UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
| Investment Company Act file number: | 811-03422 | |
| Exact name of registrant as specified in charter: | The Prudential Variable Contract Account-11 | |
| Address of principal executive offices: | Gateway Center 3, | |
| 100 Mulberry Street, | ||
| Newark, New Jersey 07102 | ||
| Name and address of agent for service: | Deborah A. Docs | |
| Gateway Center 3, | ||
| 100 Mulberry Street, | ||
| Newark, New Jersey 07102 | ||
| Registrant’s telephone number, including area code: | 973-367-7521 | |
| Date of fiscal year end: | 12/31/2012 | |
| Date of reporting period: | 6/30/2012 | |
Item 1 – Reports to Stockholders
The MEDLEY Program
SEMIANNUAL REPORT Ÿ JUNE 30, 2012
|
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus for The MEDLEY Program. Investors should consider the contract and the underlying portfolios’ investment objectives, risks, charges and expenses carefully before investing. This and other important information is contained in the prospectuses that can be obtained from your financial professional. You should read the prospectuses carefully before investing.
This report includes the financial statements of VCA-10, VCA-11, and the portfolios of The Prudential Series Fund (the “Funds”) available through VCA-24.
This report does not include separate account financials for the VCA-24 Subaccounts. If you would like separate account financial statements, please call the telephone number on the inside back cover of this report.
Annuity contracts contain exclusions, limitations, reductions of benefits, and terms for keeping them in force. Your plan sponsor or licensed financial professional can provide you with costs and complete details. Contract guarantees are based on the claims-paying ability of the issuing company.
A description of each Account’s proxy voting policies and procedures is available without charge, upon request. MEDLEY participants should call 800-458-6333 to obtain a description of the Account’s proxy voting policies and procedures. Information regarding how the Account’s voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the website of the Securities and Exchange Commission (the “Commission”) at www.sec.gov and on the Account’s website.
The Account’s Statement of Additional Information contains additional information about the Accounts’ Committee Members and is available without charge upon request by calling 800-458-6333.
Each Account files with the Commission a complete listing of portfolio holdings as of the end of the first and third quarters on Form N-Q. Form N-Q is available on the Commission’s website at www.sec.gov or by visiting the Commission’s Public Reference Room. For more information on the Commission’s Public Reference Room, please visit the Commission’s website or call 1-800-732-0330. MEDLEY participants may obtain copies of Form N-Q filings by calling 800-458-6333.
| The Prudential MEDLEY Program Table of Contents |
Semiannual Report | June 30, 2012 |
| n | LETTER TO PARTICIPANTS |
| n | VCA-10 CAPITAL GROWTH ACCOUNT |
Financial Statements
| n | VCA-11 MONEY MARKET ACCOUNT |
Financial Statements
| n | VCA-24 THE PRUDENTIAL SERIES FUND PORTFOLIOS |
Conservative Balanced Portfolio
Diversified Bond Portfolio
Equity Portfolio
Flexible Managed Portfolio
Global Portfolio
Government Income Portfolio
Stock Index Portfolio
| n | APPROVAL OF ADVISORY AGREEMENTS |
| The Prudential MEDLEY Program Letter to Participants |
June 30, 2012 |
| n | DEAR PARTICIPANT: |
At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This MEDLEY Program semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.
Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and risk diversification has enabled us to manage effectively through volatile markets over time. We believe the array of our products provides a highly attractive value proposition to clients like you who are focused on financial security.
Your financial professional is the best resource to help you make the most informed investment decisions. Together, you can build a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.
Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to help you achieve financial security.
Sincerely,
|
| |
| Stuart Parker | Robert F. O’Donnell | |
| President, | President, | |
| The Prudential Variable Contract Accounts 10 & 11 | The Prudential Series Fund |
July 31, 2012
| Prudential Variable Contract Account-10 (VCA-10) & Variable Contract Account-24 (VCA-24) Presentation of Portfolio Holdings — unaudited |
June 30, 2012 |
For a complete listing of holdings, refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2012
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF
VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2012
| (a) | Non-income producing security. |
| (b) | Indicates a security that has been deemed illiquid. |
| (c) | Indicates a security restricted to resale. The aggregate cost of such securities is $1,639,692. The aggregate value of $1,885,824 is approximately 1.3% of net assets. |
The following abbreviations are used in the portfolio descriptions:
| ADR | American Depositary Receipt | |
| CVR | Contingent Value Rights |
Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3— | significant unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures. |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2012
The following is a summary of the inputs used as of June 30, 2012 in valuing such portfolio securities:
| Investments in Securities |
Level 1 |
Level 2 |
Level 3 |
|||||||||
| Common Stocks |
$ | 145,531,875 | $ | — | $ | 1,885,824 | ||||||
| Rights |
— | — | — | |||||||||
| Total |
$ | 145,531,875 | $ | — | $ | 1,885,824 | ||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| Common Stock |
||||
| Balance as of 12/31/2011 |
$ | 2,004,064 | ||
| Realized gain (loss) |
— | |||
| Change in unrealized appreciation (depreciation)* |
(118,240 | ) | ||
| Purchases |
— | |||
| Sales |
— | |||
| Transfers into Level 3 |
— | |||
| Transfers out of Level 3 |
— | |||
| Balance as of 6/30/2012 |
$ | 1,885,824 | ||
| * | Of which $(118,240) was included in Net Assets relating to securities held at reporting period end. |
Included in the table above, under Level 3 securities, are common stock and 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 the 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 stock and rights, the securities were private placement and therefore, the prices were a significant unobservable input.
