1,304,454 | |||||||||||||||||
| Interest rate contracts |
|
— | (107,743 | ) | (1,027,012 | ) | 443,769 | (690,986 | ) | |||||||||||||||
| Total |
|
$ | (1,409 | ) | $ | (107,743 | ) | $ | 278,851 | $ | 538,396 | $ | 708,095 | |||||||||||
** Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operation. |
| |||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| Options Purchased |
Options Written |
Futures |
Futures | |||
| $127,582 | $12,391 | $164,056,692 | $40,674,209 |
| Interest Rate
Swaps |
Credit Default |
Credit Default | ||
| $134,616 | $46,170 | $8,448 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| Description |
Gross Amounts Recognized |
Gross Amounts not subject to netting |
Gross Amounts Offset in the Statement of Financial Position |
Net Amounts Presented in the Statement of Financial Position |
||||||||||||
| Assets: |
||||||||||||||||
| Securities on loan |
$ | 105,942,063 | $ | — | $ | — | $ | 105,942,063 | ||||||||
| Exchange-traded and cleared derivatives |
129,046 | — | — | 129,046 | ||||||||||||
| Over-the-counter derivatives* |
699,465 | (1,036 | ) | — | 698,429 | |||||||||||
| 106,769,538 | ||||||||||||||||
| Liabilities: |
||||||||||||||||
| Securities sold short |
(5,463,477 | ) | 5,463,477 | — | — | |||||||||||
| Exchange-traded and cleared derivatives |
— | — | — | — | ||||||||||||
| Over-the-counter derivatives* |
(231,721 | ) | — | — | (231,721 | ) | ||||||||||
| (231,721 | ) | |||||||||||||||
| Collateral Amounts Pledged/(Received): |
||||||||||||||||
| Securities on loan |
(105,942,063 | ) | ||||||||||||||
| Exchange-traded and cleared derivatives |
— | |||||||||||||||
| Over-the-counter derivatives |
(562,506 | ) | ||||||||||||||
| Net Amount |
$ | 33,248 | ||||||||||||||
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2013 |
2012 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 65,087,964 | $ | 65,899,714 | ||||
| Net realized gain on investments and foreign currencies |
322,966,584 | 140,795,570 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
253,490,603 | 192,663,911 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
641,545,151 | 399,359,195 | ||||||
| DISTRIBUTIONS | — | (61,900,998 | ) | |||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [651,459 and 819,611 shares, respectively] |
12,747,246 | 14,077,527 | ||||||
| Series shares issued in reinvestment of distributions [0 and 3,735,727 shares, respectively] |
— | 61,900,998 | ||||||
| Series shares repurchased [9,694,842 and 10,708,816 shares, respectively] |
(189,432,596 | ) | (184,472,132 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(176,685,350 | ) | (108,493,607 | ) | ||||
| TOTAL INCREASE IN NET ASSETS | 464,859,801 | 228,964,590 | ||||||
| NET ASSETS: | ||||||||
| Beginning of year |
3,265,765,980 | 3,036,801,390 | ||||||
| End of year |
$ | 3,730,625,781 | $ | 3,265,765,980 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| GLOBAL PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A96
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 were as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments are equity risk and foreign exchange risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2013 as presented in the Statement of Assets and Liabilities:
| Derivatives not designated as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Equity contract |
Unaffiliated investments | $ | 39,030 | — | $ | — | ||||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Rights* |
Forward Currency Contracts** |
Total |
|||||||||
| Equity contracts |
$ | 140,674 | $ | — | $ | 140,674 | ||||||
| Foreign exchange contracts |
— | 80,622 | 80,622 | |||||||||
| $ | 140,674 | $ | 80,622 | $ | 221,296 | |||||||
| * | Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
| ** | Included in net realized gain (loss) on foreign currency transactions in the Statement of Operations. |
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||
| Derivatives not designated as hedging instruments, carried at fair value |
Rights* |
|||
| Equity contracts |
$ | (33,225 | ) | |
| * | Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| Forward Currency Contracts—Purchased (Value at Settlement Date Payable) |
Forward Currency Contracts—Sold | |
| $8,292,287 | $8,265,368 |
The Portfolio invested in financial instruments during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument assets and liabilities:
| Description |
Gross Amounts Recognized |
Gross Amounts not subject to netting |
Gross Amounts Offset in the Statement of Financial Position |
Net Amounts Presented in the Statement of Financial Position |
||||||||||||
| Assets: |
||||||||||||||||
| Securities on loan |
$ | 18,125,648 | $ | — | $ | — | $ | 18,125,648 | ||||||||
| Collateral Amounts Pledged/(Received): |
| |||||||||||||||
| Securities on loan |
(18,125,648 | ) | ||||||||||||||
| Net Amount |
$ | — | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| GLOBAL PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2013 |
2012 |
|||||||
| INCREASE IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 8,723,957 | $ | 10,856,377 | ||||
| Net realized gain on investment and foreign currency transactions |
65,395,026 | 16,017,924 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
88,778,751 | 68,607,745 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
162,897,734 | 95,482,046 | ||||||
| DISTRIBUTIONS | — | (9,580,386 | ) | |||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [782,060 and 392,325 shares, respectively] |
17,649,736 | 7,205,788 | ||||||
| Series shares issued in reinvestment of distributions [0 and 555,063 shares, respectively] |
— | 9,580,386 | ||||||
| Series shares repurchased [2,132,268 and 3,015,270 shares, respectively] |
(47,193,527 | ) | (55,676,472 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(29,543,791 | ) | (38,890,298 | ) | ||||
| TOTAL INCREASE IN NET ASSETS | 133,353,943 | 47,011,362 | ||||||
| NET ASSETS: | ||||||||
| Beginning of year |
611,189,785 | 564,178,423 | ||||||
| End of year |
$ | 744,543,728 | $ | 611,189,785 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A99
| GOVERNMENT INCOME PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| LONG-TERM INVESTMENTS — 99.4% ASSET-BACKED SECURITIES — 1.7% |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Collateralized Mortgage Obligations — 0.7% |
||||||||||||||||
| Federal Home Loan Mortgage Corp., REMICS, Series, 2002-2496, Class PM |
5.500% | 09/15/17 | 533 | $ | 567,985 | |||||||||||
| Federal Home Loan Mortgage Corp., REMICS, Series, 2002-2501, Class MC |
5.500% | 09/15/17 | 185 | 195,353 | ||||||||||||
| Federal Home Loan Mortgage Corp., REMICS, Series, 2002-2513, Class HC |
5.000% | 10/15/17 | 1,049 | 1,110,538 | ||||||||||||
| Federal National Mortgage Assoc., REMICS, Series, 2002-57, Class ND |
5.500% | 09/25/17 | 216 | 228,380 | ||||||||||||
| Federal National Mortgage Assoc., REMICS, Series, 2002-18, Class PC |
5.500% | 04/25/17 | 5 | 4,545 | ||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2003-E, Class A1 |
0.785% | (a) | 10/25/28 | 63 | 61,322 | |||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A3 |
2.906% | (a) | 02/25/34 | 262 | 262,341 | |||||||||||
| 2,430,464 | ||||||||||||||||
| Non-Residential Mortgage-Backed Securities — 1.0% |
||||||||||||||||
| Citibank Credit Card Issuance Trust, Series 2007-A8, Class A8 |
5.650% | 09/20/19 | 1,500 | 1,718,018 | ||||||||||||
| Small Business Administration Participation Certificates, Series 1996-20J, Class 1 |
7.200% | 10/01/16 | 458 | 479,236 | ||||||||||||
| Small Business Administration Participation Certificates, Series 1997-20A, Class 1 |
7.150% | 01/01/17 | 359 | 376,467 | ||||||||||||
| Small Business Administration Participation Certificates, Series 1997-20G, Class 1 |
6.850% | 07/01/17 | 177 | 186,251 | ||||||||||||
| Small Business Administration Participation Certificates, Series 1998-20I, Class 1 |
6.000% | 09/01/18 | 478 | 509,092 | ||||||||||||
| 3,269,064 | ||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
5,699,528 | ||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 17.3% | ||||||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3 |
5.293% | 12/11/49 | 1,800 | 1,833,205 | ||||||||||||
| Commercial Mortgage Pass-Through Certificates, Series 2012-CR5, Class A3 |
2.540% | 12/10/45 | 1,000 | 916,381 | ||||||||||||
| Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Class AM |
5.465% | (a) | 02/15/39 | 200 | 213,708 | |||||||||||
| CW Capital Cobalt Ltd., Series 2006-C1, Class A4 |
5.223% | 08/15/48 | 2,000 | 2,157,984 | ||||||||||||
| Federal National Mortgage Assoc., Series 2012-M13, Class A2 |
2.377% | 05/25/22 | 1,850 | 1,721,122 | ||||||||||||
| Federal National Mortgage Assoc., Series 2012-M2, Class A2 |
2.717% | 02/25/22 | 200 | 192,443 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 |
5.085% | 03/25/19 | 250 | 282,053 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2 |
4.186% | 08/25/19 | 4,825 | 5,240,669 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K005, Class A2 |
4.317% | 11/25/19 | 1,100 | 1,201,071 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K010, Class A2 |
4.333% | 10/25/20 | 3,600 | 3,895,423 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K013, Class A2 |
3.974% | (a) | 01/25/21 | 3,525 | 3,726,394 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K016, Class A2 |
2.968% | 10/25/21 | 2,800 | 2,763,863 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, I/O |
1.473% | (a) | 05/25/22 | 9,397 | 883,749 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, I/O |
1.512% | (a) | 06/25/22 | 9,944 | 976,084 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2 |
2.573% | 09/25/22 | 2,000 | 1,879,968 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2 |
2.510% | 11/25/22 | 3,600 | 3,355,524 | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K029, |
3.320% | (a) | 02/25/23 | 3,600 | 3,560,576 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2(b) |
3.060% | (a) | 07/25/23 | 3,600 | 3,467,120 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2 |
3.531% | (a) | 07/25/23 | 3,200 | 3,200,333 | |||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K501, Class X1A, I/O |
