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: | 811-03623 | |
| Exact name of registrant as specified in charter: | The Prudential Series Fund | |
| 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: | 12/31/2012 | |
| Date of reporting period: | 12/31/2012 | |
| Item 1 | – Reports to Stockholders |
THE PRUDENTIAL SERIES FUND
ANNUAL REPORT Ÿ DECEMBER 31, 2012
|
| The Prudential Series Fund Table of Contents |
Annual Report | December 31, 2012 |
| n | LETTER TO CONTRACT OWNERS |
| n | MANAGEMENT REVIEW |
| n | PRESENTATION OF PORTFOLIO HOLDINGS |
| n | FEES AND EXPENSES TABLE |
| n | FINANCIAL REPORTS |
| Section A | Schedule of Investments and Financial Statements | |||
| Conservative Balanced Portfolio | A1 | |||
| Diversified Bond Portfolio | A30 | |||
| Equity Portfolio | A57 | |||
| Flexible Managed Portfolio | A61 | |||
| Global Portfolio | A89 | |||
| Government Income Portfolio | A96 | |||
| High Yield Bond Portfolio | A103 | |||
| Jennison Portfolio | A121 | |||
| Money Market Portfolio | A125 | |||
| Natural Resources Portfolio | A130 | |||
| Small Capitalization Stock Portfolio | A135 | |||
| Stock Index Portfolio | A146 | |||
| Value Portfolio | A155 | |||
| Section B | Notes to Financial Statements | |||
| Section C | Financial Highlights | |||
| Section D | Report of Independent Registered Public Accounting Firm | |||
| Section E | Information about Trustees and Officers | |||
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
| The Prudential Series Fund Letter to Contract Owners |
Annual Report | December 31, 2012 |
| n | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund 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,
Robert F. O’Donnell
President,
| The Prudential Series Fund |
January 31, 2013 |
| The Prudential Series Fund, Conservative Balanced Portfolio |
December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Conservative Balanced Portfolio returned 11.23%.
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.
The Portfolio’s gain for the year reflected strong equity market performance, combined with solid fixed income returns. The Portfolio out-performed its blended benchmark due to solid active returns from the fixed income portion of the Portfolio, timely tactical asset allocation calls, and strong active returns from the equity portion of the Portfolio. The Portfolio was overweight stocks and underweight cash for much of the year though we did retreat closer to benchmarks during the spring slump for stocks. A more aggressive stance toward year end also paid off, as stocks recovered from the post-election correction and rallied strongly on the last day of 2012.
Throughout the year, the news media was full of reports about investors’ and business owners’ anxiety and uncertainty. But at the end of the year, stocks were up more than 15% in the U.S., as the economic recovery continued (albeit at a slow pace), housing showed signs of life, Europe seemed to stabilize a bit, and the worst-case global scenario did not materialize. Aggressive monetary policy in the U.S. and Europe, although politically controversial, seemed to succeed in encouraging somewhat more risk-taking and improving market confidence. These policies will not continue indefinitely, but central banks seemed committed to keeping them in place until clear signs of a more sustainable recovery are apparent.
U.S. Treasury bonds and other high-quality sovereign debt hit record-low yields in 2012 before rising modestly by year-end. Investors continued to pour money into bond funds in 2012, though there were some reports that this flow may have moderated toward year end, and that investors might re-discover stocks in 2013.
The Portfolio uses fully collateralized futures to manage daily cash flows, which had no material impact on portfolio performance.
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 advisors and Prudential Financial companies.
| The Prudential Series Fund, Diversified Bond Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Diversified Bond Portfolio returned 10.68%.
The Portfolio is subadvised by Prudential Fixed Income, a unit of 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.
2012 was an outstanding year for fixed-income securities, especially ones that carried credit risk. This favorable environment enabled the Portfolio to finish the year well ahead of the Barclays U.S. Aggregate Bond Index (the Index), which returned 4.22%. Treasury bonds, mortgage-backed securities and agency debentures, which comprise the vast majority of the Index, were significantly outpaced by riskier assets, as a general improvement in the European sovereign debt crisis quelled investor fears of a catastrophic Euro-zone event triggering excess market volatility. Moreover, repeated intervention by the Federal Reserve (the Fed) led to U.S. government bond yields declining from already low levels at the end of 2011. Bond prices and yields move in opposite directions, so prices rose in this environment.
Helping to push yields lower was the announcement in June of a continuation of Operation Twist, in which the Fed sold shorter-term debt and used the proceeds to buy longer-term Treasuries. In September the Fed unveiled plans to purchase $40 billion per month of agency mortgage-backed securities, and in December the central bank committed to buying an additional $45 per month of longer-term Treasury securities. These new rounds of quantitative easing were dubbed “QE3” and “QE4,” respectively. Likewise, in September the European Central Bank (ECB) announced a program of Outright Monetary Transactions, effectively establishing the ECB as a “lender of last resort” for debt-strapped sovereigns in the Euro-zone.
An overweight to spread sectors which outperformed government bonds was the primary driver of performance relative to the Index. The Portfolio’s overweight in commercial mortgage-backed securities (CMBS) also contributed to returns as the sector has benefited from stabilizing commercial real estate values and improving supply/demand levels. The Portfolio’s positions in high yield corporate bonds, bank loans and emerging market debt also boosted returns.
Security selection was another prominent contributor. In asset-backed securities, positions in AAA-rated collateralized loan obligations were beneficial, as were positions in mortgage-backed securities. In investment grade corporate bonds, an emphasis on financials helped as the sector continued to recover from the global credit crisis that began in 2008.
Foreign exchange positions added value in certain G10 currencies (a group of ten currencies considered to be world’s most liquid) including New Zealand, Australia and the Canadian dollar, and in a variety of emerging market currencies as many outperformed the U.S. dollar for the year. Tactical duration strategies and yield curve positioning also contributed to the Portfolio’s 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 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.
| The Prudential Series Fund, Equity Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
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, 2012, the Equity Portfolio Class I shares returned 13.69% and Class II shares returned 13.23%.
The Portfolio is subadvised by Jennison Associates LLC (Jennison). The Portfolio’s investment objective is long-term growth of capital.
Despite a largely flat fourth quarter, U.S. equity markets, as measured by the broad market indexes, realized substantial gains for the year. The S&P 500 (the Index) rose nearly 16.0%, with all sectors posting double digit returns except energy and utilities, which had single-digit returns. The financials and consumer discretionary sectors had the strongest performances. The Portfolio underperformed the Index.
Stock selection was detrimental in most sectors, and especially in healthcare and telecommunication services.
Telecommunication services included the largest individual detractor, NII Holdings, a wireless provider that has been converting to 3G services in Latin America and has been hurt by price competition and adverse exchange rates. Other notable detractors came from a variety of sectors, including Marvell Technology Group in information technology, Anadarko Petroleum in energy, and Chipotle Mexican Grill, the fast casual restaurant company, in consumer discretionary. Marvell’s profits declined because of continued weakness in both its mobile and wireless and storage segments. Jennison’s investment expectations did not play out as anticipated and the manager closed its position.
An underweight position in financials further detracted from relative returns. The absence of Bank of America from the Portfolio was the most significant source of relative weakness in the sector.
Stock selection was beneficial in information technology and industrials. Several of the top individual contributors in the Portfolio were information technology companies, including Apple, MasterCard, and salesforce.com. Despite some weak picks in consumer discretionary, several companies in the sector were among the largest individual contributors, including Comcast and Amazon.
Shares of Comcast rose steadily through the period, and the stock remains attractive in Jennison’s view because of the company’s stable growth in its cable business, recent initiatives to fill in gaps in its wireless product lineups, and the likelihood of a large share buyback in the near future.
Salesforce.com, whose hosted applications provide access to software functions remotely as a web-based service, derives strength from its original application, salesforce.com, and new offerings, which are helping the company both expand to new markets and deepen relationships with existing customers.
An overweight position in consumer discretionary and an underweight position in utilities also provided a boost to relative returns. Liberty Global and Lululemon Athletica were two significant consumer discretionary contributors absent from the index.
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 advisor and a Prudential Financial company.
| The Prudential Series Fund, Flexible Managed Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Flexible Managed Portfolio returned 13.37%.
The Portfolio is subadvised by Prudential Investment Management, Inc. and Quantitative Management Associates LLC. The Portfolio’s investment objective is total return consistent with an aggressively managed, diversified portfolio.
The Portfolio’s gain for the year reflected strong equity market performance, combined with solid fixed income returns. The Portfolio out-performed its blended benchmark due to solid active returns from the fixed income portion of the Portfolio, timely tactical asset allocation calls, and strong active returns from the equity portion of the Portfolio. The Portfolio was overweight stocks and underweight cash for much of the year, though we did retreat closer to benchmarks during the spring slump for stocks. A more aggressive stance toward year end also paid off, as stocks recovered from the post-election correction and rallied strongly on the last day of 2012.
Throughout the year, the news media was full of reports about investors’ and business owners’ anxiety and uncertainty. But at the end of the year, stocks were up more than 15% in the U.S., as the economic recovery continued (albeit at a slow pace), housing showed signs of life, Europe seemed to stabilize a bit, and the worst-case global scenario did not materialize. Aggressive monetary policy in the U.S. and Europe, although politically controversial, seemed to succeed in encouraging somewhat more risk-taking and improving market confidence. These policies will not continue indefinitely, but central banks seemed committed to keeping them in place until clear signs of a more sustainable recovery are apparent.
U.S. Treasury bonds and other high-quality sovereign debt hit record-low yields in 2012 before rising modestly by year-end. Investors continued to pour money into bond funds in 2012, though there were some reports that this flow may have moderated toward year-end, and that investors might re-discover stocks in 2013.
The Portfolio uses fully collateralized futures to manage daily cash flows, which had no material impact on portfolio performance.
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.
| The Prudential Series Fund, Global Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Global Portfolio returned 17.52%.
The Portfolio is subadvised by Marsico Capital Management, LLC (U.S. growth stocks), T. Rowe Price Associates, Inc. (U.S. value stocks), William Blair & Company LLC (international growth stocks), and LSV Asset Management (international value stocks). The Portfolio’s investment objective is to achieve long-term growth of capital.
The MSCI World Index (GD) (the Index) returned 16.54%, with the domestic market performing near the average, Japan considerably behind, and Europe, despite the economic uncertainty there, turning in a strong performance. The United Kingdom was about average. In terms of economic sectors, financials and consumer discretionary led both the domestic and international markets. The international telecommunications, energy, and utilities sectors had negative returns over the year. Although no domestic sector declined, the utilities and energy sectors also were notably weak, the only ones with single-digit returns.
The William Blair International Growth segment was the top contributor to the Portfolio’s good performance relative to the Index, outperforming the broad international equity market during the period because of strong stock selection in the healthcare, industrials, materials, and telecommunication sectors. It also was helped by an underweight in Japan. The T. Rowe Price Large Cap Value segment outperformed the Russell 1000 Value index, driven primarily by good stock selection, particularly within the financial services sector.
On the negative side, both the large cap growth segment managed by Marsico Capital Management and the international value segment managed by LSV Asset Management trailed their targets. Underperformance of the large cap growth segment was due primarily to stock selection in the healthcare, consumer discretionary, and energy sectors. The top detractors in international value were stock selection in the consumer staples sector and overweights in the poor-performing telecommunications services and energy sectors. This was partially offset by good stock selection within the materials sector.
The use of derivative instruments in this Portfolio is not a principal strategy of the four subadvisers. The types of derivatives employed most often are equity futures contracts (to help manage cash flows in the Portfolio) and currency forwards and futures contracts (to hedge a portion of currency exposure in the Portfolio). Currency hedging in the portion of the Portfolio managed by William Blair had a positive impact on portfolio performance during 2012.
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. 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.
| The Prudential Series Fund, Government Income Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Government Income Portfolio returned 3.63%.
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.
With the U.S. economy on track to grow at a more moderate pace, bond investors generally became less risk averse, especially through the second half of the year. However, broad fixed income indexes painted a bland picture of overall bond performance in 2012, as the Barclays U.S. Aggregate Bond Index posted a modest return. Tensions in Europe declined through the second half of the year. As a result, yields on the debt of peripheral countries in the Euro-zone declined and created a tailwind for most bonds globally as fears of a financial “contagion-effect” in Europe abated. In the final weeks of the year, the media focused primarily on the so-called “U.S. fiscal cliff.” However, the markets largely shrugged off the cliff, as it morphed into more of a manageable slope.
The Portfolio outperformed its benchmark, the Barclays Government Bond Index (the Index), which returned 2.02%. Sector selection was the primary driver of the Portfolio’s performance. The Portfolio held an overweight exposure relative in the Index to high quality commercial mortgage-backed securities (CMBS) which performed strongly during the year. While it was a decent year for U.S. Treasuries, most other high-quality fixed-income asset classes, including mortgage-backed securities, and CMBS in which the Portfolio invests, outperformed U.S. government debt by a considerable margin. The Portfolio’s underweight in Treasuries and overweight in these other high quality sectors contributed to outperformance.
These positive factors were modestly offset by security selection within the CMBS sector, as the Portfolio had a higher quality bias at a time when lower credit quality securities within the sector were rallying the most.
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.) The Portfolio’s exposure to the Prudential Short Term Bond Fund also benefited performance as the Fund’s net asset value (NAV), which moves inversely from the yield, rose throughout much of the year as yields declined.
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.
| The Prudential Series Fund, High Yield Bond Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the High Yield Bond Portfolio returned 14.43%, net of fees and expenses.
The Portfolio is subadvised by Prudential Investment Management, Inc. and its investment objective is high total return.
With the U.S. economy on track to grow at a more moderate pace, bond investors generally became less risk averse, especially through the second half of the year. Tensions in Europe declined through the second half of the year. As a result, yields on the debt of peripheral countries in the Euro-zone declined and created a tailwind for most bonds globally as fears of a financial “contagion-effect” in Europe abated. In the final weeks of the year, the media focused primarily on the so-called “U.S. fiscal cliff.” However, the markets largely shrugged off the cliff, as it morphed into more of a manageable slope.
High yield bonds in the U.S. and in Europe delivered double-digit returns as investors searched for yield in a record-low interest rate environment. In the U.S., high yield bond prices were also supported by relatively stable credit fundamentals. Although the average yield on the broad U.S. high yield market closed the year at a new all-time low, the asset class still offered attractive yields relative to similar-maturity U.S. Treasuries and to periods with similar, low default rates. The European high yield market benefited from strong investor demand, despite ongoing recessionary concerns. Both the U.S and European high yield markets posted record levels of new issuance. In the U.S., a majority of the new supply was used to refinance existing debt, leaving net supply manageable. In Europe, the size of the high yield market expanded nearly 50%, boosted by the entrance of new participants including a number of downgraded issues and issuers from the senior secured loan market.
The Portfolio underperformed its benchmark, the Barclays U.S. High Yield 1% Issuer Capped Index (the Index), which returned 15.50%. An emphasis on higher quality and shorter duration relative to the Index hurt the Portfolio’s performance in a year when lower quality and longer duration bonds outperformed. Sector selection also detracted from performance, in particular, underweights to banking and building materials, and to a lesser extent, insurance and telecom, as these were among the better performing sectors.
Security selection partially offset these negative factors. Selections within health care, pharmaceuticals, media, entertainment and telecom were large contributors to overall performance.
The Portfolio makes use of derivatives including credit default swaps to increase or hedge exposure to individual issuers and the broader market. Use of the CDX, a credit default swap index, provided market exposure during periods of lower liquidity, partially offsetting the drag from cash. Cash held for liquidity purposes in short-term, low-rate securities, created a drag on performance during the strong rally.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Barclays U.S. High Yield 1% Issuer Capped Index is an unmanaged index that covers the universe of U.S. dollar denominated, non-convertible, fixed-rate, non-investment-grade debt. Issuers are capped at 1% of the Index. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. 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.
| The Prudential Series Fund, Jennison Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
The Russell 1000® Growth Index is a trademark/service of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company.
For the year ended December 31, 2012, the Jennison Portfolio Class I shares returned 16.18% and Class II shares returned 15.73%.
The Portfolio is subadvised by Jennison Associates LLC (Jennison). The Portfolio’s investment objective is long-term growth of capital.
Information technology holdings contributed most to the Portfolio’s return, as stock selection and an overweight position relative to the Russell 1000® Growth Index were beneficial. Apple reported impressive sales of iPhones, iPads, and Mac personal computers. Jennison believes the company’s innovative product design, software, and operating systems, which allow seamless integration of services and apps across mobile and desktop product lines, will continue to foster consumer loyalty and drive share gains. Salesforce.com’s revenue, earnings, and billings growth exceeded consensus forecasts. Jennison believes its hosted applications market opportunity remains substantial.
MasterCard and Visa rose on strong growth in the value of cardholder transactions and reduced legal risk. Jennison expects both companies to continue to benefit from the consumer shift from paper money to electronic credit/debit transactions. LinkedIn’s global online professional network has altered the talent-recruiting market and provides what Jennison considers unique access to a scale database of active and passive job candidates.
Stock selection and an underweight stance were beneficial in consumer staples, where Whole Foods reported strong sales and earnings, with solid operating margins and continued capital discipline.
In financials, broadcast, communications, and wireless tower operator American Tower benefited from the expansion of mobile data, household migration to wireless-only service, high competitive barriers to entry, pricing power, low maintenance expenses, and international expansion.
Monsanto, the world’s largest agricultural seed maker, was a notable contributor in the materials sector. Jennison views it as a high-quality, technology-driven growth company and consider agriculture sector fundamentals strong.
Overweight positions in consumer discretionary and health care worked well, but stock selection in both sectors detracted from relative return. Watchmaker Fossil fell after reporting lighter-than-projected revenue, partly due to weakness in Europe. Jennison eliminated the Portfolio’s position in Fossil. Reflecting the tenuous nature of consumer confidence, fast casual restaurant company Chipotle Mexican Grill declined on signs of a deceleration in sales activity. Jennison believes Chipotle’s brand positioning and unit-growth opportunities remain positive.
In healthcare, Shire and Bristol-Myers Squibb, which earlier had been rewarded for attractive business opportunities, lagged a surge in biotechnology stocks. Jennison expects Shire’s strong product pipeline to continue to generate strong revenue growth and believes Bristol-Myers will benefit from product momentum, new product launches, pipeline data, and strong business development deals.
An underweight position largely offset detrimental stock selection in energy, where independent oil and natural gas exploration and production company Anadarko Petroleum was hurt by uncertainty related to ongoing litigation. Jennison eliminated the Portfolio’s position in Anadarko.
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 Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. 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.
| The Prudential Series Fund, Money Market Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Money Market Portfolio returned 0.01%.
The Portfolio is subadvised by Prudential Fixed Income, a unit of Prudential Investment Management, Inc. The investment objective is to seek maximum current income consistent with the stability of capital and maintenance of liquidity.
The seven-day current yield and total return of the Portfolio remained near zero throughout the period, as yields on all money market funds in the United States are at historically low levels. Recessionary data kept central bankers around the globe on the path of monetary easing, forcing interest rates lower across the board. The general trend towards a resolution of the European debt problems helped to push three-month LIBOR rates down to 0.30% during the year. At home, the Federal Reserve extended the outlook of easier monetary policy and introduced Mortgage Backed Securities to its Quantitative Easing programs. The Federal Funds effective rate ended the year at 0.09%.
For much of the year, the Portfolio’s weighted average maturity was shorter than the peer group, as tight corporate spreads and a flat yield curve provided few investment opportunities. Furthermore, given the on-going sovereign and banking crisis in Europe, the Portfolio maintained a defensive posture relative to the peer group, which adversely impacted performance. The Fund, instead, maintained a high level of liquidity by purchasing government and agency securities as well as repurchase agreements.
As year-end approached, the Portfolio reduced its exposure to very short-term transactions known as repurchase agreements, which are collateralized by U.S. Treasury securities or federal agency securities, as the collateral necessary for such transactions became less abundant. The Portfolio subsequently increased its holdings of government agency securities primarily by adding LIBOR based agency floating rate securities as spreads on this sector widened.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
| * | Source: iMoneyNet, Inc. based on 281 funds in the iMoneyNet Prime Retail universe. Weekly 7-day current net yields of the Money Market Portfolio and the iMoneyNet Prime Retail universe as of 12/25/2012. |
The Lipper Variable Insurance Products (VIP) Funds Average is calculated by Lipper Analytical Services, Inc., and reflects the investment return of certain portfolios underlying variable life and annuity products. These returns are net of investment fees and fund expenses, but not product charges. 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 or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.
An investment in the Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $10.00 per share, it is possible to lose money by investing in the Portfolio.
| The Prudential Series Fund, Natural Resources Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Natural Resources Portfolio Class I shares declined by -2.47% and Class II shares declined by -2.92%.
The Portfolio’s subadviser is Jennison Associates LLC (Jennison). The Portfolio’s investment objective is long-term growth of capital.
Much of the Portfolio’s underperformance relative to the broader market reflected the year’s extraordinary commodity price volatility. Persistent concerns over the prospects for global economic growth, especially those centered on Europe and China against a backdrop of continuing political tensions in the Middle East and Africa, have heightened the level of uncertainty in the natural resources sector.
Energy names led Portfolio detractors for the period. Shares of OGX Petroleo e Gas Participacoes, Brazil’s largest independent exploration and production company, rallied at the beginning of 2012, then suffered a notable setback toward the end of June and remained on a downtrend after a disappointing report on one of its key offshore exploratory fields. Despite a series of letdowns regarding its projections, the Portfolio manager continues to believe the company is on the verge of a multi-year growth trajectory that remains underappreciated. Key Energy Services share prices peaked at the end of February and then trended down over the balance of the period as management repeatedly lowered production guidance. Jennison ultimately chose to exit the position in favor of other investment candidates with more promising risk-reward profiles.
Losses by metals and mining holdings Cliffs Natural Resources and Alacer Gold also hurt the year’s performance. Cliffs came under severe pressure in the second half of the period as a steep decline in iron ore prices raised questions about the company’s ability to sustain its dividend. The stock recovered some toward year-end as iron ore prices rose by more than 50% in the fourth quarter on signs of a pickup in China’s economic activity. Despite near-term uncertainty, Jennison believes iron ore is likely to command a higher price than most anticipate over the longer run. Mid-continent petroleum refiners HollyFrontier and Marathon Petroleum led the year’s contributors, benefiting for much of the period from favorable refining margins and wider-than-anticipated discounts for West Texas Intermediate crude oil versus other global light/sweet oils such as Brent and Light Louisiana Sweet. The inland refiners may come up against some near-term macro headwinds, as markets readjust to changing conditions for Gulf Coast refiners. Nevertheless, the manager continues to like both HollyFrontier and Marathon Petroleum for their strong balance sheets, solid management, and demonstrated commitment to growth and returning cash to shareholders.
Independent oil exploration and production company Cobalt International Energy also ended the year among the Portfolio’s leading contributors. The company specializes in drilling for oil in technically challenging, ultra-deepwater and pre-salt fields. The company has a robust near-term drilling slate, and Jennison continues to believe in the potential of its portfolio of assets.
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. |
The Lipper Variable Underlying Funds (VUF) Natural Resources Funds Index is calculated by Lipper Analytical Services, Inc. and consists of an equal dollar-weighted composite of the 10 largest funds in the Lipper VUF Natural Resources Fund classification. The index is rebalanced quarterly. Natural Resources Funds are deemed as funds that invest primarily in the equity securities of domestic and foreign companies engaged in natural resources. S&P 500 Index is an unmanaged, market value-weighted index of 500 stocks generally representative of the broad stock market. These returns are net of investment fees and fund expenses, but not product charges. Investors cannot invest directly in a market index or average. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| The Prudential Series Fund, Small Capitalization Stock Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Small Capitalization Stock Portfolio returned 16.03%.
The Portfolio is subadvised by Quantitative Management Associates LLC (QMA). The Portfolio’s investment objective is long-term growth of capital.
Throughout 2012, headlines screamed about the very real threats to the U.S. and global economies. Europe was mired in recession. Asian economies, most notably China, slowed. Growth in the U.S. was lackluster and, toward the end of the year, all eyes were focused on the fiscal cliff. Despite these concerns, the market rose strongly during the year. The Portfolio met its objective of closely tracking the performance of the small-cap market as measured by the Index.
During the year, the Portfolio had a small exposure to derivative instruments to enhance its liquidity, but the position did not have a material impact on its performance.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
S&P SmallCap 600 Index is an unmanaged index representing the aggregate market value of the common equity of 600 small-company stocks. 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.
| The Prudential Series Fund, Stock Index Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Stock Index Portfolio returned 15.68%.
The Portfolio is subadvised by Quantitative Management Associates LLC (QMA). 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 S&P 500 Index. It underperformed the S&P 500 Index by a modest amount in 2012.
At the end of the year, Congress was well on its way to partially resolving its differences over the much-dreaded “fiscal cliff,” which should help forestall recessionary fears in the U.S. during 2013. Little noticed was that the S&P 500 turned in a near 16% performance for 2012, its third straight positive annual return. In fact, with a little more luck in the U.S. and abroad, it is possible that 2013 will follow suit, thereby continuing the “quiet bull market” we have enjoyed since 2010.
Housing looked to be on the outer edges of a rebound, which, considering its role in bringing the U.S. economy to its veritable knees in recent years, is a particularly positive sign for the near-term economic future. Other sectors, notably autos, chimed in with positive news for the year. Financials were among the best performing sectors during the year. Economically sensitive sectors, such as industrials and materials, performed well, while defensive sectors such as consumer staples, telecom, and utilities performed poorly.
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 liquidity of the Portfolio. This exposure did not have a material impact on its 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.
| The Prudential Series Fund, Value Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Value Portfolio Class I shares returned 14.62% and Class II shares returned 14.14%.
The Portfolio is subadvised by Jennison Associates LLC (Jennison). The Portfolio’s investment objective is capital appreciation.
Stock selection in the materials sector was the main driver of the Portfolio’s performance shortfall against its benchmark index. Newmont Mining reported a loss attributed to a $1.6 billion write-down on its Hope Bay mine operations in Canada and also fell in tandem with declining gold prices throughout much of the period. Jennison continues to see Newmont as an attractively valued opportunity, offering dividend growth prospects and other potential returns of capital.
The telecom service sector also detracted from relative results due mostly to one position, NII Holdings. Shares of the Latin American telecommunications provider plummeted during the period as earnings were disappointing due to price competition, as well as a strengthening U.S. dollar. NII’s focus has been on introducing its 3G services on a new network in Chile, Mexico, and Brazil and enhancing its Push-to-Talk (PTT) services. Jennison believes that it will still be several quarters until the turnaround begins to be reflected in improved financial results. Nevertheless, Jennison likes the company’s very capable management and cash-heavy balance sheet, allowing it to fund planned growth projects.
Overweight positions in information technology and energy were also sources of relative weakness.
The healthcare sector was the largest contributor to relative gain due to stock selection, led by Mylan. Shares rose amid several favorable announcements. Credit rating agencies upgraded its rating to investment grade, which frees the company from certain debt covenants and allows it to institute a large stock buyback if it chooses. In addition, Mylan received regulatory approval to produce and sell several different generic versions of brand name drugs. In Jennison’s opinion, Mylan has grown into one of the most attractive global generic drug companies.
An underweight in utilities and an overweight in consumer discretionary boosted relative results. However, stock selection in both sectors was comparatively weak.
Other notable contributors were media companies Comcast and Liberty Global. Shares of Comcast climbed steadily during the period, as net income increased amid rising high-speed Internet subscriptions and fewer customer cancellations. It also reported the best cable revenue growth since the first quarter of 2009. Jennison likes Comcast for its stable growth cable business, recent initiatives in their wireless product lineups, and the likelihood of a large stock buyback in the near future.
Another media company, Liberty Global, also saw its shares rise steadily. Despite Europe’s economic troubles, the company enjoyed strong growth due to an effective pricing strategy and presence in select European markets like Germany, Holland, Belgium, and Switzerland. Jennison believes that Liberty Global is well-positioned, given consumers’ desire for faster broadband and digital television. In addition, Jennison believes that growth will accelerate with the repositioning of its portfolio by selling less successful holdings in Australia and expanding in Europe.
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 Value Index is an unmanaged market cap-weighted index that measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. 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 a market index. For a complete list of holdings, refer to the Schedule of Investments section of this report.
| The Prudential Series Fund Presentation of Portfolio Holdings — unaudited |
December 31, 2012 |
For a complete list of holdings, please 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 Series Fund Fees and Expenses — unaudited |
December 31, 2012 |
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, 2012 through December 31, 2012.
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 the Six-Month 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 fees and charges were included, your costs would have been higher.
| The Prudential Series Fund Portfolios | Beginning Account Value July 1, 2012 |
Ending Account Value December 31, 2012 |
Annualized Expense Ratio based on the Six-Month period |
Expenses Paid During the Six-Month period* |
||||||||||||||
| Conservative Balanced (Class I) | Actual | $ | 1,000.00 | $ | 1,042.80 | 0.58 | % | $ | 2.98 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.22 | 0.58 | % | $ | 2.95 | ||||||||||
| Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,054.60 | 0.44 | % | $ | 2.27 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.92 | 0.44 | % | $ | 2.24 | ||||||||||
| Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,074.10 | 0.47 | % | $ | 2.45 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.77 | 0.47 | % | $ | 2.39 | ||||||||||
| Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,072.00 | 0.87 | % | $ | 4.53 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.76 | 0.87 | % | $ | 4.42 | ||||||||||
| Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,052.70 | 0.63 | % | $ | 3.25 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.97 | 0.63 | % | $ | 3.20 | ||||||||||
| Global (Class I) | Actual | $ | 1,000.00 | $ | 1,101.30 | 0.83 | % | $ | 4.38 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.96 | 0.83 | % | $ | 4.22 | ||||||||||
| Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,015.30 | 0.49 | % | $ | 2.48 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.67 | 0.49 | % | $ | 2.49 | ||||||||||
| High Yield Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,073.60 | 0.57 | % | $ | 2.97 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.27 | 0.57 | % | $ | 2.90 | ||||||||||
| Jennison (Class I) | Actual | $ | 1,000.00 | $ | 1,044.10 | 0.63 | % | $ | 3.24 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.97 | 0.63 | % | $ | 3.20 | ||||||||||
| Jennison (Class II) | Actual | $ | 1,000.00 | $ | 1,042.10 | 1.03 | % | $ | 5.29 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.96 | 1.03 | % | $ | 5.23 | ||||||||||
| Money Market (Class I) |
Actual | $ | 1,000.00 | $ | 1,000.00 | 0.23 | % | $ | 1.16 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.98 | 0.23 | % | $ | 1.17 | ||||||||||
| The Prudential Series Fund Fees and Expenses — unaudited (continued) |
December 31, 2012 |
| The Prudential Series Fund Portfolios | Beginning Account Value July 1, 2012 |
Ending Account Value December 31, 2012 |
Annualized Expense Ratio based on the Six-Month period |
Expenses Paid During the Six-Month period* |
||||||||||||||
| Natural Resources (Class I) | Actual | $ | 1,000.00 | $ | 1,091.30 | 0.49 | % | $ | 2.58 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.67 | 0.49 | % | $ | 2.49 | ||||||||||
| Natural Resources (Class II) | Actual | $ | 1,000.00 | $ | 1,088.70 | 0.89 | % | $ | 4.67 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.66 | 0.89 | % | $ | 4.52 | ||||||||||
| Small Capitalization Stock (Class I) | Actual | $ | 1,000.00 | $ | 1,076.60 | 0.46 | % | $ | 2.40 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.82 | 0.46 | % | $ | 2.34 | ||||||||||
| Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,057.90 | 0.32 | % | $ | 1.66 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.53 | 0.32 | % | $ | 1.63 | ||||||||||
| Value (Class I) | Actual | $ | 1,000.00 | $ | 1,104.50 | 0.43 | % | $ | 2.27 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.97 | 0.43 | % | $ | 2.19 | ||||||||||
| Value (Class II) | Actual | $ | 1,000.00 | $ | 1,102.40 | 0.83 | % | $ | 4.39 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.96 | 0.83 | % | $ | 4.22 | ||||||||||
* 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, 2012, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2012 (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, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| ASSET-BACKED SECURITIES — 2.5% | Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Non-Residential Mortgage-Backed Securities — 2.1% |
| |||||||||||||||||||
| AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b) |
Aaa | 0.569% | 10/20/19 | $ | 2,163 | $ | 2,107,121 | |||||||||||||
| American Express Credit Account Master Trust, Ser. 2012-4, Class C, 144A(b) |
AA-(c) | 1.009% | 05/15/20 | 2,700 | 2,700,451 | |||||||||||||||
| ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(b) |
Aaa | 1.911% | 05/17/21 | 500 | 501,499 | |||||||||||||||
| ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b) |
Aaa | 0.574% | 01/26/20 | 1,336 | 1,307,170 | |||||||||||||||
| BA Credit Card Trust, Ser. 2006-C5, Class C5(b) |
A3 | 0.609% | 01/15/16 | 4,159 | 4,159,757 | |||||||||||||||
| Battalion CLO Ltd. (Cayman Islands), Ser. 2012-2A, |
AAA(c) | 1.537% | 11/15/19 | 2,000 | 1,992,654 | |||||||||||||||
| BlackRock Senior Income Series Corp. (Cayman Islands), |
Aaa | 0.562% | 05/25/17 | 621 | 614,601 | |||||||||||||||
| Cent CDO XI Ltd. (Cayman Islands), Ser. 2006-11A, |
Aaa | 0.575% | 04/25/19 | 1,824 | 1,782,024 | |||||||||||||||
| Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b) |
Aaa | 0.563% | 08/03/19 | 404 | 395,834 | |||||||||||||||
| Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(b) |
Baa2 | 0.681% | 03/24/17 | 1,000 | 992,412 | |||||||||||||||
| Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(b) |
Baa2 | 0.611% | 02/20/15 | 1,500 | 1,499,975 | |||||||||||||||
| Four Corners CLO (Cayman Islands), Ser. 2006-3A, |
Aaa | 0.569% | 07/22/20 | 640 | 628,146 | |||||||||||||||
| Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b) |
Aa1 | 0.778% | 03/15/20 | 1,000 | 957,753 | |||||||||||||||
| GE Capital Credit Card Master Note Trust, Ser. 2011-2, Class B(b) |
A2 | 1.209% | 05/15/19 | 6,825 | 6,877,805 | |||||||||||||||
| GE Capital Credit Card Master Note Trust, Ser. 2012-4, Class B(b) |
A2 | 1.059% | 06/15/18 | 4,500 | 4,523,931 | |||||||||||||||
| Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.600% | 12/15/17 | 230 | 229,649 | |||||||||||||||
| Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(b) |
Aaa | 0.700% | 07/15/16 | 7 | 6,900 | |||||||||||||||
| Lafayette CLO Ltd. (Cayman Islands), Ser. 2012-1A, |
AAA(c) | 1.751% | 09/06/22 | 1,164 | 1,163,514 | |||||||||||||||
| Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, |
Aaa | 0.561% | 10/19/20 | 774 | 759,030 | |||||||||||||||
| LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b) |
Aaa | 0.571% | 06/01/17 | 1,376 | 1,354,299 | |||||||||||||||
| Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b) |
Aaa | 0.568% | 09/15/17 | 976 | 959,126 | |||||||||||||||
| Marine Park CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class A1A, 144A(b) |
Aaa | 2.003% | 05/18/23 | 1,100 | 1,103,254 | |||||||||||||||
| MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(b) |
A3 | 1.109% | 11/15/16 | 1,000 | 1,003,905 | |||||||||||||||
| Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(b) |
Aaa | 0.558% | 03/15/18 | 254 | 245,784 | |||||||||||||||
| OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(b) |
Aaa | 1.791% | 11/22/23 | 1,000 | 1,001,283 | |||||||||||||||
| OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(b) |
AA(c) | 2.511% | 11/22/23 | 900 | 889,730 | |||||||||||||||
| Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, |
AA(c) | 2.961% | 08/17/22 | 500 | 501,391 | |||||||||||||||
| Sound Point CLO Ltd. (Caymen Islands), Ser. 2012-1A, Class B, 144A(b) |
AA(c) | 3.084% | 10/20/23 | 900 | 915,032 | |||||||||||||||
| Stanfield Azure CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class A1L, 144A(b) |
Aaa | 0.572% | 05/27/20 | 2,097 | 2,048,281 | |||||||||||||||
| SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A |
Aaa | 5.250% | 02/20/21 | 134 | 134,331 | |||||||||||||||
| SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A |
A+(c) | 2.000% | 09/20/29 | 1,777 | 1,776,765 | |||||||||||||||
| Trimaran CLO Ltd. (Cayma n Islands), Ser. 2006-2A, |
Aaa | 0.563% | 11/01/18 | 2,000 | 1,974,004 | |||||||||||||||
| 47,107,411 | ||||||||||||||||||||
| Residential Mortgage-Backed Securities — 0.4% |
||||||||||||||||||||
| CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b) |
B2 | 1.860% | 03/25/33 | 427 | 323,679 | |||||||||||||||
| Countrywide Asset-Backed Certificates, Ser. 2004-1, Class M1(b) |
Ba1 | 0.960% | 03/25/34 | 3,240 | 3,045,046 | |||||||||||||||
| Credit-Based Asset Servicing and Securitization LLC, |
B3 | 4.853% | 07/25/35 | 375 | 319,581 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| ASSET-BACKED SECURITIES (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||
| Equity One ABS, Inc., Ser. 2004-3, Class M1(d) |
Ba1 | 5.330% | 07/25/34 | $ | 725 | $ | 606,196 | |||||||||||
| Fremont Home Loan Trust, Ser. 2004-2, Class M1(b) |
A3 | 1.065% | 07/25/34 | 506 | 433,418 | |||||||||||||
| HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b) |
Aa1 | 0.701% | 01/20/35 | 328 | 312,412 | |||||||||||||
| Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b) |
B1 | 0.740% | 06/25/34 | 926 | 792,932 | |||||||||||||
| Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b) |
Ba2 | 1.410% | 05/25/33 | 222 | 208,436 | |||||||||||||
| Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b) |
Baa2 | 1.260% | 12/27/33 | 1,252 | 1,185,875 | |||||||||||||
| Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b) |
Caa3 | 1.110% | 07/25/32 | 642 | 545,513 | |||||||||||||
| Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b) |
B2 | 1.485% | 09/25/32 | 807 | 726,354 | |||||||||||||
| Securitized Asset Backed Receivables LLC, Ser. 2004-OP1, Class M1(b) |
Ba3 | 0.975% | 02/25/34 | 1,238 | 1,113,195 | |||||||||||||
| Securitized Asset Backed Receivables LLC, Ser. 2006-FR3, Class A3(b) |
Ca | 0.460% | 05/25/36 | 1,372 | 698,989 | |||||||||||||
| 10,311,626 | ||||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
57,419,037 | ||||||||||||||||
| BANK LOANS(b) — 0.5% | ||||||||||||||||||
| Automotive |
||||||||||||||||||
| Schaeffler AG (Germany) |
Ba3 | 6.000% | 01/27/17 | 600 | 605,625 | |||||||||||||
| Chemicals — 0.1% |
||||||||||||||||||
| Ashland, Inc. |
Baa3 | 2.312% | 08/23/16 | 1,382 | 1,383,306 | |||||||||||||
| Foods — 0.1% |
||||||||||||||||||
| Del Monte Foods Co. |
Ba3 | 4.500% | 03/08/18 | 988 | 988,345 | |||||||||||||
| Gaming |
||||||||||||||||||
| Scientific Games Corp |
Ba1 | 3.215% | 06/30/15 | 421 | 420,795 | |||||||||||||
| Healthcare & Pharmaceutical — 0.2% |
||||||||||||||||||
| Community Health Systems, Inc. |
Ba3 | 2.811% | 10/25/16 | 491 | 489,414 | |||||||||||||
| HCA, Inc. |
Ba3 | 3.462% | 05/01/18 | 370 | 370,232 | |||||||||||||
| HCA, Inc. |
Ba3 | 3.561% | 03/31/17 | 886 | 887,996 | |||||||||||||
| RPI Finance Trust |
Baa2 | 4.000% | 11/09/18 | 907 | 916,000 | |||||||||||||
| Universal Health Services, Inc. |
Ba2 | 2.060% | 08/15/16 | 894 | 894,375 | |||||||||||||
| 3,558,017 | ||||||||||||||||||
| Pipelines & Other |
||||||||||||||||||
| Energy Transfer Equity LP |
Ba2 | 3.750% | 03/23/17 | 800 | 805,375 | |||||||||||||
| Technology — 0.1% |
||||||||||||||||||
| First Data Corp. |
B1 | 4.211% | 03/26/18 | 2,055 | 1,954,708 | |||||||||||||
| First Data Corp. |
B1 | 5.211% | 03/24/17 | 156 | 153,084 | |||||||||||||
| Flextronics International Ltd. (Singapore) |
Ba1 | 0.381% | 10/01/14 | 410 | 409,568 | |||||||||||||
| Flextronics International Ltd. (Singapore) |
Ba1 | 2.462% | 10/01/14 | 118 | 117,692 | |||||||||||||
| Sensata Technologies, Inc. |
Ba2 | 3.750% | 05/12/18 | 439 | 440,642 | |||||||||||||
| 3,075,694 | ||||||||||||||||||
| TOTAL BANK LOANS |
|
10,837,157 | ||||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% | ||||||||||||||||||
| Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1 |
Caa2 | 6.000% | 01/25/36 | 2,141 | 1,655,059 | |||||||||||||
| Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b) |
B2 | 3.002% | 02/25/35 | 530 | 512,934 | |||||||||||||
| Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b) |
Caa1 | 2.770% | 03/25/35 | 544 | 505,376 | |||||||||||||
| Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b) |
B2 | 3.038% | 02/25/37 | 1,195 | 1,191,169 | |||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1(b) |
Ba3 | 5.250% | 09/25/19 | 645 | 658,934 | |||||||||||||
| JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b) |
B1 | 2.991% | 07/25/35 | 759 | 762,156 | |||||||||||||
| MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1 |
Baa1 | 5.000% | 04/25/19 | 169 | 173,953 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b) |
Baa3 | 2.775% | 02/25/34 | $ | 657 | $ | 662,119 | |||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A |
CCC(c) | 5.000% | 03/25/20 | 415 | 419,902 | |||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
6,541,602 | ||||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.0% | ||||||||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4 |
Aaa | 4.153% | 11/10/38 | 2,981 | 3,013,504 | |||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A |
Aaa | 5.600% | 07/10/46 | 2,000 | 2,019,194 | |||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b) |
Aaa | 5.685% | 06/10/49 | 806 | 805,660 | |||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., |
Aaa | 5.369% | 10/10/45 | 3,400 | 3,703,419 | |||||||||||||
| Bear Stearns Commercial Mortgage Securities, Ser. 2006-PW11, |
AAA(c) | 5.452% | 03/11/39 | 1,200 | 1,353,955 | |||||||||||||
| Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(b) |
Aaa | 5.702% | 12/10/49 | 800 | 942,529 | |||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, Class A4(b) |
Aaa | 5.304% | 01/15/46 | 1,000 | 1,119,976 | |||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, Class A5 |
Aaa | 5.617% | 10/15/48 | 480 | 551,684 | |||||||||||||
| Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A |
AA-(c) | 5.440% | 09/15/30 | 426 | 431,782 | |||||||||||||
| Commercial Mortgage Pass-Through Certificates, Ser. 2006-C7, |
AAA(c) | 5.748% | 06/10/46 | 4,000 | 4,542,800 | |||||||||||||
| Commercial Mortgage Pass-Through Certificates, Ser. 2006-C8, |
Aaa | 5.248% | 12/10/46 | 1,249 | 1,255,989 | |||||||||||||
| Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR3, |
Aaa | 1.765% | 10/15/45 | 2,600 | 2,670,834 | |||||||||||||
| Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR5, |
Aaa | 2.540% | 12/10/45 | 1,000 | 999,362 | |||||||||||||
| Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b) |
AAA(c) | 5.409% | 02/15/39 | 4,330 | 4,885,530 | |||||||||||||
| Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b) |
AAA(c) | 5.409% | 02/15/39 | 530 | 586,708 | |||||||||||||
| CS First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4 |
Aa2 | 4.832% | 04/15/37 | 900 | 967,473 | |||||||||||||
| CS First Boston Mortgage Securities Corp., Ser. 2005-C5, Class A4 |
AAA(c) | 5.100% | 08/15/38 | 3,000 | 3,297,474 | |||||||||||||
| CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4 |
AA+(c) | 5.223% | 08/15/48 | 1,020 | 1,156,237 | |||||||||||||
| CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b) |
AAA(c) | 5.803% | 05/15/46 | 1,175 | 1,251,482 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K020, Class X1(b) |
AA+(c) | 1.479% | 05/25/22 | 21,456 | 2,288,460 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K021, Class X1(b) |
AA+(c) | 1.516% | 06/25/22 | 5,897 | 655,604 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K501, Class X1A(b) |
AA+(c) | 1.755% | 08/25/16 | 6,340 | 296,794 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K710, Class X1(b) |
AA+(c) | 1.785% | 05/25/19 | 16,975 | 1,618,833 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K711, Class X1(b) |
AA+(c) | 1.712% | 07/25/19 | 17,495 | 1,626,217 | |||||||||||||
| GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5 |
AAA(c) | 4.697% | 05/10/43 | 2,610 | 2,789,398 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5(b) |
Aa2 | 5.224% | 04/10/37 | 1,400 | 1,546,836 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, Class A4(a)(b) |
Aaa | 5.867% | 07/10/38 | 1,620 | 1,860,424 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2 |
Aaa | 5.381% | 03/10/39 | 2,667 | 2,752,069 | |||||||||||||
| GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2 |
Aaa | 5.778% | 08/10/45 | 985 | 989,391 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 4.853% | 03/15/46 | $ | 1,326 | $ | 1,368,614 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 4.697% | 07/15/42 | 260 | 260,844 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aa2 | 4.780% | 07/15/42 | 1,000 | 1,079,820 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 4.659% | 07/15/42 | 2,486 | 2,575,397 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aa2 | 4.999% | 10/15/42 | 1,170 | 1,272,595 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 5.523% | 05/12/45 | 1,445 | 1,541,618 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 5.475% | 04/15/43 | 2,393 | 2,703,130 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 5.797% | 06/15/49 | 1,118 | 1,153,114 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 3.139% | 06/15/45 | 1,800 | 1,939,511 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 2.611% | 12/15/47 | 1,500 | 1,506,745 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp. I/O, |
Aaa | 0.050% | 04/15/43 | 86,032 | 7,227 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5 |
AAA(c) | 4.826% | 08/15/29 | 2,007 | 2,049,607 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2005-C3, Class A5 |
Aaa | 4.739% | 07/15/30 | 695 | 752,242 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b) |
AA(c) | 5.263% | 11/15/40 | 1,390 | 1,527,837 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2 |
AAA(c) | 5.084% | 02/15/31 | 298 | 298,277 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2 |
Aaa | 5.532% | 03/15/32 | 55 | 54,780 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4 |
Aaa | 5.661% | 03/15/39 | 1,630 | 1,849,825 | |||||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3 |
Aaa | 4.615% | 08/12/39 | 1,900 | 1,947,511 | |||||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(b) |
AAA(c) | 5.684% | 05/12/39 | 3,400 | 3,900,215 | |||||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b) |
AA(c) | 5.684% | 05/12/39 | 780 | 874,761 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
A(c) | 5.532% | 02/12/39 | 440 | 489,258 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
Aaa | 5.893% | 06/12/46 | 2,210 | 2,545,803 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
Aaa | 5.364% | 08/12/48 | 440 | 454,392 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
Aaa | 5.331% | 03/12/51 | 2,157 | 2,215,599 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b) |
Aaa | 5.420% | 03/12/44 | 1,500 | 1,677,270 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b) |
AAA(c) | 5.691% | 10/15/42 | 2,600 | 2,935,127 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4 |
AAA(c) | 5.332% | 12/15/43 | 4,080 | 4,694,656 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB |
Aaa | 5.444% | 02/12/44 | 3,697 | 3,876,545 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b) |
AAA(c) | 5.651% | 06/11/42 | 970 | 1,000,663 | |||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4 |
AAA(c) | 2.792% | 12/10/45 | 1,400 | 1,415,729 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, |
Aaa | 5.418% | 01/15/45 | 1,255 | 1,398,486 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, |
Aaa | 5.736% | 05/15/43 | 3,688 | 4,207,961 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, |
Aa2 | 5.509% | 04/15/47 | 3,800 | 4,390,463 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, |
Aaa | 5.921% | 02/15/51 | 2,900 | 3,402,341 | |||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
115,347,581 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS — 11.4% | Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Aerospace & Defense — 0.1% |
||||||||||||||||||||
| Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
Ba2 | 6.300% | 05/01/14 | $ | 900 | $ | 939,375 | |||||||||||||
| L-3 Communications Corp., Gtd. Notes |
Baa3 | 4.750% | 07/15/20 | 475 | 529,452 | |||||||||||||||
| 1,468,827 | ||||||||||||||||||||
| Airlines — 0.2% |
||||||||||||||||||||
| Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., |
Baa2 | 6.648% | 09/15/17 | 185 | 198,069 | |||||||||||||||
| Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., |
Baa2 | 6.703% | 06/15/21 | 127 | 137,723 | |||||||||||||||
| Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., |
Baa2 | 7.250% | 11/10/19 | 636 | 734,026 | |||||||||||||||
| Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs., |
Baa2 | 4.750% | 01/12/21 | 701 | 762,819 | |||||||||||||||
| Continental Airlines , Inc. Pass-Through Certificates, Pass-thru Certs., Ser. 2012-2, Class A |
Baa2 | 4.000% | 10/29/24 | 405 | 426,263 | |||||||||||||||
| Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., |
Baa2 | 6.821% | 08/10/22 | 355 | 396,081 | |||||||||||||||
| Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., |
Baa2 | 5.300% | 04/15/19 | 986 | 1,087,481 | |||||||||||||||
| Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., Ser. 2A |
Baa2 | 4.950% | 05/23/19 | 604 | 658,562 | |||||||||||||||
| 4,401,024 | ||||||||||||||||||||
| Automotive — 0.1% |
||||||||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
Baa3 | 3.984% | 06/15/16 | 430 | 456,585 | |||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
Baa3 | 4.207% | 04/15/16 | 1,440 | 1,535,927 | |||||||||||||||
| Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN |
Baa1 | 2.700% | 03/15/17 | 380 | 392,739 | |||||||||||||||
| Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN |
Baa1 | 5.750% | 12/15/14 | 495 | 540,583 | |||||||||||||||
| Johnson Controls, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.500% | 01/15/16 | 235 | 265,267 | |||||||||||||||
| 3,191,101 | ||||||||||||||||||||
| Banking — 2.7% |
||||||||||||||||||||
| American Express Co., Sr. Unsec’d. Notes, 144A |
A3 | 2.650% | 12/02/22 | 2,300 | 2,290,841 | |||||||||||||||
| American Express Credit Corp., Sr. Unsec’d. Notes, MTN(f) |
A2 | 2.800% | 09/19/16 | 1,210 | 1,280,234 | |||||||||||||||
| Banco Bradesco SA (Brazil), Sub. Notes(a) |
Baa1 | 8.750% | 10/24/13 | 1,690 | 1,778,725 | |||||||||||||||
| Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A |
Aa3 | 3.875% | 09/20/22 | 530 | 543,324 | |||||||||||||||
| Bangkok Bank PCL/Hong Kong (Thailand), Sr. Unsec’d. Notes, 144A |
A3 | 2.750% | 03/27/18 | 1,515 | 1,532,250 | |||||||||||||||
| Bank of America Corp., Jr. Sub. Notes, Ser. K(b) |
B1 | 8.000% | 12/29/49 | 2,100 | 2,322,768 | |||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 4.500% | 04/01/15 | 185 | 197,196 | |||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 5.700% | 01/24/22 | 1,290 | 1,551,288 | |||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes(f) |
Baa2 | 6.000% | 09/01/17 | 1,330 | 1,557,450 | |||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1 |
Baa2 | 3.750% | 07/12/16 | 790 | 844,452 | |||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Ser. L, MTN |
Baa2 | 5.650% | 05/01/18 | 105 | 122,162 | |||||||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 5.300% | 03/15/17 | 850 | 956,003 | |||||||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 6.000% | 10/15/36 | 805 | 986,348 | |||||||||||||||
| Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes |
A2 | 5.300% | 10/30/15 | 550 | 609,506 | |||||||||||||||
| Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes |
A2 | 6.400% | 10/02/17 | 270 | 324,269 | |||||||||||||||
| Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes |
A2 | 7.250% | 02/01/18 | 1,135 | 1,422,204 | |||||||||||||||
| Capital One Bank Corp., Sub. Notes |
Baa1 | 6.500% | 06/13/13 | 10 | 10,261 | |||||||||||||||
| Capital One Capital VI, Ltd. Gtd. Notes |
Baa3 | 8.875% | 05/15/40 | 1,130 | 1,130,000 | |||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes(a) |
Baa2 | 4.500% | 01/14/22 | 2,125 | 2,370,871 | |||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 05/15/18 | 745 | 892,816 | |||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.875% | 03/05/38 | 320 | 421,266 | |||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 8.125% | 07/15/39 | 850 | 1,272,548 | |||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 8.500% | 05/22/19 | 1,195 | 1,606,841 | |||||||||||||||
| Citigroup, Inc., Sub. Notes |
Baa3 | 6.125% | 08/25/36 | 725 | 790,161 | |||||||||||||||
| DEPFA ACS Bank (Ireland), Covered Notes, 144A |
A3 | 5.125% | 03/16/37 | 1,325 | 1,034,420 | |||||||||||||||
| Discover Bank, Sub. Notes |
Ba1 | 7.000% | 04/15/20 | 485 | 602,223 | |||||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Notes |
A3 | 6.250% | 02/01/41 | 220 | 269,923 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Banking (continued) |
||||||||||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 5.250% | 07/27/21 | $ | 2,305 | $ | 2,627,645 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a) |
A3 | 5.750% | 01/24/22 | 1,250 | 1,477,765 | |||||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/20 | 700 | 831,748 | |||||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 5.625% | 01/15/17 | 765 | 839,340 | |||||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 6.450% | 05/01/36 | 1,020 | 1,118,772 | |||||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 6.750% | 10/01/37 | 113 | 128,066 | |||||||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
Aa3 | 4.875% | 01/14/22 | 1,730 | 2,007,783 | |||||||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
Aa3 | 5.100% | 04/05/21 | 920 | 1,086,411 | |||||||||||||||
| Huntington BancShares, Inc., Sub. Notes |
Baa2 | 7.000% | 12/15/20 | 150 | 183,519 | |||||||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b) |
Ba1 | 7.900% | 04/29/49 | 2,000 | 2,266,020 | |||||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 3.150% | 07/05/16 | 1,935 | 2,050,036 | |||||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes(a) |
A2 | 4.250% | 10/15/20 | 2,360 | 2,624,620 | |||||||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN(f) |
A2 | 5.800% | 01/13/20 | 1,770 | 2,071,401 | |||||||||||||||
| Morgan Stanley, Notes, Ser. G, MTN |
Baa1 | 6.625% | 04/01/18 | 100 | 117,858 | |||||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes(a) |
Baa1 | 6.375% | 07/24/42 | 640 | 750,275 | |||||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.625% | 09/23/19 | 2,110 | 2,386,368 | |||||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.950% | 12/28/17 | 495 | 560,540 | |||||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 5.450% | 01/09/17 | 2,530 | 2,799,650 | |||||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 5.500% | 07/28/21 | 635 | 720,962 | |||||||||||||||
| MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes(b) |
Ba1 | 6.346% | 07/29/49 | 800 | 882,156 | |||||||||||||||
| People’s United Financial, Inc., Sr. Unsec’d. Notes |
A3 | 3.650% | 12/06/22 | 1,195 | 1,201,215 | |||||||||||||||
| PNC Funding Corp., Gtd. Notes |
A3 | 2.700% | 09/19/16 | 925 | 977,286 | |||||||||||||||
| PNC Funding Corp., Gtd. Notes(a) |
A3 | 6.700% | 06/10/19 | 390 | 497,575 | |||||||||||||||
| Royal Bank of Scotland Group PLC (United Kingdom), Sr. Unsec’d. Notes, MTN |
Baa1 | 6.400% | 10/21/19 | 1,775 | 2,097,411 | |||||||||||||||
| Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. |
A3 | 3.400% | 08/23/13 | 95 | 96,410 | |||||||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
Baa2 | 3.000% | 09/24/15 | 780 | 794,304 | |||||||||||||||
| US Bancorp, Sub. Notes, MTN |
A2 | 2.950% | 07/15/22 | 915 | 924,357 | |||||||||||||||
| 62,839,843 | ||||||||||||||||||||
| Brokerage |
||||||||||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g) |
NR | 6.875% | 02/06/12 | 1,850 | 432,438 | |||||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g) |
NR | 6.875% | 05/02/18 | 700 | 168,000 | |||||||||||||||
| 600,438 | ||||||||||||||||||||
| Building Materials & Construction |
||||||||||||||||||||
| Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A |
Baa3 | 5.125% | 06/26/22 | 500 | 542,500 | |||||||||||||||
| Cable — 0.4% |
||||||||||||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes(a) |
B1 | 8.625% | 09/15/17 | 900 | 1,049,625 | |||||||||||||||
| Comcast Cable Holdings LLC, Gtd. Notes |
Baa1 | 9.875% | 06/15/22 | 1,440 | 2,069,716 | |||||||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.400% | 05/15/38 | 310 | 396,093 | |||||||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.950% | 08/15/37 | 290 | 393,259 | |||||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.500% | 03/01/16 | 605 | 640,941 | |||||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.550% | 03/15/15 | 165 | 173,573 | |||||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 4.750% | 10/01/14 | 1,755 | 1,873,848 | |||||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 5.150% | 03/15/42 | 1,020 | 1,031,662 | |||||||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