The industry classification of portfolio holdings and other assets in excess of liabilities shown as a percentage of net assets as of June 30, 2012 were as follows:
| Oil, Gas & Consumable Fuels |
9.6 | % | ||
| Pharmaceuticals |
8.9 | |||
| Food Products |
6.6 | |||
| Media |
5.7 | |||
| Aerospace and Defense |
4.7 | |||
| Commercial Banks |
4.4 | |||
| Metals & Mining |
4.4 | |||
| Energy Equipment & Services |
3.9 | |||
| Diversified Financial Services |
3.3 | |||
| Healthcare Providers & Services |
3.3 | |||
| Capital Markets |
2.8 | |||
| Internet Software & Services |
2.7 | |||
| Insurance |
2.5 | |||
| Textiles, Apparel & Luxury Goods |
2.5 | |||
| Computers and Peripherals |
2.4 | |||
| Semiconductors & Semiconductor Equipment |
2.3 | |||
| Chemicals |
2.1 | |||
| Energy Equipment & Instruments |
2.1 | |||
| Wireless Telecommunication Services |
2.1 | |||
| Independent Power Producers & Energy Traders |
2.0 | |||
| Airlines |
1.9 | |||
| Auto Components |
1.8 | |||
| Electric Utilities |
1.7 | |||
| IT Services |
1.7 |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2012
| Machinery |
1.7 | % | ||
| Food & Staples Retailing |
1.6 | |||
| Hotels, Restaurants & Leisure |
1.6 | |||
| Diversified Telecommunication Services |
1.5 | |||
| Road & Rail |
1.5 | |||
| Software |
1.5 | |||
| Biotechnology |
1.4 | |||
| Communications Equipment |
1.4 | |||
| Specialty Retail |
1.3 | |||
| Construction & Engineering |
1.0 | |||
| 99.9 | ||||
| Other assets in excess of liabilities |
0.1 | |||
| 100.0 | % | |||
The Account 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 Account’s financial position and financial performance as reflected in the Statement of Net Assets and Statement of Operations is presented in the summary below.
At June 30, 2012, the Account held derivatives not accounted for as hedging instruments. These equity contracts have a fair value at June 30, 2012 of $0 and are presented in the Statement of Net Assets as such.
The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2012 are as follows:
For the six months ended June 30, 2012, the Account did not have any realized gain or (loss) or change in unrealized appreciation or (depreciation) on derivatives recognized in income on the Statement of Operations.
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-10
| STATEMENT OF OPERATIONS (Unaudited) | ||||||
Six Months Ended June 30, 2012
| INVESTMENT INCOME |
||||
| Unaffiliated Dividend Income (net of $18,869 foreign withholding tax) |
$ | 1,076,218 | ||
| Affiliated Dividend Income |
1,461 | |||
| Total Income |
1,077,679 | |||
| EXPENSES |
||||
| Fees Charged to Participants for Investment Management Services |
(200,346 | ) | ||
| Fees Charged to Participants for Administrative Expenses |
(557,480 | ) | ||
| Total Expenses . |
(757,826 | ) | ||
| NET INVESTMENT INCOME |
319,853 | |||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS |
||||
| Net Realized Gain on Investment Transactions |
3,297,758 | |||
| Net Change in Unrealized Appreciation (Depreciation) on Investments |
1,270,402 | |||
| NET GAIN ON INVESTMENTS |
4,568,160 | |||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 4,888,013 | ||
| STATEMENT OF CHANGES IN NET ASSETS (Unaudited) | ||||||
| Six Months Ended June 30, 2012 |
Year Ended December 31, 2011 |
|||||||
| OPERATIONS |
||||||||
| Net Investment Income |
$ | 319,853 | $ | 828,194 | ||||
| Net Realized Gain on Investment Transactions |
3,297,758 | 13,028,100 | ||||||
| Net Change In Unrealized Appreciation (Depreciation) on Investments |
1,270,402 | (26,495,327 | ) | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
4,888,013 | (12,639,033 | ) | |||||
| CAPITAL TRANSACTIONS |
||||||||
| Purchase Payments and Transfers In |
2,837,824 | 17,515,149 | ||||||
| Withdrawals and Transfers Out |
(16,375,369 | ) | (34,097,838 | ) | ||||
| Annual Account Charges Deducted from Participants’ Accounts |
(807 | ) | (24,271 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS |
(13,538,352 | ) | (16,606,960 | ) | ||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS |
(70,994 | ) | 68,084 | |||||
| TOTAL DECREASE IN NET ASSETS |
(8,721,333 | ) | (29,177,909 | ) | ||||
| NET ASSETS |
||||||||
| Beginning of period |
156,223,553 | 185,401,462 | ||||||
| End of period |
$ | 147,502,220 | $ | 156,223,553 | ||||
| Accumulation Unit Values and Equity Of Participants as of June 30, 2012 | ||||
| Standard Contract: |
||||
| Accumulation Unit Value and Equity Of Participants, $135,550,026 / 14,126,370 outstanding Accumulation Units |
$ | 9.5955 | ||
| 0.50% Contract: |
||||
| Accumulation Unit Value and Equity Of Participants, $2,153,928 / 207,212 outstanding Accumulation Units |
$ | 10.3948 | ||
| 0.45% Contract: |
||||
| Accumulation Unit Value and Equity Of Participants, $9,811,659 / 943,242 outstanding Accumulation Units |
$ | 10.4021 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR
VCA-10
| INCOME AND CAPITAL CHANGES PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Six Months Ended June 30, 2012 |
Period Ended December 31, 2011 |
|||||||||||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract |
Standard Contract |
0.50% Contract |
0.45% Contract† |
|||||||||||||||||||
| Investment Income |
$ | .0679 | $ | .0733 | $ | .0734 | $ | .1448 | $ | .1559 | $ | .1203 | ||||||||||||
| Expenses |
||||||||||||||||||||||||
| Investment management fee |
(.0125 | ) | (.0135 | ) | (.0135 | ) | (.0250 | ) | (.0270 | ) | (.0200 | ) | ||||||||||||
| Administrative expenses |
(.0372 | ) | (.0135 | ) | (.0108 | ) | (.0749 | ) | (.0270 | ) | (.0160 | ) | ||||||||||||
| Net Investment Income |
.0182 | .0463 | .0491 | .0449 | .1019 | .0843 | ||||||||||||||||||
| Capital Changes |
||||||||||||||||||||||||
| Net realized and unrealized gain (loss) on investment transactions |
.2175 | .2340 | .2340 | (.7945 | ) | (.8579 | ) | (1.5558 | ) | |||||||||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
.2357 | .2803 | .2831 | (.7496 | ) | (.7560 | ) | (1.4715 | ) | |||||||||||||||
| Accumulation Unit Value |
||||||||||||||||||||||||
| Beginning of period |
9.3598 | 10.1145 | 10.1190 | 10.1094 | 10.8705 | 11.5905 | ||||||||||||||||||
| End of period |
$ | 9.5955 | $ | 10.3948 | $ | 10.4021 | $ | 9.3598 | $ | 10.1145 | $ | 10.1190 | ||||||||||||
| Total Return** |
2.52 | % | 2.77 | % | 2.80 | % | (7.41 | %) | (6.95 | %) | (12.70 | %) | ||||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | %†† | .50 | %†† | .45 | %†† | 1.00 | % | .50 | % | .45 | %†† | ||||||||||||