1.751% | (a) | 08/25/16 | 4,088 | 127,461 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K710, Class X1, I/O |
1.783% | (a) | 05/25/19 | 8,446 | $ | 679,697 | ||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, Series K711, Class X1, I/O |
1.710% | (a) | 07/25/19 | 7,970 | 626,622 | |||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A2 |
5.381% | 03/10/39 | 1,234 | 1,261,803 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A3 |
5.806% | (a) | 06/15/49 | 1,000 | 1,018,912 | |||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A3 |
5.172% | 12/12/49 | 2,000 | 2,168,314 | ||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A2 |
5.590% | 09/12/49 | 430 | 430,926 | ||||||||||||
| Morgan Stanley Capital I Trust, Series 2005-IQ10, Class A4B |
5.284% | (a) | 09/15/42 | 800 | 842,966 | |||||||||||
| NCUA Guaranteed Notes, Series 2010-C1, Class A2 |
2.900% | 10/29/20 | 2,600 | 2,685,693 | ||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A4 |
2.792% | 12/10/45 | 1,300 | 1,211,802 | ||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A5 |
5.416% | (a) | 01/15/45 | 1,500 | 1,615,854 | |||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C25, Class A5 |
5.724% | (a) | 05/15/43 | 2,000 | 2,186,732 | |||||||||||
| Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3 |
5.765% | (a) | 07/15/45 | 2,532 | 2,719,124 | |||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
59,043,576 | ||||||||||||||
| CORPORATE BONDS — 1.9% | ||||||||||||||||
| Asian Development Bank, Sr. Unsec’d. Notes, GMTN |
1.750% | 09/11/18 | 3,705 | 3,705,611 | ||||||||||||
| Depfa ACS Bank, Covered Bonds, 144A |
5.125% | 03/16/37 | 600 | 507,750 | ||||||||||||
| Westpac Banking Corp., Covered Bonds, 144A (original cost $2,177,297; purchased 11/18/13)(c) |
1.850% | 11/26/18 | 2,180 | 2,140,978 | ||||||||||||
| TOTAL CORPORATE BONDS |
|
6,354,339 | ||||||||||||||
| MUNICIPAL BONDS — 1.8% | ||||||||||||||||
| New York City Transitional Finance Authority , Series A1, Sub-Future Tax Secured Revenue |
5.000% | 11/01/42 | 620 | 637,422 | ||||||||||||
| New York City Water & Sewer System, Series EE, Revenue Bonds |
5.000% | 06/15/47 | 1,600 | 1,635,904 | ||||||||||||
| Ohio State Turnpike Commission, Series A-1, Revenue Bonds |
5.000% | 02/15/48 | 825 | 810,983 | ||||||||||||
| Pennsylvania Turnpike Commission, Series C, Revenue Bonds |
5.000% | 12/01/43 | 1,055 | 1,051,708 | ||||||||||||
| State of California, GO, Refunding Notes |
5.000% | 11/01/43 | 600 | 609,282 | ||||||||||||
| State of Utah, BABs, Series D |
4.554% | 07/01/24 | 630 | 669,236 | ||||||||||||
| Utility Debt Securitization Utility Authority, Restructuring Bonds, Series TE |
5.000% | 12/15/41 | 650 | 681,155 | ||||||||||||
| TOTAL MUNICIPAL BONDS |
|
6,095,690 | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 48.8% | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.750% | 01/12/18 | 1,380 | 1,343,108 | ||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
1.375% | 05/01/20 | 2,950 | 2,765,666 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
2.354% | (a) | 05/01/34 | 486 | 515,656 | |||||||||||
| Federal Home Loan Mortgage Corp.(b) |
2.375% | 01/13/22 | 17,335 | 16,571,653 | ||||||||||||
| Federal Home Loan Mortgage Corp.(d) |
3.000% | TBA | 5,500 | 5,209,531 | ||||||||||||
| Federal Home Loan Mortgage Corp.(d) |
3.500% | TBA | 1,000 | 1,042,500 | ||||||||||||
| Federal Home Loan Mortgage Corp.(d) |
3.500% | TBA | 3,000 | 2,976,563 | ||||||||||||
| Federal Home Loan Mortgage Corp.(d) |
4.000% | TBA | 4,500 | 4,621,289 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 2,174 | 2,266,802 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 09/01/39 | 4,330 | 4,586,029 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 06/01/33-05/01/34 | 2,199 | 2,382,866 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 05/01/37-05/01/38 | 1,538 | 1,675,979 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 09/01/34-08/01/39 | 1,040 | 1,151,293 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 09/01/32 | 125 | 138,755 | ||||||||||||
| Federal National Mortgage Assoc. |
0.875% | 05/21/18 | 580 | 561,041 | ||||||||||||
| Federal National Mortgage Assoc.(b) |
1.625% | 11/27/18 | 2,145 | 2,127,106 | ||||||||||||
| Federal National Mortgage Assoc. |
2.165% | (a) | 07/01/33 | 1,453 | 1,540,808 | |||||||||||
| Federal National Mortgage Assoc. |
2.248% | (a) | 06/01/34 | 400 | 425,027 | |||||||||||
| Federal National Mortgage Assoc. |
2.255% | (a) | 04/01/34 | 197 | 209,241 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Federal National Mortgage Assoc. |
2.373% | (a) | 04/01/34 | 348 | $ | 368,001 | ||||||||||
| Federal National Mortgage Assoc. |
2.392% | (a) | 08/01/33 | 873 | 917,430 | |||||||||||
| Federal National Mortgage Assoc.(d) |
2.500% | TBA | 2,500 | 2,474,219 | ||||||||||||
| Federal National Mortgage Assoc.(d) |
3.000% | TBA | 13,500 | 13,776,855 | ||||||||||||
| Federal National Mortgage Assoc.(d) |
3.000% | TBA | 7,000 | 6,645,078 | ||||||||||||
| Federal National Mortgage Assoc.(d) |
3.500% | TBA | 11,000 | 11,503,164 | ||||||||||||
| Federal National Mortgage Assoc.(d) |
3.500% | TBA | 2,000 | 1,986,719 | ||||||||||||
| Federal National Mortgage Assoc. |
3.500% | 06/01/39 | 624 | 621,063 | ||||||||||||
| Federal National Mortgage Assoc.(d) |
4.000% | TBA | 12,000 | 12,352,500 | ||||||||||||
| Federal National Mortgage Assoc.(d) |
4.500% | TBA | 5,000 | 5,297,852 | ||||||||||||
| Federal National Mortgage Assoc. |
4.500% | 05/01/40 | 5,416 | 5,749,814 | ||||||||||||
| Federal National Mortgage Assoc.(d) |
5.000% | TBA | 2,000 | 2,165,781 | ||||||||||||
| Federal National Mortgage Assoc. |
5.000% | 07/01/18-05/01/36 | 3,853 | 4,160,160 | ||||||||||||
| Federal National Mortgage Assoc. |
5.500% | 01/01/17-11/01/35 | 8,744 | 9,688,368 | ||||||||||||
| Federal National Mortgage Assoc. |
6.000% | 11/01/14-05/01/38 | 2,000 | 2,219,089 | ||||||||||||
| Federal National Mortgage Assoc. |
6.500% | 01/01/15-10/01/37 | 1,949 | 2,187,114 | ||||||||||||
| Federal National Mortgage Assoc. |
7.000% | 12/01/31-01/01/36 | 349 | 390,614 | ||||||||||||
| Federal National Mortgage Assoc. |
8.000% | 03/01/22-02/01/26 | 17 | 16,618 | ||||||||||||
| Federal National Mortgage Assoc. |
9.000% | 02/01/25-04/01/25 | 40 | 46,514 | ||||||||||||
| Financing Corp. Strips Principal, Series 4-P |
1.398% | (e) | 10/06/17 | 2,700 | 2,543,954 | |||||||||||
| Financing Corp. Strips Principal, Series D-P |
2.224% | (e) | 09/26/19 | 1,370 | 1,182,900 | |||||||||||
| Government National Mortgage Assoc.(d) |
3.000% | TBA | 3,000 | 2,897,109 | ||||||||||||
| Government National Mortgage Assoc.(d) |
3.500% | TBA | 5,000 | 5,043,946 | ||||||||||||
| Government National Mortgage Assoc.(d) |
3.500% | TBA | 3,500 | 3,527,481 | ||||||||||||
| Government National Mortgage Assoc.(d) |
4.000% | TBA | 4,500 | 4,678,770 | ||||||||||||
| Government National Mortgage Assoc. |
4.000% | 06/15/40 | 745 | 775,438 | ||||||||||||
| Government National Mortgage Assoc.(d) |
4.500% | TBA | 1,500 | 1,603,711 | ||||||||||||
| Government National Mortgage Assoc.(d) |
4.500% | TBA | 3,000 | 3,200,859 | ||||||||||||
| Government National Mortgage Assoc. |
4.500% | 02/20/41 | 1,917 | 2,057,755 | ||||||||||||
| Government National Mortgage Assoc. |
5.000% | 07/15/33-04/15/34 | 1,062 | 1,161,029 | ||||||||||||
| Government National Mortgage Assoc. |
5.500% | 03/15/34-03/15/36 | 903 | 999,182 | ||||||||||||
| Government National Mortgage Assoc. |
6.500% | 07/15/32-08/15/32 | 291 | 332,884 | ||||||||||||
| Government National Mortgage Assoc. |
7.000% | 03/15/23-08/15/28 | 630 | 700,477 | ||||||||||||
| Government National Mortgage Assoc. |
7.500% | 12/15/25-02/15/26 | 116 | 130,762 | ||||||||||||
| Government National Mortgage Assoc. |
8.500% | 09/15/24-04/15/25 | 192 | 220,813 | ||||||||||||
| Hashemite Kingdom of Jordan USAID Bond (Jordan), U.S. Gov’t. Gtd. Notes |
2.503% | 10/30/20 | 835 | 817,836 | ||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
166,552,772 | ||||||||||||||
| U.S. TREASURY OBLIGATIONS — 27.9% | ||||||||||||||||
| U.S. Treasury Bonds |
3.750% | 11/15/43 | 860 | 831,243 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
0.125% | 04/15/18 | 10,695 | 10,908,259 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
0.375% | 07/15/23 | 2,499 | 2,410,229 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds, TIPS |
0.625% | 02/15/43 | 726 | 558,509 | ||||||||||||
| U.S. Treasury Notes |
0.250% | 10/31/15 | 1,535 | 1,532,842 | ||||||||||||
| U.S. Treasury Notes |
0.625% | 04/30/18 | 4,160 | 4,011,800 | ||||||||||||
| U.S. Treasury Notes(f) |
0.875% | 07/31/19 | 2,610 | 2,457,683 | ||||||||||||
| U.S. Treasury Notes(b) |
1.250% | 11/30/18 | 4,050 | 3,963,306 | ||||||||||||
| U.S. Treasury Notes |
1.500% | 12/31/18 | 25,730 | 25,440,538 | ||||||||||||
| U.S. Treasury Notes |
2.375% | 12/31/20 | 14,060 | 14,005,082 | ||||||||||||
| U.S. Treasury Notes |
4.500% | 05/15/17 | 11,525 | 12,861,185 | ||||||||||||
| U.S. Treasury Strips Principal(b) |
7.892% | (e) | 02/15/43 | 7,375 | 2,187,786 | |||||||||||
| U.S. Treasury Strips Coupon(g) |
2.450% | (e) | 08/15/21 | 3,370 | 2,737,040 | |||||||||||
| U.S. Treasury Strips Coupon |
2.019% | (e) | 02/15/22-05/15/22 | 11,100 | 8,726,792 | |||||||||||
| U.S. Treasury Strips Coupon |
7.476% | (e) | 02/15/42 | 5,000 | 1,548,585 | |||||||||||
| U.S. Treasury Strips Principal(b) |
7.910% | (e) | 08/15/43 | 3,580 | 1,038,720 | |||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
|
95,219,599 | ||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
338,965,504 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A102
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| SHORT-TERM INVESTMENTS — 36.7% | Shares |
Value (Note 2) |
||||||||||||
| AFFILIATED MUTUAL FUNDS — 36.7% |
||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
5,541,811 | $ | 51,594,262 | |||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
73,670,753 | 73,670,753 | ||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
125,265,015 | ||||||||||||
| Counterparty |
Notional Amount (000)# |
|||||||||||||
| OPTIONS PURCHASED* |
||||||||||||||