Baa2 | 7.500% | 04/01/14 | 345 | 373,826 | |||||||||||||||
| 8,002,543 | ||||||||||||||||||||
| Capital Goods — 0.4% |
||||||||||||||||||||
| Actuant Corp., Gtd. Notes |
Ba2 | 5.625% | 06/15/22 | 1,040 | 1,076,400 | |||||||||||||||
| Case New Holland, Inc., Gtd. Notes(a) |
Ba2 | 7.875% | 12/01/17 | 1,100 | 1,300,750 | |||||||||||||||
| Deere & Co., Sr. Unsec’d. Notes |
A2 | 3.900% | 06/09/42 | 635 | 649,000 | |||||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 6.375% | 10/15/17 | 1,198 | 1,448,937 | |||||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 7.000% | 10/15/37 | 390 | 495,233 | |||||||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
Aa3 | 4.125% | 10/09/42 | 455 | 468,035 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Capital Goods (continued) |
||||||||||||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
Aa3 | 5.250% | 12/06/17 | $ | 320 | $ | 377,328 | |||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A |
Baa3 | 2.500% | 07/11/14 | 320 | 323,343 | |||||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., |
Baa3 | 3.125% | 05/11/15 | 420 | 428,543 | |||||||||||||||
| United Technologies Corp., Sr. Unsec’d. Notes |
A2 | 4.500% | 06/01/42 | 1,540 | 1,711,188 | |||||||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.875% | 10/01/21 | 1,060 | 1,203,446 | |||||||||||||||
| 9,482,203 | ||||||||||||||||||||
| Chemicals — 0.2% |
||||||||||||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa2 | 7.600% | 05/15/14 | 686 | 748,962 | |||||||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa2 | 9.400% | 05/15/39 | 35 | 57,625 | |||||||||||||||
| ICI Wilmington, Inc., Gtd. Notes |
Baa1 | 5.625% | 12/01/13 | 780 | 814,449 | |||||||||||||||
| LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes(a) |
Baa3 | 5.000% | 04/15/19 | 800 | 884,000 | |||||||||||||||
| Reliance Holdings USA, Inc., Gtd. Notes, 144A |
Baa2 | 5.400% | 02/14/22 | 900 | 1,006,629 | |||||||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
Baa2 | 7.500% | 06/01/25 | 500 | 622,655 | |||||||||||||||
| 4,134,320 | ||||||||||||||||||||
| Consumer — 0.1% |
||||||||||||||||||||
| Newell Rubbermaid, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.250% | 04/15/18 | 1,600 | 1,863,622 | |||||||||||||||
| Sealy Mattress Co., Sr. Sec’d. Notes, 144A |
Ba3 | 10.875% | 04/15/16 | 998 | 1,057,880 | |||||||||||||||
| 2,921,502 | ||||||||||||||||||||
| Electric — 0.7% |
||||||||||||||||||||
| Arizona Public Service Co., Sr. Unsec’d. Notes |
Baa1 | 6.250% | 08/01/16 | 170 | 199,544 | |||||||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
Baa1 | 6.350% | 10/01/36 | 530 | 703,618 | |||||||||||||||
| CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2 |
A3 | 5.700% | 03/15/13 | 1,070 | 1,081,433 | |||||||||||||||
| CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2 |
A3 | 6.950% | 03/15/33 | 300 | 425,797 | |||||||||||||||
| Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, |
A3 | 5.500% | 12/01/39 | 145 | 179,976 | |||||||||||||||
| Duke Energy Carolinas LLC, First Mtge. Bonds(f)(i) |
A1 | 6.050% | 04/15/38 | 530 | 694,300 | |||||||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes |
Baa2 | 6.000% | 05/15/35 | 845 | 1,053,673 | |||||||||||||||
| Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes |
Baa2 | 8.625% | 08/01/15 | 1,160 | 1,356,882 | |||||||||||||||
| ENEL Finance International NV (Netherlands), Gtd. Notes, 144A |
Baa2 | 6.000% | 10/07/39 | 1,260 | 1,220,117 | |||||||||||||||
| Exelon Corp., Sr. Unsec’d. Notes |
Baa2 | 4.900% | 06/15/15 | 195 | 212,263 | |||||||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
Baa1 | 6.250% | 10/01/39 | 1,375 | 1,598,934 | |||||||||||||||
| Florida Power & Light Co., First Mtge. Bonds |
Aa3 | 5.950% | 10/01/33 | 380 | 494,952 | |||||||||||||||
| Georgia Power Co., Sr. Unsec’d. Notes, Ser. B |
A3 | 5.700% | 06/01/17 | 470 | 563,826 | |||||||||||||||
| Iberdrola International BV (Netherlands), Gtd. Notes |
Baa1 | 6.750% | 09/15/33 | 140 | 150,188 | |||||||||||||||
| Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF |
Baa2 | 5.050% | 11/15/14 | 575 | 616,278 | |||||||||||||||
| MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes |
Baa1 | 5.950% | 05/15/37 | 325 | 401,279 | |||||||||||||||
| Nevada Power Co., Genl. Ref. Mtge., Ser. O |
Baa1 | 6.500% | 05/15/18 | 1,210 | 1,509,059 | |||||||||||||||
| Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A |
A3 | 4.881% | 08/15/19 | 545 | 636,476 | |||||||||||||||
| NSTAR, Sr. Unsec’d. Notes |
A3 | 4.500% | 11/15/19 | 605 | 687,190 | |||||||||||||||
| Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes |
Baa2 | 6.375% | 01/15/15 | 465 | 513,182 | |||||||||||||||
| Public Service Co. of New Mexico, Sr. Unsec’d. Notes |
Baa3 | 7.950% | 05/15/18 | 135 | 164,035 | |||||||||||||||
| Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN |
A1 | 5.800% | 05/01/37 | 515 | 667,438 | |||||||||||||||
| Southern California Edison Co., Ser. 04-F |
A1 | 4.650% | 04/01/15 | 610 | 664,832 | |||||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
Baa1 | 4.800% | 09/15/41 | 480 | 538,627 | |||||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.613% | 04/01/17 | 263 | 307,716 | |||||||||||||||
| 16,641,615 | ||||||||||||||||||||
| Energy – Integrated — 0.1% |
||||||||||||||||||||
| BP Capital Markets PLC (United Kingdom), Gtd. Notes |
A2 | 4.500% | 10/01/20 | 480 | 553,181 | |||||||||||||||
| BP Capital Markets PLC (United Kingdom), Gtd. Notes |
A2 | 5.250% | 11/07/13 | 960 | 998,983 | |||||||||||||||
| 1,552,164 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Energy – Other — 0.4% |
||||||||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.375% | 09/15/17 | $ | 1,070 | $ | 1,278,110 | |||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.450% | 09/15/36 | 305 | 382,094 | |||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.950% | 06/15/19 | 225 | 284,359 | |||||||||||||||
| Devon Energy Corp., Sr. Unsec’d. Notes(a) |
Baa1 | 4.750% | 05/15/42 | 900 | 962,832 | |||||||||||||||
| Nabors Industries, Inc., Gtd. Notes(a) |
Baa2 | 4.625% | 09/15/21 | 890 | 957,854 | |||||||||||||||
| Phillips 66, Gtd. Notes, 144A |
Baa1 | 2.950% | 05/01/17 | 415 | 439,832 | |||||||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
Baa3 | 6.875% | 05/01/18 | 1,450 | 1,764,050 | |||||||||||||||
| Transocean, Inc. (Cayman Islands), Gtd. Notes |
Baa3 | 2.500% | 10/15/17 | 755 | 762,943 | |||||||||||||||
| Weatherford International Ltd. (Bermuda), Gtd. Notes(a) |
Baa2 | 5.125% | 09/15/20 | 685 | 754,863 | |||||||||||||||
| Weatherford International Ltd. (Bermuda), Gtd. Notes |
Baa2 | 6.500% | 08/01/36 | 25 | 27,839 | |||||||||||||||
| Woodside Finance Ltd. (Australia), Gtd. Notes, 144A |
Baa1 | 5.000% | 11/15/13 | 1,660 | 1,714,948 | |||||||||||||||
| 9,329,724 | ||||||||||||||||||||
| Foods — 0.5% |
||||||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 2.500% | 07/15/22 | 1,030 | 1,036,448 | |||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 8.000% | 11/15/39 | 1,160 | 1,878,041 | |||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 8.200% | 01/15/39 | 230 | 377,723 | |||||||||||||||
| ARAMARK Corp., Gtd. Notes(a) |
B3 | 8.500% | 02/01/15 | 650 | 653,256 | |||||||||||||||
| Beam, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.375% | 06/15/14 | 708 | 763,166 | |||||||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
Baa2 | 5.350% | 04/15/14 | 1,000 | 1,052,266 | |||||||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
Baa2 | 8.500% | 06/15/19 | 860 | 1,106,558 | |||||||||||||||
| Cargill, Inc., Sr. Unsec’d. Notes, 144A |
A2 | 6.000% | 11/27/17 | 650 | 782,014 | |||||||||||||||
| Constellation Brands, Inc., Gtd. Notes |
Ba1 | 4.625% | 03/01/23 | 1,000 | 1,045,000 | |||||||||||||||
| Delhaize Group SA (Belgium), Gtd. Notes |
Baa3 | 6.500% | 06/15/17 | 460 | 522,160 | |||||||||||||||
| Kraft Foods Group, Inc., Gtd. Notes, 144A |
Baa2 | 5.000% | 06/04/42 | 575 | 646,587 | |||||||||||||||
| TreeHouse Foods, Inc., Gtd. Notes |
Ba2 | 7.750% | 03/01/18 | 1,200 | 1,302,000 | |||||||||||||||
| Tyson Foods, Inc., Gtd. Notes(b) |
Baa3 | 6.600% | 04/01/16 | 785 | 899,567 | |||||||||||||||
| 12,064,786 | ||||||||||||||||||||
| Healthcare & Pharmaceutical — 0.5% |
||||||||||||||||||||
| AbbVie, Inc., Gtd. Notes, 144A |
Baa1 | 4.400% | 11/06/42 | 605 | 643,196 | |||||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.150% | 11/15/41 | 1,365 | 1,536,124 | |||||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.375% | 05/15/43 | 995 | 1,173,133 | |||||||||||||||
| Aristotle Holding, Inc., Gtd. Notes, 144A |
Baa3 | 2.750% | 11/21/14 | 2,060 | 2,125,086 | |||||||||||||||
| AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes |
A1 | 6.450% | 09/15/37 | 480 | 650,084 | |||||||||||||||
| CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a) |
Ba3 | 5.125% | 08/15/18 | 900 | 938,250 | |||||||||||||||
| Genentech, Inc., Sr. Unsec’d. Notes |
AA(c) | 4.750% | 07/15/15 | 270 | 297,761 | |||||||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.650% | 12/01/41 | 470 | 583,878 | |||||||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(a) |
Baa2 | 3.750% | 08/23/22 | 150 | 159,070 | |||||||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
Baa2 | 5.625% | 12/15/15 | 560 | 631,590 | |||||||||||||||
| Merck & Co., Inc., Sr. Unsec’d. Notes |
Aa3 | 5.950% | 12/01/28 | 205 | 267,225 | |||||||||||||||
| Mylan, Inc., Gtd. Notes, 144A(a) |
Baa3 | 7.625% | 07/15/17 | 900 | 1,011,482 | |||||||||||||||
| Valeant Pharmaceuticals International, Gtd. Notes, 144A(a) |
B1 | 6.500% | 07/15/16 | 850 | 893,563 | |||||||||||||||
| Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes |
Baa3 | 4.625% | 10/01/42 | 460 | 478,921 | |||||||||||||||
| Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes(a) |
Baa3 | 6.125% | 08/15/19 | 440 | 535,621 | |||||||||||||||
| 11,924,984 | ||||||||||||||||||||
| Healthcare Insurance — 0.3% |
||||||||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.625% | 06/15/36 | 480 | 646,076 | |||||||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 5.875% | 03/15/41 | 540 | 655,547 | |||||||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 11/15/36 | 640 | 780,228 | |||||||||||||||
| Coventry Health Care, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.125% | 01/15/15 | 1,200 | 1,310,958 | |||||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/17 | 115 | 137,931 | |||||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 06/15/37 | 400 | 526,910 | |||||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.625% | 11/15/37 | 410 | 542,239 | |||||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.625% | 05/15/42 | 330 | 340,829 | |||||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.650% | 01/15/43 | 775 | 807,640 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Healthcare Insurance (continued) |
||||||||||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
Baa2 | 5.000% | 12/15/14 | $ | 1,085 | $ | 1,171,869 | |||||||||||||
| 6,920,227 | ||||||||||||||||||||
| Insurance — 0.9% |
||||||||||||||||||||
| Allied World Assurance Co. Ltd. (Switzerland), Gtd. Notes |
Baa1 | 5.500% | 11/15/20 | 480 | 532,054 | |||||||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes(a) |
A3 | 5.200% | 01/15/42 | 115 | 136,487 | |||||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 4.250% | 05/15/13 | 655 | 662,956 | |||||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.400% | 12/15/20 | 910 | 1,129,126 | |||||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 8.250% | 08/15/18 | 900 | 1,182,497 | |||||||||||||||
| Axis Specialty Finance LLC, Gtd. Notes(a) |
Baa1 | 5.875% | 06/01/20 | 990 | 1,123,891 | |||||||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(a)(b) |
A3 | 6.375% | 03/29/67 | 1,260 | 1,373,400 | |||||||||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(a) |
Baa3 | 5.125% | 04/15/22 | 635 | 732,695 | |||||||||||||||
| Liberty Mutual Group, Inc., Bonds, 144A |
Baa2 | 7.000% | 03/15/34 | 910 | 1,057,610 | |||||||||||||||
| Liberty Mutual Group, Inc., Gtd. Notes, 144A |
Baa2 | 6.500% | 05/01/42 | 215 | 241,883 | |||||||||||||||
| Lincoln National Corp., Jr. Sub. Notes(b) |
Ba1 | 6.050% | 04/20/67 | 250 | 249,062 | |||||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 6.300% | 10/09/37 | 476 | 569,097 | |||||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 7.000% | 06/15/40 | 660 | 859,020 | |||||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 8.750% | 07/01/19 | 505 | 675,334 | |||||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 5.700% | 06/15/35 | 960 | 1,172,112 | |||||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 6.375% | 06/15/34 | 85 | 110,910 | |||||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 6.750% | 06/01/16 | 270 | 319,773 | |||||||||||||||
| New York Life Insurance Co., Sub. Notes, 144A |
Aa2 | 6.750% | 11/15/39 | 650 | 899,090 | |||||||||||||||
| Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(b) |
A2 | 5.000% | 10/18/42 | 610 | 644,333 | |||||||||||||||
| Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A |
Aa2 | 6.063% | 03/30/40 | 350 | 446,843 | |||||||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
Baa1 | 6.375% | 04/30/20 | 640 | 728,849 | |||||||||||||||
| Pacific Life Insurance Co., Sub. Notes, 144A |
A3 | 9.250% | 06/15/39 | 870 | 1,216,609 | |||||||||||||||
| Principal Financial Group, Inc., Gtd. Notes |
A3 | 4.625% | 09/15/42 | 105 | 106,716 | |||||||||||||||
| Progressive Corp. (The), Jr. Sub. Notes(a)(b) |
A2 | 6.700% | 06/15/37 | 715 | 772,200 | |||||||||||||||
| Teachers Insurance & Annuity Association of America, |
Aa2 | 6.850% | 12/16/39 | 1,430 | 1,939,473 | |||||||||||||||
| Unum Group, Sr. Unsec’d. Notes |
Baa2 | 5.625% | 09/15/20 | 315 | 359,913 | |||||||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
Baa2 | 5.600% | 05/15/15 | 705 | 765,053 | |||||||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 08/15/19 | 575 | 655,318 | |||||||||||||||
| XL Group PLC (Ireland), Sr. Unsec’d. Notes |
Baa2 | 5.250% | 09/15/14 | 110 | 117,132 | |||||||||||||||
| 20,779,436 | ||||||||||||||||||||
| Lodging — 0.3% |
||||||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
B2 | 10.000% | 10/01/14 | 800 | 924,000 | |||||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
Baa2 | 3.000% | 03/01/19 | 490 | 504,310 | |||||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
Baa2 | 3.250% | 09/15/22 | 805 | 805,238 | |||||||||||||||
| Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.750% | 05/15/18 | 2,700 | 3,282,539 | |||||||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
Baa3 | 4.250% | 03/01/22 | 890 | 918,940 | |||||||||||||||
| 6,435,027 | ||||||||||||||||||||
| Media & Entertainment — 0.4% |
||||||||||||||||||||
| Belo Corp., Gtd. Notes |
Ba1 | 8.000% | 11/15/16 | 1,000 | 1,088,750 | |||||||||||||||
| CBS Corp., Gtd. Notes(e) |
Baa2 | 4.850% | 07/01/42 | 340 | 353,869 | |||||||||||||||
| Globo Comunicacao e Participacoes SA (Brazil), |
Baa2 | 5.307% | 05/11/22 | 500 | 545,000 | |||||||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.150% | 03/01/37 | 250 | 306,816 | |||||||||||||||
| News America, Inc., Gtd. Notes(a) |
Baa1 | 6.150% | 02/15/41 | 475 | 601,627 | |||||||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.900% | 08/15/39 | 35 | 45,824 | |||||||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 7.625% | 11/30/28 | 1,265 | 1,630,553 | |||||||||||||||
| Sinclair Television Group, Inc., Sec’d. Notes, 144A |
Ba3 | 9.250% | 11/01/17 | 1,100 | 1,210,000 | |||||||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 6.200% | 03/15/40 | 175 | 214,307 | |||||||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 6.250% | 03/29/41 | 495 | 611,180 | |||||||||||||||
| Time Warner, Inc., Gtd. Notes(a) |
Baa2 | 7.250% | 10/15/17 | 745 | 935,479 | |||||||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 7.625% | 04/15/31 | 155 | 213,386 | |||||||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 9.150% | 02/01/23 | 625 | 922,952 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Media & Entertainment (continued) |
||||||||||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes, 144A |
Baa1 | 4.375% | 03/15/43 | $ | 593 | $ | 583,338 | |||||||||||||
| 9,263,081 | ||||||||||||||||||||
| Metals — 0.3% |
||||||||||||||||||||
| Newmont Mining Corp., Gtd. Notes |
Baa1 | 6.250% | 10/01/39 | 125 | 150,543 | |||||||||||||||
| Peabody Energy Corp., Gtd. Notes |
Ba1 | 6.000% | 11/15/18 | 1,275 | 1,354,688 | |||||||||||||||
| Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes |
A-(c) | 4.500% | 05/15/13 | 255 | 258,320 | |||||||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
Baa2 | 7.500% | 07/27/35 | 370 | 475,001 | |||||||||||||||
| Teck Resources Ltd. (Canada), Gtd. Notes |
Baa2 | 5.200% | 03/01/42 | 585 | 597,916 | |||||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
Baa2 | 1.800% | 10/23/15 | 905 | 909,914 | |||||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
Baa2 | 2.450% | 10/25/17 | 1,000 | 1,009,694 | |||||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
Baa2 | 2.850% | 11/10/14 | 995 | 1,021,268 | |||||||||||||||
| 5,777,344 | ||||||||||||||||||||
| Non-Captive Finance — 0.5% |
||||||||||||||||||||
| Discover Financial Services, Sr. Unsec’d. Notes, 144A |
Ba1 | 3.850% | 11/21/22 | 900 | 928,687 | |||||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
A1 | 5.875% | 01/14/38 | 970 | 1,170,064 | |||||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(f)(i) |
A1 | 6.000% | 08/07/19 | 3,010 | 3,661,855 | |||||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN |
A1 | 6.875% | 01/10/39 | 730 | 992,288 | |||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
Ba3 | 5.750% | 05/15/16 | 230 | 242,440 | |||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes, MTN |
Ba3 | 6.375% | 03/25/13 | 1,750 | 1,768,375 | |||||||||||||||
| SLM Corp., Sr. Notes, MTN |
Ba1 | 6.250% | 01/25/16 | 365 | 396,938 | |||||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.000% | 03/25/20 | 1,000 | 1,142,500 | |||||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.450% | 06/15/18 | 1,025 | 1,199,250 | |||||||||||||||
| 11,502,397 | ||||||||||||||||||||
| Paper — 0.2% |
||||||||||||||||||||
| Georgia-Pacific LLC, Gtd. Notes, 144A |
Baa2 | 5.400% | 11/01/20 | 275 | 327,149 | |||||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 6.000% | 11/15/41 | 1,270 | 1,503,846 | |||||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 7.950% | 06/15/18 | 615 | 795,088 | |||||||||||||||
| Rock-Tenn Co., Gtd. Notes, 144A |
Ba1 | 4.000% | 03/01/23 | 360 | 365,721 | |||||||||||||||
| Rock-Tenn Co., Unsec’d. Notes, 144A(a) |
Ba1 | 4.900% | 03/01/22 | 675 | 729,463 | |||||||||||||||
| 3,721,267 | ||||||||||||||||||||
| Pipelines & Other — 0.3% |
||||||||||||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes |
Baa3 | 4.650% | 06/01/21 | 610 | 670,226 | |||||||||||||||
| NiSource Finance Corp., Gtd. Notes |
Baa3 | 5.450% | 09/15/20 | 500 | 587,549 | |||||||||||||||
| ONEOK Partners LP, Gtd. Notes |
Baa2 | 6.650% | 10/01/36 | 130 | 161,199 | |||||||||||||||
| Sempra Energy, Sr. Unsec’d. Notes |
Baa1 | 6.000% | 02/01/13 | 80 | 80,361 | |||||||||||||||
| Spectra Energy Capital LLC, Gtd. Notes |
Baa2 | 6.200% | 04/15/18 | 3,310 | 4,030,319 | |||||||||||||||
| Spectra Energy Capital LLC, Gtd. Notes |
Baa2 | 6.250% | 02/15/13 | 205 | 206,303 | |||||||||||||||
| 5,735,957 | ||||||||||||||||||||
| Railroads — 0.1% |
||||||||||||||||||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes |
A3 | 6.700% | 08/01/28 | 735 | 904,913 | |||||||||||||||
| CSX Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 05/01/37 | 690 | 872,330 | |||||||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes, 144A |
Baa1 | 2.903% | 02/15/23 | 590 | 593,891 | |||||||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
Baa1 | 5.590% | 05/17/25 | 120 | 147,367 | |||||||||||||||
| 2,518,501 | ||||||||||||||||||||
| Real Estate Investment Trusts — 0.2% |
||||||||||||||||||||
| HCP, Inc., Sr. Unsec’d. Notes |
Baa1 | 2.700% | 02/01/14 | 670 | 682,024 | |||||||||||||||
| Mack-Cali Realty LP, Sr. Unsec’d. Notes |
Baa2 | 7.750% | 08/15/19 | 685 | 848,914 | |||||||||||||||
| ProLogis LP, Gtd. Notes |
Baa2 | 6.875% | 03/15/20 | 68 | 82,317 | |||||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 2.800% | 01/30/17 | 235 | 247,969 | |||||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes(a) |
A3 | 3.375% | 03/15/22 | 190 | 200,662 | |||||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes(a) |
A3 | 6.125% | 05/30/18 | 2,925 | 3,562,978 | |||||||||||||||
| 5,624,864 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Retailers — 0.3% |
||||||||||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes(a) |
Baa2 | 5.750% | 05/15/41 | $ | 960 | $ | 1,195,257 | |||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 09/15/39 | 335 | 428,719 | |||||||||||||||
| Lowe’s Cos., Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 03/15/29 | 345 | 440,665 | |||||||||||||||
| Ltd. Brands, Inc., Gtd. Notes |
Ba1 | 5.625% | 02/15/22 | 800 | 870,000 | |||||||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes(a) |
Baa3 | 3.875% | 01/15/22 | 300 | 319,761 | |||||||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes |
Baa3 | 5.875% | 01/15/13 | 2,000 | 2,003,530 | |||||||||||||||
| Nordstrom, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 4.000% | 10/15/21 | 220 | 245,288 | |||||||||||||||
| Target Corp., Sr. Unsec’d. Notes(a) |
A2 | 4.000% | 07/01/42 | 960 | 986,284 | |||||||||||||||
| Wal-Mart Stores, Inc., Sr. Unsec’d. Notes |
Aa2 | 5.625% | 04/15/41 | 650 | 851,225 | |||||||||||||||
| 7,340,729 | ||||||||||||||||||||
| Technology — 0.3% |
||||||||||||||||||||
| Arrow Electronics, Inc., Sr. Unsec’d. Notes |
Baa3 | 3.375% | 11/01/15 | 370 | 383,902 | |||||||||||||||
| Fiserv, Inc., Gtd. Notes |
Baa2 | 3.125% | 06/15/16 | 2,030 | 2,132,458 | |||||||||||||||
| Seagate Technology International (Cayman Islands), |
Baa3 | 10.000% | 05/01/14 | 1,225 | 1,318,406 | |||||||||||||||
| STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A |
Ba1 | 7.500% | 08/12/15 | 900 | 958,500 | |||||||||||||||
| Xerox Corp., Sr. Unsec’d. Notes |
Baa2 | 4.250% | 02/15/15 | 2,650 | 2,786,976 | |||||||||||||||
| 7,580,242 | ||||||||||||||||||||
| Telecommunications — 0.6% |
||||||||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
A2 | 6.125% | 03/30/40 | 560 | 736,761 | |||||||||||||||
| AT&T Corp., Gtd. Notes |
A2 | 8.000% | 11/15/31 | 18 | 27,240 | |||||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 5.350% | 09/01/40 | 1,378 | 1,604,747 | |||||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 6.550% | 02/15/39 | 1,115 | 1,465,236 | |||||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes, 144A |
A2 | 4.300% | 12/15/42 | 830 | 833,613 | |||||||||||||||
| British Telecommunications PLC (United Kingdom), |
Baa2 | 9.625% | 12/15/30 | 350 | 556,037 | |||||||||||||||
| Cellco Partnership/Verizon Wireless Capital LLC, |
A2 | 8.500% | 11/15/18 | 1,830 | 2,517,531 | |||||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
Baa3 | 7.082% | 06/01/16 | 325 | 380,764 | |||||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
Baa3 | 7.995% | 06/01/36 | 1,645 | 1,816,937 | |||||||||||||||
| Qwest Corp., Sr. Unsec’d. Notes |
Baa3 | 7.500% | 10/01/14 | 880 | 963,151 | |||||||||||||||
| Telecom Italia Capital SA (Luxembourg), Gtd. Notes |
Baa2 | 5.250% | 11/15/13 | 170 | 174,675 | |||||||||||||||
| Telecom Italia Capital SA (Luxembourg), Gtd. Notes |
Baa2 | 7.200% | 07/18/36 | 475 | 495,900 | |||||||||||||||
| Telefonica Chile SA (Chile), Sr. Unsec’d. Notes, 144A(a) |
BBB(c) | 3.875% | 10/12/22 | 345 | 344,400 | |||||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
A3 | 6.400% | 02/15/38 | 55 | 74,463 | |||||||||||||||
| Windstream Corp., Gtd. Notes |
Ba3 | 8.125% | 08/01/13 | 700 | 726,250 | |||||||||||||||
| 12,717,705 | ||||||||||||||||||||
| Tobacco — 0.3% |
||||||||||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.700% | 11/10/18 | 3,040 | 4,255,781 | |||||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.950% | 11/10/38 | 130 | 214,167 | |||||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 10.200% | 02/06/39 | 850 | 1,421,903 | |||||||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
Baa2 | 8.125% | 06/23/19 | 290 | 370,048 | |||||||||||||||
| Reynolds American, Inc., Gtd. Notes |
Baa2 | 7.250% | 06/15/37 | 285 | 373,730 | |||||||||||||||
| 6,635,629 | ||||||||||||||||||||
| TOTAL CORPORATE BONDS |
|
261,649,980 | ||||||||||||||||||
| MORTGAGE-BACKED SECURITIES — 11.5% | ||||||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
2.615% | 12/01/35 | 729 | 770,811 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
2.634% | 06/01/36 | 429 | 455,264 | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
3.000% | TBA 15 YR | 1,500 | 1,575,000 | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | TBA 30 YR | 2,000 | 2,126,719 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | $ | 8,055 | $ | 8,599,960 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 02/01/19-10/01/41 | 19,848 | 21,441,074 | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/18-05/01/39 | 8,850 | 9,556,745 | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 12/01/33-07/01/38 | 8,997 | 9,742,219 | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 03/01/32-08/01/39 | 2,839 | 3,117,988 | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 12/01/14-09/01/16 | 49 | 50,260 | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 05/01/31-10/01/31 | 474 | 559,258 | ||||||||||||||||
| Federal National Mortgage Association(b) |
2.290% | 07/01/33 | 554 | 585,315 | ||||||||||||||||
| Federal National Mortgage Association(b) |
2.308% | 06/01/37 | 75 | 78,813 | ||||||||||||||||
| Federal National Mortgage Association(b) |
2.460% | 07/01/37 | 708 | 743,969 | ||||||||||||||||
| Federal National Mortgage Association |
2.500% | TBA 15 YR | 9,000 | 9,410,625 | ||||||||||||||||
| Federal National Mortgage Association |
3.000% | TBA 15 YR | 4,000 | 4,221,875 | ||||||||||||||||
| Federal National Mortgage Association |
3.500% | 06/01/39-09/01/42 | 7,014 | 7,505,757 | ||||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 15 YR | 2,000 | 2,121,562 | ||||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 7,500 | 7,981,933 | ||||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 27,000 | 28,785,586 | ||||||||||||||||
| Federal National Mortgage Association |
4.000% | TBA 30 YR | 2,500 | 2,679,687 | ||||||||||||||||
| Federal National Mortgage Association |
4.500% | 11/01/18-03/01/41 | 14,608 | 16,098,923 | ||||||||||||||||
| Federal National Mortgage Association |
5.000% | 10/01/18-05/01/36 | 6,190 | 6,735,018 | ||||||||||||||||
| Federal National Mortgage Association |
5.000% | TBA 30 YR | 7,000 | 7,581,875 | ||||||||||||||||
| Federal National Mortgage Association |
5.500% | 03/01/16-04/01/37 | 11,281 | 12,396,772 | ||||||||||||||||
| Federal National Mortgage Association |
6.000% | 04/01/13-06/01/38 | 11,456 | 12,767,417 | ||||||||||||||||
| Federal National Mortgage Association |
6.500% | 07/01/17-01/01/37 | 4,611 | 5,193,529 | ||||||||||||||||
| Federal National Mortgage Association |
7.000% | 02/01/32-07/01/32 | 402 | 471,243 | ||||||||||||||||
| Federal National Mortgage Association |
7.500% | 05/01/32 | 96 | 117,447 | ||||||||||||||||
| Government National Mortgage Association |
3.000% | TBA 30 YR | 2,500 | 2,657,813 | ||||||||||||||||
| Government National Mortgage Association |
3.000% | TBA 30 YR | 4,000 | 4,251,875 | ||||||||||||||||
| Government National Mortgage Association |
3.500% | TBA 30 YR | 500 | 542,383 | ||||||||||||||||
| Government National Mortgage Association |
3.500% | TBA 30 YR | 5,500 | 5,975,664 | ||||||||||||||||
| Government National Mortgage Association |
4.000% | 06/15/40-05/20/41 | 2,156 | 2,378,151 | ||||||||||||||||
| Government National Mortgage Association |
4.000% | TBA 30 YR | 6,000 | 6,580,313 | ||||||||||||||||
| Government National Mortgage Association |
4.000% | TBA 30 YR | 19,500 | 21,233,673 | ||||||||||||||||
| Government National Mortgage Association |
4.500% | 01/20/41-02/20/41 | 6,569 | 7,246,565 | ||||||||||||||||
| Government National Mortgage Association |
4.500% | TBA 30 YR | 11,750 | 12,864,415 | ||||||||||||||||
| Government National Mortgage Association |
5.000% | TBA 30 YR | 6,500 | 7,108,359 | ||||||||||||||||
| Government National Mortgage Association |
5.500% | 08/15/33-04/15/36 | 4,259 | 4,761,775 | ||||||||||||||||
| Government National Mortgage Association |
6.000% | 11/15/23-07/15/34 | 1,443 | 1,635,240 | ||||||||||||||||
| Government National Mortgage Association |
6.500% | 10/15/23-09/15/36 | 2,680 | 3,095,764 | ||||||||||||||||
| Government National Mortgage Association |
8.000% | 01/15/24-07/15/24 | 45 | 53,193 | ||||||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
|
263,857,827 | ||||||||||||||||||
| MUNICIPAL BONDS — 0.6% | Moody’s Ratings§† (Unaudited) |
|||||||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
Aa3 | 6.263% | 04/01/49 | 1,305 | 1,787,667 | |||||||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
A2 | 6.395% | 01/01/40 | 970 | 1,255,636 | |||||||||||||||
| Colorado State Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs |
Aa2 | 5.844% | 11/01/50 | 625 | 848,694 | |||||||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
Aa2 | 6.731% | 07/01/43 | 945 | 1,136,882 | |||||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, |
A3 | 7.414% | 01/01/40 | 1,000 | 1,465,170 | |||||||||||||||
| New York City Transitional Finance Authority, Revenue Bonds, BABs |
Aa1 | 5.767% | 08/01/36 | 1,100 | 1,378,773 | |||||||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
Aa1 | 4.910% | 06/01/40 | 415 | 483,156 | |||||||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
Aaa | 4.879% | 12/01/34 | 275 | 317,070 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| MUNICIPAL BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs |
Aa2 | 5.834% | 11/15/34 | $ | 425 | $ | 551,110 | |||||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, |
Aa3 | 5.511% | 12/01/45 | 505 | 599,076 | |||||||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.300% | 10/01/39 | 1,250 | 1,732,162 | |||||||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.500% | 04/01/34 | 350 | 485,485 | |||||||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.550% | 04/01/39 | 245 | 351,570 | |||||||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.625% | 03/01/40 | 205 | 294,398 | |||||||||||||||
| State of Illinois, General Obligation Bonds, Taxable Series |
A2 | 4.421% | 01/01/15 | 630 | 667,920 | |||||||||||||||
| Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs |
Aaa | 5.028% | 04/01/26 | 305 | 369,224 | |||||||||||||||
| TOTAL MUNICIPAL BONDS |
|
13,723,993 | ||||||||||||||||||
| NON-CORPORATE FOREIGN AGENCIES — 0.9% | ||||||||||||||||||||
| Commonwealth Bank of Australia (Australia), Gov’t Gtd. Notes, 144A |
Aaa | 2.700% | 11/25/14 | 7,220 | 7,521,363 | |||||||||||||||
| Export-Import Bank of Korea (South Korea), |
Aa3 | 4.000% | 01/29/21 | 460 | 494,598 | |||||||||||||||
| Export-Import Bank of Korea (South Korea), |
Aa3 | 5.125% | 06/29/20 | 365 | 419,421 | |||||||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
A1 | 6.250% | 06/17/14 | 800 | 856,294 | |||||||||||||||
| Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes |
Aaa | 2.375% | 08/25/21 | 730 | 760,514 | |||||||||||||||
| Mexico Government International Bond (Mexico), |
Baa1 | 4.750% | 03/08/44 | 846 | 955,980 | |||||||||||||||
| Pemex Project Funding Master Trust, Gtd. Notes |
Baa1 | 8.625% | 12/01/23 | 350 | 437,500 | |||||||||||||||
| Petrobras International Finance Co. (Cayman Islands), |
A3 | 5.375% | 01/27/21 | 1,260 | 1,418,533 | |||||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
Baa1 | 5.500% | 01/21/21 | 2,240 | 2,617,440 | |||||||||||||||
| Qatar Government International Bond (Qatar), |
Aa2 | 5.250% | 01/20/20 | 285 | 340,575 | |||||||||||||||
| RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A |
Baa1 | 6.299% | 05/15/17 | 2,100 | 2,325,750 | |||||||||||||||
| Russian Foreign Bond-Eurobond (Russia), Sr. Unsec’d. Notes, 144A |
Baa1 | 3.250% | 04/04/17 | 2,200 | 2,337,500 | |||||||||||||||
| TOTAL NON-CORPORATE FOREIGN AGENCIES |
|
20,485,468 | ||||||||||||||||||
| NON-CORPORATE SOVEREIGNS — 0.1% | ||||||||||||||||||||
| Italy Government International Bond (Italy)(a) |
NR | 3.125% | 01/26/15 | 300 | 304,674 | |||||||||||||||
| Poland Government International Bond (Poland), |
A2 | 3.000% | 03/17/23 | 1,695 | 1,690,763 | |||||||||||||||
| Spain Government International Bond (Spain), |
Baa3 | 3.625% | 06/17/13 | 1,100 | 1,099,967 | |||||||||||||||
| TOTAL NON-CORPORATE SOVEREIGNS |
|
3,095,404 | ||||||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2% | ||||||||||||||||||||
| Federal Home Loan Banks |
5.500% | 07/15/36 | 950 | 1,307,132 | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
0.750% | 01/12/18 | 455 | 451,918 | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
1.250% | 10/02/19 | 215 | 214,371 | ||||||||||||||||
| Resolution Funding Corp. Interest Strip, Bonds(j) |
1.170% | 04/15/18 | 2,645 | 2,488,873 | ||||||||||||||||
| Tennessee Valley Authority |
5.880% | 04/01/36 | 85 | 118,101 | ||||||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
4,580,395 | ||||||||||||||||||
| U.S. GOVERNMENT TREASURY OBLIGATIONS — 7.0% | ||||||||||||||||||||
| U.S. Treasury Bonds |
2.750% | 08/15/42 | 1,700 | 1,641,562 | ||||||||||||||||
| U.S. Treasury Bonds(a) |
2.750% | 11/15/42 | 5,350 | 5,154,393 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| U.S. GOVERNMENT TREASURY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| U.S. Treasury Inflation Indexed Notes |
1.375% | 01/15/20 | $ | 9,226 | $ | 10,936,712 | ||||||||||||
| U.S. Treasury Notes |
0.250% | 11/30/14 | 14,855 | 14,855,579 | ||||||||||||||
| U.S. Treasury Notes |
0.625% | 11/30/17 | 1,155 | 1,151,120 | ||||||||||||||
| U.S. Treasury Notes |
0.750% | 12/31/17 | 30,195 | 30,244,550 | ||||||||||||||
| U.S. Treasury Notes |
1.125% | 12/31/19 | 5 | 4,986 | ||||||||||||||
| U.S. Treasury Notes(a) |
1.625% | 11/15/22 | 1,980 | 1,958,343 | ||||||||||||||
| U.S. Treasury Notes |
2.375% | 02/28/15 | 1,140 | 1,191,300 | ||||||||||||||
| U.S. Treasury Notes |
3.125% | 04/30/17 | 5,890 | 6,526,856 | ||||||||||||||
| U.S. Treasury Notes |
3.500% | 02/15/18 | 15,000 | 17,080,080 | ||||||||||||||
| U.S. Treasury Notes |
4.250% | 11/15/17 | 6,475 | 7,581,824 | ||||||||||||||
| U.S. Treasury Notes |
4.500% | 11/15/15 | 12,950 | 14,479,719 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
2.140% | 05/15/24 | 16,380 | 12,857,563 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
2.180% | 08/15/24 | 11,695 | 9,086,278 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
2.610% | 05/15/25 | 6,000 | 4,518,084 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
3.020% | 05/15/27 | 2,280 | 1,582,502 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
3.070% | 08/15/27 | 7,495 | 5,147,596 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
3.120% | 11/15/27 | 8,600 | 5,846,762 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
3.350% | 05/15/29 | 3,685 | 2,367,001 | ||||||||||||||
| U.S. Treasury Strips Coupon(a)(j) |
3.910% | 08/15/33 | 8,260 | 4,541,249 | ||||||||||||||
| U.S. Treasury Strips Principal(k) |
0.300% | 11/15/15 | 1,190 | 1,179,696 | ||||||||||||||
| TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS |
|
159,933,755 | ||||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
2,120,034,158 | ||||||||||||||||
| SHORT-TERM INVESTMENTS — 17.5% | ||||||||||||||||||
| U.S. GOVERNMENT TREASURY OBLIGATION — 0.1% |
||||||||||||||||||
| U.S. Treasury Bill |
0.050% | 03/21/13 | 2,010 | 2,009,847 | ||||||||||||||
| Shares |
||||||||||||||||||
| AFFILIATED MUTUAL FUNDS — 17.4% | ||||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
13,078,122 | 120,711,062 | ||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
277,677,533 | 277,677,533 | ||||||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
398,388,595 | ||||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
400,398,442 | ||||||||||||||||
| TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 110.20% |
|
2,520,432,600 | ||||||||||||||||
| Principal Amount (000)# |
||||||||||||||||||
| SECURITY SOLD SHORT — (0.2)% | ||||||||||||||||||
| MORTGAGE-BACKED SECURITY |
||||||||||||||||||
| Federal National Mortgage Association |
4.500% | TBA 30 YR | $ | 4,000 | (4,320,781 | ) | ||||||||||||
| TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 110.0% |
|
2,516,111,819 | ||||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (10.0)% |
|
(229,083,355 | ) | |||||||||||||||
| NET ASSETS — 100.0% |
|
$ | 2,287,028,464 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The following abbreviations are used in 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 | |
| ADR | American Depositary Receipt | |
| BABs | Build America Bonds | |
| CDO | Collateralized Debt Obligation | |
| CLO | Collateralized Loan Obligation | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| I/O | Interest Only | |
| LIBOR | London Interbank Offered Rate | |
| MTN | Medium Term Note | |
| NR | Not Rated by Moody’s or Standard & Poor’s | |
| REIT | Real Estate Investment Trust | |
| TBA | To Be Announced |
| § | The Portfolio’s current Statement of Additional Information contains a description of Moody’s and Standard & Poor’s ratings. |
| † | The ratings reflected are as of December 31, 2012. Ratings of certain bonds may have changed subsequent to that date. |
| # | Principal 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 $108,695,059; cash collateral of $110,365,428 (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, 2012. |
| (c) | Standard & Poor’s Rating. |
| (d) | Represents a step bond. Rate shown reflects the rate in effect at December 31, 2012. |
| (e) | Indicates a security that has been deemed illiquid. |
| (f) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (g) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. Such securities may be post maturity. |
| (h) | Indicates a restricted security; the aggregate original cost of such securities is $5,277,518. The aggregate value of $6,002,920 is approximately 0.3% of net assets. |
| (i) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (j) | Rate shown reflects the effective yield at December 31, 2012. |
| (k) | Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2012. |
| (l) | Rate quoted represents yield-to-maturity as of purchase date. |
| (m) | 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. |
| (n) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (o) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 186 | 2 Year U.S. Treasury Notes | Mar. 2013 | $ | 40,996,619 | $ | 41,007,188 | $ | 10,569 | ||||||||||
| 293 | 5 Year U.S. Treasury Notes | Mar. 2013 | 36,395,493 | 36,453,320 | 57,827 | |||||||||||||
| 317 | 10 Year U.S. Treasury Notes | Mar. 2013 | 42,149,921 | 42,091,656 | (58,265 | ) | ||||||||||||
| 54 | S&P 500 E-mini | Mar. 2013 | 3,891,764 | 3,834,270 | (57,494 | ) | ||||||||||||
| 98 | S&P 500 Index | Mar. 2013 | 35,085,003 | 34,792,450 | (292,553 | ) | ||||||||||||
| 28 | U.S. Ultra Bond | Mar. 2013 | 4,571,691 | 4,552,625 | (19,066 | ) | ||||||||||||
| (358,982 | ) | |||||||||||||||||
| Short Position: | ||||||||||||||||||
| 141 | U.S. Long Bond | Mar. 2013 | 21,121,483 | 20,797,500 | 323,983 | |||||||||||||
| $ | (34,999 | ) | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
Interest rate swap agreements outstanding at December 31, 2012:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-Counter Swap Agreements: | |||||||||||||||||||||||||
| $ | 20,110 | 08/31/16 | 0.934% | 3 month LIBOR(1) |
$ | 316,966 | $ | — | $ | 316,966 | Credit Suisse International | |||||||||||||||
| 6,255 | 08/31/16 | 0.975% | 3 month LIBOR(2) |
(108,745 | ) | — | (108,745 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 6,255 | 08/31/16 | 0.978% | 3 month LIBOR(2) |
(109,616 | ) | — | (109,616 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 1,900 | 09/14/16 | 1.206% | 3 month LIBOR(2) |
(49,778 | ) | — | (49,778 | ) | Deutsche Bank AG | |||||||||||||||||
| 30,590 | 11/30/16 | 0.945% | 3 month LIBOR(2) |
(398,892 | ) | — | (398,892 | ) | Citibank, NA | |||||||||||||||||
| 19,045 | 11/30/16 | 0.913% | 3 month LIBOR(2) |
(223,831 | ) | — | (223,831 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 11,150 | 02/28/17 | 0.680% | 3 month LIBOR(1) |
5,454 | — | 5,454 | Citibank, NA | |||||||||||||||||||
| 215 | 10/02/19 | 1.189% | 3 month LIBOR(2) |
144 | — | 144 | Bank of Nova Scotia | |||||||||||||||||||
| 1,940 | 01/13/22 | 1.660% | 3 month LIBOR(2) |
(10,067 | ) | — | (10,067 | ) | Citibank, NA | |||||||||||||||||
| 1,940 | 01/13/22 | 1.676% | 3 month LIBOR(1) |
9,235 | — | 9,235 | Citibank, NA | |||||||||||||||||||
| 7,095 | 08/15/28 | 2.370% | 3 month LIBOR(2) |
14,109 | — | 14,109 | Citibank, NA | |||||||||||||||||||
| $ | (555,021 | ) | $ | — | $ | (555,021 | ) | |||||||||||||||||||
| (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. |
Credit default swap agreements outstanding at December 31, 2012:
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(2) |
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. |
6/20/14 | 0.650% | $ | 1,110 | $ | 1,874 | $ | — | $ | 1,874 | JPMorgan Chase Bank | |||||||||||||||
| Newell Rubbermaid, Inc. |
6/20/18 | 1.000% | 1,600 | (9,426 | ) | — | (9,426 | ) | Morgan Stanley Capital Services, Inc. | |||||||||||||||||
| Simon Property Group LP |
6/20/18 | 0.970% | 2,700 | 763 | — | 763 | Morgan Stanley Capital Services, Inc. | |||||||||||||||||||
| Spectra Energy Capital LLC |
6/20/18 | 1.150% | 2,800 | 3,686 | — | 3,686 | Deutsche Bank AG | |||||||||||||||||||
| $ | (3,103 | ) | $ | — | $ | (3,103 | ) | |||||||||||||||||||
| (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) | 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. |
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.
A25
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The following is a summary of the inputs used as of December 31, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 1,145,108,386 | $ | 54,450,388 | $ | — | ||||||
| Exchange Traded Fund |
1,974,495 | — | — | |||||||||
| Preferred Stocks |
558,000 | 470,000 | — | |||||||||
| Right |
690 | — | — | |||||||||
| Asset-Backed Securities |
||||||||||||
| Non-Residential Mortgage-Backed Securities |
— | 47,107,411 | — | |||||||||
| Residential Mortgage-Backed Securities |
— | 10,311,626 | — | |||||||||
| Bank Loans |
— | 10,837,157 | — | |||||||||
| Collateralized Mortgage Obligations |
— | 6,541,602 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 115,347,581 | — | |||||||||
| Corporate Bonds |
— | 257,248,956 | 4,401,024 | |||||||||
| Mortgage-Backed Securities |
— | 263,857,827 | — | |||||||||
| Municipal Bonds |
— | 13,723,993 | — | |||||||||
| Non-Corporate Foreign Agencies |
— | 20,485,468 | — | |||||||||
| Non-Corporate Sovereigns |
— | 3,095,404 | — | |||||||||
| U.S. Government Agency Obligations |
— | 4,580,395 | — | |||||||||
| U.S. Government Treasury Obligations |
— | 161,943,602 | — | |||||||||
| Affiliated Mutual Funds |
398,388,595 | — | — | |||||||||
| Mortgage-Backed Security Sold Short |
— | (4,320,781 | ) | — | ||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
(34,999 | ) | — | — | ||||||||
| Interest Rate Swap Agreements |
— | (555,021 | ) | — | ||||||||
| Credit Default Swap Agreements |
— | (3,103 | ) | — | ||||||||
| Total |
$ | 1,545,995,167 | $ | 965,122,505 | $ | 4,401,024 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on 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, 2012 were as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
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, 2012 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 |
Unrealized appreciation on swap agreements | $ | 6,323 | Unrealized depreciation on swap agreements | $ | 9,426 | ||||||
| Equity contracts |
— | — | Due from broker — variation margin | 350,047 | * | |||||||
| Equity contracts |
Unaffiliated investments | 690 | — | — | ||||||||
| Interest rate contracts |
Unrealized appreciation on swap agreements | 345,908 | Unrealized depreciation on swap agreements | 900,929 | ||||||||
| Interest rate contracts |
Due from broker — variation margin | 392,379 | * | Due from broker — variation margin | 77,331 | * | ||||||
| Total |
$ | 745,300 | $ | 1,337,733 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures 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, 2012 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||||||
| Derivatives not designated as |
Rights |
Warrants |
Options Purchased |
Options Written |
Futures |
Swaps |
Total |
|||||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | (433,162 | ) | $ | (433,162 | ) | ||||||||||||
| Equity contracts |
23,682 | 56,192 | — | — | 8,038,834 | — | 8,118,708 | |||||||||||||||||||||
| Interest rate contracts |
— | — | 263,443 | (223,837 | ) | (2,425,919 | ) | 192,016 | (2,194,297 | ) | ||||||||||||||||||
| Total |
$ | 23,682 | $ | 56,192 | $ | 263,443 | $ | (223,837 | ) | $ | 5,612,915 | $ | (241,146 | ) | $ | 5,491,249 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Rights |
Futures |
Swaps |
Total |
||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | (16,435 | ) | $ | (16,435 | ) | ||||||||||||
| Equity contracts |
690 | (1,501,878 | ) | — | (1,501,188 | ) | ||||||||||||||||
| Interest rate contracts |
— | 494,738 | (1,052,281 | ) | (557,543 | ) | ||||||||||||||||
| Total |
$ | 690 | $ | (1,007,140 | ) | $ | (1,068,716 | ) | $ | (2,075,166 | ) | |||||||||||
For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities is as follows:
| Futures |
Futures | |
| $173,378,093 | $29,384,047 |
| Interest Rate Swaps |
Credit Default | |
| $100,511 | $13,198 |
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 48,100,637 | $ | 47,217,513 | ||||
| Net realized gain on investment and foreign currency transactions |
40,776,625 | 49,113,195 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
152,480,681 | 4,696,647 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
241,357,943 | 101,027,355 | ||||||
| DISTRIBUTIONS | (47,221,872 | ) | (50,030,858 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [580,731 and 648,345 shares, respectively] |
10,042,436 | 10,475,022 | ||||||
| Series shares issued in reinvestment of distributions [2,817,534 and 3,117,187 shares, respectively] |
47,221,872 | 50,030,858 | ||||||
| Series shares repurchased [8,997,150 and 9,540,307 shares, respectively] |
(155,986,711 | ) | (154,546,244 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(98,722,403 | ) | (94,040,364 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 95,413,668 | (43,043,867 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
2,191,614,796 | 2,234,658,663 | ||||||
| End of year |
$ | 2,287,028,464 | $ | 2,191,614,796 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| DIVERSIFIED BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| LONG-TERM INVESTMENTS — 87.9% ASSET-BACKED SECURITIES — 10.8% |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Non-Residential Mortgage-Backed Securities — 5.5% |
||||||||||||||||||
| Apidos CDO (Cayman Islands), Ser. 2011-8A, Class A1, 144A(a) |
Aaa | 1.830% | 10/17/21 | $ | 4,000 | $ | 4,010,676 | |||||||||||
| ARES CLO Funds (Cayman Islands), 144A |
Aaa | 0.742% | 02/26/16 | 41 | 40,657 | |||||||||||||
| Ser. 2005-10A, Class A2(a) |
Aaa | 0.548% | 09/18/17 | 107 | 106,855 | |||||||||||||
| Ser. 2005-10A, Class A3(a) |
Aaa | 0.548% | 09/18/17 | 91 | 90,876 | |||||||||||||
| BA Credit Card Trust, Ser. 2006-C5, Class C5(a) |
A3 | 0.609% | 01/15/16 | 5,750 | 5,751,046 | |||||||||||||
| Bank One Issuance Trust, Ser. 2004-C2, Class C2(a) |
Baa2 | 1.009% | 02/15/17 | 2,100 | 2,104,439 | |||||||||||||
| Black Diamond CLO Ltd. (Cayman Islands), Ser. 2005-1A, |
Aaa | 0.579% | 06/20/17 | 1,726 | 1,701,172 | |||||||||||||
| BlackRock Senior Income Series Corp. (Cayman Islands), |
Aaa | 0.562% | 05/25/17 | 310 | 307,301 | |||||||||||||
| Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.563% | 08/03/19 | 4,036 | 3,958,335 | |||||||||||||
| Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(a) |
Baa2 | 0.681% | 03/24/17 | 2,320 | 2,302,396 | |||||||||||||
| Eaton Vance CDO IV Ltd. (Cayman Islands), Ser. 2007-9A, |
Aaa | 0.529% | 04/20/19 | 1,485 | 1,463,892 | |||||||||||||
| Four Corners CLO (Cayman Islands), 144A |
Aaa | 0.610% | 03/26/17 | 499 | 493,427 | |||||||||||||
| Ser. 2006-3A, Class A(a) |
Aaa | 0.569% | 07/22/20 | 1,599 | 1,570,365 | |||||||||||||
| Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, |
Aa1 | 0.778% | 03/15/20 | 1,500 | 1,436,630 | |||||||||||||
| GE Business Loan Trust, Ser. 2006-1A, Class D, 144A(a) |
B1 | 1.209% | 05/15/34 | 213 | 138,794 | |||||||||||||
| Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.600% | 12/15/17 | 302 | 301,415 | |||||||||||||
| Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(a) |
Aaa | 0.700% | 07/15/16 | 48 | 48,296 | |||||||||||||
| Hewett’s Island CDO Ltd. (Cayman Islands), Ser. 2006-4A, Class A, 144A(a) |
Aaa | 0.570% | 05/09/18 | 2,070 | 2,038,627 | |||||||||||||
| Highlander Euro CDO Cayman Ltd. (Netherlands), Ser. 2008-4A, Class C, 144A(a) |
Baa1 | 4.817% | 08/01/16 | EUR | 2,000 | 2,418,556 | ||||||||||||
| Katonah Ltd. (Cayman Islands), Ser. 2005-7A, Class A2, 144A(a) |
Aaa | 0.570% | 11/15/17 | 2,486 | 2,456,926 | |||||||||||||
| Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, |
Aaa | 0.561% | 10/19/20 | 967 | 948,788 | |||||||||||||
| LCM LP (Cayman Islands), 144A |
Aaa | 0.639% | 10/22/16 | 225 | 224,377 | |||||||||||||
| Ser. 2005-3A, Class A(a) |
Aaa | 0.571% | 06/01/17 | 1,720 | 1,692,874 | |||||||||||||
| Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, |
Aaa | 0.568% | 09/15/17 | 3,794 | 3,729,933 | |||||||||||||
| Marriott Vacation Club Owner Trust, Ser. 2010-1A, Class A, 144A |
A(c) | 3.540% | 10/20/32 | 3,921 | 4,062,335 | |||||||||||||
| MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(a) |
A3 | 1.109% | 11/15/16 | 9,800 | 9,838,269 | |||||||||||||
| Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, Class A1L, 144A(a) |
Aaa | 0.558% | 03/15/18 | 1,905 | 1,843,377 | |||||||||||||
| North Westerly CLO BV (Netherlands), Ser. II-A, Class A, 144A(a) |
Aaa | 0.876% | 09/14/19 | EUR | 4,010 | 5,105,623 | ||||||||||||
| OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class A2, 144A(a) |
Aaa | 1.791% | 11/22/23 | 2,800 | 2,803,593 | |||||||||||||
| OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, Class B, 144A(a) |
AA(c) | 2.511% | 11/22/23 | 2,700 | 2,669,190 | |||||||||||||
| Railcar Leasing LLC, Ser. 1997-1, Class A2, 144A |
A1 | 7.125% | 01/15/13 | 199 | 199,293 | |||||||||||||
| Stanfield Vantage CLO Ltd. (Cayman Islands), Ser. 2005-1A, Class A1, 144A(a) |
Aaa | 0.610% | 03/21/17 | 384 | 381,544 | |||||||||||||
| SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A |
A+(c) | 2.000% | 09/20/29 | 2,432 | 2,431,362 | |||||||||||||
| Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, |
Aaa | 0.563% | 11/01/18 | 3,100 | 3,059,706 | |||||||||||||
| Venture CDO Ltd. (Cayman Islands), Ser. 2003-1A, |
Aaa | 0.819% | 01/21/16 | 580 | 579,649 | |||||||||||||
| 72,310,594 | ||||||||||||||||||
| Residential Mortgage-Backed Securities — 5.3% |
||||||||||||||||||
| ACE Securities Corp., Ser. 2004-FM1, Class M1(a) |
B2 | 1.110% | 09/25/33 | 1,684 | 1,581,769 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A30
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| ASSET-BACKED SECURITIES (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||
| Ameriquest Mortgage Securities, Inc. |
Caa2 | 3.135% | 10/25/31 | $ | 540 | $ | 406,890 | |||||||||||
| Ser. 2004-R8, Class M1(a) |
A2 | 1.170% | 09/25/34 | 950 | 901,092 | |||||||||||||
| Argent Securities, Inc. |
B2 | 5.835% | 09/25/33 | 2,400 | 1,724,354 | |||||||||||||
| Ser. 2004-W10, Class A2(a) |
Aaa | 0.990% | 10/25/34 | 1,802 | 1,693,842 | |||||||||||||
| Ser. 2004-W6, Class M1(a) |
Baa1 | 0.760% | 05/25/34 | 2,873 | 2,691,067 | |||||||||||||
| Asset Backed Funding Certificates, Ser. 2004-OPT1, Class M1(a) |
Ba3 | 1.260% | 08/25/33 | 1,932 | 1,749,120 | |||||||||||||
| Asset Backed Securities Corp. Home Equity |
Ba2 | 1.454% | 06/15/33 | 1,496 | 1,403,495 | |||||||||||||
| Ser. 2004-HE1, Class M1(a) |
Ba1 | 1.259% | 01/15/34 | 265 | 242,363 | |||||||||||||
| Ser. 2004-HE5, Class M1(a) |
Baa3 | 1.110% | 08/25/34 | 2,487 | 2,297,396 | |||||||||||||
| Bear Stearns Asset Backed Securities Trust |
Ba1 | 1.110% | 03/25/34 | 4,784 | 4,125,554 | |||||||||||||
| Ser. 2004-HE3, Class M2(a) |
B1 | 1.935% | 04/25/34 | 2,001 | 1,831,297 | |||||||||||||
| CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M2(a) |
C | 3.585% | 03/25/33 | 232 | 27,386 | |||||||||||||
| Centex Home Equity, Ser. 2004-B, Class AF6(f) |
Aa3 | 4.686% | 03/25/34 | 1,300 | 1,302,495 | |||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Ser. 2002-HE4, Class M2(a) |
C | 2.460% | 08/25/32 | 113 | 56,727 | |||||||||||||
| Equity One ABS, Inc., Ser. 2004-3, Class M1(a) |
Ba1 | 5.330% | 07/25/34 | 917 | 766,874 | |||||||||||||
| FBR Securitization Trust, Ser. 2005-2, Class M1(a) |
B1 | 0.930% | 09/25/35 | 3,600 | 2,926,220 | |||||||||||||
| Fremont Home Loan Trust, Ser. 2003-B, Class M1(a) |
Ba1 | 1.260% | 12/25/33 | 280 | 259,205 | |||||||||||||
| GSAMP Trust, Ser. 2004-FM1, Class M1(a) |
Ba3 | 1.185% | 11/25/33 | 2,832 | 2,652,124 | |||||||||||||
| HSBC Home Equity Loan Trust |
Aa1 | 0.491% | 01/20/36 | 740 | 692,412 | |||||||||||||
| Ser. 2006-2, Class A1(a) |
Aaa | 0.361% | 03/20/36 | 199 | 195,851 | |||||||||||||
| Ser. 2006-2, Class A2(a) |
Aaa | 0.391% | 03/20/36 | 241 | 233,628 | |||||||||||||
| IXIS Real Estate Capital Trust, Ser. 2006-HE1, Class A4(a) |
Ca | 0.510% | 03/25/36 | 3,076 | 1,702,242 | |||||||||||||
| Long Beach Mortgage Loan Trust, Ser. 2004-1, Class M1(a) |
A3 | 0.960% | 02/25/34 | 4,250 | 3,876,990 | |||||||||||||
| Mastr Asset Backed Securities Trust, Ser. 2004-WMC1, Class M1(a) |
Ba2 | 0.990% | 02/25/34 | 2,745 | 2,564,522 | |||||||||||||
| Merrill Lynch Mortgage Investors, Inc. |
BB+(c) | 1.010% | 08/25/35 | 896 | 738,359 | |||||||||||||
| Ser. 2004-OPT1, Class A1A(a) |
A+(c) | 0.470% | 06/25/35 | 2,570 | 2,314,148 | |||||||||||||
| Morgan Stanley ABS Capital I |
C | 3.360% | 11/25/32 | 157 | 55,046 | |||||||||||||
| Ser. 2003-HE1, Class M1(a) |
Ba2 | 1.410% | 05/25/33 | 1,652 | 1,552,848 | |||||||||||||
| Ser. 2003-HE3, Class M1(a) |
Ba3 | 1.230% | 10/25/33 | 1,245 | 1,137,350 | |||||||||||||
| Ser. 2004-NC1, Class M1(a) |
Baa2 | 1.260% | 12/27/33 | 1,017 | 963,523 | |||||||||||||
| Ser. 2004-OP1, Class M1(a) |
Aa1 | 1.080% | 11/25/34 | 3,688 | 3,175,098 | |||||||||||||
| Ser. 2004-WMC1, Class M1(a) |
Ba1 | 1.140% | 06/25/34 | 2,659 | 2,479,577 | |||||||||||||
| Ser. 2004-WMC2, Class M1(a) |
Ba3 | 1.125% | 07/25/34 | 2,253 | 2,100,621 | |||||||||||||
| New Century Home Equity Loan Trust |
Baa3 | 1.335% | 10/25/33 | 3,783 | 3,607,830 | |||||||||||||
| Ser. 2004-4, Class M1(a) |
Ba1 | 0.975% | 02/25/35 | 3,048 | 2,585,781 | |||||||||||||
| Residential Asset Mortgage Products, Inc., Ser. 2004-RS12, Class MII2(a) |
Aa3 | 1.410% | 12/25/34 | 694 | 648,030 | |||||||||||||
| Residential Asset Securities Corp., Ser. 2004-KS1, Class AI5 |
Baa3 | 5.221% | 02/25/34 | 1,000 | 968,883 | |||||||||||||
| Saxon Asset Securities Trust, Ser. 2002-3, Class M1(a) |
B2 | 1.335% | 12/25/32 | 376 | 329,924 | |||||||||||||
| Securitized Asset Backed Receivables LLC Trust |
B1 | 0.990% | 02/25/34 | 4,123 | 3,607,568 | |||||||||||||
| Ser. 2006-FR1, Class M1(a) |
C | 0.610% | 11/25/35 | 2,000 | 179,822 | |||||||||||||
| Specialty Underwriting & Residential Finance, Ser. 2004-BC1, Class M1(a) |
A3 | 0.975% | 02/25/35 | 76 | 71,375 | |||||||||||||
| Structured Asset Investment Loan Trust |
BB+(c) | 0.915% | 03/25/34 | 2,297 | 2,027,947 | |||||||||||||
| Ser. 2004-7, Class A8(a) |
AAA(c) | 1.410% | 08/25/34 | 1,400 | 1,190,248 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| ASSET-BACKED SECURITIES (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||
| Structured Asset Securities Corp., Ser. 2002-HF2, Class M3(a) |
CC(c) | 3.210% | 07/25/32 | $ | 1,180 | $ | 1,074,506 | |||||||||||
| 68,713,399 | ||||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
141,023,993 | ||||||||||||||||
| BANK LOANS(a) — 3.1% | ||||||||||||||||||
| Aerospace & Defense |
||||||||||||||||||
| Booz Allen & Hamilton, Inc. |
Ba3 | 2.962% | 12/31/17 | 494 | 491,528 | |||||||||||||
| Automotive — 0.2% |
||||||||||||||||||
| Chrysler Group LLC |
Ba2 | 6.000% | 05/24/17 | 1,370 | 1,397,700 | |||||||||||||
| Schaeffler AG (Germany) |
Ba3 | 6.000% | 01/27/17 | 1,500 | 1,514,063 | |||||||||||||
| 2,911,763 | ||||||||||||||||||
| Cable |
||||||||||||||||||
| Cequel Communications LLC |
Ba2 | 4.000% | 02/14/19 | 298 | 299,533 | |||||||||||||
| Kabel Deutschland (Germany) |
BB-(c) | 4.250% | 02/01/19 | 254 | 254,374 | |||||||||||||
| 553,907 | ||||||||||||||||||
| Capital Goods — 0.2% |
||||||||||||||||||
| RAC PLC(b) |
B2 | 5.653% | 09/30/19 | 1,500 | 2,439,732 | |||||||||||||
| Chemicals — 0.1% |
||||||||||||||||||
| Ashland, Inc. |
Baa3 | 3.750% | 08/23/18 | 167 | 168,470 | |||||||||||||
| Rockwood Holdings, Inc. |
Baa3 | 3.500% | 02/09/18 | 958 | 965,672 | |||||||||||||
| 1,134,142 | ||||||||||||||||||
| Consumer |
||||||||||||||||||
| Huish Detergents, Inc. |
Ba3 | 2.220% | 04/26/14 | 199 | 195,353 | |||||||||||||
| Electric — 0.1% |
||||||||||||||||||
| Calpine Corp. |
B1 | 4.500% | 04/01/18 | 415 | 418,179 | |||||||||||||
| Calpine Corp. |
B1 | 4.500% | 04/01/18 | 415 | 417,935 | |||||||||||||
| 836,114 | ||||||||||||||||||
| Foods — 0.1% |
||||||||||||||||||
| Del Monte Foods Co. |
Ba3 | 4.500% | 03/08/18 | 1,798 | 1,799,171 | |||||||||||||
| Gaming — 0.2% |
||||||||||||||||||
| CCM Merger, Inc. |
B2 | 6.000% | 03/01/17 | 2,694 | 2,698,825 | |||||||||||||
| Healthcare & Pharmaceutical — 0.9% |
||||||||||||||||||
| Alere, Inc. |
Ba3 | 3.311% | 06/30/16 | 494 | 488,433 | |||||||||||||
| Alere, Inc. |
B2 | 4.750% | 06/30/17 | 175 | 175,882 | |||||||||||||
| Alere, Inc. |
Ba3 | 4.750% | 06/30/17 | 477 | 478,690 | |||||||||||||
| Davita, Inc. |
Ba2 | 4.000% | 11/01/19 | 1,046 | 1,052,529 | |||||||||||||
| HCA, Inc. |
Ba3 | 3.462% | 05/01/18 | 462 | 462,790 | |||||||||||||
| HCA, Inc. |
Ba3 | 3.561% | 03/31/17 | 1,108 | 1,109,995 | |||||||||||||
| Hologic, Inc. |
Ba2 | 3.313% | 08/01/17 | 2,293 | 2,293,936 | |||||||||||||
| Quintiles Transnational Corp. |
B1 | 4.500% | 06/08/18 | 1,500 | 1,505,625 | |||||||||||||
| RPI Finance Trust |
Baa2 | 3.500% | 05/09/18 | 3,926 | 3,954,235 | |||||||||||||
| 11,522,115 | ||||||||||||||||||
| Media & Entertainment — 0.3% |
||||||||||||||||||
| ProSiebenSat. 1 Media AG (Germany) |
Ba2 | 2.690% | 07/01/16 | EUR | 2,900 | 3,773,648 | ||||||||||||
| Pipelines & Other — 0.1% |
||||||||||||||||||
| Energy Transfer Equity LP |
Ba2 | 3.750% | 03/23/17 | 1,500 | 1,510,078 | |||||||||||||
| Real Estate Investment Trusts — 0.1% |
||||||||||||||||||
| C.B. Richard Ellis Services, Inc. |
Ba1 | 3.710% | 09/04/19 | 1,107 | 1,106,665 | |||||||||||||
| Retailers — 0.3% |
||||||||||||||||||
| Alliance Boots Ltd. (United Kingdom) |
B1 | 3.489% | 07/09/15 | 2,000 | 3,168,710 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| BANK LOANS(a) (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Technology — 0.5% |
||||||||||||||||||
| First Data Corp. |
B1 | 4.211% | 03/26/18 | $ | 2,411 | $ | 2,293,023 | |||||||||||
| First Data Corp. |
B1 | 5.211% | 03/24/17 | 183 | 179,579 | |||||||||||||
| Flextronics International Ltd. (Singapore) |
Ba1 | 0.381% | 10/01/14 | 117 | 116,390 | |||||||||||||
| Flextronics International Ltd. (Singapore) |
Ba1 | 2.462% | 10/01/14 | 1,079 | 1,077,523 | |||||||||||||
| Freescale Semiconductor, Inc. |
B1 | 4.464% | 12/01/16 | 1,750 | 1,715,000 | |||||||||||||
| Sensata Technologies, Inc. (Netherlands) |
Ba2 | 3.750% | 05/12/18 | 1,266 | 1,270,891 | |||||||||||||
| 6,652,406 | ||||||||||||||||||
| TOTAL BANK LOANS |
|
40,794,157 | ||||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1 |
Ba3 | 5.250% | 09/25/19 | 797 | 814,998 | |||||||||||||
| Mastr Alternative Loans Trust, Ser. 2004-4, Class 4A1 |
Baa1 | 5.000% | 04/25/19 | 169 | 173,952 | |||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a) |
Baa3 | 2.775% | 02/25/34 | 1,838 | 1,853,935 | |||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A |
CCC(c) | 5.000% | 03/25/20 | 637 | 644,167 | |||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
3,487,052 | ||||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 12.3% | ||||||||||||||||||
| Banc of America Commercial Mortgage, Inc. |
Aaa | 5.317% | 09/10/47 | 2,630 | 2,630,564 | |||||||||||||
| Ser. 2006-6, Class A2 |
Aaa | 5.309% | 10/10/45 | 3,169 | 3,211,399 | |||||||||||||
| Ser. 2007-1, Class A3 |
Aaa | 5.449% | 01/15/49 | 2,159 | 2,215,387 | |||||||||||||
| Ser. 2007-4, Class A3(a) |
AAA(c) | 5.796% | 02/10/51 | 6,322 | 6,660,572 | |||||||||||||
| Ser. 2007-5, Class A3 |
AAA(c) | 5.620% | 02/10/51 | 2,445 | 2,578,365 | |||||||||||||
| Bear Stearns Commercial Mortgage Securities, Ser. 2005-PWR9, Class A2 |
Aaa | 4.735% | 09/11/42 | 253 | 259,050 | |||||||||||||
| Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(a) |
Aaa | 5.702% | 12/10/49 | 1,590 | 1,873,276 | |||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust |
Aaa | 5.334% | 01/15/46 | 1,909 | 1,959,780 | |||||||||||||
| Ser. 2007-CD4, Class A3 |
Aaa | 5.293% | 12/11/49 | 2,515 | 2,612,484 | |||||||||||||
| Commercial Mortgage Pass-Through Certificates |
AAA(c) | 5.686% | 06/10/46 | 930 | 929,236 | |||||||||||||
| Ser. 2006-C7, Class A4(a) |
AAA(c) | 5.748% | 06/10/46 | 4,000 | 4,542,800 | |||||||||||||
| Ser. 2006-C8, Class A2B |
Aaa | 5.248% | 12/10/46 | 2,500 | 2,513,322 | |||||||||||||
| Ser. 2012-CR5, Class A3 |
Aaa | 2.540% | 12/10/45 | 2,000 | 1,998,724 | |||||||||||||
| Credit Suisse Mortgage Capital Certificates |
AAA(c) | 5.409% | 02/15/39 | 4,400 | 4,964,511 | |||||||||||||
| Ser. 2006-C1, Class AM(a) |
AAA(c) | 5.409% | 02/15/39 | 970 | 1,073,786 | |||||||||||||
| Ser. 2007-C1, Class A2 |
Aaa | 5.268% | 02/15/40 | 1,691 | 1,691,075 | |||||||||||||
| Ser. 2007-C4, Class A2(a) |
Aaa | 5.762% | 09/15/39 | 300 | 302,039 | |||||||||||||
| Ser. 2007-C4, Class A3(a) |
Aaa | 5.762% | 09/15/39 | 10,550 | 10,972,359 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O |
AA+(c) | 1.479% | 05/25/22 | 29,440 | 3,139,980 | |||||||||||||
| Ser. K021, Class X1(a) |
AA+(c) | 1.516% | 06/25/22 | 16,693 | 1,855,692 | |||||||||||||
| Ser. K501, Class X1A(a) |
AA+(c) | 1.755% | 08/25/16 | 12,382 | 579,675 | |||||||||||||
| Ser. K710, Class X1(a) |
AA+(c) | 1.784% | 05/25/19 | 23,465 | 2,237,798 | |||||||||||||
| Ser. K711, Class X1(a) |
AA+(c) | 1.712% | 07/25/19 | 27,993 | 2,601,948 | |||||||||||||
| GE Capital Commercial Mortgage Corp., Ser. 2007-C1, Class A2 |
Aaa | 5.417% | 12/10/49 | 5,459 | 5,451,568 | |||||||||||||
| GMAC Commercial Mortgage Securities, Inc., Ser. 2006-C1, Class A4 |
AAA(c) | 5.238% | 11/10/45 | 1,280 | 1,411,108 | |||||||||||||
| Greenwich Capital Commercial Funding Corp. |
Baa1 | 4.859% | 08/10/42 | 1,700 | 1,796,879 | |||||||||||||
| Ser. 2005-GG5, Class A2 |
Aaa | 5.117% | 04/10/37 | 435 | 435,129 | |||||||||||||
| Ser. 2005-GG5, Class A5 |
Aa2 | 5.224% | 04/10/37 | 4,900 | 5,413,927 | |||||||||||||
| Ser. 2007-GG9, Class A2 |
Aaa | 5.381% | 03/10/39 | 3,340 | 3,446,966 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| GS Mortgage Securities Corp. II |
AAA(c) | 5.553% | 04/10/38 | $ | 6,700 | $ | 7,543,128 | |||||||||||
| Ser. 2006-GG8, Class A2 |
Aaa | 5.479% | 11/10/39 | 797 | 810,048 | |||||||||||||
| Ser. 2007-GG10, Class A2 |
Aaa | 5.778% | 08/10/45 | 3,244 | 3,260,279 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp. |
Aa2 | 4.999% | 10/15/42 | 1,820 | 1,979,592 | |||||||||||||
| Ser. 2007-LD11, Class A2(a) |
Aaa | 5.797% | 06/15/49 | 5,920 | 6,105,739 | |||||||||||||
| Ser. 2007-LD12, Class A3(a) |
Aaa | 5.930% | 02/15/51 | 9,200 | 9,786,933 | |||||||||||||
| Ser. 2012-LC9, Class A4 |
Aaa | 2.611% | 12/15/47 | 2,000 | 2,008,993 | |||||||||||||
| LB-UBS Commercial Mortgage Trust |
AA(c) | 5.263% | 11/15/40 | 2,100 | 2,308,242 | |||||||||||||
| Ser. 2006-C3, Class A2 |
Aaa | 5.532% | 03/15/32 | 2 | 1,738 | |||||||||||||
| Ser. 2006-C7, Class A2 |
AAA(c) | 5.300% | 11/15/38 | 983 | 1,007,728 | |||||||||||||
| Ser. 2007-C6, Class A2 |
Aaa | 5.845% | 07/15/40 | 1,674 | 1,714,392 | |||||||||||||
| Merrill Lynch Mortgage Trust |
AAA(c) | 5.684% | 05/12/39 | 7,920 | 9,085,206 | |||||||||||||
| Ser. 2007-C1, Class A3 |
AAA(c) | 5.849% | 06/12/50 | 690 | 733,732 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust |
Aaa | 5.893% | 06/12/46 | 2,625 | 3,023,861 | |||||||||||||
| Ser. 2006-4, Class A2 |
Aaa | 5.112% | 12/12/49 | 861 | 870,448 | |||||||||||||
| Ser. 2006-4, Class A3 |
Aaa | 5.172% | 12/12/49 | 1,400 | 1,592,944 | |||||||||||||
| Ser. 2007-9, Class A2 |
AAA(c) | 5.590% | 09/12/49 | 1,912 | 1,911,322 | |||||||||||||
| Morgan Stanley Capital I Trust |
AAA(c) | 5.815% | 08/12/41 | 1,318 | 1,375,187 | |||||||||||||
| Ser. 2007-IQ14, Class AAB(a) |
Aaa | 5.654% | 04/15/49 | 5,489 | 5,923,079 | |||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4 |
Aaa | 2.792% | 12/10/45 | 2,300 | 2,325,840 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust |
Aa1 | 5.179% | 07/15/42 | 3,145 | 3,445,102 | |||||||||||||
| Ser. 2006-C28, Class A2 |
Aaa | 5.500% | 10/15/48 | 248 | 249,324 | |||||||||||||
| Ser. 2007-C31, Class A4 |
Aa2 | 5.509% | 04/15/47 | 5,150 | 5,950,233 | |||||||||||||
| Ser. 2007-C33, Class A3(a) |
Aaa | 5.921% | 02/15/51 | 3,951 | 4,133,106 | |||||||||||||
| Ser. 2007-C34, Class A2 |
Aaa | 5.569% | 05/15/46 | 2,016 | 2,013,003 | |||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
160,518,598 | ||||||||||||||||
| CORPORATE BONDS — 44.2% | ||||||||||||||||||
| Aerospace & Defense — 0.3% |
||||||||||||||||||
| L-3 Communications Corp., Gtd. Notes |
Baa3 | 4.750% | 07/15/20 | 700 | 780,245 | |||||||||||||
| Textron, Inc., Sr. Unsec’d. Notes |
Baa3 | 7.250% | 10/01/19 | 2,350 | 2,869,477 | |||||||||||||
| 3,649,722 | ||||||||||||||||||
| Airlines — 0.5% |
||||||||||||||||||
| Continental Airlines, Inc. Pass-Through Trust, Pass-thru Certs. |
Baa2 | 6.703% | 06/15/21 | 2 | 2,599 | |||||||||||||
| Ser. 2001-1, Class B |
Ba1 | 7.373% | 12/15/15 | 394 | 418,519 | |||||||||||||
| Ser. 2007-1, Class A(d) |
Baa2 | 5.983% | 04/19/22 | 1,655 | 1,843,168 | |||||||||||||
| Ser. 2010-1, Class A(d) |
Baa2 | 4.750% | 01/12/21 | 534 | 581,195 | |||||||||||||
| Delta Air Lines Pass-Through Trust, Pass-thru Certs., |