| Ratio of Net Investment Income To Average Net Assets*** |
.18 | %†† | .43 | %†† | .46 | %†† | .44 | % | .94 | % | 1.03 | %†† | ||||||||||||
| Portfolio Turnover Rate |
27 | %††† | 27 | %††† | 27 | %††† | 56 | % | 56 | % | 56 | % | ||||||||||||
| Number of Accumulation Units Outstanding |
14,126 | 207 | 943 | 15,386 | 205 | 1,001 | ||||||||||||||||||
| † | Inception Date — April 1, 2011. |
| †† | Annualized. |
| ††† | Not Annualized. |
| Year Ended December 31, |
||||||||||||||||
| 2010 | 2009 | 2008 | 2007 | |||||||||||||
| Investment Income |
$ | .1531 | $ | .1215 | $ | .1628 | $ | .1753 | ||||||||
| Expenses |
||||||||||||||||
| Investment management fee |
(.0227 | ) | (.0186 | ) | (.0226 | ) | (.0274 | ) | ||||||||
| Administrative expenses |
(.0678 | ) | (.0557 | ) | (.0677 | ) | (.0821 | ) | ||||||||
| Net Investment Income |
.0626 | .0472 | .0725 | .0658 | ||||||||||||
| Capital Changes |
||||||||||||||||
| Net realized and unrealized gain (loss) on investment transactions |
.9846 | 2.8854 | (4.8662 | ) | .5349 | |||||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
1.0472 | 2.9326 | (4.7937 | ) | .6007 | |||||||||||
| Accumulation Unit Value |
||||||||||||||||
| Beginning of year |
9.0708 | 6.1382 | 10.9319 | 10.3312 | ||||||||||||
| End of year |
$ | 10.1180 | $ | 9.0708 | $ | 6.1382 | $ | 10.9319 | ||||||||
| Total Return** |
11.54 | % | 47.78 | % | (43.85 | %) | 5.81 | % | ||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||
| Ratio of Net Investment Income To Average Net Assets*** |
.69 | % | 1.00 | % | 1.01 | % | .60 | % | ||||||||
| Portfolio Turnover Rate |
70 | % | 62 | % | 81 | % | 65 | % | ||||||||
| Number of Accumulation Units Outstanding |
18,330 | 20,072 | 21,633 | 24,945 | ||||||||||||
| * | Calculated by accumulating the actual per unit amounts daily. |
| ** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-10. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Accumulation Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO THE FINANCIAL STATEMENTS OF
VCA-10 (Unaudited)
| Note 1: | General |
The Prudential Variable Contract Account-10 (“VCA-10” or the “Account”) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940 (“1940 Act”), as amended. VCA-10 has been designed for use by employers (“Contract-holders”) in making retirement arrangements on behalf of their employees (“Participants”). The investment objective of the Account is long-term growth of capital. The Account’s investments are composed primarily of common stocks. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.
PICA issues standard VCA-10 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-10 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.
| Note 2: | Summary of Significant Accounting Policies |
Securities Valuation: The Account 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 Account’s Committee Members have delegated fair valuation responsibilities to the Manager through the adoption of Valuation Procedures for valuation of the Account’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 Account to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available. A record of Valuation Committee’s actions is subject to review, approval and ratification by the Account’s Committee at its next regularly scheduled quarterly meeting.
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 Account’s normal pricing time. These securities are valued using pricing vendor services that provide 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 adjustment factors are classified as Level 2 of the fair value hierarchy.
Investments in open end, non exchange-traded mutual funds are valued at their net asset value as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 as these securities have the ability to be purchased or sold at their net asset value on the date of valuation.
Over the counter derivatives are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, 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. Where there are unobservable inputs used when determining such valuation, the securities will be classified as Level 3 of the fair value hierarchy.
Rights: The Account may hold rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such rights are held as long positions by the Account until exercised, sold or expired. Rights are valued at fair value in accordance with the Committee Members’ approved fair valuation procedures.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized and unrealized gains or losses on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Net investment income and realized and unrealized gain or losses (other than administrative fees) are allocated to the Participants and PICA on a daily basis in proportion to their respective ownership in VCA-10.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Federal Income Taxes: The operations of VCA-10 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-10 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-10 has not been reduced by federal income taxes.
| Note 3: | Investment Management Agreement and Charges |
The Account has a management agreement with PI. Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. PI has entered into a subadvisory agreement with Jennison Associates LLC (“Jennison”). The subadvisory agreement provides that Jennison will furnish investment advisory services in connection with the management of the Account. PI pays for the services of Jennison.
VCA-10 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.
Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services.
PICA, PI and Jennison are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the six months ended by cancelling Units.
| Note 4: | Other Transactions with Affiliates |
During the six months ended June 30, 2012, the Account invested in the Prudential Core Taxable Money Market Fund (the “Core Fund”), a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act, as amended, and managed by PI. Earnings from the Core Fund are disclosed on the Statement of Operations as affiliated dividend income.
| Note 5: | Purchases and Sales of Portfolio Securities |
For the six months ended June 30, 2012, the aggregate cost of purchases and the proceeds from sales of securities, excluding short-term investments, were $42,458,237 and $51,523,271, respectively.