| Call Options |
||||||||||||||
| Interest Rate Swap Options, |
||||||||||||||
| Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 |
Barclays Bank PLC | 23,230 | 234 | |||||||||||
| Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 |
Citibank NA | 28,475 | 287 | |||||||||||
| Receive a fixed rate of 2.00% and pay a floating rate based on 3-month LIBOR, expiring 04/24/14 |
Citibank NA | 28,475 | 287 | |||||||||||
| TOTAL OPTIONS PURCHASED |
|
808 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
125,265,823 | ||||||||||||
| TOTAL INVESTMENTS — 136.1% |
|
464,231,327 | ||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (36.1)% |
|
(123,152,219 | ) | |||||||||||
| NET ASSETS — 100.0% |
|
$ | 341,079,108 | |||||||||||
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. | |
| BABs | Build America Bonds | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| GMTN | Global Medium Term Note | |
| GO | General Obligation | |
| I/O | Interest Only | |
| LIBOR | London Interbank Offered Rate | |
| REMICS | Real Estate Mortgage Investment Conduit Security | |
| TBA | To Be Announced | |
| TIPS | Treasury Inflation Protected Securities | |
| USAID | United States Agency for International Development |
| * | Non-income producing security. |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2013. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $32,915,005; cash collateral of $34,046,284 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | Indicates a restricted security; the aggregated original cost of such security was $2,177,297. The aggregated market value of $2,140,978 is approximately 0.6% of net assets. |
| (d) | All or a partial principal amount of $89,500,000 represents a to-be announced (“TBA”) securities acquired under mortgage dollar roll agreement. |
| (e) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (f) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (g) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (h) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund and the Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
| (i) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (j) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2013:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 664 | 5 Year U.S. Treasury Notes | Mar. 2014 | $ | 79,798,361 | $ | 79,223,500 | $ | (574,861 | ) | |||||||||
| 161 | 10 Year U.S. Treasury Notes | Mar. 2014 | 20,031,838 | 19,810,547 | (221,291 | ) | ||||||||||||
| 133 | 90 Day Euro Dollar | Sept. 2016 | 32,671,643 | 32,566,713 | (104,930 | ) | ||||||||||||
| 8 | U.S. Ultra Bond | Mar. 2014 | 1,093,761 | 1,090,000 | (3,761 | ) | ||||||||||||
| (904,843 | ) | |||||||||||||||||
| Short Positions: | ||||||||||||||||||
| 133 | 90 Day Euro Dollar | Sept. 2015 | 32,975,345 | 32,960,725 | 14,620 | |||||||||||||
| 34 | U.S. Long Bond | Mar. 2014 | 4,417,812 | 4,362,625 | 55,187 | |||||||||||||
| 69,807 | ||||||||||||||||||
| $ | (835,036 | ) | ||||||||||||||||
Interest rate swap agreements outstanding at December 31, 2013:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: |
|||||||||||||||||||||||||
| 880 | 09/14/16 | 1.206% | 3 month LIBOR(1) |
$ | (14,154 | ) | $ | — | $ | (14,154 | ) | Deutsche Bank | ||||||||||||||
| 1,360 | 11/30/16 | 0.945% | 3 month LIBOR(1) |
(5,294 | ) | — | (5,294 | ) | Citigroup Global Markets | |||||||||||||||||
| 9,525 | 02/28/17 | 0.680% | 3 month LIBOR(2) |
(59,093 | ) | — | (59,093 | ) | Citigroup Global Markets | |||||||||||||||||
| 5,055 | 08/31/17 | 0.751% | 3 month LIBOR(1) |
67,101 | — | 67,101 | Bank of Nova Scotia | |||||||||||||||||||
| 4,700 | 02/15/19 | 1.656% | 3 month LIBOR(1) |
15,546 | — | 15,546 | Citigroup Global Markets | |||||||||||||||||||
| 4,700 | 02/15/19 | 1.794% | 3 month LIBOR(2) |
19,176 | — | 19,176 | JPMorgan Chase | |||||||||||||||||||
| 20,975 | 01/28/23 | 1.895% | 3 month LIBOR(1) |
1,664,602 | — | 1,664,602 | Morgan Stanley | |||||||||||||||||||
| $ | 1,687,884 | $ | — | $ | 1,687,884 | |||||||||||||||||||||
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
Exchange-traded swap agreements: |
|||||||||||||||||||||||
| 8,980 | 02/28/18 | 1.649% | 3 month LIBOR(1) |
$ | 190 | $ | (82,309 | ) | $ | (82,499 | ) | |||||||||||||
| 22,000 | 02/28/18 | 1.820% | 3 month LIBOR(1) |
249 | (357,618 | ) | (357,867 | ) | ||||||||||||||||
| 2,145 | 11/27/18 | 1.592% | 3 month LIBOR(1) |
160 | 16,354 | 16,194 | ||||||||||||||||||
| 6,525 | 08/31/20 | 2.085% | 3 month LIBOR(1) |
189 | 120,646 | 120,457 | ||||||||||||||||||
| 7,875 | 08/31/20 | 2.219% | 3 month LIBOR(1) |
197 | 78,527 | 78,330 | ||||||||||||||||||
| 6,215 | 08/31/20 | 2.220% | 3 month LIBOR(1) |
187 | 61,592 | 61,405 | ||||||||||||||||||
| 1,435 | 08/31/20 | 2.490% | 3 month LIBOR(1) |
159 | (10,464 | ) | (10,623 | ) | ||||||||||||||||
| 14,000 | 08/31/20 | 2.655% | 3 month LIBOR(1) |
234 | (248,278 | ) | (248,512 | ) | ||||||||||||||||
| 5,100 | 01/13/22 | 2.351% | 3 month LIBOR(1) |
181 | 146,057 | 145,876 | ||||||||||||||||||
| 1,585 | 01/13/22 | 2.457% | 3 month LIBOR(1) |
160 | 32,784 | 32,624 | ||||||||||||||||||
| 4,850 | 01/13/22 | 2.480% | 3 month LIBOR(1) |
179 | 91,963 | 91,784 | ||||||||||||||||||
| 1,710 | 01/22/22 | 3.497% | 3 month LIBOR(1) |
160 | 35,049 | 34,889 | ||||||||||||||||||
| 1,410 | 01/22/22 | 2.785% | 3 month LIBOR(1) |
158 | (4,775 | ) | (4,933 | ) | ||||||||||||||||
| 825 | 01/31/22 | 2.505% | 3 month LIBOR(1) |
155 | 14,762 | 14,607 | ||||||||||||||||||
| 12,550 | 08/05/23 | 4.210% | 3 month LIBOR(2) |
— | (174,405 | ) | (174,405 | ) | ||||||||||||||||
| 5,020 | 08/06/23 | 4.220% | 3 month LIBOR(2) |
(173 | ) | (67,698 | ) | (67,525 | ) | |||||||||||||||
| 6,070 | 10/28/23 | 4.029% | 3 month LIBOR(2) |
177 | (142,660 | ) | (142,837 | ) | ||||||||||||||||
| 8,720 | 12/20/23 | 2.932% | 3 month LIBOR(1) |
220 | 121,373 | 121,153 | ||||||||||||||||||
| $ | 2,782 | $ | (369,100 | ) | $ | (371,882 | ) | |||||||||||||||||
| (1) | The Portfolio pays the fixed rate and receives the floating rate. |
| (2) | The Portfolio pays the floating rate and receives the fixed rate. |
| # | Notional Amount is shown in U.S. dollars unless otherwise stated. |
SEE NOTES TO FINANCIAL STATEMENTS.
A104
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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 December 31, 2013 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Asset-Backed Securities |
||||||||||||
| Collateralized Mortgage Obligations |
$ | — | $ | 2,430,464 | $ | — | ||||||
| Non-Residential Mortgage-Backed Securities |
— | 3,269,064 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 59,043,576 | — | |||||||||
| Corporate Bonds |
— | 6,354,339 | — | |||||||||
| Municipal Bonds |
— | 6,095,690 | — | |||||||||
| U.S. Government Agency Obligations |
— | 166,552,772 | — | |||||||||
| U.S. Treasury Obligations |
— | 95,219,599 | — | |||||||||
| Affiliated Mutual Funds |
125,265,015 | — | — | |||||||||
| Options Purchased |
— | 808 | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
(835,036 | ) | — | — | ||||||||
| Interest Rate Swaps |
(371,882 | ) | 1,687,884 | — | ||||||||
| Total |
$ | 124,058,097 | $ | 340,654,196 | $ | — | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of the instrument. |
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of December 31, 2013 as presented in the Statement of Assets and Liabilities:
| Derivatives not designated as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Interest rate contracts |
Due from broker — variation margin | $ | 787,126 | * | Due from broker — variation margin | $ | 1,994,044 | * | ||||
| Interest rate contracts |
Unrealized appreciation on swap agreements | 1,766,425 | Unrealized depreciation on swap agreements | 78,541 | ||||||||
| Interest rate contracts |
Unaffiliated investments | 808 | — | — | ||||||||
| Total |
$ | 2,554,359 | $ | 2,072,585 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures contracts and exchange-traded swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Options Purchased |
Options Written |
Futures |
Swaps |
Total |
|||||||||||||||
| Interest rate contracts |
$ | (191,609 | ) | $ | 19,678 | $ | 1,092,082 | $ | 267,504 | $ | 1,187,655 | |||||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Options Purchased |
Futures |
Swaps |
Total |
||||||||||||
| Interest rate contracts |
$ | (84,093 | ) | $ | (1,180,447 | ) | $ | 1,739,529 | $ | 474,989 | ||||||
For the year ended December 31, 2013, the Portfolio’s average volume of derivative activities is as follows:
| Options Purchased |
Options Written |
Futures | ||
| $87,039 | $8,266 | $64,953,777 |
| Futures |
Interest Rate Swaps | |
| $26,427,336 | $140,767 |
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| Description |
Gross Amounts Recognized |
Gross Amounts not subject to netting |
Gross Amounts Offset in the Statement of Financial Position |
Net Amounts Presented in the Statement of Financial Position |
||||||||||||
| Assets: |
||||||||||||||||
| Securities on loan |
$ | 32,915,005 | $ | — | $ | — | $ | 32,915,005 | ||||||||
| Exchange-traded and cleared derivatives |
124,926 | — | — | 124,926 | ||||||||||||
| Over-the-counter derivatives* |
1,767,233 | (808 | ) | — | 1,766,425 | |||||||||||
| 34,806,356 | ||||||||||||||||
| Liabilities: |
||||||||||||||||
| Exchange-traded and cleared derivatives |
— | — | — | — | ||||||||||||
| Over-the-counter derivatives* |
(78,541 | ) | — | — | (78,541 | ) | ||||||||||
| (78,541 | ) | |||||||||||||||
| Collateral Amounts Pledged/(Received): |
||||||||||||||||
| Securities on loan |
(32,915,005 | ) | ||||||||||||||
| Exchange-traded and cleared derivatives |
— | |||||||||||||||
| Over-the-counter derivatives |
(1,417,293 | ) | ||||||||||||||
| Net Amount |
$ | 395,517 | ||||||||||||||
| * | Over-the-counter derivatives may consist of forward foreign currency exchange contracts, options contracts and swap agreements. The amounts disclosed above represent the exposure to one or more counterparties. For further detail on individual derivative contracts and the corresponding unrealized appreciation (depreciation) by counterparty, see the Schedule of Investments. |
SEE NOTES TO FINANCIAL STATEMENTS.