Baa2 | 6.821% | 08/10/22 | 1,316 | 1,469,460 | |||||||||||||
| Ser. 2010-2, Class A |
Baa2 | 4.950% | 05/23/19 | 700 | 762,795 | |||||||||||||
| Ser. 2011-1, Class A |
Baa2 | 5.300% | 04/15/19 | 735 | 810,841 | |||||||||||||
| United Airline Pass-Through Trust, Pass-thru Certs., Ser. 2007-1, Class A |
Baa3 | 6.636% | 07/02/22 | 986 | 1,059,425 | |||||||||||||
| 6,948,002 | ||||||||||||||||||
| Automotive — 0.6% |
||||||||||||||||||
| BorgWarner, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.625% | 09/15/20 | 825 | 907,829 | |||||||||||||
| Delphi Corp., Gtd. Notes(d) |
Ba2 | 5.875% | 05/15/19 | 1,400 | 1,501,500 | |||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
Baa3 | 3.984% | 06/15/16 | 1,050 | 1,114,917 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Automotive (continued) |
||||||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
Baa3 | 4.207% | 04/15/16 | $ | 3,925 | $ | 4,186,468 | |||||||||||
| Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN |
Baa1 | 5.750% | 12/15/14 | 660 | 720,777 | |||||||||||||
| 8,431,491 | ||||||||||||||||||
| Banking — 9.9% |
||||||||||||||||||
| American Express Co., Sr. Unsec’d. Notes, 144A |
A3 | 2.650% | 12/02/22 | 3,202 | 3,189,250 | |||||||||||||
| Banco de Credito del Peru (Peru), Sr. Unsec’d. Notes, 144A |
Baa2 | 4.750% | 03/16/16 | 1,650 | 1,740,750 | |||||||||||||
| Banco Santander Chile (Chile), Sr. Unsec’d. Notes, 144A |
Aa3 | 3.875% | 09/20/22 | 750 | 768,855 | |||||||||||||
| Bangkok Bank PCL (Thailand), Sr. Unsec’d. Notes, 144A |
A3 | 3.875% | 09/27/22 | 2,475 | 2,551,723 | |||||||||||||
| Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(d) |
B1 | 8.000% | 12/29/49 | 3,500 | 3,871,280 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1 |
Baa2 | 3.750% | 07/12/16 | 1,340 | 1,432,362 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 5.700% | 01/24/22 | 1,775 | 2,134,525 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 6.000% | 09/01/17 | 4,590 | 5,374,959 | |||||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 5.300% | 03/15/17 | 790 | 888,521 | |||||||||||||
| Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes(d) |
A2 | 6.750% | 05/22/19 | 1,610 | 1,966,188 | |||||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
A2 | 7.250% | 02/01/18 | 1,575 | 1,973,543 | |||||||||||||
| Capital One Capital V, Ltd. Gtd. Notes |
BB+(c) | 10.250% | 08/15/39 | 1,210 | 1,210,000 | |||||||||||||
| Capital One Financial Corp., Sr. Unsec’d. Notes |
Baa1 | 5.250% | 02/21/17 | 2,460 | 2,804,351 | |||||||||||||
| Capital One Financial Corp., Sub. Notes |
Baa2 | 6.150% | 09/01/16 | 700 | 800,814 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 11/21/17 | 2,050 | 2,439,822 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 05/15/18 | 2,500 | 2,996,027 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes(d) |
Baa2 | 8.125% | 07/15/39 | 4,120 | 6,168,114 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 8.500% | 05/22/19 | 1,375 | 1,848,876 | |||||||||||||
| Depfa ACS Bank (Ireland), Covered Notes, 144A |
A3 | 5.125% | 03/16/37 | 3,065 | 2,392,827 | |||||||||||||
| Discover Bank, Sub. Notes |
Ba1 | 7.000% | 04/15/20 | 2,005 | 2,489,601 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Notes |
A3 | 6.250% | 02/01/41 | 2,195 | 2,693,091 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d) |
A3 | 5.750% | 01/24/22 | 2,250 | 2,659,977 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/20 | 2,420 | 2,875,473 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d) |
A3 | 6.150% | 04/01/18 | 1,355 | 1,591,811 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e) |
A3 | 6.250% | 09/01/17 | 3,195 | 3,768,876 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 6.750% | 10/01/37 | 440 | 498,664 | |||||||||||||
| Hana Bank (South Korea), Sr. Unsec’d. Notes, 144A |
A1 | 4.500% | 10/30/15 | 4,035 | 4,368,404 | |||||||||||||
| HSBC Holdings PLC (United Kingdom), Sub. Notes(d) |
A3 | 6.500% | 09/15/37 | 1,625 | 2,028,307 | |||||||||||||
| Huntington BancShares, Inc., Sub. Notes |
Baa2 | 7.000% | 12/15/20 | 260 | 318,100 | |||||||||||||
| ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A(a) |
Ba3 | 7.250% | 08/29/49 | 2,380 | 2,338,350 | |||||||||||||
| ING Bank NV (Netherlands), Unsec’d. Notes, 144A(d) |
A2 | 2.000% | 09/25/15 | 770 | 775,698 | |||||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a) |
Ba1 | 7.900% | 04/29/49 | 6,130 | 6,945,351 | |||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 3.150% | 07/05/16 | 2,245 | 2,378,465 | |||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 3.250% | 09/23/22 | 500 | 514,891 | |||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 4.250% | 10/15/20 | 600 | 667,276 | |||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 4.400% | 07/22/20 | 5,100 | 5,757,105 | |||||||||||||
| KeyCorp, Sr. Unsec’d. Notes, MTN(d) |
Baa1 | 5.100% | 03/24/21 | 1,155 | 1,345,585 | |||||||||||||
| Krung Thai Bank PCL (Thailand), Jr. Sub. Notes(a) |
B2 | 7.378% | 10/29/49 | 1,590 | 1,621,170 | |||||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN |
A2 | 5.800% | 01/13/20 | 2,650 | 3,101,250 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.625% | 09/23/19 | 2,635 | 2,980,132 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
Baa1 | 5.750% | 01/25/21 | 1,920 | 2,192,707 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 5.450% | 01/09/17 | 4,035 | 4,465,055 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 5.500% | 07/28/21 | 1,650 | 1,873,367 | |||||||||||||
| People’s United Financial, Inc., Sr. Unsec’d. Notes |
A3 | 3.650% | 12/06/22 | 1,675 | 1,683,712 | |||||||||||||
| Royal Bank of Scotland PLC (The) (United Kingdom), |
A3 | 3.400% | 08/23/13 | 1,720 | 1,745,523 | |||||||||||||
| Royal Bank of Scotland Group PLC (United Kingdom), |
Baa1 | 2.550% | 09/18/15 | 625 | 639,631 | |||||||||||||
| Royal Bank of Scotland PLC (The) (United Kingdom), |
Baa1 | 6.400% | 10/21/19 | 1,525 | 1,802,001 | |||||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes(d) |
Baa2 | 3.000% | 09/24/15 | 950 | 967,422 | |||||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.625% | 04/19/16 | 525 | 548,882 | |||||||||||||
| State Street Corp., Jr. Sub. Debs.(a) |
A3 | 4.956% | 03/15/18 | 3,025 | 3,426,390 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Banking (continued) |
||||||||||||||||||
| US Bancorp, Jr. Sub. Notes |
A3 | 3.442% | 02/01/16 | $ | 4,120 | $ | 4,338,603 | |||||||||||
| Wells Fargo & Co., Sr. Unsec’d. Notes(f) |
A2 | 3.676% | 06/15/16 | 7,240 | 7,827,193 | |||||||||||||
| 129,780,850 | ||||||||||||||||||
| Brokerage — 0.1% |
||||||||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(j) |
NR | 6.875% | 05/02/18 | 2,740 | 657,600 | |||||||||||||
| Building Materials & Construction — 0.9% |
||||||||||||||||||
| Masco Corp., Sr. Unsec’d. Notes |
Ba3 | 7.125% | 08/15/13 | 2,600 | 2,675,179 | |||||||||||||
| Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A |
Baa3 | 5.125% | 06/26/22 | 2,500 | 2,712,500 | |||||||||||||
| Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A |
Baa3 | 7.125% | 06/26/42 | 1,540 | 1,786,400 | |||||||||||||
| Toll Brothers Finance Corp., Gtd. Notes |
Ba1 | 5.150% | 05/15/15 | 4,695 | 5,012,462 | |||||||||||||
| 12,186,541 | ||||||||||||||||||
| Cable — 2.0% |
||||||||||||||||||
| Cequel Communications Holdings I LLC and Cequel Capital Corp., Sr. Unsec’d. Notes, 144A |
B3 | 8.625% | 11/15/17 | 2,300 | 2,461,000 | |||||||||||||
| Columbus International, Inc. (Barbados), Sr. Sec’d. Notes, 144A |
B2 | 11.500% | 11/20/14 | 370 | 410,700 | |||||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(d) |
Ba3 | 6.750% | 11/15/21 | 2,225 | 2,466,969 | |||||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(d) |
Ba3 | 8.625% | 02/15/19 | 1,610 | 1,923,950 | |||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.500% | 03/01/16 | 2,825 | 2,992,822 | |||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.550% | 03/15/15 | 275 | 289,288 | |||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 5.150% | 03/15/42 | 1,375 | 1,390,720 | |||||||||||||
| Echostar DBS Corp., Gtd. Notes |
Ba2 | 6.625% | 10/01/14 | 1,400 | 1,505,000 | |||||||||||||
| Echostar DBS Corp., Gtd. Notes(d) |
Ba2 | 7.000% | 10/01/13 | 2,000 | 2,080,000 | |||||||||||||
| Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, Reg.-S |
B1 | 8.875% | 12/01/18 | EUR | 800 | 1,071,806 | ||||||||||||
| TCI Communications, Inc., Sr. Unsec’d. Notes |
Baa1 | 7.875% | 02/15/26 | 750 | 1,054,168 | |||||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
Baa2 | 6.750% | 07/01/18 | 5,520 | 6,895,490 | |||||||||||||
| Videotron Ltee (Canada), Gtd. Notes |
Ba2 | 9.125% | 04/15/18 | 1,996 | 2,125,740 | |||||||||||||
| 26,667,653 | ||||||||||||||||||
| Capital Goods — 1.1% |
||||||||||||||||||
| Case New Holland, Inc., Gtd. Notes |
Ba2 | 7.750% | 09/01/13 | 1,000 | 1,040,000 | |||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 5.625% | 03/15/42 | 825 | 914,004 | |||||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
Aa3 | 4.125% | 10/09/42 | 1,275 | 1,311,526 | |||||||||||||
| Hutchison Whampoa International (11) Ltd. (Cayman Islands), Gtd. Notes, 144A(d) |
A3 | 4.625% | 01/13/22 | 1,140 | 1,271,604 | |||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A |
Baa3 | 2.500% | 07/11/14 | 475 | 479,962 | |||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Notes, 144A |
Baa3 | 2.500% | 03/15/16 | 2,025 | 2,030,456 | |||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., |
Baa3 | 3.125% | 05/11/15 | 675 | 688,729 | |||||||||||||
| Rockwell Automation, Inc., Sr. Unsec’d. Notes |
A3 | 5.200% | 01/15/98 | 1,100 | 1,131,298 | |||||||||||||
| Tyco Flow Control International Finance SA (Luxembourg), Gtd. Notes, 144A |
Baa2 | 1.875% | 09/15/17 | 625 | 626,837 | |||||||||||||
| United Technologies Corp., Sr. Unsec’d. Notes |
A2 | 4.500% | 06/01/42 | 2,425 | 2,694,566 | |||||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.875% | 10/01/21 | 1,960 | 2,225,241 | |||||||||||||
| 14,414,223 | ||||||||||||||||||
| Chemicals — 0.9% |
||||||||||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
Baa2 | 6.125% | 01/15/41 | 450 | 541,030 | |||||||||||||
| CF Industries, Inc., Gtd. Notes |
Baa3 | 6.875% | 05/01/18 | 785 | 958,966 | |||||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa2 | 9.400% | 05/15/39 | 1,252 | 2,061,334 | |||||||||||||
| Reliance Holdings USA, Inc., Gtd. Notes, 144A |
Baa2 | 5.400% | 02/14/22 | 4,000 | 4,473,908 | |||||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes(d) |
Baa2 | 7.875% | 04/01/23 | 3,058 | 3,869,658 | |||||||||||||
| 11,904,896 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Consumer — 0.6% |
||||||||||||||||||
| Sealy Mattress Co., Sr. Sec’d. Notes, 144A |
Ba3 | 10.875% | 04/15/16 | $ | 5,231 | $ | 5,544,860 | |||||||||||
| Service Corp. International, Sr. Unsec’d. Notes |
Ba3 | 7.625% | 10/01/18 | 2,000 | 2,380,000 | |||||||||||||
| 7,924,860 | ||||||||||||||||||
| Electric — 1.8% |
||||||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes(d) |
Ba3 | 9.750% | 04/15/16 | 775 | 926,125 | |||||||||||||
| Dubai Electricity & Water Authority (United Arab Emirates), Sr. Unsec’d. Notes, 144A |
Baa3 | 8.500% | 04/22/15 | 1,275 | 1,440,750 | |||||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes |
Baa2 | 6.000% | 05/15/35 | 2,325 | 2,899,159 | |||||||||||||
| Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes |
Baa2 | 8.350% | 08/01/13 | 625 | 648,963 | |||||||||||||
| ENEL Finance International NV (Netherlands), Gtd. Notes, 144A |
Baa2 | 6.000% | 10/07/39 | 3,200 | 3,098,710 | |||||||||||||
| Enersis SA (Chile), Sr. Unsec’d. Notes |
Baa2 | 7.375% | 01/15/14 | 3,700 | 3,898,394 | |||||||||||||
| Exelon Corp., Sr. Unsec’d. Notes |
Baa2 | 4.900% | 06/15/15 | 500 | 544,264 | |||||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
Baa1 | 6.200% | 10/01/17 | 1,930 | 2,279,166 | |||||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
Baa1 | 6.250% | 10/01/39 | 1,900 | 2,209,436 | |||||||||||||
| Iberdrola International BV (Netherlands), Gtd. Notes |
Baa1 | 6.750% | 09/15/33 | 1,150 | 1,233,688 | |||||||||||||
| TransAlta Corp. (Canada), Sr. Unsec’d. Notes |
Baa3 | 6.650% | 05/15/18 | 1,953 | 2,244,723 | |||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.613% | 04/01/17 | 1,947 | 2,278,037 | |||||||||||||
| 23,701,415 | ||||||||||||||||||
| Energy – Integrated — 0.6% |
||||||||||||||||||
| Cenovus Energy, Inc. (Canada), Sr. Unsec’d. Notes |
Baa2 | 4.450% | 09/15/42 | 1,825 | 1,897,432 | |||||||||||||
| LUKOIL International Finance BV (Netherlands), Gtd. Notes, 144A |
Baa2 | 7.250% | 11/05/19 | 1,300 | 1,589,250 | |||||||||||||
| Pacific Rubiales Energy Corp. (Canada), Gtd. Notes, 144A(d) |
Ba2 | 7.250% | 12/12/21 | 1,340 | 1,547,700 | |||||||||||||
| Pacific Rubiales Energy Corp. (Canada), Gtd. Notes, Reg.-S |
Ba2 | 7.250% | 12/12/21 | 340 | 392,700 | |||||||||||||
| Sasol Financing International PLC (Isle of Man), Gtd. Notes |
Baa1 | 4.500% | 11/14/22 | 1,925 | 1,934,625 | |||||||||||||
| TNK-BP Finance SA (Luxembourg), Gtd. Notes, 144A, MTN |
Baa2 | 6.625% | 03/20/17 | 585 | 665,438 | |||||||||||||
| 8,027,145 | ||||||||||||||||||
| Energy – Other — 1.6% |
||||||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.375% | 09/15/17 | 2,515 | 3,004,155 | |||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.450% | 09/15/36 | 1,450 | 1,816,512 | |||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.950% | 06/15/19 | 250 | 315,954 | |||||||||||||
| Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A |
A1 | 5.888% | 06/15/19 | 2,492 | 2,809,740 | |||||||||||||
| Forest Oil Corp., Gtd. Notes |
B2 | 8.500% | 02/15/14 | 484 | 513,040 | |||||||||||||
| Nabors Industries, Inc., Gtd. Notes |
Baa2 | 4.625% | 09/15/21 | 1,650 | 1,775,796 | |||||||||||||
| Noble Energy, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.000% | 03/01/41 | 1,650 | 1,987,600 | |||||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
Baa3 | 6.875% | 05/01/18 | 1,750 | 2,129,025 | |||||||||||||
| Precision Drilling Corp. (Canada), Gtd. Notes(d) |
Ba1 | 6.625% | 11/15/20 | 1,000 | 1,075,000 | |||||||||||||
| Rosneft Oil Co. Via Rosneft International Finance Ltd. (Ireland), Sr. Unsec’d. Notes, 144A |
BBB-(c) | 3.149% | 03/06/17 | 1,165 | 1,182,475 | |||||||||||||
| Transocean, Inc. (Cayman Islands), Gtd. Notes |
Baa3 | 2.500% | 10/15/17 | 1,075 | 1,086,309 | |||||||||||||
| Weatherford International Ltd. (Bermuda), Gtd. Notes(d) |
Baa2 | 5.125% | 09/15/20 | 1,165 | 1,283,818 | |||||||||||||
| Weatherford International Ltd. (Bermuda), Gtd. Notes(d) |
Baa2 | 5.950% | 04/15/42 | 1,550 | 1,682,293 | |||||||||||||
| 20,661,717 | ||||||||||||||||||
| Foods — 2.2% |
||||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 6.875% | 11/15/19 | 2,200 | 2,888,818 | |||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 7.750% | 01/15/19 | 1,640 | 2,190,408 | |||||||||||||
| ARAMARK Corp., Gtd. Notes |
B3 | 8.500% | 02/01/15 | 5,369 | 5,395,899 | |||||||||||||
| ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A |
B3 | 8.625% | 05/01/16 | 1,185 | 1,213,156 | |||||||||||||
| Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A |
B2 | 9.000% | 02/10/17 | 1,000 | 1,065,000 | |||||||||||||
| Cott Beverages, Inc., Gtd. Notes |
B3 | 8.125% | 09/01/18 | 1,756 | 1,940,380 | |||||||||||||
| Dole Food Co., Inc., Sec’d. Notes |
B2 | 13.875% | 03/15/14 | 2,600 | 2,879,500 | |||||||||||||
| Ingles Markets, Inc., Sr. Unsec’d. Notes |
B1 | 8.875% | 05/15/17 | 1,500 | 1,599,375 | |||||||||||||
| JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A |
B1 | 7.250% | 06/01/21 | 1,330 | 1,333,325 | |||||||||||||
| Kraft Foods Group, Inc., Gtd. Notes, 144A |
Baa2 | 5.000% | 06/04/42 | 900 | 1,012,049 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Foods (continued) |
||||||||||||||||||
| Minerva Luxembourg SA (Luxembourg), Gtd. Notes, 144A(d) |
B2 | 12.250% | 02/10/22 | $ | 725 | $ | 868,187 | |||||||||||
| Stater Bros. Holdings, Inc., Gtd. Notes |
B2 | 7.750% | 04/15/15 | 2,200 | 2,244,000 | |||||||||||||
| SUPERVALU, Inc., Sr. Unsec’d. Notes(d) |
Caa1 | 7.500% | 11/15/14 | 2,415 | 2,342,550 | |||||||||||||
| Tyson Foods, Inc., Gtd. Notes |
Baa3 | 6.600% | 04/01/16 | 1,000 | 1,145,945 | |||||||||||||
| 28,118,592 | ||||||||||||||||||
| Gaming — 0.6% |
||||||||||||||||||
| Ameristar Casinos, Inc., Gtd. Notes(d) |
B3 | 7.500% | 04/15/21 | 1,550 | 1,679,813 | |||||||||||||
| Marina District Finance Co., Inc., Sr. Sec’d. Notes(d) |
B2 | 9.500% | 10/15/15 | 1,710 | 1,658,700 | |||||||||||||
| Pinnacle Entertainment, Inc., Gtd. Notes(d) |
B1 | 8.625% | 08/01/17 | 2,500 | 2,684,375 | |||||||||||||
| Yonkers Racing Corp., Sec’d. Notes, 144A |
B1 | 11.375% | 07/15/16 | 1,300 | 1,404,000 | |||||||||||||
| 7,426,888 | ||||||||||||||||||
| Healthcare & Pharmaceutical — 1.5% |
||||||||||||||||||
| AbbVie, Inc., Gtd. Notes, 144A |
Baa1 | 4.400% | 11/06/42 | 850 | 903,664 | |||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.150% | 11/15/41 | 2,515 | 2,830,296 | |||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.375% | 05/15/43 | 405 | 477,506 | |||||||||||||
| Aristotle Holding, Inc., Gtd. Notes, 144A |
Baa3 | 2.750% | 11/21/14 | 3,750 | 3,868,481 | |||||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes |
B3 | 8.000% | 11/15/19 | 2,500 | 2,706,250 | |||||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.650% | 12/01/41 | 825 | 1,024,892 | |||||||||||||
| HCA, Inc., Gtd. Notes |
B3 | 8.000% | 10/01/18 | 2,250 | 2,604,375 | |||||||||||||
| HCA, Inc., Sr. Unsec’d. Notes |
B3 | 6.375% | 01/15/15 | 1,000 | 1,081,250 | |||||||||||||
| HCA, Inc., Sr. Unsec’d. Notes, MTN |
B3 | 9.000% | 12/15/14 | 320 | 356,800 | |||||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes(d) |
Baa2 | 3.750% | 08/23/22 | 225 | 238,605 | |||||||||||||
| Mylan, Inc., Gtd. Notes, 144A(d) |
Baa3 | 7.625% | 07/15/17 | 2,030 | 2,281,454 | |||||||||||||
| Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes |
Baa3 | 4.625% | 10/01/42 | 700 | 728,793 | |||||||||||||
| 19,102,366 | ||||||||||||||||||
| Healthcare Insurance — 1.1% |
||||||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.750% | 12/15/37 | 1,900 | 2,635,727 | |||||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 4.375% | 12/15/20 | 745 | 822,735 | |||||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 5.375% | 03/15/17 | 2,125 | 2,406,418 | |||||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 5.875% | 03/15/41 | 750 | 910,481 | |||||||||||||
| Coventry Health Care, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.125% | 01/15/15 | 4,025 | 4,397,172 | |||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 06/15/37 | 760 | 1,001,129 | |||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.625% | 11/15/37 | 195 | 257,894 | |||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.625% | 05/15/42 | 525 | 542,229 | |||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes(d) |
Baa2 | 4.650% | 01/15/43 | 1,225 | 1,276,592 | |||||||||||||
| 14,250,377 | ||||||||||||||||||
| Insurance — 3.0% |
||||||||||||||||||
| Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes |
Baa1 | 5.500% | 11/15/20 | 430 | 476,632 | |||||||||||||
| Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes |
Baa1 | 7.500% | 08/01/16 | 2,475 | 2,924,259 | |||||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes(d) |
A3 | 5.200% | 01/15/42 | 225 | 267,039 | |||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 4.250% | 05/15/13 | 1,820 | 1,842,106 | |||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.050% | 10/01/15 | 315 | 347,562 | |||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.400% | 12/15/20 | 950 | 1,178,758 | |||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 8.250% | 08/15/18 | 2,005 | 2,634,341 | |||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes, MTN |
Baa1 | 5.850% | 01/16/18 | 3,700 | 4,374,129 | |||||||||||||
| Axis Capital Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes |
Baa1 | 5.750% | 12/01/14 | 3,350 | 3,592,775 | |||||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(a)(d) |
A3 | 6.375% | 03/29/67 | 1,775 | 1,934,750 | |||||||||||||
| Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes |
Baa1 | 7.000% | 07/15/34 | 1,350 | 1,521,852 | |||||||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(d) |
Baa3 | 5.125% | 04/15/22 | 500 | 576,925 | |||||||||||||
| Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A |
Baa2 | 6.500% | 03/15/35 | 1,030 | 1,125,521 | |||||||||||||
| Lincoln National Corp., Jr. Sub. Notes(a) |
Ba1 | 6.050% | 04/20/67 | 350 | 348,687 | |||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 7.000% | 06/15/40 | 1,265 | 1,646,454 | |||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 8.750% | 07/01/19 | 1,265 | 1,691,680 | |||||||||||||
| Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A |
A1 | 8.875% | 06/01/39 | 1,200 | 1,812,052 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Insurance (continued) |
||||||||||||||||||
| Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(a) |
A2 | 5.000% | 10/18/42 | $ | 850 | $ | 897,841 | |||||||||||
| Northwestern Mutual Life Insurance, Sub. Notes, 144A |
Aa2 | 6.063% | 03/30/40 | 500 | 638,347 | |||||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
Baa1 | 6.375% | 04/30/20 | 850 | 968,002 | |||||||||||||
| Principal Financial Group, Inc., Gtd. Notes |
A3 | 4.625% | 09/15/42 | 150 | 152,452 | |||||||||||||
| Progressive Corp. (The), Jr. Sub. Notes(a)(d) |
A2 | 6.700% | 06/15/37 | 1,015 | 1,096,200 | |||||||||||||
| Teachers Insurance & Annuity Association of America, Sub. Notes, 144A |
Aa2 | 6.850% | 12/16/39 | 2,310 | 3,132,995 | |||||||||||||
| Unum Group, Sr. Unsec’d. Notes |
Baa2 | 5.625% | 09/15/20 | 500 | 571,290 | |||||||||||||
| Willis Group Holdings PLC (Ireland), Gtd. Notes |
Baa3 | 4.125% | 03/15/16 | 1,280 | 1,365,272 | |||||||||||||
| XL Group PLC (Ireland), Jr. Sub. Notes, Ser. E(a)(d) |
Ba1 | 6.500% | 12/31/49 | 1,880 | 1,757,800 | |||||||||||||
| XL Group PLC (Ireland), Sr. Unsec’d. Notes |
Baa2 | 5.250% | 09/15/14 | 140 | 149,077 | |||||||||||||
| 39,024,798 | ||||||||||||||||||
| Lodging — 0.6% |
||||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
B2 | 10.000% | 10/01/14 | 3,938 | 4,548,390 | |||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
Baa2 | 3.250% | 09/15/22 | 1,325 | 1,325,392 | |||||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
Baa3 | 5.750% | 02/01/18 | 2,150 | 2,403,300 | |||||||||||||
| 8,277,082 | ||||||||||||||||||
| Media & Entertainment — 2.7% |
||||||||||||||||||
| British Sky Broadcasting Group PLC (United Kingdom), Gtd. Notes, 144A |
Baa1 | 6.100% | 02/15/18 | 210 | 250,927 | |||||||||||||
| CBS Corp., Gtd. Notes(b) |
Baa2 | 4.850% | 07/01/42 | 2,450 | 2,549,935 | |||||||||||||
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes |
B2 | 9.125% | 08/01/18 | 2,300 | 2,587,500 | |||||||||||||
| Globo Comunicacao e Participacoes SA (Brazil), |
Baa2 | 5.307% | 05/11/22 | 900 | 981,000 | |||||||||||||
| Historic TW, Inc., Gtd. Notes |
Baa2 | 6.625% | 05/15/29 | 225 | 287,114 | |||||||||||||
| Liberty Interactive LLC, Sr. Unsec’d. Notes |
B3 | 5.700% | 05/15/13 | 800 | 811,000 | |||||||||||||
| NBCUniversal Media LLC, Sr. Unsec’d. Notes |
Baa2 | 4.375% | 04/01/21 | 1,350 | 1,516,512 | |||||||||||||
| NBCUniversal Media LLC, Sr. Unsec’d. Notes |
Baa2 | 4.450% | 01/15/43 | 2,675 | 2,708,804 | |||||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.150% | 03/01/37 | 460 | 564,542 | |||||||||||||
| News America, Inc., Gtd. Notes(d) |
Baa1 | 6.150% | 02/15/41 | 1,430 | 1,811,214 | |||||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.900% | 08/15/39 | 65 | 85,102 | |||||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 7.625% | 11/30/28 | 1,415 | 1,823,900 | |||||||||||||
| Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes |
B2 | 11.625% | 02/01/14 | 1,400 | 1,554,000 | |||||||||||||
| RR Donnelley & Sons Co., Sr. Unsec’d. Notes |
Ba3 | 4.950% | 04/01/14 | 7,000 | 7,157,500 | |||||||||||||
| RR Donnelley & Sons Co., Sr. Unsec’d. Notes(d) |
Ba3 | 8.600% | 08/15/16 | 4,750 | 5,106,250 | |||||||||||||
| Time Warner Cos., Inc., Gtd. Notes |
Baa2 | 6.950% | 01/15/28 | 2,153 | 2,801,208 | |||||||||||||
| Time Warner Cos., Inc., Gtd. Notes(d) |
Baa2 | 7.250% | 10/15/17 | 1,440 | 1,808,175 | |||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes, 144A |
Baa1 | 4.375% | 03/15/43 | 1,158 | 1,139,131 | |||||||||||||
| 35,543,814 | ||||||||||||||||||
| Metals — 1.6% |
||||||||||||||||||
| Adaro Indonesia PT (Indonesia), Gtd. Notes |
Ba1 | 7.625% | 10/22/19 | 745 | 826,950 | |||||||||||||
| Berau Capital Resources Pte Ltd. (Singapore), |
B1 | 12.500% | 07/08/15 | 1,600 | 1,740,000 | |||||||||||||
| Bumi Investment Pte Ltd. (Singapore), |
B1 | 10.750% | 10/06/17 | 610 | 539,850 | |||||||||||||
| Indo Integrated Energy II BV (Netherlands), |
B1 | 9.750% | 11/05/16 | 2,025 | 2,207,250 | |||||||||||||
| Newmont Mining Corp., Gtd. Notes |
Baa1 | 6.250% | 10/01/39 | 2,025 | 2,438,797 | |||||||||||||
| Novelis, Inc. (Canada), Gtd. Notes(d) |
B2 | 8.375% | 12/15/17 | 3,525 | 3,886,312 | |||||||||||||
| Peabody Energy Corp., Gtd. Notes |
Ba1 | 6.000% | 11/15/18 | 4,075 | 4,329,687 | |||||||||||||
| Raspadskaya OJSC Via Raspadskaya Securities Ltd. (Ireland), Unsec’d. Notes, 144A |
B1 | 7.750% | 04/27/17 | 1,000 | 1,060,000 | |||||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
Baa2 | 6.750% | 04/16/40 | 600 | 722,325 | |||||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
Baa2 | 7.500% | 07/27/35 | 550 | 706,083 | |||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
Baa2 | 2.850% | 11/10/14 | 1,825 | 1,873,180 | |||||||||||||
| 20,330,434 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Non-Captive Finance — 2.7% |
||||||||||||||||||
| Cielo SA/Cielo USA, Inc. (Brazil), Gtd. Notes, 144A(d) |
Baa2 | 3.750% | 11/16/22 | $ | 1,675 | $ | 1,653,225 | |||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
A1 | 5.875% | 01/14/38 | 675 | 814,220 | |||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, |
A1 | 6.000% | 08/07/19 | 6,315 | 7,682,595 | |||||||||||||
| General Electric Capital Corp., Sub. Notes |
A2 | 5.300% | 02/11/21 | 1,185 | 1,375,527 | |||||||||||||
| HSBC Finance Corp., Sr. Sub. Notes |
Baa2 | 6.676% | 01/15/21 | 295 | 349,980 | |||||||||||||
| International Lease Finance Corp., Sr. Sec’d. Notes, 144A |
Ba2 | 6.500% | 09/01/14 | 2,875 | 3,069,063 | |||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
Ba3 | 5.750% | 05/15/16 | 1,125 | 1,185,850 | |||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes(d) |
Ba3 | 6.250% | 05/15/19 | 1,400 | 1,491,000 | |||||||||||||
| Nelnet, Inc., Jr. Sub. Notes(a) |
Ba2 | 3.686% | 09/29/36 | 6,100 | 4,819,000 | |||||||||||||
| Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. (Cayman Islands), Sr. Sec’d. Notes, 144A(a)(b) |
Aa2 | 1.087% | 07/03/33 | 1,588 | 1,238,807 | |||||||||||||
| Schahin II Finance Co. SPV Ltd. (Cayman Islands), |
Baa3 | 5.875% | 09/25/22 | 1,900 | 2,028,250 | |||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 5.050% | 11/14/14 | 4,150 | 4,356,085 | |||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 6.000% | 01/25/17 | 1,075 | 1,163,687 | |||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.450% | 06/15/18 | 3,200 | 3,744,000 | |||||||||||||
| Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN(d) |
Caa1 | 6.900% | 12/15/17 | 1,000 | 895,000 | |||||||||||||
| 35,866,289 | ||||||||||||||||||
| Packaging — 0.3% |
||||||||||||||||||
| Greif Luxembourg Finance SCA (Luxembourg), |
Ba2 | 7.375% | 07/15/21 | EUR | 1,470 | 2,192,582 | ||||||||||||
| Greif, Inc., Sr. Unsec’d. Notes |
Ba2 | 7.750% | 08/01/19 | 1,815 | 2,096,325 | |||||||||||||
| 4,288,907 | ||||||||||||||||||
| Paper — 0.9% |
||||||||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 6.000% | 11/15/41 | 675 | 799,289 | |||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 7.300% | 11/15/39 | 1,000 | 1,355,560 | |||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 7.950% | 06/15/18 | 2,205 | 2,850,681 | |||||||||||||
| MeadWestvaco Corp., Sr. Unsec’d. Notes(d) |
Baa3 | 7.375% | 09/01/19 | 4,400 | 5,519,136 | |||||||||||||
| Rock-Tenn Co., Sr. Unsec’d. Notes, 144A(d) |
Ba1 | 4.450% | 03/01/19 | 1,165 | 1,256,890 | |||||||||||||
| 11,781,556 | ||||||||||||||||||
| Pipelines & Other — 0.7% |
||||||||||||||||||
| Enterprise Products Operating LLC, Gtd. Notes |
Baa2 | 5.700% | 02/15/42 | 900 | 1,054,044 | |||||||||||||
| Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes |
Baa2 | 5.000% | 08/15/42 | 550 | 582,878 | |||||||||||||
| Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes |
Baa2 | 7.300% | 08/15/33 | 1,550 | 2,021,045 | |||||||||||||
| NiSource Finance Corp., Gtd. Notes |
Baa3 | 5.450% | 09/15/20 | 1,345 | 1,580,507 | |||||||||||||
| ONEOK Partners LP, Gtd. Notes |
Baa2 | 2.000% | 10/01/17 | 750 | 756,234 | |||||||||||||
| Sempra Energy, Sr. Unsec’d. Notes |
Baa1 | 6.500% | 06/01/16 | 2,275 | 2,667,101 | |||||||||||||
| 8,661,809 | ||||||||||||||||||
| Real Estate Investment Trusts — 0.8% |
||||||||||||||||||
| Hospitality Properties Trust, Sr. Unsec’d. Notes |
Baa2 | 7.875% | 08/15/14 | 2,900 | 3,095,817 | |||||||||||||
| ProLogis LP, Gtd. Notes |
Baa2 | 6.875% | 03/15/20 | 8 | 9,684 | |||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 2.800% | 01/30/17 | 45 | 47,483 | |||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes(d) |
A3 | 3.375% | 03/15/22 | 325 | 343,238 | |||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 6.125% | 05/30/18 | 40 | 48,725 | |||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes(d) |
A3 | 10.350% | 04/01/19 | 1,685 | 2,409,528 | |||||||||||||
| WEA Finance LLC/WT Finance Aust Pty Ltd., Gtd. Notes, 144A |
A2 | 5.750% | 09/02/15 | 4,000 | 4,465,832 | |||||||||||||
| 10,420,307 | ||||||||||||||||||
| Retailers — 0.5% |
||||||||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 09/15/39 | 2,000 | 2,559,520 | |||||||||||||
| Susser Holdings LLC/Susser Finance Corp., Gtd. Notes |
B2 | 8.500% | 05/15/16 | 2,565 | 2,725,312 | |||||||||||||
| Wal-Mart Stores, Inc., Sr. Unsec’d. Notes(d) |
Aa2 | 5.625% | 04/15/41 | 1,190 | 1,558,397 | |||||||||||||
| 6,843,229 | ||||||||||||||||||
| Technology — 1.6% |
||||||||||||||||||
| Arrow Electronics, Inc., Sr. Unsec’d. Notes |
Baa3 | 3.375% | 11/01/15 | 600 | 622,544 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Technology (continued) |
||||||||||||||||||
| Avaya, Inc., Gtd. Notes, PIK |
Caa2 | 10.125% | 11/01/15 | $ | 2,500 | $ | 2,237,500 | |||||||||||
| CDW LLC/CDW Finance Corp., Gtd. Notes |
Caa1 | 12.535% | 10/12/17 | 2,128 | 2,274,300 | |||||||||||||
| Fiserv, Inc., Gtd. Notes |
Baa2 | 3.125% | 10/01/15 | 195 | 204,448 | |||||||||||||
| Seagate HDD Cayman (Cayman Islands), Gtd. Notes(d) |
Ba1 | 6.875% | 05/01/20 | 2,875 | 3,058,281 | |||||||||||||
| Seagate HDD Cayman (Cayman Islands), Gtd. Notes |
Ba1 | 7.750% | 12/15/18 | 1,700 | 1,867,875 | |||||||||||||
| Seagate Technology International (Cayman Islands), |
Baa3 | 10.000% | 05/01/14 | 2,794 | 3,007,043 | |||||||||||||
| STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A |
Ba1 | 7.500% | 08/12/15 | 1,000 | 1,065,000 | |||||||||||||
| SunGard Data Systems, Inc., Gtd. Notes(d) |
Caa1 | 7.625% | 11/15/20 | 1,700 | 1,857,250 | |||||||||||||
| TransUnion LLC/TransUnion Financing Corp., Gtd. Notes |
B2 | 11.375% | 06/15/18 | 1,850 | 2,155,250 | |||||||||||||
| Xerox Corp., Sr. Unsec’d. Notes |
Baa2 | 4.250% | 02/15/15 | 2,000 | 2,103,378 | |||||||||||||
| 20,452,869 | ||||||||||||||||||
| Telecommunications — 2.0% |
||||||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
A2 | 6.125% | 03/30/40 | 795 | 1,045,938 | |||||||||||||
| AT&T Corp., Gtd. Notes |
A2 | 8.000% | 11/15/31 | 103 | 155,872 | |||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 5.350% | 09/01/40 | 483 | 562,477 | |||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 6.550% | 02/15/39 | 1,990 | 2,615,085 | |||||||||||||
| British Telecommunications PLC (United Kingdom), |
Baa2 | 9.625% | 12/15/30 | 328 | 521,087 | |||||||||||||
| CC Holdings GS V LLC/Crown Castle GS III Corp., |
Baa2 | 7.750% | 05/01/17 | 3,000 | 3,185,400 | |||||||||||||
| Cellco Partnership/Verizon Wireless Capital LLC, |
A2 | 8.500% | 11/15/18 | 2,255 | 3,102,204 | |||||||||||||
| Digicel Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A(d) |
B1 | 12.000% | 04/01/14 | 1,910 | 2,077,125 | |||||||||||||
| Eileme 2 AB (Sweden), Sr. Sec’d. Notes, 144A(d) |
B3 | 11.625% | 01/31/20 | 1,700 | 1,980,500 | |||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
Baa3 | 7.995% | 06/01/36 | 1,250 | 1,380,651 | |||||||||||||
| MetroPCS Wireless, Inc., Gtd. Notes(d) |
B2 | 7.875% | 09/01/18 | 775 | 838,937 | |||||||||||||
| Qwest Corp., Sr. Unsec’d. Notes(a) |
Baa3 | 3.558% | 06/15/13 | 3,750 | 3,778,856 | |||||||||||||
| SK Telecom Co. Ltd. (South Korea), |
A3 | 2.125% | 05/01/18 | 2,175 | 2,186,893 | |||||||||||||
| Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Sr. Unsec’d. Notes, 144A(b) |
Ba3 | 9.125% | 04/30/18 | 200 | 242,250 | |||||||||||||
| Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Unsec’d. Notes, 144A |
Ba3 | 7.748% | 02/02/21 | 1,300 | 1,501,500 | |||||||||||||
| Wind Acquisition Finance SA (Luxembourg), Sec’d. Notes, 144A |
B3 | 11.750% | 07/15/17 | EUR | 450 | 622,195 | ||||||||||||
| 25,796,970 | ||||||||||||||||||
| Tobacco — 0.5% |
||||||||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.950% | 11/10/38 | 2,715 | 4,472,797 | |||||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
Baa2 | 3.500% | 08/04/16 | 515 | 544,972 | |||||||||||||
| Lorillard Tobacco Co., Gtd. Notes(d) |
Baa2 | 8.125% | 06/23/19 | 895 | 1,142,045 | |||||||||||||
| 6,159,814 | ||||||||||||||||||
| TOTAL CORPORATE BONDS |
|
577,302,216 | ||||||||||||||||
| FOREIGN AGENCIES — 3.5% | ||||||||||||||||||
| Export Credit Bank of Turkey (Turkey), Unsec’d. Notes, 144A |
Ba1 | 5.375% | 11/04/16 | 265 | 288,585 | |||||||||||||
| GAZ Capital SA For Gazprom (Luxembourg), |
Baa1 | 4.950% | 05/23/16 | 1,950 | 2,093,812 | |||||||||||||
| GAZ Capital SA For Gazprom (Luxembourg), |
Baa1 | 6.510% | 03/07/22 | 975 | 1,162,687 | |||||||||||||
| GAZ Capital SA For Gazprom (Luxembourg), |
Baa1 | 9.250% | 04/23/19 | 2,845 | 3,766,069 | |||||||||||||
| GAZ Capital SA For Gazprom (Luxembourg), |
Baa1 | 9.250% | 04/23/19 | 1,080 | 1,429,650 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| FOREIGN AGENCIES (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Gazprom International SA For Gazprom (Luxembourg), |
BBB+(c) | 7.201% | 02/01/20 | $ | 467 | $ | 523,253 | |||||||||||
| IPIC GMTN Ltd. (Cayman Islands), |
Aa3 | 5.500% | 03/01/22 | 2,375 | 2,799,531 | |||||||||||||
| KazMunayGas National Co. (Netherlands), |
Baa3 | 9.125% | 07/02/18 | 935 | 1,236,538 | |||||||||||||
| KazMunayGas National Co. (Netherlands), |
Baa3 | 11.750% | 01/23/15 | 1,475 | 1,760,781 | |||||||||||||
| Korea Development Bank (The) (South Korea), |
Aa3 | 3.500% | 08/22/17 | 2,400 | 2,567,837 | |||||||||||||
| Korea Development Bank (The) (South Korea), |
Aa3 | 3.875% | 05/04/17 | 2,600 | 2,810,909 | |||||||||||||
| Korea Expressway Corp. (South Korea), Sr. Unsec’d. Notes, |
A1 | 4.500% | 03/23/15 | 1,785 | 1,905,584 | |||||||||||||
| Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes |
Aa3 | 4.625% | 11/16/21 | 600 | 678,109 | |||||||||||||
| Korea Gas Corp. (South Korea), Sr. Unsec’d. Notes, Reg.-S(d) |
A1 | 4.250% | 11/02/20 | 1,750 | 1,921,322 | |||||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
A1 | 3.000% | 09/19/22 | 1,450 | 1,426,391 | |||||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
A1 | 4.750% | 07/13/21 | 1,650 | 1,866,363 | |||||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
A1 | 6.250% | 06/17/14 | 2,730 | 2,922,105 | |||||||||||||
| National Agricultural Cooperative Federation (South Korea), |
A1 | 3.500% | 02/08/17 | 1,575 | 1,653,767 | |||||||||||||
| Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(d) |
A3 | 5.375% | 01/27/21 | 2,925 | 3,293,024 | |||||||||||||
| Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes, |
NR | 4.900% | 10/28/14 | 3,435 | 3,283,860 | |||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
Baa1 | 4.875% | 01/24/22 | 2,100 | 2,369,850 | |||||||||||||
| Power Sector Assets & Liabilities Management Corp. (Philippines), Gtd. Notes, Reg.-S |
Ba1 | 7.390% | 12/02/24 | 1,750 | 2,436,875 | |||||||||||||
| State Bank of India (India), Sr. Unsec’d. Notes, 144A(d) |
Baa2 | 4.125% | 08/01/17 | 1,250 | 1,287,250 | |||||||||||||
| TOTAL FOREIGN AGENCIES |
|
45,484,152 | ||||||||||||||||
| MORTGAGE-BACKED SECURITIES — 4.2% | ||||||||||||||||||
| Federal Home Loan Mortgage Corp. |
1.250% | 10/02/19 | 6,860 | 6,839,928 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/19 | 265 | 286,698 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 10/01/33-06/01/34 | 2,216 | 2,488,428 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 11/01/33-06/01/34 | 1,542 | 1,709,921 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 07/01/32-09/01/32 | 1,297 | 1,474,570 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 10/01/32 | 165 | 193,697 | ||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 1,500 | 1,596,387 | ||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 4,000 | 4,264,531 | ||||||||||||||
| Federal National Mortgage Association |
4.000% | 05/01/19 | 188 | 204,256 | ||||||||||||||
| Federal National Mortgage Association |
4.500% | 12/01/18-02/01/35 | 1,656 | 1,805,662 | ||||||||||||||
| Federal National Mortgage Association |
5.500% | 03/01/17-09/01/34 | 5,284 | 5,777,278 | ||||||||||||||
| Federal National Mortgage Association |
6.000% | 09/01/17-11/01/36 | 4,098 | 4,559,277 | ||||||||||||||
| Federal National Mortgage Association |
6.500% | 12/01/14-11/01/33 | 2,796 | 3,149,735 | ||||||||||||||
| Federal National Mortgage Association |
7.000% | 05/01/32-06/01/32 | 236 | 281,214 | ||||||||||||||
| Government National Mortgage Association |
3.000% | TBA 30 YR | 1,500 | 1,594,688 | ||||||||||||||
| Government National Mortgage Association |
4.500% | TBA 30 YR | 7,000 | 7,663,906 | ||||||||||||||
| Government National Mortgage Association |
5.500% | 01/15/33-07/15/35 | 3,767 | 4,169,930 | ||||||||||||||
| Government National Mortgage Association |
6.000% | 12/15/32-11/15/34 | 3,418 | 3,890,496 | ||||||||||||||
| Government National Mortgage Association |
6.500% | 09/15/32-11/15/33 | 2,610 | 3,054,796 | ||||||||||||||
| Government National Mortgage Association |
7.500% | 10/15/25-02/15/26 | 71 | 83,151 | ||||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
|
55,088,549 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| MUNICIPAL BONDS — 2.0% | Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
A1 | 6.907% | 10/01/50 | $ | 1,125 | $ | 1,601,460 | |||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
A2 | 6.395% | 01/01/40 | 1,380 | 1,786,368 | |||||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
Aa2 | 6.731% | 07/01/43 | 1,375 | 1,654,194 | |||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Ser. 2010A, BABs |
A3 | 7.102% | 01/01/41 | 1,175 | 1,666,209 | |||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs |
A3 | 7.414% | 01/01/40 | 2,050 | 3,003,598 | |||||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
Aa1 | 4.910% | 06/01/40 | 695 | 809,140 | |||||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
Aaa | 4.879% | 12/01/34 | 450 | 518,841 | |||||||||||||
| Oregon State Department of Transportation, Revenue Bonds, Ser. A, BABs |
Aa2 | 5.834% | 11/15/34 | 615 | 797,489 | |||||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, |
Aa3 | 5.511% | 12/01/45 | 800 | 949,032 | |||||||||||||
| Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs |
Aa2 | 5.844% | 11/01/50 | 1,000 | 1,357,910 | |||||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.300% | 10/01/39 | 2,280 | 3,159,465 | |||||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.625% | 03/01/40 | 725 | 1,041,165 | |||||||||||||
| State of Illinois, General Obligation Bonds |
A2 | 4.421% | 01/01/15 | 5,030 | 5,332,756 | |||||||||||||
| Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs |
Aaa | 5.028% | 04/01/26 | 425 | 514,492 | |||||||||||||
| University of California, Revenue Bonds, BABs |
Aa1 | 5.770% | 05/15/43 | 1,400 | 1,713,502 | |||||||||||||
| TOTAL MUNICIPAL BONDS |
|
25,905,621 | ||||||||||||||||
| SOVEREIGNS — 4.8% | ||||||||||||||||||
| Belgium Government International Bond (Belgium), |
NR | 2.750% | 03/05/15 | 2,100 | 2,185,665 | |||||||||||||
| Brazilian Government International Bond (Brazil), Sr. Unsec’d. Notes |
Baa2 | 7.375% | 02/03/15 | EUR | 900 | 1,350,119 | ||||||||||||
| Brazilian Government International Bond (Brazil), |
Baa2 | 11.000% | 06/26/17 | EUR | 1,600 | 2,971,489 | ||||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S |
Baa3 | 4.875% | 05/05/21 | 1,600 | 1,840,000 | |||||||||||||
| Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, Reg.-S |
Baa3 | 7.250% | 04/20/15 | 1,600 | 1,802,000 | |||||||||||||
| Indonesia Government International Bond (Indonesia), Unsec’d. Notes, 144A |
Baa3 | 3.750% | 04/25/22 | 2,000 | 2,132,500 | |||||||||||||
| Ireland Government Bond (Ireland), Sr. Unsub. Notes |
Ba1 | 4.400% | 06/18/19 | EUR | 780 | 1,033,230 | ||||||||||||
| Ireland Government Bond (Ireland), Unsec’d. Notes |
Ba1 | 4.500% | 04/18/20 | EUR | 2,600 | 3,431,794 | ||||||||||||
| Italy Buoni Poliennali del Tesoro (Italy), Bonds |
Baa2 | 4.750% | 05/01/17 | EUR | 1,970 | 2,770,897 | ||||||||||||
| Italy Buoni Poliennali del Tesoro (Italy), Bonds |
Baa2 | 6.500% | 11/01/27 | EUR | 3,545 | 5,437,289 | ||||||||||||
| Italy Government International Bond (Italy), |
Baa2 | 3.450% | 03/24/17 | JPY | 120,000 | 1,359,185 | ||||||||||||
| Italy Government International Bond (Italy), Sr. Unsec’d. Notes, Reg.-S |
Baa2 | 4.500% | 06/08/15 | JPY | 130,000 | 1,541,605 | ||||||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 5.500% | 02/17/20 | EUR | 920 | 1,463,305 | ||||||||||||
| Mexico Government International Bond (Mexico), Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 4.250% | 07/14/17 | EUR | 2,860 | 4,212,989 | ||||||||||||
| Peru Enhanced Pass-Through Finance Ltd. (Cayman Islands), Pass-thru Certs., 144A(i) |
Baa2 | 2.020% | 05/31/18 | 1,087 | 978,284 | |||||||||||||
| Peruvian Government International Bond (Peru), Sr. Unsec’d. Notes, Reg.-S. |
Baa2 | 7.500% | 10/14/14 | EUR | 1,700 | 2,512,078 | ||||||||||||
| Philippine Government International Bond (Philippines), Sr. Unsec’d. Notes |
Ba1 | 6.250% | 03/15/16 | EUR | 850 | 1,280,441 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| SOVEREIGNS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Poland Government International Bond (Poland), |
A2 | 3.000% | 03/17/23 | $ | 285 | $ | 284,287 | |||||||||||
| Portugal Obrigacoes do Tesouro OT (Portugal), |
Ba3 | 3.850% | 04/15/21 | EUR | 500 | 537,039 | ||||||||||||
| Portugal Obrigacoes do Tesouro OT (Portugal), |
Ba3 | 4.100% | 04/15/37 | EUR | 540 | 471,231 | ||||||||||||
| Portugal Obrigacoes do Tesouro OT (Portugal), |
Ba3 | 4.750% | 06/14/19 | EUR | 3,025 | 3,622,174 | ||||||||||||
| Qatar Government International Bond (Qatar), |
Aa2 | 5.250% | 01/20/20 | 2,110 | 2,521,450 | |||||||||||||
| Russian Foreign Bond – Eurobond (Russia), |
Baa1 | 7.500% | 03/31/30 | 946 | 1,214,400 | |||||||||||||
| South Africa Government Bond (South Africa), Bonds, Ser. R214 |
Baa1 | 6.500% | 02/28/41 | ZAR | 18,000 | 1,748,250 | ||||||||||||
| South Africa Government International Bond (South Africa), Unsec’d. Notes, Ser. E, MTN |
Baa1 | 4.500% | 04/05/16 | EUR | 800 | 1,151,785 | ||||||||||||
| Spain Government Bond (Spain), Sr. Unsub. Notes |
Baa3 | 4.700% | 07/30/41 | EUR | 465 | 522,953 | ||||||||||||
| Spain Government Bond (Spain), Sr. Unsub. Notes |
Baa3 | 5.850% | 01/31/22 | EUR | 1,845 | 2,535,657 | ||||||||||||
| Spain Government Bond (Spain), Unsec’d. Notes |
Baa3 | 4.250% | 10/31/16 | EUR | 2,850 | 3,816,051 | ||||||||||||
| Spain Government International Bond (Spain), |
Baa3 | 3.625% | 06/17/13 | 2,400 | 2,399,928 | |||||||||||||
| Turkey Government International Bond (Turkey), |
Ba1 | 7.000% | 06/05/20 | 1,510 | 1,925,250 | |||||||||||||
| Turkey Government International Bond (Turkey), |
Ba1 | 8.000% | 02/14/34 | 845 | 1,267,500 | |||||||||||||
| TOTAL SOVEREIGNS |
|
62,320,825 | ||||||||||||||||
| U.S. GOVERNMENT TREASURY OBLIGATIONS — 2.6% | ||||||||||||||||||
| U.S. Treasury Bonds |
2.750% | 08/15/42 | 4,115 | 3,973,547 | ||||||||||||||
| U.S. Treasury Bonds |
2.750% | 11/15/42 | 12,625 | 12,163,404 | ||||||||||||||
| U.S. Treasury Notes |
0.625% | 11/30/17 | 1,625 | 1,619,542 | ||||||||||||||
| U.S. Treasury Notes |
0.750% | 12/31/17 | 9,750 | 9,766,000 | ||||||||||||||
| U.S. Treasury Notes |
1.125% | 12/31/19 | 175 | 174,508 | ||||||||||||||
| U.S. Treasury Notes(d) |
1.625% | 11/15/22 | 6,830 | 6,755,293 | ||||||||||||||
| TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS |
|
34,452,294 | ||||||||||||||||
| Shares |
||||||||||||||||||
| PREFERRED STOCK — 0.1% | ||||||||||||||||||
| Banking — 0.1% |
||||||||||||||||||
| Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(a) |
45,000 | 1,255,500 | ||||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
1,147,632,957 | ||||||||||||||||
| SHORT-TERM INVESTMENTS — 18.7% | ||||||||||||||||||
| AFFILIATED MUTUAL FUNDS |
||||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(k) |
12,569,841 | 116,019,635 | ||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (Note 4)(k)(l) |
127,931,409 | 127,931,409 | ||||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
243,951,044 | ||||||||||||||||
| TOTAL INVESTMENTS — 106.6% |
|
1,391,584,001 | ||||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(m) — (6.6)% |
|
(85,682,948 | ) | |||||||||||||||
| NET ASSETS — 100.0% |
|
$ | 1,305,901,053 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The following abbreviations are used in 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. | |
| Reg.-S | 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 | |
| CDO | Collateralized Debt Obligation | |
| CLO | Collateralized Loan Obligation | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| I/O | Interest Only | |
| MTN | Medium Term Note | |
| NR | Not Rated by Moody’s or Standard & Poor’s | |
| PIK | Payment in Kind | |
| TBA | To Be Announced | |
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CLP | Chilean Peso | |
| CNY | Chinese Yuan Renminbi | |
| COP | Colombian Peso | |
| CZK | Czech Koruna | |
| EUR | Euro | |
| GBP | Pound Sterling | |
| HUF | Hungarian Forint | |
| 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 | |
| RUB | Russian Ruble | |
| SEK | Swedish Krona | |
| SGD | Singapore Dollar | |
| THB | Thai Baht | |
| TRY | Turkish Lira | |
| TWD | Taiwan Dollar | |
| ZAR | South African Rand | |
| BBR | New Zealand Bank Bill Rate | |
| EURIBOR | Euro Interbank Offer Rate | |
| LIBOR | London Interbank Offered Rate |
| † | The ratings reflected are as of December 31, 2012. Ratings of certain bonds may have changed subsequent to that date. The Portolio’s current Statement of Additional Information contains a description of Moody’s and Standard & Poor’s ratings. |
| # | Principal amount is shown in U.S. dollars unless otherwise stated. |
| * | Non-income producing security. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2012. |
| (b) | Indicates a security that has been deemed illiquid. |
| (c) | Standard & Poor’s Rating. |
| (d) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $79,120,950; cash collateral of $81,016,815 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (e) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (f) | Represents a step coupon bond. Rate shown reflects the rate in effect at December 31, 2012. |
SEE NOTES TO FINANCIAL STATEMENTS.
A45
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| (g) | Indicates a restricted security; the aggregate original cost of such securities is $8,403,801. The aggregate value of $8,641,827 is approximately 0.7% of net assets. |
| (h) | Represents security, or a portion thereof, segregated as collateral for futures contract. |
| (i) | Represents zero coupon bond. Rate shown reflects the effective yield on December 31, 2012. |
| (j) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. |
| (k) | 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. |
| (l) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (m) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 415 | 2 Year U.S. Treasury Notes | Mar. 2013 | $ | 91,451,416 | $ | 91,494,531 | $ | 43,115 | ||||||||||
| 1,670 | 5 Year U.S. Treasury Notes | Mar. 2013 | 207,928,311 | 207,771,484 | (156,827 | ) | ||||||||||||
| 266 | 10 Year U.S. Treasury Notes | Mar. 2013 | 35,158,182 | 35,319,813 | 161,631 | |||||||||||||
| 570 | U.S. Long Bond | Mar. 2013 | 84,830,607 | 84,075,000 | (755,607 | ) | ||||||||||||
| (707,688 | ) | |||||||||||||||||
| Short Position: | ||||||||||||||||||
| 47 | U.S. Ultra Bond | Mar. 2013 | 7,601,465 | 7,641,906 | (40,441 | ) | ||||||||||||
| $ | (748,129 | ) | ||||||||||||||||
Forward currency contracts outstanding at December 31, 2012:
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Payable at Settlement Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Australian Dollar expiring 01/23/13 |
Citibank NA | AUD | 1,250 | $ | 1,288,300 | $ | 1,295,773 | $ | 7,473 | |||||||||||
| Australian Dollar expiring 01/23/13 |
HSBC Securities, Inc. | AUD | 2,508 | 2,596,700 | 2,599,258 | 2,558 | ||||||||||||||
| Australian Dollar expiring 01/23/13 |
HSBC Securities, Inc. | AUD | 1,251 | 1,289,200 | 1,296,441 | 7,241 | ||||||||||||||
| Australian Dollar expiring 01/23/13 |
JPMorgan Chase & Co. | AUD | 1,876 | 1,932,500 | 1,944,931 | 12,431 | ||||||||||||||
| Australian Dollar expiring 01/23/13 |
JPMorgan Chase & Co. | AUD | 1,852 | 1,911,200 | 1,919,331 | 8,131 | ||||||||||||||
| Australian Dollar expiring 01/23/13 |
JPMorgan Chase & Co. | AUD | 1,250 | 1,274,200 | 1,295,616 | 21,416 | ||||||||||||||
| Australian Dollar expiring 01/23/13 |
Morgan Stanley | AUD | 1,870 | 1,945,701 | 1,938,551 | (7,150 | ) | |||||||||||||
| Australian Dollar expiring 01/23/13 |
Morgan Stanley | AUD | 1,254 | 1,288,300 | 1,299,725 | 11,425 | ||||||||||||||
| Australian Dollar expiring 01/23/13 |
UBS AG | AUD | 2,504 | 2,591,000 | 2,595,450 | 4,450 | ||||||||||||||
| Brazilian Real expiring 01/18/13 |
Citibank NA | BRL | 2,667 | 1,288,600 | 1,299,472 | 10,872 | ||||||||||||||
| Brazilian Real expiring 01/18/13 |
Citibank NA | BRL | 2,633 | 1,278,100 | 1,282,844 | 4,744 | ||||||||||||||
| British Pound expiring 01/25/13 |
Citibank NA | GBP | 1,607 | 2,576,700 | 2,610,952 | 34,252 | ||||||||||||||
| British Pound expiring 01/25/13 |
Deutsche Bank Securities Corp. | GBP | 1,597 | 2,576,100 | 2,594,087 | 17,987 | ||||||||||||||
| British Pound expiring 01/25/13 |
JPMorgan Chase & Co. | GBP | 2,041 | 3,303,732 | 3,314,628 | 10,896 | ||||||||||||||
| British Pound expiring 01/25/13 |
JPMorgan Chase & Co. | GBP | 800 | 1,291,700 | 1,299,592 | 7,892 | ||||||||||||||
| Canadian Dollar expiring 01/22/13 |
Citibank NA | CAD | 2,558 | 2,571,400 | 2,570,176 | (1,224 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
Citibank NA | CAD | 1,286 | 1,316,500 | 1,292,396 | (24,104 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
Citibank NA | CAD | 1,280 | 1,288,800 | 1,286,445 | (2,355 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
Citibank NA | CAD | 1,257 | 1,276,000 | 1,262,761 | (13,239 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
Deutsche Bank Securities Corp. | CAD | 1,285 | 1,289,900 | 1,291,438 | 1,538 | ||||||||||||||
| Canadian Dollar expiring 01/22/13 |
Goldman Sachs & Co. | CAD | 1,943 | 1,947,500 | 1,952,082 | 4,582 | ||||||||||||||
| Canadian Dollar expiring 01/22/13 |
Goldman Sachs & Co. | CAD | 1,289 | 1,303,100 | 1,295,189 | (7,911 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
Goldman Sachs & Co. | CAD | 1,277 | 1,298,000 | 1,283,622 | (14,378 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
JPMorgan Chase & Co. | CAD | 7,157 | 7,328,093 | 7,191,788 | (136,305 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
JPMorgan Chase & Co. | CAD | 1,279 | 1,288,300 | 1,285,252 | (3,048 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
Morgan Stanley | CAD | 1,253 | 1,278,100 | 1,258,934 | (19,166 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
UBS AG | CAD | 1,291 | 1,291,700 | 1,297,152 | 5,452 | ||||||||||||||
| Chilean Peso expiring 02/06/13 |
Citibank NA | CLP | 3,332,538 | 6,816,400 | 6,924,567 | 108,167 | ||||||||||||||
| Chilean Peso expiring 03/11/13 |
Citibank NA | CLP | 628,876 | 1,303,100 | 1,301,307 | (1,793 | ) | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Payable at Settlement Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Chilean Peso expiring 03/11/13 |
Citibank NA | CLP | 622,156 | $ | 1,299,000 | $ | 1,287,401 | $ | (11,599 | ) | ||||||||||
| Chinese Yuan Renminbi expiring 03/12/13 |
UBS AG | CNY | 41,457 | 6,500,000 | 6,617,851 | 117,851 | ||||||||||||||
| Chinese Yuan Renminbi expiring 03/20/13 |
Citibank NA | CNY | 17,745 | 2,806,400 | 2,831,287 | 24,887 | ||||||||||||||
| Chinese Yuan Renminbi expiring 03/20/13 |
UBS AG | CNY | 45,787 | 7,232,700 | 7,305,495 | 72,795 | ||||||||||||||
| Chinese Yuan Renminbi expiring 10/29/13 |
Citibank NA | CNY | 8,148 | 1,288,400 | 1,284,554 | (3,846 | ) | |||||||||||||
| Chinese Yuan Renminbi expiring 10/29/13 |
UBS AG | CNY | 13,894 | 2,189,700 | 2,190,413 | 713 | ||||||||||||||
| Colombian Peso expiring 01/18/13 |
Citibank NA | COP | 2,343,951 | 1,303,100 | 1,324,717 | 21,617 | ||||||||||||||
| Czech Koruna expiring 01/24/13 |
Citibank NA | CZK | 71,722 | 3,744,954 | 3,773,936 | 28,982 | ||||||||||||||
| Czech Koruna expiring 01/24/13 |
Citibank NA | CZK | 25,775 | 1,298,300 | 1,356,229 | 57,929 | ||||||||||||||
| Czech Koruna expiring 01/24/13 |
Citibank NA | CZK | 24,689 | 1,297,100 | 1,299,117 | 2,017 | ||||||||||||||
| Czech Koruna expiring 01/24/13 |
Citibank NA | CZK | 24,426 | 1,276,000 | 1,285,258 | 9,258 | ||||||||||||||
| Czech Koruna expiring 01/24/13 |
Credit Suisse First Boston | CZK | 24,705 | 1,304,601 | 1,299,930 | (4,671 | ) | |||||||||||||
| Czech Koruna expiring 01/24/13 |
Credit Suisse First Boston | CZK | 24,395 | 1,290,300 | 1,283,623 | (6,677 | ) | |||||||||||||
| Czech Koruna expiring 01/24/13 |
JPMorgan Chase & Co. | CZK | 24,348 | 1,278,900 | 1,281,161 | 2,261 | ||||||||||||||
| Euro expiring 01/24/13 |
Citibank NA | EUR | 1,480 | 1,914,225 | 1,953,686 | 39,461 | ||||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 2,883 | 3,729,072 | 3,805,773 | 76,701 | ||||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 2,284 | 3,011,700 | 3,015,911 | 4,211 | ||||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 70 | 92,700 | 92,830 | 130 | ||||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 64 | 85,000 | 85,119 | 119 | ||||||||||||||
| Euro expiring 01/25/13 |
Goldman Sachs & Co. | EUR | 1,174 | 1,545,800 | 1,549,928 | 4,128 | ||||||||||||||
| Euro expiring 01/25/13 |
HSBC Securities, Inc. | EUR | 1,288 | 1,676,000 | 1,699,856 | 23,856 | ||||||||||||||
| Euro expiring 01/25/13 |
JPMorgan Chase & Co. | EUR | 1,473 | 1,932,500 | 1,945,144 | 12,644 | ||||||||||||||
| Hungarian Forint expiring 01/24/13 |
Barclays Bank PLC | HUF | 276,014 | 1,278,900 | 1,246,568 | (32,332 | ) | |||||||||||||
| Hungarian Forint expiring 01/24/13 |
Citibank NA | HUF | 335,584 | 1,530,900 | 1,515,605 | (15,295 | ) | |||||||||||||
| Hungarian Forint expiring 01/24/13 |
Goldman Sachs & Co. | HUF | 289,573 | 1,298,300 | 1,307,806 | 9,506 | ||||||||||||||
| Hungarian Forint expiring 01/24/13 |
Goldman Sachs & Co. | HUF | 286,638 | 1,297,100 | 1,294,551 | (2,549 | ) | |||||||||||||
| Hungarian Forint expiring 01/24/13 |
HSBC Securities, Inc. | HUF | 566,138 | 2,613,200 | 2,556,861 | (56,339 | ) | |||||||||||||
| Indian Rupee expiring 01/07/13 |
Citibank NA | INR | 125,401 | 2,353,400 | 2,285,330 | (68,070 | ) | |||||||||||||
| Indian Rupee expiring 01/07/13 |
Citibank NA | INR | 82,789 | 1,565,901 | 1,508,765 | (57,136 | ) | |||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 199,718 | 3,834,100 | 3,639,703 | (194,397 | ) | |||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 168,265 | 3,131,100 | 3,066,498 | (64,602 | ) | |||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 135,639 | 2,492,900 | 2,471,905 | (20,995 | ) | |||||||||||||
| Indian Rupee expiring 01/14/13 |
UBS AG | INR | 69,865 | 1,290,100 | 1,271,331 | (18,769 | ) | |||||||||||||
| Japanese Yen expiring 01/25/13 |
Citibank NA | JPY | 39,579 | 509,500 | 456,949 | (52,551 | ) | |||||||||||||
| Malaysian Ringgit expiring 03/11/13 |
UBS AG | MYR | 27,525 | 9,015,028 | 8,956,999 | (58,029 | ) | |||||||||||||
| Mexican Peso expiring 01/22/13 |
Citibank NA | MXN | 107,280 | 8,271,467 | 8,281,761 | 10,294 | ||||||||||||||
| Mexican Peso expiring 01/22/13 |
Citibank NA | MXN | 16,953 | 1,289,200 | 1,308,744 | 19,544 | ||||||||||||||
| Mexican Peso expiring 01/22/13 |
Citibank NA | MXN | 16,778 | 1,303,100 | 1,295,229 | (7,871 | ) | |||||||||||||
| Mexican Peso expiring 01/22/13 |
Citibank NA | MXN | 8,267 | 639,000 | 638,211 | (789 | ) | |||||||||||||
| Mexican Peso expiring 01/22/13 |
Citibank NA | MXN | 166 | 12,743 | 12,816 | 73 | ||||||||||||||
| Mexican Peso expiring 01/22/13 |
Citibank NA | MXN | 115 | 8,819 | 8,884 | 65 | ||||||||||||||
| Mexican Peso expiring 01/22/13 |
HSBC Securities, Inc. | MXN | 34,153 | 2,596,700 | 2,636,515 | 39,815 | ||||||||||||||
| Mexican Peso expiring 01/22/13 |
JPMorgan Chase & Co. | MXN | 16,833 | 1,289,900 | 1,299,457 | 9,557 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Citibank NA | NZD | 1,589 | 1,288,300 | 1,311,486 | 23,186 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Citibank NA | NZD | 1,569 | 1,291,700 | 1,294,333 | 2,633 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Citibank NA | NZD | 304 | 245,012 | 251,004 | 5,992 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Deutsche Bank Securities Corp. | NZD | 3,187 | 2,616,100 | 2,629,743 | 13,643 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Goldman Sachs & Co. | NZD | 1,744 | 1,430,800 | 1,439,172 | 8,372 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Goldman Sachs & Co. | NZD | 1,558 | 1,302,500 | 1,285,627 | (16,873 | ) | |||||||||||||
| New Zealand Dollar expiring 01/23/13 |
HSBC Securities, Inc. | NZD | 1,577 | 1,289,200 | 1,300,892 | 11,692 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
JPMorgan Chase & Co. | NZD | 1,573 | 1,288,000 | 1,297,534 | 9,534 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
UBS AG | NZD | 5,389 | 4,423,672 | 4,446,844 | 23,172 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
UBS AG | NZD | 2,370 | 1,932,500 | 1,955,408 | 22,908 | ||||||||||||||
| Norwegian Krone expiring 01/24/13 |
Barclays Bank PLC | NOK | 48,032 | 8,344,681 | 8,634,267 | 289,586 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Payable at Settlement Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Norwegian Krone expiring 01/24/13 |
Barclays Bank PLC | NOK | 7,606 | $ | 1,318,428 | $ | 1,367,285 | $ | 48,857 | |||||||||||
| Norwegian Krone expiring 01/24/13 |
Citibank NA | NOK | 7,360 | 1,289,200 | 1,323,061 | 33,861 | ||||||||||||||
| Norwegian Krone expiring 01/24/13 |
Citibank NA | NOK | 7,294 | 1,290,300 | 1,311,236 | 20,936 | ||||||||||||||
| Norwegian Krone expiring 01/24/13 |
Citibank NA | NOK | 7,277 | 1,307,900 | 1,308,191 | 291 | ||||||||||||||
| Norwegian Krone expiring 01/24/13 |
Goldman Sachs & Co. | NOK | 7,369 | 1,302,700 | 1,324,661 | 21,961 | ||||||||||||||
| Norwegian Krone expiring 01/24/13 |
Goldman Sachs & Co. | NOK | 7,357 | 1,302,000 | 1,322,468 | 20,468 | ||||||||||||||
| Norwegian Krone expiring 01/24/13 |
Goldman Sachs & Co. | NOK | 7,354 | 1,291,700 | 1,321,879 | 30,179 | ||||||||||||||
| Norwegian Krone expiring 01/24/13 |
Goldman Sachs & Co. | NOK | 7,263 | 1,306,601 | 1,305,680 | (921 | ) | |||||||||||||
| Norwegian Krone expiring 01/24/13 |
UBS AG | NOK | 7,275 | 1,278,900 | 1,307,686 | 28,786 | ||||||||||||||
| Peruvian Nuevo Sol expiring 01/10/13 |
Citibank NA | PEN | 10,653 | 4,121,059 | 4,170,811 | 49,752 | ||||||||||||||
| Peruvian Nuevo Sol expiring 01/10/13 |
Citibank NA | PEN | 3,354 | 1,302,000 | 1,313,131 | 11,131 | ||||||||||||||
| Peruvian Nuevo Sol expiring 01/10/13 |
Citibank NA | PEN | 3,354 | 1,300,700 | 1,313,093 | 12,393 | ||||||||||||||
| Philippine Peso expiring 01/22/13 |
JPMorgan Chase & Co. | PHP | 302,580 | 7,334,383 | 7,374,695 | 40,312 | ||||||||||||||
| Philippine Peso expiring 03/18/13 |
UBS AG | PHP | 42,070 | 1,023,100 | 1,024,877 | 1,777 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 10,219 | 3,186,000 | 3,292,832 | 106,832 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 6,093 | 1,913,900 | 1,963,301 | 49,401 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 4,237 | 1,298,300 | 1,365,275 | 66,975 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 4,168 | 1,297,100 | 1,342,985 | 45,885 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 4,051 | 1,278,900 | 1,305,413 | 26,513 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
Goldman Sachs & Co. | PLN | 4,201 | 1,297,100 | 1,353,570 | 56,470 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
Goldman Sachs & Co. | PLN | 4,122 | 1,300,700 | 1,328,214 | 27,514 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
JPMorgan Chase & Co. | PLN | 4,128 | 1,296,400 | 1,329,978 | 33,578 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
UBS AG | PLN | 11,813 | 3,670,032 | 3,806,335 | 136,303 | ||||||||||||||
| Polish Zloty expiring 01/24/13 |
UBS AG | PLN | 4,114 | 1,302,500 | 1,325,726 | 23,226 | ||||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 61,928 | 1,945,700 | 1,999,127 | 53,427 | ||||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 61,163 | 1,959,900 | 1,974,427 | 14,527 | ||||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 40,752 | 1,274,100 | 1,315,543 | 41,443 | ||||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 40,666 | 1,290,300 | 1,312,776 | 22,476 | ||||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 40,604 | 1,276,000 | 1,310,749 | 34,749 | ||||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 40,565 | 1,271,600 | 1,309,513 | 37,913 | ||||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 40,491 | 1,278,900 | 1,307,102 | 28,202 | ||||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 40,364 | 1,304,600 | 1,303,025 | (1,575 | ) | |||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 40,125 | 1,305,300 | 1,295,297 | (10,003 | ) | |||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 37,218 | 1,160,900 | 1,201,471 | 40,571 | ||||||||||||||
| Singapore Dollar expiring 01/23/13 |
Citibank NA | SGD | 1,566 | 1,276,000 | 1,282,164 | 6,164 | ||||||||||||||
| Singapore Dollar expiring 01/23/13 |
HSBC Securities, Inc. | SGD | 3,333 | 2,731,400 | 2,728,288 | (3,112 | ) | |||||||||||||
| Singapore Dollar expiring 01/23/13 |
HSBC Securities, Inc. | SGD | 1,587 | 1,302,000 | 1,299,026 | (2,974 | ) | |||||||||||||
| Singapore Dollar expiring 01/23/13 |
JPMorgan Chase & Co. | SGD | 9,522 | 7,769,100 | 7,794,921 | 25,821 | ||||||||||||||
| Singapore Dollar expiring 01/23/13 |
Morgan Stanley | SGD | 3,115 | 2,551,300 | 2,549,711 | (1,589 | ) | |||||||||||||
| South African Rand expiring 01/30/13 |
Citibank NA | ZAR | 10,586 | 1,271,600 | 1,243,266 | (28,334 | ) | |||||||||||||
| South African Rand expiring 01/30/13 |
Citibank NA | ZAR | 4,290 | 485,335 | 503,800 | 18,465 | ||||||||||||||
| South African Rand expiring 01/30/13 |
Citibank NA | ZAR | 1,127 | 127,900 | 132,412 | 4,512 | ||||||||||||||
| South African Rand expiring 01/30/13 |
JPMorgan Chase & Co. | ZAR | 10,646 | 1,271,600 | 1,250,233 | (21,367 | ) | |||||||||||||
| South Korean Won expiring 01/14/13 |
Citibank NA | KRW | 2,812,829 | 2,514,822 | 2,624,884 | 110,062 | ||||||||||||||
| South Korean Won expiring 01/14/13 |
Citibank NA | KRW | 1,462,171 | 1,316,500 | 1,364,473 | 47,973 | ||||||||||||||
| South Korean Won expiring 01/14/13 |
UBS AG | KRW | 2,137,567 | 1,917,100 | 1,994,741 | 77,641 | ||||||||||||||
| South Korean Won expiring 03/18/13 |
UBS AG | KRW | 1,430,721 | 1,290,100 | 1,330,362 | 40,262 | ||||||||||||||
| South Korean Won expiring 03/18/13 |
UBS AG | KRW | 1,423,735 | 1,278,900 | 1,323,866 | 44,966 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Barclays Bank PLC | SEK | 46,364 | 7,045,498 | 7,125,251 | 79,753 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Citibank NA | SEK | 8,775 | 1,298,300 | 1,348,592 | 50,292 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Citibank NA | SEK | 8,617 | 1,288,300 | 1,324,236 | 35,936 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Citibank NA | SEK | 8,597 | 1,310,786 | 1,321,133 | 10,347 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Citibank NA | SEK | 8,477 | 1,276,000 | 1,302,687 | 26,687 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Deutsche Bank Securities Corp. | SEK | 17,050 | 2,613,200 | 2,620,250 | 7,050 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Deutsche Bank Securities Corp. | SEK | 8,580 | 1,296,400 | 1,318,568 | 22,168 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Goldman Sachs & Co. | SEK | 8,669 | 1,302,500 | 1,332,319 | 29,819 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Goldman Sachs & Co. | SEK | 8,664 | 1,309,400 | 1,331,421 | 22,021 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Goldman Sachs & Co. | SEK | 8,624 | 1,296,400 | 1,325,343 | 28,943 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
UBS AG | SEK | 17,407 | 2,603,400 | 2,675,089 | 71,689 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Payable at Settlement Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Swedish Krona expiring 01/24/13 |
UBS AG | SEK | 17,035 | $ | 2,615,800 | $ | 2,617,894 | $ | 2,094 | |||||||||||
| Swedish Krona expiring 01/24/13 |
UBS AG | SEK | 16,922 | 2,576,700 | 2,600,503 | 23,803 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
UBS AG | SEK | 8,541 | 1,289,200 | 1,312,650 | 23,450 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
UBS AG | SEK | 8,491 | 1,278,900 | 1,304,924 | 26,024 | ||||||||||||||
| Taiwan Dollar expiring 03/12/13 |
UBS AG | TWD | 75,482 | 2,566,100 | 2,600,105 | 34,005 | ||||||||||||||
| Taiwan Dollar expiring 03/12/13 |
UBS AG | TWD | 37,667 | 1,283,500 | 1,297,502 | 14,002 | ||||||||||||||
| Taiwan Dollar expiring 11/13/13 |
Citibank NA | TWD | 36,809 | 1,288,600 | 1,273,092 | (15,508 | ) | |||||||||||||
| Taiwan Dollar expiring 11/13/13 |
UBS AG | TWD | 73,609 | 2,576,900 | 2,545,887 | (31,013 | ) | |||||||||||||
| Thai Baht expiring 02/28/13 |