| Note 6: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the six months ended June 30, 2012 and the year ended December 31, 2011, respectively, are as follows:
| Standard Contracts |
Units |
Amount |
||||||
| Six months ended June 30, 2012: |
||||||||
| Account units issued |
269,475 | $ | 2,720,788 | |||||
| Account units redeemed |
(1,529,403 | ) | (15,653,008 | ) | ||||
| Net increase (decrease) in units outstanding |
(1,259,928 | ) | $ | (12,932,220 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Account units issued |
499,673 | $ | 5,016,579 | |||||
| Account units redeemed |
(3,237,565 | ) | (33,240,098 | ) | ||||
| Net increase (decrease) in units outstanding |
(2,737,892 | ) | $ | (28,223,519 | ) | |||
| 0.50% Contracts |
||||||||
| Six months ended June 30, 2012: |
||||||||
| Account units issued |
5,902 | $ | 63,371 | |||||
| Account units redeemed |
(3,363 | ) | (34,681 | ) | ||||
| Net increase (decrease) in units outstanding |
2,539 | $ | 28,690 | |||||
| Year ended December 31, 2011: |
||||||||
| Account units issued |
25,294 | $ | 270,939 | |||||
| Account units redeemed |
(25,983 | ) | (272,165 | ) | ||||
| Net increase (decrease) in units outstanding |
(689 | ) | $ | (1,226 | ) | |||
| 0.45% Contracts |
||||||||
| Six months ended June 30, 2012: |
||||||||
| Account units issued |
4,698 | $ | 53,665 | |||||
| Account units redeemed |
(62,367 | ) | (687,680 | ) | ||||
| Net increase (decrease) in units outstanding |
(57,669 | ) | $ | (634,015 | ) | |||
| Period ended December 31, 2011: |
||||||||
| Account units issued |
1,054,937 | $ | 12,227,631 | |||||
| Account units redeemed |
(54,026 | ) | (585,575 | ) | ||||
| Net increase (decrease) in units outstanding |
1,000,911 | $ | 11,642,056 | |||||
| Note 7: | Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers |
The increase (decrease) in net assets resulting from surplus transfers represents the net increase to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.
| Note 8: | Participant Loans |
Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-10 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.
For the six months ended June 30, 2012, $94,414 in participant loans were withdrawn from VCA-10 and $65,051 of principal and interest was repaid to VCA-10. For the year ended December 31, 2011, $385,475 in participant loans were withdrawn from VCA-10 and $173,744 of principal and interest was repaid to VCA-10.
Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-10. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-10. During the six months ended June 30, 2012, PICA has advised the Account that it received $651 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.
| Note 9. | New Accounting Pronouncements |
In December 2011, the Financial Accounting Standards Board issued 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 yet been determined.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2012
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2012
| (a) | Percentage quoted represents yield-to-maturity as of the purchase date. |
| (b) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 2012. |
| (c) | Repurchase agreements are collaterized by FHLMC (coupon rates 3.50%-8.00%, maturity dates 07/01/2012-03/01/2041) and FNMA (coupon rates 3.50%-8.00%, maturity dates 07/01/2012-06/01/2042), with the aggregate value, including accrued interest, of $5,308,319. |
| (d) | Indicates a security that has been deemed illiquid. |
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF NET ASSETS (Unaudited) | ||||||
June 30, 2012
Various inputs are used in determining the value of the Account’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally in active markets for identical securities. |
| Level 2— | other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost. |
| Level 3— | significant unobservable inputs for securities valued in accordance with the Account’s Committee approved fair valuation procedures. |
The following is a summary of the inputs used as of June 30, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Certificates of Deposit |
$ | — | 4,941,792 | $ | — | |||||||
| Commerical Paper |
— | 12,574,753 | — | |||||||||
| Other Instruments – Corporate Bonds |
— | 1,979,681 | — | |||||||||
| U.S. Government Agency Obligations |
— | 10,724,487 | — | |||||||||
| U.S. Treasury Obligations |
— | 2,508,654 | — | |||||||||
| Repurchase Agreements |
— | 5,200,000 | — | |||||||||
| Total |
$ | — | $ | 37,929,367 | $ | — | ||||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage on net assets as of June 30, 2012 were as follows:
| Commercial Paper |
33.9 | % | ||
| U.S. Government Agency Obligations |
28.9 | |||
| Repurchase Agreements |
14.0 | |||
| Certificates of Deposit |
13.3 | |||
| U.S. Treasury Obligations |
6.8 | |||
| Other Instruments – Corporate Bonds |
5.4 | |||
| 102.3 | ||||
| Liabilities in excess of other assets |
(2.3 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL STATEMENTS OF VCA-11
| STATEMENT OF OPERATIONS (Unaudited) | ||||||
Six Months Ended June 30, 2012
| INVESTMENT INCOME |
||||
| Unaffiliated Interest Income |
$ | 44,588 | ||
| EXPENSES |
||||
| Fees Charged to Participants for Investment Management Services |
(46,492 | ) | ||
| Fees Charged to Participants for Administrative Expenses |
(130,826 | ) | ||
| Total Expenses |
(177,318 | ) | ||
| NET INVESTMENT LOSS |
(132,730 | ) | ||
| Realized Gain on Investment Transactions |
871 | |||
| NET DECREASE IN NET ASSETS FROM OPERATIONS |
$ | (131,859 | ) | |
| STATEMENT OF CHANGES IN NET ASSETS (Unaudited) | ||||||
| Six Months Ended June 30, 2012 |
Year Ended December 31, 2011 |
|||||||
| OPERATIONS |
||||||||
| Net Investment Loss |
$ | (132,730 | ) | $ | (304,418 | ) | ||
| Net Realized Gain on Investment Transactions |
871 | 856 | ||||||
| NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
(131,859 | ) | (303,562 | ) | ||||
| CAPITAL TRANSACTIONS |
||||||||
| Purchase Payments and Transfers In |
1,756,609 | 6,296,546 | ||||||
| Withdrawals and Transfers Out |
(3,077,406 | ) | (10,401,503 | ) | ||||
| Annual Account Charges Deducted from Participants’ Accounts |
(652 | ) | (19,612 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM CAPITAL TRANSACTIONS |
(1,321,449 | ) | (4,124,569 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SURPLUS TRANSFERS |
(19,527 | ) | (2,822 | ) | ||||
| TOTAL DECREASE IN NET ASSETS |
(1,472,835 | ) | (4,430,953 | ) | ||||
| NET ASSETS |
||||||||
| Beginning of period |
38,534,476 | 42,965,429 | ||||||
| End of period |
$ | 37,061,641 | $ | 38,534,476 | ||||
| Accumulation Unit Values and Equity Of Participants as of June 30, 2012 | ||||
| Standard Contract: |
||||
| Accumulation Unit Value and Equity Of Participants, $33,755,728 / 10,266,982 outstanding Accumulation Units |
$ | 3.2878 | ||
| 0.50% Contract: |
||||
| Accumulation Unit Value and Equity Of Participants, $1,753,397 / 496,467 outstanding Accumulation Units |
$ | 3.5317 | ||
| 0.45% Contract: |
||||
| Accumulation Unit Value and Equity Of Participants, $1,553,880 / 439,665 outstanding Accumulation Units |
$ | 3.5342 | ||
SEE NOTES TO FINANCIAL STATEMENTS.