A106
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2013 |
2012 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 6,413,372 | $ | 7,739,864 | ||||
| Net realized gain (loss) on investment transactions |
(2,399,719 | ) | 11,047,414 | |||||
| Net change in unrealized appreciation (depreciation) on investments |
(12,420,842 | ) | (4,769,310 | ) | ||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
(8,407,189 | ) | 14,017,968 | |||||
| DISTRIBUTIONS | (17,437,795 | ) | (20,654,654 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [353,311 and 775,380 shares, respectively] |
4,141,803 | 9,542,642 | ||||||
| Series shares issued in reinvestment of distributions [1,506,594 and 1,707,009 shares, respectively] |
17,437,795 | 20,654,654 | ||||||
| Series shares repurchased [3,202,620 and 4,651,275 shares, respectively] |
(37,560,842 | ) | (57,309,200 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(15,981,244 | ) | (27,111,904 | ) | ||||
| TOTAL DECREASE IN NET ASSETS | (41,826,228 | ) | (33,748,590 | ) | ||||
| NET ASSETS: | ||||||||
| Beginning of year |
382,905,336 | 416,653,926 | ||||||
| End of year |
$ | 341,079,108 | $ | 382,905,336 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A107
| STOCK INDEX PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A108
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A109
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A110
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A111
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A112
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A113
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
Open futures contracts outstanding at December 31, 2013:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2013 |
Unrealized Appreciation |
|||||||||||||
| Long Position: | ||||||||||||||||||
| 153 | S&P 500 Index | Mar. 2014 | $ | 67,743,757 | $ | 70,422,075 | $ | 2,678,318 | ||||||||||
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| 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 December 31, 2013 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 2,820,811,157 | $ | — | $ | — | ||||||
| Affiliated Money Market Mutual Fund |
156,953,844 | — | — | |||||||||
| U.S. Treasury Obligation |
— | 3,799,514 | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contract |
2,678,318 | — | — | |||||||||
| Total |
$ | 2,980,443,319 | $ | 3,799,514 | $ | — | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A114
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2013 was as follows:
Fair values of derivative instruments as of December 31, 2013 as presented in the Statement of Assets and Liabilities:
| Derivatives not accounted for as hedging |
Asset Derivatives |
Liability Derivatives |
||||||||||
| Balance Sheet Location |
Fair Value |
Balance Sheet Location |
Fair Value |
|||||||||
| Equity contracts |
Due from broker — variation margin | $ | 2,678,318 | * | — | $ | — | |||||
| * | Includes cumulative appreciation/depreciation as reported in schedule of open futures. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2013 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||
| Derivatives not accounted for as hedging instruments, carried at fair value |
Futures |
|||
| Equity contracts |
$ | 14,568,035 | ||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||
| Derivatives not accounted for as hedging instruments, carried at fair value |
Futures |
|||
| Equity contracts |
$ | 3,070,209 | ||
For the year ended December 31, 2013, the Fund’s average value at trade date for futures long positions was $62,711,799.
SEE NOTES TO FINANCIAL STATEMENTS.
A115
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2013 | |||||
The Portfolio invested in financial instruments and derivatives during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting as well as instruments subject to collateral arrangements. The information about offsetting and related netting arrangements for assets and liabilities is presented in the summary below.
Offsetting of financial instrument and derivative assets and liabilities:
| Description |
Gross Amounts Recognized |
Gross Amounts not subject to netting |
Gross Amounts Offset in the Statement of Financial Position |
Net Amounts Presented in the Statement of Financial Position |
||||||||||||
| Assets: |
||||||||||||||||
| Securities on loan |
$ | 92,674,777 | $ | — | $ | — | $ | 92,674,777 | ||||||||
| Exchange-traded and cleared derivatives |
244,800 | — | 244,800 | |||||||||||||
| 92,919,577 | ||||||||||||||||
| Collateral Amounts Pledged/(Received): |
| |||||||||||||||
| Securities on loan |
(92,674,777 | ) | ||||||||||||||
| Exchange-traded and cleared derivatives |
— | |||||||||||||||
| Net Amount |
$ | 244,800 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A116
| STOCK INDEX PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2013 |
2012 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 46,538,020 | $ | 45,446,287 | ||||
| Net realized gain on investments |
77,667,845 | 55,517,092 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
599,872,780 | 230,843,600 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
724,078,645 | 331,806,979 | ||||||
| DISTRIBUTIONS | — | (45,812,464 | ) | |||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [952,181 and 1,497,834 shares, respectively] |
39,860,195 | 52,031,635 | ||||||
| Series shares issued in reinvestment of distributions [0 and 1,398,000 shares, respectively] |
— | 45,812,464 | ||||||
| Series shares repurchased [5,120,314 and 5,978,533 shares, respectively] |
(213,653,470 | ) | (205,985,546 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(173,793,275 | ) | (108,141,447 | ) | ||||
| TOTAL INCREASE IN NET ASSETS | 550,285,370 | 177,853,068 | ||||||
| NET ASSETS: | ||||||||
| Beginning of year |
2,340,264,415 | 2,162,411,347 | ||||||
| End of year |
$ | 2,890,549,785 | $ | 2,340,264,415 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A117
NOTES TO THE FINANCIAL STATEMENTS OF
THE PRUDENTIAL SERIES FUND
| Note 1: | General |
The Prudential Series Fund (“Series Fund”), organized as a Delaware statutory trust, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Series Fund is composed of eighteen Portfolios (“Portfolio” or “Portfolios”), each with separate series shares. The information presented in these financial statements pertains to the seven Portfolios which are listed below along with each Portfolio’s investment objective.
Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio.
Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital.
Equity Portfolio: Long-term growth of capital.
Flexible Managed Portfolio: Total return consistent with an aggressively managed diversified portfolio.
Global Portfolio: Long-term growth of capital.
Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital.
Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.
The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Portfolios to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political and economic instability or the level of governmental supervision and regulation of foreign securities markets.
| Note 2: | Accounting Policies |
The following accounting policies conform to U.S. generally accepted accounting principles. The Series Fund and the Portfolios consistently follow such policies in the preparation of their financial statements.
Security Valuation: Each Portfolio holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit a Portfolio to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how each Portfolio’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following each Portfolio’s Schedule of Investments.
Common stocks, exchange-traded funds, and derivative instruments that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price; they are classified as Level 1 in the fair value hierarchy.
B1
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an asked price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable and considered to be significant to the valuation.
Common stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
Over-the-counter derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Portfolio securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, each Portfolio may hold up to 15% of their net assets in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above.
Foreign Currency Translation: The books and records of the Series Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities — at the current rates of exchange.
(ii) purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Series Fund are presented at the foreign exchange rates and market values at the close of the period, the Series Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Series Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, these realized foreign currency gains or losses are included in the reported net realized gains or losses on investment transactions.
Net realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the holding of foreign currencies, currency gains or losses realized between the trade and settlement
B2
dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Series Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains or losses from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.
Forward Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate between two parties. Certain Portfolios of the Series Fund entered into forward currency contracts in order to hedge their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current exchange rates and any unrealized gain or loss is included in net unrealized appreciation or depreciation on foreign currencies. Gain or loss is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain or loss, if any, is included in net realized gain (loss) on foreign currency transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. A Portfolio’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life.
Short Sales: Certain Portfolios of the Series Fund may sell a security they do not own in anticipation of a decline in the market value of that security (short sale). When a Portfolio makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon conclusion of the transaction. The Portfolio may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date and interest payable is accrued daily on fixed income securities sold short, both of which are recorded as an expense. A gain, limited to the price at which the Portfolio sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Portfolio is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin.” Subsequent payments, known as “variation margin,” are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on financial futures contracts.
Certain Portfolios of the Series Fund entered into financial futures contracts in order to hedge their existing portfolio securities, or securities the Portfolio intends to purchase, against fluctuations in value caused by changes in prevailing interest rates and to manage yield curve duration. Certain Portfolios entered into equity index futures contracts to gain market exposure. The Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Financial futures contracts involve elements of risk in excess of the amounts reflected on the Statement of Assets and Liabilities.
Options: Certain Portfolios of the Series Fund purchased or wrote options in order to hedge against adverse market movements or fluctuations in value caused by changes in prevailing interest rates and foreign currency exchange rates, with respect to securities which the Portfolio currently owns or intends to purchase. Certain Portfolios also used purchased options to gain exposure to certain securities and foreign currencies. The Portfolios’ principal reason for writing options is to realize, through receipt of premiums, a greater current return than would be realized on the underlying security alone. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or
B3
liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost of the purchase in determining whether the Portfolio has realized a gain or loss. The difference between the premium and the amount received or paid at the closing of a purchase or sale transaction is also treated as a realized gain or loss. Gain or loss on purchased options is included in net realized gain or loss on investment transactions. Gain or loss on written options is presented separately as net realized gain or loss on options written. The Portfolio, as writer of an option, may have no control over whether the underlying securities may be sold (called) or purchased (put). As a result, the Portfolio bears the market risk of an unfavorable change in the price of the security underlying the written option. Over-the-counter options involve the risk of the potential inability of the counterparties to meet the terms of their contracts.
With exchange-traded futures and options contracts, there is minimal counterparty credit risk to the Portfolio since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and options, and guarantees the futures and options contracts against default.
Swap Agreements: Certain Portfolios of the Series Fund may enter into credit default, interest rate, total return and other forms of swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the over-the-counter market and may be executed either directly with a counterparty (“OTC Traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange Traded”). Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation or depreciation on investments. Exchange Traded swaps pay or receive an amount, known as “variation margin”, based on daily changes in the valuation of the swap contract. Payments received or paid by the Portfolio are recorded as realized gains or losses upon termination or maturity of the swap. Risk of loss may exceed amounts recognized on the Statements of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent agreements between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. Certain Portfolios are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. Certain Portfolios used interest rate swaps to either maintain their ability to generate steady cash flow by receiving a stream of fixed rate payments or to increase exposure to prevailing market rates by receiving floating rate payments using interest rate swap contracts. A Portfolio’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life.
Credit Default Swaps: Credit default swaps involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity, typically corporate issues or sovereign issues of an emerging country, on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.
Certain Portfolios are subject to credit risk in the normal course of pursuing their investment objectives. Certain Portfolios have entered into credit default swaps to provide a measure of protection against defaults of the issuers. Certain Portfolios in the Series Fund used credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Certain Portfolios took an active short position with respect to the likelihood of particular issuer’s default by selling credit default swaps. A Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the inability of the counterparty to honor the contract up to the notional value based on a credit event.
As a seller of protection on credit default swap agreements, the Portfolio generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Portfolio effectively increases its investment risk because, in addition to its total net assets, the Portfolio may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that a Portfolio as a seller of protection could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. These potential amounts will be partially offset by any recovery
B4
values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Portfolio entered for the same referenced entity or index. As a buyer of protection, the Portfolio generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as indicators of the current status of the payment/performance risk. Wider credit spreads and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Currency Swaps: Certain Portfolios entered into currency swap agreements primarily to gain yield exposure on foreign bonds. Currency swap agreements involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specified exchange rates.
Master Netting Arrangements: Certain Portfolios are subject to various Master Agreements, or netting arrangements, with select counterparties. A master netting arrangement between the Portfolio and the counterparty permits the Portfolio to offset amounts payable by the Portfolio to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Portfolio to cover the Portfolio’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. The right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there were no instances where the right of set-off existed and management has not elected to offset.
Certain Portfolios are parties to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over-the-counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian, and with respect to those amounts which can be sold or re-pledged, are presented in the Schedule of Investments. Collateral pledged by the Portfolio is segregated by the Portfolio’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty. Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.
In addition to each instrument’s primary underlying risk exposure (e.g. interest rate, credit, equity or foreign exchange, etc.), swap agreements involve, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that no liquid market for these agreements will exist, the counterparty to the agreement may default on its obligation to perform or disagree on the contractual terms of the agreement, and changes in net interest rates will be unfavorable. In connection with these agreements, securities in the portfolio may be identified or received as collateral from the counterparty in accordance with the terms of the respective swap agreements to provide or receive assets of value and to serve as recourse in the event of
B5
default or bankruptcy/insolvency of either party. Such over-the-counter derivative agreements include conditions which, when materialized, give the counterparty the right to cause an early termination of the transactions under those agreements. Any election by the counterparty for early termination of the contract(s) may impact the amounts reported on financial statements.