Citibank NA | THB | 183,862 | 5,950,418 | 5,990,284 | 39,866 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Citibank NA | TRY | 2,362 | 1,295,500 | 1,318,226 | 22,726 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Deutsche Bank Securities Corp. | TRY | 2,573 | 1,418,100 | 1,436,220 | 18,120 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Deutsche Bank Securities Corp. | TRY | 2,344 | 1,308,100 | 1,308,152 | 52 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Goldman Sachs & Co. | TRY | 8,053 | 4,417,603 | 4,494,440 | 76,837 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Goldman Sachs & Co. | TRY | 3,503 | 1,930,100 | 1,955,351 | 25,251 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Goldman Sachs & Co. | TRY | 2,336 | 1,291,700 | 1,303,675 | 11,975 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Goldman Sachs & Co. | TRY | 2,335 | 1,302,500 | 1,303,336 | 836 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Goldman Sachs & Co. | TRY | 2,330 | 1,289,900 | 1,300,231 | 10,331 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Goldman Sachs & Co. | TRY | 2,318 | 1,288,100 | 1,293,664 | 5,564 | ||||||||||||||
| $ | 326,587,966 | $ | 329,090,362 | $ | 2,502,396 | |||||||||||||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Receivable at Settlement Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Australian Dollar expiring 01/23/13 |
Citibank NA | AUD | 3,124 | $ | 3,188,700 | $ | 3,238,555 | $ | (49,855 | ) | ||||||||||
| Australian Dollar expiring 01/23/13 |
Citibank NA | AUD | 2,505 | 2,573,500 | 2,596,634 | (23,134 | ) | |||||||||||||
| Australian Dollar expiring 01/23/13 |
Goldman Sachs & Co. | AUD | 1,248 | 1,306,600 | 1,293,390 | 13,210 | ||||||||||||||
| Australian Dollar expiring 01/23/13 |
HSBC Securities, Inc. | AUD | 2,375 | 2,471,300 | 2,462,352 | 8,948 | ||||||||||||||
| Australian Dollar expiring 01/23/13 |
JPMorgan Chase & Co. | AUD | 3,252 | 3,331,500 | 3,370,948 | (39,448 | ) | |||||||||||||
| Australian Dollar expiring 01/23/13 |
JPMorgan Chase & Co. | AUD | 95 | 100,000 | 98,991 | 1,009 | ||||||||||||||
| Brazilian Real expiring 01/18/13 |
Citibank NA | BRL | 5,301 | 2,542,045 | 2,582,316 | (40,271 | ) | |||||||||||||
| British Pound expiring 01/25/13 |
Barclays Bank PLC | GBP | 1,496 | 2,398,431 | 2,429,326 | (30,895 | ) | |||||||||||||
| British Pound expiring 01/25/13 |
Citibank NA | GBP | 1,890 | 3,053,753 | 3,069,175 | (15,422 | ) | |||||||||||||
| British Pound expiring 01/25/13 |
Citibank NA | GBP | 805 | 1,289,900 | 1,306,794 | (16,894 | ) | |||||||||||||
| British Pound expiring 01/25/13 |
Morgan Stanley | GBP | 3,215 | 5,153,100 | 5,222,359 | (69,259 | ) | |||||||||||||
| British Pound expiring 01/25/13 |
Morgan Stanley | GBP | 2,053 | 3,313,400 | 3,334,049 | (20,649 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
Citibank NA | CAD | 3,157 | 3,190,800 | 3,172,449 | 18,351 | ||||||||||||||
| Canadian Dollar expiring 01/22/13 |
Citibank NA | CAD | 2,139 | 2,166,100 | 2,149,317 | 16,783 | ||||||||||||||
| Canadian Dollar expiring 01/22/13 |
Citibank NA | CAD | 1,929 | 1,928,900 | 1,937,857 | (8,957 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
Goldman Sachs & Co. | CAD | 1,952 | 1,962,100 | 1,961,399 | 701 | ||||||||||||||
| Canadian Dollar expiring 01/22/13 |
Goldman Sachs & Co. | CAD | 1,939 | 1,932,700 | 1,948,399 | (15,699 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
Goldman Sachs & Co. | CAD | 1,291 | 1,306,600 | 1,297,354 | 9,246 | ||||||||||||||
| Canadian Dollar expiring 01/22/13 |
JPMorgan Chase & Co. | CAD | 1,801 | 1,806,100 | 1,809,271 | (3,171 | ) | |||||||||||||
| Canadian Dollar expiring 01/22/13 |
UBS AG | CAD | 2,558 | 2,575,900 | 2,570,271 | 5,629 | ||||||||||||||
| Chilean Peso expiring 02/06/13 |
Citibank NA | CLP | 1,185,891 | 2,447,154 | 2,464,122 | (16,968 | ) | |||||||||||||
| Chinese Yuan Renminbi expiring 03/20/13 |
UBS AG | CNY | 45,787 | 7,157,512 | 7,305,495 | (147,983 | ) | |||||||||||||
| Czech Koruna expiring 01/24/13 |
Barclays Bank PLC | CZK | 37,268 | 1,932,500 | 1,961,022 | (28,522 | ) | |||||||||||||
| Czech Koruna expiring 01/24/13 |
Barclays Bank PLC | CZK | 36,930 | 1,931,900 | 1,943,198 | (11,298 | ) | |||||||||||||
| Czech Koruna expiring 01/24/13 |
Barclays Bank PLC | CZK | 34,616 | 1,813,700 | 1,821,442 | (7,742 | ) | |||||||||||||
| Czech Koruna expiring 01/24/13 |
UBS AG | CZK | 61,386 | 3,179,000 | 3,230,070 | (51,070 | ) | |||||||||||||
| Czech Koruna expiring 01/24/13 |
UBS AG | CZK | 25,796 | 1,297,100 | 1,357,353 | (60,253 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 29,616 | 38,272,822 | 39,100,689 | (827,867 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 1,581 | 2,042,100 | 2,087,023 | (44,923 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 1,221 | 1,591,671 | 1,611,830 | (20,159 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 924 | 1,202,351 | 1,219,878 | (17,527 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 198 | 254,700 | 261,059 | (6,359 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Citibank NA | EUR | 187 | 242,423 | 246,761 | (4,338 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Credit Suisse First Boston | EUR | 20 | 25,242 | 25,982 | (740 | ) | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A49
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Receivable at Settlement Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Euro expiring 01/25/13 |
Deutsche Bank Securities Corp. | EUR | 998 | $ | 1,291,700 | $ | 1,317,294 | $ | (25,594 | ) | ||||||||||
| Euro expiring 01/25/13 |
Deutsche Bank Securities Corp. | EUR | 337 | 434,334 | 444,737 | (10,403 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Goldman Sachs & Co. | EUR | 1,309 | 1,726,752 | 1,728,733 | (1,981 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Goldman Sachs & Co. | EUR | 706 | 912,200 | 932,598 | (20,398 | ) | |||||||||||||
| Euro expiring 01/25/13 |
Goldman Sachs & Co. | EUR | 516 | 672,285 | 681,886 | (9,601 | ) | |||||||||||||
| Euro expiring 01/25/13 |
JPMorgan Chase & Co. | EUR | 4,961 | 6,477,500 | 6,550,285 | (72,785 | ) | |||||||||||||
| Euro expiring 01/25/13 |
JPMorgan Chase & Co. | EUR | 400 | 518,222 | 528,099 | (9,877 | ) | |||||||||||||
| Euro expiring 01/25/13 |
JPMorgan Chase & Co. | EUR | 289 | 373,556 | 381,142 | (7,586 | ) | |||||||||||||
| Euro expiring 01/25/13 |
UBS AG | EUR | 2,010 | 2,579,800 | 2,654,114 | (74,314 | ) | |||||||||||||
| Euro expiring 01/25/13 |
UBS AG | EUR | 83 | 105,554 | 108,984 | (3,430 | ) | |||||||||||||
| Hungarian Forint expiring 01/24/13 |
Barclays Bank PLC | HUF | 565,303 | 2,576,300 | 2,553,090 | 23,210 | ||||||||||||||
| Hungarian Forint expiring 01/24/13 |
Citibank NA | HUF | 614,470 | 2,833,500 | 2,775,145 | 58,355 | ||||||||||||||
| Hungarian Forint expiring 01/24/13 |
Citibank NA | HUF | 583,100 | 2,609,300 | 2,633,468 | (24,168 | ) | |||||||||||||
| Indian Rupee expiring 01/07/13 |
Citibank NA | INR | 125,143 | 2,350,100 | 2,280,626 | 69,474 | ||||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 233,317 | 4,459,000 | 4,252,016 | 206,984 | ||||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 199,718 | 3,765,427 | 3,639,703 | 125,724 | ||||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 153,634 | 2,923,145 | 2,799,856 | 123,289 | ||||||||||||||
| Indian Rupee expiring 01/14/13 |
Citibank NA | INR | 69,865 | 1,256,797 | 1,271,331 | (14,534 | ) | |||||||||||||
| Malaysian Ringgit expiring 03/11/13 |
UBS AG | MYR | 6,002 | 1,952,500 | 1,953,148 | (648 | ) | |||||||||||||
| Mexican Peso expiring 01/22/13 |
Citibank NA | MXN | 21,897 | 1,671,700 | 1,690,405 | (18,705 | ) | |||||||||||||
| Mexican Peso expiring 01/22/13 |
Citibank NA | MXN | 17,023 | 1,286,700 | 1,314,138 | (27,438 | ) | |||||||||||||
| Mexican Peso expiring 01/22/13 |
Citibank NA | MXN | 16,959 | 1,288,300 | 1,309,182 | (20,882 | ) | |||||||||||||
| Mexican Peso expiring 01/22/13 |
JPMorgan Chase & Co. | MXN | 34,252 | 2,573,500 | 2,644,180 | (70,680 | ) | |||||||||||||
| Mexican Peso expiring 01/22/13 |
JPMorgan Chase & Co. | MXN | 25,444 | 1,962,100 | 1,964,233 | (2,133 | ) | |||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Citibank NA | NZD | 2,819 | 2,270,300 | 2,325,863 | (55,563 | ) | |||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Citibank NA | NZD | 2,385 | 1,962,100 | 1,968,079 | (5,979 | ) | |||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Citibank NA | NZD | 2,353 | 1,914,500 | 1,941,581 | (27,081 | ) | |||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Citibank NA | NZD | 2,349 | 1,913,900 | 1,937,912 | (24,012 | ) | |||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Citibank NA | NZD | 2,347 | 1,959,900 | 1,936,709 | 23,191 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
Citibank NA | NZD | 1,702 | 1,428,900 | 1,404,066 | 24,834 | ||||||||||||||
| New Zealand Dollar expiring 01/23/13 |
UBS AG | NZD | 2,401 | 1,957,000 | 1,980,945 | (23,945 | ) | |||||||||||||
| Norwegian Krone expiring 01/24/13 |
Citibank NA | NOK | 11,121 | 1,933,200 | 1,999,122 | (65,922 | ) | |||||||||||||
| Norwegian Krone expiring 01/24/13 |
Goldman Sachs & Co. | NOK | 14,902 | 2,576,900 | 2,678,815 | (101,915 | ) | |||||||||||||
| Norwegian Krone expiring 01/24/13 |
JPMorgan Chase & Co. | NOK | 14,941 | 2,593,800 | 2,685,859 | (92,059 | ) | |||||||||||||
| Norwegian Krone expiring 01/24/13 |
UBS AG | NOK | 10,431 | 1,800,300 | 1,875,051 | (74,751 | ) | |||||||||||||
| Peruvian Nuevo Sol expiring 01/10/13 |
Citibank NA | PEN | 4,021 | 1,543,100 | 1,574,114 | (31,014 | ) | |||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 8,840 | 2,697,600 | 2,848,293 | (150,693 | ) | |||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 6,263 | 1,943,300 | 2,018,011 | (74,711 | ) | |||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 6,162 | 1,914,225 | 1,985,406 | (71,181 | ) | |||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 6,126 | 1,932,500 | 1,973,929 | (41,429 | ) | |||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 4,097 | 1,288,000 | 1,320,133 | (32,133 | ) | |||||||||||||
| Polish Zloty expiring 01/24/13 |
Citibank NA | PLN | 4,067 | 1,308,100 | 1,310,379 | (2,279 | ) | |||||||||||||
| Polish Zloty expiring 01/24/13 |
JPMorgan Chase & Co. | PLN | 4,971 | 1,546,600 | 1,601,668 | (55,068 | ) | |||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 130,084 | 4,129,000 | 4,199,325 | (70,325 | ) | |||||||||||||
| Russian Ruble expiring 03/25/13 |
Citibank NA | RUB | 54,220 | 1,674,500 | 1,750,319 | (75,819 | ) | |||||||||||||
| Singapore Dollar expiring 01/23/13 |
Citibank NA | SGD | 2,360 | 1,914,500 | 1,931,943 | (17,443 | ) | |||||||||||||
| Singapore Dollar expiring 01/23/13 |
Goldman Sachs & Co. | SGD | 2,370 | 1,929,200 | 1,940,455 | (11,255 | ) | |||||||||||||
| Singapore Dollar expiring 01/23/13 |
HSBC Securities, Inc. | SGD | 3,185 | 2,613,200 | 2,607,298 | 5,902 | ||||||||||||||
| Singapore Dollar expiring 01/23/13 |
JPMorgan Chase & Co. | SGD | 3,297 | 2,674,700 | 2,698,524 | (23,824 | ) | |||||||||||||
| South African Rand expiring 01/30/13 |
Goldman Sachs & Co. | ZAR | 18,331 | 2,188,936 | 2,152,767 | 36,169 | ||||||||||||||
| South African Rand expiring 01/30/13 |
JPMorgan Chase & Co. | ZAR | 22,480 | 2,675,000 | 2,640,014 | 34,986 | ||||||||||||||
| Swedish Krona expiring 01/24/13 |
Citibank NA | SEK | 17,263 | 2,576,100 | 2,652,957 | (76,857 | ) | |||||||||||||
| Swedish Krona expiring 01/24/13 |
Citibank NA | SEK | 12,983 | 1,949,400 | 1,995,144 | (45,744 | ) | |||||||||||||
| Swedish Krona expiring 01/24/13 |
Citibank NA | SEK | 12,847 | 1,914,500 | 1,974,345 | (59,845 | ) | |||||||||||||
| Swedish Krona expiring 01/24/13 |
Citibank NA | SEK | 11,176 | 1,675,400 | 1,717,481 | (42,081 | ) | |||||||||||||
| Swedish Krona expiring 01/24/13 |
Credit Suisse First Boston | SEK | 17,325 | 2,579,800 | 2,662,527 | (82,727 | ) | |||||||||||||
| Swedish Krona expiring 01/24/13 |
Goldman Sachs & Co. | SEK | 21,767 | 3,247,400 | 3,345,132 | (97,732 | ) | |||||||||||||
| Swedish Krona expiring 01/24/13 |
Goldman Sachs & Co. | SEK | 7,830 | 1,159,600 | 1,203,251 | (43,651 | ) | |||||||||||||
| Swedish Krona expiring 01/24/13 |
UBS AG | SEK | 22,021 | 3,311,500 | 3,384,142 | (72,642 | ) | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A50
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Receivable at Settlement Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
| Swedish Krona expiring 01/24/13 |
UBS AG | SEK | 17,253 | $ | 2,576,700 | $ | 2,651,381 | $ | (74,681 | ) | ||||||||||
| Taiwan Dollar expiring 03/12/13 |
Citibank NA | TWD | 56,266 | 1,928,900 | 1,938,182 | (9,282 | ) | |||||||||||||
| Taiwan Dollar expiring 03/12/13 |
UBS AG | TWD | 112,354 | 3,888,667 | 3,870,222 | 18,445 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Citibank NA | TRY | 2,356 | 1,274,400 | 1,314,764 | (40,364 | ) | |||||||||||||
| Turkish Lira expiring 01/30/13 |
Citibank NA | TRY | 2,349 | 1,274,400 | 1,311,118 | (36,718 | ) | |||||||||||||
| Turkish Lira expiring 01/30/13 |
Citibank NA | TRY | 2,339 | 1,306,600 | 1,305,515 | 1,085 | ||||||||||||||
| Turkish Lira expiring 01/30/13 |
Deutsche Bank Securities Corp. | TRY | 7,256 | 3,996,000 | 4,050,051 | (54,051 | ) | |||||||||||||
| Turkish Lira expiring 01/30/13 |
Deutsche Bank Securities Corp. | TRY | 2,347 | 1,288,000 | 1,310,132 | (22,132 | ) | |||||||||||||
| Turkish Lira expiring 01/30/13 |
JPMorgan Chase & Co. | TRY | 7,047 | 3,923,700 | 3,933,191 | (9,491 | ) | |||||||||||||
| $ | 255,736,204 | $ | 258,801,638 | (3,065,434 | ) | |||||||||||||||
| $ | (563,038 | ) | ||||||||||||||||||
Interest rate swap agreements out standing at December 31, 2012:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||||
| $ | 66,560 | 08/31/16 | 0.934% | 3 month LIBOR(2) |
$ | 1,049,093 | $ | — | $ | 1,049,093 | Credit Suisse International | |||||||||||||||
| 15,385 | 12/14/14 | 0.351% | 3 month LIBOR(2) |
(6,918 | ) | — | (6,918 | ) | Citibank NA | |||||||||||||||||
| 20,710 | 08/31/16 | 0.975% | 3 month LIBOR(1) |
(360,049 | ) | — | (360,049 | ) | JPMorgan Chase Bank NA | |||||||||||||||||
| 20,710 | 08/31/16 | 0.978% | 3 month LIBOR(1) |
(362,932 | ) | — | (362,932 | ) | JPMorgan Chase Bank NA | |||||||||||||||||
| 58,915 | 11/30/16 | 0.913% | 3 month LIBOR(1) |
(692,411 | ) | — | (692,411 | ) | JPMorgan Chase Bank NA | |||||||||||||||||
| 6,860 | 10/02/19 | 1.189% | 3 month LIBOR(1) |
4,610 | — | 4,610 | Bank of Nova Scotia | |||||||||||||||||||
| 38,980 | 11/15/19 | 1.334% | 3 month LIBOR(1) |
(105,756 | ) | — | (105,756 | ) | Citibank NA | |||||||||||||||||
| 2,090 | 12/13/27 | 2.200% | 3 month LIBOR(2) |
(36,901 | ) | — | (36,901 | ) | Barclays Bank PLC | |||||||||||||||||
| 20,260 | 08/15/28 | 2.370% | 3 month LIBOR(1) |
40,288 | — | 40,288 | Citibank NA | |||||||||||||||||||
| AUD | 1,270 | 12/19/32 | 4.423% | 6 month Australian Bank Bill Rate(2) | 25,174 | — | 25,174 | Barclays Bank PLC | ||||||||||||||||||
| AUD | 1,620 | 12/20/32 | 4.420% | 6 month Australian Bank Bill Rate(2) | 33,033 | — | 33,033 | Citibank NA | ||||||||||||||||||
| BRL | 13,135 | 01/01/17 | 0.000% | 1 day Brazil Interbank Rate(2) | 255,956 | — | 255,956 | Barclays Bank PLC | ||||||||||||||||||
| BRL | 7,942 | 01/01/17 | 0.000% | 1 day Brazil Interbank Rate(2) | 13,698 | — | 13,698 | Citibank NA | ||||||||||||||||||
| CLP | 1,480,000 | 12/06/17 | 5.410% | Chile Central Bank Daily Midday Interbank Rate(2) | 10,593 | — | 10,593 | Barclays Bank PLC | ||||||||||||||||||
| EUR | 13,985 | 12/14/14 | 0.349% | 6 month EURIBOR(1) |
8,393 | — | 8,393 | Citibank NA | ||||||||||||||||||
| EUR | 1,640 | 12/13/27 | 2.065% | 6 month EURIBOR(1) |
(16,044 | ) | — | (16,044 | ) | Barclays Bank PLC | ||||||||||||||||
| MXN | 199,700 | 07/05/13 | 5.480% | 28 day Mexican Interbank Rate(2) | 55,388 | — | 55,388 | Barclays Bank PLC | ||||||||||||||||||
| MXN | 65,000 | 12/02/15 | 5.080% | 28 day Mexican Interbank Rate(2) | (6,036 | ) | — | (6,036 | ) | Morgan Stanley Capital Services, Inc. | ||||||||||||||||
| MXN | 54,100 | 02/18/22 | 6.600% | 28 day Mexican Interbank Rate((2) | 271,366 | — | 271,366 | Barclays Bank PLC | ||||||||||||||||||
| MXN | 31,200 | 04/15/22 | 6.380% | 28 day Mexican Interbank Rate(2) | 115,493 | — | 115,493 | JPMorgan Chase Bank NA | ||||||||||||||||||
| MXN | 48,200 | 05/25/22 | 6.370% | 28 day Mexican Interbank Rate(2) | 178,228 | — | 178,228 | Morgan Stanley Capital Services, Inc. | ||||||||||||||||||
| NZD | 13,400 | 08/18/16 | 4.173% | 3 month BBR(2) |
622,341 | — | 622,341 | Citibank NA | ||||||||||||||||||
| NZD | 4,320 | 03/26/17 | 3.810% | 3 month BBR(2) |
150,330 | — | 150,330 | HSBC Bank USA NA | ||||||||||||||||||
| NZD | 1,960 | 09/25/22 | 3.790% | 3 month BBR(2) |
19,623 | — | 19,623 | Citibank NA | ||||||||||||||||||
| $ | 1,266,560 | $ | — | $ | 1,266,560 | |||||||||||||||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
Credit default swap agreements outstanding at December 31, 2012:
| Reference Entity/ |
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): | ||||||||||||||||||||||||||
| American International Group, Inc. |
03/20/18 | 3.700% | $ | 3,700 | $ | (438,794 | ) | $ | — | $ | (438,794 | ) | Deutsche Bank AG | |||||||||||||
| Centex Corp. |
06/20/14 | 1.000% | 2,500 | (28,249 | ) | (5,107 | ) | (23,142 | ) | Credit Suisse International | ||||||||||||||||
| Duke Energy Corp. |
03/20/14 | 0.700% | 3,400 | (27,303 | ) | — | (27,303 | ) | Goldman Sachs International, Inc. | |||||||||||||||||
| Masco Corp. |
09/20/13 | 1.000% | 2,600 | (13,672 | ) | 17,645 | (31,317 | ) | Deutsche Bank AG | |||||||||||||||||
| R.R. Donnelley & Sons Co. |
06/20/14 | 1.000% | 7,000 | 152,730 | 165,347 | (12,617 | ) | Deutsche Bank AG | ||||||||||||||||||
| R.R. Donnelley & Sons Co. |
09/20/16 | 1.000% | 4,750 | 811,799 | 314,079 | 497,720 | JPMorgan Chase Bank | |||||||||||||||||||
| Sealed Air Corp. |
06/20/13 | 1.000% | 6,600 | (24,455 | ) | 13,139 | (37,594 | ) | Deutsche Bank AG | |||||||||||||||||
| SLM Corp. |
06/20/14 | 5.000% | 4,150 | (249,495 | ) | 237,388 | (486,883 | ) | JPMorgan Chase Bank | |||||||||||||||||
| Toll Brothers Financial Corp. |
03/20/15 | 1.000% | 4,695 | (34,497 | ) | 16,233 | (50,730 | ) | Credit Suisse International | |||||||||||||||||
| Westvaco Corp. |
09/20/19 | 1.000% | 4,400 | 86,755 | 58,173 | 28,582 | JPMorgan Chase Bank | |||||||||||||||||||
| $ | 234,819 | $ | 816,897 | $ | (582,078 | ) | ||||||||||||||||||||
| Over-the-counter credit default swap on credit indices—Buy Protection(1) : | ||||||||||||||||||||||||||
| CDX.NA.HY.18 |
06/20/17 | 5.000% | 22,770 | (367,152 | ) | 630,839 | (997,991 | ) | Citibank NA | |||||||||||||||||
| ITRAXX.EUR.18 |
12/20/17 | 1.000% | EUR | 23,000 | 240,301 | 267,871 | (27,570 | ) | Bank of America, NA | |||||||||||||||||
| ITRAXX.EUR.18 |
12/20/17 | 1.000% | EUR | 23,000 | 240,300 | 442,695 | (202,395 | ) | Morgan Stanley Capital Services, Inc. | |||||||||||||||||
| $ | 113,449 | $ | 1,341,405 | $ | (1,227,956 | ) | ||||||||||||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Implied Credit Spread at December 31, 2012(4) |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation |
Counterparty | ||||||||||||||||||||||
| Over-the-counter credit default swaps on sovereign issues—Sell Protection(2): |
|
|||||||||||||||||||||||||||||
| Kingdom of Netherlands |
03/20/13 | 0.250% | $ | 8,250 | 0.076 | % | $ | 3,830 | $ | (34,653 | ) | $ | 38,483 | Morgan Stanley Capital Services, Inc. | ||||||||||||||||
| Republic of Austria |
03/20/13 | 1.000% | 8,250 | 0.082 | % | 19,358 | (37,199 | ) | 56,557 | Morgan Stanley Capital Services, Inc. | ||||||||||||||||||||
| Republic of France |
03/20/13 | 0.250% | 8,250 | 0.242 | % | 832 | (88,174 | ) | 89,006 | Morgan Stanley Capital Services, Inc. | ||||||||||||||||||||
| $ | 24,020 | $ | (160,026 | ) | $ | 184,046 | ||||||||||||||||||||||||
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 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) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads 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. |
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
Currency swap agreements outstanding at December 31, 2012:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||||
| EUR | 2,700 | 10/17/14 | 0.000% | 3 month LIBOR(1) |
$ | (65,748 | ) | $ | — | $ | (65,748 | ) | Barclays Bank PLC | |||||||||||||
| EUR | 1,650 | 12/04/14 | 0.000% | 3 month LIBOR(2) |
(33,125 | ) | — | (33,125 | ) | Barclays Bank PLC | ||||||||||||||||
| EUR | 900 | 09/28/17 | 0.362% | 3 month LIBOR(3) |
(29,848 | ) | — | (29,848 | ) | HSBC Bank USA NA | ||||||||||||||||
| JPY | 120,000 | 03/24/17 | 3.450% | 3 month LIBOR(4) |
203,283 | 30 | 203,253 | Citibank NA | ||||||||||||||||||
| JPY | 100,000 | 06/08/15 | 4.500% | 3 month LIBOR(5) |
68,870 | (56,202 | ) | 125,072 | Citibank NA | |||||||||||||||||
| JPY | 30,000 | 06/08/15 | 4.500% | 3 month LIBOR(6) |
21,221 | (15,095 | ) | 36,316 | Citibank NA | |||||||||||||||||
| $ | 164,653 | $ | (71,267 | ) | $ | 235,920 | ||||||||||||||||||||
| (1) | The Portfolio pays a floating rate based on a notional amount of EUR 2,700,000. The Portfolio receives a floating rate based on a notional amount of $3,494,340. |
| (2) | The Portfolio pays a floating rate based on a notional amount of EUR 1,650,000. The Portfolio receives a floating rate based on a notional amount of $2,142,690. |
| (3) | The Portfolio pays a fixed rate based on a notional amount of EUR 900,000. The Portfolio receives a floating rate based on a notional amount of $1,157,400. |
| (4) | The Portfolio pays a fixed rate based on a notional amount of JPY 120,000,000. The Portfolio receives a floating rate based on a notional amount of $1,541,030. |
| (5) | The Portfolio pays a fixed rate based on a notional amount of JPY 100,000,000. The Portfolio receives a floating rate based on a notional amount of $1,284,027. |
| (6) | The Portfolio pays a fixed rate based on a notional amount of JPY 30,000,000. The Portfolio receives a floating rate based on a notional amount of $383,926. |
| # | 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, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Asset-Backed Securities |
||||||||||||
| Non-Residential Mortgage-Backed Securities |
$ | — | $ | 72,111,301 | $ | 199,293 | ||||||
| Residential Mortgage-Backed Securities |
— | 68,713,399 | — | |||||||||
| Bank Loans |
— | 40,598,804 | 195,353 | |||||||||
| Collateralized Mortgage Obligations |
— | 3,487,052 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 160,518,598 | — | |||||||||
| Corporate Bonds |
— | 570,354,214 | 6,948,002 | |||||||||
| Foreign Agencies |
— | 45,484,152 | — | |||||||||
| Mortgage-Backed Securities |
— | 55,088,549 | — | |||||||||
| Municipal Bonds |
— | 25,905,621 | — | |||||||||
| Sovereigns |
— | 61,342,541 | 978,284 | |||||||||
| U.S. Government Treasury obligations |
— | 34,452,294 | — | |||||||||
| Preferred Stock |
1,255,500 | — | — | |||||||||
| Affiliated Mutual Funds |
243,951,044 | — | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
(748,129 | ) | — | — | ||||||||
| Forward Currency Contracts |
— | (563,038 | ) | — | ||||||||
| Interest Rate Swap Agreements |
— | 1,266,560 | — | |||||||||
| Credit Default Swap Agreements |
— | (1,598,685 | ) | (27,303 | ) | |||||||
| Currency Swap Agreements |
— | 235,920 | — | |||||||||
| Total |
$ | 244,458,415 | $ | 1,137,397,282 | $ | 8,293,629 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument . |
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were 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, 2012 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 | $ | 2,163,409 | Premiums received for swap agreements | $ | 165,133 | ||||||
| Credit contracts |
Unrealized appreciation on swap agreements | 710,348 | Unrealized depreciation on swap agreements | 2,336,336 | ||||||||
| Foreign exchange contracts |
Unrealized appreciation on forward currency contracts | 4,368,380 | Unrealized depreciation on forward currency contracts | 4,931,418 | ||||||||
| Interest rate contracts |
Due to broker — variation margin | 204,746 | * | Due to broker — variation margin | 952,875 | * | ||||||
| Interest rate contracts |
Premiums paid for swap agreements | 30 | Premiums received for swap agreements | 71,297 | ||||||||
| Interest rate contracts |
Unrealized appreciation on swap agreements | 3,218,248 | Unrealized depreciation on swap agreements | 1,715,768 | ||||||||
| Total |
$ | 10,665,161 | $ | 10,172,827 | ||||||||
| * | Includes cumulative appreciation/depreciation on futures contracts as reported in Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||
| Derivatives not designated as hedging |
Options Purchased |
Options Written |
Futures |
Forward Currency Contracts |
Swaps |
Total |
||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | — | $ | (2,147,889 | ) | $ | (2,147,889 | ) | ||||||||||
| Foreign exchange contracts |
— | — | — | (1,705,060 | ) | — | (1,705,060 | ) | ||||||||||||||||
| Interest rate contracts |
2,501,494 | (483,881 | ) | 11,437,801 | — | 748,780 | 14,204,194 | |||||||||||||||||
| Total |
$ | 2,501,494 | $ | (483,881 | ) | $ | 11,437,801 | $ | (1,705,060 | ) | $ | (1,399,109 | ) | $ | 10,351,245 | |||||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Futures |
Forward Currency Contracts |
Swaps |
Total |
||||||||||||
| Credit contracts |
$ | — | $ | — | $ | (2,088,198 | ) | $ | (2,088,198 | ) | ||||||
| Foreign exchange contracts |
— | 4,777,305 | — | 4,777,305 | ||||||||||||
| Interest rate contracts |
(3,386,949 | ) | — | 493,016 | (2,893,933 | ) | ||||||||||
| Total |
$ | (3,386,949 | ) | $ | 4,777,305 | $ | (1,595,182 | ) | $ | (204,826 | ) | |||||
For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities is as follows:
| Options Purchased |
Futures |
Futures |
Forward Currency |
Forward Currency | ||||
| $88,939 | $402,867,197 | $34,595,061 | $333,427,390 | $264,412,824 |
|
Inflation Swaps |
Interest Rate Swaps |
Credit Default Swaps |
Credit Default Swaps |
Currency Swap | ||||
| $612 | $275,735 | $88,257 | $19,800 | $2,835 |
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 63,489,896 | $ | 73,296,784 | ||||
| Net realized gain on investments and foreign currencies |
35,260,830 | 59,583,846 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
44,689,412 | (22,511,117 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
143,440,138 | 110,369,513 | ||||||
| DISTRIBUTIONS | (119,592,407 | ) | (101,657,374 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [10,761,927 and 2,282,678 shares, respectively] |
126,405,304 | 26,944,061 | ||||||
| Series shares issued in reinvestment of distributions [10,330,307 and 8,678,375 shares, respectively] |
119,592,407 | 101,657,374 | ||||||
| Series shares repurchased [43,877,359 and 8,765,284 shares, respectively] |
(520,843,578 | ) | (103,339,982 | ) | ||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(274,845,867 | ) | 25,261,453 | |||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | (250,998,136 | ) | 33,973,592 | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
1,556,899,189 | 1,522,925,597 | ||||||
| End of year |
$ | 1,305,901,053 | $ | 1,556,899,189 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The following is a summary of the inputs used as of December 31, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 3,014,516,309 | $ | 64,633,156 | $ | — | ||||||
| Affiliated Money Market Mutual Fund |
308,253,710 | — | — | |||||||||
| Total |
$ | 3,322,770,019 | $ | 64,633,156 | $ | — | ||||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 32,977,472 | $ | 18,821,831 | ||||
| Net realized gain on investment and foreign currency transactions |
160,093,957 | 204,252,562 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
208,970,300 | (327,809,092 | ) | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
402,041,729 | (104,734,699 | ) | |||||
| DISTRIBUTIONS | ||||||||
| Class I |
(18,817,932 | ) | (22,097,344 | ) | ||||
| Class II |
(4,233 | ) | (4,010 | ) | ||||
| TOTAL DISTRIBUTIONS |
(18,822,165 | ) | (22,101,354 | ) | ||||
| SERIES SHARE TRANSACTIONS (Note 7): | ||||||||
| Series shares sold |
17,165,247 | 19,970,190 | ||||||
| Series shares issued in reinvestment of distributions |
18,822,165 | 22,101,354 | ||||||
| Series shares repurchased |
(249,839,713 | ) | (242,019,698 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(213,852,301 | ) | (199,948,154 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 169,367,263 | (326,784,207 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
2,999,461,237 | 3,326,245,444 | ||||||
| End of year |
$ | 3,168,828,500 | $ | 2,999,461,237 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| FLEXIBLE MANAGED PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A63
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| PREFERRED STOCKS (continued) |
Shares |
Value (Note 2) |
||||||||||||||||
| Media |
||||||||||||||||||
| ProSiebenSat.1 Media AG (Germany) |
9,220 | $ | 262,622 | |||||||||||||||
| TOTAL PREFERRED STOCKS |
|
1,096,924 | ||||||||||||||||
| Units |
||||||||||||||||||
| RIGHTS | ||||||||||||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||||
| Repsol SA (Spain)* |
2,311 | 1,409 | ||||||||||||||||
| Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
|||||||||||||||
| ASSET-BACKED SECURITIES — 2.1% | ||||||||||||||||||
| Non-Residential Mortgage-Backed Securities — 1.9% |
||||||||||||||||||
| AIMCO (Cayman Islands), Ser. 2005-AA, |
Aaa | 0.569% | 10/20/19 | $ | 2,557 | 2,490,234 | ||||||||||||
| American Express Credit Account Master Trust, |
AA-(c) | 1.009% | 05/15/20 | 3,900 | 3,900,651 | |||||||||||||
| ARES CLO Funds (Cayman Islands), Ser. 2011-16A, |
Aaa | 1.911% | 05/17/21 | 500 | 501,499 | |||||||||||||
| ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), Ser. 2005-2A, Class A2, 144A(b) |
Aaa | 0.574% | 01/26/20 | 1,622 | 1,587,278 | |||||||||||||
| BA Credit Card Trust, Ser. 2006-C5, Class C5(b) |
A3 | 0.609% | 01/15/16 | 3,209 | 3,209,584 | |||||||||||||
| Bank One Issuance Trust, Ser. 2003-C3, Class C3 |
Baa2 | 4.770% | 02/16/16 | 5,200 | 5,292,784 | |||||||||||||
| Battalion CLO Ltd. (Cayman Islands), Ser. 2012-2A, |
AAA(c) | 1.537% | 11/15/19 | 2,500 | 2,490,817 | |||||||||||||
| BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b) |
Aaa | 0.562% | 05/25/17 | 621 | 614,601 | |||||||||||||
| Cent CDO XI Ltd. (Cayman Islands), Ser. 2006-11A, |
Aaa | 0.575% | 04/25/19 | 2,279 | 2,227,530 | |||||||||||||
| Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.563% | 08/03/19 | 404 | 395,834 | |||||||||||||
| Citibank Credit Card Issuance Trust, Ser. 2005-C2, |
Baa2 | 0.681% | 03/24/17 | 2,200 | 2,183,306 | |||||||||||||
| Citibank Credit Card Issuance Trust, Ser. 2006-C1, |
Baa2 | 0.611% | 02/20/15 | 1,350 | 1,349,977 | |||||||||||||
| Four Corners CLO (Cayman Islands), Ser. 2006-3A, |
Aaa | 0.569% | 07/22/20 | 959 | 942,219 | |||||||||||||
| Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class B, 144A(b) |
Aa1 | 0.778% | 03/15/20 | 1,000 | 957,753 | |||||||||||||
| GE Capital Credit Card Master Note Trust, Ser. 2011-2, Class B(b) |
A2 | 1.209% | 05/15/19 | 8,345 | 8,409,565 | |||||||||||||
| GE Capital Credit Card Master Note Trust, Ser. 2012-4, Class B(b) |
A2 | 1.059% | 06/15/18 | 5,500 | 5,529,249 | |||||||||||||
| Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.600% | 12/15/17 | 230 | 229,649 | |||||||||||||
| Gulf Stream Compass CLO Ltd. (Cayman Islands), |
Aaa | 0.700% | 07/15/16 | 7 | 6,900 | |||||||||||||
| Lafayette CLO Ltd. (Cayman Islands), Ser. 2012-1A, |
AAA(c) | 1.751% | 09/06/22 | 1,863 | 1,861,623 | |||||||||||||
| Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, |
Aaa | 0.561% | 10/19/20 | 677 | 664,152 | |||||||||||||
| LCM LP (Cayman Islands), Ser. 2004-2A, |
Aaa | 0.639% | 10/22/16 | 225 | 224,377 | |||||||||||||
| LCM LP (Cayman Islands), Ser. 2005-3A, |
Aaa | 0.571% | 06/01/17 | 1,651 | 1,625,159 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| ASSET-BACKED SECURITIES (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Non-Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||
| Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, |
Aaa | 0.568% | 09/15/17 | $ | 1,192 | $ | 1,172,265 | |||||||||||
| Marine Park CLO Ltd. (Cayman Islands), Ser. 2012-1A, |
Aaa | 2.003% | 05/18/23 | 1,350 | 1,353,993 | |||||||||||||
| Mountain Capital CLO Ltd. (Cayman Islands), |
Aaa | 0.558% | 03/15/18 | 381 | 368,675 | |||||||||||||
| OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, |
Aaa | 1.791% | 11/22/23 | 1,200 | 1,201,540 | |||||||||||||
| OCP CLO Ltd. (Cayman Islands), Ser. 2012-2A, |
AA(c) | 2.511% | 11/22/23 | 1,200 | 1,186,307 | |||||||||||||
| Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, Class B, 144A(b) |
AA(c) | 2.961% | 08/17/22 | 500 | 501,391 | |||||||||||||
| Sound Point CLO Ltd. (Cayman Islands), Ser. 2012-1A, Class B, 144A(b) |
AA(c) | 3.084% | 10/20/23 | 1,100 | 1,118,372 | |||||||||||||
| Stanfield Azure CLO Ltd. (Cayman Islands), Ser. 2006-1A, Class A1L, 144A(b) |
Aaa | 0.572% | 05/27/20 | 2,572 | 2,512,043 | |||||||||||||
| SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A |
Aaa | 5.250% | 02/20/21 | 107 | 107,465 | |||||||||||||
| SVO VOI Mortgage Corp., Ser. 2012-AA, Class A, 144A |
A+(c) | 2.000% | 09/20/29 | 2,151 | 2,150,820 | |||||||||||||
| Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, |
Aaa | 0.563% | 11/01/18 | 2,400 | 2,368,805 | |||||||||||||
| 60,736,417 | ||||||||||||||||||
| Residential Mortgage-Backed Securities — 0.2% |
||||||||||||||||||
| CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b) |
B2 | 1.860% | 03/25/33 | 339 | 256,920 | |||||||||||||
| Credit-Based Asset Servicing and Securitization LLC, |
B3 | 4.853% | 07/25/35 | 302 | 257,134 | |||||||||||||
| Equity One ABS, Inc., Ser. 2004-3, Class M1(d) |
Ba1 | 5.330% | 07/25/34 | 559 | 467,428 | |||||||||||||
| GSAMP Trust, Ser. 2004-HE2, Class A3C(b) |
Aaa | 0.790% | 09/25/34 | 674 | 655,571 | |||||||||||||
| HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b) |
Aa1 | 0.701% | 01/20/35 | 265 | 252,333 | |||||||||||||
| Long Beach Mortgage Loan Trust, Ser. 2004-2, |
B1 | 0.740% | 06/25/34 | 926 | 792,932 | |||||||||||||
| Morgan Stanley ABS Capital I, Ser. 2003-HE1, |
Ba2 | 1.410% | 05/25/33 | 554 | 521,090 | |||||||||||||
| Morgan Stanley ABS Capital I, Ser. 2004-HE5, |
B3 | 1.155% | 06/25/34 | 1,112 | 1,024,277 | |||||||||||||
| Morgan Stanley ABS Capital I, Ser. 2004-NC1, |
Baa2 | 1.260% | 12/27/33 | 1,017 | 963,523 | |||||||||||||
| Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, |
Caa3 | 1.110% | 07/25/32 | 591 | 502,446 | |||||||||||||
| Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, |
B2 | 1.485% | 09/25/32 | 615 | 553,413 | |||||||||||||
| Securitized Asset Backed Receivables LLC Trust, |
Ba3 | 0.975% | 02/25/34 | 987 | 888,019 | |||||||||||||
| Securitized Asset Backed Receivables LLC Trust, |
Ca | 0.460% | 05/25/36 | 1,078 | 549,205 | |||||||||||||
| 7,684,291 | ||||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
68,420,708 | ||||||||||||||||
| BANK LOANS(b) — 0.4% | ||||||||||||||||||
| Automotive |
||||||||||||||||||
| Schaeffler AG (Germany) |
Ba3 | 6.000% | 01/27/17 | 750 | 757,032 | |||||||||||||
| Chemicals — 0.1% |
||||||||||||||||||
| Ashland, Inc. |
Baa3 | 2.312% | 08/23/16 | 1,678 | 1,679,729 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| BANK LOANS(b) (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Foods — 0.1% |
||||||||||||||||||
| Del Monte Foods Co. |
Ba3 | 4.500% | 03/08/18 | $ | 1,098 | $ | 1,098,694 | |||||||||||
| Gaming |
||||||||||||||||||
| Scientific Games Corp. |
Ba1 | 3.210% | 06/30/15 | 645 | 643,569 | |||||||||||||
| Healthcare & Pharmaceutical — 0.1% |
||||||||||||||||||
| Community Health Systems, Inc. |
Ba3 | 2.811% | 10/25/16 | 491 | 489,414 | |||||||||||||
| HCA, Inc. |
Ba3 | 3.462% | 05/01/18 | 370 | 370,232 | |||||||||||||
| HCA, Inc. |
Ba3 | 3.561% | 03/31/17 | 886 | 887,996 | |||||||||||||
| RPI Finance Trust |
Baa2 | 4.000% | 11/09/18 | 1,076 | 1,085,629 | |||||||||||||
| Universal Health Services, Inc. |
Ba2 | 2.060% | 08/15/16 | 1,093 | 1,093,125 | |||||||||||||
| 3,926,396 | ||||||||||||||||||
| Pipelines & Other |
||||||||||||||||||
| Energy Transfer Equity LP |
Ba2 | 3.750% | 03/23/17 | 900 | 906,047 | |||||||||||||
| Technology — 0.1% |
||||||||||||||||||
| First Data Corp. |
B1 | 4.211% | 03/26/18 | 2,134 | 2,029,889 | |||||||||||||
| First Data Corp. |
B1 | 5.211% | 03/24/17 | 162 | 158,972 | |||||||||||||
| Flextronics International Ltd. (Singapore) |
Ba1 | 0.381% | 10/01/14 | 533 | 532,439 | |||||||||||||
| Flextronics International Ltd. (Singapore) |
Ba1 | 2.462% | 10/01/14 | 153 | 152,999 | |||||||||||||
| Sensata Technologies, Inc. |
Ba2 | 3.750% | 05/12/18 | 434 | 435,634 | |||||||||||||
| 3,309,933 | ||||||||||||||||||
| TOTAL BANK LOANS |
|
12,321,400 | ||||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2% | ||||||||||||||||||
| Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1 |
Caa2 | 6.000% | 01/25/36 | 2,569 | 1,986,071 | |||||||||||||
| Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b) |
B2 | 3.002% | 02/25/35 | 579 | 560,808 | |||||||||||||
| Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b) |
Caa1 | 2.770% | 03/25/35 | 450 | 417,778 | |||||||||||||
| Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b) |
B2 | 3.038% | 02/25/37 | 1,238 | 1,233,710 | |||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1 |
Ba3 | 5.250% | 09/25/19 | 509 | 520,211 | |||||||||||||
| JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b) |
B1 | 2.991% | 07/25/35 | 820 | 822,602 | |||||||||||||
| MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1 |
Baa1 | 5.000% | 04/25/19 | 169 | 173,952 | |||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(b) |
Baa3 | 2.775% | 02/25/34 | 525 | 529,696 | |||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Ser. 2005-1, Class 3A |
CCC(c) | 5.000% | 03/25/20 | 212 | 214,723 | |||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
6,459,551 | ||||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.3% | ||||||||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4 |
Aaa | 4.153% | 11/10/38 | 2,268 | 2,292,883 | |||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A |
Aaa | 5.600% | 07/10/46 | 3,700 | 3,735,509 | |||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b) |
Aaa | 5.685% | 06/10/49 | 830 | 829,563 | |||||||||||||
| Banc of America Commercial Mortgage Inc., Ser. 2007-5, Class A3 |
AAA(c) | 5.620% | 02/10/51 | 1,920 | 2,024,728 | |||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., |
Aaa | 5.369% | 10/10/45 | 3,900 | 4,248,040 | |||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., |
AAA(c) | 5.598% | 04/10/49 | 1,500 | 1,667,119 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Bear Stearns Commercial Mortgage Securities, Inc., |
AAA(c) | 5.405% | 12/11/40 | $ | 2,000 | $ | 2,227,288 | |||||||||||
| Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(b) |
Aaa | 5.702% | 12/10/49 | 1,000 | 1,178,161 | |||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, |
Aaa | 5.304% | 01/15/46 | 1,200 | 1,343,971 | |||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, |
Aaa | 5.617% | 10/15/48 | 580 | 666,618 | |||||||||||||
| Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A |
AA-(c) | 5.440% | 09/15/30 | 426 | 431,782 | |||||||||||||
| Commercial Mortgage Pass-Through Certificates, |
AAA(c) | 5.748% | 06/10/46 | 5,450 | 6,189,565 | |||||||||||||
| Commercial Mortgage Pass-Through Certificates, Ser. 2006-C8, Class A2B |
Aaa | 5.248% | 12/10/46 | 334 | 335,826 | |||||||||||||
| Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR3, Class A2 |
Aaa | 1.765% | 10/15/45 | 3,100 | 3,184,456 | |||||||||||||
| Commercial Mortgage Pass-Through Certificates, Ser. 2012-CR5, Class A3 |
Aaa | 2.540% | 12/10/45 | 1,000 | 999,362 | |||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C3, Class A4 |
Aaa | 4.835% | 07/15/36 | 282 | 286,732 | |||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, Class A4 |
Aa2 | 4.832% | 04/15/37 | 1,900 | 2,042,443 | |||||||||||||
| Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b) |
AAA(c) | 5.409% | 02/15/39 | 2,700 | 3,046,405 | |||||||||||||
| Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b) |
AAA(c) | 5.409% | 02/15/39 | 640 | 708,477 | |||||||||||||
| CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4 |
AA+(c) | 5.223% | 08/15/48 | 1,230 | 1,394,286 | |||||||||||||
| CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b) |
AAA(c) | 5.803% | 05/15/46 | 1,231 | 1,311,127 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K020, Class X1(b) |
AA+(c) | 1.479% | 05/25/22 | 25,947 | 2,767,440 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K021, Class X1(b) |
AA+(c) | 1.516% | 06/25/22 | 7,297 | 811,171 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K501, Class X1A(b) |
AA+(c) | 1.755% | 08/25/16 | 7,826 | 366,354 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K710, Class X1(b) |
AA+(c) | 1.785% | 05/25/19 | 19,971 | 1,904,509 | |||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, I/O, Ser. K711, Class X1(b) |
AA+(c) | 1.712% | 07/25/19 | 20,995 | 1,951,461 | |||||||||||||
| GE Capital Commercial Mortgage Corp., Ser. 2005-C4, Class A4(b) |
Aaa | 5.307% | 11/10/45 | 2,585 | 2,890,974 | |||||||||||||
| GE Capital Commercial Mortgage Corp., Ser. 2006-C1, Class A4(b) |
AAA(c) | 5.296% | 03/10/44 | 2,060 | 2,310,929 | |||||||||||||
| GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5 |
AAA(c) | 4.697% | 05/10/43 | 2,720 | 2,906,959 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2005-GG3, Class A3 |
Aaa | 4.569% | 08/10/42 | 516 | 517,501 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, Class A5 |
Aa2 | 5.224% | 04/10/37 | 8,050 | 8,894,308 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, Class A4(a)(b) |
Aaa | 5.867% | 07/10/38 | 1,940 | 2,227,915 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2 |
Aaa | 5.381% | 03/10/39 | 2,667 | 2,752,069 | |||||||||||||
| GS Mortgage Securities Corp. II, Ser. 2006-GG6, Class AAB |
AAA(c) | 5.587% | 04/10/38 | 4,677 | 4,968,811 | |||||||||||||
| GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2 |
Aaa | 5.778% | 08/10/45 | 1,031 | 1,036,505 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 4.853% | 03/15/46 | 1,392 | 1,437,045 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 4.697% | 07/15/42 | $ | 312 | $ | 313,013 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aa2 | 4.780% | 07/15/42 | 1,000 | 1,079,820 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 4.659% | 07/15/42 | 2,475 | 2,563,287 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aa2 | 4.999% | 10/15/42 | 1,270 | 1,381,364 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 5.523% | 05/12/45 | 2,818 | 3,006,154 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., I/O, Ser. 2006-LDP6, Class X2(b) |
Aaa | 0.050% | 04/15/43 | 78,211 | 6,570 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 5.871% | 04/15/45 | 480 | 485,349 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 5.827% | 02/15/51 | 844 | 866,469 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 3.139% | 06/15/45 | 2,100 | 2,262,763 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 2.611% | 12/15/47 | 1,700 | 1,707,644 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5 |
AAA(c) | 4.826% | 08/15/29 | 1,569 | 1,602,793 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b) |
AA(c) | 5.263% | 11/15/40 | 1,510 | 1,659,736 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2 |
AAA(c) | 5.084% | 02/15/31 | 304 | 303,826 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2 |
Aaa | 5.532% | 03/15/32 | 55 | 54,780 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4 |
Aaa | 5.661% | 03/15/39 | 2,676 | 3,036,891 | |||||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3 |
Aaa | 4.615% | 08/12/39 | 2,000 | 2,050,012 | |||||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b) |
AA(c) | 5.684% | 05/12/39 | 930 | 1,042,985 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
A(c) | 5.532% | 02/12/39 | 530 | 589,334 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
Aaa | 5.893% | 06/12/46 | 1,795 | 2,067,745 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
Aaa | 5.331% | 03/12/51 | 2,397 | 2,461,777 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b) |
Aaa | 5.420% | 03/12/44 | 1,500 | 1,677,270 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b) |
AAA(c) | 5.691% | 10/15/42 | 2,600 | 2,935,127 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4 |
AAA(c) | 5.332% | 12/15/43 | 4,720 | 5,431,073 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2007-HQ11, Class A31 |
Aaa | 5.439% | 02/12/44 | 1,230 | 1,286,354 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB |
Aaa | 5.444% | 02/12/44 | 3,865 | 4,052,752 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b) |
AAA(c) | 5.651% | 06/11/42 | 1,031 | 1,063,204 | |||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4 |
Aaa | 2.792% | 12/10/45 | 1,700 | 1,719,099 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, |
Aaa | 5.418% | 01/15/45 | 4,828 | 5,378,791 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, |
Aaa | 5.736% | 05/15/43 | 700 | 798,799 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, |
Aa2 | 5.509% | 04/15/47 | 4,500 | 5,199,233 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, |
Aaa | 5.921% | 02/15/51 | 3,470 | 4,071,077 | |||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
140,043,383 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS — 9.8% | Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Aerospace & Defense |
||||||||||||||||||
| Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
Ba2 | 6.300% | 05/01/14 | $ | 1,075 | $ | 1,122,031 | |||||||||||
| L-3 Communications Corp., Gtd. Notes |
Baa3 | 4.750% | 07/15/20 | 515 | 574,038 | |||||||||||||
| 1,696,069 | ||||||||||||||||||
| Airlines — 0.2% |
||||||||||||||||||
| Continental Airlines Pass-Through Trust, Pass-thru Certs., |
Baa2 | 6.648% | 09/15/17 | 203 | 217,034 | |||||||||||||
| Continental Airlines Pass-Through Trust, Pass-thru Certs., |
Baa2 | 7.250% | 11/10/19 | 692 | 799,835 | |||||||||||||
| Continental Airlines Pass-Through Trust, Pass-thru Certs., |
Baa2 | 4.750% | 01/12/21 | 816 | 887,361 | |||||||||||||
| Continental Airlines Pass-Through Trust, Pass-thru Certs., |
Baa2 | 4.000% | 10/29/24 | 705 | 742,013 | |||||||||||||
| Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., |
Baa2 | 6.821% | 08/10/22 | 369 | 411,924 | |||||||||||||
| Delta Air Lines, Inc., Pass-Through Trust, Pass-thru Certs., |
Baa2 | 5.300% | 04/15/19 | 1,285 | 1,416,587 | |||||||||||||
| Delta Air Lines, Inc. Pass-Through Trust, Pass-thru Certs., |
Baa2 | 4.950% | 05/23/19 | 665 | 724,893 | |||||||||||||
| 5,199,647 | ||||||||||||||||||
| Automotive — 0.1% |
||||||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
Baa3 | 3.984% | 06/15/16 | 415 | 440,658 | |||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes |
Baa3 | 4.207% | 04/15/16 | 1,655 | 1,765,249 | |||||||||||||
| Harley-Davidson Financial Services, Inc., |
Baa1 | 2.700% | 03/15/17 | 450 | 465,086 | |||||||||||||
| Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN |
Baa1 | 5.750% | 12/15/14 | 500 | 546,043 | |||||||||||||
| Johnson Controls, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.500% | 01/15/16 | 245 | 276,555 | |||||||||||||
| 3,493,591 | ||||||||||||||||||
| Banking — 2.6% |
||||||||||||||||||
| American Express Co., Sr. Unsec’d. Notes, 144A |
A3 | 2.650% | 12/02/22 | 2,213 | 2,204,188 | |||||||||||||
| American Express Credit Corp., |
A2 | 2.800% | 09/19/16 | 2,030 | 2,147,831 | |||||||||||||
| Banco Bradesco SA (Brazil), Sub. Notes(a) |
Baa1 | 8.750% | 10/24/13 | 1,760 | 1,852,400 | |||||||||||||
| Banco Santander Chile (Chile), |
Aa3 | 3.875% | 09/20/22 | 645 | 661,215 | |||||||||||||
| Bangkok Bank PCL/Hong Kong (Thailand), |
A3 | 2.750% | 03/27/18 | 1,850 | 1,871,064 | |||||||||||||
| Bank of America Corp., Jr. Sub. Notes, Ser. K(b) |
B1 | 8.000% | 12/29/49 | 2,200 | 2,433,376 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 4.500% | 04/01/15 | 595 | 634,226 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 5.700% | 01/24/22 | 1,770 | 2,128,512 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 6.000% | 09/01/17 | 1,075 | 1,258,841 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
Baa2 | 5.000% | 05/13/21 | 630 | 719,241 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1 |
Baa2 | 3.750% | 07/12/16 | 870 | 929,966 | |||||||||||||
| Bank of America Corp., Sub. Notes |
Baa3 | 5.750% | 08/15/16 | 1,775 | 1,941,019 | |||||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 5.300% | 03/15/17 | 930 | 1,045,980 | |||||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 6.000% | 10/15/36 | 410 | 502,364 | |||||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
A2 | 5.300% | 10/30/15 | 515 | 570,719 | |||||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
A2 | 6.400% | 10/02/17 | 330 | 396,329 | |||||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
A2 | 7.250% | 02/01/18 | 1,175 | 1,472,325 | |||||||||||||
| Capital One Bank USA NA, Sub. Notes |
Baa1 | 6.500% | 06/13/13 | 20 | 20,523 | |||||||||||||
| Capital One Bank USA NA, Sub. Notes |
Baa1 | 8.800% | 07/15/19 | 1,300 | 1,760,326 | |||||||||||||
| Capital One Capital VI, Ltd. Gtd. Notes |
Baa3 | 8.875% | 05/15/40 | 1,080 | 1,080,000 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 3.953% | 06/15/16 | 1,010 | 1,087,125 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes(a) |
Baa2 | 4.500% | 01/14/22 | 2,450 | 2,733,475 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.750% | 05/19/15 | 2,265 | 2,441,752 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 05/15/18 | 1,155 | 1,384,165 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.875% | 03/05/38 | 215 | 283,038 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Banking (continued) |
||||||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 8.125% | 07/15/39 | $ | 710 | $ | 1,062,952 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 8.500% | 05/22/19 | 1,895 | 2,548,087 | |||||||||||||
| Citigroup, Inc., Sub. Notes |
Baa3 | 5.000% | 09/15/14 | 454 | 477,648 | |||||||||||||
| Citigroup, Inc., Sub. Notes |
Baa3 | 6.125% | 08/25/36 | 570 | 621,230 | |||||||||||||
| Depfa ACS Bank (Ireland), Covered Notes, 144A |
A3 | 5.125% | 03/16/37 | 1,380 | 1,077,358 | |||||||||||||
| Discover Bank, Sub. Notes |
Ba1 | 7.000% | 04/15/20 | 570 | 707,767 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Notes |
A3 | 6.250% | 02/01/41 | 270 | 331,269 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 3.625% | 02/07/16 | 2,000 | 2,117,046 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e) |
A3 | 5.250% | 07/27/21 | 2,055 | 2,342,651 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(a) |
A3 | 5.750% | 01/24/22 | 3,620 | 4,279,607 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/20 | 1,000 | 1,188,212 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 5.625% | 01/15/17 | 1,190 | 1,305,641 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 6.750% | 10/01/37 | 104 | 117,866 | |||||||||||||
| HSBC Holdings PLC (United Kingdom), |
Aa3 | 4.875% | 01/14/22 | 1,910 | 2,216,685 | |||||||||||||
| HSBC Holdings PLC (United Kingdom), |
Aa3 | 5.100% | 04/05/21 | 1,025 | 1,210,403 | |||||||||||||
| Huntington BancShares, Inc., Sub. Notes |
Baa2 | 7.000% | 12/15/20 | 170 | 207,988 | |||||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b) |
Ba1 | 7.900% | 04/29/49 | 2,000 | 2,266,020 | |||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 3.150% | 07/05/16 | 3,210 | 3,400,834 | |||||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes(a)(e) |
A2 | 4.250% | 10/15/20 | 2,930 | 3,258,532 | |||||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes |
A2 | 6.375% | 01/21/21 | 1,400 | 1,724,852 | |||||||||||||
| Lloyds TSB Bank PLC (United Kingdom), |
A2 | 5.800% | 01/13/20 | 1,870 | 2,188,429 | |||||||||||||
| Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN(a) |
Baa2 | 6.400% | 08/28/17 | 20 | 23,487 | |||||||||||||
| Morgan Stanley, Notes, Ser. G, MTN |
Baa1 | 6.625% | 04/01/18 | 105 | 123,750 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
Baa1 | 5.750% | 01/25/21 | 1,400 | 1,598,849 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes(a) |
Baa1 | 6.375% | 07/24/42 | 780 | 914,398 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.625% | 09/23/19 | 1,415 | 1,600,337 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.950% | 12/28/17 | 510 | 577,526 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 5.450% | 01/09/17 | 2,345 | 2,594,932 | |||||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 5.500% | 07/28/21 | 760 | 862,884 | |||||||||||||
| MUFG Capital Finance 1 Ltd. (Cayman Islands), |
Ba1 | 6.346% | 07/29/49 | 800 | 882,156 | |||||||||||||
| People’s United Financial, Inc., Sr. Unsec’d. Notes |
A3 | 3.650% | 12/06/22 | 1,455 | 1,462,567 | |||||||||||||
| PNC Funding Corp., Gtd. Notes |
A3 | 2.700% | 09/19/16 | 1,110 | 1,172,743 | |||||||||||||
| PNC Funding Corp., Gtd. Notes(a) |
A3 | 6.700% | 06/10/19 | 440 | 561,367 | |||||||||||||
| Royal Bank of Scotland Group PLC (United Kingdom), |
Baa1 | 2.550% | 09/18/15 | 455 | 465,652 | |||||||||||||
| Royal Bank of Scotland Group PLC (United Kingdom), |
Baa1 | 6.400% | 10/21/19 | 1,775 | 2,097,411 | |||||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
Baa2 | 3.000% | 09/24/15 | 955 | 972,514 | |||||||||||||
| US Bancorp, Sub. Notes, MTN |
A2 | 2.950% | 07/15/22 | 1,120 | 1,131,453 | |||||||||||||
| Wells Fargo Bank NA, Sub. Notes, Ser. AI(e) |
A1 | 4.750% | 02/09/15 | 585 | 628,300 | |||||||||||||
| 85,881,403 | ||||||||||||||||||
| Brokerage |
||||||||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f) |
NR | 6.875% | 02/06/12 | 1,715 | 400,881 | |||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes(f) |
NR | 6.875% | 05/02/18 | 700 | 168,000 | |||||||||||||
| 568,881 | ||||||||||||||||||
| Building Materials & Construction |
||||||||||||||||||
| Odebrecht Finance Ltd. (Cayman Islands), |
Baa3 | 5.125% | 06/26/22 | 700 | 759,500 | |||||||||||||
| Owens Corning, Gtd. Notes |
Ba1 | 4.200% | 12/15/22 | 775 | 788,163 | |||||||||||||
| 1,547,663 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Cable — 0.2% |
||||||||||||||||||
| AT&T Broadband LLC, Gtd. Notes |
Baa1 | 9.455% | 11/15/22 | $ | 255 | $ | 385,524 | |||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes(a) |
B1 | 8.625% | 09/15/17 | 1,000 | 1,166,250 | |||||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.400% | 05/15/38 | 570 | 728,300 | |||||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.450% | 03/15/37 | 155 | 198,894 | |||||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.500% | 11/15/35 | 450 | 577,372 | |||||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.950% | 08/15/37 | 605 | 820,420 | |||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., |
Baa2 | 3.500% | 03/01/16 | 920 | 974,654 | |||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., |
Baa2 | 3.550% | 03/15/15 | 165 | 173,573 | |||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., |
Baa2 | 5.150% | 03/15/42 | 1,560 | 1,577,835 | |||||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
Baa2 | 7.500% | 04/01/14 | 345 | 373,826 | |||||||||||||
| 6,976,648 | ||||||||||||||||||
| Capital Goods — 0.4% |
||||||||||||||||||
| Actuant Corp., Gtd. Notes |
Ba2 | 5.625% | 06/15/22 | 1,205 | 1,247,175 | |||||||||||||
| Case New Holland, Inc., Gtd. Notes |
Ba2 | 7.875% | 12/01/17 | 1,255 | 1,484,037 | |||||||||||||
| Deere & Co., Sr. Unsec’d. Notes |
A2 | 3.900% | 06/09/42 | 745 | 761,426 | |||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 5.625% | 03/15/42 | 375 | 415,456 | |||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 6.375% | 10/15/17 | 1,302 | 1,574,721 | |||||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 7.000% | 10/15/37 | 380 | 482,535 | |||||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
Aa3 | 4.125% | 10/09/42 | 485 | 498,894 | |||||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
Aa3 | 5.250% | 12/06/17 | 200 | 235,830 | |||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., |
Baa3 | 2.500% | 07/11/14 | 385 | 389,022 | |||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., |
Baa3 | 2.500% | 03/15/16 | 1,890 | 1,895,092 | |||||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., |
Baa3 | 3.125% | 05/11/15 | 500 | 510,170 | |||||||||||||
| United Technologies Corp., Sr. Unsec’d. Notes |
A2 | 4.500% | 06/01/42 | 1,830 | 2,033,425 | |||||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.875% | 10/01/21 | 1,260 | 1,430,512 | |||||||||||||
| 12,958,295 | ||||||||||||||||||
| Chemicals — 0.2% |
||||||||||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
Baa2 | 3.150% | 10/01/22 | 780 | 775,052 | |||||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa2 | 7.600% | 05/15/14 | 778 | 849,406 | |||||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa2 | 9.400% | 05/15/39 | 432 | 711,259 | |||||||||||||
| ICI Wilmington, Inc., Gtd. Notes |
Baa1 | 5.625% | 12/01/13 | 720 | 751,799 | |||||||||||||
| LyondellBasell Industries NV (Netherlands), |
Baa3 | 5.000% | 04/15/19 | 1,000 | 1,105,000 | |||||||||||||
| Reliance Holdings USA, Inc., Gtd. Notes, 144A |
Baa2 | 5.400% | 02/14/22 | 1,050 | 1,174,401 | |||||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
Baa2 | 7.500% | 06/01/25 | 460 | 572,842 | |||||||||||||
| 5,939,759 | ||||||||||||||||||
| Consumer — 0.1% |
||||||||||||||||||
| Newell Rubbermaid, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.250% | 04/15/18 | 1,700 | 1,980,099 | |||||||||||||
| Sealy Mattress Co., Sr. Sec’d. Notes, 144A |
Ba3 | 10.875% | 04/15/16 | 1,254 | 1,329,240 | |||||||||||||
| 3,309,339 | ||||||||||||||||||
| Electric — 0.5% |
||||||||||||||||||
| Arizona Public Service Co., Sr. Unsec’d. Notes |
Baa1 | 6.250% | 08/01/16 | 175 | 205,413 | |||||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
Baa1 | 6.350% | 10/01/36 | 550 | 730,170 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Electric (continued) |
||||||||||||||||||
| Carolina Power & Light Co., First Mtge. Bonds |
A1 | 5.250% | 12/15/15 | $ | 525 | $ | 595,432 | |||||||||||
| CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2 |
A3 | 5.700% | 03/15/13 | 740 | 747,907 | |||||||||||||
| CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2 |
A3 | 6.950% | 03/15/33 | 590 | 837,401 | |||||||||||||
| Consolidated Edison Co. of New York, Inc., |
A3 | 5.500% | 12/01/39 | 220 | 273,067 | |||||||||||||
| Duke Energy Carolinas LLC, First Ref. Mtge. Bonds |
A1 | 4.000% | 09/30/42 | 570 | 574,529 | |||||||||||||
| Duke Energy Carolinas LLC, First Mtge. Bonds |
A1 | 6.050% | 04/15/38 | 550 | 720,500 | |||||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes |
Baa2 | 6.000% | 05/15/35 | 670 | 835,457 | |||||||||||||
| Empresa Nacional de Electricidad SA (Chile), |
Baa2 | 8.625% | 08/01/15 | 1,295 | 1,514,795 | |||||||||||||
| ENEL Finance International SA (Netherlands), |
Baa2 | 6.000% | 10/07/39 | 1,280 | 1,239,484 | |||||||||||||
| Exelon Corp., Sr. Unsec’d. Notes |
Baa2 | 4.900% | 06/15/15 | 155 | 168,722 | |||||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
Baa1 | 6.250% | 10/01/39 | 1,425 | 1,657,077 | |||||||||||||
| Florida Power & Light Co., First Mtge. Bonds |
Aa3 | 5.950% | 10/01/33 | 295 | 384,239 | |||||||||||||
| Georgia Power Co., Sr. Unsec’d. Notes, Ser. B |
A3 | 5.700% | 06/01/17 | 495 | 593,816 | |||||||||||||
| Iberdrola International BV (Netherlands), Gtd. Notes |
Baa1 | 6.750% | 09/15/33 | 145 | 155,552 | |||||||||||||
| Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF |
Baa2 | 5.050% | 11/15/14 | 460 | 493,022 | |||||||||||||
| MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes |
Baa1 | 5.950% | 05/15/37 | 300 | 370,411 | |||||||||||||
| Nevada Power Co., Genl. Ref. Mtge., Ser. O |
Baa1 | 6.500% | 05/15/18 | 1,260 | 1,571,417 | |||||||||||||
| Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A |
A3 | 4.881% | 08/15/19 | 610 | 712,385 | |||||||||||||
| NSTAR, Sr. Unsec’d. Notes |
A3 | 4.500% | 11/15/19 | 615 | 698,548 | |||||||||||||
| Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes |
Baa2 | 6.375% | 01/15/15 | 345 | 380,748 | |||||||||||||
| Public Service Co. of New Mexico, Sr. Unsec’d. Notes |
Baa3 | 7.950% | 05/15/18 | 140 | 170,111 | |||||||||||||
| Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN |
A1 | 5.800% | 05/01/37 | 535 | 693,358 | |||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
Baa1 | 4.800% | 09/15/41 | 480 | 538,627 | |||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.613% | 04/01/17 | 199 | 232,835 | |||||||||||||
| 17,095,023 | ||||||||||||||||||
| Energy – Integrated — 0.1% |
||||||||||||||||||
| BP Capital Markets PLC (United Kingdom), Gtd. Notes |
A2 | 4.500% | 10/01/20 | 535 | 616,567 | |||||||||||||
| BP Capital Markets PLC (United Kingdom), Gtd. Notes |
A2 | 5.250% | 11/07/13 | 1,040 | 1,082,231 | |||||||||||||
| 1,698,798 | ||||||||||||||||||
| Energy – Other — 0.4% |
||||||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.375% | 09/15/17 | 1,195 | 1,427,422 | |||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.450% | 09/15/36 | 325 | 407,149 | |||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.950% | 06/15/19 | 250 | 315,954 | |||||||||||||
| Cameron International Corp., Sr. Unsec’d. Notes |
Baa1 | 4.500% | 06/01/21 | 2,200 | 2,461,705 | |||||||||||||
| Devon Energy Corp., Sr. Unsec’d. Notes(a) |
Baa1 | 4.750% | 05/15/42 | 1,065 | 1,139,352 | |||||||||||||
| Nabors Industries, Inc., Gtd. Notes(a) |
Baa2 | 4.625% | 09/15/21 | 1,070 | 1,151,577 | |||||||||||||
| Phillips 66, Gtd. Notes, 144A |
Baa1 | 2.950% | 05/01/17 | 490 | 519,320 | |||||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
Baa3 | 6.875% | 05/01/18 | 1,500 | 1,824,879 | |||||||||||||
| Transocean, Inc. (Cayman Islands), Gtd. Notes |
Baa3 | 2.500% | 10/15/17 | 920 | 929,678 | |||||||||||||
| Weatherford International Ltd. (Bermuda), Gtd. Notes(a) |
Baa2 | 5.125% | 09/15/20 | 810 | 892,612 | |||||||||||||
| Woodside Finance Ltd. (Australia), Gtd. Notes, 144A |
Baa1 | 5.000% | 11/15/13 | 1,315 | 1,358,528 | |||||||||||||
| 12,428,176 | ||||||||||||||||||
| Foods — 0.4% |
||||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 2.500% | 07/15/22 | 1,630 | 1,640,204 | |||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 8.000% | 11/15/39 | 1,285 | 2,080,416 | |||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 8.200% | 01/15/39 | 250 | 410,568 | |||||||||||||
| ARAMARK Corp., Gtd. Notes(a) |
B3 | 8.500% | 02/01/15 | 850 | 854,258 | |||||||||||||
| Beam, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.375% | 06/15/14 | 727 | 783,646 | |||||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
Baa2 | 5.350% | 04/15/14 | 1,040 | 1,094,357 | |||||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
Baa2 | 8.500% | 06/15/19 | 985 | 1,267,395 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Foods (continued) |
||||||||||||||||||
| Cargill, Inc., Sr. Unsec’d. Notes, 144A |
A2 | 6.000% | 11/27/17 | $ | 670 | $ | 806,076 | |||||||||||
| Constellation Brands, Inc., Gtd. Notes |
Ba1 | 4.625% | 03/01/23 | 1,250 | 1,306,250 | |||||||||||||
| Delhaize Group SA (Belgium), Gtd. Notes |
Baa3 | 6.500% | 06/15/17 | 480 | 544,863 | |||||||||||||
| Kraft Foods Group, Inc., Gtd. Notes, 144A |
Baa2 | 5.000% | 06/04/42 | 680 | 764,659 | |||||||||||||
| TreeHouse Foods, Inc., Gtd. Notes |
Ba2 | 7.750% | 03/01/18 | 1,271 | 1,379,035 | |||||||||||||
| Tyson Foods, Inc., Gtd. Notes(b) |
Baa3 | 6.600% | 04/01/16 | 735 | 842,270 | |||||||||||||
| 13,773,997 | ||||||||||||||||||
| Healthcare & Pharmaceutical — 0.4% |
||||||||||||||||||
| AbbVie, Inc., Gtd. Notes, 144A |
Baa1 | 4.400% | 11/06/42 | 740 | 786,719 | |||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.150% | 11/15/41 | 1,640 | 1,845,600 | |||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.375% | 05/15/43 | 1,110 | 1,308,721 | |||||||||||||
| Aristotle Holding, Inc., Gtd. Notes, 144A |
Baa3 | 2.750% | 11/21/14 | 2,460 | 2,537,724 | |||||||||||||
| CHS/Community Health Systems, Inc., Sr. Sec’d. Notes(a) |
Ba3 | 5.125% | 08/15/18 | 1,100 | 1,146,750 | |||||||||||||
| Genentech, Inc., Sr. Unsec’d. Notes |
AA(c) | 4.750% | 07/15/15 | 280 | 308,790 | |||||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.650% | 12/01/41 | 565 | 701,896 | |||||||||||||
| Laboratory Corp. of America Holdings, |
Baa2 | 3.750% | 08/23/22 | 180 | 190,884 | |||||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
Baa2 | 5.625% | 12/15/15 | 580 | 654,147 | |||||||||||||
| Merck & Co., Inc., Sr. Unsec’d. Notes |
Aa3 | 5.950% | 12/01/28 | 165 | 215,083 | |||||||||||||
| Mylan, Inc., Gtd. Notes, 144A(a) |
Baa3 | 7.625% | 07/15/17 | 1,000 | 1,123,869 | |||||||||||||
| Valeant Pharmaceuticals International, |
B1 | 6.500% | 07/15/16 | 1,000 | 1,051,250 | |||||||||||||
| Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes |
Baa3 | 4.625% | 10/01/42 | 560 | 583,034 | |||||||||||||
| Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes(a) |
Baa3 | 6.125% | 08/15/19 | 445 | 541,707 | |||||||||||||
| Wyeth, Gtd. Notes |
A1 | 6.450% | 02/01/24 | 60 | 81,445 | |||||||||||||
| 13,077,619 | ||||||||||||||||||
| Healthcare Insurance — 0.3% |
||||||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.500% | 09/15/18 | 1,570 | 1,952,008 | |||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.625% | 06/15/36 | 515 | 693,185 | |||||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 5.875% | 03/15/41 | 650 | 789,084 | |||||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 11/15/36 | 670 | 816,801 | |||||||||||||
| Coventry Health Care, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.125% | 01/15/15 | 1,290 | 1,409,280 | |||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 3.950% | 10/15/42 | 260 | 258,906 | |||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 5.950% | 02/15/41 | 730 | 917,837 | |||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/17 | 195 | 233,883 | |||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 06/15/37 | 420 | 553,256 | |||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.625% | 11/15/37 | 420 | 555,464 | |||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.625% | 05/15/42 | 390 | 402,798 | |||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes(a) |
Baa2 | 4.650% | 01/15/43 | 995 | 1,036,906 | |||||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
Baa2 | 5.000% | 12/15/14 | 860 | 928,855 | |||||||||||||
| 10,548,263 | ||||||||||||||||||
| Insurance — 0.8% |
||||||||||||||||||
| Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes |
Baa1 | 5.500% | 11/15/20 | 525 | 581,934 | |||||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes(a) |
A3 | 5.200% | 01/15/42 | 140 | 166,158 | |||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 4.250% | 05/15/13 | 580 | 587,045 | |||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.400% | 12/15/20 | 2,425 | 3,008,935 | |||||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 8.250% | 08/15/18 | 990 | 1,300,747 | |||||||||||||