FINANCIAL HIGHLIGHTS FOR VCA-11
| INCOME PER ACCUMULATION UNIT* (Unaudited) | ||||||
(For an Accumulation Unit outstanding throughout the period)
| Period Ended June 30, 2012 |
Period Ended December 31, 2011 |
|||||||||||||||||||||||
| Standard Contract |
0.50% Contract |
0.45% Contract |
Standard Contract |
0.50% Contract |
0.45% Contract† |
|||||||||||||||||||
| Investment Income |
$ | .0040 | $ | .0042 | $ | .0042 | $ | .0070 | $ | .0073 | $ | .0051 | ||||||||||||
| Expenses |
||||||||||||||||||||||||
| Investment management fee |
(.0041 | ) | (.0044 | ) | (.0044 | ) | (.0083 | ) | (.0088 | ) | (.0067 | ) | ||||||||||||
| Administrative expenses |
(.0123 | ) | (.0044 | ) | (.0035 | ) | (.0248 | ) | (.0088 | ) | (.0053 | ) | ||||||||||||
| Net Investment Loss |
(.0124 | ) | (.0046 | ) | (.0037 | ) | (.0261 | ) | (.0103 | ) | (.0069 | ) | ||||||||||||
| Capital Changes |
||||||||||||||||||||||||
| Net realized gain (loss) on investment transactions |
.0001 | .0001 | .0001 | .0001 | .0001 | .0000 | †† | |||||||||||||||||
| Net Decrease in Accumulation Unit Value |
(.0123 | ) | (.0045 | ) | (.0036 | ) | (.0260 | ) | (.0102 | ) | (.0069 | ) | ||||||||||||
| Accumulation Unit Value |
||||||||||||||||||||||||
| Beginning of period |
3.3001 | 3.5362 | 3.5378 | 3.3261 | 3.5464 | 3.5447 | ||||||||||||||||||
| End of period |
$ | 3.2878 | $ | 3.5317 | $ | 3.5342 | $ | 3.3001 | $ | 3.5362 | $ | 3.5378 | ||||||||||||
| Total Return** |
(.37 | %) | (.13 | %) | (.10 | %) | (.78 | %) | (.29 | %) | (.19 | %) | ||||||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | %††† | .50 | %††† | .45 | %††† | 1.00 | % | .50 | % | .45 | %††† | ||||||||||||
| Ratio of Net Investment Loss To Average Net Assets*** |
(.38 | %)††† | (.13 | %)††† | (.10 | %)††† | (.79 | %) | (.29 | %) | (.23 | %)††† | ||||||||||||
| Number of Accumulation Units Outstanding |
10,267 | 496 | 440 | 10,650 | 495 | 458 | ||||||||||||||||||
| † | Inception Date — April 1, 2011. |
| †† | Less than $.00005. |
| ††† | Annualized. |
| Year Ended December 31, |
||||||||||||||||
| 2010 | 2009 | 2008 | 2007 | |||||||||||||
| Investment Income |
$ | .0136 | $ | .0239 | $ | .1010 | $ | .1735 | ||||||||
| Expenses |
||||||||||||||||
| Investment management fee |
(.0083 | ) | (.0084 | ) | (.0083 | ) | (.0080 | ) | ||||||||
| Administrative expenses |
(.0249 | ) | (.0251 | ) | (.0250 | ) | (.0235 | ) | ||||||||
| Net Increase (Decrease) in Accumulation Unit Value |
(.0196 | ) | (.0096 | ) | .0677 | .1420 | ||||||||||
| Accumulation Unit Value |
||||||||||||||||
| Beginning of year |
3.3520 | 3.3616 | 3.2939 | 3.1519 | ||||||||||||
| End of year |
$ | 3.3324 | $ | 3.3520 | $ | 3.3616 | $ | 3.2939 | ||||||||
| Total Return** |
(.58 | %) | (.29 | %) | 2.06 | % | 4.51 | % | ||||||||
| Ratio of Expenses To Average Net Assets*** |
1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||
| Ratio of Net Investment Income (Loss) To Average Net Assets*** |
(.71 | %) | (.30 | %) | 2.00 | % | 4.39 | % | ||||||||
| Number of Accumulation Units Outstanding |
12,886 | 14,777 | 16,736 | 16,560 | ||||||||||||
| * | Calculated by accumulating the actual per unit amounts daily. |
| ** | Total return does not consider the effects of sales loads. Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods of less than one full year are not annualized. |
| *** | These calculations exclude PICA’s equity in VCA-11. |
The above table does not reflect the annual administration charge, which does not affect the Accumulation Unit Value. This charge is made by reducing Participants’ Accumulation Accounts by a number of Units equal in value to the charge.
SEE NOTES TO FINANCIAL STATEMENTS.
NOTES TO THE FINANCIAL STATEMENTS OF
VCA-11 (Unaudited)
| Note 1: | General |
The Prudential Variable Contract Account-11 (VCA-11 or the Account) was established on March 1, 1982 by The Prudential Insurance Company of America (“PICA”) under the laws of the State of New Jersey and is registered as an open-end, diversified management investment company under the Investment Company Act of 1940, as amended. VCA-11 has been designed for use by employers (Contract-holders) in making retirement arrangements on behalf of their employees (Participants). The investment objective of the Account is to realize a high level of current income as is consistent with the preservation of capital and liquidity. Its investments are primarily composed of short-term securities. The ability of the issuers of the securities held by the Account to meet their obligations may be affected by economic developments in a specific state, industry or region. Although variable annuity payments differ according to the investment performance of the Account, they are not affected by mortality or expense experience because PICA assumes the expense risk and the mortality risk under the contracts.