As of December 31, 2013, none of the Portfolios have met conditions under such agreements which give the counterparty the right to call for an early termination.
Forward currency contracts, written options, short sales, swaps and financial futures contracts involve elements of both market and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. Such risks may be mitigated by having master netting arrangements.
Warrants and Rights: Certain Portfolios of the Series Fund hold warrants and rights acquired either through a direct purchase, included as part of a private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Portfolio until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Securities Lending: Each Portfolio of the Series Fund may lend its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in a highly liquid short-term money market and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. Loans are subject to termination at the option of the borrower or the Portfolio. Upon termination of the loan, the borrower will return to the Portfolio securities identical to the loaned securities. Should the borrower of the securities fail financially, the Portfolio has the right to repurchase the securities in the open market using the collateral. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities and any interest on the investment of any cash received as collateral. The Portfolio also continues to receive interest and dividends or amounts equivalent thereto, on the securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.
Dollar Rolls: Certain Portfolios of the Series Fund enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.
When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on the accrual basis, which may require the use of certain estimates by management, that may differ from actual.
For Portfolios with multiple classes of shares, net investment income or loss (other than administration and distribution fees, which are charged to the respective class) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of adjusted net assets of each class at the beginning of the day.
Taxes: For federal income tax purposes, each Portfolio in the Series Fund is treated as a separate taxpaying entity. The Portfolios are treated as partnerships for tax purposes. No provision has been made in the financial statements for U.S. federal, state, or local taxes, as any tax liability arising from operations of the
B6
Portfolios is the responsibility of their partners (Participating Insurance Companies). The Portfolios are not generally subject to entity-level taxation. Partners of each Portfolio are subject to taxes on their distributive share of partnership items.
Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Series Fund’s understanding of the applicable country’s tax rules and regulations.
Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Diversified Bond and Government Income Portfolios make distributions, if any, quarterly. Distributions are recorded on the ex-date.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
| Note 3: | Agreements |
The Series Fund has a management agreement with PI. Pursuant to this agreement PI has responsibility for all investment advisory services and supervises the subadvisors’ performance of such services. PI has entered into subadvisory agreements with Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”), Brown Advisory, LLC (“Brown”), LSV Asset Management (“LSV”), Quantitative Management Associates LLC (“QMA”), T. Rowe Price Associates, Inc. (“T. Rowe”) and William Blair & Co. LLC (“William Blair”) (collectively, the “Subadvisors”), under which each provides investment advisory services for certain Portfolios of the Series Fund. PI pays for the services of the Subadvisors, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolios bear all other costs and expenses.
The management fee paid to PI is accrued daily and payable monthly, using the value of each of the Portfolio’s average daily net assets, at the respective annual rates specified below.
| Portfolio |
Management Fee |
Effective Management Fee |
||||
| Conservative Balanced Portfolio |
0.55% | 0.55 | % | |||
| Diversified Bond Portfolio |
0.40 | 0.40 | ||||
| Equity Portfolio |
0.45 | 0.45 | ||||
| Flexible Managed Portfolio |
0.60 | 0.60 | ||||
| Global Portfolio |
0.75 | 0.75 | ** | |||
| Government Income Portfolio |
0.40 | 0.40 | ||||
| Stock Index Portfolio |
0.35% up to $4 billion 0.30% over $4 billion |
0.30 | * | |||
| * | Effective August 1, 2010, PI has voluntarily agreed to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio. |
| ** | Effective July 1, 2013, PI has contractually agreed, through June 30, 2014, to waive a portion of its management fee equal to an annual rate of 0.01% of the average net assets of the Portfolio. |
At December 31, 2013, the Subadvisors that provide investment advisory services to the Portfolios are listed directly below. Where more than one Subadvisor is listed, each Subadvisor provides services to a segment of the Portfolio:
| Portfolio |
Subadvisor(s) | |
| Conservative Balanced Portfolio |
PIM, QMA | |
| Diversified Bond Portfolio |
PIM | |
| Equity Portfolio |
Jennison | |
| Flexible Managed Portfolio |
PIM, QMA | |
| Global Portfolio |
Brown*, LSV, QMA, T. Rowe & William Blair | |
| Government Income Portfolio |
PIM | |
| Stock Index Portfolio |
QMA |
| * | Effective June 17, 2013, Brown replaced Marsico Capital Management, LLC. |
The Series Fund has a distribution agreement, pursuant to Rule 12b-1 under the 1940 Act, with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II
B7
shares of the Series Fund. The Series Fund compensates PIMS for distributing and servicing the Series Fund’s Class II shares pursuant to a plan of distribution (the “Class II Plan”), regardless of expenses actually incurred by PIMS. The distribution fees are accrued daily and payable monthly. No distribution or service fees are paid to PIMS as distributor of the Class I shares of the Series Fund. Pursuant to the Class II Plan, the Class II shares of each Portfolio compensate PIMS for distribution-related activities at an annual rate of 0.25% of the average daily net assets of the Class II shares.
The Series Fund has an administration agreement with PI, which acts as the administrator of the Class II shares of the Series Fund. The administration fee paid to PI is accrued daily and payable monthly, at the annual rate of 0.15% of the average daily net assets of the Class II shares.
PIMS, PI, PIM, QMA and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
Certain Portfolios have entered into a brokerage commission recapture agreement with certain registered broker-dealers. Under the brokerage commission recapture program, a portion of the commission is returned to the Portfolio on whose behalf the trades were made. Commission recapture is paid solely to those portfolios generating the applicable trades. Such amounts are included with realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2013, brokerage commission recaptured under these agreements was as follows:
| Portfolio |
Amount |
|||
| Equity Portfolio |
$ | 327,037 | ||
| Global Portfolio |
10,550 | |||
| Note 4: | Other Transactions with Affiliates |
Prudential Mutual Fund Services LLC (“PMFS”), an affiliate of PI and an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s transfer agent. Transfer agent’s fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
PIM also serves as the Series Fund’s security lending agent. For the year ended December 31, 2013, PIM was compensated as follows for these services by the Series Fund Portfolios:
| Portfolio |
Amount | |
| Conservative Balanced Portfolio |
$58,423 | |
| Diversified Bond Portfolio |
42,369 | |
| Equity Portfolio |
154,613 | |
| Flexible Managed Portfolio |
63,420 | |
| Global Portfolio |
9,724 | |
| Government Income Portfolio |
18,321 | |
| Stock Index Portfolio |
56,135 |
Certain Portfolios invest in the Prudential Core Short-Term Bond Fund and in the Prudential Core Taxable Money Market Fund (the “Core Funds”), each a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, as amended, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as affiliated dividend income.
| Note 5: | Portfolio Securities |
The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the year ended December 31, 2013 were as follows:
| Portfolio |
Cost of Purchases |
Proceeds from Sales |
||||||
| Conservative Balanced Portfolio |
$ | 3,265,647,924 | $ | 3,517,597,896 | ||||
| Diversified Bond Portfolio |
714,275,381 | 730,599,512 | ||||||
| Equity Portfolio |
1,542,217,332 | 1,804,007,113 | ||||||
| Flexible Managed Portfolio |
5,977,365,074 | 6,160,852,936 | ||||||
| Global Portfolio |
450,199,419 | 475,325,106 | ||||||
| Government Income Portfolio |
4,613,567,528 | 4,626,048,667 | ||||||
| Stock Index Portfolio |
66,804,219 | 189,640,875 | ||||||
B8
Options written transactions, during the year ended December 31, 2013, were as follows:
| Conservative Balanced Portfolio |
Contracts |
Premiums |
||||||
| Balance as of December 31, 2012 |
— | $ | — | |||||
| Options written |
14,512,453 | 111,097 | ||||||
| Options terminated in closing purchase transactions |
(14,512,194 | ) | (70,929 | ) | ||||
| Options expired |
(259 | ) | (40,168 | ) | ||||
| Balance as of December 31, 2013 |
— | $ | — | |||||
| Diversified Bond Portfolio |
Contracts |
Premiums |
||||||
| Balance as of December 31, 2012 |
— | $ | — | |||||
| Options written |
20,185,218 | 91,338 | ||||||
| Options terminated in closing purchase transactions |
(20,185,218 | ) | (91,338 | ) | ||||
| Options expired |
||||||||
| Balance as of December 31, 2013 |
— | $ | — | |||||
| Flexible Managed Portfolio |
Contracts |
Premiums |
||||||
| Balance as of December 31, 2012 |
— | $ | — | |||||
| Options written |
17,544,586 | 137,948 | ||||||
| Options terminated in closing purchase transactions |
(17,544,255 | ) | (87,828 | ) | ||||
| Options expired |
(331 | ) | (50,120 | ) | ||||
| Balance as of December 31, 2013 |
— | $ | — | |||||
| Government Income Portfolio |
Contracts |
Premiums |
||||||
| Balance as of December 31, 2012 |
— | $ | — | |||||
| Options written |
11,592,452 | 98,166 | ||||||
| Options terminated in closing purchase transactions |
(11,592,198 | ) | (61,410 | ) | ||||
| Options expired |
(254 | ) | (36,756 | ) | ||||
| Balance as of December 31, 2013 |
— | $ | — | |||||
| Note 6: | Tax Information |
All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions made by the partnerships is generally classified as return of capital nontaxable distributions. After each fiscal year each partner will receive information regarding their distributive allocable share of the partnership’s income, gains, losses and deductions.
With respect to the Portfolios, book cost of assets differs from tax cost of assets as a result of each Portfolio’s adoption of a mark to market method of accounting for tax purposes. Under this method, tax cost of assets will approximate its fair market value.
Management has analyzed the Portfolios’ tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax is required in the Portfolios’ financial statements for the current period. The Portfolios’ federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
| Note 7: | Capital |
The Series Fund offers Class I and Class II shares. Neither Class I nor Class II shares of a Portfolio are subject to any sales charge or redemption charge and are sold at the net asset value of the Portfolio. Class I shares are sold only to certain separate accounts of Prudential to fund benefits under certain variable life insurance and variable annuity contracts (“contracts”). Class II shares are sold only to separate accounts of non-Prudential insurance companies as investment options under certain contracts. The separate accounts invest in shares of the Series Fund through subaccounts that correspond to the Portfolios. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the
B9
contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2013, the Equity Portfolio has Class II shares outstanding.
Transactions in shares of beneficial interest of the Equity Portfolio were as follows:
Equity Portfolio:
| Class I |
Shares |
Amount |
||||||
| Year ended December 31, 2013: |
||||||||
| Series shares sold |
497,608 | $ | 15,342,872 | |||||
| Series shares issued in reinvestment of distributions |
— | — | ||||||
| Series shares repurchased |
(7,725,116 | ) | (238,388,587 | ) | ||||
| Net increase (decrease) in shares outstanding |
(7,227,508 | ) | $ | (223,045,715 | ) | |||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
665,566 | $ | 17,089,685 | |||||
| Series shares issued in reinvestment of distributions |
764,646 | 18,817,932 | ||||||
| Series shares repurchased |
(9,596,928 | ) | (249,386,485 | ) | ||||
| Net increase (decrease) in shares outstanding |
(8,166,716 | ) | $ | (213,478,868 | ) | |||
| Class II |
||||||||
| Year ended December 31, 2013: |
||||||||
| Series shares sold |
14,609 | $ | 480,313 | |||||
| Series shares issued in reinvestment of distributions |
— | — | ||||||
| Series shares repurchased |
(17,287 | ) | (551,629 | ) | ||||
| Net increase (decrease) in shares outstanding |
(2,678 | ) | $ | (71,316 | ) | |||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
2,851 | $ | 75,562 | |||||
| Series shares issued in reinvestment of distributions |
170 | 4,233 | ||||||
| Series shares repurchased |
(18,112 | ) | (453,228 | ) | ||||
| Net increase (decrease) in shares outstanding |
(15,091 | ) | $ | (373,433 | ) | |||
| Note 8: | Borrowings |
The Portfolios, along with other affiliated registered investment companies (the “Funds”), are a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The SCA provides for a commitment of $900 million for the period November 5, 2013 through November 4, 2014. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to November 5, 2013, the Funds had another SCA with substantially similar terms. Interest on any borrowings under the SCA is paid at contracted market rates. The commitment fee for the unused amount is accrued daily and paid quarterly.