| AON Corp., Sr. Unsec’d. Notes |
Baa2 | 3.125% | 05/27/16 | 2,655 | 2,795,115 | |||||||||||||
| Axis Specialty Finance LLC, Gtd. Notes |
Baa1 | 5.875% | 06/01/20 | 1,030 | 1,169,300 | |||||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(a)(b) |
A3 | 6.375% | 03/29/67 | 1,300 | 1,417,000 | |||||||||||||
| Hartford Financial Services Group, Inc., |
Baa3 | 5.125% | 04/15/22 | 755 | 871,157 | |||||||||||||
| Liberty Mutual Group, Inc., Bonds, 144A |
Baa2 | 7.000% | 03/15/34 | 850 | 987,878 | |||||||||||||
| Liberty Mutual Group, Inc., Gtd. Notes, 144A |
Baa2 | 6.500% | 05/01/42 | 365 | 410,639 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Insurance (continued) |
||||||||||||||||||
| Lincoln National Corp., Jr. Sub. Notes(b) |
Ba1 | 6.050% | 04/20/67 | $ | 260 | $ | 259,025 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 6.300% | 10/09/37 | 492 | 588,226 | |||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 7.000% | 06/15/40 | 705 | 917,589 | |||||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 8.750% | 07/01/19 | 605 | 809,064 | |||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 5.700% | 06/15/35 | 835 | 1,019,493 | |||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 6.375% | 06/15/34 | 400 | 521,930 | |||||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 6.750% | 06/01/16 | 430 | 509,269 | |||||||||||||
| New York Life Insurance Co., Sub. Notes, 144A |
Aa2 | 6.750% | 11/15/39 | 660 | 912,922 | |||||||||||||
| Nippon Life Insurance Co. (Japan), Sub. Notes, 144A(b) |
A2 | 5.000% | 10/18/42 | 745 | 786,931 | |||||||||||||
| Northwestern Mutual Life Insurance, Sub. Notes, 144A |
Aa2 | 6.063% | 03/30/40 | 370 | 472,376 | |||||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
Baa1 | 6.375% | 04/30/20 | 680 | 774,402 | |||||||||||||
| Pacific Life Insurance Co., Sub. Notes, 144A |
A3 | 9.250% | 06/15/39 | 995 | 1,391,409 | |||||||||||||
| Principal Financial Group, Inc., Gtd. Notes |
A3 | 4.625% | 09/15/42 | 130 | 132,125 | |||||||||||||
| Progressive Corp. (The), Jr. Sub. Notes(a)(b) |
A2 | 6.700% | 06/15/37 | 735 | 793,800 | |||||||||||||
| Teachers Insurance & Annuity Association of America, Sub. Notes, 144A |
Aa2 | 6.850% | 12/16/39 | 1,450 | 1,966,599 | |||||||||||||
| Unum Group, Sr. Unsec’d. Notes |
Baa2 | 5.625% | 09/15/20 | 350 | 399,903 | |||||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
Baa2 | 5.600% | 05/15/15 | 555 | 602,276 | |||||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 08/15/19 | 460 | 524,255 | |||||||||||||
| XL Group PLC (Ireland), Sr. Unsec’d. Notes |
Baa2 | 5.250% | 09/15/14 | 85 | 90,511 | |||||||||||||
| 26,768,013 | ||||||||||||||||||
| Lodging — 0.2% |
||||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
B2 | 10.000% | 10/01/14 | 900 | 1,039,500 | |||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
Baa2 | 3.000% | 03/01/19 | 580 | 596,939 | |||||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes |
Baa2 | 3.250% | 09/15/22 | 980 | 980,290 | |||||||||||||
| Starwood Hotels & Resorts Worldwide, Inc., |
Baa2 | 6.750% | 05/15/18 | 2,800 | 3,404,114 | |||||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
Baa3 | 4.250% | 03/01/22 | 1,055 | 1,089,305 | |||||||||||||
| 7,110,148 | ||||||||||||||||||
| Media & Entertainment — 0.4% |
||||||||||||||||||
| Belo Corp., Gtd. Notes |
Ba1 | 8.000% | 11/15/16 | 1,200 | 1,306,500 | |||||||||||||
| CBS Corp., Gtd. Notes(g) |
Baa2 | 4.850% | 07/01/42 | 400 | 416,316 | |||||||||||||
| Globo Comunicacao E Participacoes SA (Brazil), Sr. Unsec’d. Notes, |
Baa2 | 5.307% | 05/11/22 | 600 | 654,000 | |||||||||||||
| NBCUniversal Media LLC, Sr. Unsec’d. Notes |
Baa2 | 5.950% | 04/01/41 | 635 | 778,530 | |||||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.150% | 03/01/37 | 620 | 760,904 | |||||||||||||
| News America, Inc., Gtd. Notes(a) |
Baa1 | 6.150% | 02/15/41 | 1,315 | 1,665,557 | |||||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.900% | 08/15/39 | 90 | 117,834 | |||||||||||||
| Sinclair Television Group, Inc., Sec’d. Notes, 144A |
Ba3 | 9.250% | 11/01/17 | 1,300 | 1,430,000 | |||||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 6.200% | 03/15/40 | 210 | 257,169 | |||||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 6.250% | 03/29/41 | 1,465 | 1,808,844 | |||||||||||||
| Time Warner, Inc., Gtd. Notes(a) |
Baa2 | 7.250% | 10/15/17 | 790 | 991,985 | |||||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 7.625% | 04/15/31 | 180 | 247,803 | |||||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 9.150% | 02/01/23 | 505 | 745,745 | |||||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes, 144A |
Baa1 | 4.375% | 03/15/43 | 607 | 597,109 | |||||||||||||
| 11,778,296 | ||||||||||||||||||
| Metals — 0.2% |
||||||||||||||||||
| Newmont Mining Corp., Gtd. Notes |
Baa1 | 6.250% | 10/01/39 | 880 | 1,059,823 | |||||||||||||
| Peabody Energy Corp., Gtd. Notes |
Ba1 | 6.000% | 11/15/18 | 1,525 | 1,620,313 | |||||||||||||
| Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes |
A-(c) | 4.500% | 05/15/13 | 115 | 116,497 | |||||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
Baa2 | 7.500% | 07/27/35 | 425 | 545,609 | |||||||||||||
| Teck Resources Ltd. (Canada), Gtd. Notes |
Baa2 | 5.200% | 03/01/42 | 695 | 710,344 | |||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
Baa2 | 1.800% | 10/23/15 | 1,110 | 1,116,027 | |||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
Baa2 | 2.450% | 10/25/17 | 1,220 | 1,231,827 | |||||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
Baa2 | 2.850% | 11/10/14 | 1,185 | 1,216,284 | |||||||||||||
| 7,616,724 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A78
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Non-Captive Finance — 0.4% |
||||||||||||||||||
| Discover Financial Services, Sr. Unsec’d. Notes, 144A |
Ba1 | 3.850% | 11/21/22 | $ | 900 | $ | 928,687 | |||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN |
A1 | 5.875% | 01/14/38 | 1,750 | 2,110,941 | |||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, |
A1 | 6.000% | 08/07/19 | 920 | 1,119,238 | |||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, |
A1 | 6.875% | 01/10/39 | 1,625 | 2,208,861 | |||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
Ba3 | 5.750% | 05/15/16 | 375 | 395,283 | |||||||||||||
| International Lease Finance Corp., |
Ba3 | 6.375% | 03/25/13 | 1,850 | 1,869,425 | |||||||||||||
| SLM Corp., Sr. Notes, MTN |
Ba1 | 6.250% | 01/25/16 | 570 | 619,875 | |||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.000% | 03/25/20 | 1,050 | 1,199,625 | |||||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.450% | 06/15/18 | 1,070 | 1,251,900 | |||||||||||||
| 11,703,835 | ||||||||||||||||||
| Paper — 0.1% |
||||||||||||||||||
| Georgia-Pacific LLC, Gtd. Notes, 144A |
Baa2 | 5.400% | 11/01/20 | 290 | 344,994 | |||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 6.000% | 11/15/41 | 1,595 | 1,888,689 | |||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 7.950% | 06/15/18 | 685 | 885,586 | |||||||||||||
| Rock-Tenn Co., Gtd. Notes, 144A |
Ba1 | 4.000% | 03/01/23 | 440 | 446,992 | |||||||||||||
| Rock-Tenn Co., Unsec’d. Notes, 144A(a) |
Ba1 | 4.900% | 03/01/22 | 800 | 864,548 | |||||||||||||
| 4,430,809 | ||||||||||||||||||
| Pipelines & Other — 0.2% |
||||||||||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes |
Baa3 | 4.650% | 06/01/21 | 675 | 741,643 | |||||||||||||
| NiSource Finance Corp., Gtd. Notes |
Baa3 | 5.250% | 09/15/17 | 245 | 280,234 | |||||||||||||
| NiSource Finance Corp., Gtd. Notes |
Baa3 | 5.450% | 09/15/20 | 350 | 411,284 | |||||||||||||
| ONEOK Partners LP, Gtd. Notes |
Baa2 | 6.650% | 10/01/36 | 145 | 179,799 | |||||||||||||
| Sempra Energy, Sr. Unsec’d. Notes |
Baa1 | 6.000% | 02/01/13 | 90 | 90,407 | |||||||||||||
| Spectra Energy Capital LLC, Gtd. Notes |
Baa2 | 6.200% | 04/15/18 | 2,690 | 3,275,395 | |||||||||||||
| Spectra Energy Capital LLC, Gtd. Notes |
Baa2 | 6.250% | 02/15/13 | 235 | 236,494 | |||||||||||||
| 5,215,256 | ||||||||||||||||||
| Railroads — 0.1% |
||||||||||||||||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes |
A3 | 6.700% | 08/01/28 | 670 | 824,886 | |||||||||||||
| CSX Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 05/01/37 | 715 | 903,936 | |||||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
Baa1 | 5.590% | 05/17/25 | 100 | 122,806 | |||||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes, 144A |
Baa1 | 2.903% | 02/15/23 | 489 | 492,225 | |||||||||||||
| 2,343,853 | ||||||||||||||||||
| Real Estate Investment Trusts — 0.2% |
||||||||||||||||||
| HCP, Inc., Sr. Unsec’d. Notes |
Baa1 | 2.700% | 02/01/14 | 750 | 763,460 | |||||||||||||
| Mack-Cali Realty LP, Sr. Unsec’d. Notes |
Baa2 | 7.750% | 08/15/19 | 765 | 948,057 | |||||||||||||
| ProLogis LP, Gtd. Notes |
Baa2 | 6.875% | 03/15/20 | 72 | 87,159 | |||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 2.800% | 01/30/17 | 295 | 311,280 | |||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes(a) |
A3 | 3.375% | 03/15/22 | 230 | 242,907 | |||||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes(a) |
A3 | 6.125% | 05/30/18 | 3,080 | 3,751,785 | |||||||||||||
| 6,104,648 | ||||||||||||||||||
| Retailers — 0.3% |
||||||||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
Baa2 | 5.750% | 05/15/41 | 1,020 | 1,269,960 | |||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 09/15/39 | 515 | 659,076 | |||||||||||||
| Lowe’s Cos., Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 03/15/29 | 385 | 491,757 | |||||||||||||
| Ltd. Brands, Inc., Gtd. Notes |
Ba1 | 5.625% | 02/15/22 | 950 | 1,033,125 | |||||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes(a) |
Baa3 | 3.875% | 01/15/22 | 360 | 383,713 | |||||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes |
Baa3 | 5.875% | 01/15/13 | 2,000 | 2,003,530 | |||||||||||||
| Nordstrom, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 4.000% | 10/15/21 | 260 | 289,886 | |||||||||||||
| Target Corp., Sr. Unsec’d. Notes |
A2 | 4.000% | 07/01/42 | 1,140 | 1,171,212 | |||||||||||||
| Walgreen Co., Sr. Unsec’d. Notes |
Baa1 | 1.800% | 09/15/17 | 1,500 | 1,508,360 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Retailers (continued) |
||||||||||||||||||
| Wal-Mart Stores, Inc., Sr. Unsec’d. Notes |
Aa2 | 5.625% | 04/15/41 | $ | 720 | $ | 942,895 | |||||||||||
| 9,753,514 | ||||||||||||||||||
| Technology — 0.3% |
||||||||||||||||||
| Arrow Electronics, Inc., Sr. Unsec’d. Notes |
Baa3 | 3.375% | 11/01/15 | 400 | 415,029 | |||||||||||||
| Fiserv, Inc., Gtd. Notes |
Baa2 | 3.125% | 06/15/16 | 2,410 | 2,531,638 | |||||||||||||
| Seagate Technology International (Cayman Islands), |
Baa3 | 10.000% | 05/01/14 | 1,500 | 1,614,375 | |||||||||||||
| STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A |
Ba1 | 7.500% | 08/12/15 | 1,000 | 1,065,000 | |||||||||||||
| Xerox Corp., Sr. Unsec’d. Notes |
Baa2 | 4.250% | 02/15/15 | 2,720 | 2,860,594 | |||||||||||||
| 8,486,636 | ||||||||||||||||||
| Telecommunications — 0.5% |
||||||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
A2 | 6.125% | 03/30/40 | 590 | 776,230 | |||||||||||||
| AT&T Corp., Gtd. Notes |
A2 | 8.000% | 11/15/31 | 7 | 10,593 | |||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 5.350% | 09/01/40 | 815 | 949,107 | |||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 6.550% | 02/15/39 | 1,720 | 2,260,274 | |||||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes, 144A |
A2 | 4.300% | 12/15/42 | 1,363 | 1,368,933 | |||||||||||||
| British Telecommunications PLC (United Kingdom), |
Baa2 | 9.625% | 12/15/30 | 400 | 635,472 | |||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
Baa3 | 7.082% | 06/01/16 | 325 | 380,764 | |||||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
Baa3 | 7.995% | 06/01/36 | 1,600 | 1,767,234 | |||||||||||||
| Qwest Corp., Sr. Unsec’d. Notes |
Baa3 | 7.500% | 10/01/14 | 1,440 | 1,576,066 | |||||||||||||
| Telecom Italia Capital SA (Luxembourg), Gtd. Notes |
Baa2 | 5.250% | 11/15/13 | 320 | 328,800 | |||||||||||||
| Telecom Italia Capital SA (Luxembourg), Gtd. Notes |
Baa2 | 7.200% | 07/18/36 | 430 | 448,920 | |||||||||||||
| Telefonica Chile SA (Chile), Sr. Unsec’d. Notes, 144A(a) |
BBB(c) | 3.875% | 10/12/22 | 430 | 429,252 | |||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes(a) |
A3 | 6.000% | 04/01/41 | 570 | 743,951 | |||||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
A3 | 6.100% | 04/15/18 | 3,165 | 3,891,643 | |||||||||||||
| Windstream Corp., Gtd. Notes |
Ba3 | 8.125% | 08/01/13 | 1,000 | 1,037,500 | |||||||||||||
| 16,604,739 | ||||||||||||||||||
| Tobacco — 0.2% |
||||||||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 4.750% | 05/05/21 | 1,000 | 1,133,274 | |||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.700% | 11/10/18 | 1,215 | 1,700,913 | |||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.950% | 11/10/38 | 140 | 230,641 | |||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 10.200% | 02/06/39 | 790 | 1,321,533 | |||||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
Baa2 | 3.500% | 08/04/16 | 465 | 492,063 | |||||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
Baa2 | 8.125% | 06/23/19 | 325 | 414,709 | |||||||||||||
| Reynolds American, Inc., Gtd. Notes |
Baa2 | 7.250% | 06/15/37 | 320 | 419,626 | |||||||||||||
| 5,712,759 | ||||||||||||||||||
| TOTAL CORPORATE BONDS |
|
319,822,401 | ||||||||||||||||
| MORTGAGE-BACKED SECURITIES — 9.6% | ||||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
2.615% | 12/01/35 | 677 | 715,998 | ||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
2.634% | 06/01/36 | 644 | 682,896 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
3.000% | TBA 15 YR | 3,000 | 3,150,000 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 9,258 | 9,887,121 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 02/01/19-10/01/41 | 23,772 | 25,660,424 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/18-06/01/39 | 10,898 | 11,757,705 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 12/01/33-07/01/38 | 11,991 | 12,994,094 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 03/01/32-08/01/39 | 5,025 | 5,499,655 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 12/01/14 | 37 | 37,818 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 01/01/31-10/01/32 | 594 | 700,450 | ||||||||||||||
| Federal National Mortgage Association(b) |
2.290% | 07/01/33 | 454 | 479,603 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A80
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Federal National Mortgage Association(b) |
2.308% | 06/01/37 | $ | 139 | $ | 146,570 | ||||||||||||
| Federal National Mortgage Association |
2.500% | TBA 15 YR | 7,000 | 7,319,375 | ||||||||||||||
| Federal National Mortgage Association |
3.000% | TBA 15 YR | 4,500 | 4,749,610 | ||||||||||||||
| Federal National Mortgage Association |
3.500% | 06/01/39-09/01/42 | 9,391 | 10,050,115 | ||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 15 YR | 2,500 | 2,651,953 | ||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 9,500 | 10,110,449 | ||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 34,000 | 36,248,515 | ||||||||||||||
| Federal National Mortgage Association |
4.000% | TBA 30 YR | 3,000 | 3,215,625 | ||||||||||||||
| Federal National Mortgage Association |
4.500% | 08/01/39 | 2,682 | 2,977,348 | ||||||||||||||
| Federal National Mortgage Association |
4.500% | 11/01/18-03/01/41 | 16,301 | 17,898,873 | ||||||||||||||
| Federal National Mortgage Association |
5.000% | 10/01/18-02/01/36 | 10,076 | 10,967,392 | ||||||||||||||
| Federal National Mortgage Association |
5.000% | TBA 30 YR | 4,500 | 4,874,062 | ||||||||||||||
| Federal National Mortgage Association |
5.500% | 03/01/16-08/01/37 | 14,343 | 15,771,560 | ||||||||||||||
| Federal National Mortgage Association |
6.000% | 04/01/13-05/01/38 | 11,842 | 13,151,576 | ||||||||||||||
| Federal National Mortgage Association |
6.500% | 07/01/17-09/01/37 | 4,612 | 5,191,783 | ||||||||||||||
| Federal National Mortgage Association |
7.000% | 02/01/32-07/01/32 | 374 | 438,057 | ||||||||||||||
| Federal National Mortgage Association |
7.500% | 05/01/32 | 96 | 117,447 | ||||||||||||||
| Government National Mortgage Association |
3.000% | TBA 30 YR | 3,000 | 3,189,375 | ||||||||||||||
| Government National Mortgage Association |
3.000% | TBA 30 YR | 5,500 | 5,846,328 | ||||||||||||||
| Government National Mortgage Association |
3.500% | TBA 30 YR | 7,500 | 8,148,633 | ||||||||||||||
| Government National Mortgage Association |
4.000% | 06/15/40-05/20/41 | 3,794 | 4,178,671 | ||||||||||||||
| Government National Mortgage Association |
4.000% | TBA 30 YR | 7,000 | 7,677,032 | ||||||||||||||
| Government National Mortgage Association |
4.000% | TBA 30 YR | 22,000 | 23,955,939 | ||||||||||||||
| Government National Mortgage Association |
4.500% | 01/20/41-02/20/41 | 7,330 | 8,085,702 | ||||||||||||||
| Government National Mortgage Association |
4.500% | TBA 30 YR | 12,500 | 13,685,547 | ||||||||||||||
| Government National Mortgage Association |
5.000% | TBA 30 YR | 8,000 | 8,748,750 | ||||||||||||||
| Government National Mortgage Association |
5.500% | 11/15/32-02/15/36 | 4,986 | 5,513,864 | ||||||||||||||
| Government National Mortgage Association |
6.000% | 02/15/33-10/15/34 | 2,210 | 2,492,180 | ||||||||||||||
| Government National Mortgage Association |
6.500% | 10/15/23-07/15/35 | 2,332 | 2,687,536 | ||||||||||||||
| Government National Mortgage Association |
8.000% | 01/15/24-04/15/25 | 71 | 82,268 | ||||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
|
311,737,899 | ||||||||||||||||
| MUNICIPAL BONDS — 0.5% | ||||||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
Aa3 | 6.263% | 04/01/49 | 1,325 | 1,815,064 | |||||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
A2 | 6.395% | 01/01/40 | 1,030 | 1,333,304 | |||||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
Aa2 | 6.731% | 07/01/43 | 1,000 | 1,203,050 | |||||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, Ser. F, BABs |
A3 | 7.414% | 01/01/40 | 1,070 | 1,567,732 | |||||||||||||
| New York City Transitional Finance Authority, Revenue Bonds, BABs |
Aa1 | 5.767% | 08/01/36 | 1,130 | 1,416,376 | |||||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
Aa1 | 4.910% | 06/01/40 | 455 | 529,725 | |||||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
Aaa | 4.879% | 12/01/34 | 300 | 345,894 | |||||||||||||
| Oregon State Department of Transportation, Revenue Bonds, |
Aa2 | 5.834% | 11/15/34 | 445 | 577,045 | |||||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, Ser. B, BABs |
Aa3 | 5.511% | 12/01/45 | 550 | 652,460 | |||||||||||||
| Regional Transportation District, Revenue Bonds, Ser. 2010B, BABs |
Aa2 | 5.844% | 11/01/50 | 680 | 923,379 | |||||||||||||
| State of California, GO, BABs |
A1 | 7.300% | 10/01/39 | 1,270 | 1,759,877 | |||||||||||||
| State of California, GO, BABs |
A1 | 7.500% | 04/01/34 | 475 | 658,872 | |||||||||||||
| State of California, GO, BABs |
A1 | 7.550% | 04/01/39 | 245 | 351,570 | |||||||||||||
| State of California, GO, BABs |
A1 | 7.625% | 03/01/40 | 215 | 308,759 | |||||||||||||
| State of Illinois, GO |
A2 | 4.421% | 01/01/15 | 740 | 784,541 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| MUNICIPAL BONDS (continued) |
Moody’s Ratings§† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs |
Aaa | 5.028% | 04/01/26 | $ | 335 | $ | 405,541 | |||||||||||
| TOTAL MUNICIPAL BONDS |
|
14,633,189 | ||||||||||||||||
| NON-CORPORATE FOREIGN AGENCIES — 0.6% | ||||||||||||||||||
| Commonwealth Bank of Australia (Australia), |
Aaa | 2.700% | 11/25/14 | 7,435 | 7,745,337 | |||||||||||||
| Export-Import Bank of Korea (South Korea), |
Aa3 | 4.000% | 01/29/21 | 515 | 553,735 | |||||||||||||
| Export-Import Bank of Korea (South Korea), |
Aa3 | 5.125% | 06/29/20 | 400 | 459,639 | |||||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
A1 | 6.250% | 06/17/14 | 1,000 | 1,070,368 | |||||||||||||
| Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes |
Aaa | 2.375% | 08/25/21 | 880 | 916,784 | |||||||||||||
| Pemex Project Funding Master Trust, Gtd. Notes |
Baa1 | 8.625% | 12/01/23 | 350 | 437,500 | |||||||||||||
| Petrobras International Finance Co. (Cayman Islands), |
A3 | 5.375% | 01/27/21 | 1,500 | 1,688,730 | |||||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes |
Baa1 | 5.500% | 01/21/21 | 2,730 | 3,190,005 | |||||||||||||
| RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), Sr. Sec’d. Notes, 144A |
Baa1 | 6.299% | 05/15/17 | 2,190 | 2,425,425 | |||||||||||||
| TOTAL NON-CORPORATE FOREIGN AGENCIES |
|
18,487,523 | ||||||||||||||||
| NON-CORPORATE SOVEREIGNS — 0.2% | ||||||||||||||||||
| Italy Government International Bond (Italy)(a) |
NR | 3.125% | 01/26/15 | 300 | 304,674 | |||||||||||||
| Mexico Government International Bond (Mexico), |
Baa1 | 4.750% | 03/08/44 | 1,006 | 1,136,780 | |||||||||||||
| Poland Government International Bond (Poland), |
A2 | 3.000% | 03/17/23 | 2,065 | 2,059,838 | |||||||||||||
| Qatar Government International Bond (Qatar), |
Aa2 | 5.250% | 01/20/20 | 315 | 376,425 | |||||||||||||
| Russian Foreign Bond-Eurobond, |
Baa1 | 3.250% | 04/04/17 | 2,400 | 2,550,000 | |||||||||||||
| Spain Government International Bond (Spain), |
Baa3 | 3.625% | 06/17/13 | 1,300 | 1,299,961 | |||||||||||||
| TOTAL NON-CORPORATE SOVEREIGNS |
|
7,727,678 | ||||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.1% | ||||||||||||||||||
| Federal Home Loan Banks |
5.500% | 07/15/36 | 1,080 | 1,486,002 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
0.750% | 01/12/18 | 685 | 680,361 | ||||||||||||||
| Resolution Funding Corp. Interest Strip, Bonds(k) |
1.170% | 04/15/18 | 2,615 | 2,460,644 | ||||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
4,627,007 | ||||||||||||||||
| U.S. GOVERNMENT TREASURY OBLIGATIONS — 6.1% | ||||||||||||||||||
| U.S. Treasury Bonds |
2.750% | 08/15/42 | 2,100 | 2,027,812 | ||||||||||||||
| U.S. Treasury Bonds(a) |
2.750% | 11/15/42 | 7,270 | 7,004,194 | ||||||||||||||
| U.S. Treasury Inflation Indexed Bonds |
1.375% | 01/15/20 | 5,948 | 7,050,217 | ||||||||||||||
| U.S. Treasury Notes |
0.375% | 06/15/15 | 840 | 841,312 | ||||||||||||||
| U.S. Treasury Notes |
0.625% | 11/30/17 | 1,395 | 1,390,314 | ||||||||||||||
| U.S. Treasury Notes |
0.750% | 12/31/17 | 30,920 | 30,970,740 | ||||||||||||||
| U.S. Treasury Notes(a) |
1.625% | 11/15/22 | 2,420 | 2,393,530 | ||||||||||||||
| U.S. Treasury Notes |
2.125% | 12/31/15 | 12,800 | 13,469,005 | ||||||||||||||
| U.S. Treasury Notes |
2.500% | 06/30/17 | 1,020 | 1,105,026 | ||||||||||||||
| U.S. Treasury Notes |
3.000% | 09/30/16 | 6,525 | 7,131,114 | ||||||||||||||
| U.S. Treasury Notes |
3.125% | 04/30/17 | 7,045 | 7,806,741 | ||||||||||||||
| U.S. Treasury Notes |
3.500% | 02/15/18 | 24,845 | 28,290,306 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| U.S. GOVERNMENT TREASURY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| U.S. Treasury Notes |
4.250% | 11/15/17 | $ | 7,015 | $ | 8,214,130 | ||||||||||||
| U.S. Treasury Notes |
4.500% | 11/15/15 | 24,895 | 27,835,722 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
2.140% | 05/15/24 | 24,985 | 19,612,101 | ||||||||||||||
| U.S. Treasury Strips Coupon(a)(j) |
2.180% | 08/15/24 | 6,520 | 5,065,629 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
2.260% | 02/15/25 | 4,750 | 3,613,800 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
2.610% | 05/15/25 | 5,000 | 3,765,070 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
3.020% | 05/15/27 | 2,280 | 1,582,502 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
3.070% | 08/15/27 | 7,455 | 5,120,124 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
3.120% | 11/15/27 | 8,600 | 5,846,762 | ||||||||||||||
| U.S. Treasury Strips Coupon(j) |
3.350% | 05/15/29 | 6,050 | 3,886,121 | ||||||||||||||
| U.S. Treasury Strips Coupon(a)(j) |
3.910% | 08/15/33 | 10,730 | 5,899,225 | ||||||||||||||
| U.S. Treasury Strips Principal(k) |
0.300% | 11/15/15 | 790 | 783,159 | ||||||||||||||
| TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS |
|
200,704,656 | ||||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
3,199,427,079 | ||||||||||||||||
| Shares |
||||||||||||||||||
| SHORT-TERM INVESTMENTS — 9.5% | ||||||||||||||||||
| AFFILIATED MUTUAL FUNDS |
||||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
14,805,912 | 136,658,571 | ||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
175,103,067 | 175,103,067 | ||||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
311,761,638 | ||||||||||||||||
| TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 107.5% |
|
3,511,188,717 | ||||||||||||||||
| Principal Amount (000)# |
||||||||||||||||||
| SECURITY SOLD SHORT — (0.2)% | ||||||||||||||||||
| MORTGAGE-BACKED SECURITY |
||||||||||||||||||
| Federal National Mortgage Association (proceeds received $5,930,547) |
4.500% | TBA 30 YR | $ | 5,500 | (5,941,074 | ) | ||||||||||||
| TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 107.3% |
|
3,505,247,643 | ||||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(n) — (7.3)% |
|
(239,481,663 | ) | |||||||||||||||
| NET ASSETS — 100.0% |
|
$ | 3,265,765,980 | |||||||||||||||
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 | |
| ADR | American Depositary Receipt | |
| BABs | Build America Bonds | |
| CDO | Collateralized Debt Obligation | |
| CLO | Collateralized Loan Obligation | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| GO | General Obligation | |
| I/O | Interest Only | |
| LIBOR | London Interbank Offered Rate | |
| MTN | Medium Term Note | |
| NR | Not Rated by Moody’s or Standard & Poor’s | |
| REIT | Real Estate Investment Trust | |
| TBA | To Be Announced |
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| § | The Portfolio’s current Statement of Additional Information contains a description of Moody’s and Standard & Poor’s ratings. |
| † | The ratings reflected are as of December 31, 2012. Ratings of certain bonds may have changed subsequent to that date. |
| * | 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 $105,330,771; cash collateral of $107,476,994 (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, 2012. |
| (c) | Standard & Poor’s Rating. |
| (d) | Represents step coupon bond. Rate shown reflects the rate in effect at December 31, 2012. |
| (e) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (f) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. Such securities may be post maturity. |
| (g) | Indicates a security that has been deemed illiquid. |
| (h) | Indicates a restricted security; the aggregate original cost of such securities is $7,800,263. The aggregate value of $8,566,064 is approximately 0.3% of net assets. |
| (i) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (j) | Rate shown reflects the effective yield at December 31, 2012. |
| (k) | Represents zero coupon bond. Rate shown reflects the effective yield at December 31, 2012. |
| (l) | 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 Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund. |
| (m) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (n) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 314 | 2 Year U.S. Treasury Notes | Mar. 2013 | $ | 69,215,901 | $ | 69,227,187 | $ | 11,286 | ||||||||||
| 237 | 5 Year U.S. Treasury Notes | Mar. 2013 | 29,405,582 | 29,486,133 | 80,551 | |||||||||||||
| 317 | 10 Year U.S. Treasury Notes | Mar. 2013 | 42,173,686 | 42,091,656 | (82,030 | ) | ||||||||||||
| 35 | U.S. Ultra Bond | Mar. 2013 | 5,721,574 | 5,690,781 | (30,793 | ) | ||||||||||||
| (20,986 | ) | |||||||||||||||||
| Short Position: | ||||||||||||||||||
| 125 | U.S. Long Bond | Mar. 2013 | 18,741,065 | 18,437,500 | 303,565 | |||||||||||||
| $ | 282,579 | |||||||||||||||||
Interest rate swap agreements outstanding at December 31, 2012:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: |
|||||||||||||||||||||||||
| $ | 23,800 | 08/31/16 | 0.934% | 3 month LIBOR(1) |
$ | 375,126 | $ | — | $ | 375,126 | Credit Suisse International | |||||||||||||||
| 7,405 | 08/31/16 | 0.975% | 3 month LIBOR(2) |
(128,738 | ) | — | (128,738 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 7,405 | 08/31/16 | 0.978% | 3 month LIBOR(2) |
(129,768 | ) | — | (129,768 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 2,195 | 09/14/16 | 1.206% | 3 month LIBOR(2) |
(57,507 | ) | — | (57,507 | ) | Deutsche Bank AG | |||||||||||||||||
| 36,200 | 11/30/16 | 0.945% | 3 month LIBOR(2) |
(472,046 | ) | — | (472,046 | ) | Citibank, NA | |||||||||||||||||
| 22,530 | 11/30/16 | 0.913% | 3 month LIBOR(2) |
(264,789 | ) | — | (264,789 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 13,615 | 02/28/17 | 0.680% | 3 month LIBOR(1) |
6,660 | — | 6,660 | Citibank, NA | |||||||||||||||||||
| 2,350 | 01/13/22 | 1.660% | 3 month LIBOR(2) |
(12,195 | ) | — | (12,195 | ) | Citibank, NA | |||||||||||||||||
| 2,350 | 01/13/22 | 1.675% | 3 month LIBOR(1) |
11,186 | — | 11,186 | Citibank, NA | |||||||||||||||||||
| 8,775 | 08/15/28 | 2.370% | 3 month LIBOR(2) |
17,450 | — | 17,450 | Citibank, NA | |||||||||||||||||||
| $ | (654,621 | ) | $ | — | $ | (654,621 | ) | |||||||||||||||||||
| (1) | Portfolio pays the floating rate and receives the fixed rate. |
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| (2) | Portfolio pays the fixed rate and receives the floating rate. |
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
Credit default swap agreements outstanding at December 31, 2012:
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(2) |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps—Buy Protection(1): |
|
|||||||||||||||||||||||||
| Bunge Ltd. Finance Corp. |
06/20/14 | 0.650% | $ | 1,150 | $ | 1,941 | $ | — | $ | 1,941 | JPMorgan Chase Bank | |||||||||||||||
| Newell Rubbermaid, Inc. |
06/20/18 | 1.000% | 1,700 | (10,016 | ) | — | (10,016 | ) | Morgan Stanley Capital Services, Inc. | |||||||||||||||||
| Simon Property Group L.P. |
06/20/18 | 0.970% | 2,800 | 792 | — | 792 | Morgan Stanley Capital Services, Inc. | |||||||||||||||||||
| Spectra Energy Capital LLC |
06/20/18 | 1.150% | 2,200 | 2,896 | — | 2,896 | Deutsche Bank AG | |||||||||||||||||||
| $ | (4,387 | ) | $ | — | $ | (4,387 | ) | |||||||||||||||||||
| (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) | 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. |
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, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 2,041,997,507 | $ | 49,607,152 | $ | — | ||||||
| Exchange Traded Fund |
1,738,692 | — | — | |||||||||
| Preferred Stocks |
613,800 | 483,124 | — | |||||||||
| Rights |
1,409 | — | — | |||||||||
| Asset-Backed Securities |
||||||||||||
| Non-Residential Mortgage-Backed Securities |
— | 60,736,417 | — | |||||||||
| Residential Mortgage-Backed Securities |
— | 7,684,291 | — | |||||||||
| Bank Loans |
— | 12,321,400 | — | |||||||||
| Collateralized Mortgage Obligations |
— | 6,459,551 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 140,043,383 | — | |||||||||
| Corporate Bonds |
— | 314,622,754 | 5,199,647 | |||||||||
| Mortgage-Backed Securities |
— | 311,737,899 | — | |||||||||
| Municipal Bonds |
— | 14,633,189 | — | |||||||||
| Non-Corporate Foreign Agencies |
— | 18,487,523 | — | |||||||||
| Non-Corporate Sovereigns |
— | 7,727,678 | — | |||||||||
| U.S. Government Agency Obligations |
— | 4,627,007 | — | |||||||||
| U.S. Government Treasury Obligations |
— | 200,704,656 | — | |||||||||
| Affiliated Mutual Funds |
311,761,638 | — | — | |||||||||
| Mortgage-Backed Security Sold Short |
— | (5,941,074 | ) | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
282,579 | — | — | |||||||||
| Interest Rate Swap Agreements |
— | (654,621 | ) | — | ||||||||
| Credit Default Swap Agreements |
— | (4,387 | ) | — | ||||||||
| Total |
$ | 2,356,395,625 | $ | 1,143,275,942 | $ | 5,199,647 | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
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, 2012 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 |
Unrealized appreciation on swap agreements | $ | 5,629 | Unrealized depreciation on swap agreements | $ | 10,016 | ||||||
| Equity contracts |
Unaffiliated investments | 1,409 | — | — | ||||||||
| Interest rate contracts |
Unrealized appreciation on swap agreements | 410,422 | Unrealized depreciation on swap agreements | 1,065,043 | ||||||||
| Interest rate contracts |
Due from broker — variation margin | 395,402 | * | Due from broker — variation margin | 112,823 | * | ||||||
| Total |
$ | 812,862 | $ | 1,187,882 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures 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, 2012 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 |
$ | — | $ | — | $ | — | $ | — | $ | (432,184 | ) | $ | (432,184 | ) | ||||||||||
| Equity contracts |
25,669 | — | — | 1,369,712 | — | 1,395,381 | ||||||||||||||||||
| Interest rate contracts |
— | 306,223 | (289,749 | ) | (2,921,475 | ) | 310,524 | (2,594,477 | ) | |||||||||||||||
| Total |
$ | 25,669 | $ | 306,223 | $ | (289,749 | ) | $ | (1,551,763 | ) | $ | (121,660 | ) | $ | (1,631,280 | ) | ||||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Rights |
Futures |
Swaps |
Total |
||||||||||||
| Credit contracts |
$ | — | $ | — | $ | (20,576 | ) | $ | (20,576 | ) | ||||||
| Equity contracts |
1,409 | (314,811 | ) | — | (313,402 | ) | ||||||||||
| Interest rate contracts |
— | 598,544 | (1,267,769 | ) | (669,225 | ) | ||||||||||
| Total |
$ | 1,409 | $ | 283,733 | $ | (1,288,345 | ) | $ | (1,003,203 | ) | ||||||
For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities is as follows:
| Futures |
Futures | |
| $142,355,472 | $24,610,341 |
| Interest Rate Swaps |
Credit Default | |
| $119,364 | $13,246 |
SEE NOTES TO FINANCIAL STATEMENTS.
A87
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 65,899,714 | $ | 61,901,155 | ||||
| Net realized gain on investment and foreign currency transactions |
140,795,570 | 202,862,198 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
192,663,911 | (135,181,474 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
399,359,195 | 129,581,879 | ||||||
| DISTRIBUTIONS | (61,900,998 | ) | (60,257,696 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [819,611 and 664,274 shares, respectively] |
14,077,527 | 10,513,628 | ||||||
| Series shares issued in reinvestment of distributions [3,735,727 and 3,811,366 shares, respectively] |
61,900,998 | 60,257,696 | ||||||
| Series shares repurchased [10,708,816 and 11,331,831 shares, respectively] |
(184,472,132 | ) | (180,636,555 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(108,493,607 | ) | (109,865,231 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 228,964,590 | (40,541,048 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
3,036,801,390 | 3,077,342,438 | ||||||
| End of year |
$ | 3,265,765,980 | $ | 3,036,801,390 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| GLOBAL PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
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, 2012 in valuing such portfolio securities:
Fair value of Level 2 investments at December 31, 2011 was $116,496. An amount of $35,318,999 was transferred from Level 1 into Level 2 at December 31, 2012 as a result of fair valuing such foreign securities using third party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period.
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 was as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 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 |
Futures |
Total |
||||||||||||
| Equity contracts |
$ | (370,773 | ) | $ | — | $ | 252,436 | $ | (118,337 | ) | ||||||
| Foreign exchange contracts |
— | 521,491 | — | 521,491 | ||||||||||||
| Total |
$ | (370,773 | ) | $ | 521,491 | $ | 252,436 | $ | 403,154 | |||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||
| Derivatives not designated as hedging instruments, carried at fair value |
Forward Currency Contracts |
|||
| Foreign exchange contracts |
$ | 33,436 | ||
For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities are as follows:
| Forward Currency |
Forward Currency |
Futures | ||
| $2,139,442 | $7,071,940 | $277,730 |
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| GLOBAL PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS OPERATIONS: |
||||||||
| Net investment income |
$ | 10,856,377 | $ | 9,580,870 | ||||
| Net realized gain on investments and foreign currencies |
16,017,924 | 26,174,487 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
68,607,745 | (78,509,307 | ) | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
95,482,046 | (42,753,950 | ) | |||||
| DISTRIBUTIONS | (9,580,386 | ) | (9,684,066 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [392,325 and 843,518 shares, respectively] |
7,205,788 | 15,384,776 | ||||||
| Series shares issued in reinvestment of distributions [555,063 and 525,167 shares, respectively] |
9,580,386 | 9,684,066 | ||||||
| Series shares repurchased [3,015,270 and 3,129,794 shares, respectively] |
(55,676,472 | ) | (56,971,187 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(38,890,298 | ) | (31,902,345 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 47,011,362 | (84,340,361 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
564,178,423 | 648,518,784 | ||||||
| End of year |
$ | 611,189,785 | $ | 564,178,423 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| GOVERNMENT INCOME PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| LONG-TERM INVESTMENTS — 96.4% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Asset-Backed Securities — 1.1% |
||||||||||||||||||
| Citibank Credit Card Issuance Trust, Ser. 2007-A8, Class A8 |
5.650% | 09/20/19 | $ | 1,500 | $ | 1,816,848 | ||||||||||||
| Small Business Administration Participation Certificates, |
7.200% | 10/01/16 | 675 | 718,459 | ||||||||||||||
| Ser. 1997-20A, Class 1 |
7.150% | 01/01/17 | 495 | 529,811 | ||||||||||||||
| Ser. 1997-20G, Class 1 |
6.850% | 07/01/17 | 268 | 287,845 | ||||||||||||||
| Ser. 1998-20I, Class 1 |
6.000% | 09/01/18 | 654 | 711,852 | ||||||||||||||
| 4,064,815 | ||||||||||||||||||
| Collateralized Mortgage Obligations — 1.1% |
||||||||||||||||||
| Federal Home Loan Mortgage Corp., |
5.500% | 09/15/17 | 927 | 992,106 | ||||||||||||||
| Ser. 2002-2501, Class MC |
5.500% | 09/15/17 | 310 | 329,685 | ||||||||||||||
| Ser. 2002-2513, Class HC |
5.000% | 10/15/17 | 1,685 | 1,795,681 | ||||||||||||||
| Federal National Mortgage Association, |
5.500% | 04/25/17 | 377 | 383,100 | ||||||||||||||
| Ser. 2002-57, Class ND |
5.500% | 09/25/17 | 365 | 387,652 | ||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Ser. 2003-E, Class A1(a) |
0.830% | 10/25/28 | 87 | 84,400 | ||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, Class 4A3(a) |
2.775% | 02/25/34 | 302 | 304,575 | ||||||||||||||
| 4,277,199 | ||||||||||||||||||
| Commercial Mortgage-Backed Securities — 17.2% |
||||||||||||||||||
| Citigroup Commercial Mortgage Trust, Ser. 2007-C6, Class A4(a) |
5.702% | 12/10/49 | 2,000 | 2,356,322 | ||||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, |
5.293% | 12/11/49 | 1,800 | 1,869,770 | ||||||||||||||
| Commercial Mortgage Pass-Thru Certificates, |
5.748% | 06/10/46 | 2,000 | 2,271,400 | ||||||||||||||
| Ser. 2012-CR5, Class A3 |
2.540% | 12/10/45 | 1,000 | 999,362 | ||||||||||||||
| CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(a) |
5.800% | 05/15/46 | 727 | 774,321 | ||||||||||||||
| Federal National Mortgage Association, Ser. 2012-M13, Class A2 |
2.377% | 05/25/22 | 1,850 | 1,882,591 | ||||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates, |
5.085% | 03/25/19 | 250 | 296,369 | ||||||||||||||
| Ser. 2009-K004, Class A2 |
4.186% | 08/25/19 | 3,725 | 4,297,346 | ||||||||||||||
| Ser. 2010-K005, Class A2 |
4.317% | 11/25/19 | 2,700 | 3,141,515 | ||||||||||||||
| Ser. 2010-K007, Class A2 |
4.224% | 03/25/20 | 3,600 | 4,181,584 | ||||||||||||||
| Ser. 2011-K010, Class A2 |
4.333% | 10/25/20 | 3,600 | 4,193,820 | ||||||||||||||
| Ser. 2011-K011, Class A2 |
4.084% | 11/25/20 | 3,600 | 4,143,049 | ||||||||||||||
| Ser. 2011-K013, Class A2 |
3.974% | 01/25/21 | 3,525 | 4,037,863 | ||||||||||||||
| Ser. 2011-K016, Class A2(b) |
2.968% | 10/25/21 | 2,800 | 3,000,060 | ||||||||||||||
| Ser. 2012-K020, Class X1, I/O(a) |
1.479% | 05/25/22 | 9,481 | 1,011,180 | ||||||||||||||
| Ser. 2012-K021, Class A2 |
2.396% | 06/25/22 | 3,600 | 3,658,953 | ||||||||||||||
| Ser. 2012-K021, Class X1, I/O |
1.516% | 06/25/22 | 9,996 | 1,111,193 | ||||||||||||||
| Ser. 2012-K022, Class A2 |
2.355% | 07/25/22 | 3,550 | 3,587,151 | ||||||||||||||
| Ser. 2012-K023, Class A2 |
2.307% | 08/25/22 | 3,500 | 3,523,629 | ||||||||||||||
| Ser. 2012-K501, Class X1A, I/O(a) |
1.755% | 08/25/16 | 4,259 | 199,408 | ||||||||||||||
| Ser. 2012-K710, Class X1, I/O(a) |
1.784% | 05/25/19 | 8,487 | 809,416 | ||||||||||||||
| Ser. 2012-K711, Class X1, I/O |
1.712% | 07/25/19 | 7,998 | 743,414 | ||||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2 |
5.381% | 03/10/39 | 1,610 | 1,661,562 | ||||||||||||||
| GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2 |
5.778% | 08/10/45 | 938 | 942,277 | ||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
5.812% | 06/15/49 | 1,000 | 1,072,725 | ||||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-9, Class A2 |
5.590% | 09/12/49 | 1,059 | 1,058,904 | ||||||||||||||
| Morgan Stanley Capital I Trust, Ser. 2005-IQ10, Class A4B(a) |
5.284% | 09/15/42 | 800 | 884,193 | ||||||||||||||
| NCUA Gtd. Notes, Ser. 2010-C1, Class A2 |
2.900% | 10/29/20 | 2,600 | 2,771,512 | ||||||||||||||
| UBS-Barclays Commercial Mortgage Trust, Ser. 2012-C4, Class A4 |
2.792% | 12/10/45 | 1,300 | 1,314,605 | ||||||||||||||
| Wachovia Bank Commercial Mortgage Trust, |
5.416% | 01/15/45 | 1,500 | 1,696,382 | ||||||||||||||
| Ser. 2006-C25, Class A5(a) |
5.736% | 05/15/43 | 2,000 | 2,303,990 | ||||||||||||||
| 65,795,866 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A96
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| LONG-TERM INVESTMENTS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| Corporate Bonds — 2.4% |
||||||||||||||||||
| Canada Government International Bond (Canada), Sr. Unsec’d. Notes |
0.875% | 02/14/17 | $ | 1,025 | $ | 1,033,302 | ||||||||||||
| DEPFA ACS Bank (Ireland), Covered Notes, 144A |
5.125% | 03/16/37 | 1,520 | 1,186,655 | ||||||||||||||
| Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes |
2.375% | 08/25/21 | 660 | 687,588 | ||||||||||||||
| Province of British Columbia (Canada), Sr. Unsec’d. Notes |
2.000% | 10/23/22 | 3,075 | 3,030,191 | ||||||||||||||
| Westpac Banking Corp. (Australia), Covered Notes, 144A(b) |
1.250% | 12/15/17 | 3,220 | 3,215,814 | ||||||||||||||
| 9,153,550 | ||||||||||||||||||
| Mortgage-Backed Securities — 39.5% |
||||||||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
2.354% | 05/01/34 | 615 | 653,450 | ||||||||||||||
| Federal Home Loan Mortgage Corp.(c) |
3.000% | TBA 15 Year | 1,500 | 1,575,000 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 2,974 | 3,166,646 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 09/01/39 | 6,349 | 6,813,422 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 06/01/33-05/01/34 | 3,508 | 3,835,313 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 05/01/37-05/01/38 | 3,024 | 3,267,642 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 09/01/34-08/01/39 | 1,846 | 2,014,053 | ||||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 05/01/13-09/01/32 | 164 | 185,700 | ||||||||||||||
| Federal National Mortgage Association(a) |
2.144% | 07/01/33 | 1,892 | 2,008,592 | ||||||||||||||
| Federal National Mortgage Association(a) |
2.235% | 06/01/34 | 523 | 554,009 | ||||||||||||||
| Federal National Mortgage Association(a) |
2.393% | 08/01/33 | 1,211 | 1,288,468 | ||||||||||||||
| Federal National Mortgage Association(c) |
2.500% | TBA 15 Year | 6,500 | 6,796,562 | ||||||||||||||
| Federal National Mortgage Association(a) |
2.526% | 04/01/34 | 232 | 246,639 | ||||||||||||||
| Federal National Mortgage Association(a) |
2.676% | 04/01/34 | 434 | 461,148 | ||||||||||||||
| Federal National Mortgage Association(c) |
3.000% | TBA 15 Year | 4,500 | 4,749,610 | ||||||||||||||
| Federal National Mortgage Association |
3.500% | 06/01/39 | 797 | 850,264 | ||||||||||||||
| Federal National Mortgage Association(c) |
3.500% | TBA 15 Year | 1,000 | 1,060,781 | ||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 Year | 7,500 | 7,981,933 | ||||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 Year | 27,000 | 28,785,586 | ||||||||||||||
| Federal National Mortgage Association |
4.500% | 05/01/40 | 7,478 | 8,302,686 | ||||||||||||||
| Federal National Mortgage Association(c) |
4.500% | TBA 30 Year | 2,000 | 2,160,391 | ||||||||||||||
| Federal National Mortgage Association |
5.000% | 07/01/18-05/01/36 | 6,099 | 6,636,518 | ||||||||||||||
| Federal National Mortgage Association |
5.500% | 01/01/17-11/01/35 | 12,915 | 14,402,087 | ||||||||||||||
| Federal National Mortgage Association |
6.000% | 11/01/14-05/01/38 | 3,825 | 4,245,658 | ||||||||||||||
| Federal National Mortgage Association |
6.500% | 01/01/15-10/01/37 | 2,515 | 2,836,891 | ||||||||||||||
| Federal National Mortgage Association |
7.000% | 12/01/31-01/01/36 | 495 | 590,846 | ||||||||||||||
| Federal National Mortgage Association |
8.000% | 03/01/22-02/01/26 | 20 | 20,450 | ||||||||||||||
| Federal National Mortgage Association |
9.000% | 02/01/25-04/01/25 | 81 | 94,123 | ||||||||||||||
| Government National Mortgage Association(c) |
3.000% | TBA 30 Year | 4,000 | 4,252,500 | ||||||||||||||
| Government National Mortgage Association |
3.500% | TBA 30 Year | 500 | 542,383 | ||||||||||||||
| Government National Mortgage Association |
4.000% | 06/15/40 | 908 | 1,002,689 | ||||||||||||||
| Government National Mortgage Association(c) |
4.000% | TBA 30 Year | 5,000 | 5,444,532 | ||||||||||||||
| Government National Mortgage Association(c) |
4.000% | TBA 30 Year | 4,000 | 4,386,875 | ||||||||||||||
| Government National Mortgage Association |
4.500% | 02/20/41 | 2,572 | 2,837,492 | ||||||||||||||
| Government National Mortgage Association(c) |
4.500% | TBA 30 Year | 9,500 | 10,401,016 | ||||||||||||||
| Government National Mortgage Association |
5.000% | 07/15/33-04/15/34 | 1,467 | 1,614,038 | ||||||||||||||
| Government National Mortgage Association(c) |
5.000% | TBA 30 Year | 2,000 | 2,187,187 | ||||||||||||||
| Government National Mortgage Association |
5.500% | 03/15/34-03/15/36 | 1,261 | 1,389,300 | ||||||||||||||
| Government National Mortgage Association |
6.500% | 07/15/32-08/15/32 | 341 | 398,912 | ||||||||||||||
| Government National Mortgage Association |
7.000% | 03/15/23-08/15/28 | 854 | 1,002,606 | ||||||||||||||
| Government National Mortgage Association |
7.500% | 12/15/25-02/15/26 | 163 | 193,131 | ||||||||||||||
| Government National Mortgage Association |
8.500% | 09/15/24-04/15/25 | 211 | 254,150 | ||||||||||||||
| 151,491,279 | ||||||||||||||||||
| Municipal Bond — 0.2% |
||||||||||||||||||
| State of Utah, BABs, Ser. D |
4.554% | 07/01/24 | 630 | 740,597 | ||||||||||||||
| U.S. Government Agency Obligations — 2.2% |
|
|||||||||||||||||
| Federal Home Loan Mortgage Corp. |
1.250% | 10/02/19 | 2,105 | 2,098,841 | ||||||||||||||
| Federal Home Loan Mortgage Corp., Ser. 1 |
0.750% | 01/12/18 | 1,380 | 1,370,653 | ||||||||||||||
| Federal National Mortgage Association(b)(d) |
0.875% | 12/20/17 | 4,905 | 4,914,579 | ||||||||||||||
| 8,384,073 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| LONG-TERM INVESTMENTS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| U.S. Treasury Securities — 32.7% |
||||||||||||||||||
| U.S. Treasury Bonds(d) |
2.750% | 08/15/42 | $ | 3,125 | $ | 3,017,578 | ||||||||||||
| U.S. Treasury Bonds |
2.750% | 11/15/42 | 9,865 | 9,504,605 | ||||||||||||||
| U.S. Treasury Bonds |
3.000% | 05/15/42 | 1,645 | 1,675,844 | ||||||||||||||
| U.S. Treasury Notes |
0.625% | 11/30/17 | 1,842 | 1,835,813 | ||||||||||||||
| U.S. Treasury Notes |
0.750% | 12/31/17 | 48,620 | 48,699,785 | ||||||||||||||
| U.S. Treasury Notes |
1.125% | 12/31/19 | 55 | 54,845 | ||||||||||||||
| U.S. Treasury Notes |
4.500% | 11/15/15 | 4,710 | 5,266,369 | ||||||||||||||
| U.S. Treasury Notes(d)(e) |
4.625% | 11/15/16 | 1,840 | 2,129,226 | ||||||||||||||
| U.S. Treasury Strip Principal(f) |
0.410% | 02/15/16 | 15,870 | 15,668,594 | ||||||||||||||
| U.S. Treasury Strips Coupon(b)(g) |
0.330% | 05/15/15 | 12,430 | 12,333,295 | ||||||||||||||
| U.S. Treasury Strips Coupon(g) |
2.180% | 08/15/24 | 10,095 | 7,843,179 | ||||||||||||||
| U.S. Treasury Strips Coupon(g) |
2.260% | 02/15/25 | 925 | 703,740 | ||||||||||||||
| U.S. Treasury Strips Coupon(g) |
2.610% | 05/15/25 | 5,815 | 4,378,776 | ||||||||||||||
| U.S. Treasury Strips Coupon(b)(g) |
2.880% | 08/15/26 | 4,045 | 2,893,696 | ||||||||||||||
| U.S. Treasury Strips Coupon(g) |
3.020% | 05/15/27 | 5,240 | 3,636,979 | ||||||||||||||
| U.S. Treasury Strips Coupon(g) |
3.120% | 11/15/27 | 6,000 | 4,079,136 | ||||||||||||||
| U.S. Treasury Strips Coupon(g) |
3.910% | 08/15/33 | 2,725 | 1,498,172 | ||||||||||||||
| 125,219,632 | ||||||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
369,127,011 | ||||||||||||||||
| Shares |
||||||||||||||||||
| SHORT-TERM INVESTMENTS — 28.2% | ||||||||||||||||||
| AFFILIATED MUTUAL FUNDS |
||||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
5,465,737 | 50,448,749 | ||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
57,574,510 | 57,574,510 | ||||||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
108,023,259 | ||||||||||||||||
| TOTAL INVESTMENTS — 124.6% |
|
477,150,270 | ||||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (24.6)% |
|
(94,244,934 | ) | |||||||||||||||
| NET ASSETS — 100.0% |
|
$ | 382,905,336 | |||||||||||||||
The following abbreviations are used in 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 Corporation | |
| I/O | Interest Only | |
| NCUA | National Credit Union Administration | |
| TBA | To Be Announced |
| # | 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, 2012. |
| (b) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $12,711,875; cash collateral of $12,971,111 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | All or partial principal amount totaling $39,500,000 represents to-be-announced (“TBA”) securities acquired under mortgage dollar roll agreement. |
| (d) | Represents security, or a portion thereof, segregated as collateral for swap agreements. |
| (e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (f) | Represents zero coupon bond. Rate shown reflects the effective yield on December 31, 2012. |
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| (g) | Rate shown reflects the effective yield at December 31, 2012. |
| (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) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at December 31, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 156 | 2 Year U.S. Treasury Notes | Mar. 2013 | $ | 34,379,911 | $ | 34,393,125 | $ | 13,214 | ||||||||||
| 83 | 5 Year U.S. Treasury Notes | Mar. 2013 | 10,314,179 | 10,326,367 | 12,188 | |||||||||||||
| 14 | U.S. Ultra Bond | Mar. 2013 | 2,288,330 | 2,276,313 | (12,017 | ) | ||||||||||||
| 13,385 | ||||||||||||||||||
| Short Positions: | ||||||||||||||||||
| 33 | 10 Year U.S. Treasury Notes | Mar. 2013 | 4,369,600 | 4,381,781 | (12,181 | ) | ||||||||||||
| 137 | U.S. Long Bond | Mar. 2013 | 20,551,707 | 20,207,500 | 344,207 | |||||||||||||
| 332,026 | ||||||||||||||||||
| $ | 345,411 | |||||||||||||||||
Interest rate swap agreements outstanding at December 31, 2012:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||||
| $ | 17,980 | 08/31/16 | 0.934% | 3 month LIBOR(1) |
$ | 283,394 | $ | — | $ | 283,394 | Credit Suisse International | |||||||||||||||
| 5,595 | 08/31/16 | 0.978% | 3 month LIBOR(2) |
(98,049 | ) | — | (98,049 | ) | JPMorgan Chase Bank, NA | |||||||||||||||||
| 5,595 | 08/31/16 | 0.975% | 3 month LIBOR(2) |
(97,270 | ) | — | (97,270 | ) | JPMorgan Chase Bank, NA | |||||||||||||||||
| 880 | 09/14/16 | 1.206% | 3 month LIBOR(2) |
(23,055 | ) | — | (23,055 | ) | Deutsche Bank AG | |||||||||||||||||
| 26,910 | 11/30/16 | 0.945% | 3 month LIBOR(2) |
(350,905 | ) | — | (350,905 | ) | Citibank, NA | |||||||||||||||||
| 16,695 | 11/30/16 | 0.913% | 3 month LIBOR(2) |
(196,212 | ) | — | (196,212 | ) | JPMorgan Chase Bank, NA | |||||||||||||||||
| 9,525 | 02/28/17 | 0.680% | 3 month LIBOR(1) |
4,659 | — | 4,659 | Citibank, NA | |||||||||||||||||||
| 4,700 | 02/15/19 | 1.794% | 3 month LIBOR(1) |
226,987 | — | 226,987 | JPMorgan Chase Bank, NA | |||||||||||||||||||
| 4,700 | 02/15/19 | 1.656% | 3 month LIBOR(2) |
(185,869 | ) | — | (185,869 | ) | Citibank, NA | |||||||||||||||||
| 2,105 | 10/02/19 | 1.189% | 3 month LIBOR(2) |
1,414 | — | 1,414 | Bank of Nova Scotia | |||||||||||||||||||
| 2,190 | 01/13/22 | 1.676% | 3 month LIBOR(1) |
10,425 | — | 10,425 | Citibank, NA | |||||||||||||||||||
| 2,190 | 01/13/22 | 1.660% | 3 month LIBOR(2) |
(11,365 | ) | — | (11,365 | ) | Citibank, NA | |||||||||||||||||
| 6,195 | 08/15/28 | 2.370% | 3 month LIBOR(2) |
12,319 | — | 12,319 | Citibank, NA | |||||||||||||||||||
| $ | (423,527 | ) | $ | — | $ | (423,527 | ) | |||||||||||||||||||
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
| LIBOR | London Interbank Offered Rate |
| (1) | Portfolio pays the floating rate and receives the fixed rate. |
| (2) | Portfolio pays the fixed rate and receives the floating rate. |
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.
A99
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The following is a summary of the inputs used as of December 31, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Asset-Backed Securities |
$ | — | $ | 4,064,815 | $ | — | ||||||
| Collateralized Mortgage Obligations |
— | 4,277,199 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 65,795,866 | — | |||||||||
| Corporate Bonds |
— | 9,153,550 | — | |||||||||
| Mortgage-Backed Securities |
— | 151,491,279 | — | |||||||||
| Municipal Bond |
— | 740,597 | — | |||||||||
| U.S. Government Agency Obligations |
— | 8,384,073 | — | |||||||||
| U.S. Treasury Securities |
— | 125,219,632 | — | |||||||||
| Affiliated Mutual Funds |
108,023,259 | — | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
345,411 | — | — | |||||||||
| Interest Rate Swap Agreements |
— | (423,527 | ) | — | ||||||||
| Total |
$ | 108,368,670 | $ | 368,703,484 | $ | — | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on 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, 2012 were 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, 2012 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 | $ | 369,609 | * | Due from broker — variation margin | $ | 24,198 | * | ||||
| Interest rate contracts |
Unrealized appreciation on swap agreements | 539,198 | Unrealized depreciation on swap agreements | 962,725 | ||||||||
| Total |
$ | 908,807 | $ | 986,923 | ||||||||
| * | Includes cumulative appreciation/depreciation as reported in the schedule of open futures 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, 2012 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||
| Derivatives not designated as hedging instruments, carried |
Options Purchased |
Options Written |
Futures |
Swaps |
Total |
|||||||||||||||
| Interest rate contracts |
$ | 253,415 | $ | (211,836 | ) | $ | (2,641,608 | ) | $ | 182,747 | $ | (2,417,282 | ) | |||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Futures |
Swaps |
Total |
|||||||||
| Interest rate contracts |
$ | 717,034 | $ | (866,131 | ) | $ | (149,097 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
For the year ended December 31, 2012, the Portfolio’s average volume of derivative activities are as follows:
| Futures |
Futures |
Interest Rate Swaps | ||
| $54,569,312 | $37,038,951 | $95,700 |
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 7,739,864 | $ | 10,051,753 | ||||
| Net realized gain on investment and foreign currency transactions |
11,047,414 | 12,493,569 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
(4,769,310 | ) | 7,373,827 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
14,017,968 | 29,919,149 | ||||||
| DISTRIBUTIONS | (20,654,654 | ) | (18,318,094 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [775,380 and 2,166,785 shares, respectively] |
9,542,642 | 26,321,036 | ||||||
| Series shares issued in reinvestment of distributions [1,707,009 and 1,519,181 shares, respectively] |
20,654,654 | 18,318,094 | ||||||
| Series shares repurchased [4,651,275 and 3,193,994 shares, respectively] |
(57,309,200 | ) | (38,827,001 | ) | ||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(27,111,904 | ) | 5,812,129 | |||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | (33,748,590 | ) | 17,413,184 | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
416,653,926 | 399,240,742 | ||||||
| End of year |
$ | 382,905,336 | $ | 416,653,926 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A102
| HIGH YIELD BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| LONG-TERM INVESTMENTS — 95.2% ASSET-BACKED SECURITIES — 0.5% |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Non-Residential Mortgage-Backed Securities — 0.5% |
||||||||||||||||||||
| Primus CLO Ltd. (Cayman Islands), Ser. 2007-2A, Class A, 144A(a) |
Aa1 | 0.573% | 07/15/21 | $ | 478 | $ | 456,038 | |||||||||||||
| Slater Mill Loan Fund LP CLO (Cayman Islands), |
BBB(b) | 4.561% | 08/17/22 | 13,000 | 12,228,515 | |||||||||||||||
| 12,684,553 | ||||||||||||||||||||
| Residential Mortgage-Backed Securities |
||||||||||||||||||||
| Argent Securities, Inc., Ser. 2003-W8, Class M1(a) |
Ba1 | 1.260% | 12/25/33 | 121 | 115,850 | |||||||||||||||
| Credit-Based Asset Servicing and Securitization LLC, |
Ca | 4.888% | 01/25/37 | 569 | 305,792 | |||||||||||||||
| Morgan Stanley ABS Capital I, Ser. 2007-HE6, Class A2(a) |
Ca | 0.350% | 05/25/37 | 100 | 50,219 | |||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Ser. 2006-12XS, Class A6A |
Caa3 | 5.726% | 10/25/36 | 406 | 236,680 | |||||||||||||||
| Structured Asset Securities Corp., Ser. 2005-9XS, Class 2A1(a) |
B3 | 0.510% | 06/25/35 | 345 | 278,368 | |||||||||||||||
| 986,909 | ||||||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
13,671,462 | ||||||||||||||||||
| BANK LOANS — 3.4% | ||||||||||||||||||||
| Automotive — 0.2% |
||||||||||||||||||||
| Chrysler Group LLC(a) |
Ba2 | 6.000% | 05/24/17 | 4,617 | 4,711,205 | |||||||||||||||
| Cable — 0.1% |
||||||||||||||||||||
| WideOpenWest Holdings LLC(a) |
B1 | 6.250% | 07/17/18 | 3,354 | 3,388,609 | |||||||||||||||
| Capital Goods — 0.3% |
||||||||||||||||||||
| CPM Acquisition Corp.(a) |
Caa1 | 10.250% | 03/01/18 | 7,750 | 7,808,125 | |||||||||||||||
| Consumer — 0.3% |
||||||||||||||||||||
| One Call Medical, Inc.(a) |
Ba3 | 7.003% | 08/23/19 | 2,500 | 2,504,167 | |||||||||||||||
| Visant Corp.(a) |
B1 | 5.250% | 12/22/16 | 2,228 | 2,011,486 | |||||||||||||||
| West Corp.(a) |
Ba3 | 5.750% | 06/30/18 | 3,483 | 3,523,855 | |||||||||||||||
| 8,039,508 | ||||||||||||||||||||
| Electric |
||||||||||||||||||||
| Texas Competitive Electric Holdings Co. LLC(a) |
Caa1 | 3.746% | 10/10/14 | 1,114 | 844,550 | |||||||||||||||
| Energy – Other — 0.2% |
||||||||||||||||||||
| Shelf Drilling Holidings, Ltd. |
Ba1 | 5.350% | 05/31/18 | 5,000 | 4,925,000 | |||||||||||||||
| Gaming — 0.2% |
||||||||||||||||||||
| CCM Merger, Inc.(a) |
B2 | 6.000% | 03/01/17 | 4,855 | 4,863,962 | |||||||||||||||
| Healthcare & Pharmaceutical |
||||||||||||||||||||
| Alliance HealthCare Services, Inc.(a) |
Ba3 | 7.250% | 06/01/16 | 706 | 694,049 | |||||||||||||||
| Metals — 0.5% |
||||||||||||||||||||
| FMG Resources (August 2006) Pty Ltd.(a). |
Ba1 | 5.250% | 10/18/17 | 14,963 | 15,067,701 | |||||||||||||||
| Pipelines & Other — 0.2% |
||||||||||||||||||||
| Energy Transfer Equity LP(a) |
Ba2 | 3.750% | 03/24/17 | 5,855 | 5,894,340 | |||||||||||||||
| Technology — 1.4% |
||||||||||||||||||||
| First Data Corp.(a) |
B1 | 4.211% | 03/26/18 | 12,432 | 11,824,158 | |||||||||||||||
| First Data Corp.(a) |
B1 | 5.211% | 03/24/17 | 4,341 | 4,261,919 | |||||||||||||||
| Freescale Semiconductor, Inc.(a) |
B1 | 6.000% | 02/28/19 | 4,963 | 4,915,976 | |||||||||||||||
| Interactive Data Corp.(a) |
Ba3 | 4.500% | 02/11/18 | 3,942 | 3,955,727 | |||||||||||||||
| kronos, Inc.(a) |
Ba3 | 9.750% | 04/30/20 | 5,200 | 5,200,000 | |||||||||||||||
| NXP BV(a) |
B2 | 5.500% | 03/03/17 | 1,975 | 2,010,181 | |||||||||||||||
| RP Crown Parent LLC.(a) |
Caa1 | 11.250% | 12/14/19 | 8,000 | 8,050,000 | |||||||||||||||
| Sensata Technologies, Inc.(a) |
Ba2 | 3.750% | 05/12/18 | 483 | 484,864 | |||||||||||||||
| 40,702,825 | ||||||||||||||||||||
| TOTAL BANK LOANS |
|
96,939,874 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.1% | Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Adjustable Rate Mortgage Trust, Ser. 2005-7, Class 1A1(a) |
Ca | 2.816% | 10/25/35 | $ | 102 | $ | 87,622 | |||||||||||||
| American Home Mortgage Assets LLC, Ser. 2006-4, Class 1A12(a) |
Ca | 0.420% | 10/25/46 | 49 | 30,513 | |||||||||||||||
| American Home Mortgage Assets LLC, Ser. 2006-5, Class A1(a) |
Caa3 | 1.085% | 11/25/46 | 401 | 217,765 | |||||||||||||||
| American Home Mortgage Investment Trust, Ser. 2005-2, Class 4A1(a) |
Ba3 | 2.010% | 09/25/45 | 27 | 25,518 | |||||||||||||||
| Banc of America Alternative Loan Trust, Ser. 2005-4, Class CB6(a) |
Caa1 | 0.610% | 05/25/35 | 65 | 46,991 | |||||||||||||||
| Banc of America Funding Corp., Ser. 2006-B, Class 2A1(a) |
Caa2 | 3.045% | 03/20/36 | 169 | 141,979 | |||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Ser. 2005-10, Class A2(a) |
BB+(b) | 2.662% | 10/25/35 | 340 | 346,395 | |||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, |
D(b) | 3.099% | 05/25/47 | 51 | 40,231 | |||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Ser. 2007-10, Class 22AA(a)(g) |
D(b) | 3.091% | 09/25/37 | 96 | 72,859 | |||||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2005-43, Class 4A3(a)(g) |
D(b) | 5.173% | 10/25/35 | 38 | 29,205 | |||||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2005-62, Class 2A1(a) |
Caa3 | 1.166% | 12/25/35 | 93 | 66,664 | |||||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2006-HY13, Class 4A1(a)(g) |
D(b) | 2.920% | 02/25/37 | 45 | 35,088 | |||||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2006-OA9, Class 2A1A(a) |
Ca | 0.421% | 07/20/46 | 44 | 21,777 | |||||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2006-OA11, Class A1B(a) |
Ca | 0.400% | 09/25/46 | 58 | 39,921 | |||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, |
Caa2 | 0.530% | 03/25/35 | 124 | 94,639 | |||||||||||||||
| First Horizon Alternative Mortgage Securities, Ser. 2006-FA2, Class 1A5 |
Caa3 | 6.000% | 05/25/36 | 88 | 74,157 | |||||||||||||||
| Harborview Mortgage Loan Trust, Ser. 2006-1, Class 2A1A(a) |
Caa3 | 0.450% | 03/19/36 | 375 | 242,932 | |||||||||||||||
| Harborview Mortgage Loan Trust, Ser. 2006-5, Class 2A1A(a) |
Caa3 | 0.390% | 07/19/46 | 54 | 31,845 | |||||||||||||||
| Harborview Mortgage Loan Trust, Ser. 2006-7, Class 2A1B(a) |
C | 0.460% | 09/19/46 | 190 | 24,828 | |||||||||||||||
| IndyMac Index Mortgage Loan Trust, Ser. 2006-AR12, Class A1(a) |
Caa2 | 0.400% | 09/25/46 | 43 | 29,907 | |||||||||||||||
| JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A96 |
CC(b) | 6.000% | 08/25/37 | 47 | 40,456 | |||||||||||||||
| JPMorgan Mortgage Trust, Ser. 2007-S3, Class 1A97 |
CC(b) | 6.000% | 08/25/37 | 94 | 81,404 | |||||||||||||||
| MASTR Adjustable Rate Mortgages Trust, Ser. 2006-OA1, Class 1A1(a) |
Caa2 | 0.420% | 04/25/46 | 29 | 20,138 | |||||||||||||||
| Residential Accredit Loans, Inc., Ser. 2006-QA2, Class 3A1(a) |
Ca | 5.500% | 02/25/36 | 290 | 205,228 | |||||||||||||||
| Residential Accredit Loans, Inc., Ser. 2007-QS4, Class 2A1(a) |
Ca | 0.540% | 03/25/37 | 192 | 61,044 | |||||||||||||||
| Residential Asset Securitization Trust, Ser. 2007-A5, Class 2A3 |
Caa2 | 6.000% | 05/25/37 | 86 | 77,500 | |||||||||||||||
| Structured Asset Mortgage Investments, Inc., |
Caa3 | 0.400% | 07/25/46 | 55 | 36,612 | |||||||||||||||
| SunTrust Alternative Loan Trust, Ser. 2006-1F, Class 3A(a) |
Ca | 0.560% | 04/25/36 | 136 | 30,555 | |||||||||||||||
| WaMu Mortgage Pass-Through Certificates, |
D(b) | 4.999% | 02/25/37 | 46 | 37,818 | |||||||||||||||
| WaMu Mortgage Pass-Through Certificates, |
CC(b) | 2.685% | 02/25/37 | 52 | 41,875 | |||||||||||||||
| WaMu Mortgage Pass-Through Certificates, |
Caa2 | 0.926% | 04/25/47 | 53 | 47,767 | |||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
2,381,233 | ||||||||||||||||||
| CORPORATE BONDS — 91.1% | ||||||||||||||||||||
| Aerospace & Defense — 1.3% |
||||||||||||||||||||
| Alliant Techsystems, Inc., Gtd. Notes(e) |
Ba3 | 6.875% | 09/15/20 | 2,375 | 2,609,531 | |||||||||||||||
| Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(e) |
Ba2 | 5.750% | 03/15/22 | 5,050 | 5,188,875 | |||||||||||||||
| Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
Ba2 | 7.750% | 03/15/20 | 1,576 | 1,788,760 | |||||||||||||||
| Colt Defense LLC/Colt Finance Corp., Sr. Unsec’d. Notes(e) |
Caa1 | 8.750% | 11/15/17 | 2,325 | 1,505,438 | |||||||||||||||
| Esterline Technologies Corp., Gtd. Notes |
Ba2 | 6.625% | 03/01/17 | 750 | 770,625 | |||||||||||||||
| Esterline Technologies Corp., Gtd. Notes(e) |
Ba2 | 7.000% | 08/01/20 | 5,400 | 5,980,500 | |||||||||||||||
| Moog, Inc., Sr. Sub. Notes |
Ba3 | 6.250% | 01/15/15 | 2,500 | 2,502,000 | |||||||||||||||
| Moog, Inc., Sr. Sub. Notes |
Ba3 | 7.250% | 06/15/18 | 4,525 | 4,756,906 | |||||||||||||||
| Sequa Corp., Gtd. Notes, 144A |
Caa1 | 7.000% | 12/15/17 | 2,225 | 2,238,906 | |||||||||||||||
| Silver II Borrower/Silver II US Holdings LLC (Luxembourg), Gtd. Notes, 144A |
Caa1 | 7.750% | 12/15/20 | 2,900 | 3,001,500 | |||||||||||||||
| TransDigm, Inc., Gtd. Notes |
B3 | 7.750% | 12/15/18 | 7,300 | 8,075,625 | |||||||||||||||
| 38,418,666 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A104
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Automotive — 2.9% |
||||||||||||||||||||
| American Axle & Manufacturing, Inc., Gtd. Notes(e) |
B2 | 6.625% | 10/15/22 | $ | 7,200 | $ | 7,308,000 | |||||||||||||
| Chrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes(e) |
B2 | 8.250% | 06/15/21 | 9,200 | 10,120,000 | |||||||||||||||
| Continental Rubber of America Corp., Sr. Sec’d. Notes, 144A |
Ba2 | 4.500% | 09/15/19 | 8,300 | 8,494,170 | |||||||||||||||
| DaimlerChrysler Group LLC/CG Co.-Issuer, Inc., Sec’d. Notes(e) |
B2 | 8.000% | 06/15/19 | 7,800 | 8,502,000 | |||||||||||||||
| Dana Holding Corp., Sr. Unsec’d. Notes(e) |
B2 | 6.500% | 02/15/19 | 4,400 | 4,697,000 | |||||||||||||||
| Dana Holding Corp., Sr. Unsec’d. Notes |