PICA issues standard VCA-11 contracts (the “Standard Contracts”), with total annual expenses of 1.00% (as a percentage of net assets). It also issues contracts with lower administrative expenses where warranted by economies of scale and the expense characteristics of the Contract-holder’s retirement arrangement. Prior to January 1, 2011, PICA issued standard contracts and contracts with annual expenses of 0.50% (as a percentage of net assets) (the “0.50% contracts”). The Accumulation Units Values were previously shown on a combined basis. During 2011, PICA issued VCA-11 contract with annual expenses of 0.45% (as a percentage of net assets) (the “0.45% contracts”). The financial statements now show separate Accumulation Units Values for each type of contract.
| Note 2: | Summary of Significant Accounting Policies |
Securities Valuation: Portfolio securities of VCA-11 are valued at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of any discount or premium. If the amortized cost method is determined not to represent fair value, the fair value shall be determined by or under the direction of the Account’s Committee Members.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from security transactions are calculated on the identified cost basis. Interest income is recorded on the accrual basis. Net investment income (other than administration fees) is allocated to the Participants and PICA on a daily basis in proportion to their respective ownership or investment in VCA-11.
Estimates: The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Federal Income Taxes: The operations of VCA-11 are part of, and are taxed with, the operations of PICA. Under the current provisions of the Internal Revenue Code, PICA does not expect to incur federal income taxes on earnings of VCA-11 to the extent the earnings are credited under the Contracts. As a result, the Unit Value of VCA-11 has not been reduced by federal income taxes.
Repurchase Agreements: In connection with transactions in repurchase agreements with United States financial institutions, it is the Account’s policy that its custodian or designated subcustodians under triparty repurchase agreements, as the case may be, take possession of the underlying collateral securities, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase agreement exceeds one business day, the value of collateral is marked-to-market on a daily basis to ensure adequacy of the collateral. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Account may be delayed or limited.
| Note 3: | Investment Management Agreement and Charges |
The Account has a management agreement with Prudential Investments LLC (“PI”). Pursuant to this agreement, PI has responsibility for all investment advisory services and supervises the subadviser’s
performance of such services. PI has entered into a subadvisory agreement with Prudential Investment Management, Inc. (“PIM”). The subadvisory agreement provides that PIM will furnish investment advisory services in connection with management of the Account. PI pays for the services of PIM.
VCA-11 is subject to fees for investment management and administration services. PICA may impose a reduced Administrative Fee where warranted by economies of scale and the expense characteristics of the employer, association or trust to which Prudential has issued a Contract.
Standard contracts have an effective annual rate of up to 1.00% of the current value of the Participant’s equity of which 0.75% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.50% contracts have an effective annual rate of up to 0.50% of the current value of the Participant’s equity of which 0.25% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services. The 0.45% contracts have an effective annual rate of up to 0.45% of the current value of the Participant’s equity of which 0.20% is paid to PICA for administrative expenses not provided by the annual account charge, and 0.25% is paid to PI, is for investment management services.
PICA, PI and PIM are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
An annual account charge of not more than $30 is deducted from the account of each Participant, if applicable, at the time of withdrawal of the value of all of the Participant’s accounts or at the end of the fiscal year by cancelling Units.
| Note 4: | Unit Transactions |
The number of Accumulation Units issued and redeemed for the six months ended June 30, 2012 and the year ended December 31, 2011, respectively, are as follows:
| Standard Contract |
Units |
Amount |
||||||
| Six months ended June 30, 2012: |
||||||||
| Account units issued |
487,374 | $ | 1,664,646 | |||||
| Account units redeemed |
(870,649 | ) | (2,927,256 | ) | ||||
| Net increase (decrease) in units outstanding |
(383,275 | ) | $ | (1,262,610 | ) | |||
| Year ended December 31, 2011: |
||||||||
| Account units issued |
1,159,884 | $ | 3,842,466 | |||||
| Account units redeemed |
(3,027,129 | ) | (10,020,696 | ) | ||||
| Net increase (decrease) in units outstanding |
(1,867,245 | ) | $ | (6,178,230 | ) | |||
| 0.50% Contract |
||||||||
| Six months ended June 30, 2012: |
||||||||
| Account units issued |
20,053 | $ | 70,868 | |||||
| Account units redeemed |
(18,424 | ) | (65,122 | ) | ||||
| Net increase (decrease) in units outstanding |
1,629 | $ | 5,746 | |||||
| Year ended December 31, 2011: |
||||||||
| Account units issued |
173,352 | $ | 613,671 | |||||
| Account units redeemed |
(47,164 | ) | (167,056 | ) | ||||
| Net increase (decrease) in units outstanding |
126,188 | $ | 446,615 | |||||
| 0.45% Contract |
||||||||
| Six months ended June 30, 2012: |
||||||||
| Account units issued |
5,965 | $ | 21,095 | |||||
| Account units redeemed |
(24,045 | ) | (85,028 | ) | ||||
| Net increase (decrease) in units outstanding |
(18,080 | ) | $ | (63,933 | ) | |||
| Units |
Amount |
|||||||
| Period ended December 31, 2011: |
||||||||
| Account units issued |
518,078 | $ | 1,836,409 | |||||
| Account units redeemed |
(60,333 | ) | (213,751 | ) | ||||
| Net increase (decrease) in units outstanding |
457,745 | $ | 1,622,658 | |||||
| Note 5: | Net Increase (Decrease) In Net Assets Resulting From Surplus Transfers |
The increase (decrease) in net assets from surplus transfers represents the net increases to/(reductions from) PICA’s investment in the Account. This increase (decrease) includes reserve adjustments for mortality and expense risks assumed by PICA.
| Note 6: | Participant Loans |
Loans are considered to be withdrawals from the Account from which the loan amount was deducted, though they are not considered a withdrawal from the MEDLEY Program. Withdrawals, transfers and loans from VCA-11 are considered to be withdrawals of contributions until all of the Participant’s contributions to the Account have been withdrawn, transferred or borrowed.