The Portfolios presented in these financial statements did not borrow any amounts pursuant to the SCA during the year ended December 31, 2013.
| Note 9: | Ownership and Affiliates |
As of December 31, 2013, all of Class I shares of record of each Portfolio were owned by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.
B10
Financial Highlights
| Conservative Balanced Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2013(a) |
2012 |
2011 |
2010 |
2009 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 17.77 | $ | 16.32 | $ | 15.96 | $ | 14.65 | $ | 12.69 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.35 | .38 | .36 | .37 | .39 | |||||||||||||||
| Net realized and unrealized gain on investments |
2.51 | 1.43 | .37 | 1.31 | 2.08 | |||||||||||||||
| Total from investment operations |
2.86 | 1.81 | .73 | 1.68 | 2.47 | |||||||||||||||
| Less Distributions |
— | (.36 | ) | (.37 | ) | (.37 | ) | (.51 | ) | |||||||||||
| Net Asset Value, end of year |
$ | 20.63 | $ | 17.77 | $ | 16.32 | $ | 15.96 | $ | 14.65 | ||||||||||
| Total Return(b) |
16.09 | % | 11.23 | % | 4.60 | % | 11.74 | % | 20.01 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 2,504.4 | $ | 2,287.0 | $ | 2,191.6 | $ | 2,234.7 | $ | 2,138.7 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses |
.58 | % | .58 | % | .59 | % | .59 | % | .59 | % | ||||||||||
| Net investment income |
1.84 | % | 2.11 | % | 2.12 | % | 2.32 | % | 2.68 | % | ||||||||||
| Portfolio turnover rate |
196 | % | 188 | % | 215 | % | 185 | % | 250 | % | ||||||||||
| Diversified Bond Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2013 |
2012(a) |
2011 |
2010 |
2009 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 11.88 | $ | 11.74 | $ | 11.67 | $ | 11.16 | $ | 9.89 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.48 | .54 | .56 | .52 | .50 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
(.56 | ) | .66 | .30 | .63 | 1.46 | ||||||||||||||
| Total from investment operations |
(.08 | ) | 1.20 | .86 | 1.15 | 1.96 | ||||||||||||||
| Less Distributions |
(.79 | ) | (1.06 | ) | (.79 | ) | (.64 | ) | (.69 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 11.01 | $ | 11.88 | $ | 11.74 | $11.67 | $ | 11.16 | |||||||||||
| Total Return(b) |
(.71 | )% | 10.68 | % | 7.51 | % | 10.57 | % | 20.51 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 1,197.5 | $ | 1,305.9 | $ | 1,556.9 | $ | 1,522.9 | $ | 1,363.5 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses |
.44 | % | .44 | % | .42 | % | .46 | % | .44 | % | ||||||||||
| Net investment income |
4.10 | % | 4.57 | % | 4.76 | % | 4.46 | % | 4.79 | % | ||||||||||
| Portfolio turnover rate |
111 | % | 144 | % | 167 | % | 191 | % | 401 | % | ||||||||||
| (a) | Calculated based on average shares outstanding during the year. |
| (b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
| Equity Portfolio |
||||||||||||||||||||
| Class I |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2013 |
2012(c) |
2011 |
2010 |
2009 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 26.81 | $ | 23.73 | $ | 24.75 | $ | 22.30 | $ | 16.40 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.27 | .27 | .13 | .15 | .16 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
8.73 | 2.96 | (.98 | ) | 2.48 | 6.04 | ||||||||||||||
| Total from investment operations |
9.00 | 3.23 | (.85 | ) | 2.63 | 6.20 | ||||||||||||||
| Less Distributions: |
— | (.15 | ) | (.17 | ) | (.18 | ) | (.30 | ) | |||||||||||
| Net Asset Value, end of year |
$ | 35.81 | $ | 26.81 | $ | 23.73 | $ | 24.75 | $ | 22.30 | ||||||||||
| Total Return(a) |
33.57 | % | 13.69 | % | (3.47 | )% | 11.90 | % | 38.17 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 3,970.9 | $ | 3,167.0 | $ | 2,997.5 | $ | 3,324.3 | $ | 3,195.1 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.47 | % | .47 | % | .48 | % | .48 | % | .48 | % | ||||||||||
| Net investment income |
.86 | % | 1.04 | % | .58 | % | .71 | % | .90 | % | ||||||||||
| Portfolio turnover rate |
45 | % | 48 | % | 49 | % | 68 | % | 98 | % | ||||||||||
| Equity Portfolio |
||||||||||||||||||||
| Class II |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2013 |
2012(c) |
2011 |
2010 |
2009 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 27.10 | $ | 23.99 | $ | 25.00 | $ | 22.46 | $ | 16.47 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.13 | .17 | .06 | .04 | .09 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
8.82 | 3.00 | (1.03 | ) | 2.54 | 6.07 | ||||||||||||||
| Total from investment operations |
8.95 | 3.17 | (.97 | ) | 2.58 | 6.16 | ||||||||||||||
| Less Distributions: |
— | (.06 | ) | (.04 | ) | (.04 | ) | (.17 | ) | |||||||||||
| Net Asset Value, end of year |
$ | 36.05 | $ | 27.10 | $ | 23.99 | $ | 25.00 | $ | 22.46 | ||||||||||
| Total Return(a) |
33.03 | % | 13.23 | % | (3.87 | )% | 11.50 | % | 37.58 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 2.3 | $ | 1.8 | $ | 2.0 | $ | 1.9 | $ | .4 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.87 | % | .87 | % | .88 | % | .88 | % | .88 | % | ||||||||||
| Net investment income |
.47 | % | .63 | % | .19 | % | .34 | % | .52 | % | ||||||||||
| Portfolio turnover rate |
45 | % | 48 | % | 49 | % | 68 | % | 98 | % | ||||||||||
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total return for all periods shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolio in which the Portfolio invests. |
| (c) | Calculated based on average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
| Flexible Managed Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2013(a) |
2012 |
2011 |
2010 |
2009 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 17.77 | $ | 15.99 | $ | 15.63 | $ | 14.28 | $ | 12.34 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.36 | .37 | .33 | .31 | .34 | |||||||||||||||
| Net realized and unrealized gain on investments |
3.22 | 1.74 | .34 | 1.37 | 2.05 | |||||||||||||||
| Total from investment operations |
3.58 | 2.11 | .67 | 1.68 | 2.39 | |||||||||||||||
| Less Distributions |
— | (.33 | ) | (.31 | ) | (.33 | ) | (.45 | ) | |||||||||||
| Net Asset Value, end of year |
$ | 21.35 | $ | 17.77 | $ | 15.99 | $ | 15.63 | $ | 14.28 | ||||||||||
| Total Return(b) |
20.15 | % | 13.37 | % | 4.34 | % | 12.03 | % | 19.95 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 3,730.6 | $ | 3,265.8 | $ | 3,036.8 | $ | 3,077.3 | $ | 2,906.0 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses |
.63 | % | .63 | % | .63 | % | .64 | % | .63 | % | ||||||||||
| Net investment income |
1.86 | % | 2.05 | % | 2.01 | % | 2.06 | % | 2.50 | % | ||||||||||
| Portfolio turnover rate(d) |
210 | % | 214 | % | 246 | % | 205 | % | 248 | % | ||||||||||
| Global Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2013 |
2012 |
2011 |
2010 |
2009 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 19.57 | $ | 16.94 | $ | 18.49 | $ | 16.68 | $ | 13.07 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.31 | .36 | .29 | .28 | .28 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
5.03 | 2.57 | (1.56 | ) | 1.79 | 3.75 | ||||||||||||||
| Total from investment operations |
5.34 | 2.93 | (1.27 | ) | 2.07 | 4.03 | ||||||||||||||
| Less Distributions |
— | (.30 | ) | (.28 | ) | (.26 | ) | (.42 | ) | |||||||||||
| Net Asset Value, end of year |
$ | 24.91 | $ | 19.57 | $ | 16.94 | $ | 18.49 | $ | 16.68 | ||||||||||
| Total Return(b) |
27.29 | % | 17.52 | % | (6.97 | )% | 12.74 | % | 31.39 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 744.5 | $ | 611.2 | $ | 564.2 | $ | 648.5 | $ | 619.5 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses after waivers and/or expense reimbursements |
.84 | % | .84 | % | .84 | % | .87 | % | .85 | % | ||||||||||
| Expenses before waivers and/or expense reimbursements |
.84 | % | .84 | % | .84 | % | .87 | % | .85 | % | ||||||||||
| Net investment income |
1.29 | % | 1.82 | % | 1.54 | % | 1.60 | % | 1.77 | % | ||||||||||
| Portfolio turnover rate |
70 | % | 57 | % | 69 | % | 69 | % | 50 | % | ||||||||||
| (a) | Calculated based on average shares outstanding during the year. |
| (b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (d) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
| Government Income Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2013 |
2012 |
2011 |
2010 |
2009 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 12.15 | $ | 12.37 | $ | 12.03 | $ | 11.86 | $ | 11.40 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.21 | .25 | .30 | .35 | .37 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
(.49 | ) | .19 | .60 | .47 | .49 | ||||||||||||||
| Total from investment operations |
(.28 | ) | .44 | .90 | .82 | .86 | ||||||||||||||
| Less Distributions |
(.57 | ) | (.66 | ) | (.56 | ) | (.65 | ) | (.40 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 11.30 | $ | 12.15 | $ | 12.37 | $ | 12.03 | $ | 11.86 | ||||||||||
| Total Return(a) |
(2.34 | )% | 3.63 | % | 7.63 | % | 6.99 | % | 7.71 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 341.1 | $ | 382.9 | $ | 416.7 | $ | 399.2 | $ | 375.4 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.49 | % | .48 | % | .46 | % | .50 | % | .47 | % | ||||||||||
| Net investment income |
1.78 | % | 1.96 | % | 2.48 | % | 2.87 | % | 3.11 | % | ||||||||||
| Portfolio turnover rate(c) |
1135 | % | 1154 | % | 1554 | % | 1122 | % | 1179 | % | ||||||||||
| Stock Index Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2013(d) |
2012 |
2011 |
2010 |
2009 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 35.65 | $ | 31.47 | $ | 31.37 | $ | 27.89 | $ | 22.76 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.73 | .68 | .54 | .48 | .49 | |||||||||||||||
| Net realized and unrealized gain on investments |
10.64 | 4.19 | .07 | 3.51 | 5.32 | |||||||||||||||
| Total from investment operations |
11.37 | 4.87 | .61 | 3.99 | 5.81 | |||||||||||||||
| Less Distributions |
— | (.69 | ) | (.51 | ) | (.51 | ) | (.68 | ) | |||||||||||
| Net Asset Value, end of year |
$ | 47.02 | $ | 35.65 | $ | 31.47 | $ | 31.37 | $ | 27.89 | ||||||||||
| Total Return(a) |
31.89 | % | 15.68 | % | 1.95 | % | 14.59 | % | 26.07 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 2,890.5 | $ | 2,340.3 | $ | 2,162.4 | $ | 2,277.6 | $ | 2,098.1 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses after waivers and/or expense reimbursements |
.32 | % | .32 | % | .33 | % | .36 | % | .37 | % | ||||||||||
| Expenses before waivers and/or expense reimbursements |
.37 | % | .37 | % | .38 | % | .38 | % | .37 | % | ||||||||||
| Net investment income |
1.77 | % | 1.97 | % | 1.74 | % | 1.70 | % | 2.06 | % | ||||||||||
| Portfolio turnover rate |
3 | % | 2 | % | 2 | % | 4 | % | 5 | % | ||||||||||
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each year reported and includes reinvestment of distributions and does not reflect the effect of insurance contract charges. Total return does not reflect expenses associated with the separate account such as administrative fees, account charges and surrender charges which, if reflected, would reduce the total returns for all years shown. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would be lower. Past performance is no guarantee of future results. Total returns may reflect adjustments to conform to generally accepted accounting principles. |
| (b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (c) | The Portfolio accounts for mortgage dollar roll transactions as purchases and sales which, as a result, can increase its portfolio turnover rate. |
| (d) | Calculated based on average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statements of assets and liabilities of the Conservative Balanced Portfolio, Diversified Bond Portfolio, Equity Portfolio, Flexible Managed Portfolio, Global Portfolio, Government Income Portfolio and Stock Index Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian, transfer agent and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2013, the results of their operations, the changes in their net assets and the financial highlights for the periods described in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
New York, New York
February 14, 2014
D1
INFORMATION ABOUT TRUSTEES AND OFFICERS (Unaudited)
Information about the Trustees and the Officers of the Fund is set forth below. Trustees who are not deemed to be “interested persons” of the Fund, as defined in the Investment Company Act of 1940, are referred to as “Independent Trustees.” Trustees who are deemed to be “interested persons” of the Fund are referred to as “Interested Trustees.” The Trustees are responsible for the overall supervision of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the Investment Company Act of 1940.