B2 | 6.750% | 02/15/21 | 10,059 | 10,813,425 | |||||||||||||||
| Delphi Corp., Gtd. Notes(e) |
Ba2 | 5.875% | 05/15/19 | 7,400 | 7,936,500 | |||||||||||||||
| Delphi Corp., Gtd. Notes(e) |
Ba2 | 6.125% | 05/15/21 | 4,298 | 4,770,780 | |||||||||||||||
| Lear Corp., Gtd. Notes |
Ba2 | 7.875% | 03/15/18 | 7,087 | 7,707,112 | |||||||||||||||
| Lear Corp., Gtd. Notes |
Ba2 | 8.125% | 03/15/20 | 8,561 | 9,652,528 | |||||||||||||||
| TRW Automotive, Inc., Gtd. Notes, 144A |
Ba2 | 7.250% | 03/15/17 | 655 | 754,069 | |||||||||||||||
| TRW Automotive, Inc., Gtd. Notes, 144A |
Ba2 | 8.875% | 12/01/17 | 2,025 | 2,227,500 | |||||||||||||||
| 82,983,084 | ||||||||||||||||||||
| Banking — 1.1% |
||||||||||||||||||||
| Bank of America Corp., Jr. Sub. Notes, Ser. K(a) |
B1 | 8.000% | 12/29/49 | 8,845 | 9,783,278 | |||||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes(e) |
Baa2 | 5.700% | 01/24/22 | 10,100 | 12,145,745 | |||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes(e) |
Baa2 | 4.450% | 01/10/17 | 7,700 | 8,530,060 | |||||||||||||||
| HBOS PLC (United Kingdom), Sub. Notes, Ser. G, 144A, MTN |
Ba1 | 6.750% | 05/21/18 | 400 | 430,500 | |||||||||||||||
| 30,889,583 | ||||||||||||||||||||
| Brokerage — 0.1% |
||||||||||||||||||||
| Blackstone Holdings Finance Co. LLC, Gtd. Notes, 144A(e) |
A(b) | 4.750% | 02/15/23 | 3,250 | 3,454,935 | |||||||||||||||
| Building Materials & Construction — 2.0% |
||||||||||||||||||||
| Beazer Homes USA, Inc., Gtd. Notes |
Caa3 | 9.125% | 06/15/18 | 500 | 521,250 | |||||||||||||||
| Beazer Homes USA, Inc., Gtd. Notes(e) |
Caa3 | 9.125% | 05/15/19 | 2,500 | 2,615,625 | |||||||||||||||
| Building Materials Corp. of America, Sr. Notes, 144A |
Ba3 | 6.875% | 08/15/18 | 1,500 | 1,620,000 | |||||||||||||||
| Building Materials Corp. of America, Sr. Sec’d. Notes, 144A |
Ba1 | 7.000% | 02/15/20 | 5,825 | 6,349,250 | |||||||||||||||
| Cemex Finance LLC, Sr. Sec’d. Notes, 144A(e) |
B-(b) | 9.375% | 10/12/22 | 5,975 | 6,721,875 | |||||||||||||||
| D.R. Horton, Inc., Gtd. Notes |
Ba2 | 6.500% | 04/15/16 | 900 | 999,000 | |||||||||||||||
| International Wire Group Holdings, Inc., Sr. Sec’d. Notes, 144A |
B3 | 8.500% | 10/15/17 | 6,250 | 6,312,500 | |||||||||||||||
| K. Hovnanian Enterprises, Inc., Sr. Sec’d. Notes, 144A(e) |
B3 | 7.250% | 10/15/20 | 9,125 | 9,809,375 | |||||||||||||||
| KB Home, Gtd. Notes |
B2 | 7.500% | 09/15/22 | 4,100 | 4,469,000 | |||||||||||||||
| Masco Corp., Sr. Unsec’d. Notes |
Ba3 | 5.950% | 03/15/22 | 1,675 | 1,856,724 | |||||||||||||||
| Standard Pacific Corp., Gtd. Notes(e) |
B3 | 8.375% | 05/15/18 | 925 | 1,073,000 | |||||||||||||||
| Standard Pacific Corp., Gtd. Notes(e) |
B3 | 8.375% | 01/15/21 | 525 | 609,000 | |||||||||||||||
| Standard Pacific Corp., Gtd. Notes(e) |
B3 | 10.750% | 09/15/16 | 3,875 | 4,814,688 | |||||||||||||||
| Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A |
B2 | 7.750% | 04/15/20 | 2,400 | 2,544,000 | |||||||||||||||
| Taylor Morrison Communities, Inc./Monarch Communities, Inc., Gtd. Notes, 144A |
B2 | 7.750% | 04/15/20 | 6,000 | 6,360,000 | |||||||||||||||
| 56,675,287 | ||||||||||||||||||||
| Cable — 5.1% |
||||||||||||||||||||
| AT&T Broadband LLC, Gtd. Notes |
Baa1 | 8.375% | 03/15/13 | 100 | (f) | 102 | ||||||||||||||
| Bresnan Broadband Holdings LLC, Gtd. Notes, 144A |
B3 | 8.000% | 12/15/18 | 3,625 | 3,915,000 | |||||||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes |
B1 | 7.750% | 04/15/18 | 1,375 | 1,529,687 | |||||||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes |
B1 | 8.625% | 09/15/17 | 11,725 | 13,674,281 | |||||||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e) |
B1 | 5.125% | 02/15/23 | 3,125 | 3,117,187 | |||||||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e) |
B1 | 7.875% | 04/30/18 | 1,350 | 1,452,937 | |||||||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(e) |
B1 | 8.125% | 04/30/20 | 1,600 | 1,792,000 | |||||||||||||||
| Cequel Communications Holdings I LLC and Cequel Capital Corp., |
B3 | 6.375% | 09/15/20 | 5,375 | 5,596,719 | |||||||||||||||
| Cequel Communications Holdings I LLC and Cequel Capital Corp., |
B3 | 8.625% | 11/15/17 | 19,051 | 20,384,570 | |||||||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(e) |
Ba3 | 6.750% | 11/15/21 | 8,600 | 9,535,250 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Cable (continued) |
||||||||||||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes |
Ba3 | 7.875% | 02/15/18 | $ | 850 | $ | 983,875 | |||||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes(e) |
Ba3 | 8.625% | 02/15/19 | 1,105 | 1,320,475 | |||||||||||||||
| DISH DBS Corp., Gtd. Notes(e) |
Ba2 | 5.875% | 07/15/22 | 2,200 | 2,365,000 | |||||||||||||||
| DISH DBS Corp., Gtd. Notes(e) |
Ba2 | 6.750% | 06/01/21 | 825 | 940,500 | |||||||||||||||
| DISH DBS Corp., Sr. Unsec’d. Notes, 144A |
Ba2 | 5.000% | 03/15/23 | 7,025 | 7,025,000 | |||||||||||||||
| Echostar DBS Corp., Gtd. Notes |
Ba2 | 6.625% | 10/01/14 | 4,925 | 5,294,375 | |||||||||||||||
| Echostar DBS Corp., Gtd. Notes(e) |
Ba2 | 7.000% | 10/01/13 | 6,575 | 6,838,000 | |||||||||||||||
| Echostar DBS Corp., Gtd. Notes |
Ba2 | 7.125% | 02/01/16 | 1,050 | 1,176,000 | |||||||||||||||
| Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, 144A |
B1 | 8.875% | 12/01/18 | 5,175 | 5,265,562 | |||||||||||||||
| ONO Finance II PLC (Ireland), Gtd. Notes, 144A |
Caa1 | 10.875% | 07/15/19 | 1,625 | 1,551,875 | |||||||||||||||
| Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes |
B2 | 7.750% | 03/15/16 | 850 | 871,250 | |||||||||||||||
| UPC Holding BV (Netherlands), Sec’d. Notes, 144A(e) |
B2 | 9.875% | 04/15/18 | 16,600 | 18,758,000 | |||||||||||||||
| UPCB Finance V Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A |
Ba3 | 7.250% | 11/15/21 | 2,450 | 2,695,000 | |||||||||||||||
| UPCB Finance VI Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A(e) |
Ba3 | 6.875% | 01/15/22 | 5,325 | 5,764,313 | |||||||||||||||
| Videotron Ltee (Canada), Gtd. Notes(e) |
Ba2 | 5.000% | 07/15/22 | 5,925 | 6,213,844 | |||||||||||||||
| Videotron Ltee (Canada), Gtd. Notes |
Ba2 | 9.125% | 04/15/18 | 9,200 | 9,798,000 | |||||||||||||||
| WaveDivision Escrow LLC/WaveDivision Escrow Corp., |
Caa1 | 8.125% | 09/01/20 | 2,150 | 2,225,250 | |||||||||||||||
| WideOpenWest Finance LLC/WideOpenWest Capital Corp., Gtd. Notes, 144A |
Caa1 | 10.250% | 07/15/19 | 2,375 | 2,523,438 | |||||||||||||||
| WideOpenWest Finance LLC/WideOpenWest Capital Corp., Gtd. Notes, 144A |
Caa1 | 13.375% | 10/15/19 | 2,950 | 3,119,625 | |||||||||||||||
| 145,727,115 | ||||||||||||||||||||
| Capital Goods — 6.0% |
||||||||||||||||||||
| ADS Waste Holdings, Inc., Sr. Unsec’d. Notes, 144A |
Caa1 | 8.250% | 10/01/20 | 5,275 | 5,538,750 | |||||||||||||||
| Aguila 3 SA (Luxembourg), Sr. Sec’d. Notes, 144A |
B2 | 7.875% | 01/31/18 | 1,250 | 1,325,000 | |||||||||||||||
| Amsted Industries, Inc., Sr. Notes, 144A |
B1 | 8.125% | 03/15/18 | 4,450 | 4,761,500 | |||||||||||||||
| Ashtead Capital, Inc., Sec’d. Notes, 144A |
B2 | 6.500% | 07/15/22 | 6,525 | 7,079,625 | |||||||||||||||
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes(e) |
B2 | 8.250% | 01/15/19 | 4,050 | 4,475,250 | |||||||||||||||
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes |
B2 | 9.625% | 03/15/18 | 2,500 | 2,787,500 | |||||||||||||||
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes |
B2 | 9.750% | 03/15/20 | 3,850 | 4,446,750 | |||||||||||||||
| Belden, Inc., Gtd. Notes, 144A |
Ba2 | 5.500% | 09/01/22 | 4,025 | 4,135,687 | |||||||||||||||
| Case New Holland, Inc., Gtd. Notes(e) |
Ba2 | 7.875% | 12/01/17 | 4,150 | 4,907,375 | |||||||||||||||
| Clean Harbors, Inc., Gtd. Notes |
Ba2 | 5.250% | 08/01/20 | 6,850 | 7,141,125 | |||||||||||||||
| Dycom Investments, Inc., Gtd. Notes |
Ba3 | 7.125% | 01/15/21 | 3,000 | 3,172,500 | |||||||||||||||
| Dycom Investments, Inc., Gtd. Notes, 144A |
Ba3 | 7.125% | 01/15/21 | 2,225 | 2,341,812 | |||||||||||||||
| General Cable Corp., Gtd. Notes, 144A |
B1 | 5.750% | 10/01/22 | 3,825 | 3,958,875 | |||||||||||||||
| Griffon Corp., Gtd. Notes(e) |
B1 | 7.125% | 04/01/18 | 6,265 | 6,640,900 | |||||||||||||||
| H&E Equipment Services, Inc., Gtd. Notes, 144A |
B3 | 7.000% | 09/01/22 | 3,875 | 4,126,875 | |||||||||||||||
| HDTFS, Inc., Gtd. Notes, 144A |
B2 | 5.875% | 10/15/20 | 1,375 | 1,436,875 | |||||||||||||||
| HDTFS, Inc., Gtd. Notes, 144A(e) |
B2 | 6.250% | 10/15/22 | 2,050 | 2,183,250 | |||||||||||||||
| Hertz Corp. (The), Gtd. Notes(e) |
B2 | 7.500% | 10/15/18 | 4,288 | 4,738,240 | |||||||||||||||
| Interline Brands, Inc., Gtd. Notes |
B2 | 7.500% | 11/15/18 | 5,420 | 5,853,600 | |||||||||||||||
| Kenan Advantage Group, Inc. (The), Sr. Unsec’d. Notes, 144A |
B3 | 8.375% | 12/15/18 | 5,275 | 5,380,500 | |||||||||||||||
| Laureate Education, Inc., Gtd. Notes, 144A(e) |
Caa1 | 9.250% | 09/01/19 | 4,625 | 4,833,125 | |||||||||||||||
| Manitowoc Co., Inc. (The), Gtd. Notes |
B3 | 5.875% | 10/15/22 | 3,025 | 3,025,000 | |||||||||||||||
| RBS Global, Inc./Rexnord LLC, Gtd. Notes(e) |
B3 | 8.500% | 05/01/18 | 8,800 | 9,537,000 | |||||||||||||||
| Rexel SA (France), Gtd. Notes, 144A |
Ba2 | 6.125% | 12/15/19 | 3,600 | 3,780,000 | |||||||||||||||
| RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Unsec’d. Notes |
B3 | 8.250% | 02/01/21 | 4,600 | 5,186,500 | |||||||||||||||
| RSC Equipment Rental, Inc./RSC Holdings III LLC, Sr. Unsec’d. Notes |
B3 | 10.250% | 11/15/19 | 2,425 | 2,813,000 | |||||||||||||||
| SPX Corp., Gtd. Notes(e) |
Ba2 | 6.875% | 09/01/17 | 4,925 | 5,491,375 | |||||||||||||||
| SPX Corp., Gtd. Notes(e) |
Ba2 | 7.625% | 12/15/14 | 10,280 | 11,256,600 | |||||||||||||||
| Terex Corp., Gtd. Notes(e) |
B3 | 6.000% | 05/15/21 | 6,800 | 7,157,000 | |||||||||||||||
| Terex Corp., Gtd. Notes |
B3 | 6.500% | 04/01/20 | 2,175 | 2,305,500 | |||||||||||||||
| United Rentals North America, Inc., Gtd. Notes(e) |
Caa1 | 8.375% | 09/15/20 | 1,000 | 1,107,500 | |||||||||||||||
| United Rentals North America, Inc., Gtd. Notes |
B3 | 9.250% | 12/15/19 | 2,725 | 3,106,500 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A106
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Capital Goods (continued) |
||||||||||||||||||||
| UR Financing Escrow Corp., Gtd. Notes, 144A |
B3 | 7.375% | 05/15/20 | $ | 2,625 | $ | 2,880,938 | |||||||||||||
| UR Financing Escrow Corp., Gtd. Notes, 144A |
B3 | 7.625% | 04/15/22 | 7,050 | 7,878,375 | |||||||||||||||
| WireCo WorldGroup, Inc., Gtd. Notes |
B3 | 9.500% | 05/15/17 | 12,975 | 13,753,500 | |||||||||||||||
| 170,543,902 | ||||||||||||||||||||
| Chemicals — 4.1% |
||||||||||||||||||||
| Ashland, Inc., Gtd. Notes, 144A |
Ba2 | 4.750% | 08/15/22 | 2,775 | 2,886,000 | |||||||||||||||
| Celanese US Holdings LLC, Gtd. Notes |
Ba2 | 4.625% | 11/15/22 | 3,225 | 3,378,187 | |||||||||||||||
| Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sec’d. Notes(e) |
Caa1 | 9.000% | 11/15/20 | 13,550 | 12,364,375 | |||||||||||||||
| Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sr. Sec’d. Notes(e) |
B3 | 8.875% | 02/01/18 | 400 | 411,000 | |||||||||||||||
| Huntsman International LLC, Gtd. Notes |
B1 | 5.500% | 06/30/16 | 1,377 | 1,378,721 | |||||||||||||||
| Huntsman International LLC, Gtd. Notes(e) |
B2 | 8.625% | 03/15/20 | 1,650 | 1,868,625 | |||||||||||||||
| Huntsman International LLC, Gtd. Notes(e) |
B2 | 8.625% | 03/15/21 | 2,650 | 3,027,625 | |||||||||||||||
| Kinove German Bondco GmbH (Germany), Sr. Sec’d. Notes, 144A |
B2 | 9.625% | 06/15/18 | 4,550 | 4,970,875 | |||||||||||||||
| Koppers, Inc., Gtd. Notes |
B1 | 7.875% | 12/01/19 | 6,142 | 6,756,200 | |||||||||||||||
| LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes(e) |
Baa3 | 5.000% | 04/15/19 | 16,525 | 18,260,125 | |||||||||||||||
| LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes(e) |
Baa3 | 5.750% | 04/15/24 | 1,000 | 1,175,000 | |||||||||||||||
| LyondellBasell Industries NV (Netherlands), Sr. Unsec’d. Notes |
Baa3 | 6.000% | 11/15/21 | 1,225 | 1,436,312 | |||||||||||||||
| MacDermid, Inc., Gtd. Notes, 144A |
Caa1 | 9.500% | 04/15/17 | 3,590 | 3,738,088 | |||||||||||||||
| Nova Chemicals Corp. (Canada), Sr. Unsec’d. Notes |
Ba2 | 8.375% | 11/01/16 | 8,756 | 9,587,820 | |||||||||||||||
| Nova Chemicals Corp. (Canada), Sr. Unsec’d. Notes |
Ba2 | 8.625% | 11/01/19 | 3,650 | 4,142,750 | |||||||||||||||
| Nufarm Australia Ltd. (Australia), Gtd. Notes, 144A |
Ba3 | 6.375% | 10/15/19 | 3,000 | 3,135,000 | |||||||||||||||
| Rhodia SA (France), Sr. Unsec’d. Notes, 144A |
Baa2 | 6.875% | 09/15/20 | 5,720 | 6,447,161 | |||||||||||||||
| Rockwood Specialties Group, Inc., Gtd. Notes(e) |
Ba2 | 4.625% | 10/15/20 | 2,500 | 2,587,500 | |||||||||||||||
| Sawgrass Merger Sub, Inc., Sec’d. Notes, 144A |
B3 | 8.750% | 12/15/20 | 3,950 | 3,979,625 | |||||||||||||||
| Taminco Acquisition Corp., Sr. Unsec’d. Notes, PIK, 144A |
Caa2 | 9.125% | 12/15/17 | 8,525 | 8,418,438 | |||||||||||||||
| Taminco Global Chemical Corp., Sec’d. Notes, 144A |
Caa1 | 9.750% | 03/31/20 | 9,580 | 10,490,100 | |||||||||||||||
| Tronox Finance LLC, Gtd. Notes, 144A |
B1 | 6.375% | 08/15/20 | 7,125 | 7,196,250 | |||||||||||||||
| 117,635,777 | ||||||||||||||||||||
| Consumer — 1.9% |
||||||||||||||||||||
| Carlson Wagonlit BV (Netherlands), Sr. Sec’d. Notes, 144A |
B1 | 6.875% | 06/15/19 | 4,800 | 5,064,000 | |||||||||||||||
| Libbey Glass, Inc., Sr. Sec’d. Notes |
B2 | 6.875% | 05/15/20 | 500 | 537,500 | |||||||||||||||
| Live Nation Entertainment, Inc., Gtd. Notes, 144A |
B3 | 7.000% | 09/01/20 | 2,400 | 2,505,000 | |||||||||||||||
| Phillips-Van Heusen Corp., Sr. Unsec’d. Notes |
Ba3 | 7.375% | 05/15/20 | 4,061 | 4,553,396 | |||||||||||||||
| PVH Corp., Sr. Unsec’d. Notes(e) |
Ba3 | 4.500% | 12/15/22 | 2,950 | 2,979,500 | |||||||||||||||
| Realogy Corp., Gtd. Notes |
CCC+(b) | 13.375% | 04/15/18 | 900 | 967,500 | |||||||||||||||
| Scotts Miracle-Gro Co. (The), Gtd. Notes |
B1 | 7.250% | 01/15/18 | 2,600 | 2,795,000 | |||||||||||||||
| Sealy Mattress Co., Sr. Sec’d. Notes, 144A |
Ba3 | 10.875% | 04/15/16 | 4,358 | 4,619,480 | |||||||||||||||
| Service Corp. International, Sr. Unsec’d. Notes |
Ba3 | 4.500% | 11/15/20 | 2,325 | 2,365,687 | |||||||||||||||
| Service Corp. International, Sr. Unsec’d. Notes |
Ba3 | 7.000% | 06/15/17 | 4,143 | 4,764,450 | |||||||||||||||
| Service Corp. International, Sr. Unsec’d. Notes |
Ba3 | 7.000% | 05/15/19 | 6,855 | 7,506,225 | |||||||||||||||
| Spectrum Brands Holdings, Inc., Sr. Sec’d. Notes |
Ba3 | 9.500% | 06/15/18 | 1,500 | 1,702,500 | |||||||||||||||
| Stewart Enterprises, Inc., Gtd. Notes(e) |
B1 | 6.500% | 04/15/19 | 6,190 | 6,623,300 | |||||||||||||||
| Visant Corp., Gtd. Notes(e) |
Caa2 | 10.000% | 10/01/17 | 6,939 | 6,227,753 | |||||||||||||||
| 53,211,291 | ||||||||||||||||||||
| Electric — 4.8% |
||||||||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes |
Ba3 | 7.375% | 07/01/21 | 6,575 | 7,298,250 | |||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes |
Ba3 | 7.750% | 10/15/15 | 9,265 | 10,399,962 | |||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes |
Ba3 | 8.000% | 10/15/17 | 4,100 | 4,735,500 | |||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes |
Ba3 | 8.000% | 06/01/20 | 1,800 | 2,070,000 | |||||||||||||||
| Calpine Construction Finance Co. LP/CCFC Finance Corp., |
Ba3 | 8.000% | 06/01/16 | 4,000 | 4,250,000 | |||||||||||||||
| Calpine Corp., Sr. Sec’d. Notes, 144A |
B1 | 7.250% | 10/15/17 | 4,406 | 4,692,390 | |||||||||||||||
| Calpine Corp., Sr. Sec’d. Notes, 144A |
B1 | 7.500% | 02/15/21 | 15,329 | 16,938,545 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A107
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Electric (continued) |
||||||||||||||||||||
| Calpine Corp., Sr. Sec’d. Notes, 144A |
B1 | 7.875% | 01/15/23 | $ | 1,596 | $ | 1,803,480 | |||||||||||||
| Covanta Holding Corp., Sr. Unsec’d. Notes(e) |
Ba3 | 6.375% | 10/01/22 | 2,450 | 2,660,624 | |||||||||||||||
| Covanta Holding Corp., Sr. Unsec’d. Notes |
Ba3 | 7.250% | 12/01/20 | 3,055 | 3,365,990 | |||||||||||||||
| Energy Future Holdings Corp., Sr. Sec’d. Notes |
Caa3 | 9.750% | 10/15/19 | 425 | 469,625 | |||||||||||||||
| Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., |
Caa3 | 11.750% | 03/01/22 | 19,525 | 21,672,750 | |||||||||||||||
| Mirant Americas Generation, Inc., Sr. Unsec’d. Notes(e) |
B3 | 8.500% | 10/01/21 | 1,000 | 1,140,000 | |||||||||||||||
| Mirant Corp., Sr. Notes, 144A(c) |
NR | 7.400% | 07/15/49 | 1,825 | 1,825 | |||||||||||||||
| Mirant Mid Atlantic Pass-Through Trust B, Pass-thru Certs., Ser. B |
Ba1 | 9.125% | 06/30/17 | 8,909 | 9,710,670 | |||||||||||||||
| NRG Energy, Inc., Gtd. Notes, 144A(e) |
B1 | 6.625% | 03/15/23 | 6,450 | 6,901,500 | |||||||||||||||
| NRG Energy, Inc., Gtd. Notes(e) |
B1 | 7.625% | 01/15/18 | 11,645 | 12,925,950 | |||||||||||||||
| NRG Energy, Inc., Gtd. Notes |
B1 | 7.625% | 05/15/19 | 4,450 | 4,761,500 | |||||||||||||||
| NRG Energy, Inc., Gtd. Notes(e) |
B1 | 7.875% | 05/15/21 | 4,240 | 4,706,400 | |||||||||||||||
| NRG Energy, Inc., Gtd. Notes(e) |
B1 | 8.250% | 09/01/20 | 7,175 | 8,036,000 | |||||||||||||||
| Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., |
B1 | 9.237% | 07/02/17 | 2,848 | 3,140,119 | |||||||||||||||
| Reliant Energy Mid-Atlantic Power Holdings LLC, Pass-thru Certs., |
B1 | 9.681% | 07/02/26 | 4,360 | 4,687,000 | |||||||||||||||
| 136,368,080 | ||||||||||||||||||||
| Energy – Other — 5.5% |
||||||||||||||||||||
| Bristow Group, Inc., Gtd. Notes(e) |
Ba3 | 6.250% | 10/15/22 | 2,950 | 3,156,500 | |||||||||||||||
| Cie Generale de Geophysique-Veritas (France), Gtd. Notes(e) |
Ba3 | 7.750% | 05/15/17 | 2,150 | 2,236,000 | |||||||||||||||
| Cie Generale de Geophysique-Veritas (France), Gtd. Notes |
Ba3 | 9.500% | 05/15/16 | 4,300 | 4,611,750 | |||||||||||||||
| CITIC Resources Finance 2007 Ltd. (Virgin Islands (BR)), Gtd. Notes, 144A |
Ba3 | 6.750% | 05/15/14 | 25 | 26,250 | |||||||||||||||
| Denbury Resources, Inc., Gtd. Notes(e) |
B1 | 6.375% | 08/15/21 | 2,565 | 2,821,500 | |||||||||||||||
| Denbury Resources, Inc., Gtd. Notes |
B1 | 8.250% | 02/15/20 | 2,968 | 3,339,000 | |||||||||||||||
| Denbury Resources, Inc., Gtd. Notes |
B1 | 9.750% | 03/01/16 | 4,050 | 4,293,000 | |||||||||||||||
| EP Energy LLC/EP Energy Finance, Inc., Sr. Unsec’d. Notes(e) |
B2 | 9.375% | 05/01/20 | 1,075 | 1,212,062 | |||||||||||||||
| EP Energy LLC/Everest Acquisition Finance, Inc., Sr. Sec’d. Notes |
Ba3 | 6.875% | 05/01/19 | 1,800 | 1,953,000 | |||||||||||||||
| Harvest Operations Corp. (Canada), Gtd. Notes |
Ba2 | 6.875% | 10/01/17 | 11,000 | 12,210,000 | |||||||||||||||
| Hercules Offshore, Inc., Gtd. Notes, 144A(e) |
Caa1 | 10.250% | 04/01/19 | 3,500 | 3,832,500 | |||||||||||||||
| Hercules Offshore, Inc., Sr. Sec’d. Notes, 144A |
B1 | 7.125% | 04/01/17 | 1,975 | 2,068,812 | |||||||||||||||
| Hornbeck Offshore Services, Inc., Gtd. Notes |
Ba3 | 5.875% | 04/01/20 | 3,725 | 3,892,625 | |||||||||||||||
| Legacy Reserves LP / Finance Corp., Gtd. Notes, 144A |
Caa1 | 8.000% | 12/01/20 | 2,800 | 2,856,000 | |||||||||||||||
| Linn Energy LLC / Linn Energy Finance Corp., Gtd. Notes, 144A |
B2 | 6.250% | 11/01/19 | 1,775 | 1,783,875 | |||||||||||||||
| Linn Energy LLC / Linn Energy Finance Corp., Gtd. Notes(e) |
B2 | 6.500% | 05/15/19 | 3,675 | 3,711,750 | |||||||||||||||
| McMoRan Exploration Co., Gtd. Notes |
Caa1 | 11.875% | 11/15/14 | 3,700 | 3,945,125 | |||||||||||||||
| MEG Energy Corp. (Canada), Gtd. Notes, 144A |
B1 | 6.500% | 03/15/21 | 6,325 | 6,657,062 | |||||||||||||||
| Newfield Exploration Co., Sr. Sub. Notes |
Ba2 | 7.125% | 05/15/18 | 325 | 342,875 | |||||||||||||||
| Newfield Exploration Co., Sr. Unsec’d. Notes |
Ba1 | 5.625% | 07/01/24 | 900 | 972,000 | |||||||||||||||
| Offshore Group Investment Ltd. (Cayman Islands), Sr. Sec’d. Notes |
B3 | 11.500% | 08/01/15 | 4,031 | 4,393,790 | |||||||||||||||
| Parker Drilling Co., Gtd. Notes |
B1 | 9.125% | 04/01/18 | 3,100 | 3,309,250 | |||||||||||||||
| Petrohawk Energy Corp., Gtd. Notes |
Baa3 | 7.250% | 08/15/18 | 800 | 903,158 | |||||||||||||||
| Petrohawk Energy Corp., Gtd. Notes |
Baa3 | 7.875% | 06/01/15 | 3,775 | 3,941,610 | |||||||||||||||
| Petroplus Finance Ltd. (Bermuda), Sr. Sec’d. Notes, 144A(c)(g) |
NR | 6.750% | 05/01/14 | 2,935 | 675,050 | |||||||||||||||
| Plains Exploration & Production Co., Gtd. Notes |
B1 | 6.125% | 06/15/19 | 5,517 | 6,013,530 | |||||||||||||||
| Plains Exploration & Production Co., Gtd. Notes |
B1 | 6.500% | 11/15/20 | 1,250 | 1,384,375 | |||||||||||||||
| Plains Exploration & Production Co., Gtd. Notes |
B1 | 6.625% | 05/01/21 | 1,000 | 1,101,250 | |||||||||||||||
| Plains Exploration & Production Co., Gtd. Notes |
B1 | 6.750% | 02/01/22 | 10,450 | 11,730,125 | |||||||||||||||
| Plains Exploration & Production Co., Gtd. Notes |
B1 | 6.875% | 02/15/23 | 2,900 | 3,313,250 | |||||||||||||||
| Plains Exploration & Production Co., Gtd. Notes(e) |
B1 | 7.625% | 06/01/18 | 2,900 | 3,052,250 | |||||||||||||||
| Plains Exploration & Production Co., Gtd. Notes |
B1 | 7.625% | 04/01/20 | 5,000 | 5,575,000 | |||||||||||||||
| Plains Exploration & Production Co., Gtd. Notes |
B1 | 8.625% | 10/15/19 | 1,250 | 1,421,875 | |||||||||||||||
| Plains Exploration & Production Co., Gtd. Notes |
B1 | 10.000% | 03/01/16 | 2,300 | 2,449,500 | |||||||||||||||
| Precision Drilling Corp. (Canada), Gtd. Notes(e) |
Ba1 | 6.500% | 12/15/21 | 2,075 | 2,209,875 | |||||||||||||||
| Precision Drilling Corp. (Canada), Gtd. Notes(e) |
Ba1 | 6.625% | 11/15/20 | 2,500 | 2,687,500 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A108
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Energy – Other (continued) |
||||||||||||||||||||
| QEP Resources, Inc., Sr. Unsec’d. Notes(e) |
Ba1 | 5.250% | 05/01/23 | $ | 7,475 | $ | 7,998,250 | |||||||||||||
| Range Resources Corp., Gtd. Notes |
Ba3 | 5.750% | 06/01/21 | 4,175 | 4,467,250 | |||||||||||||||
| Range Resources Corp., Gtd. Notes |
Ba3 | 6.750% | 08/01/20 | 700 | 759,500 | |||||||||||||||
| Range Resources Corp., Gtd. Notes(e) |
Ba3 | 8.000% | 05/15/19 | 1,623 | 1,797,473 | |||||||||||||||
| Samson Investment Co., Sr. Unsec’d. Notes, 144A(e) |
B3 | 9.750% | 02/15/20 | 3,650 | 3,859,875 | |||||||||||||||
| WPX Energy, Inc., Sr. Unsec’d. Notes |
Ba1 | 5.250% | 01/15/17 | 3,325 | 3,524,500 | |||||||||||||||
| WPX Energy, Inc., Sr. Unsec’d. Notes |
Ba1 | 6.000% | 01/15/22 | 12,950 | 13,953,625 | |||||||||||||||
| 156,443,547 | ||||||||||||||||||||
| Foods — 4.5% |
||||||||||||||||||||
| ARAMARK Corp., Gtd. Notes |
B3 | 8.500% | 02/01/15 | 8,858 | 8,902,379 | |||||||||||||||
| ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A(e) |
B3 | 8.625% | 05/01/16 | 16,046 | 16,427,253 | |||||||||||||||
| Bumble Bee Acquisition Corp., Sr. Sec’d. Notes, 144A |
B2 | 9.000% | 12/15/17 | 528 | 567,600 | |||||||||||||||
| Constellation Brands, Inc., Gtd. Notes |
Ba1 | 4.625% | 03/01/23 | 1,925 | 2,011,625 | |||||||||||||||
| Constellation Brands, Inc., Gtd. Notes(e) |
Ba1 | 6.000% | 05/01/22 | 2,800 | 3,206,000 | |||||||||||||||
| Cott Beverages, Inc., Gtd. Notes |
B3 | 8.125% | 09/01/18 | 2,605 | 2,878,525 | |||||||||||||||
| Darling International, Inc., Gtd. Notes |
Ba2 | 8.500% | 12/15/18 | 2,575 | 2,958,031 | |||||||||||||||
| Dave & Buster’s, Inc., Gtd. Notes |
Caa1 | 11.000% | 06/01/18 | 2,450 | 2,744,000 | |||||||||||||||
| Del Monte Corp., Gtd. Notes(e) |
B3 | 7.625% | 02/15/19 | 3,450 | 3,596,625 | |||||||||||||||
| Fiesta Restaurant Group, Inc., Sec’d. Notes |
B2 | 8.875% | 08/15/16 | 4,725 | 5,049,844 | |||||||||||||||
| Ingles Markets, Inc., Sr. Unsec’d. Notes |
B1 | 8.875% | 05/15/17 | 9,745 | 10,390,606 | |||||||||||||||
| JBS USA LLC/JBS USA Finance, Inc., Gtd. Notes |
B1 | 11.625% | 05/01/14 | 4,655 | 5,201,963 | |||||||||||||||
| JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A |
B1 | 7.250% | 06/01/21 | 4,210 | 4,220,525 | |||||||||||||||
| JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A |
B1 | 8.250% | 02/01/20 | 3,425 | 3,630,500 | |||||||||||||||
| Landry’s, Inc., Sr. Notes, 144A |
Caa1 | 9.375% | 05/01/20 | 10,875 | 11,473,125 | |||||||||||||||
| Michael Foods, Inc., Gtd. Notes |
B3 | 9.750% | 07/15/18 | 13,525 | 14,945,125 | |||||||||||||||
| Smithfield Foods, Inc., Sr. Unsec’d. Notes(e) |
B1 | 6.625% | 08/15/22 | 9,000 | 9,945,000 | |||||||||||||||
| Stater Brothers Holdings, Inc., Gtd. Notes |
B2 | 7.375% | 11/15/18 | 1,025 | 1,107,000 | |||||||||||||||
| Stater Brothers Holdings, Inc., Gtd. Notes(e) |
B2 | 7.750% | 04/15/15 | 1,750 | 1,785,000 | |||||||||||||||
| SUPERVALU, Inc., Sr. Unsec’d. Notes(e) |
Caa1 | 7.500% | 11/15/14 | 6,179 | 5,993,630 | |||||||||||||||
| Tops Holding Corp./Tops Markets LLC, Sr. Sec’d. Notes, 144A |
B3 | 8.875% | 12/15/17 | 3,050 | 3,164,375 | |||||||||||||||
| Wok Acquisition Corp., Gtd. Notes, 144A |
Caa1 | 10.250% | 06/30/20 | 6,675 | 7,100,531 | |||||||||||||||
| 127,299,262 | ||||||||||||||||||||
| Gaming — 5.5% |
||||||||||||||||||||
| Affinity Gaming LLC/Affinity Gaming Finance Corp., Gtd. Notes, 144A |
Caa1 | 9.000% | 05/15/18 | 6,250 | 6,531,250 | |||||||||||||||
| Boyd Gaming Corp., Gtd. Notes, 144A(e) |
B3 | 9.000% | 07/01/20 | 8,025 | 7,904,625 | |||||||||||||||
| Boyd Gaming Corp., Gtd. Notes(e) |
B3 | 9.125% | 12/01/18 | 8,350 | 8,517,000 | |||||||||||||||
| Caesars Entertainment Operating Co., Inc., Sec’d. Notes |
Caa2 | 12.750% | 04/15/18 | 12,101 | 8,924,487 | |||||||||||||||
| Caesars Operating Escrow LLC/Caesars Escrow Corp., |
B2 | 9.000% | 02/15/20 | 2,700 | 2,700,000 | |||||||||||||||
| CCM Merger, Inc., Gtd. Notes, 144A |
Caa2 | 9.125% | 05/01/19 | 10,900 | 10,981,750 | |||||||||||||||
| Harrah’s Operating Co., Inc., Sec’d. Notes(e) |
CCC(b) | 10.000% | 12/15/18 | 3,213 | 2,088,450 | |||||||||||||||
| Harrah’s Operating Co., Inc., Sr. Sec’d. Notes(e) |
B2 | 11.250% | 06/01/17 | 7,895 | 8,457,519 | |||||||||||||||
| Isle of Capri Casinos, Inc., Gtd. Notes(e) |
B3 | 7.750% | 03/15/19 | 11,005 | 11,857,888 | |||||||||||||||
| Isle of Capri Casinos, Inc., Gtd. Notes |
Caa1 | 8.875% | 06/15/20 | 4,325 | 4,714,250 | |||||||||||||||
| Marina District Finance Co., Inc., Sr. Sec’d. Notes(e) |
B2 | 9.500% | 10/15/15 | 4,505 | 4,369,850 | |||||||||||||||
| MGM Resorts International, Gtd. Notes(e) |
B3 | 5.875% | 02/27/14 | 1,000 | 1,040,000 | |||||||||||||||
| MGM Resorts International, Gtd. Notes(e) |
B3 | 6.625% | 12/15/21 | 15,675 | 15,675,000 | |||||||||||||||
| MGM Resorts International, Gtd. Notes |
B3 | 6.750% | 04/01/13 | 3,400 | 3,438,250 | |||||||||||||||
| MGM Resorts International, Gtd. Notes, 144A(e) |
B3 | 6.750% | 10/01/20 | 3,900 | 3,982,875 | |||||||||||||||
| MGM Resorts International, Gtd. Notes(e) |
B3 | 7.625% | 01/15/17 | 6,725 | 7,195,750 | |||||||||||||||
| MGM Resorts International, Gtd. Notes, 144A(e) |
B3 | 8.625% | 02/01/19 | 4,000 | 4,460,000 | |||||||||||||||
| MGM Resorts International, Gtd. Notes(e) |
B3 | 10.000% | 11/01/16 | 1,750 | 2,025,625 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A109
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Gaming (continued) |
||||||||||||||||||||
| MTR Gaming Group, Inc., Sec’d. Notes |
Caa1 | 11.500% | 08/01/19 | $ | 11,143 | $ | 11,811,449 | |||||||||||||
| Pinnacle Entertainment, Inc., Gtd. Notes(e) |
B3 | 7.750% | 04/01/22 | 5,575 | 5,937,375 | |||||||||||||||
| Pinnacle Entertainment, Inc., Gtd. Notes(e) |
B1 | 8.625% | 08/01/17 | 4,300 | 4,617,125 | |||||||||||||||
| Seminole Indian Tribe of Florida, Sec’d. Notes, 144A |
Ba1 | 7.750% | 10/01/17 | 1,225 | 1,324,531 | |||||||||||||||
| Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sec’d. Notes, 144A |
B2 | 8.625% | 04/15/16 | 9,250 | 9,920,625 | |||||||||||||||
| Yonkers Racing Corp., Sec’d. Notes, 144A |
B1 | 11.375% | 07/15/16 | 7,224 | 7,801,920 | |||||||||||||||
| 156,277,594 | ||||||||||||||||||||
| Healthcare & Pharmaceutical — 9.5% |
||||||||||||||||||||
| Acadia Healthcare Co., Inc., Gtd. Notes |
B3 | 12.875% | 11/01/18 | 6,550 | 7,925,500 | |||||||||||||||
| Accellent, Inc., Gtd. Notes |
Caa2 | 10.000% | 11/01/17 | 10,050 | 8,266,125 | |||||||||||||||
| Accellent, Inc., Sr. Sec’d. Notes |
B1 | 8.375% | 02/01/17 | 7,405 | 7,775,250 | |||||||||||||||
| Alliance Healthcare Services, Inc., Sr. Unsec’d. Notes |
B3 | 8.000% | 12/01/16 | 6,190 | 5,632,900 | |||||||||||||||
| Apria Healthcare Group, Inc., Sec’d. Notes(e) |
Caa1 | 12.375% | 11/01/14 | 3,100 | 3,069,000 | |||||||||||||||
| Apria Healthcare Group, Inc., Sr. Sec’d. Notes |
B1 | 11.250% | 11/01/14 | 275 | 284,281 | |||||||||||||||
| Biomet, Inc., Gtd. Notes, 144A(e) |
B3 | 6.500% | 08/01/20 | 8,925 | 9,482,812 | |||||||||||||||
| Capella Healthcare, Inc., Gtd. Notes |
B3 | 9.250% | 07/01/17 | 14,930 | 16,012,425 | |||||||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes(e) |
B3 | 7.125% | 07/15/20 | 8,275 | 8,833,562 | |||||||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes |
B3 | 8.000% | 11/15/19 | 19,005 | 20,572,912 | |||||||||||||||
| ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A |
Caa1 | 10.500% | 12/15/18 | 14,483 | 15,967,507 | |||||||||||||||
| DaVita, Inc., Gtd. Notes |
B2 | 5.750% | 08/15/22 | 3,150 | 3,319,312 | |||||||||||||||
| Fresenius Medical Care US Finance II, Inc., Gtd. Notes, 144A |
Ba2 | 5.625% | 07/31/19 | 1,450 | 1,556,938 | |||||||||||||||
| HCA Holdings, Inc., Sr. Unsec’d. Notes |
B3 | 6.250% | 02/15/21 | 2,450 | 2,511,250 | |||||||||||||||
| HCA, Inc., Gtd. Notes(e) |
B3 | 5.875% | 05/01/23 | 5,250 | 5,433,750 | |||||||||||||||
| HCA, Inc., Gtd. Notes(e) |
B3 | 7.500% | 02/15/22 | 3,850 | 4,408,250 | |||||||||||||||
| HCA, Inc., Gtd. Notes |
B3 | 8.000% | 10/01/18 | 15,550 | 17,999,125 | |||||||||||||||
| HCA, Inc., Sr. Sec’d. Notes |
Ba3 | 5.875% | 03/15/22 | 2,150 | 2,338,125 | |||||||||||||||
| HCA, Inc., Sr. Sec’d. Notes |
Ba3 | 7.875% | 02/15/20 | 2,050 | 2,280,625 | |||||||||||||||
| HCA, Inc., Sr. Unsec’d. Notes |
B3 | 5.750% | 03/15/14 | 3,155 | 3,296,975 | |||||||||||||||
| HCA, Inc., Sr. Unsec’d. Notes |
B3 | 6.375% | 01/15/15 | 13,725 | 14,840,156 | |||||||||||||||
| HCA, Inc., Sr. Unsec’d. Notes |
B3 | 6.500% | 02/15/16 | 3,310 | 3,599,625 | |||||||||||||||
| HCA, Inc., Sr. Unsec’d. Notes |
B3 | 7.190% | 11/15/15 | 2,116 | 2,327,600 | |||||||||||||||
| HCA, Inc., Sr. Unsec’d. Notes, MTN |
B3 | 9.000% | 12/15/14 | 10,765 | 12,002,975 | |||||||||||||||
| Healthsouth Corp., Gtd. Notes |
B1 | 7.250% | 10/01/18 | 6,508 | 7,061,180 | |||||||||||||||
| Healthsouth Corp., Gtd. Notes(e) |
B1 | 7.750% | 09/15/22 | 1,974 | 2,163,998 | |||||||||||||||
| Kindred Healthcare, Inc., Gtd. Notes(e) |
B3 | 8.250% | 06/01/19 | 4,455 | 4,332,488 | |||||||||||||||
| MedAssets, Inc., Gtd. Notes |
B3 | 8.000% | 11/15/18 | 5,800 | 6,293,000 | |||||||||||||||
| Mylan, Inc., Gtd. Notes, 144A(e) |
Baa3 | 7.625% | 07/15/17 | 530 | 595,651 | |||||||||||||||
| Mylan, Inc., Gtd. Notes, 144A |
Baa3 | 7.875% | 07/15/20 | 1,600 | 1,890,818 | |||||||||||||||
| PSS World Medical, Inc., Gtd. Notes(e) |
Ba3 | 6.375% | 03/01/22 | 1,400 | 1,652,000 | |||||||||||||||
| Res-Care, Inc., Gtd. Notes |
B-(b) | 10.750% | 01/15/19 | 4,950 | 5,494,500 | |||||||||||||||
| Sky Growth Acquisition Corp., Gtd. Notes, 144A |
Caa1 | 7.375% | 10/15/20 | 6,650 | 6,616,750 | |||||||||||||||
| STHI Holding Corp., Sec’d. Notes, 144A(e) |
B2 | 8.000% | 03/15/18 | 1,225 | 1,326,063 | |||||||||||||||
| Surgical Care Affiliates, Inc., Sr. Sub. Notes, 144A |
Caa1 | 10.000% | 07/15/17 | 8,200 | 8,589,500 | |||||||||||||||
| Tenet Healthcare Corp., Sr. Sec’d. Notes, 144A |
B1 | 4.750% | 06/01/20 | 6,175 | 6,267,625 | |||||||||||||||
| Tenet Healthcare Corp., Sr. Sec’d. Notes(e) |
B1 | 6.250% | 11/01/18 | 6,850 | 7,517,875 | |||||||||||||||
| Valeant Pharmaceuticals International, Gtd. Notes, 144A |
B1 | 6.750% | 10/01/17 | 1,900 | 2,052,000 | |||||||||||||||
| Valeant Pharmaceuticals International, Gtd. Notes, 144A(e) |
B1 | 6.875% | 12/01/18 | 12,950 | 13,953,625 | |||||||||||||||
| Valeant Pharmaceuticals International, Gtd. Notes, 144A(e) |
B1 | 7.000% | 10/01/20 | 3,250 | 3,534,375 | |||||||||||||||
| VPI Escrow Corp., Gtd. Notes, 144A(e) |
B1 | 6.375% | 10/15/20 | 4,825 | 5,174,813 | |||||||||||||||
| Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, Gtd. Notes(e) |
B3 | 7.750% | 09/15/18 | 6,025 | 6,416,625 | |||||||||||||||
| 270,669,866 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A110
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Lodging — 1.0% |
||||||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes, 144A |
B2 | 5.625% | 03/01/23 | $ | 7,525 | $ | 7,487,375 | |||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
B2 | 10.000% | 10/01/14 | 3,664 | 4,231,920 | |||||||||||||||
| Host Hotels & Resorts LP, Gtd. Notes(e) |
Baa3 | 4.750% | 03/01/23 | 2,600 | 2,756,000 | |||||||||||||||
| Host Hotels & Resorts LP, Gtd. Notes |
Baa3 | 6.000% | 11/01/20 | 850 | 935,000 | |||||||||||||||
| Host Hotels & Resorts LP, Sr. Unsec’d. Notes(e) |
Baa3 | 5.250% | 03/15/22 | 5,025 | 5,502,375 | |||||||||||||||
| Royal Caribbean Cruises Ltd. (Liberia), Sr. Unsec’d. Notes |
Ba1 | 6.875% | 12/01/13 | 950 | 991,563 | |||||||||||||||
| Royal Caribbean Cruises Ltd. (Liberia), Sr. Unsec’d. Notes |
Ba1 | 7.250% | 03/15/18 | 3,700 | 4,181,000 | |||||||||||||||
| Royal Caribbean Cruises Ltd. (Liberia), Sr. Unsec’d. Notes |
Ba1 | 11.875% | 07/15/15 | 1,350 | 1,633,500 | |||||||||||||||
| 27,718,733 | ||||||||||||||||||||
| Media & Entertainment — 5.8% |
||||||||||||||||||||
| AMC Entertainment, Inc., Gtd. Notes |
Caa1 | 9.750% | 12/01/20 | 15,150 | 17,498,250 | |||||||||||||||
| AMC Networks, Inc., Gtd. Notes |
B1 | 4.750% | 12/15/22 | 1,425 | 1,432,125 | |||||||||||||||
| AMC Networks, Inc., Gtd. Notes(e) |
B1 | 7.750% | 07/15/21 | 1,775 | 2,032,375 | |||||||||||||||
| Belo Corp., Sr. Unsec’d. Notes |
Ba3 | 7.750% | 06/01/27 | 4,000 | 4,125,000 | |||||||||||||||
| Carmike Cinemas, Inc., Sec’d. Notes |
B2 | 7.375% | 05/15/19 | 4,000 | 4,320,000 | |||||||||||||||
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes |
B2 | 9.125% | 08/01/18 | 4,125 | 4,640,625 | |||||||||||||||
| Cengage Learning Acquisitions, Inc., Gtd. Notes, 144A |
Ca | 10.500% | 01/15/15 | 1,445 | 491,300 | |||||||||||||||
| Cinemark USA, Inc., Gtd. Notes, 144A |
B2 | 5.125% | 12/15/22 | 2,550 | 2,581,875 | |||||||||||||||
| Clear Channel Communications, Inc., Gtd. Notes(e) |
Ca | 10.750% | 08/01/16 | 3,575 | 2,699,125 | |||||||||||||||
| Clear Channel Communications, Inc., Sr. Unsec’d. Notes(e) |
Ca | 5.500% | 12/15/16 | 1,050 | 624,750 | |||||||||||||||
| Clear Channel Communications, Inc., Sr. Unsec’d. Notes |
Ca | 6.875% | 06/15/18 | 625 | 368,750 | |||||||||||||||
| Clear Channel Worldwide Holdings, Inc., Gtd. Notes, 144A(e) |
B1 | 6.500% | 11/15/22 | 4,430 | 4,596,125 | |||||||||||||||
| Clear Channel Worldwide Holdings, Inc., Gtd. Notes, 144A(e) |
B1 | 6.500% | 11/15/22 | 2,970 | 3,051,675 | |||||||||||||||
| Clear Channel Worldwide Holdings, Inc., Gtd. Notes, Ser. A(e) |
B3 | 7.625% | 03/15/20 | 4,000 | 3,990,000 | |||||||||||||||
| Entercom Radio LLC, Gtd. Notes |
Caa1 | 10.500% | 12/01/19 | 4,075 | 4,482,500 | |||||||||||||||
| Griffey Intermediate, Inc./Griffey Finance Sub LLC, Sr. Notes, 144A(e) |
Caa1 | 7.000% | 10/15/20 | 6,475 | 6,620,687 | |||||||||||||||
| Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes, 144A |
B3 | 7.250% | 10/15/20 | 5,700 | 6,184,500 | |||||||||||||||
| Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes(e) |
B3 | 7.500% | 04/01/21 | 1,875 | 2,067,187 | |||||||||||||||
| Intelsat Luxembourg SA (Luxembourg), Gtd. Notes |
Caa3 | 11.250% | 02/04/17 | 2,550 | 2,696,625 | |||||||||||||||
| Intelsat Luxembourg SA (Luxembourg), Gtd. Notes(e) |
Caa3 | 11.500% | 02/04/17 | 9,575 | 10,173,437 | |||||||||||||||
| Lamar Media Corp., Gtd. Notes |
Ba2 | 9.750% | 04/01/14 | 9,075 | 9,937,125 | |||||||||||||||
| LIN Television Corp., Gtd. Notes, 144A |
B3 | 6.375% | 01/15/21 | 2,375 | 2,493,750 | |||||||||||||||
| LIN Television Corp., Gtd. Notes |
B3 | 8.375% | 04/15/18 | 2,875 | 3,148,125 | |||||||||||||||
| Mood Media Corp. (Canada), Sr. Unsec’d. Notes, 144A(e) |
B3 | 9.250% | 10/15/20 | 4,475 | 4,715,531 | |||||||||||||||
| NAI Entertainment Holdings LLC, Sr. Sec’d. Notes, 144A |
B1 | 8.250% | 12/15/17 | 2,000 | 2,202,500 | |||||||||||||||
| National CineMedia LLC, Sr. Sec’d. Notes |
Ba2 | 6.000% | 04/15/22 | 4,350 | 4,611,000 | |||||||||||||||
| Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes(e) |
B2 | 7.750% | 10/15/18 | 3,425 | 3,827,438 | |||||||||||||||
| Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes |
B2 | 11.625% | 02/01/14 | 6,553 | 7,273,830 | |||||||||||||||
| Regal Cinemas Corp., Gtd. Notes |
B2 | 8.625% | 07/15/19 | 2,000 | 2,210,000 | |||||||||||||||
| Salem Communications Corp., Sec’d. Notes |
B2 | 9.625% | 12/15/16 | 3,209 | 3,553,968 | |||||||||||||||
| Sinclair Television Group, Inc., Sec’d. Notes, 144A |
Ba3 | 9.250% | 11/01/17 | 5,200 | 5,720,000 | |||||||||||||||
| Sinclair Television Group, Inc., Sr. Unsec’d. Notes, 144A(e) |
B2 | 6.125% | 10/01/22 | 3,900 | 4,138,875 | |||||||||||||||
| SSI Investments II/SSI Co.-Issuer LLC, Gtd. Notes |
Caa1 | 11.125% | 06/01/18 | 11,375 | 12,583,594 | |||||||||||||||
| Telesat Canada/Telesat LLC (Canada), Sr. Unsec’d. Notes, 144A(e) |
B3 | 6.000% | 05/15/17 | 6,225 | 6,536,250 | |||||||||||||||
| Vail Resorts, Inc., Gtd. Notes |
Ba3 | 6.500% | 05/01/19 | 2,000 | 2,152,500 | |||||||||||||||
| WMG Acquisition Corp., Gtd. Notes(e) |
B3 | 11.500% | 10/01/18 | 4,450 | 5,139,750 | |||||||||||||||
| 164,921,147 | ||||||||||||||||||||
| Metals — 3.6% |
||||||||||||||||||||
| ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(e) |
Ba1 | 6.000% | 03/01/21 | 2,000 | 1,994,266 | |||||||||||||||
| ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(e) |
Ba1 | 6.125% | 06/01/18 | 11,800 | 11,959,300 | |||||||||||||||
| ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(e) |
Ba1 | 9.500% | 02/15/15 | 4,350 | 4,840,828 | |||||||||||||||
| Arch Coal, Inc., Gtd. Notes, 144A |
B3 | 9.875% | 06/15/19 | 2,525 | 2,626,000 | |||||||||||||||
| CONSOL Energy, Inc., Gtd. Notes(e) |
B1 | 8.000% | 04/01/17 | 6,875 | 7,442,187 | |||||||||||||||
| Eldorado Gold Corp. (Canada), Sr. Unsec’d. Notes, 144A |
Ba3 | 6.125% | 12/15/20 | 1,850 | 1,882,375 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A111
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Metals (continued) |
||||||||||||||||||||
| FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e) |
B1 | 6.375% | 02/01/16 | $ | 2,200 | $ | 2,277,000 | |||||||||||||
| FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e) |
B1 | 6.875% | 02/01/18 | 2,275 | 2,348,937 | |||||||||||||||
| FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e) |
B1 | 7.000% | 11/01/15 | 1,075 | 1,128,750 | |||||||||||||||
| FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(e) |
B1 | 8.250% | 11/01/19 | 6,375 | 6,789,375 | |||||||||||||||
| GrafTech International Ltd., Gtd. Notes, 144A |
Ba2 | 6.375% | 11/15/20 | 2,650 | 2,746,062 | |||||||||||||||
| Iamgold Corp. (Canada), Gtd. Notes, 144A |
B1 | 6.750% | 10/01/20 | 2,750 | 2,681,250 | |||||||||||||||
| Inmet Mining Corp. (Canada), Gtd. Notes, 144A |
B1 | 8.750% | 06/01/20 | 9,775 | 10,679,187 | |||||||||||||||
| JMC Steel Group, Sr. Notes, 144A |
B3 | 8.250% | 03/15/18 | 6,300 | 6,583,500 | |||||||||||||||
| Kaiser Aluminum Corp., Gtd. Notes |
Ba3 | 8.250% | 06/01/20 | 3,600 | 3,924,000 | |||||||||||||||
| New Gold, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
B2 | 6.250% | 11/15/22 | 2,675 | 2,768,625 | |||||||||||||||
| Novelis, Inc. (Canada), Gtd. Notes(e) |
B2 | 8.750% | 12/15/20 | 7,487 | 8,348,005 | |||||||||||||||
| Optima Specialty Steel, Inc., Sr. Sec’d. Notes, 144A |
B2 | 12.500% | 12/15/16 | 4,885 | 5,092,613 | |||||||||||||||
| Peabody Energy Corp., Gtd. Notes |
Ba1 | 6.000% | 11/15/18 | 6,500 | 6,906,250 | |||||||||||||||
| Peabody Energy Corp., Gtd. Notes(e) |
Ba1 | 6.250% | 11/15/21 | 2,000 | 2,125,000 | |||||||||||||||
| Rain CII Carbon LLC and CII Carbon Corp., Sec’d. Notes, 144A |
B1 | 8.000% | 12/01/18 | 2,350 | 2,391,125 | |||||||||||||||
| Westmoreland Coal Co./Westmoreland Partners, Sr. Sec’d. Notes |
Caa2 | 10.750% | 02/01/18 | 4,350 | 4,371,750 | |||||||||||||||
| 101,906,385 | ||||||||||||||||||||
| Non-Captive Finance — 4.5% |
||||||||||||||||||||
| ACE Cash Express, Inc., Sr. Sec’d. Notes, 144A |
B3 | 11.000% | 02/01/19 | 3,325 | 3,133,812 | |||||||||||||||
| Ally Financial, Inc., Gtd. Notes(e) |
B1 | 4.625% | 06/26/15 | 6,725 | 7,010,651 | |||||||||||||||
| Ally Financial, Inc., Gtd. Notes(e) |
B1 | 5.500% | 02/15/17 | 3,150 | 3,369,753 | |||||||||||||||
| Ally Financial, Inc., Gtd. Notes |
B1 | 7.500% | 12/31/13 | 2,100 | 2,218,125 | |||||||||||||||
| Ally Financial, Inc., Gtd. Notes(e) |
B1 | 8.000% | 03/15/20 | 3,200 | 3,920,000 | |||||||||||||||
| Ally Financial, Inc., Gtd. Notes |
B1 | 8.300% | 02/12/15 | 450 | 501,187 | |||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes |
B1 | 4.250% | 08/15/17 | 6,650 | 6,847,784 | |||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes(e) |
B1 | 5.000% | 05/15/17 | 3,300 | 3,498,000 | |||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes(e) |
Ba3 | 5.000% | 08/15/22 | 12,275 | 13,089,029 | |||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes(e) |
B1 | 5.250% | 03/15/18 | 11,925 | 12,759,750 | |||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes(e) |
B1 | 5.375% | 05/15/20 | 750 | 819,375 | |||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes, 144A |
B1 | 5.500% | 02/15/19 | 2,600 | 2,834,000 | |||||||||||||||
| CNG Holdings, Inc., Sr. Sec’d. Notes, 144A |
B3 | 9.375% | 05/15/20 | 3,225 | 3,273,375 | |||||||||||||||
| Community Choice Financial, Inc., Sr. Sec’d. Notes |
B3 | 10.750% | 05/01/19 | 2,890 | 2,781,625 | |||||||||||||||
| GMAC, Inc., Gtd. Notes, Ser. 8(e) |
B1 | 6.750% | 12/01/14 | 5,100 | 5,508,000 | |||||||||||||||
| HSBC Finance Capital Trust IX, Gtd. Notes(a) |
Baa2 | 5.911% | 11/30/35 | 100 | 99,750 | |||||||||||||||
| International Lease Finance Corp., Sr. Sec’d. Notes, 144A |
Ba2 | 6.500% | 09/01/14 | 3,125 | 3,335,938 | |||||||||||||||
| International Lease Finance Corp., Sr. Sec’d. Notes, 144A |
Ba2 | 6.750% | 09/01/16 | 175 | 196,438 | |||||||||||||||
| International Lease Finance Corp., Sr. Sec’d. Notes, 144A |
Ba2 | 7.125% | 09/01/18 | 525 | 609,000 | |||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes, MTN |
Ba3 | 5.650% | 06/01/14 | 5,000 | 5,203,100 | |||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes(e) |
Ba3 | 5.875% | 08/15/22 | 2,500 | 2,648,030 | |||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes(e) |
Ba3 | 6.250% | 05/15/19 | 2,120 | 2,257,800 | |||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes, MTN |
Ba3 | 6.375% | 03/25/13 | 4,125 | 4,168,313 | |||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
Ba3 | 8.625% | 09/15/15 | 810 | 910,237 | |||||||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes(e) |
Ba3 | 8.750% | 03/15/17 | 2,000 | 2,310,000 | |||||||||||||||
| Jet Equipment Trust, Ser. 94-A, 144A(c)(g) |
NR | 10.000% | 06/15/12 | 81 | 64,624 | |||||||||||||||
| Jet Equipment Trust, Sr. Unsec’d. Notes, Ser. 95-B, 144A(c)(g) |
NR | 7.630% | 08/15/12 | 11 | 8 | |||||||||||||||
| KKR Group Finance Co., Gtd. Notes, 144A(e) |
A-(b) | 6.375% | 09/29/20 | 1,000 | 1,160,559 | |||||||||||||||
| Springleaf Finance Corp., Sr. Unsec’d. Notes, Ser. I, MTN |
Caa1 | 5.400% | 12/01/15 | 14,665 | 13,858,425 | |||||||||||||||
| Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN(e) |
Caa1 | 5.850% | 06/01/13 | 1,287 | 1,307,914 | |||||||||||||||
| Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN |
Caa1 | 6.900% | 12/15/17 | 19,725 | 17,653,875 | |||||||||||||||
| 127,348,477 | ||||||||||||||||||||
| Packaging — 2.4% |
||||||||||||||||||||
| Ardagh Packaging Finance PLC (Ireland), Gtd. Notes, 144A |
B3 | 9.125% | 10/15/20 | 5,450 | 5,940,500 | |||||||||||||||
| Ardagh Packaging Finance PLC (Ireland), Sr. Sec’d. Notes, 144A |
Ba3 | 7.375% | 10/15/17 | 3,620 | 3,936,750 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A112
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Packaging (continued) |
||||||||||||||||||||
| Berry Plastics Corp., Sec’d. Notes(a) |
Caa1 | 4.183% | 09/15/14 | $ | 2,025 | $ | 2,025,000 | |||||||||||||
| Berry Plastics Corp., Sec’d. Notes(e) |
Caa1 | 9.750% | 01/15/21 | 4,875 | 5,618,437 | |||||||||||||||
| BOE Merger Corp., Sr. Unsec’d. Notes, PIK, 144A |
Caa1 | 9.500% | 11/01/17 | 3,625 | 3,625,000 | |||||||||||||||
| BWAY Holding Co., Gtd. Notes |
B3 | 10.000% | 06/15/18 | 1,000 | 1,110,000 | |||||||||||||||
| Greif, Inc., Sr. Unsec’d. Notes |
Ba2 | 6.750% | 02/01/17 | 4,970 | 5,541,550 | |||||||||||||||
| Plastipak Holdings, Inc., Gtd. Notes, 144A |
B3 | 8.500% | 12/15/15 | 3,175 | 3,230,562 | |||||||||||||||
| Plastipak Holdings, Inc., Sr. Notes, 144A |
B3 | 10.625% | 08/15/19 | 4,875 | 5,569,688 | |||||||||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Gtd. Notes(e) |
Caa1 | 8.250% | 02/15/21 | 4,450 | 4,516,750 | |||||||||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Gtd. Notes(e) |
Caa2 | 9.875% | 08/15/19 | 9,675 | 10,352,250 | |||||||||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes, 144A |
B1 | 5.750% | 10/15/20 | 10,450 | 10,789,625 | |||||||||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes(e) |
B1 | 6.875% | 02/15/21 | 1,575 | 1,697,063 | |||||||||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Sr. Sec’d. Notes(e) |
B1 | 7.875% | 08/15/19 | 1,500 | 1,668,750 | |||||||||||||||
| Sealed Air Corp., Gtd. Notes, 144A(e) |
B1 | 8.375% | 09/15/21 | 2,300 | 2,627,750 | |||||||||||||||
| Sealed Air Corp., Sr. Unsec’d. Notes, 144A(e) |
B1 | 6.500% | 12/01/20 | 1,575 | 1,701,000 | |||||||||||||||
| 69,950,675 | ||||||||||||||||||||
| Paper — 0.6% |
||||||||||||||||||||
| Domtar Corp., Gtd. Notes |
Baa3 | 10.750% | 06/01/17 | 1,125 | 1,457,458 | |||||||||||||||
| Graphic Packaging International, Inc., Gtd. Notes |
B2 | 7.875% | 10/01/18 | 1,375 | 1,519,375 | |||||||||||||||
| Graphic Packaging International, Inc., Gtd. Notes |
B2 | 9.500% | 06/15/17 | 6,201 | 6,697,080 | |||||||||||||||
| Longview Fibre Paper & Packaging, Inc., Sr. Sec’d. Notes, 144A |
B2 | 8.000% | 06/01/16 | 2,760 | 2,898,000 | |||||||||||||||
| Smurfit Kappa Acquisitions (Ireland), Sr. Sec’d. Notes, 144A |
Ba2 | 4.875% | 09/15/18 | 3,000 | 3,060,000 | |||||||||||||||
| Verso Paper Holdings LLC/Verso Paper, Inc., Sec’d. Notes(e) |
Caa1 | 8.750% | 02/01/19 | 1,850 | 703,000 | |||||||||||||||
| 16,334,913 | ||||||||||||||||||||
| Pipelines & Other — 1.1% |
||||||||||||||||||||
| AmeriGas Finance LLC/AmeriGas Finance Corp., Gtd. Notes(e) |
Ba2 | 7.000% | 05/20/22 | 1,900 | 2,113,750 | |||||||||||||||
| AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes(e) |
Ba3 | 6.500% | 05/20/21 | 1,240 | 1,345,400 | |||||||||||||||
| Energy Transfer Equity LP, Sr. Sec’d. Notes(e) |
Ba2 | 7.500% | 10/15/20 | 4,300 | 4,966,500 | |||||||||||||||
| Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., |
B3 | 8.625% | 06/15/20 | 3,659 | 3,659,000 | |||||||||||||||
| Inergy Midstream LP/NRGM Finance Corp., Gtd. Notes, 144A |
B1 | 6.000% | 12/15/20 | 2,900 | 2,994,250 | |||||||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., |
Ba3 | 6.375% | 08/01/22 | 2,025 | 2,207,250 | |||||||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., |
Ba3 | 6.875% | 02/01/21 | 6,250 | 6,843,750 | |||||||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., |
Ba3 | 7.875% | 10/15/18 | 4,350 | 4,763,250 | |||||||||||||||
| Tesoro Logistics LP/Tesoro Logistics Finance Corp., |
B1 | 5.875% | 10/01/20 | 1,575 | 1,634,062 | |||||||||||||||
| 30,527,212 | ||||||||||||||||||||
| Real Estate Investment Trusts — 1.1% |
||||||||||||||||||||
| Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., Gtd. Notes |
B1 | 7.750% | 02/15/19 | 16,150 | 17,119,000 | |||||||||||||||
| CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes, 144A |
B2 | 6.375% | 11/15/22 | 1,850 | 1,928,625 | |||||||||||||||
| Omega Healthcare Investors, Inc., Gtd. Notes(e) |
Ba2 | 6.750% | 10/15/22 | 475 | 516,563 | |||||||||||||||
| Omega Healthcare Investors, Inc., Gtd. Notes |
Ba2 | 7.500% | 02/15/20 | 825 | 905,437 | |||||||||||||||
| Senior Housing Properties Trust, Sr. Unsec’d. Notes |
Baa3 | 6.750% | 04/15/20 | 1,875 | 2,133,414 | |||||||||||||||
| Senior Housing Properties Trust, Sr. Unsec’d. Notes |
Baa3 | 6.750% | 12/15/21 | 7,250 | 8,360,577 | |||||||||||||||
| 30,963,616 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A113
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Retailers — 2.5% |
||||||||||||||||||||
| Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A(e) |
Caa1 | 9.250% | 08/01/19 | $ | 4,000 | $ | 4,440,000 | |||||||||||||
| Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A |
B2 | 9.000% | 03/15/19 | 2,900 | 3,110,250 | |||||||||||||||
| Dufry Finance SCA (Luxembourg), Gtd. Notes, 144A |
Ba3 | 5.500% | 10/15/20 | 9,550 | 9,884,250 | |||||||||||||||
| Limited Brands, Inc., Gtd. Notes(e) |
Ba1 | 5.625% | 02/15/22 | 3,885 | 4,224,937 | |||||||||||||||
| New Academy Finance Co. LLC/New Academy Finance Corp., |
Caa1 | 8.000% | 06/15/18 | 3,550 | 3,594,375 | |||||||||||||||
| Pantry, Inc. (The), Gtd. Notes, 144A |
Caa1 | 8.375% | 08/01/20 | 12,000 | 12,540,000 | |||||||||||||||
| Penske Automotive Group, Inc., Gtd. Notes, 144A |
B2 | 5.750% | 10/01/22 | 5,375 | 5,536,250 | |||||||||||||||
| Petco Holdings, Inc., Sr. Notes, PIK, 144A(e) |
Caa1 | 8.500% | 10/15/17 | 4,925 | 5,060,437 | |||||||||||||||
| QVC, Inc., Sr. Sec’d. Notes, 144A |
Ba2 | 7.125% | 04/15/17 | 3,510 | 3,680,881 | |||||||||||||||
| QVC, Inc., Sr. Sec’d. Notes, 144A |
Ba2 | 7.375% | 10/15/20 | 1,525 | 1,696,771 | |||||||||||||||
| Rite Aid Corp., Sec’d. Notes |
Caa1 | 7.500% | 03/01/17 | 1,465 | 1,505,288 | |||||||||||||||
| Rite Aid Corp., Sec’d. Notes |
Caa1 | 10.375% | 07/15/16 | 355 | 375,413 | |||||||||||||||
| Rite Aid Corp., Sr. Sec’d. Notes |
B2 | 9.750% | 06/12/16 | 2,000 | 2,165,000 | |||||||||||||||
| Susser Holdings LLC/Susser Finance Corp., Gtd. Notes |
B2 | 8.500% | 05/15/16 | 5,496 | 5,839,500 | |||||||||||||||
| Toys “R” Us, Inc., Sr. Unsec’d. Notes(e) |
B3 | 10.375% | 08/15/17 | 4,800 | 5,004,000 | |||||||||||||||
| Toys “R” Us Property Co. II LLC, Sr. Sec’d. Notes |
Ba1 | 8.500% | 12/01/17 | 3,381 | 3,583,860 | |||||||||||||||
| 72,241,212 | ||||||||||||||||||||
| Technology — 9.1% |
||||||||||||||||||||
| Anixter, Inc., Gtd. Notes |
Ba3 | 5.950% | 03/01/15 | 2,500 | 2,659,375 | |||||||||||||||
| Avaya, Inc., Gtd. Notes |
Caa2 | 9.750% | 11/01/15 | 8,175 | 7,275,750 | |||||||||||||||
| Avaya, Inc., Gtd. Notes, PIK |
Caa2 | 10.125% | 11/01/15 | 13,095 | 11,720,025 | |||||||||||||||
| CDW LLC/CDW Finance Corp., Gtd. Notes |
B3 | 8.500% | 04/01/19 | 16,400 | 17,753,000 | |||||||||||||||
| CDW LLC/CDW Finance Corp., Gtd. Notes(e) |
Caa1 | 12.535% | 10/12/17 | 14,302 | 15,285,262 | |||||||||||||||
| Ceridian Corp., Gtd. Notes |
Caa2 | 11.250% | 11/15/15 | 20,050 | 20,050,000 | |||||||||||||||
| Ceridian Corp., Gtd. Notes, PIK(e) |
Caa2 | 12.250% | 11/15/15 | 3,000 | 3,007,500 | |||||||||||||||
| CommScope, Inc., Gtd. Notes, 144A |
B3 | 8.250% | 01/15/19 | 16,985 | 18,598,575 | |||||||||||||||
| CoreLogic, Inc., Gtd. Notes |
Ba3 | 7.250% | 06/01/21 | 2,825 | 3,072,187 | |||||||||||||||
| DuPont Fabros Technology LP, Gtd. Notes |
Ba1 | 8.500% | 12/15/17 | 1,725 | 1,884,562 | |||||||||||||||
| First Data Corp., Gtd. Notes, PIK(e) |
Caa1 | 10.550% | 09/24/15 | 4,000 | 4,095,000 | |||||||||||||||
| First Data Corp., Gtd. Notes |
Caa1 | 12.625% | 01/15/21 | 14,007 | 14,742,368 | |||||||||||||||
| First Data Corp., Sr. Sec’d. Notes, 144A |
B1 | 6.750% | 11/01/20 | 6,975 | 7,044,750 | |||||||||||||||
| Freescale Semiconductor, Inc., Gtd. Notes(e) |
Caa1 | 8.050% | 02/01/20 | 11,710 | 11,651,450 | |||||||||||||||
| Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A(e) |
B1 | 9.250% | 04/15/18 | 5,875 | 6,418,438 | |||||||||||||||
| Global Generations Merger Sub, Inc., Sr. Unsec’d. Notes, 144A(e) |
Caa1 | 11.000% | 12/15/20 | 7,150 | 7,275,125 | |||||||||||||||
| Igloo Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A |
Caa1 | 8.250% | 12/15/17 | 6,100 | 6,023,750 | |||||||||||||||
| Interactive Data Corp., Gtd. Notes |
B3 | 10.250% | 08/01/18 | 8,725 | 9,826,531 | |||||||||||||||
| Iron Mountain, Inc., Gtd. Notes(e) |
B1 | 5.750% | 08/15/24 | 1,025 | 1,037,813 | |||||||||||||||
| Legend Acquisition Sub, Inc., Sr. Notes, 144A |
Caa1 | 10.750% | 08/15/20 | 7,100 | 6,425,500 | |||||||||||||||
| Lender Processing Services, Inc., Gtd. Notes |
Ba2 | 5.750% | 04/15/23 | 6,200 | 6,432,500 | |||||||||||||||
| Nortel Networks Ltd. (Canada), Gtd. Notes(c)(g) |
NR | 10.125% | 07/15/13 | 3,050 | 3,492,250 | |||||||||||||||
| Nuance Communications, Inc., Gtd. Notes, 144A |
Ba3 | 5.375% | 08/15/20 | 2,275 | 2,377,375 | |||||||||||||||
| NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A |
B2 | 9.750% | 08/01/18 | 2,494 | 2,889,923 | |||||||||||||||
| Seagate HDD Cayman (Cayman Islands), Gtd. Notes(e) |
Ba1 | 7.000% | 11/01/21 | 4,002 | 4,292,145 | |||||||||||||||
| Seagate HDD Cayman (Cayman Islands), Gtd. Notes |
Ba1 | 7.750% | 12/15/18 | 3,500 | 3,845,625 | |||||||||||||||
| Seagate Technology HDD Holdings (Cayman Islands), Gtd. Notes |
Ba1 | 6.800% | 10/01/16 | 2,000 | 2,240,000 | |||||||||||||||
| Seagate Technology International (Cayman Islands), Sec’d. Notes, 144A |
Baa3 | 10.000% | 05/01/14 | 2,505 | 2,696,006 | |||||||||||||||
| Sensata Technologies BV (Netherlands), Gtd. Notes, 144A(e) |
B2 | 6.500% | 05/15/19 | 8,131 | 8,659,515 | |||||||||||||||
| Sophia LP/Sophia Finance, Inc., Gtd. Notes, 144A(e) |
Caa1 | 9.750% | 01/15/19 | 11,540 | 12,434,350 | |||||||||||||||
| STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A |
Ba1 | 7.500% | 08/12/15 | 1,400 | 1,491,000 | |||||||||||||||
| SunGard Data Systems, Inc., Gtd. Notes, 144A(e) |
Caa1 | 6.625% | 11/01/19 | 2,675 | 2,735,188 | |||||||||||||||
| Syniverse Holdings, Inc., Gtd. Notes |
Caa1 | 9.125% | 01/15/19 | 4,830 | 5,156,025 | |||||||||||||||
| TransUnion Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A |
Caa1 | 8.125% | 06/15/18 | 3,450 | 3,562,125 | |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A114
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† (Unaudited) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||||
| Technology (continued) |
||||||||||||||||||||
| TransUnion Holding Co., Inc., Sr. Unsec’d. Notes, PIK |
Caa1 | 9.625% | 06/15/18 | $ | 11,050 | $ | 11,685,375 | |||||||||||||
| TransUnion LLC/TransUnion Financing Corp., Gtd. Notes(e) |
B2 | 11.375% | 06/15/18 | 6,946 | 8,092,090 | |||||||||||||||
| 257,928,453 | ||||||||||||||||||||
| Telecommunications — 5.1% |
||||||||||||||||||||
| Brightstar Corp., Gtd. Notes, 144A |
B1 | 9.500% | 12/01/16 | 6,845 | 7,289,925 | |||||||||||||||
| Clearwire Communications LLC/Clearwire Finance, Inc., |
B3 | 12.000% | 12/01/15 | 5,475 | 5,858,250 | |||||||||||||||
| Clearwire Communications LLC/Clearwire Finance, Inc., |
B3 | 12.000% | 12/01/15 | 8,670 | 9,320,250 | |||||||||||||||
| Cricket Communications, Inc., Sr. Sec’d. Notes(e) |
Ba2 | 7.750% | 05/15/16 | 2,500 | 2,646,875 | |||||||||||||||
| Crown Castle International Corp., Sr. Unsec’d. Notes, 144A(e) |
B1 | 5.250% | 01/15/23 | 3,350 | 3,584,500 | |||||||||||||||
| Digicel Group Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A(e) |
Caa1 | 8.250% | 09/30/20 | 6,400 | 7,040,000 | |||||||||||||||
| Digicel Group Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A |
Caa1 | 10.500% | 04/15/18 | 2,500 | 2,750,000 | |||||||||||||||
| Eileme 2 AB (Sweden), Sr. Sec’d. Notes, 144A(e) |
B3 | 11.625% | 01/31/20 | 6,315 | 7,356,975 | |||||||||||||||
| Frontier Communications Corp., Sr. Unsec’d. Notes(e) |
Ba2 | 7.125% | 01/15/23 | 2,425 | 2,570,500 | |||||||||||||||
| Frontier Communications Corp., Sr. Unsec’d. Notes |
Ba2 | 8.250% | 05/01/14 | 8 | 8,620 | |||||||||||||||
| Frontier Communications Corp., Sr. Unsec’d. Notes(e) |
Ba2 | 8.750% | 04/15/22 | 4,400 | 5,104,000 | |||||||||||||||
| Frontier Communications Corp., Sr. Unsec’d. Notes(e) |
Ba2 | 9.250% | 07/01/21 | 1,850 | 2,169,125 | |||||||||||||||
| Level 3 Financing, Inc., Gtd. Notes, 144A |
B3 | 7.000% | 06/01/20 | 3,625 | 3,788,125 | |||||||||||||||
| Level 3 Financing, Inc., Gtd. Notes(e) |
B3 | 8.125% | 07/01/19 | 1,275 | 1,389,750 | |||||||||||||||
| Level 3 Financing, Inc., Gtd. Notes(e) |
B3 | 8.625% | 07/15/20 | 2,250 | 2,497,500 | |||||||||||||||
| Level 3 Financing, Inc., Gtd. Notes(e) |
B3 | 9.375% | 04/01/19 | 500 | 558,750 | |||||||||||||||
| MetroPCS Wireless, Inc., Gtd. Notes(e) |
B2 | 6.625% | 11/15/20 | 350 | 371,875 | |||||||||||||||
| MetroPCS Wireless, Inc., Gtd. Notes(e) |
B2 | 7.875% | 09/01/18 | 4,350 | 4,708,875 | |||||||||||||||
| NII Capital Corp., Gtd. Notes |
B2 | 7.625% | 04/01/21 | 4,233 | 3,206,497 | |||||||||||||||
| Northwestern Bell Telephone, Sr. Unsec’d. Notes(e) |
Baa3 | 7.750% | 05/01/30 | 750 | 776,775 | |||||||||||||||
| Qwest Communications International, Inc., Gtd. Notes |
Baa3 | 7.125% | 04/01/18 | 1,450 | 1,512,934 | |||||||||||||||
| Sprint Capital Corp., Gtd. Notes |
B3 | 6.875% | 11/15/28 | 7,395 | 7,690,800 | |||||||||||||||
| Sprint Capital Corp., Gtd. Notes |
B3 | 6.900% | 05/01/19 | 9,625 | 10,491,250 | |||||||||||||||
| Sprint Nextel Corp., Gtd. Notes, 144A(e) |
Ba3 | 7.000% | 03/01/20 | 4,225 | 4,911,563 | |||||||||||||||
| Sprint Nextel Corp., Gtd. Notes, 144A |
Ba3 | 9.000% | 11/15/18 | 1,575 | 1,945,125 | |||||||||||||||
| Sprint Nextel Corp., Sr. Unsec’d. Notes(e) |
B3 | 6.000% | 12/01/16 | 1,645 | 1,788,937 | |||||||||||||||
| Sprint Nextel Corp., Sr. Unsec’d. Notes |
B3 | 7.000% | 08/15/20 | 2,075 | 2,266,938 | |||||||||||||||
| Sprint Nextel Corp., Sr. Unsec’d. Notes(e) |
B3 | 9.125% | 03/01/17 | 3,400 | 4,003,500 | |||||||||||||||
| Wind Acquisition Finance SA (Luxembourg), |
B3 | 11.750% | 07/15/17 | 12,510 | 13,104,225 | |||||||||||||||
| Wind Acquisition Finance SA (Luxembourg), |
Ba3 | 7.250% | 02/15/18 | 4,400 | 4,455,000 | |||||||||||||||
| Wind Acquisition Holdings Finance SA (Luxembourg), |
Caa1 | 12.250% | 07/15/17 | 8,460 | 8,629,497 | |||||||||||||||
| Windstream Corp., Gtd. Notes(e) |
Ba3 | 7.000% | 03/15/19 | 850 | 869,125 | |||||||||||||||
| Windstream Corp., Gtd. Notes(e) |
Ba3 | 7.500% | 06/01/22 | 925 | 980,500 | |||||||||||||||
| Windstream Corp., Gtd. Notes(e) |
Ba3 | 7.500% | 04/01/23 | 5,275 | 5,551,938 | |||||||||||||||
| Windstream Corp., Gtd. Notes(e) |
Ba3 | 7.750% | 10/15/20 | 2,525 | 2,727,000 | |||||||||||||||
| 143,925,499 | ||||||||||||||||||||
| TOTAL CORPORATE BONDS |
|
2,590,364,311 | ||||||||||||||||||
| Shares |
||||||||||||||||||||
| COMMON STOCKS — 0.1% | ||||||||||||||||||||
| Cable |
||||||||||||||||||||
| Adelphia Recovery Trust*(c) |
|
500,000 | 500 | |||||||||||||||||
| Electric |
||||||||||||||||||||
| NRG Energy, Inc. |
|
772 | 17,748 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A115
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| COMMON STOCKS (continued) |
Shares |
Value (Note 2) |
||||||||||||||
| Media & Entertainment |
||||||||||||||||
| Dex One Corp.*(e) |
182,429 | $ | 288,238 | |||||||||||||
| Virgin Media, Inc.(e) |
8,521 | 313,147 | ||||||||||||||
| 601,385 | ||||||||||||||||
| Pipelines & Other |
||||||||||||||||
| SemGroup Corp. (Class A Stock)* |
3,493 | 136,506 | ||||||||||||||
| Technology — 0.1% |
||||||||||||||||
| Xerox Corp. |
137,561 | 938,166 | ||||||||||||||
| Telecommunications |
||||||||||||||||
| Netia SA (Poland)* |
238,168 | 329,341 | ||||||||||||||
| TOTAL COMMON STOCKS |
|
2,023,646 | ||||||||||||||
| PREFERRED STOCKS | ||||||||||||||||
| Building Materials & Construction |
||||||||||||||||
| New Millenium Homes LLC |
3,000 | 222,000 | ||||||||||||||
| Cable |
||||||||||||||||
| Adelphia Communications Corp., PIK, 13.000%*(c) |
5,000 | 5 | ||||||||||||||
| TOTAL PREFERRED STOCKS |
|
222,005 | ||||||||||||||
| Expiration Date |
Units |
|||||||||||||||
| WARRANTS | ||||||||||||||||
| Media & Entertainment |
||||||||||||||||
| MediaNews Group, Inc. (cost $0; purchased 6/30/11)*(c)(d) |
3/19/17 | 5,557 | 56 | |||||||||||||
| Pipelines & Other |
||||||||||||||||
| SemGroup Corp.* |
11/30/14 | 3,676 | 52,420 | |||||||||||||
| Telecommunications |
||||||||||||||||
| Hawaiian Telcom Holdco, Inc.* |
10/28/15 | 19,187 | 113,203 | |||||||||||||
| TOTAL WARRANTS |
|
165,679 | ||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
2,705,768,210 | ||||||||||||||
| Shares |
||||||||||||||||
| SHORT-TERM INVESTMENTS — 22.3% | ||||||||||||||||
| AFFILIATED MUTUAL FUNDS |
||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund (Note 4)(h) |
520,804 | 4,807,024 | ||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
627,175,180 | 627,175,180 | ||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
631,982,204 | ||||||||||||||
| TOTAL INVESTMENTS — 117.5% |
|
3,337,750,414 | ||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(j) — (17.5)% |
|
(495,910,983 | ) | |||||||||||||
| NET ASSETS — 100.0% |
|
$ | 2,841,839,431 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A116
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
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 | |
| CLO | Collateralized Loan Obligation | |
| MTN | Medium Term Note | |
| NR | Not Rated by Moody’s or Standard & Poor’s | |
| PIK | Payment-in-Kind | |
| ULC | Unlimited Liability Corporation |
| † | The ratings reflected are as of December 31, 2012. Ratings of certain bonds may have changed subsequent to that date. The Portfolio’s current Statement of Additional Information contains a description of Moody’s and Standard and Poor’s ratings. |
| # | Principal amount is shown in U.S. dollars unless otherwise stated. |
| * | Non-income producing security. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2012. |
| (b) | Standard & Poor’s Rating. |
| (c) | Indicates a security that has been deemed illiquid. |
| (d) | Indicates a restricted security; the aggregate original cost of such securities is $141,696,554. The aggregate value of $148,277,127 is approximately 5.2% of net assets. |
| (e) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $528,726,902; cash collateral of $541,542,680 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (f) | Amount is actual; not rounded to thousands. |
| (g) | Represents issuer in default on interest payments and/or principal repayment; non-income producing security. Such securities may be post maturity. |
| (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) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Credit default swap agreements outstanding at December 31, 2012:
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)(3) |
Implied Credit Spread at December 31, 2012(4) (Unaudited) |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation |
Counterparty | ||||||||||||||||||||||
| Over-the-counter credit default swaps on corporate issues—Sell Protection(1): | ||||||||||||||||||||||||||||||
| NRG Energy, Inc. |
03/20/16 | 4.100% | $ | 3,150 | 1.929 | % | $ | 218,505 | $ | — | $ | 218,505 | Goldman Sachs International | |||||||||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)(3) |
Fair Value(2) |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on credit indices—Sell Protection(1): | ||||||||||||||||||||||||||
| CDX.NA.HY.18.V1 |
06/20/17 | 5.000% | $ | 4,950 | $ | 79,816 | $ | (149,531 | ) | $ | 229,347 | Barclays Bank PLC | ||||||||||||||
| CDX.NA.HY.18.V1 |
06/20/17 | 5.000% | 12,870 | 207,520 | (1,020,663 | ) | 1,228,183 | Morgan Stanley Capital Services | ||||||||||||||||||
| CDX.NA.HY.18.V1 |
06/20/17 | 5.000% | 19,800 | 319,262 | (1,359,875 | ) | 1,679,137 | Goldman Sachs International | ||||||||||||||||||
| CDX.NA.HY.19.V1 |
12/20/17 | 5.000% | 6,000 | 18,318 | 10,834 | 7,484 | Barclays Bank PLC | |||||||||||||||||||
| $ | 624,916 | $ | (2,519,235 | ) | $ | 3,144,151 | ||||||||||||||||||||
The Portfolio entered into credit default swaps as the protection seller on corporate issues and credit indices 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 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A117
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| (2) | The fair value of credit default swap agreements on asset-backed securities and credit indices serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, 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. |
| (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) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of the reporting date serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads 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. |
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, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Asset-Backed Securities |
||||||||||||
| Non-Residential Mortgage-Backed Securities |
$ | — | $ | 12,684,553 | $ | — | ||||||
| Residential Mortgage-Backed Securities |
— | 986,909 | — | |||||||||
| Bank Loans |
— | 79,006,749 | 17,933,125 | |||||||||
| Collateralized Mortgage Obligations |
— | 2,381,233 | — | |||||||||
| Corporate Bonds |
— | 2,572,760,065 | 17,604,246 | |||||||||
| Common Stocks |
2,023,146 | — | 500 | |||||||||
| Preferred Stocks |
— | — | 222,005 | |||||||||
| Warrants |
113,203 | 52,420 | 56 | |||||||||
| Affiliated Mutual Funds |
631,982,204 | — | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Credit Default Swap Agreements |
— | 3,362,656 | — | |||||||||
| Total |
$ | 634,118,553 | $ | 2,671,234,585 | $ | 35,759,932 | ||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| Non-Residential Mortgage-Backed Securities |
Bank Loans |
Corporate Bonds |
Common Stocks |
Preferred Stocks |
Warrants |
|||||||||||||||||||
| Balance as of 12/31/11 |
$ | 433,607 | $ | — | $ | 74,580 | $ | 500 | $ | 75,005 | $ | 56 | ||||||||||||
| Realized gain (loss) |
— | 5,651 | (5,498,144 | ) | — | — | — | |||||||||||||||||
| Change in unrealized appreciation (depreciation)** |
— | 279,776 | 6,531,367 | — | 147,000 | — | ||||||||||||||||||
| Purchases |
— | 18,435,000 | 6,711,945 | — | — | — | ||||||||||||||||||
| Sales |
— | (797,632 | ) | (3,215,385 | ) | — | — | — | ||||||||||||||||
| Accrued discount/premium |
— | 10,330 | 1,561 | — | — | — | ||||||||||||||||||
| Transfers into Level 3 |
— | — | 12,998,322 | — | — | — | ||||||||||||||||||
| Transfers out of Level 3 |
(433,607 | ) | — | — | — | — | — | |||||||||||||||||
| Balance as of 12/31/12 |
$ | — | $ | 17,933,125 | $ | 17,604,246 | $ | 500 | $ | 222,005 | $ | 56 | ||||||||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument. |
| ** | Of which, $1,560,541 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 fair value as of the beginning of period. At the reporting period end, there were one non-residential mortgage-backed security transferred from Level 3 into Level 2 as a result of no longer using a single broker quote and two corporate bonds transferred into Level 3 as a result of using a single broker quote.