For the six months ended June 30, 2012, $33,175 in participant loans were withdrawn from VCA-11 and $62,380 of principal and interest was repaid to VCA-11. For the year ended December 31, 2011, $108,715 in participant loans were withdrawn from VCA-11 and $117,979 of principal and interest was repaid to VCA-11. Loan repayments are invested in Participant’s account(s) as chosen by the Participant, which may not necessarily be VCA-11. The initial loan proceeds which are being repaid may not necessarily have originated solely from VCA-11. During the six months ended June 30, 2012, PICA has advised the Account that it received $493 in loan origination fees. The participant loan principal and interest repayments are included in purchase payments and transfers in within the Statement of Changes in Net Assets.
| Note 7: | New Accounting Pronouncements |
In December 2011, the Financial Accounting Standards Board issued 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 yet been determined.
The Prudential Series Fund
The following pages represent information on the Prudential Series Fund Portfolios. Returns are at the Portfolio level, not at the Subaccount level.
Each Subaccount of VCA-24 will invest in the corresponding portfolio of the Prudential Series Fund (the “Fund”). Of the portfolios comprising the Fund, seven portfolios are presently available to The MEDLEY Program. The Diversified Bond Subaccount invests in the Diversified Bond Portfolio, the Government Income Subaccount in the Government Income Portfolio, the Conservative Balanced Subaccount in the Conservative Balanced Portfolio, the Flexible Managed Subaccount in the Flexible Managed Portfolio, the Stock Index Subaccount in the Stock Index Portfolio, the Equity Subaccount invests in the Equity Portfolio, and the Global Subaccount in the Global Portfolio.
There is no assurance that the investment objective of the portfolios will be attained, nor is there any guarantee that the amount available to a Participant will equal or exceed the total contributions made on that Participant’s behalf. The value of the investments held in each account may fluctuate daily and is subject to the risks of both changing economic conditions and the selection of investments necessary to meet the Subaccounts’ or Portfolios’ objectives.
Important Note
This information supplements the financial statements and other information included in this Report to Participants in The MEDLEY Program. It highlights the investment performance of the seven portfolios of the Fund which are available through the Prudential Variable Contract Account-24. The rates of return quoted on the following pages reflect deduction of investment management fees and portfolio expenses, but not product charges. They reflect the reinvestment of dividend and capital gains distributions. They are not an estimate or a guarantee of future performance.
Contract unit values increase or decrease based on the performance of the portfolio and when redeemed, may be worth more or less than original cost. Changes in contract values depend not only on the investment performance of the Portfolio but also on the insurance, administrative charges and applicable sales charges, if any, under a contract. These contract charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses.
| The Prudential Series Fund Fees and Expenses — unaudited |
June 30, 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 January 1, 2012 through June 30, 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 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 January 1, 2012 |
Ending Account Value June 30, 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 | $ | 1,066.60 | 0.59 | % | $ | 3.03 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.93 | 0.59 | % | $ | 2.97 | ||||||||||
| Diversified Bond (Class I) | Actual | $ | 1,000.00 | $ | 1,049.50 | 0.44 | % | $ | 2.24 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.68 | 0.44 | % | $ | 2.21 | ||||||||||
| Equity (Class I) | Actual | $ | 1,000.00 | $ | 1,058.40 | 0.48 | % | $ | 2.46 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.48 | 0.48 | % | $ | 2.41 | ||||||||||
| Equity (Class II) | Actual | $ | 1,000.00 | $ | 1,056.30 | 0.88 | % | $ | 4.50 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.49 | 0.88 | % | $ | 4.42 | ||||||||||
| Flexible Managed (Class I) | Actual | $ | 1,000.00 | $ | 1,076.90 | 0.63 | % | $ | 3.25 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,021.73 | 0.63 | % | $ | 3.17 | ||||||||||
| Global (Class I) | Actual | $ | 1,000.00 | $ | 1,067.10 | 0.85 | % | $ | 4.37 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,020.64 | 0.85 | % | $ | 4.27 | ||||||||||
| Government Income (Class I) | Actual | $ | 1,000.00 | $ | 1,020.70 | 0.48 | % | $ | 2.41 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,022.48 | 0.48 | % | $ | 2.41 | ||||||||||
| Stock Index (Class I) | Actual | $ | 1,000.00 | $ | 1,093.50 | 0.32 | % | $ | 1.67 | |||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.27 | 0.32 | % | $ | 1.61 | ||||||||||
* 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 182 days in the six-month period ended June 30, 2012, and divided by the 366 days in the Portfolio’s fiscal year ending 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 | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A1
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A2
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A3
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A4
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A5
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A6
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A7
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A8
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A9
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| ASSET-BACKED SECURITIES — 1.4% | Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Non-Residential Mortgage-Backed Securities — 1.0% |
||||||||||||||||
| AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b) |
Aaa | 0.716% | 10/20/19 | $ | 2,163 | $ | 2,068,401 | |||||||||
| Apidos CDO (Cayman Islands), Ser. 2006-4A, Class A1, 144A(b) |
Aaa | 0.716% | 10/27/18 | 1,000 | 967,378 | |||||||||||
| ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(b) |
Aaa | 2.066% | 05/17/21 | 500 | 501,282 | |||||||||||
| ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), |