| Independent Trustees(1) | ||||
| Name, Address, Age No. of Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
| Susan Davenport Austin (46) No. of Portfolios Overseen: 98 |
Vice Chairman (since 2013), Senior Vice President and Chief Financial Officer (2007-2012) and Vice President of Strategic Planning and Treasurer (2002-2007) of Sheridan Broadcasting Corporation; President of Sheridan Gospel Network (Since 2004); Vice President, Goldman, Sachs & Co. (2000-2001); Associate Director, Bear, Stearns & Co. Inc. (1997-2000); Vice President, Salomon Brothers Inc. (1993-1997); President of the Board, The MacDowell Colony (Since 2010); Chairman of the Board of Directors, Broadcast Music, Inc. (Since 2011); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); President, Candide Business Advisors, Inc. (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | None. | ||
| Sherry S. Barrat (64) No. of Portfolios Overseen: 98 |
Formerly, Vice Chairman of Northern Trust Corporation (financial services and banking institution) (2011-June 2012); formerly, President, Personal Financial Services, Northern Trust Corporation (2006-2010); formerly, Chairman & CEO, Western US Region, Northern Trust Corporation (1999-2005); formerly, President & CEO, Palm Beach/Martin County Region, Northern Trust. | Director of NextEra Energy, Inc. (formerly, FPL Group, Inc.) (1998-Present); Director of Arthur J. Gallagher & Company (since July 2013). | ||
| Kay Ryan Booth (63) No. of Portfolios Overseen: 98 |
Managing Director of Cappello Waterfield & Co. LLC (since 2011); formerly, Vice Chair, Global Research, J.P. Morgan (financial services and investment banking institution) (June 2008-January 2009); formerly, Global Director of Equity Research, Bear Stearns & Co., Inc. (financial services and investment banking institution) (1995-2008); formerly, Associate Director of Equity Research, Bear Stearns & Co., Inc. (1987-1995). | None. | ||
| Delayne Dedrick Gold (75) No. of Portfolios Overseen: 98 |
Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None. | ||
| Robert F. Gunia (67) No. of Portfolios Overseen: 98 |
Independent Consultant (since October 2009); formerly Chief Administrative Officer (September 1999-September 2009) and Executive Vice President (December 1996-September 2009) of Prudential Investments LLC; formerly Executive Vice President (March 1999-September 2009) and Treasurer (May 2000-September 2009) of Prudential Mutual Fund Services LLC; formerly President (April 1999-December 2008) and Executive Vice President and Chief Operating Officer (December 2008-December 2009) of Prudential Investment Management Services LLC; formerly Chief Administrative Officer, Executive Vice President and Director (May 2003-September 2009) of AST Investment Services, Inc. | Director (since May 1989) of The Asia Pacific Fund, Inc. | ||
| W. Scott McDonald, Jr., Ph.D. (76) No. of Portfolios Overseen: 98 |
Formerly Management Consultant (1997-2004) and of Counsel (2004-2005) at Kaludis Consulting Group, Inc. (company serving higher education); formerly principal (1995-1997), Scott McDonald Associates; Chief Operating Officer (1991-1995), Fairleigh Dickinson University; Executive Vice President and Chief Operating Officer (1975-1991), Drew University; interim President (1988-1990), Drew University; formerly Director of School, College and University Underwriters Ltd. | None. | ||
| Thomas T. Mooney (72) No. of Portfolios Overseen: 98 |
Formerly Chief Executive Officer, Excell Partners, Inc. (2005-2007); founding partner of High Technology of Rochester and the Lennox Technology Center; formerly President of the Greater Rochester Metro Chamber of Commerce (1976-2004) formerly Rochester City Manager (1973); formerly Deputy Monroe County Executive (1974-1976). | None. |
E1
| Independent Trustees(1) | ||||
| Name, Address, Age No. of Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
| Thomas M. O’Brien (63) No. of Portfolios Overseen: 98 |
Director, The BankUnited (NYSE: BKU) (since May 2012); Consultant, Valley National Bancorp, Inc. and Valley National Bank (since January 2012); Formerly President and COO (November 2006-December 2011) and CEO (April 2007-December 2011) of State Bancorp, Inc. and State Bank; formerly Vice Chairman (January 1997-April 2000) of North Fork Bank; formerly President and Chief Executive Officer (December 1984-December 1996) of North Side Savings Bank; formerly President and Chief Executive Officer (May 2000-June 2006) Atlantic Bank of New York. | Formerly Director (April 2008-January 2012) of Federal Home Loan Bank of New York; formerly Director (December 1996-May 2000) of North Fork Bancorporation, Inc.; formerly Director (May 2000-April 2006) of Atlantic Bank of New York; Director (November 2006-January 2012) of State Bancorp, Inc. (NASDAQ: STBC) and State Bank of Long Island. | ||
| Interested Trustees(1) | ||||
| Robert F. O’Donnell (45) No. of Portfolios Overseen: 98 |
President of Prudential Annuities (since April 2012); Senior Vice President, Head of Product, Investment Management & Marketing for Prudential Annuities (October 2008-April 2012); Senior Vice President, Head of Product (July 2004-October 2008). | None. | ||
| Timothy S. Cronin (48) Number of Portfolios Overseen: 98 |
Chief Investment Officer and Strategist of Prudential Annuities (since January 2004); Director of Investment & Research Strategy (since February 1998); President of AST Investment Services, Inc. (since June 2005). | None. | ||
| Bruce W. Ferris (58) Number of Portfolios Overseen: 98 |
Senior Vice President, Sales and Distribution, Product, Marketing, Prudential Annuities (since May 2006); Vice President-Sales, The Hartford Insurance Company (October 1994-April 2005); Sales Manager, Aetna Investment Services (October 1993-September 1994). | None. |
(1) The year that each Trustee joined the Fund’s Board is as follows: Susan Davenport Austin, 2011; Sherry S. Barrat, 2013; Kay Ryan Booth, 2013; Delayne Dedrick Gold, 2001; Robert F. Gunia, 2001; W. Scott McDonald, Jr. 1983; Thomas T. Mooney, 2001; Thomas M. O’Brien, 2003; Robert F. O’Donnell, 2012; Timothy S. Cronin, 2011; Bruce W. Ferris, 2013.
| Fund Officers(a)(1) | ||
| Name, Address and Age Position with the Fund |
Principal Occupation(s) During the Past Five Years | |
| Raymond A. O’Hara (58) Chief Legal Officer |
Vice President and Corporate Counsel (since July 2010) of Prudential Insurance Company of America (Prudential); Vice President (March 2011-Present) of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey; Vice President and Corporate Counsel (March 2011-Present) of Prudential Annuities Life Assurance Corporation; Chief Legal Officer of Prudential Investments LLC (since June 2012); Chief Legal Officer of Prudential Mutual Fund Services LLC (since June 2012) and Corporate Counsel of AST Investment Services, Inc. (since June 2012); formerly Assistant Vice President and Corporate Counsel (September 2008-July 2010) of The Hartford Financial Services Group, Inc.; formerly Associate (September 1980-December 1987) and Partner (January 1988-August 2008) of Blazzard & Hasenauer, P.C. (formerly, Blazzard, Grodd & Hasenauer, P.C.). | |
| Deborah A. Docs (56) Secretary |
Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of Prudential Investments LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Kathleen DeNicholas (39) Assistant Secretary |
Vice President and Corporate Counsel (since May 2013) of Prudential; Managing Counsel at The Bank of New York Mellon Corporation (2011-2013); formerly Senior Counsel (2007-2011) and Assistant General Counsel (2001-2007) of The Dreyfus Corporation; Chief Legal Officer and Secretary of MBSC Securities Corporation (2011-2013); Vice President and Assistant Secretary of The Dreyfus Family of Funds (2010-2012). | |
| Claudia DiGiacomo (39) Assistant Secretary |
Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of Prudential Investments LLC (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). | |
| Jonathan D. Shain (55) Assistant Secretary |
Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of Prudential Investments LLC; Vice President and Assistant Secretary (since February 2001) of Prudential Mutual Fund Services LLC; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Andrew R. French (51) Assistant Secretary |
Vice President and Corporate Counsel (since February 2010) of Prudential; formerly Director and Corporate Counsel (2006-2010) of Prudential; Vice President and Assistant Secretary (since January 2007) of Prudential Investments LLC; Vice President and Assistant Secretary (since January 2007) of Prudential Mutual Fund Services LLC. | |
| Amanda S. Ryan (36) Assistant Secretary |
Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of Prudential Investments LLC; Associate at Ropes & Gray (2008-2012). | |
| Bruce Karpati (44) Chief Compliance Officer |
Chief Compliance Officer of the Prudential Investments Funds, Target Funds, Advanced Series Trust, the Prudential Series Fund and Prudential’s Gibraltar Fund, Inc. (May 2013-Present); formerly National Chief (May 2012-May 2013) and Co-Chief (January 2010-May 2012) of the Asset Management Unit, Division of Enforcement, of the U.S. Securities & Exchange Commission; Assistant Regional Director (January 2005-January 2010) of the U.S. Securities & Exchange Commission. | |
| Theresa C. Thompson (51) Deputy Chief Compliance Officer |
Vice President, Compliance, Prudential Investments LLC (since April 2004); and Director, Compliance, Prudential Investments LLC (2001-2004). |
E2
| Fund Officers(a)(1) | ||
| Name, Address and Age Position with the Fund |
Principal Occupation(s) During the Past Five Years | |
| Richard W. Kinville (45) Anti-Money Laundering Compliance Officer |
Vice President, Corporate Compliance, Anti-Money Laundering Unit (since January 2005) of Prudential; committee member of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (since January 2007); formerly Investigator and Supervisor in the Special Investigations Unit for the New York Central Mutual Fire Insurance Company (August 1994-January 1999); Investigator in AXA Financial’s Internal Audit Department and Manager in AXA’s Anti-Money Laundering Office (January 1999-January 2005); first chair of the American Council of Life Insurers Anti-Money Laundering and Critical Infrastructure Committee (June 2007-December 2009). | |
| Grace C. Torres (54) Treasurer and Principal Financial and Accounting Officer |
Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of Prudential Investments LLC; Assistant Treasurer (since May 2003) and Vice President (since June 2005) of AST Investment Services, Inc.; Senior Vice President and Assistant Treasurer (since May 2003) of Prudential Annuities Advisory Services, Inc.; formerly Senior Vice President (May 2003-June 2005) of AST Investment Services, Inc. | |
| M. Sadiq Peshimam (50) Assistant Treasurer |
Vice President (since 2005) of Prudential Investments LLC. | |
| Peter Parrella (55) Assistant Treasurer |
Vice President (since 2007) and Director (2004-2007) within Prudential Mutual Fund Administration; formerly Tax Manager at SSB Citi Fund Management LLC (1997-2004). | |
| Alan Fu (57) Assistant Treasurer |
Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. O’Donnell and Mr. Cronin, Interested Trustees who also serve as President and Vice President, respectively.