SEE NOTES TO FINANCIAL STATEMENTS.
A118
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Valuation Committee, 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 portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were 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 and equity 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, 2012 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 |
$ | 10,834 | Premiums received for swap agreements | $ | 2,530,069 | ||||||
| Credit contracts |
Unrealized appreciation on swap agreements | 3,362,656 | — | — | ||||||||
| Equity contracts |
Unaffiliated investments | 165,679 | — | — | ||||||||
| Total |
$ | 3,539,169 | $ | 2,530,069 | ||||||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Swaps |
|||||||||||
| Credit contracts |
|
$ | 7,952,386 | |||||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Swaps |
Warrants |
Total |
|||||||||
| Credit contracts |
$ | 1,549,282 | $ | — | $ | 1,549,282 | ||||||
| Equity contracts |
— | 98,284 | 98,284 | |||||||||
| Total |
$ | 1,549,282 | $ | 98,284 | $ | 1,647,566 | ||||||
For the year ended December 31, 2012, the Portfolio’s average notional amount for credit default swaps as writer was $57,476,000.
SEE NOTES TO FINANCIAL STATEMENTS.
A119
| HIGH YIELD BOND PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 176,188,047 | $ | 162,933,632 | ||||
| Net realized gain on investment transactions |
38,714,992 | 41,350,354 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
123,873,570 | (96,047,509 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
338,776,609 | 108,236,477 | ||||||
| DISTRIBUTIONS | (179,249,371 | ) | (162,232,130 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [85,281,012 and 4,310,527 shares, respectively] |
436,199,039 | 21,838,181 | ||||||
| Series shares issued in reinvestment of distributions [34,933,095 and 32,541,377 shares, respectively] |
179,249,371 | 162,232,130 | ||||||
| Series shares repurchased [17,785,446 and 22,320,117 shares, respectively] |
(91,535,916 | ) | (112,834,788 | ) | ||||
| NET INCREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
523,912,494 | 71,235,523 | ||||||
| TOTAL INCREASE IN NET ASSETS | 683,439,732 | 17,239,870 | ||||||
| NET ASSETS: | ||||||||
| Beginning of year |
2,158,399,699 | 2,141,159,829 | ||||||
| End of year |
$ | 2,841,839,431 | $ | 2,158,399,699 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A120
| JENNISON PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A121
| JENNISON PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A122
| JENNISON PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 was as follows:
| Internet Software & Services |
10.0 | % | ||
| Affiliated Money Market Mutual Fund (including 8.7% of collateral received for securities on loan) |
9.3 | |||
| Computers & Peripherals |
8.2 | |||
| IT Services |
8.0 | |||
| Textiles, Apparel & Luxury Goods |
7.3 | |||
| Pharmaceuticals |
7.2 | |||
| Software |
6.5 | |||
| Aerospace & Defense |
5.8 | |||
| Biotechnology |
5.3 | |||
| Internet & Catalog Retail |
4.6 | |||
| Specialty Retail |
4.2 | |||
| Hotels, Restaurants & Leisure |
4.1 | |||
| Food & Staples Retailing |
3.5 | |||
| Capital Markets |
2.7 | |||
| Semiconductors & Semiconductor Equipment |
2.7 | |||
| Healthcare Providers & Services |
2.6 | |||
| Road & Rail |
2.3 | |||
| Oil, Gas & Consumable Fuels |
2.0 | |||
| Chemicals |
1.9 | |||
| Real Estate Investment Trusts |
1.9 | |||
| Personal Products |
1.7 | |||
| Media |
1.5 | |||
| Wireless Telecommunication Services |
1.1 | |||
| Food Products |
1.0 | |||
| Communications Equipment |
0.8 | |||
| Energy Equipment & Services |
0.8 | |||
| Life Sciences Tools & Services |
0.8 | |||
| Electrical Equipment |
0.6 | |||
| Multiline Retail |
0.5 | |||
| 108.9 | ||||
| Liabilities in excess of other assets |
(8.9 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A123
| JENNISON PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 5,174,366 | $ | 1,934,488 | ||||
| Net realized gain on investments and foreign currencies |
102,722,741 | 127,125,705 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
76,847,446 | (112,345,448 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
184,744,553 | 16,714,745 | ||||||
| DISTRIBUTIONS: | ||||||||
| Class I |
(1,936,533 | ) | (3,609,872 | ) | ||||
| SERIES SHARE TRANSACTIONS (Note 7): | ||||||||
| Series shares sold |
39,290,312 | 30,590,229 | ||||||
| Series shares issued in reinvestment of distributions |
1,936,533 | 3,609,872 | ||||||
| Series shares repurchased |
(135,434,311 | ) | (284,374,219 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(94,207,466 | ) | (250,174,118 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 88,600,554 | (237,069,245 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
1,158,259,435 | 1,395,328,680 | ||||||
| End of year |
$ | 1,246,859,989 | $ | 1,158,259,435 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A124
| MONEY MARKET PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Interest Rate |
Maturity Date |
Principal Amount (000) |
Value (Note 2) |
|||||||||||||||||
| Certificates of Deposit — 13.3% |
||||||||||||||||||||
| Bank of Montreal |
0.210% | 01/07/13 | $ | 6,000 | $ | 6,000,000 | ||||||||||||||
| Bank of Nova Scotia(a) |
0.339% | 10/16/13 | 5,000 | 5,000,434 | ||||||||||||||||
| Bank of Nova Scotia(a) |
0.433% | 01/11/13 | 3,000 | 2,999,964 | ||||||||||||||||
| Bank of Tokyo-Mitsubishi UFJ Ltd. |
0.170% | 01/02/13 | 8,000 | 8,000,000 | ||||||||||||||||
| Canadian Imperial Bank of Commerce(a) |
0.373% | 01/30/13 | 6,000 | 6,000,000 | ||||||||||||||||
| Chase Bank USA NA |
0.220% | 03/06/13 | 6,000 | 6,000,000 | ||||||||||||||||
| Credit Suisse (NY Branch)(a) |
0.713% | 01/30/13 | 6,000 | 6,000,000 | ||||||||||||||||
| Credit Suisse (NY Branch)(a) |
0.815% | 07/25/13 | 2,000 | 2,000,000 | ||||||||||||||||
| Deutsche Bank AG |
0.210% | 01/08/13 | 7,000 | 7,000,000 | ||||||||||||||||
| DNB Bank ASA |
0.240% | 01/02/13 | 6,000 | 6,000,000 | ||||||||||||||||
| DNB Bank ASA(a) |
0.332% | 02/08/13 | 2,000 | 2,000,151 | ||||||||||||||||
| Lloyds TSB Bank PLC |
0.710% | 01/14/13 | 1,000 | 1,000,166 | ||||||||||||||||
| Nordea Bank Finland PLC |
0.240% | 02/05/13 | 7,000 | 7,000,000 | ||||||||||||||||
| Norinchukin Bank (NY Branch) |
0.200% | 01/02/13 | 3,000 | 3,000,000 | ||||||||||||||||
| Rabobank Nederland (NY Branch)(a) |
0.463% | 05/02/13 | 7,000 | 6,999,884 | ||||||||||||||||
| Rabobank Nederland (NY Branch) |
0.520% | 01/11/13 | 2,500 | 2,500,201 | ||||||||||||||||
| Royal Bank of Canada (NY Branch)(a) |
0.397% | 07/11/13 | 8,000 | 8,000,000 | ||||||||||||||||
| Societe Generale |
0.240% | 01/04/13 | 6,000 | 6,000,000 | ||||||||||||||||
| State Street Bank & Trust Co. |
0.200% | 01/02/13 | 7,000 | 7,000,000 | ||||||||||||||||
| Sumitomo Mitsui Banking Corp. |
0.260% | 03/12/13 | 3,000 | 3,000,000 | ||||||||||||||||
| Svenska Handelsbanken AB |
0.245% | 01/22/13 | 2,000 | 2,000,000 | ||||||||||||||||
| Svenska Handelsbanken AB |
0.245% | 01/25/13 | 8,000 | 8,000,027 | ||||||||||||||||
| Toronto Dominion Bank(a) |
0.314% | 07/26/13 | 7,000 | 7,000,000 | ||||||||||||||||
| Westpac Banking Corp.(a) |
0.310% | 02/11/13 | 1,700 | 1,699,989 | ||||||||||||||||
| 120,200,816 | ||||||||||||||||||||
| Commercial Paper — 12.6% |
||||||||||||||||||||
| ABN AMRO Funding USA LLC, 144A(b) |
0.451% | 01/03/13 | 5,000 | 4,999,875 | ||||||||||||||||
| ABN AMRO Funding USA LLC, 144A(b) |
0.481% | 01/16/13 | 2,000 | 1,999,600 | ||||||||||||||||
| BASF AG, 144A(b) |
0.170% | 01/29/13 | 2,000 | 1,999,736 | ||||||||||||||||
| BHP Billiton Finance (USA) Ltd., 144A(b) |
0.170% | 01/29/13 | 1,000 | 999,868 | ||||||||||||||||
| BHP Billiton Finance (USA) Ltd., 144A(b) |
0.170% | 01/30/13 | 3,000 | 2,999,589 | ||||||||||||||||
| BHP Billiton Finance (USA) Ltd., 144A(b) |
0.200% | 03/06/13 | 3,000 | 2,998,933 | ||||||||||||||||
| Commonwealth Bank of Australia, 144A(b) |
0.230% | 01/25/13 | 5,000 | 4,999,233 | ||||||||||||||||
| Credit Agricole North America, Inc.(b) |
0.300% | 02/04/13 | 7,000 | 6,998,017 | ||||||||||||||||
| DNB Bank ASA, 144A(a) |
0.459% | 09/20/13 | 8,000 | 8,000,000 | ||||||||||||||||
| Electricite de France, 144A(b) |
0.430% | 01/03/13 | 2,000 | 1,999,952 | ||||||||||||||||
| Electricite de France, 144A(b) |
0.430% | 01/11/13 | 6,000 | 5,999,283 | ||||||||||||||||
| GDF Suez, 144A(b) |
0.270% | 01/28/13 | 7,000 | 6,998,582 | ||||||||||||||||
| HSBC USA, Inc.(b) |
0.260% | 02/12/13 | 6,000 | 5,998,180 | ||||||||||||||||
| HSBC USA, Inc.(b) |
0.260% | 02/26/13 | 3,000 | 2,998,787 | ||||||||||||||||
| International Bank Reconstruction & Development(b) |
0.150% | 02/05/13 | 6,000 | 5,999,125 | ||||||||||||||||
| International Finance Corp.(b) |
0.135% | 01/14/13 | 3,000 | 2,999,854 | ||||||||||||||||
| International Finance Corp.(b) |
0.135% | 01/23/13 | 2,000 | 1,999,835 | ||||||||||||||||
| International Finance Corp.(b) |
0.170% | 01/10/13 | 3,000 | 2,999,873 | ||||||||||||||||
| JPMorgan Chase & Co.(a) |
0.362% | 03/11/13 | 8,000 | 8,000,000 | ||||||||||||||||
| National Australia Funding Delaware, Inc., 144A(b) |
0.200% | 01/28/13 | 4,000 | 3,999,400 | ||||||||||||||||
| Reckitt Benckiser Treasury, 144A(b) |
0.200% | 03/11/13 | 2,000 | 1,999,233 | ||||||||||||||||
| Skandinaviska Enskilda Banken AB, 144A(b) |
0.245% | 01/22/13 | 2,000 | 1,999,714 | ||||||||||||||||
| Skandinaviska Enskilda Banken AB, 144A(b) |
0.260% | 02/19/13 | 5,000 | 4,998,231 | ||||||||||||||||
| State Street Corp.(b) |
0.200% | 03/05/13 | 6,000 | 5,997,900 | ||||||||||||||||
| Swedbank AB(b) |
0.275% | 02/26/13 | 4,000 | 3,998,289 | ||||||||||||||||
| U.S. Bank National Association |
0.150% | 01/25/13 | 9,000 | 9,000,000 | ||||||||||||||||
| 113,981,089 | ||||||||||||||||||||
| Other Corporate Obligations — 3.9% |
||||||||||||||||||||
| BlackRock, Inc., Sr. Unsec’d. Notes(a) |
0.612% | 05/24/13 | 6,500 | 6,508,212 | ||||||||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
5.000% | 02/01/13 | 1,077 | 1,081,213 | ||||||||||||||||
| John Deere Capital Corp., Sr. Unsec’d. Notes, MTN(a) |
0.490% | 07/15/13 | 1,000 | 1,000,914 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A125
| MONEY MARKET PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Interest Rate |
Maturity Date |
Principal Amount (000) |
Value (Note 2) |
|||||||||||||||||
| Other Corporate Obligations (continued) |
||||||||||||||||||||
| Metlife Institutional Funding II, Sec’d. Notes, 144A(a) |
0.605% | 04/03/13 | $ | 10,000 | $ | 10,000,000 | ||||||||||||||
| Metropolitan Life Global Funding I, Sec’d. Notes, 144A |
2.500% | 01/11/13 | 1,000 | 1,000,579 | ||||||||||||||||
| Royal Bank of Canada, Sr. Unsec’d. Notes(a) |
0.461% | 03/08/13 | 1,000 | 1,000,299 | ||||||||||||||||
| Toyota Motor Credit Corp., Unsec’d. Notes, MTN(a) |
0.311% | 12/09/13 | 4,000 | 4,000,000 | ||||||||||||||||
| Toyota Motor Credit Corp., Unsec’d. Notes, MTN(a) |
0.505% | 04/03/13 | 3,500 | 3,500,000 | ||||||||||||||||
| Wachovia Corp., Sr. Unsec’d. Notes, MTN(a) |
2.083% | 05/01/13 | 4,000 | 4,022,573 | ||||||||||||||||
| Wells Fargo & Co., Sr. Unsec’d. Notes |
4.375% | 01/31/13 | 3,000 | 3,009,655 | ||||||||||||||||
| 35,123,445 | ||||||||||||||||||||
| Time Deposit — 1.5% |
||||||||||||||||||||
| U.S. Bank National Association |
0.150% | 01/02/13 | 14,000 | 14,000,000 | ||||||||||||||||
| U.S. Government Agencies — 46.4% |
||||||||||||||||||||
| Federal Farm Credit Bank(a) |
0.150% | 09/19/13 | 4,000 | 3,999,710 | ||||||||||||||||
| Federal Home Loan Bank(a) |
0.090% | 12/11/13 | 6,000 | 5,992,956 | ||||||||||||||||
| Federal Home Loan Bank(a) |
0.100% | 08/13/13 | 1,000 | 999,724 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.110% | 01/17/13 | 9,000 | 8,999,560 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.120% | 01/14/13 | 4,000 | 3,999,827 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.120% | 01/15/13 | 2,000 | 1,999,907 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.120% | 02/04/13 | 4,000 | 3,999,547 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.120% | 02/08/13 | 6,000 | 5,999,240 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.120% | 02/26/13 | 3,000 | 2,999,440 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.120% | 04/02/13 | 4,000 | 3,998,787 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.126% | 03/01/13 | 13,000 | 12,997,312 | ||||||||||||||||
| Federal Home Loan Bank(a) |
0.129% | 09/19/13 | 9,000 | 8,998,291 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.137% | 02/01/13 | 8,000 | 7,999,060 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.138% | 01/11/13 | 10,000 | 9,999,618 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.138% | 02/06/13 | 10,000 | 9,998,620 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.139% | 01/16/13 | 9,000 | 8,999,479 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.139% | 01/25/13 | 13,000 | 12,998,793 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.140% | 01/09/13 | 29,000 | 28,999,098 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.140% | 02/15/13 | 6,000 | 5,998,950 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.145% | 01/18/13 | 3,000 | 2,999,795 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.146% | 01/23/13 | 10,000 | 9,999,108 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.150% | 01/04/13 | 6,000 | 5,999,925 | ||||||||||||||||
| Federal Home Loan Bank(b) |
0.150% | 02/20/13 | 3,000 | 2,999,375 | ||||||||||||||||
| Federal Home Loan Bank(a) |
0.154% | 04/04/13 | 3,000 | 2,999,619 | ||||||||||||||||
| Federal Home Loan Bank |
0.160% | 02/08/13 | 5,000 | 4,999,717 | ||||||||||||||||
| Federal Home Loan Bank(a) |
0.160% | 11/26/13 | 5,000 | 4,999,091 | ||||||||||||||||
| Federal Home Loan Bank(a) |
0.175% | 11/13/13 | 4,000 | 4,000,000 | ||||||||||||||||
| Federal Home Loan Bank(a) |
0.180% | 11/26/13 | 5,000 | 5,000,000 | ||||||||||||||||
| Federal Home Loan Bank(a) |
0.195% | 04/25/13 | 5,000 | 5,000,000 | ||||||||||||||||
| Federal Home Loan Bank |
0.210% | 01/08/13 | 4,000 | 4,000,045 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.100% | 04/09/13 | 3,000 | 2,999,183 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.120% | 01/08/13 | 5,000 | 4,999,883 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b). |
0.120% | 01/15/13 | 9,000 | 8,999,580 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b). |
0.120% | 01/29/13 | 9,000 | 8,999,160 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.130% | 02/11/13 | 4,000 | 3,999,408 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b). |
0.130% | 02/12/13 | 5,000 | 4,999,242 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.140% | 02/20/13 | 5,000 | 4,999,028 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.150% | 01/09/13 | 9,000 | 8,999,700 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.150% | 02/04/13 | 4,000 | 3,999,433 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.150% | 02/19/13 | 4,000 | 3,999,183 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.150% | 02/26/13 | 5,000 | 4,998,833 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.150% | 03/19/13 | 3,000 | 2,999,037 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.150% | 03/26/13 | 14,000 | 13,995,100 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.150% | 04/02/13 | 6,000 | 5,997,725 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
0.151% | 09/13/13 | 25,000 | 24,995,692 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
0.159% | 06/17/13 | 2,000 | 2,000,009 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A126
| MONEY MARKET PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Interest Rate |
Maturity Date |
Principal Amount (000) |
Value (Note 2) |
|||||||||||||||||||
| U.S. Government Agencies (continued) |
||||||||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.160% | 04/16/13 | $ | 4,000 | $ | 3,998,133 | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.160% | 04/18/13 | 9,000 | 8,995,720 | ||||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.162% | 06/25/13 | 4,000 | 3,996,889 | ||||||||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
0.163% | 05/06/13 | 2,000 | 1,999,865 | ||||||||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
0.164% | 06/03/13 | 1,000 | 1,000,002 | ||||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
0.170% | 01/07/13 | 4,000 | 3,999,887 | ||||||||||||||||||
| Federal Home Loan Mortgage Corp., MTN |
1.375% | 01/09/13 | 7,000 | 7,001,819 | ||||||||||||||||||
| Federal National Mortgage Association(b) |
0.129% | 01/14/13 | 9,000 | 8,999,581 | ||||||||||||||||||
| Federal National Mortgage Association(b) |
0.135% | 02/19/13 | 10,000 | 9,998,162 | ||||||||||||||||||
| Federal National Mortgage Association(b) |
0.150% | 02/13/13 | 4,000 | 3,999,283 | ||||||||||||||||||
| Federal National Mortgage Association(b) |
0.150% | 02/14/13 | 10,000 | 9,998,167 | ||||||||||||||||||
| Federal National Mortgage Association(b) |
0.150% | 04/01/13 | 11,000 | 10,995,875 | ||||||||||||||||||
| Federal National Mortgage Association(b) |
0.154% | 05/01/13 | 8,000 | 7,995,900 | ||||||||||||||||||
| Federal National Mortgage Association(b) |
0.170% | 01/08/13 | 5,000 | 4,999,835 | ||||||||||||||||||
| Federal National Mortgage Association(b) |
0.170% | 01/23/13 | 7,000 | 6,999,273 | ||||||||||||||||||
| Federal National Mortgage Association(b) |
0.177% | 01/09/13 | 9,000 | 8,999,646 | ||||||||||||||||||
| 418,932,827 | ||||||||||||||||||||||
| U.S. Treasury Securities — 4.0% |
||||||||||||||||||||||
| U.S. Treasury Bill(b) |
0.099% | 01/24/13 | 13,000 | 12,999,177 | ||||||||||||||||||
| U.S. Treasury Bill(b) |
0.113% | 01/31/13 | 6,000 | 5,999,438 | ||||||||||||||||||
| U.S. Treasury Note |
1.375% | 01/15/13 | 13,000 | 13,006,024 | ||||||||||||||||||
| U.S. Treasury Note |
2.875% | 01/31/13 | 4,000 | 4,008,776 | ||||||||||||||||||
| 36,013,415 | ||||||||||||||||||||||
| Repurchase Agreements(c) — 17.7% |
||||||||||||||||||||||
| BNP Paribas Securities Corp., 0.190%, dated 12/31/12, due 01/07/13 in the amount of $15,000,554 |
0.190% | 01/07/13 | 15,000 | 15,000,000 | ||||||||||||||||||
| BNP Paribas Securities Corp., 0.200%, dated 12/26/12, due 01/02/13 in the amount of $18,000,700 |
0.200% | 01/02/13 | 18,000 | 18,000,000 | ||||||||||||||||||
| Credit Suisse Securities Corp., 0.240%, dated 11/23/12, due 01/07/13 in the amount of $11,003,300 |
0.240% | 01/07/13 | 11,000 | 11,000,000 | ||||||||||||||||||
| Goldman Sachs & Co., 0.250%, dated 11/30/12, due 01/07/13 in the amount of $5,001,319 |
0.250% | 01/07/13 | 5,000 | 5,000,000 | ||||||||||||||||||
| Goldman Sachs & Co. 0.260%, dated 11/21/12, due 01/22/13 in the amount of $11,004,925 |
0.260% | 01/22/13 | 11,000 | 11,000,000 | ||||||||||||||||||
| HSBC Securities (USA), Inc., 0.220%, dated 12/31/12, due 01/02/13 in the amount of $34,183,418 |
0.220% | 01/02/13 | 34,183 | 34,183,000 | ||||||||||||||||||
| JPMorgan Securities, Inc. 0.200%, dated 12/13/12, due 01/14/13 in the amount of $6,001,067 |
0.200% | 01/14/13 | 6,000 | 6,000,000 | ||||||||||||||||||
| RBS Securities, Inc., 0.180%, dated 12/28/12, due 01/04/13 in the amount of $15,000,525 (cost $15,000,000) |
0.180% | 01/04/13 | 15,000 | 15,000,000 | ||||||||||||||||||
| UBS Securities LLC., 0.250%, dated 12/31/12, due 01/02/13 in the amount of $45,000,625 (cost $45,000,000) |
0.250% | 01/02/13 | 45,000 | 45,000,000 | ||||||||||||||||||
| 160,183,000 | ||||||||||||||||||||||
| TOTAL INVESTMENTS — 99.4% |
|
898,434,592 | ||||||||||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6% |
|
5,042,424 | ||||||||||||||||||||
| NET ASSETS — 100.0% |
|
$ | 903,477,016 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A127
| MONEY MARKET PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The following abbreviations are used in 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. | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| FNMA | Federal National Mortgage Association | |
| GNMA | Government National Mortgage Association | |
| MTN | Medium Term Note |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2012. |
| (b) | Rate quoted represents yield-to-maturity as of purchase date. |
| (c) | Repurchase Agreements are collateralized by FHLMC (coupon 3.00%-6.50%, maturity dates 09/01/21-08/01/41), FNMA (coupon rates 3.00%-6.50%, maturity dates 06/01/17-01/01/43), GNMA (coupon rates 3.50%-7.00%, maturity dates 05/20/26-09/20/42) and U.S. Treasury Securities (coupon rates 1.00%-1.875%, maturity dates 08/31/16-08/31/17), with the aggregate value, including accrued interest, of $163,393,675. |
| (d) | Indicates a security that has been deemed illiquid. |
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, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Certificates of Deposit |
$ | — | $ | 120,200,816 | $ | — | ||||||
| Commercial Paper |
— | 113,981,089 | — | |||||||||
| Other Corporate Obligations |
— | 35,123,445 | — | |||||||||
| Time Deposit |
— | 14,000,000 | — | |||||||||
| U.S. Government Agencies |
— | 418,932,827 | — | |||||||||
| U.S. Treasury Securities |
— | 36,013,415 | — | |||||||||
| Repurchase Agreements |
— | 160,183,000 | — | |||||||||
| Total |
$ | — | $ | 898,434,592 | $ | — | ||||||
The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2012 was as follows:
| U.S. Government Agencies |
46.4 | % | ||
| Repurchase Agreements |
17.7 | |||
| Certificates of Deposit |
13.3 | |||
| Commercial Paper |
12.6 | |||
| U.S. Treasury Securities |
4.0 | |||
| Other Corporate Obligations |
3.9 | |||
| Time Deposit |
1.5 | |||
| 99.4 | ||||
| Other assets in excess of liabilities |
0.6 | |||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A128
| MONEY MARKET PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 99,241 | $ | 212,331 | ||||
| Net realized gain on investments transactions |
22,568 | 21,156 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
121,809 | 233,487 | ||||||
| DISTRIBUTIONS | (121,809 | ) | (233,487 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [17,733,417 and 20,814,304 shares, respectively] |
177,334,172 | 208,143,040 | ||||||
| Series shares issued in reinvestment of distributions [12,187 and 23,339 shares, respectively] |
121,809 | 233,487 | ||||||
| Series shares repurchased [28,997,164 and 31,944,588 shares, respectively] |
(289,971,640 | ) | (319,445,880 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(112,515,659 | ) | (111,069,353 | ) | ||||
| TOTAL DECREASE IN NET ASSETS | (112,515,659 | ) | (111,069,353 | ) | ||||
| NET ASSETS: | ||||||||
| Beginning of year |
1,015,992,675 | 1,127,062,028 | ||||||
| End of year |
$ | 903,477,016 | $ | 1,015,992,675 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A129
| NATURAL RESOURCES PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A130
| NATURAL RESOURCES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A131
| NATURAL RESOURCES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| Common Stocks |
Convertible Preferred Stocks |
|||||||
| Balance as of 12/31/11 |
$ | 11,958,216 | $ | 3,180,742 | ||||
| Realized gain (loss) |
— | — | ||||||
| Change in unrealized appreciation (depreciation)* |
(3,033,450 | ) | 1,276,179 | |||||
| Purchases |
334,415 | 1,848,551 | ||||||
| Sales |
— | — | ||||||
| Transfers into Level 3 |
— | — | ||||||
| Transfers out of Level 3 |
— | — | ||||||
| Balance as of 12/31/12 |
$ | 9,259,181 | $ | 6,305,472 | ||||
| * | Of which $(1,757,271) 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 fair value as of the beginning of period.
Fair value of Level 2 investments at December 31, 2011 was $0. An amount of $66,655,278 was transferred from Level 1 into Level 2 at December 31, 2012 as a result of using other significant observable inputs such as quoted prices of similar securities for non-registered securities and as a result of fair valuing such foreign securities using third party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.
Included in the table above, under Level 3 securities, are common and convertible preferred stocks and equity rights, that were fair valued using the last traded price or the original cost adjusted for daily changes in indices deemed directly or indirectly correlated to the security. For equity rights received through a bankruptcy distribution, the fair value is determined to be the residual value of the original bonds and other factors impacting the values of securities being issued pursuant to the reorganization. For the common stocks, convertible preferred stock and rights, the securities were private placement and therefore, the prices were a significant unobservable input. For certain warrants received in a private placement offering, the Manager has determined the fair value using the Black Scholes method with adjustment for volatility factor which is deemed to be a significant unobservable input.
SEE NOTES TO FINANCIAL STATEMENTS.
A132
| NATURAL RESOURCES PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:
| Oil, Gas & Consumable Fuels |
49.8 | % | ||
| Energy Equipment & Services |
22.2 | |||
| Metals & Mining |
21.5 | |||
| Affiliated Money Market Mutual Fund (including 8.7% of collateral received for securities on loan) |
12.1 | |||
| Construction Materials |
1.9 | |||
| Chemicals |
1.1 | |||
| Food Products |
0.3 | |||
| 108.9 | ||||
| Liabilities in excess of other assets |
(8.9 | ) | ||
| 100.0 | % | |||
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is equity 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.
At December 31, 2012, the Portfolio held derivatives not accounted for as hedging instruments. These equity contracts have a fair value at December 31, 2012 of $0 and are presented in the Statement of Assets and Liabilities as such.
For the year ended December 31, 2012, the Portfolio 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.
A133
| NATURAL RESOURCES PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 6,345,477 | $ | 4,035,262 | ||||
| Net realized gain on investment and foreign currency transactions |
12,094,195 | 114,942,737 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
(42,413,654 | ) | (360,409,597 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
(23,973,982 | ) | (241,431,598 | ) | ||||
| DISTRIBUTIONS: | ||||||||
| Class I |
(73,450,794 | ) | (2,137,134 | ) | ||||
| Class II |
(5,441,151 | ) | — | |||||
| TOTAL DISTRIBUTIONS |
(78,891,945 | ) | (2,137,134 | ) | ||||
| SERIES SHARE TRANSACTIONS (Note 7): | ||||||||
| Series shares sold |
41,195,889 | 55,798,740 | ||||||
| Series shares issued in reinvestment of distributions |
78,891,945 | 2,137,134 | ||||||
| Series shares repurchased |
(148,360,752 | ) | (181,286,548 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(28,272,918 | ) | (123,350,674 | ) | ||||
| TOTAL DECREASE IN NET ASSETS | (131,138,845 | ) | (366,919,406 | ) | ||||
| NET ASSETS: | ||||||||
| Beginning of year |
994,486,288 | 1,361,405,694 | ||||||
| End of year |
$ | 863,347,443 | $ | 994,486,288 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A134
| SMALL CAPITALIZATION STOCK PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A135
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A136
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A137
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A138
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A139
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A140
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A141
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The following abbreviations are used in portfolio descriptions:
| REIT | Real Estate Investment Trust |
| * | 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 $85,545,408; cash collateral of $87,035,246 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
| (d) | Rate quoted represents yield-to-maturity as of purchase date. |
| (e) | Represents security, or a portion thereof, segregated as collateral for futures contract. |
| (f) | Includes net unrealized appreciation on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at December 31, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2012 |
Unrealized Appreciation |
|||||||||||||
| Long Position: | ||||||||||||||||||
| 81 | Russell 2000 Mini | Mar. 2013 | $ | 6,788,953 | $ | 6,857,460 | $ | 68,507 | ||||||||||
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, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 568,266,310 | $ | — | $ | — | ||||||
| Exchange Traded Fund |
2,604,393 | — | — | |||||||||
| Affiliated Money Market Mutual Fund |
92,630,800 | — | — | |||||||||
| U.S. Government Obligation |
— | 599,955 | — | |||||||||
| 663,501,503 | 599,955 | |||||||||||
| Other Financial Instruments* |
||||||||||||
| Futures contracts |
68,507 | — | — | |||||||||
| Total |
$ | 663,570,010 | $ | 599,955 | $ | — | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A142
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 was as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary type of risk associated with derivative instruments is equity 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, 2012 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 contracts |
Due from broker —variation margin | $ | 68,507 | * | $ | — | ||||||
| * | Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
A143
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2012 is as follows:
| Amount of Realized Gain on Derivatives Recognized in Income |
||||
| Derivatives not designated as hedging instruments, carried at fair value |
Futures |
|||
| Equity contracts |
$ | 1,043,804 | ||
| Change in Unrealized Appreciation on Derivatives Recognized in Income |
||||
| Derivatives not designated as hedging instruments, carried at fair value |
Futures |
|||
| Equity contracts |
$ | 31,528 | ||
For the year ended December 31, 2012, the average value at trade date for futures long position was $7,042,539.
SEE NOTES TO FINANCIAL STATEMENTS.
A144
| SMALL CAPITALIZATION STOCK PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 8,119,306 | $ | 3,433,729 | ||||
| Net realized gain on investments |
13,472,019 | 28,610,049 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
62,063,712 | (29,384,761 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
83,655,037 | 2,659,017 | ||||||
| DISTRIBUTIONS | (32,045,611 | ) | (12,229,897 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [489,166 and 894,009 shares, respectively] |
8,809,368 | 15,341,754 | ||||||
| Series shares issued in reinvestment of distributions [1,922,352 and 717,296 shares, respectively] |
32,045,611 | 12,229,897 | ||||||
| Series shares repurchased [3,160,413 and 3,850,529 shares, respectively] |
(56,707,510 | ) | (65,253,551 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(15,852,531 | ) | (37,681,900 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 35,756,895 | (47,252,780 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
542,645,273 | 589,898,053 | ||||||
| End of year |
$ | 578,402,168 | $ | 542,645,273 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A145
| STOCK INDEX PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A146
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A147
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A148
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A149
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A150
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A151
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
Open futures contracts outstanding at December 31, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at December 31, 2012 |
Unrealized Depreciation |
|||||||||||||
| Long Position: | ||||||||||||||||||
| 155 | S&P 500 Index | Mar. 2013 | $ | 55,420,766 | $ | 55,028,875 | $ | (391,891 | ) | |||||||||
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, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 2,284,169,998 | $ | — | $ | — | ||||||
| Affiliated Money Market Mutual Fund |
178,676,661 | — | — | |||||||||
| U.S. Government Obligation |
— | 2,999,772 | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures |
(391,891 | ) | — | — | ||||||||
| Total |
$ | 2,462,454,768 | $ | 2,999,772 | $ | — | ||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument. |
SEE NOTES TO FINANCIAL STATEMENTS.
A152
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 was as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments is equity 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, 2012 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 contracts |
$ | — | Due from broker — variation margin | $ | 391,891 | * | ||||||
| * | Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities. |
The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2012 is as follows:
| Amount of Realized Gain on Derivatives Recognized in Income |
||||
| Derivatives not designated as hedging instruments, carried at fair value |
Futures |
|||
| Equity contracts |
$ | 7,667,963 | ||
| Change in Unrealized Depreciation on Derivatives Recognized in Income |
||||
| Derivatives not designated as hedging instruments, carried at fair value |
Futures |
|||
| Equity contracts |
$ | (1,339,593 | ) | |
For the year ended December 31, 2012, the average value at trade date for futures long position was $48,182,801.
SEE NOTES TO FINANCIAL STATEMENTS.
A153
| STOCK INDEX PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 45,446,287 | $ | 38,928,475 | ||||
| Net realized gain on investments |
55,517,092 | 31,044,681 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
230,843,600 | (25,573,488 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
331,806,979 | 44,399,668 | ||||||
| DISTRIBUTIONS | (45,812,464 | ) | (36,002,280 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [1,497,834 and 1,251,307 shares, respectively] |
52,031,635 | 39,571,327 | ||||||
| Series shares issued in reinvestment of distributions [1,398,000 and 1,145,475 shares, respectively] |
45,812,464 | 36,002,280 | ||||||
| Series shares repurchased [5,978,533 and 6,278,327 shares, respectively] |
(205,985,546 | ) | (199,110,942 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(108,141,447 | ) | (123,537,335 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 177,853,068 | (115,139,947 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
2,162,411,347 | 2,277,551,294 | ||||||
| End of year |
$ | 2,340,264,415 | $ | 2,162,411,347 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A154
| VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A155
| VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A156
| VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 17,134,113 | $ | 12,321,325 | ||||
| Net realized gain (loss) on investments and foreign currencies |
(7,142,198 | ) | 127,551,003 | |||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
162,783,620 | (211,609,192 | ) | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
172,775,535 | (71,736,864 | ) | |||||
| DISTRIBUTIONS: | ||||||||
| Class I |
(12,289,580 | ) | (13,916,247 | ) | ||||
| Class II |
(34,396 | ) | (36,196 | ) | ||||
| TOTAL DISTRIBUTIONS |
(12,323,976 | ) | (13,952,443 | ) | ||||
| SERIES SHARE TRANSACTIONS (Note 7): | ||||||||
| Series shares sold |
7,601,414 | 11,696,328 | ||||||
| Series shares issued in reinvestment of distributions |
12,323,976 | 13,952,443 | ||||||
| Series shares repurchased |
(148,489,438 | ) | (142,367,941 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(128,564,048 | ) | (116,719,170 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 31,887,511 | (202,408,477 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
1,237,621,265 | 1,440,029,742 | ||||||
| End of year |
$ | 1,269,508,776 | $ | 1,237,621,265 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A157
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 thirteen 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.
High Yield Bond Portfolio: High total return.
Jennison Portfolio: Long-term growth of capital.
Money Market Portfolio: Maximum current income consistent with the stability of capital and maintenance of liquidity.
Natural Resources Portfolio: Long-term growth of capital.
Small Capitalization Stock Portfolio: Long-term growth of capital.
Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.
Value Portfolio: Capital appreciation.
The ability of issuers of debt securities (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 is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.
Securities Valuations: Each Portfolio holds portfolio 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 delegated fair valuation responsibilities to the Prudential Investments LLC (“PI” or “Manager”) through the adoption of Valuation Procedures for valuation of the Portfolio’s securities. Under the current Valuation Procedures, a Valuation Committee is established and responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures allow the Portfolio to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available or not representative of the fair value of the securities. A record of the Valuation Committee’s actions is subject to review, approval and ratification by the Board at its next regularly scheduled quarterly meeting.
B1
Various inputs are used in determining the value of the Portfolios’ investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following each Portfolio’s Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:
Common stock, exchange-traded funds and financial derivative instruments (including futures contracts and certain options contracts on securities), 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 of the fair value hierarchy.
In the event there is no sale or official closing price on such day, these securities are valued at the mean between the last reported bid and asked prices, or at the last bid price in absence of an asked price. These securities are classified as Level 2 of the fair value hierarchy as these inputs are considered as significant other observable inputs to the valuation.
For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Portfolio’s normal pricing time. These securities 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 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs 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 as they have the ability to be purchased or sold at their net asset value on the date of valuation.
Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.
Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with input from deal terms, tranche level attributes, yield curves, prepayment speeds, and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.
The Money Market Portfolio values all of its securities of sufficient credit quality, at amortized cost, which approximates fair value. The other Portfolios value short-term debt securities of sufficient credit quality, which mature in sixty days or less, at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assumes 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.
Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swap agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.
Securities and other assets that cannot be priced using the methods described above are valued with pricing methodologies approved by the Valuation Committee. In the event there are unobservable inputs used when determining such valuations, the securities will be classified as Level 3 of 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
B2
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: Each Portfolio may hold up to 15% of their net assets (the Money Market Portfolio may hold up to 10% of its 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.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, 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 transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults or 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 Series Fund may be delayed or limited.
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 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. The 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. 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.
B3
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.
Loan Participations: The High Yield Bond and Money Market Portfolios may invest in loan participations. When the Portfolio purchases a loan participation, the Portfolio typically enters into a contractual relationship with the lender or third party selling such participations (“Selling Participant”), but not the borrower. As a result, the Portfolio assumes the credit risk of the borrower and any other persons interpositioned between the Portfolio and the borrower. The Portfolio may not directly benefit from the collateral supporting the senior loan in which it has purchased the loan participation.
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 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.
B4
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 the counterparty (“OTC Traded”) or through a central clearing facility, such as a registered commodities exchange (“Exchange Traded”). The 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. 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. The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Certain Portfolios used interest rate swaps to generate steady cash flow by receiving a stream of fixed rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. The 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. This risk may be mitigated by having a master netting arrangement between the Portfolio and the counterparty which may permit 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.
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 (“credit event”) for the referenced party, 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.
The Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. Certain Portfolios purchased 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. The Portfolios’ maximum risk of loss from counterparty credit risk for purchased credit default swaps is the notional value of a credit default swap agreement. A master netting arrangement between the Portfolio and the counterparty that 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.
As a seller of protection on credit default swap agreements, a Portfolio will generally receive from the buyer of protection an agreed upon payment throughout the term of the swap provided that there is no credit event. As the seller, a Portfolio would effectively increase investment risk to its portfolio because, in addition to its total net assets, a 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 values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Portfolio 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 fair value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default 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
B5
asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment and/or performance risk. Wider credit spreads and increasing 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 or risk of default or other credit event occurring as defined under the terms of the agreement.
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 there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates. In connection with these agreements, securities in the portfolio may be identified as collateral 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 serve as recourse in the event of 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, 2012, 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.
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 of Trustees’ 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 using the collateral in the open market. 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.
B6
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. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are charged directly to a Portfolio or class level.
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 Portfolios is the responsibility of their partners. 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 Money Market Portfolio declares and reinvests distributions daily. The Diversified Bond, Government Income and High Yield Bond Portfolios make distributions, if any, quarterly. All other Portfolios’ distributions are generally made on an annual basis. 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”), LSV Asset Management (“LSV”), Marsico Capital Management LLC (“Marsico”), 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 | ||||
| High Yield Bond Portfolio |
0.55 | 0.55 | ||||
| Jennison Portfolio |
0.60 | 0.60 | ||||
| Money Market Portfolio |
0.40 | 0.17 | * | |||
| Natural Resources Portfolio |
0.45 | 0.45 | ||||
| Small Capitalization Stock Portfolio |
0.40 | 0.40 | ||||
| Stock Index Portfolio |
0.35% up to $4 billion 0.30% over $4 billion |
0.30 | ** | |||
| Value Portfolio |
0.40 | 0.40 | ||||
B7
| * | In order to support the income yield, PI has voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield (excluding capital gain or loss) does not fall below 0.00%. Prior to July 1, 2012, PI had voluntarily agreed to limit the management fees of the Money Market Portfolio such that the 1-day annualized yield (excluding capital gain or loss) did not fall below 0.02%. Prior to March 2, 2010, that threshold was 0.05%. The waiver is voluntary and may be modified or terminated by PI at any time without notice. During the year ended December 31, 2012, the total waiver as a result of this voluntary agreement was $2,238,233 or an annualized 0.23% of the Money Market Portfolio’s average daily net assets. |
| ** | 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. |
At December 31, 2012, 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 |
LSV, Marsico, QMA, T. Rowe & William Blair | |
| Government Income Portfolio |
PIM | |
| High Yield Bond Portfolio |
PIM | |
| Jennison Portfolio |
Jennison | |
| Money Market Portfolio |
PIM | |
| Natural Resources Portfolio |
Jennison | |
| Small Capitalization Stock Portfolio |
QMA | |
| Stock Index Portfolio |
QMA | |
| Value Portfolio |
Jennison |
The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II 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”).
The 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 within realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2012, brokerage commission recaptured under these agreements was as follows:
| Portfolio |
Commission Recaptured |
|||
| Equity Portfolio |
$ | 150,792 | ||
| Global Portfolio |
3,278 | |||
| Jennison Portfolio |
28,557 | |||
| Natural Resources Portfolio |
34,299 | |||
| Value Portfolio |
51,930 | |||
B8
| 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, 2012, PIM was compensated as follows for these services by the Series Fund Portfolios:
| Portfolio |
PIM |
|||
| Conservative Balanced Portfolio |
$ | 80,668 | ||
| Diversified Bond Portfolio |
64,035 | |||
| Equity Portfolio |
546,566 | |||
| Flexible Managed Portfolio |
55,819 | |||
| Global Portfolio |
34,854 | |||
| Government Income Portfolio |
5,974 | |||
| High Yield Bond Portfolio |
443,240 | |||
| Jennison Portfolio |
59,946 | |||
| Natural Resources Portfolio |
98,756 | |||
| Small Capitalization Stock Portfolio |
254,749 | |||
| Stock Index Portfolio |
96,215 | |||
| Value Portfolio |
18,865 | |||
Certain Portfolios invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities and Exchange Commission 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, 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, 2012 were as follows:
| Portfolio |
Cost of Purchases |
Proceeds from Sales |
||||||
| Conservative Balanced Portfolio |
$ | 3,027,076,428 | $ | 3,124,109,519 | ||||
| Diversified Bond Portfolio |
1,100,850,694 | 1,443,209,685 | ||||||
| Equity Portfolio |
1,468,458,591 | 1,706,309,866 | ||||||
| Flexible Managed Portfolio |
5,348,778,903 | 5,449,118,743 | ||||||
| Global Portfolio |
324,562,963 | 366,366,916 | ||||||
| Government Income Portfolio |
4,471,531,989 | 4,521,968,356 | ||||||
| High Yield Bond Portfolio |
1,773,933,760 | 1,257,704,491 | ||||||
| Jennison Portfolio |
558,404,196 | 647,558,973 | ||||||
| Natural Resources Portfolio |
238,769,289 | 348,225,200 | ||||||
| Small Capitalization Stock Portfolio |
53,862,533 | 93,131,321 | ||||||
| Stock Index Portfolio |
48,232,425 | 160,463,387 | ||||||
| Value Portfolio |
352,240,923 | 488,799,125 | ||||||
Options written transactions, during the year ended December 31, 2012, were as follows:
| Conservative Balanced Portfolio |
Contracts |
Premiums |
||||||
| Balance as of December 31, 2011 |
— | $ | — | |||||
| Options written |
259 | 37,175 | ||||||
| Options terminated in closing purchase transactions |
(259 | ) | (37,175 | ) | ||||
| Options expired |
— | — | ||||||
| Balance as of December 31, 2012 |
— | $ | — | |||||
B9
| Diversified Bond Portfolio |
Contracts |
Premiums |
||||||
| Balance as of December 31, 2011 |
— | $ | — | |||||
| Options written |
577 | 97,856 | ||||||
| Options terminated in closing purchase transactions |
(577 | ) | (97,856 | ) | ||||
| Options expired |
— | — | ||||||
| Balance as of December 31, 2012 |
— | $ | — | |||||
| Flexible Managed Portfolio |
Contracts |
Premiums |
||||||
| Balance as of December 31, 2011 |
— | $ | — | |||||
| Options written |
339 | 48,461 | ||||||
| Options terminated in closing purchase transactions |
(339 | ) | (48,461 | ) | ||||
| Options expired |
— | — | ||||||
| Balance as of December 31, 2012 |
— | $ | — | |||||
| Government Income Portfolio |
Contracts |
Premiums |
||||||
| Balance as of December 31, 2011 |
— | $ | — | |||||
| Options written |
245 | 35,176 | ||||||
| Options terminated in closing purchase transactions |
(245 | ) | (35,176 | ) | ||||
| Options expired |
— | — | ||||||
| Balance as of December 31, 2012 |
— | $ | — | |||||
| 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 contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2012, the Equity, Jennison, Natural Resources and Value Portfolios have Class II shares outstanding.
B10
Transactions in shares of beneficial interest of the Equity, Jennison, Natural Resources and Value Portfolios were as follows:
Equity Portfolio:
| Class I |
Shares |
Amount |
||||||
| 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 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
781,393 | $ | 19,351,385 | |||||
| Series shares issued in reinvestment of distributions |
887,087 | 22,097,344 | ||||||
| Series shares repurchased |
(9,666,900 | ) | (241,561,350 | ) | ||||
| Net increase (decrease) in shares outstanding |
(7,998,420 | ) | $ | (200,112,621 | ) | |||
| Class II |
||||||||
| 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 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
23,819 | $ | 618,805 | |||||
| Series shares issued in reinvestment of distributions |
159 | 4,010 | ||||||
| Series shares repurchased |
(18,984 | ) | (458,348 | ) | ||||
| Net increase (decrease) in shares outstanding |
4,994 | $ | 164,467 | |||||
Jennison Portfolio:
| Class I |
Shares |
Amount |
||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
1,025,506 | $ | 27,133,671 | |||||
| Series shares issued in reinvestment of distributions |
75,735 | 1,936,533 | ||||||
| Series shares repurchased |
(4,559,725 | ) | (120,020,319 | ) | ||||
| Net increase (decrease) in shares outstanding |
(3,458,484 | ) | $ | (90,950,115 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
960,647 | $ | 23,005,710 | |||||
| Series shares issued in reinvestment of distributions |
152,637 | 3,609,872 | ||||||
| Series shares repurchased |
(11,249,998 | ) | (275,658,994 | ) | ||||
| Net increase (decrease) in shares outstanding |
(10,136,714 | ) | $ | (249,043,412 | ) | |||
| Class II |
||||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
466,072 | $ | 12,156,641 | |||||
| Series shares issued in reinvestment of distributions |
— | — | ||||||
| Series shares repurchased |
(592,524 | ) | (15,413,992 | ) | ||||
| Net increase (decrease) in shares outstanding |
(126,452 | ) | $ | (3,257,351 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
317,015 | $ | 7,584,519 | |||||
| Series shares issued in reinvestment of distributions |
— | — | ||||||
| Series shares repurchased |
(372,193 | ) | (8,715,225 | ) | ||||
| Net increase (decrease) in shares outstanding |
(55,178 | ) | $ | (1,130,706 | ) | |||
B11
Natural Resources Portfolio:
| Class I |
Shares |
Amount |
||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
364,027 | $ | 13,108,269 | |||||
| Series shares issued in reinvestment of distributions |
2,374,743 | 73,450,794 | ||||||
| Series shares repurchased |
(3,246,104 | ) | (115,601,851 | ) | ||||
| Net increase (decrease) in shares outstanding |
(507,334 | ) | $ | (29,042,788 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
412,131 | $ | 18,208,621 | |||||
| Series shares issued in reinvestment of distributions |
47,177 | 2,137,134 | ||||||
| Series shares repurchased |
(2,846,544 | ) | (127,557,784 | ) | ||||
| Net increase (decrease) in shares outstanding |
(2,387,236 | ) | $ | (107,212,029 | ) | |||
| Class II |
||||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
736,538 | $ | 28,087,620 | |||||
| Series shares issued in reinvestment of distributions |
177,121 | 5,441,151 | ||||||
| Series shares repurchased |
(879,763 | ) | (32,758,901 | ) | ||||
| Net increase (decrease) in shares outstanding |
33,896 | $ | 769,870 | |||||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
875,550 | $ | 37,590,119 | |||||
| Series shares issued in reinvestment of distributions |
— | — | ||||||
| Series shares repurchased |
(1,252,490 | ) | (53,728,764 | ) | ||||
| Net increase (decrease) in shares outstanding |
(376,940 | ) | $ | (16,138,645 | ) | |||
Value Portfolio:
| Class I |
Shares |
Amount |
||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
430,235 | $ | 7,336,846 | |||||
| Series shares issued in reinvestment of distributions |
770,990 | 12,289,580 | ||||||
| Series shares repurchased |
(8,582,460 | ) | (147,590,033 | ) | ||||
| Net increase (decrease) in shares outstanding |
(7,381,235 | ) | $ | (127,963,607 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
661,360 | $ | 11,056,833 | |||||
| Series shares issued in reinvestment of distributions |
806,739 | 13,916,247 | ||||||
| Series shares repurchased |
(8,283,301 | ) | (141,040,811 | ) | ||||
| Net increase (decrease) in shares outstanding |
(6,815,202 | ) | $ | (116,067,731 | ) | |||
| Class II |
||||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
15,559 | $ | 264,568 | |||||
| Series shares issued in reinvestment of distributions |
2,138 | 34,396 | ||||||
| Series shares repurchased |
(51,890 | ) | (899,405 | ) | ||||
| Net increase (decrease) in shares outstanding |
(34,193 | ) | $ | (600,441 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
36,870 | $ | 639,495 | |||||
| Series shares issued in reinvestment of distributions |
2,080 | 36,196 | ||||||
| Series shares repurchased |
(78,020 | ) | (1,327,130 | ) | ||||
| Net increase (decrease) in shares outstanding |
(39,070 | ) | $ | (651,439 | ) | |||
B12
| Note 8: | Borrowings |
The Portfolios (excluding the Money Market Portfolio), 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 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. Prior to November 15, 2012, 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 following Portfolios utilized the SCA during the year ended December 31, 2012. The average balance outstanding is for the number of days the Portfolio had utilized the credit facility.
| Portfolio |
Approximate Average Balance Outstanding |
Number of Days Outstanding |
Weighted Average Interest Rates |
Amount Outstanding at December 31, 2012 |
||||||||||||
| Equity Portfolio |
$ | 340,000 | 1 | 1.49 | % | $ | — | |||||||||
| Jennison Portfolio |
369,000 | 5 | 1.51 | — | ||||||||||||
| Note 9: | Ownership and Affiliates |
As of December 31, 2012, 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.
| Note 10: | New Accounting Pronouncement |
In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-11 regarding “Disclosures about Offsetting Assets and Liabilities”. The amendments, which will be effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods, require an entity to disclose information about offsetting and related arrangements for assets and liabilities, financial instruments and derivatives that are either currently offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements. At this time, management is evaluating the implications of ASU No. 2011-11 and its impact on the financial statements has not been determined.
B13
Financial Highlights
| Conservative Balanced Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 16.32 | $ | 15.96 | $ | 14.65 | $ | 12.69 | $ | 16.69 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.38 | .36 | .37 | .39 | .50 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.43 | .37 | 1.31 | 2.08 | (3.98 | ) | ||||||||||||||
| Total from investment operations |
1.81 | .73 | 1.68 | 2.47 | (3.48 | ) | ||||||||||||||
| Less Distributions |
(.36 | ) | (.37 | ) | (.37 | ) | (.51 | ) | (.52 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 17.77 | $ | 16.32 | $ | 15.96 | $ | 14.65 | $ | 12.69 | ||||||||||
| Total Return(b) |
11.23 | % | 4.60 | % | 11.74 | % | 20.01 | % | (21.41 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 2,287.0 | $ | 2,191.6 | $ | 2,234.7 | $ | 2,138.7 | $ | 1,957.5 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses |
.58 | % | .59 | % | .59 | % | .59 | % | .59 | % | ||||||||||
| Net investment income |
2.11 | % | 2.12 | % | 2.32 | % | 2.68 | % | 3.12 | % | ||||||||||
| Portfolio turnover rate(d) |
188 | % | 215 | % | 185 | % | 250 | % | 336 | % | ||||||||||
| Diversified Bond Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012(a) |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 11.74 | $ | 11.67 | $ | 11.16 | $ | 9.89 | $ | 10.90 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.54 | .56 | .52 | .50 | .54 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
.66 | .30 | .63 | 1.46 | (.90 | ) | ||||||||||||||
| Total from investment operations |
1.20 | .86 | 1.15 | 1.96 | (.36 | ) | ||||||||||||||
| Less Distributions |
(1.06 | ) | (.79 | ) | (.64 | ) | (.69 | ) | (.65 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 11.88 | $ | 11.74 | $ | 11.67 | $ | 11.16 | $ | 9.89 | ||||||||||
| Total Return(b) |
10.68 | % | 7.51 | % | 10.57 | % | 20.51 | % | (3.46 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 1,305.9 | $ | 1,556.9 | $ | 1,522.9 | $ | 1,363.5 | $ | 1,134.8 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses |
.44 | % | .42 | % | .46 | % | .44 | % | .44 | % | ||||||||||
| Net investment income |
4.57 | % | 4.76 | % | 4.46 | % | 4.79 | % | 5.07 | % | ||||||||||
| Portfolio turnover rate |
144 | % | 167 | % | 191 | % | 401 | % | 723 | % | ||||||||||
| (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.
C1
Financial Highlights
| Equity Portfolio |
||||||||||||||||||||
| Class I |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012(c) |
2011 |
2010 |
2009 |
2008(c) |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 23.73 | $ | 24.75 | $ | 22.30 | $ | 16.40 | $ | 29.67 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.27 | .13 | .15 | .16 | .29 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
2.96 | (.98 | ) | 2.48 | 6.04 | (10.52 | ) | |||||||||||||
| Total from investment operations |
3.23 | (.85 | ) | 2.63 | 6.20 | (10.23 | ) | |||||||||||||
| Less Distributions: |
(.15 | ) | (.17 | ) | (.18 | ) | (.30 | ) | (3.04 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 26.81 | $ | 23.73 | $ | 24.75 | $ | 22.30 | $ | 16.40 | ||||||||||
| Total Return(a) |
13.69 | % | (3.47 | )% | 11.90 | % | 38.17 | % | (38.16 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 3,167.0 | $ | 2,997.5 | $ | 3,324.3 | $ | 3,195.1 | $ | 2,521.0 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.47 | % | .48 | % | .48 | % | .48 | % | .48 | % | ||||||||||
| Net investment income |
1.04 | % | .58 | % | .71 | % | .90 | % | 1.21 | % | ||||||||||
| Portfolio turnover rate |
48 | % | 49 | % | 68 | % | 98 | % | 67 | % | ||||||||||
| Equity Portfolio |
||||||||||||||||||||
| Class II |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012(c) |
2011 |
2010 |
2009 |
2008(c) |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 23.99 | $ | 25.00 | $ | 22.46 | $ | 16.47 | $ | 29.81 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.17 | .06 | .04 | .09 | .19 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
3.00 | (1.03 | ) | 2.54 | 6.07 | (10.61 | ) | |||||||||||||
| Total from investment operations |
3.17 | (.97 | ) | 2.58 | 6.16 | (10.42 | ) | |||||||||||||
| Less Distributions: |
(.06 | ) | (.04 | ) | (.04 | ) | (.17 | ) | (2.92 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 27.10 | $ | 23.99 | $ | 25.00 | $ | 22.46 | $ | 16.47 | ||||||||||
| Total Return(a) |
13.23 | % | (3.87 | )% | 11.50 | % | 37.58 | % | (38.47 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 1.8 | $ | 2.0 | $ | 1.9 | $ | .4 | $ | .4 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.87 | % | .88 | % | .88 | % | .88 | % | .88 | % | ||||||||||
| Net investment income |
.63 | % | .19 | % | .34 | % | .52 | % | .78 | % | ||||||||||
| Portfolio turnover rate |
48 | % | 49 | % | 68 | % | 98 | % | 67 | % | ||||||||||
| (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) | Calculation based on average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
| Flexible Managed Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 15.99 | $ | 15.63 | $ | 14.28 | $ | 12.34 | $ | 18.30 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.37 | .33 | .31 | .34 | .45 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.74 | .34 | 1.37 | 2.05 | (4.62 | ) | ||||||||||||||
| Total from investment operations |
2.11 | .67 | 1.68 | 2.39 | (4.17 | ) | ||||||||||||||
| Less Distributions |
(.33 | ) | (.31 | ) | (.33 | ) | (.45 | ) | (1.79 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 17.77 | $ | 15.99 | $ | 15.63 | $ | 14.28 | $ | 12.34 | ||||||||||
| Total Return(a) |
13.37 | % | 4.34 | % | 12.03 | % | 19.95 | % | (24.82 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 3,265.8 | $ | 3,036.8 | $ | 3,077.3 | $ | 2,906.0 | $ | 2,621.6 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.63 | % | .63 | % | .64 | % | .63 | % | .64 | % | ||||||||||
| Net investment income |
2.05 | % | 2.01 | % | 2.06 | % | 2.50 | % | 2.85 | % | ||||||||||
| Portfolio turnover rate(c) |
214 | % | 246 | % | 205 | % | 248 | % | 321 | % | ||||||||||
| Global Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 16.94 | $ | 18.49 | $ | 16.68 | $ | 13.07 | $ | 24.62 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.36 | .29 | .28 | .28 | .40 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
2.57 | (1.56 | ) | 1.79 | 3.75 | (10.38 | ) | |||||||||||||
| Total from investment operations |
2.93 | (1.27 | ) | 2.07 | 4.03 | (9.98 | ) | |||||||||||||
| Less Distributions |
(.30 | ) | (.28 | ) | (.26 | ) | (.42 | ) | (1.57 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 19.57 | $ | 16.94 | $ | 18.49 | $ | 16.68 | $ | 13.07 | ||||||||||
| Total Return(a) |
17.52 | % | (6.97 | )% | 12.74 | % | 31.39 | % | (42.92 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 611.2 | $ | 564.2 | $ | 648.5 | $ | 619.5 | $ | 512.7 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.84 | % | .84 | % | .87 | % | .85 | % | .84 | % | ||||||||||
| Net investment income |
1.82 | % | 1.54 | % | 1.60 | % | 1.77 | % | 2.01 | % | ||||||||||
| Portfolio turnover rate |
57 | % | 69 | % | 69 | % | 50 | % | 65 | % | ||||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
| Government Income Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 12.37 | $ | 12.03 | $ | 11.86 | $ | 11.40 | $ | 11.38 | ||||||||||
| Income From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.25 | .30 | .35 | .37 | .45 | |||||||||||||||
| Net realized and unrealized gain on investments |
.19 | .60 | .47 | .49 | .03 | |||||||||||||||
| Total from investment operations |
.44 | .90 | .82 | .86 | .48 | |||||||||||||||
| Less Distributions |
(.66 | ) | (.56 | ) | (.65 | ) | (.40 | ) | (.46 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 12.15 | $ | 12.37 | $ | 12.03 | $ | 11.86 | $ | 11.40 | ||||||||||
| Total Return(a) |
3.63 | % | 7.63 | % | 6.99 | % | 7.71 | % | 4.30 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 382.9 | $ | 416.7 | $ | 399.2 | $ | 375.4 | $ | 370.5 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.48 | % | .46 | % | .50 | % | .47 | % | .52 | %(d) | ||||||||||
| Net investment income |
1.96 | % | 2.48 | % | 2.87 | % | 3.11 | % | 3.98 | %(d) | ||||||||||
| Portfolio turnover rate(c) |
1154 | % | 1554 | % | 1122 | % | 1179 | % | 2707 | % | ||||||||||
| High Yield Bond Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 4.93 | $ | 5.06 | $ | 4.83 | $ | 3.61 | $ | 5.09 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.35 | .38 | .42 | .41 | .41 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
.34 | (.13 | ) | .23 | 1.22 | (1.48 | ) | |||||||||||||
| Total from investment operations |
.69 | .25 | .65 | 1.63 | (1.07 | ) | ||||||||||||||
| Less Distributions |
(.36 | ) | (.38 | ) | (.42 | ) | (.41 | ) | (.41 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 5.26 | $ | 4.93 | $ | 5.06 | $ | 4.83 | $ | 3.61 | ||||||||||
| Total Return(a) |
14.43 | % | 5.10 | % | 14.05 | % | 47.16 | % | (22.28 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 2,841.8 | $ | 2,158.4 | $ | 2,141.2 | $ | 1,938.3 | $ | 1,239.9 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.57 | % | .58 | % | .58 | % | .58 | % | .58 | % | ||||||||||
| Net investment income |
6.95 | % | 7.53 | % | 8.51 | % | 9.75 | % | 8.78 | % | ||||||||||
| Portfolio turnover rate |
53 | % | 68 | % | 89 | % | 84 | % | 61 | % | ||||||||||
| (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) | Includes interest expense of .03%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C4
Financial Highlights
| Jennison Portfolio |
||||||||||||||||||||
| Class I |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012(a) |
2011 |
2010(a) |
2009(a) |
2008(a) |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 23.26 | $ | 23.26 | $ | 20.87 | $ | 14.69 | $ | 23.53 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.11 | .03 | .06 | .08 | .10 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
3.65 | .04 | 2.42 | 6.22 | (8.84 | ) | ||||||||||||||
| Total from investment operations |
3.76 | .07 | 2.48 | 6.30 | (8.74 | ) | ||||||||||||||
| Less Distributions |
(.04 | ) | (.07 | ) | (.09 | ) | (.12 | ) | (.10 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 26.98 | $ | 23.26 | $ | 23.26 | $ | 20.87 | $ | 14.69 | ||||||||||
| Total Return(b) |
16.18 | % | .30 | % | 11.95 | % | 43.03 | % | (37.28 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 1,213.3 | $ | 1,126.3 | $ | 1,362.1 | $ | 1,298.7 | $ | 1,148.0 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses |
.63 | % | .64 | % | .64 | % | .64 | % | .63 | % | ||||||||||
| Net investment income |
.42 | % | .16 | % | .29 | % | .44 | % | .52 | % | ||||||||||
| Portfolio turnover rate |
45 | % | 51 | % | 67 | % | 76 | % | 74 | % | ||||||||||
| Jennison Portfolio |
||||||||||||||||||||
| Class II |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012(a) |
2011 |
2010(a) |
2009(a) |
2008(a) |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 22.89 | $ | 22.91 | $ | 20.55 | $ | 14.46 | $ | 23.17 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income (loss) |
— | (d) | (.07 | ) | (.02 | ) | .01 | .02 | ||||||||||||
| Net realized and unrealized gain (loss) on investments |
3.60 | .05 | 2.38 | 6.13 | (8.72 | ) | ||||||||||||||
| Total from investment operations |
3.60 | (.02 | ) | 2.36 | 6.14 | (8.70 | ) | |||||||||||||
| Less Distributions |
— | — | — | (d) | (.05 | ) | (.01 | ) | ||||||||||||
| Net Asset Value, end of year |
$ | 26.49 | $ | 22.89 | $ | 22.91 | $ | 20.55 | $ | 14.46 | ||||||||||
| Total Return(b) |
15.73 | % | (.09 | )% | 11.50 | % | 42.52 | % | (37.55 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 33.6 | $ | 31.9 | $ | 33.2 | $ | 20.2 | $ | 12.2 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses |
1.03 | % | 1.04 | % | 1.04 | % | 1.04 | % | 1.03 | % | ||||||||||
| Net investment income (loss) |
.02 | % | (.24 | )% | (.10 | )% | .03 | % | .12 | % | ||||||||||
| Portfolio turnover rate |
45 | % | 51 | % | 67 | % | 76 | % | 74 | % | ||||||||||
| (a) | Calculated based upon 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) | Less than $0.005 per share. |
SEE NOTES TO FINANCIAL STATEMENTS.
C5
Financial Highlights
| Money Market Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
| Income From Investment Operations: |
||||||||||||||||||||
| Net investment income and realized gains |
— | (a) | — | (a) | — | (a) | .04 | .26 | ||||||||||||
| Distributions |
— | (a) | — | (a) | — | (a) | (.04 | ) | (.26 | ) | ||||||||||
| Capital contributions(d) |
— | — | — | (a) | — | — | ||||||||||||||
| Net Asset Value, end of year |
$ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
| Total Return(b) |
.01 | % | .02 | % | .03 | % | .40 | % | 2.65 | % | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 903.5 | $ | 1,016.0 | $ | 1,127.1 | $ | 1,223.4 | $ | 1,489.8 | ||||||||||
| Ratios to average net assets: |
||||||||||||||||||||
| Expenses |
.21 | %(c) | .18 | %(c) | .25 | %(c) | .39 | %(c) | .43 | % | ||||||||||
| Net investment income |
.01 | %(c) | .02 | %(c) | .03 | %(c) | .41 | %(c) | 2.59 | % | ||||||||||
| (a) | Less than $.005 per share. |
| (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) | Net of management fee waiver (Note 3). If the investment manager had not waived expenses, the expense ratio and the net investment income(loss) ratio would have been .44% and (.22)% for the year ended December 31, 2012, .42% and (.22)% for the year ended December 31, 2011, .44% and (.16)% for the year ended December 31, 2010 and .43% and .37% for the year ended December 31, 2009, respectively. |
| (d) | The Portfolio received payments related to an unaffiliated-third-party’s settlement of regulatory proceedings involving allegations of improper trading in Portfolio shares during the fiscal year ended December 31, 2010. The Portfolio was not involved in the proceedings or in the calculation of the amount of settlement. |
SEE NOTES TO FINANCIAL STATEMENTS.
C6
Financial Highlights
| Natural Resources Portfolio |
||||||||||||||||||||
| Class I |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011(a) |
2010(a) |
2009(a) |
2008(a) |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 38.25 | $ | 47.33 | $ | 37.15 | $ | 23.70 | $ | 56.28 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.25 | .16 | .08 | .15 | .22 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
(1.49 | ) | (9.16 | ) | 10.26 | 17.34 | (25.97 | ) | ||||||||||||
| Total from investment operations |
(1.24 | ) | (9.00 | ) | 10.34 | 17.49 | (25.75 | ) | ||||||||||||
| Less Distributions |
(3.18 | ) | (.08 | ) | (.16 | ) | (4.04 | ) | (6.83 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 33.83 | $ | 38.25 | $ | 47.33 | $ | 37.15 | $ | 23.70 | ||||||||||
| Total Return(b) |
(2.47 | )% | (19.03 | )% | 27.98 | % | 77.10 | % | (53.00 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 802.2 | $ | 926.6 | $ | 1,259.5 | $ | 1,079.6 | $ | 677.4 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses |
.50 | % | .50 | % | .50 | % | .53 | % | .50 | % | ||||||||||
| Net investment income |
.71 | % | .36 | % | .22 | % | .51 | % | .47 | % | ||||||||||
| Portfolio turnover rate |
26 | % | 34 | % | 28 | % | 27 | % | 40 | % | ||||||||||
| Natural Resources Portfolio |
||||||||||||||||||||
| Class II |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011(a) |
2010(a) |
2009(a) |
2008(a) |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 37.89 | $ | 46.98 | $ | 36.88 | $ | 23.54 | $ | 55.92 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income (loss) |
.12 | (.02 | ) | (.07 | ) | .03 | .05 | |||||||||||||
| Net realized and unrealized gain (loss) on investments |
(1.51 | ) | (9.07 | ) | 10.20 | 17.21 | (25.86 | ) | ||||||||||||
| Total from investment operations |
(1.39 | ) | (9.09 | ) | 10.13 | 17.24 | (25.81 | ) | ||||||||||||
| Less Distributions |
(3.00 | ) | — | (.03 | ) | (3.90 | ) | (6.57 | ) | |||||||||||
| Net Asset Value, end of year |
$ | 33.50 | $ | 37.89 | $ | 46.98 | $ | 36.88 | $ | 23.54 | ||||||||||
| Total Return(b) |
(2.94 | )% | (19.35 | )% | 27.48 | % | 76.41 | % | (53.19 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 61.2 | $ | 67.9 | $ | 101.9 | $ | 92.6 | $ | 42.3 | ||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||
| Expenses |
.90 | % | .90 | % | .90 | % | .93 | % | .90 | % | ||||||||||
| Net investment income (loss) |
.31 | % | (.04 | )% | (.18 | )% | .10 | % | .12 | % | ||||||||||
| Portfolio turnover rate |
26 | % | 34 | % | 28 | % | 27 | % | 40 | % | ||||||||||
| (a) | Calculated based upon 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.
C7
Financial Highlights
| Small Capitalization Stock Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 17.00 | $ | 17.27 | $ | 13.83 | $ | 12.52 | $ | 21.31 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.26 | .10 | .13 | .14 | .24 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
2.35 | — | (c) | 3.43 | 2.70 | (5.92 | ) | |||||||||||||
| Total from investment operations |
2.61 | .10 | 3.56 | 2.84 | (5.68 | ) | ||||||||||||||
| Less Distributions |
(1.05 | ) | (.37 | ) | (.12 | ) | (1.53 | ) | (3.11 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 18.56 | $ | 17.00 | $ | 17.27 | $ | 13.83 | $ | 12.52 | ||||||||||
| Total Return(a) |
16.03 | % | .56 | % | 25.93 | % | 25.18 | % | (31.04 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 578.4 | $ | 542.6 | $ | 589.9 | $ | 492.2 | $ | 432.5 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.46 | % | .48 | % | .49 | % | .49 | % | .47 | % | ||||||||||
| Net investment income |
1.43 | % | .60 | % | .88 | % | 1.03 | % | 1.33 | % | ||||||||||
| Portfolio turnover rate |
10 | % | 17 | % | 15 | % | 14 | % | 25 | % | ||||||||||
| Stock Index Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 31.47 | $ | 31.37 | $ | 27.89 | $ | 22.76 | $ | 36.84 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.68 | .54 | .48 | .49 | .64 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
4.19 | .07 | 3.51 | 5.32 | (14.02 | ) | ||||||||||||||
| Total from investment operations |
4.87 | .61 | 3.99 | 5.81 | (13.38 | ) | ||||||||||||||
| Less Distributions |
(.69 | ) | (.51 | ) | (.51 | ) | (.68 | ) | (.70 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 35.65 | $ | 31.47 | $ | 31.37 | $ | 27.89 | $ | 22.76 | ||||||||||
| Total Return(a) |
15.68 | % | 1.95 | % | 14.59 | % | 26.07 | % | (36.94 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 2,340.3 | $ | 2,162.4 | $ | 2,277.6 | $ | 2,098.1 | $ | 1,815.8 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.32 | %(d) | .33 | %(d) | .36 | %(d) | .37 | % | .37 | % | ||||||||||
| Net investment income |
1.97 | %(d) | 1.74 | %(d) | 1.70 | %(d) | 2.06 | % | 2.04 | % | ||||||||||
| Portfolio turnover rate |
2 | % | 2 | % | 4 | % | 5 | % | 4 | % | ||||||||||
| (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) | Less than $0.005 per share. |
| (d) | Net of management fee waiver (Note 3). If the investment manager had not waived expenses, the expense ratio and the net investment income ratio would have been .37% and 1.92% for the year ended December 31, 2012, .38% and 1.69% for the year ended December 31, 2011 and .38% and 1.68% for the year ended December 31, 2010, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
C8
Financial Highlights
| Value Portfolio |
||||||||||||||||||||
| Class I |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 15.93 | $ | 17.04 | $ | 15.10 | $ | 10.86 | $ | 23.44 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.22 | .14 | .17 | .14 | .30 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
2.09 | (1.08 | ) | 1.90 | 4.36 | (8.36 | ) | |||||||||||||
| Total from investment operations |
2.31 | (.94 | ) | 2.07 | 4.50 | (8.06 | ) | |||||||||||||
| Less Distributions |
(.17 | ) | (.17 | ) | (.13 | ) | (.26 | ) | (4.52 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 18.07 | $ | 15.93 | $ | 17.04 | $ | 15.10 | $ | 10.86 | ||||||||||
| Total Return(a) |
14.62 | % | (5.58 | )% | 13.86 | % | 41.93 | % | (42.29 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 1,263.3 | $ | 1,231.6 | $ | 1,432.9 | $ | 1,181.7 | $ | 933.1 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.43 | % | .43 | % | .44 | % | .43 | % | .43 | % | ||||||||||
| Net investment income |
1.36 | % | .90 | % | 1.08 | % | 1.15 | % | 1.46 | % | ||||||||||
| Portfolio turnover rate |
28 | % | 43 | % | 63 | % | 51 | % | 71 | % | ||||||||||
| Value Portfolio |
||||||||||||||||||||
| Class II |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 16.04 | $ | 17.13 | $ | 15.16 | $ | 10.91 | $ | 23.51 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.17 | .08 | .12 | .13 | .21 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
2.08 | (1.08 | ) | 1.90 | 4.33 | (8.38 | ) | |||||||||||||
| Total from investment operations |
2.25 | (1.00 | ) | 2.02 | 4.46 | (8.17 | ) | |||||||||||||
| Less Distributions |
(.09 | ) | (.09 | ) | (.05 | ) | (.21 | ) | (4.43 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 18.20 | $ | 16.04 | $ | 17.13 | $ | 15.16 | $ | 10.91 | ||||||||||
| Total Return(a) |
14.14 | % | (5.89 | )% | 13.39 | % | 41.26 | % | (42.56 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 6.2 | $ | 6.0 | $ | 7.1 | $ | 3.7 | $ | 1.7 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.83 | % | .83 | % | .84 | % | .83 | % | .83 | % | ||||||||||
| Net investment income |
.95 | % | .50 | % | .69 | % | .74 | % | 1.08 | % | ||||||||||
| Portfolio turnover rate |
28 | % | 43 | % | 63 | % | 51 | % | 71 | % | ||||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
C9
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, High Yield Bond Portfolio, Jennison Portfolio, Money Market Portfolio, Natural Resources Portfolio, Small Capitalization Stock Portfolio, Stock Index Portfolio and Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2012, 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, 2012, 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, 2012, and 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 15, 2013
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 (45) No. of Portfolios Overseen: 92 |
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 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | None. | ||
| Sherry S. Barrat (63) No. of Portfolios Overseen: 92 |
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.). | ||
| Kay Ryan Booth (62) No. of Portfolios Overseen: 92 |
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 (74) No. of Portfolios Overseen: 92 |
Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None. | ||
| W. Scott McDonald, Jr., Ph.D. (75) No. of Portfolios Overseen: 92 |
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 (71) No. of Portfolios Overseen: 92 |
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. | ||
| Thomas M. O’Brien (62) No. of Portfolios Overseen: 92 |
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. |
E1
| Independent Trustees(1) | ||||
| Name, Address, Age No. of Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
| F. Don Schwartz (77) No. of Portfolios Overseen: 92 |
Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute. | None. | ||
| Interested Trustees(1) | ||||
| Robert F. O’Donnell (44) No. of Portfolios Overseen: 92 |
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. | ||
| Robert F. Gunia (66) No. of Portfolios Overseen: 92 |
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. | ||
| Timothy S. Cronin (47) Number of Portfolios Overseen: 92 |
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. |
(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; Timothy S. Cronin, 2011; 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; F. Don Schwartz, 2003.
| Fund Officers(a)(1) | ||
| Name, Address and Age Position with the Fund |
Principal Occupation(s) During the Past Five Years | |
| Raymond A. O’Hara (57) 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 (54) Secretary |
Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Jonathan D. Shain (54) Assistant Secretary |
Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Claudia DiGiacomo (38) Assistant Secretary |
Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). | |
| Andrew R. French (50) 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 PI; Vice President and Assistant Secretary (since January 2007) of PMFS. | |
| Amanda S. Ryan (35) Assistant Secretary |
Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of PI; Associate at Ropes & Gray (2008-2012). | |
| Valerie M. Simpson (53) Chief Compliance Officer |
Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President – Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance. | |
| Theresa C. Thompson (50) Deputy Chief Compliance Officer |
Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (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 (44) 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 (53) Treasurer and Principal Financial and Accounting Officer |
Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; 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 (49) Assistant Treasurer |
Vice President (since 2005) of Prudential Investments LLC. | |
| Peter Parrella (54) 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 (56) Assistant Treasurer |
Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. O’Donnell and Mr. Cronin, interested Board Members 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; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; Amanda S. Ryan, 2012; Andrew R. French, 2006; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006; Richard W. Kinville, 2011.
Explanatory Notes to Tables:
Trustees 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. Robert O’Donnell and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.
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 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.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life contract. The prospectuses contain information on the contract and the investment objectives, risks, charges and expenses of the portfolios, and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. Information regarding how the Fund 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 Fund’s website at www.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end 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 (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced above, variable life insurance contract owners.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (800)778-2255.
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy that you have chosen. Please refer to your variable life insurance prospectus to determine which portfolios are available to you.
Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.
All are Prudential Financial companies, and each is solely responsible for its financial condition and contractual obligations.
Life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
|
The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 |
PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801 | |||
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.
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.
0239280-00001-00 PSF-AR-A-ILI
THE PRUDENTIAL SERIES FUND
ANNUAL REPORT Ÿ DECEMBER 31, 2012
|
| The Prudential Series Fund Table of Contents |
Annual Report | December 31, 2012 |
| n | LETTER TO CONTRACT OWNERS |
| n | MANAGEMENT REVIEW |
| n | PRESENTATION OF PORTFOLIO HOLDINGS |
| n | FEES AND EXPENSES TABLE |
| n | FINANCIAL REPORTS |
| Section A | Schedule of Investments and Financial Statements | |||
| SP International Growth Portfolio | A1 | |||
| SP International Value Portfolio | A6 | |||
| SP Prudential U.S. Emerging Growth Portfolio | A13 | |||
| SP Small Cap Value Portfolio | A17 | |||
| Section B | Notes to Financial Statements | |||
| Section C | Financial Highlights | |||
| Section D | Report of Independent Registered Public Accounting Firm | |||
| Section E | Information about Trustees and Officers | |||
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuity prospectus to determine which portfolios are available to you.
| The Prudential Series Fund Letter to Contract Owners |
Annual Report | December 31, 2012 |
| n | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund 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,
Robert F. O’Donnell
President,
| The Prudential Series Fund |
January 31, 2013 |
| The Prudential Series Fund, SP International Growth Portfolio |
December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012 the SP International Growth Portfolio Class I shares returned 22.40% and the Class II shares returned 21.86%.
The Portfolio’s assets are independently subadvised by William Blair & Company, Marsico Capital Management, LLC, and Jennison Associates LLC. The Portfolio’s investment objective is long-term growth of capital.
The MSCI EAFE Index (GD) (the Index) climbed by 17.90% for the year. Growth style international stocks slightly trailed international value. The Index’s return was dominated by its financials sector, which makes up almost a quarter of the Index by capitalization and which rose more than 28% in U.S. Dollars. The consumer discretionary sector also made a significant contribution. Japan lagged considerably behind, and Europe, despite the economic uncertainty there, turned in a strong performance. The United Kingdom was about average. The international telecommunications, energy, and utilities sectors had negative returns over the year.
The Portfolio beat the Index primarily because of good stock selection, as information technology holdings of all three managers advanced significantly. Selections in western European countries, such as the Netherlands, Spain, Germany, France, and the United Kingdom, enhanced returns. The Portfolio also benefited from allocations to emerging markets countries, such as China and South Korea, which are not included in the Index. All three subadvisers routinely invest in emerging markets stocks, as they have found significant growth opportunities within these countries.
For years, William Blair and Marsico have underweighted Japan, as opportunities for rapid growth have been difficult to find. Jennison underweights Japan as well. In addition, William Blair and Marsico tended to underweight Spain, a country with greater economic problems than many other European countries. These underweights added to relative performance in 2012, as both markets lagged the Index. The subadvisers were all overweight technology compared with the Index and underweight financial companies, which tend to have lower growth rates. However, as global economic conditions improved toward the latter part of the year, European financial stocks began to recover from their earlier declines, buoying returns in that sector. Furthermore, information technology stocks failed to keep pace with the rest of the international market. Consequently, sector allocation detracted from returns overall.
At times, William Blair will hedge currencies in their segment. In periods of 2012, this had a positive impact, as the dollar advanced against the Japanese yen and British sterling. The yen weakened on expectations that changes in the Japanese government would lead to a more accommodative monetary policy, while weak economic fundamentals and lack of progress in addressing Britain’s fiscal issues led to a weaker sterling.
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. |
MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. 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 advisor and a Prudential Financial company.
| The Prudential Series Fund, SP International Value Portfolio | December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the SP International Value Portfolio returned 16.92%.
The Portfolio’s assets are independently subadvised by LSV Asset Management and Thornburg Investment Management. The Portfolio’s investment objective is long-term capital appreciation.
The MSCI EAFE Index (GD) climbed by 17.90% for the year.
International growth asset managers had an easier time outperforming their benchmark indexes than did international value asset managers. The MSCI EAFE Index outperformed almost half of the funds in the Lipper VP International Core and International Value universes, but underperformed the growth universe by over 200 basis points. The financials sector dominated the return of the MSCI EAFE Index during the year and, taking a broad view of the universe of international value managers, shows that most value managers were underweight to this outperforming sector. The Portfolio was no exception, as the Portfolio’s underperformance of the Index was largely the result of asset selection and a slight overall sector underweight to financials.
The Portfolio’s struggles within this sector were affected both by the index financial companies the Portfolio did not hold, like HSBC Holdings (+44%), Commonwealth Bank of Australia (+36%), and Lloyds Banking Group (+93%) and a number of those held during the year. Among the top detractors in this sector were holdings in a Brazilian based bank, Itau Unibanco Holdings (-21%), an Australian life insurance company, Challenger Ltd (-9%), and banks in China and Japan.
Relative strength in the Portfolio came from stock selection in the materials, technology, and utilities sectors and broadly in Japan, United Kingdom, Ireland, France, and Germany.
A small, yet consistent, allocation to cash, held to assist with day-to-day cash flow management, had a negative impact on performance, as foreign equity markets rallied strongly in 2012.
From time to time, Thornburg will use currency forwards (a form of a derivative security) as a tool to hedge some of the currency risk from investing in non-U.S. stocks. This intermittent hedging strategy is not expected to have a significant impact on the performance of the overall Portfolio, and in 2012, foreign exchange hedging had a slightly negative effect.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
MSCI EAFE (Morgan Stanley Capital International Europe, Australasia, Far East) Index (GD) is an unmanaged, capitalization-weighted index generally accepted as a benchmark for major overseas markets. The GD version does not reflect the impact of withholding taxes on reinvested dividends. 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.
| The Prudential Series Fund, SP Prudential U.S. Emerging Growth Portfolio |
December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
Russell Midcap® Growth Index is a trademark/service mark of the Frank Russell Company. Russell® is a trademark of the Frank Russell Company. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of such fee waivers and/or expense reimbursements, total returns would be lower.
For the year ended December 31, 2012, the SP Prudential U.S. Emerging Growth Portfolio Class I shares returned 16.88% and Class II shares returned 16.44%.
The Portfolio is subadvised by Jennison Associates LLC. The Portfolio’s investment objective is long-term capital appreciation.
The Portfolio outperformed its benchmark, the Russell MidCap® Growth Index.
Stock selection in energy contributed the most to outperformance, followed closely by security choices in information technology. Individual contributors, however, came from a diverse group of securities.
Crown Castle International, which operates and leases towers and other infrastructure for wireless communications in the United States and Australia, benefitted from an upgrade to 4G networks by the four major wireless carriers.
DaVita, a leading provider of dialysis services, reported a very strong quarter and provided solid 2013 earnings guidance. This positive outlook included its recent purchase of Health Care Partners, the largest at-risk medical provider group in the country. DaVita reported above-market growth and continued to demonstrate solid expense control.
PVH Corp. announced that it would acquire The Warnaco Group, a sportswear and intimate apparel company whose major brands include Calvin Klein underwear and jeans and Speedo, creating an $8 billion industry powerhouse. Jennison likes the growth potential for both companies’ brands.
Shares of Rackspace Hosting, a global provider of cloud computing services to businesses, rose on signs that its migration to OpenStack, a new cloud infrastructure, was progressing well. Rackspace gained 10,000 new customers during its second quarter and reported earnings that exceeded expectations.
Stock selection in the consumer sectors and financials was comparatively weak. Key detractors were also diverse and included NII Holdings, Herbalife, and Riverbed Technology.
NII Holdings repeatedly posted larger-than-expected-earnings losses due to price competition and weaker local currency rates. Its focus has been on introducing its 3G services on a new network in Chile, Mexico, and Brazil and enhancing its Push-to-Talk (PTT) services. The company introduced its 3G service in Mexico at the end of September and is on schedule to launch 3G services in Brazil. Jennison believes that it will still be several quarters until the turnaround begins to generate profits.
In what was a volatile twelve months, shares of Herbalife, which distributes weight management, nutrition, and other products, ended significantly lower. Two major hedge fund managers raised questions about the company’s distribution and disclosure practices. Jennison finds the company’s distribution model complex, but believes Herbalife is operating legitimately. It had a very strong first quarter, with growth in sales volume up double digits in five out of the six regions it operates in globally. Jennison likes the company’s continued pursuit of new markets, its generation of new products for existing markets, and its strong cash flow.
Riverbed Technology, which provides equipment that accelerates data-center traffic and applications, reported first quarter revenues in June that fell short of expectations and issued lower-than-expected revenue guidance for the second quarter. In Jennison’s view, softness in several of Riverbed’s major markets could have significantly weakened growth prospects. The Portfolio exited its position in the stock.
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 Midcap Growth Index is an unmanaged market cap-weighted index that measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. S&P Midcap 400 Index is a widely accepted, unmanaged total return index of 400 domestic stocks measuring the performance of the midsize company segment of the U.S. 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 advisor and Prudential Financial company.
| The Prudential Series Fund, SP Small Cap Value Portfolio |
December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the SP Small Cap Value Portfolio returned 16.06%.
The Portfolio is subadvised by Goldman Sachs Asset Management, L.P. (Goldman) and ClearBridge Investments, LLC (ClearBridge). The Portfolio’s investment objective is long-term growth of capital.
The Russell 2000® Value Index (the Index) was up 18.05% for the year. Midcap stocks slightly outperformed their larger and smaller brethren; value stocks outperformed growth across the capitalization spectrum. Three of the strongest sector contributors in the Index included consumer discretionary, financials (itself more than a third of the Index, by capitalization), and industrials. No sector declined in value, although several sector returns were in the single digits, including the relatively substantial information technology sector. The worst-performing sector was energy, returning less than 2%.
Had it not been for ClearBridge’s poor asset selection, particularly in the second quarter, the Portfolio’s return would have looked much better. ClearBridge avoided companies in the asset management sector and custody banks industry that did not meet their research criteria. These stocks, however, performed relatively well, whereas the Portfolio’s overweight positions relative to the Index in certain regional banks and a real estate services company hurt its performance. Two positions in the industrial sector also detracted from second quarter returns.
Overall, sector positioning had little impact on relative performance. The Portfolio marginally benefited from staying close to the benchmark weight in the technology and utility sectors, and from an overweight in the industrials sector. However, its underweight, primarily due to ClearBridge’s allocation, in the more cyclically oriented consumer discretionary sector hurt, as did ClearBridge’s overweight in the energy sector.
The Portfolio’s underexposure to stocks that had stronger value characteristics and lower debt levels detracted from its performance. It also was hurt by its overexposure to stocks with above-benchmark market capitalizations. Goldman’s exposure to securities that had positive price momentum and an overall underexposure to more volatile securities contributed positively to the overall return.
Prudential Investments LLC (PI), an indirect, wholly owned subsidiary of Prudential Financial, Inc., serves as the investment manager for the Fund.
Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. Russell 2500 Index is an unmanaged market cap-weighted index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index, which represents approximately 17% of the total market capitalization of the Russell 3000 Index. 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 Series Fund Presentation of Portfolio Holdings — unaudited |
December 31, 2012 |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors are subject to change.
| The Prudential Series Fund Fees and Expenses — unaudited |
December 31, 2012 |
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, 2012 through December 31, 2012.
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 the Six-Month 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, 2012 |
Ending Account Value December 31, 2012 |
Annualized Expense Ratio based on the Six-Month period |
Expenses Paid During the Six-Month period* |
||||||||||||||
| SP International Growth (Class I) | Actual | $ | 1,000.00 | $ | 1,142.20 | 1.06 | % | $ | 5.71 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.81 | 1.06 | % | $ | 5.38 | ||||||||||
| SP International Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,139.10 | 1.46 | % | $ | 7.85 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,017.80 | 1.46 | % | $ | 7.41 | ||||||||||
| SP International Value (Class I) | Actual | $ | 1,000.00 | $ | 1,135.50 | 1.11 | % | $ | 5.96 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.56 | 1.11 | % | $ | 5.63 | ||||||||||
| SP Prudential U.S. Emerging Growth (Class I) | Actual | $ | 1,000.00 | $ | 1,052.40 | 0.67 | % | $ | 3.46 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.77 | 0.67 | % | $ | 3.40 | ||||||||||
| SP Prudential U.S. Emerging Growth (Class II) | Actual | $ | 1,000.00 | $ | 1,050.50 | 1.07 | % | $ | 5.52 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,019.76 | 1.07 | % | $ | 5.43 | ||||||||||
| SP Small Cap Value (Class I) | Actual | $ | 1,000.00 | $ | 1,086.40 | 1.00 | % | $ | 5.24 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.11 | 1.00 | % | $ | 5.08 | ||||||||||
* 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, 2012, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2012 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
| SP INTERNATIONAL GROWTH PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these 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.
The Fund did not hold any derivative instruments as of December 31, 2012, accordingly, no derivative positions were presented in the Statements of Assets and Liabilities.
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 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 |
Rights |
Forward Currency Contracts |
Total |
|||||||||
| Foreign exchange contracts |
$ | — | $ | 151,755 | $ | 151,755 | ||||||
| Equity contracts |
1,339 | — | 1,339 | |||||||||
| Total |
$ | 1,339 | $ | 151,755 | $ | 153,094 | ||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||
| Derivatives not accounted for as hedging instruments, carried at fair value |
Forward Currency Contracts |
|||||||||||
| Foreign exchange contracts |
|
$ | 8,805 | |||||||||
For the year ended December 31, 2012, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $346,399 and the average value at settlement date receivable for forward foreign currency exchange sale contracts was $1,285,625.
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| SP INTERNATIONAL GROWTH PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 1,357,374 | $ | 508,283 | ||||
| Net realized gain on investment and foreign currency transactions |
5,430,918 | 19,735,790 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
10,877,146 | (32,332,367 | ) | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
17,665,438 | (12,088,294 | ) | |||||
| DISTRIBUTIONS | ||||||||
| Class I |
(507,441 | ) | (1,181,454 | ) | ||||
| Class II |
— | (39,406 | ) | |||||
| TOTAL DISTRIBUTIONS |
(507,441 | ) | (1,220,860 | ) | ||||
| SERIES SHARE TRANSACTIONS (NOTE 7): | ||||||||
| Series shares sold |
5,765,927 | 7,411,046 | ||||||
| Series shares issued in reinvestment of distributions |
507,441 | 1,220,860 | ||||||
| Series shares repurchased |
(16,609,487 | ) | (84,871,319 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(10,336,119 | ) | (76,239,413 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 6,821,878 | (89,548,567 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
82,686,750 | 172,235,317 | ||||||
| End of year |
$ | 89,508,628 | $ | 82,686,750 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| SP INTERNATIONAL VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
Forward foreign currency exchange contracts outstanding at December 31, 2012:
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Payable |
Current Value |
Unrealized Depreciation |
|||||||||||||||
| Japanese Yen, |
||||||||||||||||||||
| Expiring 01/08/13 |
Brown Brothers Harriman & Co. | JPY | 3,338 | $ | 38,825 | $ | 38,530 | $ | (295 | ) | ||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Receivable |
Current Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
| Euro, |
||||||||||||||||||
| Expiring 05/08/13 |
State Street Bank | EUR | 953 | $ | 1,222,489 | $ | 1,259,397 | $ | (36,908 | ) | ||||||||
| Japanese Yen, |
||||||||||||||||||
| Expiring 01/07/13 |
Bank of New York Mellon | JPY | 12,061 | 140,208 | 139,036 | 1,172 | ||||||||||||
| Swedish Krona, |
||||||||||||||||||
| Expiring 01/02/13 |
Brown Brothers Harriman & Co. | SEK | 213 | 32,512 | 32,690 | (178 | ) | |||||||||||
| Expiring 01/03/13 |
Brown Brothers Harriman & Co. | SEK | 146 | 22,337 | 22,384 | (47 | ) | |||||||||||
| Expiring 01/04/13 |
Brown Brothers Harriman & Co. | SEK | 45 | 6,894 | 6,912 | (18 | ) | |||||||||||
| $ | 1,424,440 | $ | 1,460,419 | $ | (35,979 | ) | ||||||||||||
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, 2012 in valuing such portfolio securities:
Fair value of Level 2 investments at 12/31/11 was $4,380. An amount of $94,193,346 was transferred from Level 1 into Level 2 at 12/31/12 as a result fair valuing such foreign securities using third-party vendor modeling tools. Such fair values are used to reflect the impact of significant market movements between the time at which the Portfolio values its securities and the earlier closing of foreign markets.
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period.
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of December 31, 2012 were as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these 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, 2012 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 |
|||||||||
| Foreign exchange contracts |
Unrealized appreciation on foreign currency forward contracts | $ | 1,172 | Unrealized depreciation on foreign currency forward contracts | $ | 37,446 | ||||||
| Equity contracts |
Unaffiliated investments | 16,587 | — | — | ||||||||
| Total |
$ | 17,759 | $ | 37,446 | ||||||||
| * | Includes cumulative appreciation/depreciation on futures contracts as reported in the Schedule of Investments. 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, 2012 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 |
Rights |
Forward Currency Contracts |
Total |
|||||||||
| Foreign exchange contracts |
$ | — | $ | 277,125 | $ | 277,125 | ||||||
| Equity contracts |
(403,961 | ) | — | (403,961 | ) | |||||||
| Total |
$ | (403,961 | ) | $ | 277,125 | $ | (126,836 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||
| Derivatives not accounted for as hedging instruments, carried at fair value |
Rights |
Forward Currency Contracts |
Total |
|||||||||
| Foreign exchange contracts |
$ | — | $ | (248,446 | ) | $ | (248,446 | ) | ||||
| Equity contracts |
(676 | ) | — | (676 | ) | |||||||
| Total |
$ | (676 | ) | $ | (248,446 | ) | $ | (249,122 | ) | |||
For the year ended December 31, 2012, the Portfolio’s average value at settlement date payable for forward foreign currency exchange purchase contracts was $554,922 and the average value at settlement date receivable for foreign currency exchange sale contracts was $3,976,957.
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| SP INTERNATIONAL VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 2,957,671 | $ | 3,268,018 | ||||
| Net realized gain on investment and foreign currency transactions |
1,025,895 | 12,292,776 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
15,578,866 | (28,488,060 | ) | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
19,562,432 | (12,927,266 | ) | |||||
| DISTRIBUTIONS | (3,268,463 | ) | (3,540,580 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [482,817 and 1,383,059 shares, respectively] |
2,965,787 | 9,482,465 | ||||||
| Series shares issued in reinvestment of distributions [585,746 and 513,872 shares, respectively] |
3,268,463 | 3,540,580 | ||||||
| Series shares repurchased [3,277,534 and 11,625,779 shares, respectively] |
(20,546,558 | ) | (85,250,253 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(14,312,308 | ) | (72,227,208 | ) | ||||
| TOTAL DECREASE IN NET ASSETS | 1,981,661 | (88,695,054 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
122,772,948 | 211,468,002 | ||||||
| End of year |
$ | 124,754,609 | $ | 122,772,948 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| SP PRUDENTIAL U.S. EMERGING GROWTH PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 1,623,087 | $ | 907,401 | ||||
| Net realized gain on investments |
28,274,398 | 15,648,254 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
4,622,612 | (11,164,890 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
34,520,097 | 5,390,765 | ||||||
| DISTRIBUTIONS: | ||||||||
| Class I |
(16,531,764 | ) | (3,329,895 | ) | ||||
| Class II |
(21,691 | ) | (3,362 | ) | ||||
| TOTAL DISTRIBUTIONS | (16,553,455 | ) | (3,333,257 | ) | ||||
| SERIES SHARE TRANSACTIONS (NOTE 7): | ||||||||
| Series shares sold |
9,426,304 | 8,188,427 | ||||||
| Series shares issued in reinvestment of distributions |
16,553,455 | 3,333,257 | ||||||
| Series shares repurchased |
(33,710,025 | ) | (45,226,491 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(7,730,266 | ) | (33,704,807 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 10,236,376 | (31,647,299 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
211,100,650 | 242,747,949 | ||||||
| End of year |
$ | 221,337,026 | $ | 211,100,650 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| SP SMALL CAP VALUE PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments is equity 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, 2012 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 |
Unaffiliated investments | $ | 2,250 | — | $ | — | ||||||
The effects of derivative instruments on the Statement of Operations for the year ended December 31, 2012 are as follows:
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||
| Derivatives not accounted for as hedging |
Warrants |
|||
| Equity contracts |
$ | 2,250 | ||
For the year ended December 31, 2012, the Portfolio did not have any realized gain or (loss) on derivatives recognized in income.
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| SP SMALL CAP VALUE PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 2,078,684 | $ | 822,204 | ||||
| Net realized gain on investment transactions |
16,651,841 | 19,724,100 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
8,467,610 | (23,357,774 | ) | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
27,198,135 | (2,811,470 | ) | |||||
| DISTRIBUTIONS | (822,771 | ) | (1,316,520 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [438,835 and 631,174 shares, respectively] |
5,693,146 | 7,810,364 | ||||||
| Series shares issued in reinvestment of distributions [67,220 and 107,471 shares, respectively] |
822,771 | 1,316,520 | ||||||
| Series shares repurchased [2,364,511 and 4,714,520 shares, respectively] |
(30,783,627 | ) | (60,179,414 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(24,267,710 | ) | (51,052,530 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 2,107,654 | (55,180,520 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of year |
177,533,506 | 232,714,026 | ||||||
| End of year |
$ | 179,641,160 | $ | 177,533,506 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A23
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 four Portfolios which are listed below along with each Portfolio’s investment objective.
SP International Growth Portfolio: Long-term growth of capital.
SP International Value Portfolio: Long-term capital appreciation.
SP Prudential U.S. Emerging Growth Portfolio: Long-term capital appreciation.
SP Small Cap Value Portfolio: Long-term growth of capital.
The ability of issuers of debt securities (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 is a summary of significant accounting policies followed by the Series Fund and the Portfolios in preparation of their financial statements.
Securities Valuations: Each Portfolio holds portfolio 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 delegated fair valuation responsibilities to Prudential Investments LLC (“PI” or “Manager”) through the adoption of Valuation Procedures for valuation of the Portfolio’s securities. Under the current Valuation Procedures, a Valuation Committee is established and responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures allow the Portfolio to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available or not representative of the fair value of the securities. A record of the Valuation Committee’s actions is subject to review, approval and ratification by the Board at its next regularly scheduled quarterly meeting.
Various inputs are used in determining the value of the Portfolio’s investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following the Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:
Common stocks, exchange-traded funds and financial derivative instruments (including futures contracts and certain options and swap contracts on securities), 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 of the fair value hierarchy.
In the event there is no sale or official closing price on such day, these securities are valued at the mean between the last reported bid and asked prices, or at the last bid price in absence of an asked price. These securities are classified as Level 2 of the fair value hierarchy as these inputs are considered as significant other observable inputs to the valuation.
For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Portfolio’s normal pricing time. These securities are valued using pricing vendor services that provide model prices derived using
B1
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 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs 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 as they have the ability to be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies issues and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.
Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with inputs from deal terms, tranche level attributes, yield curves, prepayment speeds, default rates and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.
Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swap agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.
Securities and other assets that cannot be priced using the methods described above are valued with pricing methodologies approved by the Valuation Committee. In the event there are unobservable inputs used when determining such valuations, the securities will be classified as Level 3 of 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: 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.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Series Fund’s policy that its custodian or designated subcustodians, as the case may be, under triparty repurchase agreements, 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 transaction exceeds one business day, the value of the collateral is marked to market on a daily basis to ensure the adequacy of the collateral. If the seller defaults or 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 Series Fund may by delayed or limited.
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 daily rates of exchange.
B2
(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 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 portfolio securities sold during the period. Accordingly, these realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the holding of foreign currencies, currency gains (losses) realized between the trade date and settlement date 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 (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 investments and 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. The 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. 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.
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 of Trustees’ 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 fund 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 using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities, and any interest on the investment of 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.
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
B3
premium and accretion of discount on debt securities, as required, is recorded on an accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management, that may differ from actual. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are charged directly at the Portfolio or class level.
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.
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.
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 Portfolios is the responsibility of their partners. 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 Portfolios’ distributions are generally made on an annual basis. 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 Jennison Associates LLC (“Jennison”), Goldman Sachs Asset Management, L.P. (“GSAM”), LSV Asset Management (“LSV”), Marsico Capital Management LLC (“Marsico”), William Blair & Company LLC (“William Blair”), Thornburg Investment Management (“Thornburg”), and ClearBridge Advisors LLC (“ClearBridge”) (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 rate specified below.
| Portfolio |
Management Fee |
Effective Management Fee |
||||||
| SP International Growth Portfolio |
0.85 | % | 0.85 | % | ||||
| SP International Value Portfolio |
0.90 | 0.90 | ||||||
| SP Prudential U.S. Emerging Growth Portfolio |
0.60 | 0.60 | ||||||
| SP Small Cap Value Portfolio |
0.90 | 0.90 | ||||||
B4
At December 31, 2012 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) | |
| SP International Growth Portfolio |
William Blair, Marsico, Jennison | |
| SP International Value Portfolio |
LSV, Thornburg | |
| SP Prudential U.S. Emerging Growth Portfolio |
Jennison | |
| SP Small Cap Value Portfolio |
GSAM, ClearBridge |
The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”) which acts as the distributor of the Class I and Class II 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, and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The 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 within realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2012, brokerage commission recaptured under these agreements was as follows:
| Portfolio |
Commission Recaptured |
|||
| SP International Growth Portfolio |
$ | 610 | ||
| SP International Value Portfolio |
252 | |||
| SP Prudential U.S. Emerging Growth Portfolio |
2,726 | |||
| SP Small Cap Value Portfolio |
2,061 | |||
| 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 fees and expenses in the Statements of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable.
Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, is the Series Fund’s security lending agent. For the year ended December 31, 2012, PIM was compensated as follows for these services by the Series Fund Portfolios:
| PIM |
||||
| SP International Growth Portfolio |
$ | 4,959 | ||
| SP Prudential U.S. Emerging Growth Portfolio |
17,144 | |||
| SP Small Cap Value Portfolio |
21,555 | |||
Certain Portfolios invest in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of Prudential Investment Portfolios 2. The Core Fund is a money market mutual fund registered under 1940 Act, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.
B5
| Note 5: | Portfolio Securities |
Purchases and sales of portfolio securities, other than short-term investments and U.S. Government securities, for the year ended December 31, 2012, were as follows:
| Portfolio |
Cost of Purchases |
Proceeds from Sales |
||||||
| SP International Growth Portfolio |
$ | 94,548,598 | $ | 101,851,747 | ||||
| SP International Value Portfolio |
20,578,189 | 32,376,161 | ||||||
| SP Prudential U.S. Emerging Growth Portfolio |
95,899,955 | 124,539,857 | ||||||
| SP Small Cap Value Portfolio |
70,359,690 | 94,702,273 | ||||||
| Note 6: | Tax Information |
All Portfolios are treated as partnerships for tax purposes. The character of the cash distributions paid 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 Portfolio’s tax positions taken on federal income tax returns for all open tax years and has concluded that no provision for income tax would be required in the Portfolio’s financial statements. The Portfolios’ federal and state income tax returns for tax years for which the applicable statues 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 Portfolio. The separate accounts will redeem shares of the Series Fund to the extent necessary to provide benefits under the contracts or for such other purposes as may be consistent with the contracts. As of December 31, 2012, the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios have Class II shares outstanding.
Transactions in shares of beneficial interest of the SP International Growth and SP Prudential U.S. Emerging Growth Portfolios were as follows:
SP International Growth Portfolio:
| Class I |
Shares |
Amount |
||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
856,840 | $ | 4,180,512 | |||||
| Series shares issued in reinvestment of distributions |
112,515 | 507,441 | ||||||
| Series shares repurchased |
(3,042,664 | ) | (14,903,764 | ) | ||||
| Net increase (decrease) in shares outstanding |
(2,073,309 | ) | $ | (10,215,811 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
1,440,458 | $ | 7,230,093 | |||||
| Series shares issued in reinvestment of distributions |
235,819 | 1,181,454 | ||||||
| Series shares repurchased |
(15,563,232 | ) | (83,117,046 | ) | ||||
| Net increase (decrease) in shares outstanding |
(13,886,955 | ) | $ | (74,705,499 | ) | |||
B6
| Class II |
Shares |
Amount |
||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
330,289 | $ | 1,585,415 | |||||
| Series shares issued in reinvestment of distributions |
— | — | ||||||
| Series shares repurchased |
(358,741 | ) | (1,705,723 | ) | ||||
| Net increase (decrease) in shares outstanding |
(28,452 | ) | $ | (120,308 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
38,157 | $ | 180,953 | |||||
| Series shares issued in reinvestment of distributions |
7,961 | 39,406 | ||||||
| Series shares repurchased |
(359,810 | ) | (1,754,273 | ) | ||||
| Net increase (decrease) in shares outstanding |
(313,692 | ) | $ | (1,533,914 | ) | |||
SP Prudential U.S. Emerging Growth Portfolio:
| Class I |
Shares |
Amount |
||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
1,104,011 | $ | 9,377,618 | |||||
| Series shares issued in reinvestment of distributions |
2,092,628 | 16,531,764 | ||||||
| Series shares repurchased |
(4,021,161 | ) | (33,669,186 | ) | ||||
| Net increase (decrease) in shares outstanding |
(824,522 | ) | $ | (7,759,804 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
1,028,266 | $ | 8,188,427 | |||||
| Series shares issued in reinvestment of distributions |
417,280 | 3,329,895 | ||||||
| Series shares repurchased |
(5,737,435 | ) | (45,214,307 | ) | ||||
| Net increase (decrease) in shares outstanding |
(4,291,889 | ) | $ | (33,695,985 | ) | |||
| Class II |
||||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
6,155 | $ | 48,686 | |||||
| Series shares issued in reinvestment of distributions |
2,846 | 21,691 | ||||||
| Series shares repurchased |
(4,930 | ) | (40,839 | ) | ||||
| Net increase (decrease) in shares outstanding |
4,071 | $ | 29,538 | |||||
| Year ended December 31, 2011: |
||||||||
| Series shares issued in reinvestment of distributions |
436 | $ | 3,362 | |||||
| Series shares repurchased |
(1,605 | ) | (12,184 | ) | ||||
| Net increase (decrease) in shares outstanding |
(1,169 | ) | $ | (8,822 | ) | |||
| 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 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of 0.08% on the unused portion of the SCA. Prior to November 15, 2012, the Funds had another Syndicated Credit Agreement 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.
B7
The following Portfolios utilized the line of credit during the year ended December 31, 2012. The average balance is for the number of days the Portfolios had utilized the credit facility.
| Portfolio |
Approximate Average Balance Outstanding |
Number of Days Outstanding |
Weighted Average Interest Rate |
Outstanding Borrowings at December 31, 2012 |
||||||||||||
| SP International Value |
$ | 720,000 | 11 | 1.48 | % | — | ||||||||||
| SP International Growth |
468,000 | 19 | 1.46 | % | $ | 495,000 | ||||||||||
| SP Prudential U.S. Emerging Growth |
101,000 | 4 | 1.48 | % | — | |||||||||||
| SP Small Cap Value |
1,464,000 | 7 | 1.46 | % | — | |||||||||||
| Note 9: | Ownership and Affiliates |
As of December 31, 2012, 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.
| Note 10: | New Accounting Pronouncement |
In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-11 regarding “Disclosures about Offsetting Assets and Liabilities”. The amendments, which will be effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods, require an entity to disclose information about offsetting and related arrangements for assets and liabilities, financial instruments and derivatives that are either currently offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements. At this time, management is evaluating the implications of ASU No. 2011-11 and its impact on the financial statements has not been determined.
B8
Financial Highlights
| SP International Growth Portfolio |
||||||||||||||||||||
| Class I |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012(c) |
2011(c) |
2010(c) |
2009(c) |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 4.36 | $ | 5.19 | $ | 4.63 | $ | 3.45 | $ | 8.52 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.08 | .02 | .04 | .05 | .10 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
.89 | (.79 | ) | .59 | 1.22 | (3.74 | ) | |||||||||||||
| Total from investment operations |
.97 | (.77 | ) | .63 | 1.27 | (3.64 | ) | |||||||||||||
| Less Distributions: |
(.03 | ) | (.06 | ) | (.07 | ) | (.09 | ) | (1.43 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 5.30 | $ | 4.36 | $ | 5.19 | $ | 4.63 | $ | 3.45 | ||||||||||
| Total Return(a) |
22.40 | % | (14.91 | )% | 14.01 | % | 37.15 | % | (50.30 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 80.9 | $ | 75.5 | $ | 162.1 | $ | 162.5 | $ | 207.5 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
1.19 | % | 1.21 | % | 1.10 | % | .99 | % | .99 | % | ||||||||||
| Net investment income |
1.59 | % | .47 | % | .77 | % | 1.18 | % | 1.36 | % | ||||||||||
| Portfolio turnover rate |
111 | % | 118 | % | 141 | % | 89 | % | 101 | % | ||||||||||
| SP International Growth Portfolio |
||||||||||||||||||||
| Class II |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012(c) |
2011(c) |
2010(c) |
2009(c) |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 4.30 | $ | 5.10 | $ | 4.54 | $ | 3.37 | $ | 8.36 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income (loss) |
.06 | — | (d) | .02 | .03 | .07 | ||||||||||||||
| Net realized and unrealized gain (loss) on investments |
.88 | (.78 | ) | .59 | 1.19 | (3.65 | ) | |||||||||||||
| Total from investment operations |
.94 | (.78 | ) | .61 | 1.22 | (3.58 | ) | |||||||||||||
| Less Distributions: |
— | (.02 | ) | (.05 | ) | (.05 | ) | (1.41 | ) | |||||||||||
| Net Asset Value, end of year |
$ | 5.24 | $ | 4.30 | $ | 5.10 | $ | 4.54 | $ | 3.37 | ||||||||||
| Total Return(a) |
21.86 | % | (15.32 | )% | 13.81 | % | 36.44 | % | (50.49 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 8.6 | $ | 7.2 | $ | 10.1 | $ | 11.1 | $ | 9.4 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
1.59 | % | 1.61 | % | 1.50 | % | 1.39 | % | 1.39 | % | ||||||||||
| Net investment income (loss) |
1.16 | % | (.09 | %) | .39 | % | .70 | % | 1.10 | % | ||||||||||
| Portfolio turnover rate |
111 | % | 118 | % | 141 | % | 89 | % | 101 | % | ||||||||||
| (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) | Calculation based on average shares outstanding during the period. |
| (d) | Less than $.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
Financial Highlights
| SP International Value Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008(c) |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 5.83 | $ | 6.87 | $ | 6.35 | $ | 4.95 | $ | 10.63 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.16 | .20 | .12 | .14 | .18 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
.80 | (1.07 | ) | .54 | 1.43 | (4.27 | ) | |||||||||||||
| Total from investment operations |
.96 | (.87 | ) | .66 | 1.57 | (4.09 | ) | |||||||||||||
| Less Distributions: |
(.17 | ) | (.17 | ) | (.14 | ) | (.17 | ) | (1.59 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 6.62 | $ | 5.83 | $ | 6.87 | $ | 6.35 | $ | 4.95 | ||||||||||
| Total Return(a) |
16.92 | % | (13.10 | )% | 10.81 | % | 32.35 | % | (44.06 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 124.8 | $ | 122.8 | $ | 211.5 | $ | 203.3 | $ | 238.5 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
1.13 | % | 1.10 | % | 1.05 | % | 1.03 | % | 1.02 | % | ||||||||||
| Net investment income |
2.40 | % | 2.02 | % | 1.76 | % | 1.82 | % | 2.32 | % | ||||||||||
| Portfolio turnover rate |
17 | % | 19 | % | 25 | % | 67 | % | 34 | % | ||||||||||
| (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 upon average shares outstanding during the year. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
| SP Prudential U.S. Emerging Growth Portfolio |
||||||||||||||||||||
| Class I |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 7.80 | $ | 7.74 | $ | 6.45 | $ | 4.58 | $ | 8.41 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.06 | .04 | .03 | .04 | .04 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.21 | .13 | 1.28 | 1.87 | (2.64 | ) | ||||||||||||||
| Total from investment operations |
1.27 | .17 | 1.31 | 1.91 | (2.60 | ) | ||||||||||||||
| Less Distributions: |
(.64 | ) | (.11 | ) | (.02 | ) | (.04 | ) | (1.23 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 8.43 | $ | 7.80 | $ | 7.74 | $ | 6.45 | $ | 4.58 | ||||||||||
| Total Return(a) |
16.88 | % | 2.22 | % | 20.43 | % | 41.89 | % | (36.23 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 221.0 | $ | 210.8 | $ | 242.4 | $ | 142.3 | $ | 112.3 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.67 | % | .64 | % | .70 | % | .71 | % | .68 | % | ||||||||||
| Net investment income |
.73 | % | .39 | % | .69 | % | .66 | % | .55 | % | ||||||||||
| Portfolio turnover rate |
44 | % | 40 | % | 73 | % | 50 | % | 59 | % | ||||||||||
| SP Prudential U.S. Emerging Growth Portfolio |
||||||||||||||||||||
| Class II |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 7.53 | $ | 7.48 | $ | 6.25 | $ | 4.44 | $ | 8.17 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income (loss) |
.04 | — | (c) | .01 | .01 | .01 | ||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.16 | .13 | 1.24 | 1.81 | (2.53 | ) | ||||||||||||||
| Total from investment operations |
1.20 | .13 | 1.25 | 1.82 | (2.52 | ) | ||||||||||||||
| Less Distributions: |
(.61 | ) | (.08 | ) | (.02 | ) | (.01 | ) | (1.21 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 8.12 | $ | 7.53 | $ | 7.48 | $ | 6.25 | $ | 4.44 | ||||||||||
| Total Return(a) |
16.44 | % | 1.77 | % | 19.96 | % | 41.14 | % | (36.24 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | .4 | $ | .3 | $ | .3 | $ | .3 | $ | .2 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
1.07 | % | 1.04 | % | 1.10 | % | 1.11 | % | 1.08 | % | ||||||||||
| Net investment income (loss) |
.38 | % | (.01 | )% | .24 | % | .25 | % | .15 | % | ||||||||||
| Portfolio turnover rate |
44 | % | 40 | % | 73 | % | 50 | % | 59 | % | ||||||||||
| (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) | Less than $0.005 per share. |
SEE NOTES TO FINANCIAL STATEMENTS.
C3
Financial Highlights
| SP Small Cap Value Portfolio |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012 |
2011 |
2010 |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 11.86 | $ | 12.28 | $ | 9.79 | $ | 7.60 | $ | 12.22 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.16 | .07 | .07 | .07 | .12 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.74 | (.41 | ) | 2.49 | 2.24 | (3.47 | ) | |||||||||||||
| Total from investment operations |
1.90 | (.34 | ) | 2.56 | 2.31 | (3.35 | ) | |||||||||||||
| Less Distributions: |
(.06 | ) | (.08 | ) | (.07 | ) | (.12 | ) | (1.27 | ) | ||||||||||
| Net Asset Value, end of year |
$ | 13.70 | $ | 11.86 | $ | 12.28 | $ | 9.79 | $ | 7.60 | ||||||||||
| Total Return(a) |
16.06 | % | (2.77 | )% | 26.27 | % | 30.80 | % | (30.50 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 179.6 | $ | 177.5 | $ | 232.7 | $ | 208.0 | $ | 202.2 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
1.01 | % | .99 | % | 1.00 | % | 1.00 | % | .98 | % | ||||||||||
| Net investment income |
1.14 | % | .41 | % | .62 | % | .70 | % | 1.17 | % | ||||||||||
| Portfolio turnover rate |
39 | % | 36 | % | 39 | % | 52 | % | 56 | % | ||||||||||
| (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. |
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 SP International Growth Portfolio, SP International Value Portfolio, SP Prudential U.S. Emerging Growth Portfolio, and SP Small Cap Value Portfolio (hereafter referred to as the “Portfolios”), each a portfolio of The Prudential Series Fund, including the schedules of investments, as of December 31, 2012, 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, 2012, 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, 2012, and 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 20, 2013
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 (45) No. of Portfolios Overseen: 92 |
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 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | None. | ||
| Sherry S. Barrat (63) No. of Portfolios Overseen: 92 |
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.). | ||
| Kay Ryan Booth (62) No. of Portfolios Overseen: 92 |
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 (74) No. of Portfolios Overseen: 92 |
Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None. | ||
| W. Scott McDonald, Jr., Ph.D. (75) No. of Portfolios Overseen: 92 |
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 (71) No. of Portfolios Overseen: 92 |
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. | ||
| Thomas M. O’Brien (62) No. of Portfolios Overseen: 92 |
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. |
E1
| Independent Trustees(1) | ||||
| Name, Address, Age No. of Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
| F. Don Schwartz (77) No. of Portfolios Overseen: 92 |
Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute. | None. | ||
| Interested Trustees(1) | ||||
| Robert F. O’Donnell (44) No. of Portfolios Overseen: 92 |
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. | ||
| Robert F. Gunia (66) No. of Portfolios Overseen: 92 |
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. | ||
| Timothy S. Cronin (47) Number of Portfolios Overseen: 92 |
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. |
(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; Timothy S. Cronin, 2011; 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; F. Don Schwartz, 2003.
| Fund Officers(a)(1) | ||
| Name, Address and Age Position with the Fund |
Principal Occupation(s) During the Past Five Years | |
| Raymond A. O’Hara (57) 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 (54) Secretary |
Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Jonathan D. Shain (54) Assistant Secretary |
Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Claudia DiGiacomo (38) Assistant Secretary |
Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). | |
| Andrew R. French (50) 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 PI; Vice President and Assistant Secretary (since January 2007) of PMFS. | |
| Amanda S. Ryan (35) Assistant Secretary |
Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of PI; Associate at Ropes & Gray (2008-2012). | |
| Valerie M. Simpson (53) Chief Compliance Officer |
Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President – Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance. | |
| Theresa C. Thompson (50) Deputy Chief Compliance Officer |
Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (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 (44) 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 (53) Treasurer and Principal Financial and Accounting Officer |
Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; 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 (49) Assistant Treasurer |
Vice President (since 2005) of Prudential Investments LLC. | |
| Peter Parrella (54) 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 (56) Assistant Treasurer |
Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. O’Donnell and Mr. Cronin, interested Board Members 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; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; Amanda S. Ryan, 2012; Andrew R. French, 2006; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006; Richard W. Kinville, 2011.
Explanatory Notes to Tables:
Trustees 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. Robert O’Donnell and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.
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 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.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life contract. The prospectuses contain information on the investment objectives, risks, and charges and expenses of the portfolios, and the contract and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. Information regarding how the Fund 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 Fund’s website at www.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end 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 (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced above, for variable life insurance contract owners.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (800)778-2255.
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy that you have chosen. Please refer to your variable life insurance prospectus to determine which portfolios are available to you.
Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.
All are Prudential Financial companies, and each is solely responsible for its financial condition and contractual obligations.
Life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
|
The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777 |
PRESORTED STD U.S. POSTAGE PAID HARRISONBURG, VA PERMIT No. 250 ZIP CODE 22801 | |||
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.
Prudential Investments, 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.
0239311-00001-00 PSF-AR-B-ILI
THE PRUDENTIAL SERIES FUND
ANNUAL REPORT Ÿ DECEMBER 31, 2012
|
| The Prudential Series Fund Table of Contents |
Annual Report | December 31, 2012 |
| n | LETTER TO CONTRACT OWNERS |
| n | MANAGEMENT REVIEW |
| n | PRESENTATION OF PORTFOLIO HOLDINGS |
| n | FEES AND EXPENSES TABLE |
| n | FINANCIAL REPORTS |
| Section A | Schedule of Investments and Financial Statements | |
| Section B | Notes to Financial Statements | |
| Section C | Financial Highlights | |
| Section D | Report of Independent Registered Public Accounting Firm | |
| Section E | Information about Trustees and Officers |
| The Prudential Series Fund Letter to Contract Owners |
Annual Report | December 31, 2012 |
| n | DEAR CONTRACT OWNER |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Prudential Series Fund 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,
Robert F. O’Donnell
President,
| The Prudential Series Fund |
January 31, 2013 |
| The Prudential Series Fund, Jennison 20/20 Focus Portfolio |
December 31, 2012 |
Investment Manager’s Report - As of December 31, 2012
For the year ended December 31, 2012, the Jennison 20/20 Focus Portfolio’s Class I shares returned 11.04% and Class II shares returned 10.62%.
The Jennison 20/20 Focus Portfolio is subadvised by Jennison Associates LLC. The Portfolio’s investment objective is long-term growth of capital.
Information technology accounted for the two leading individual contributors overall, with Apple having the greatest positive impact followed by Salesforce.com. Lululemon Athletica and Amazon (consumer discretionary holdings) were also among the largest individual contributors overall. In industrials, another source of relative strength, Precision Castparts, had the largest beneficial impact.
Stock selection in healthcare and financials was the Portfolio’s greatest source of relative weakness. In financials, Goldman Sachs Group weighed on returns the most and was the largest individual detractor. The healthcare company Shire also had a notable negative impact. Although stock picking in information technology was generally strong, several information technology companies were major detractors, including Google, Broadcom, and International Business Machines.
Stock selection in most sectors, and particularly in consumer discretionary, telecommunication services, and materials, had a negative impact on relative returns. An underweight position in financials and an overweight position in materials further weakened relative performance. In financials, it was the absence from the Portfolio of several key index contributors, most notably Bank of America and JPMorgan Chase, that hurt relative performance most.
Positions in Staples and International Game Technology had the largest negative impact in consumer discretionary. In telecommunications services, NII Holdings, which has been converting to 3G services in Latin America and was hurt by price competition and adverse exchange rates, was the main source of weakness.
Stock selection in energy and healthcare helped relative performance the most. Suncor Energy was a major contributor in energy while in healthcare, Mylan was the strongest pick. Despite detrimental stock selection in consumer discretionary, an overweight position in the sector was highly beneficial and the consumer sectors provided the largest share of absolute returns to the value part of the Portfolio. Important contributors in the consumer sectors included media companies Comcast and Liberty Global, and the food products company Bunge. The manager benefited from an underexposure to the utilities sector.
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 advisor and a Prudential Financial company.
| The Prudential Series Fund Presentation of Portfolio Holdings — unaudited |
December 31, 2012 |
| Jennison 20/20 Focus | ||||
| Five Largest Holdings | (% of Net Assets | ) | ||
| Mastercard, Inc. (Class A Stock) | 3.4% | |||
| Apple, Inc. | 3.3% | |||
| Precision Castparts Corp. | 3.1% | |||
| Tyson Foods, Inc. (Class A Stock) | 3.0% | |||
| Liberty Global, Inc. Ser. C | 2.9% |
For a complete list of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Sectors/Industries are subject to change.
| The Prudential Series Fund Fees and Expenses — unaudited |
December 31, 2012 |
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, 2012 through December 31, 2012.
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 the Six-Month 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 |
Ending Account Value |
Annualized Expense Ratio based on the |
Expenses Paid During the Six-Month period* |
||||||||||||||
| Jennison 20/20 Focus (Class I) | Actual | $ | 1,000.00 | $ | 1,086.60 | 0.83 | % | $ | 4.35 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.96 | 0.83 | % | $ | 4.22 | ||||||||||
| Jennison 20/20 Focus (Class II) | Actual | $ | 1,000.00 | $ | 1,085.00 | 1.23 | % | $ | 6.45 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,018.95 | 1.23 | % | $ | 6.24 | ||||||||||
* 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, 2012, and divided by the 366 days in the Portfolio’s fiscal year ended December 31, 2012 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.
| JENNISON 20/20 FOCUS PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| JENNISON 20/20 FOCUS PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | December 31, 2012 | |||||
| (b) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (c) | Prudential Investments LLC, the manager of the Portfolio, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
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, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 211,364,707 | $ | — | $ | — | ||||||
| Affiliated Money Market Mutual Fund |
13,933,258 | — | — | |||||||||
| Total |
$ | 225,297,965 | $ | — | $ | — | ||||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of December 31, 2012 were as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| JENNISON 20/20 FOCUS PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
| Year Ended December 31, |
||||||||
| 2012 |
2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment loss |
$ | (324,410 | ) | $ | (551,756 | ) | ||
| Net realized gain on investment and foreign currency transactions |
42,405,615 | 49,185,693 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
(14,083,567 | ) | (62,861,223 | ) | ||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
27,997,638 | (14,227,286 | ) | |||||
| DISTRIBUTIONS: | ||||||||
| Class I |
(2,125,804 | ) | (53,655 | ) | ||||
| Class II |
(14,068,043 | ) | — | |||||
| TOTAL DISTRIBUTIONS |
(16,193,847 | ) | (53,655 | ) | ||||
| SERIES SHARE TRANSACTIONS (NOTE 7): | ||||||||
| Series shares sold |
41,176,954 | 121,911,715 | ||||||
| Series shares issued in reinvestment of distributions |
16,193,847 | 53,655 | ||||||
| Series shares repurchased |
(297,038,252 | ) | (208,992,204 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(239,667,451 | ) | (87,026,834 | ) | ||||
| TOTAL DECREASE IN NET ASSETS | (227,863,660 | ) | (101,307,775 | ) | ||||
| NET ASSETS: | ||||||||
| Beginning of year |
441,735,616 | 543,043,391 | ||||||
| End of year |
$ | 213,871,956 | $ | 441,735,616 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
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 Jennison 20/20 Focus Portfolio.
The Portfolio’s investment objective is long-term growth of capital.
The ability of issuers of debt securities (other than those issued or guaranteed by the U.S. Government) held by the Portfolio 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 is a summary of significant accounting policies followed by the Series Fund and the Portfolio in the preparation of its financial statements.
Securities Valuation: The Series Fund holds portfolio 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 delegated fair valuation responsibilities to Prudential Investments LLC (“PI” or “Manager”) through the adoption of Valuation Procedures for valuation of the Series Fund’s securities. Under the current Valuation Procedures, a Valuation Committee is established and responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures allow the Series Fund to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available or not representative of the fair value of the securities. A record of the Valuation Committee’s actions is subject to review, approval and ratification by the Board at its next regularly scheduled quarterly meeting.
Various inputs are used in determining the value of the Series Fund’s investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following each Portfolio’s Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:
Common stocks, exchange-traded funds and financial derivative instruments (including futures contracts and certain options and swap contracts on securities), 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 of the fair value hierarchy.
In the event there is no sale or official closing price on such day, these securities are valued at the mean between the last reported bid and asked prices, or at the last bid price in absence of an asked price. These securities are classified as Level 2 of the fair value hierarchy as these inputs are considered as significant other observable inputs to the valuation.
For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Series Fund’s normal pricing time. These securities 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 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs to the valuation.
B1
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 as they have the ability to be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies issues and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.
Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with inputs from deal terms, tranche level attributes, yield curves, prepayment speeds, default rates and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.
Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized as Level 2 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swap agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.
Securities and other assets that cannot be priced using the methods described above are valued with pricing methodologies approved by the Valuation Committee. In the event there are unobservable inputs used when determining such valuations, the securities will be classified as Level 3 of 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.
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 holdings of foreign currencies, currency gains or losses realized between the trade and settlement dates on security 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
B2
and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) foreign currencies.
Securities Lending: The Portfolio 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 fund 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 using the collateral in the open market. The Portfolio recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or 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.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment transactions and currency transactions are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income, including amortization of premium and accretions of discount on debt securities, is recorded on the accrual basis. Expenses are recorded on the accrual basis which may require the use of certain estimates by management. The Series Fund’s expenses are allocated to the respective Portfolios on the basis of relative net assets except for Portfolio specific expenses which are changed directly to a Portfolio or class level.
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 Portfolios is the responsibility of their partners. 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 Jennison 20/20 Focus Portfolio makes distributions, if any, at least annually. Distributions are recorded on the ex-date.
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.
| 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 subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”) (the “Subadviser”), under which Jennison provides investment advisory services for the Portfolio. PI pays for the services of the Subadviser, compensation of officers of the Series Fund, occupancy and certain clerical and administrative expenses of the Series Fund. The Portfolio bears all other costs and expenses.
The management fee paid to PI is computed daily and payable monthly at an annual rate of .75% of the Portfolio’s average daily net assets.
The Series Fund has a distribution agreement with Prudential Investment Management Services LLC (“PIMS”), which acts as the distributor of the Class I and Class II 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
B3
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 .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 .15% of the average daily net assets of the Class II shares.
PIMS, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
The Portfolio has 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 within realized gain or loss on investment transactions presented in the Statement of Operations. For the year ended December 31, 2012, brokerage commission recaptured under these agreements was $9,469.
| 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 fees and expenses in the Statement of Operations include certain out-of-pocket expenses paid to non-affiliates, where applicable. Prudential Investment Management, Inc. (“PIM”), an indirect, wholly-owned subsidiary of Prudential, serves as the Series Fund’s security lending agent. For the year ended December 31, 2012, PIM was compensated $9,398 for these services by the Jennison 20/20 Focus Portfolio.
The Portfolio invests in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI. Earnings from the Core Fund 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, 2012 were $242,756,885 and $488,606,364, respectively.
| 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
B4
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 contracts or for such other purposes as may be consistent with the contracts.
Transactions in shares of beneficial interest of the Jennison 20/20 Focus Portfolio were as follows:
| Class I |
Shares |
Amount |
||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
237,364 | $ | 3,707,325 | |||||
| Series shares issued in reinvestment of distributions |
144,416 | 2,125,804 | ||||||
| Series shares repurchased |
(615,968 | ) | (9,659,767 | ) | ||||
| Net increase (decrease) in shares outstanding |
(234,188 | ) | $ | (3,826,638 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
369,922 | $ | 5,796,412 | |||||
| Series shares issued in reinvestment of distributions |
3,407 | 53,655 | ||||||
| Series shares repurchased |
(730,650 | ) | (11,394,573 | ) | ||||
| Net increase (decrease) in shares outstanding |
(357,321 | ) | $ | (5,544,506 | ) | |||
| Class II |
||||||||
| Year ended December 31, 2012: |
||||||||
| Series shares sold |
2,411,811 | $ | 37,469,629 | |||||
| Series shares issued in reinvestment of distributions |
975,593 | 14,068,043 | ||||||
| Series shares repurchased |
(19,641,828 | ) | (287,378,485 | ) | ||||
| Net increase (decrease) in shares outstanding |
(16,254,424 | ) | $ | (235,840,813 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Series shares sold |
7,525,972 | $ | 116,115,303 | |||||
| Series shares repurchased |
(12,435,137 | ) | (197,597,631 | ) | ||||
| Net increase (decrease) in shares outstanding |
(4,909,165 | ) | $ | (81,482,328 | ) | |||
| Note 8: | Borrowings |
The Portfolio, along with other affiliated registered investment companies (the “Funds”), is 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 15, 2012 through November 14, 2013. The Funds pay an annualized commitment fee of .08% of the unused portion of the SCA. Prior to November 15, 2012, the Funds had another Syndicated Credit Agreement 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 Portfolio utilized the SCA during the year ended December 31, 2012. The average daily balance for the 10 days that the Portfolio had loans outstanding during the period was $1,966,000, borrowed at a weighted average interest rate of 1.49%. At December 31, 2012, the Portfolio did not have an outstanding loan amount.
| Note 9: | Ownership and Affiliates |
As of December 31, 2012, all of Class I shares of the Portfolio were owned of record by the Prudential Insurance Company of America (“PICA”) on behalf of the owners of the variable insurance products issued by PICA.
| Note 10: | New Accounting Pronouncement |
In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-11 regarding “Disclosures about Offsetting Assets and Liabilities”. The amendments, which will be effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within
B5
those annual periods, require an entity to disclose information about offsetting and related arrangements for assets and liabilities, financial instruments and derivatives that are either currently offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements. At this time, management is evaluating the implications of ASU No. 2011-11 and its impact on the financial statements has not yet been determined.
B6
Financial Highlights
| Class I |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012(c) |
2011(c) |
2010(c) |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 14.89 | $ | 15.55 | $ | 14.42 | $ | 9.18 | $ | 15.99 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment income |
.05 | .04 | .05 | .03 | .06 | |||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.55 | (.69 | ) | 1.08 | 5.26 | (5.94 | ) | |||||||||||||
| Total from investment operations |
1.60 | (.65 | ) | 1.13 | 5.29 | (5.88 | ) | |||||||||||||
| Less Distributions |
(.56 | ) | (.01 | ) | — | (.05 | ) | (.93 | ) | |||||||||||
| Net Asset Value, end of year |
$ | 15.93 | $ | 14.89 | $ | 15.55 | $ | 14.42 | $ | 9.18 | ||||||||||
| Total Return(a) |
11.04 | % | (4.17 | )% | 7.84 | % | 57.83 | % | (39.15 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 59.1 | $ | 58.7 | $ | 66.8 | $ | 70.5 | $ | 46.7 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
.80 | % | .80 | % | .80 | % | .81 | % | .82 | % | ||||||||||
| Net investment income |
.32 | % | .24 | % | .36 | % | .27 | % | .41 | % | ||||||||||
| Portfolio turnover rate |
75 | % | 83 | % | 112 | % | 106 | % | 125 | % | ||||||||||
| Class II |
||||||||||||||||||||
| Year Ended December 31, |
||||||||||||||||||||
| 2012(c) |
2011(c) |
2010(c) |
2009 |
2008 |
||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||
| Net Asset Value, beginning of year |
$ | 14.62 | $ | 15.31 | $ | 14.25 | $ | 9.06 | $ | 15.78 | ||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||
| Net investment loss |
(.03 | ) | (.03 | ) | (.01 | ) | (.01 | ) | — | (d) | ||||||||||
| Net realized and unrealized gain (loss) on investments |
1.54 | (.66 | ) | 1.07 | 5.20 | (5.87 | ) | |||||||||||||
| Total from investment operations |
1.51 | (.69 | ) | 1.06 | 5.19 | (5.87 | ) | |||||||||||||
| Less Distributions |
(.56 | ) | — | — | — | (d) | (.85 | ) | ||||||||||||
| Net Asset Value, end of year |
$ | 15.57 | $ | 14.62 | $ | 15.31 | $ | 14.25 | $ | 9.06 | ||||||||||
| Total Return(a) |
10.62 | % | (4.51 | )% | 7.44 | % | 57.29 | % | (39.40 | )% | ||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||
| Net assets, end of year (in millions) |
$ | 154.8 | $ | 383.0 | $ | 476.2 | $ | 284.9 | $ | 156.3 | ||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||
| Expenses |
1.20 | % | 1.20 | % | 1.20 | % | 1.21 | % | 1.22 | % | ||||||||||
| Net investment loss |
(.18 | )% | (.16 | )% | (.05 | )% | (.13 | )% | — | %(e) | ||||||||||
| Portfolio turnover rate |
75 | % | 83 | % | 112 | % | 106 | % | 125 | % | ||||||||||
| (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) | Calculated based upon average shares outstanding. |
| (d) | Less than $0.005 per share. |
| (e) | Less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
C1
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
THE BOARD OF TRUSTEES AND SHAREHOLDERS
THE PRUDENTIAL SERIES FUND:
We have audited the accompanying statement of assets and liabilities of the Jennison 20/20 Focus Portfolio (hereafter referred to as the “Portfolio”), including the schedule of investments, as of December 31, 2012, and the related statement of operations for the year then ended, the statement 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 Fund’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, 2012, 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 Portfolio as of December 31, 2012, and 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 15, 2013
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 (45) No. of Portfolios Overseen: 92 |
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 2007); Member of the Board of Directors, Hubbard Radio, LLC (Since 2011); formerly Member of the Board of Directors, National Association of Broadcasters (2004-2010). | None. | ||
| Sherry S. Barrat (63) No. of Portfolios Overseen: 92 |
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.). | ||
| Kay Ryan Booth (62) No. of Portfolios Overseen: 92 |
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 (74) No. of Portfolios Overseen: 92 |
Marketing Consultant (1982-present); formerly Senior Vice President and Member of the Board of Directors, Prudential Bache Securities, Inc. | None. | ||
| W. Scott McDonald, Jr., Ph.D. (75) No. of Portfolios Overseen: 92 |
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 (71) No. of Portfolios Overseen: 92 |
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. | ||
| Thomas M. O’Brien (62) No. of Portfolios Overseen: 92 |
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. |
E1
| Independent Trustees(1) | ||||
| Name, Address, Age No. of Portfolios Overseen |
Principal Occupation(s) During Past Five Years | Other Directorships Held | ||
| F. Don Schwartz (77) No. of Portfolios Overseen: 92 |
Independent Management/Marketing Consultant (since 2002); formerly CEO and President of AceCo, Inc. (1985-2001) (consulting firm specializing in universal/variable life and variable annuity products); formerly Vice President of The Equitable Life Assurance Society; formerly Guest Insurance Professor at the American College, Louisiana State University, Alabama State University and the Insurance Marketing Institute; Advisor to several state insurance commissioners; a Chartered Life Underwriter, Chartered Financial Consultant and Fellow of the Life Insurance Management Institute. | None. | ||
| Interested Trustees(1) | ||||
| Robert F. O’Donnell (44) No. of Portfolios Overseen: 92 |
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. | ||
| Robert F. Gunia (66) No. of Portfolios Overseen: 92 |
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. | ||
| Timothy S. Cronin (47) Number of Portfolios Overseen: 92 |
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. |
(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; Timothy S. Cronin, 2011; 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; F. Don Schwartz, 2003.
| Fund Officers(a)(1) | ||
| Name, Address and Age Position with the Fund |
Principal Occupation(s) During the Past Five Years | |
| Raymond A. O’Hara (57) 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 (54) Secretary |
Vice President and Corporate Counsel (since January 2001) of Prudential; Vice President (since December 1996) and Assistant Secretary (since March 1999) of PI; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Jonathan D. Shain (54) Assistant Secretary |
Vice President and Corporate Counsel (since August 1998) of Prudential; Vice President and Assistant Secretary (since May 2001) of PI; Vice President and Assistant Secretary (since February 2001) of PMFS; formerly Vice President and Assistant Secretary (May 2003-June 2005) of AST Investment Services, Inc. | |
| Claudia DiGiacomo (38) Assistant Secretary |
Vice President and Corporate Counsel (since January 2005) of Prudential; Vice President and Assistant Secretary of PI (since December 2005); Associate at Sidley Austin Brown Wood LLP (1999-2004). | |
| Andrew R. French (50) 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 PI; Vice President and Assistant Secretary (since January 2007) of PMFS. | |
| Amanda S. Ryan (35) Assistant Secretary |
Director and Corporate Counsel (since March 2012) of Prudential; Director and Assistant Secretary (since June 2012) of PI; Associate at Ropes & Gray (2008-2012). | |
| Valerie M. Simpson (53) Chief Compliance Officer |
Chief Compliance Officer (since April 2007) of PI and AST Investment Services, Inc.; formerly Vice President – Financial Reporting (June 1999-March 2006) for Prudential Life and Annuities Finance. | |
| Theresa C. Thompson (50) Deputy Chief Compliance Officer |
Vice President, Compliance, PI (since April 2004); and Director, Compliance, PI (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 (44) 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 (53) Treasurer and Principal Financial and Accounting Officer |
Assistant Treasurer (since March 1999) and Senior Vice President (since September 1999) of PI; 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 (49) Assistant Treasurer |
Vice President (since 2005) of Prudential Investments LLC. | |
| Peter Parrella (54) 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 (56) Assistant Treasurer |
Vice President and Corporate Counsel – Tax, Prudential Financial, Inc. (since October 2003). |
(a) Excludes Mr. O’Donnell and Mr. Cronin, interested Board Members 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; Jonathan D. Shain, 2005; Claudia DiGiacomo, 2005; Amanda S. Ryan, 2012; Andrew R. French, 2006; Valerie M. Simpson, 2007; Theresa C. Thompson, 2008; Grace C. Torres, 1997; Peter Parrella, 2007; M. Sadiq Peshimam, 2006; Alan Fu, 2006; Richard W. Kinville, 2011.
Explanatory Notes to Tables:
Trustees 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. Robert O’Donnell and Timothy Cronin are Interested Trustees because they are employed by an affiliate of the Manager of the Fund. Robert F. Gunia will be considered an Interested Trustee for at least two years after his retirement from employment by the Manager and its affiliates (which was on or about October 21, 2009). He will also be an Interested Trustee as long as he holds a beneficial interest in securities issued by the Manager or its affiliates.
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 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.
E3
This report must be preceded or accompanied by the current prospectuses for the Prudential Series Fund portfolios and the applicable variable life contract. The prospectuses contain information on the investment objectives, risks, and charges and expenses of the portfolios, and the contract and should be read carefully.
A description of the Fund’s proxy voting policies and procedures is available, without charge, upon request. Owners of variable life insurance contracts should call (800)778-2255 to obtain descriptions of the Fund’s proxy voting policies and procedures. Information regarding how the Fund 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 Fund’s website at www.prudential.com/variableinsuranceportfolios.
The Fund files with the Commission a complete listing of portfolio holdings as of its first and third quarter-end 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 (800)SEC-0330. Form N-Q is also available on the Fund’s website or by calling the telephone number referenced above, for variable life insurance contract owners.
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and is available without charge upon request by calling (800)778-2255.
This report may include financial information pertaining to certain portfolios that are not available through the variable life insurance policy that you have chosen. Please refer to your variable life insurance prospectus to determine which portfolios are available to you.
Variable life insurance is issued by The Prudential Insurance Company of America, 751 Broad Street, Newark, NJ 07102-3777, Pruco Life Insurance Company, or in New York, Pruco Life Insurance Company of New Jersey, both located at 213 Washington Street, Newark, NJ 07102-2992. Pruco Life Insurance Company is not licensed to do business in New York. Variable life insurance is offered through Pruco Securities LLC, 751 Broad Street, Newark, NJ 07102-3777.
All are Prudential Financial companies, and each is solely responsible for its financial condition and contractual obligations.
Life insurance contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
|
The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777
|
Presorted Standard U.S. Postage PAID Prudential | |||
The Audited Financial Statements of Pruco Life Insurance Company, Pruco Life Insurance Company of New Jersey, and The Prudential Insurance Company of America are available upon request. You may call (800)778-2255 to obtain a free copy of the audited financial statements of the insurance company that issued your contract.
To reduce costs, we now generally send only a single copy of prospectuses and shareholder reports to each household (householding) in lieu of sending a copy to each Contract Owner who resides in the household. You should be aware that by calling (877)778-5008, you can revoke, or “opt out,” of householding at any time.
Prudential Investments, 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.
0239275-00001-00 PSF-AR-20/20 Focus-ILI
| 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. Thomas M. O’Brien, 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, 2012 and December 31, 2011, KPMG LLP (“KPMG”), the Registrant’s principal accountant, billed the Registrant $466,000 and $438,000, 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 2012 and 2011. 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 2012 and 2011 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 Series Fund
| By: | /s/ Deborah A. Docs | |
| Deborah A. Docs | ||
| Secretary | ||
| Date: | February 21, 2013 | |
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/ Robert F. O’Donnell | |
| Robert F. O’Donnell | ||
| President and Principal Executive Officer | ||
| Date: | February 21, 2013 | |
| By: | /s/ Grace C. Torres | |
| Grace C. Torres | ||
| Treasurer and Principal Financial Officer | ||
| Date: | February 21, 2013 | |