(1) The year in which each individual became an Officer of the Fund is as follows: Raymond A. O’Hara, 2012; Deborah A. Docs, 2005; Kathleen DeNicholas, 2013; Claudia DiGiacomo, 2005; Jonathan D. Shain, 2005; Andrew R. French, 2006; Amanda S. Ryan, 2012; Bruce Karpati, 2013; Theresa C. Thompson, 2008; Richard W. Kinville, 2011; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006.
Explanatory Notes to Tables:
Trustees are deemed to be “Interested”, as defined in the Investment Company Act of 1940, by reason of their affiliation with Prudential Investments LLC and/or an affiliate of Prudential Investments LLC. Robert F. O’Donnell, Timothy S. Cronin and Bruce W. Ferris are Interested Trustees because they are employed by an affiliate of the Manager of the Fund.
Unless otherwise noted, the address of all Trustees and Officers is c/o Prudential Investments LLC, Gateway Center Three, 100 Mulberry Street, Newark, New Jersey 07102.
There is no set term of office for Trustees or Officers. The Independent Trustees have adopted a retirement policy, which calls for the retirement of Trustees on December 31 of the year in which they reach the age of 78, provided that the Board may extend the retirement age on a year-by-year basis for a Trustee.
“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934 (that is, “public companies”) or other investment companies registered under the Investment Company Act of 1940.
“No. of Portfolios Overseen” includes all investment companies managed by Prudential Investments LLC (PI) and/or AST Investment Services, Inc. (ASTI) (collectively, the Manager) that are overseen by the Trustee. The investment companies for which PI and/or ASTI serves as Manager include The Prudential Variable Contract Accounts, The Prudential Series Fund, Advanced Series Trust, Prudential’s Gibraltar Fund, Inc., Prudential Short Duration High Yield Fund, Inc. and Prudential Global Short Duration High Yield Fund, Inc.
E3
The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.
(800) 458-6333
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus for The MEDLEY Program. Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.
This report includes the financial statements of VCA-10, VCA-11, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-24.
This report does not include separate account financials for the VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.
Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
A description of each Account’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call 800-458-6333 to obtain a description of the Account’s proxy voting policies and procedures. Information regarding how the Account’s voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on the Account’s website.
The Account’s Statement of Additional Information contains additional information about the Accounts’ Committee Members and is available without charge upon request by calling 800-458-6333.
Each Account files with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call 1-800-732-0330. MEDLEY participants may obtain copies of Form N-Q filings by calling 800-458-6333.
|
The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777
|
Presorted Standard U.S. Postage PAID Prudential | |||
Prudential Retirement, Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
0239747-00002-00 MD.RS.011
Item 2 – Code of Ethics — See Exhibit (a)
As of the end of the period covered by this report, the registrant has adopted a code of ethics (the “Section 406 Standards for Investment Companies – Ethical Standards for Principal Executive and Financial Officers”) that applies to the registrant’s Principal Executive Officer and Principal Financial Officer; the registrant’s Principal Financial Officer also serves as the Principal Accounting Officer.
The registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the registrant 973-367-7521, and ask for a copy of the Section 406 Standards for Investment Companies - Ethical Standards for Principal Executive and Financial Officers.
Item 3 – Audit Committee Financial Expert –
The registrant’s Board has determined that Mr. Stephen P. Munn, member of the Board’s Audit Committee is an “audit committee financial expert,” and that he is “independent,” for purposes of this Item.
Item 4 – Principal Accountant Fees and Services –
(a) Audit Fees
For the fiscal years ended December 31, 2013 and December 31, 2012, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $19,000 and $19,000, respectively, for professional services rendered for the audit of the Registrant’s annual financial statements or services that are normally provided in connection with statutory and regulatory filings.
(b) Audit-Related Fees
None.
(c) Tax Fees
None.
(d) All Other Fees
None.
(e) (1) Audit Committee Pre-Approval Policies and Procedures
THE PRUDENTIAL MUTUAL FUNDS
AUDIT COMMITTEE POLICY
on
Pre-Approval of Services Provided by the Independent Accountants
The Audit Committee of each Prudential Mutual Fund is charged with the responsibility to monitor the independence of the Fund’s independent accountants. As part of this responsibility, the Audit Committee must pre-approve any independent accounting firm’s engagement to render audit and/or permissible non-audit services, as required by law. In evaluating a proposed engagement of the independent accountants, the Audit Committee will assess the effect that the engagement might reasonably be expected to have on the accountant’s independence. The Committee’s evaluation will be based on:
| • | a review of the nature of the professional services expected to be provided, |
| • | a review of the safeguards put into place by the accounting firm to safeguard independence, and |
| • | periodic meetings with the accounting firm. |
Policy for Audit and Non-Audit Services Provided to the Funds
On an annual basis, the scope of audits for each Fund, audit fees and expenses, and audit-related and non-audit services (and fees proposed in respect thereof) proposed to be performed by the Fund’s independent accountants will be presented by the Treasurer and the independent accountants to the Audit Committee for review and, as appropriate, approval prior to the initiation of such services. Such presentation shall be accompanied by confirmation by both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants. Proposed services shall be described in sufficient detail to enable the Audit Committee to assess the appropriateness of such services and fees, and the compatibility of the provision of such services with the auditor’s independence. The Committee shall receive periodic reports on the progress of the audit and other services which are approved by the Committee or by the Committee Chair pursuant to authority delegated in this Policy.
The categories of services enumerated under “Audit Services”, “Audit-related Services”, and “Tax Services” are intended to provide guidance to the Treasurer and the independent accountants as to those categories of services which the Committee believes are generally consistent with the independence of the independent accountants and which the Committee (or the Committee Chair) would expect upon the presentation of specific proposals to pre-approve. The enumerated categories are not intended as an exclusive list of audit, audit-related or tax services, which the Committee (or the Committee Chair) would consider for pre-approval.
Audit Services
The following categories of audit services are considered to be consistent with the role of the Fund’s independent accountants:
| • | Annual Fund financial statement audits |
| • | Seed audits (related to new product filings, as required) |
| • | SEC and regulatory filings and consents |
Audit-related Services
The following categories of audit-related services are considered to be consistent with the role of the Fund’s independent accountants:
| • | Accounting consultations |
| • | Fund merger support services |
| • | Agreed Upon Procedure Reports |
| • | Attestation Reports |
| • | Other Internal Control Reports |
Individual audit-related services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.
Tax Services
The following categories of tax services are considered to be consistent with the role of the Fund’s independent accountants:
| • | Tax compliance services related to the filing or amendment of the following: |
| • | Federal, state and local income tax compliance; and, |
| • | Sales and use tax compliance |
| • | Timely RIC qualification reviews |
| • | Tax distribution analysis and planning |
| • | Tax authority examination services |
| • | Tax appeals support services |
| • | Accounting methods studies |
| • | Fund merger support services |
| • | Tax consulting services and related projects |
Individual tax services that fall within one of these categories and are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000.
Other Non-audit Services
Certain non-audit services that the independent accountants are legally permitted to render will be subject to pre-approval by the Committee or by one or more Committee members to whom the Committee has delegated this authority and who will report to the full Committee any pre-approval decisions made pursuant to this Policy. Non-audit services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Proscribed Services
The Fund’s independent accountants will not render services in the following categories of non-audit services:
| • | Bookkeeping or other services related to the accounting records or financial statements of the Fund |
| • | Financial information systems design and implementation |
| • | Appraisal or valuation services, fairness opinions, or contribution-in-kind reports |
| • | Actuarial services |
| • | Internal audit outsourcing services |
| • | Management functions or human resources |
| • | Broker or dealer, investment adviser, or investment banking services |
| • | Legal services and expert services unrelated to the audit |
| • | Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible. |
Pre-approval of Non-Audit Services Provided to Other Entities Within the Prudential Fund Complex
Certain non-audit services provided to Prudential Investments LLC or any of its affiliates that also provide ongoing services to the Prudential Mutual Funds will be subject to pre-approval by the Audit Committee. The only non-audit services provided to these entities that will require pre-approval are those related directly to the operations and financial reporting of the Funds. Individual projects that are not presented to the Audit Committee as part of the annual pre-approval process will be subject to pre-approval by the Committee Chair (or any other Committee member on whom this responsibility has been delegated) so long as the estimated fee for those services does not exceed $50,000. Services presented for pre-approval pursuant to this paragraph will be accompanied by a confirmation from both the Treasurer and the independent accountants that the proposed services will not adversely affect the independence of the independent accountants.
Although the Audit Committee will not pre-approve all services provided to Prudential Investments LLC and its affiliates, the Committee will receive an annual report from the Fund’s independent accounting firm showing the aggregate fees for all services provided to Prudential Investments and its affiliates.
| (e) | (2) Percentage of services referred to in 4(b) – 4(d) that were approved by the audit committee – |
Not applicable.
(f) Percentage of hours expended attributable to work performed by other than full time employees of principal accountant if greater than 50%.
The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.
(g) Non-Audit Fees
Not applicable to Registrant for the fiscal years 2013 and 2012. The aggregate non-audit fees billed by KPMG for services rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant for the fiscal years 2013 and 2012 was $0 and $0, respectively.
(h) Principal Accountant’s Independence
Not applicable as KPMG has not provided non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
Item 5 – Audit Committee of Listed Registrants – Not applicable.
Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not
applicable.
Item 10 – Submission of Matters to a Vote of Security Holders – Not applicable.
Item 11 – Controls and Procedures
| (a) | It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
| (b) | There has been no significant change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12 – Exhibits
| (a) | (1) Code of Ethics – Attached hereto as Exhibit EX-99.CODE-ETH |
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.
(3) Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: The Prudential Variable Contract Account-11
| By: | /s/ Deborah A. Docs | |
| Deborah A. Docs | ||
| Secretary | ||
| Date: | February 19, 2014 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Stuart S. Parker | |
| Stuart S. Parker | ||
| President and Principal Executive Officer | ||
| Date: | February 19, 2014 | |
| By: | /s/ Grace C. Torres | |
| Grace C. Torres | ||
| Treasurer and Principal Financial Officer | ||
| Date: | February 19, 2014 | |