Aaa | 0.726% | 01/26/20 | 1,336 | 1,289,100 | |||||||||||
| BA Credit Card Trust, Ser. 2006-C5, Class C5(b) |
A3 | 0.642% | 01/15/16 | 4,159 | 4,136,487 | |||||||||||
| BlackRock Senior Income Series Corp. (Cayman Islands), Ser. 2005-2A, Class A1, 144A(b) |
Aaa | 0.717% | 05/25/17 | 734 | 721,363 | |||||||||||
| Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.716% | 08/03/19 | 411 | 398,410 | |||||||||||
| Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(b) |
Baa2 | 0.644% | 02/20/15 | 1,500 | 1,498,750 | |||||||||||
| First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(b) |
Aaa | 0.816% | 07/27/16 | 984 | (c) | 984 | ||||||||||
| Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(b) |
Aaa | 0.716% | 07/22/20 | 817 | 790,841 | |||||||||||
| Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, |
Aa1 | 0.938% | 03/15/20 | 1,000 | 893,882 | |||||||||||
| Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.727% | 12/15/17 | 539 | 536,122 | |||||||||||
| Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, |
Aaa | 0.827% | 07/15/16 | 48 | 47,984 | |||||||||||
| Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, |
Aaa | 0.706% | 10/19/20 | 1,257 | 1,209,524 | |||||||||||
| LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b) |
Aaa | 0.727% | 06/01/17 | 1,918 | 1,870,051 | |||||||||||
| Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, |
Aaa | 0.728% | 09/15/17 | 1,459 | 1,412,402 | |||||||||||
| Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, |
Aaa | 0.718% | 03/15/18 | 348 | 333,933 | |||||||||||
| Race Point CLO Ltd. (Cayman Islands), Ser. 2012-6A, |
AA(e) | 2.967% | 05/24/23 | 1,000 | 994,813 | |||||||||||
| Slater Mill Loan Fund LP (Cayman Island), Ser. 2012-1A, |
AA(e) | 3.117% | 08/17/22 | 750 | 720,000 | |||||||||||
| SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A |
Aaa | 5.250% | 02/20/21 | 175 | 177,759 | |||||||||||
| Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, |
Aaa | 0.716% | 11/01/18 | 2,900 | 2,824,093 | |||||||||||
| 23,393,559 | ||||||||||||||||
| Residential Mortgage-Backed Securities — 0.4% |
||||||||||||||||
| CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b) |
B2 | 1.895% | 03/25/33 | 481 | 324,463 | |||||||||||
| Countrywide Asset-Backed Certificates, Ser. 2004-1, Class M1(b) |
Ba1 | 0.995% | 03/25/34 | 3,240 | 2,761,656 | |||||||||||
| Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3 |
B3 | 5.120% | 07/25/35 | 388 | 321,529 | |||||||||||
| Equity One ABS, Inc., Ser. 2004-3, Class M1(b) |
Ba1 | 5.506% | 07/25/34 | 868 | 681,392 | |||||||||||
| Fremont Home Loan Trust, Ser. 2004-2, Class M1(b) |
A3 | 1.100% | 07/25/34 | 506 | 384,370 | |||||||||||
| HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b) |
Aa1 | 0.734% | 01/20/35 | 356 | 319,204 | |||||||||||
| Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b) |
B1 | 0.775% | 06/25/34 | 991 | 756,109 | |||||||||||
| Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b) |
Ba2 | 1.445% | 05/25/33 | 243 | 203,992 | |||||||||||
| Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b) |
Baa2 | 1.295% | 12/27/33 | 1,349 | 1,181,534 | |||||||||||
| Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b) |
Caa3 | 1.145% | 07/25/32 | 706 | 506,325 | |||||||||||
| Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b) |
B2 | 1.520% | 09/25/32 | 873 | 657,076 | |||||||||||
| Securitized Asset Backed Receivables LLC, Ser. 2004-OP1, Class M1(b) |
Ba3 | 1.010% | 02/25/34 | 1,328 | 1,016,152 | |||||||||||
| Securitized Asset Backed Receivables LLC, Ser. 2006-FR3, Class A3(b) |
Ca | 0.495% | 05/25/36 | 1,400 | 466,351 | |||||||||||
| 9,580,153 | ||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
32,973,712 | ||||||||||||||
| BANK LOANS(b) — 0.4% | ||||||||||||||||
| Foods — 0.1% |
||||||||||||||||
| Del Monte Foods Co. |
B(e) | 4.500% | 03/08/18 | 988 | 970,550 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A10
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| BANK LOANS(b) (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Gaming |
||||||||||||||||
| Scientific Games Corp |
Ba1 | 3.000% | 06/30/15 | $ | 425 | $ | 420,484 | |||||||||
| Healthcare & Pharmaceutical — 0.2% |
||||||||||||||||
| Davita, Inc. |
Ba2 | 4.500% | 10/20/16 | 1,094 | 1,093,105 | |||||||||||
| HCA, Inc. |
Ba3 | 3.495% | 05/01/18 | 370 | 358,306 | |||||||||||
| HCA, Inc. |
Ba3 | 3.711% | 03/31/17 | 886 | 859,882 | |||||||||||
| RPI Finance Trust |
Baa2 | 4.000% | 11/09/18 | 914 | 905,780 | |||||||||||
| 3,217,073 | ||||||||||||||||
| Metals |
||||||||||||||||
| Schaeffler AG |
B1 | 6.000% | 01/27/17 | 600 | 599,063 | |||||||||||
| Pipelines & Other |
||||||||||||||||
| Energy Transfer Equity LP |
Ba2 | 3.750% | 03/23/17 | 800 | 781,714 | |||||||||||
| Technology — 0.1% |
||||||||||||||||
| First Data Corp. |
B1 | 4.245% | 03/26/18 | 2,055 | 1,884,026 | |||||||||||
| First Data Corp. |
B1 | 5.245% | 03/24/17 | 156 | 148,163 | |||||||||||
| Flextronics International Ltd. (Singapore) |
Ba1 | 2.489% | 10/01/14 | 412 | 402,611 | |||||||||||
| Flextronics International Ltd. (Singapore) |
Ba1 | 2.495% | 10/01/14 | 118 | 115,693 | |||||||||||
| 2,550,493 | ||||||||||||||||
| TOTAL BANK LOANS |
|
8,539,377 | ||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% | ||||||||||||||||
| Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1 |
Caa2 | 6.000% | 01/25/36 | 2,350 | 1,755,643 | |||||||||||
| Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b) |
B2 | 3.002% | 02/25/35 | 576 | 495,372 | |||||||||||
| Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b) |
Caa1 | 3.029% | 03/25/35 | 608 | 513,705 | |||||||||||
| Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b) |
Ba2 | 2.894% | 02/25/37 | 1,411 | 1,355,297 | |||||||||||
| Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1 |
Ba3 | 5.250% | 09/25/19 | 737 | 754,683 | |||||||||||
| JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b) |
B1 | 2.880% | 07/25/35 | 871 | 830,237 | |||||||||||
| MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1 |
Baa1 | 5.000% | 04/25/19 | 193 | 199,521 | |||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, |
Baa1 | 2.740% | 02/25/34 | 669 | 647,104 | |||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
CCC(e) | 5.000% | 03/25/20 | 483 | 455,927 | |||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
7,007,489 | ||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 5.0% | ||||||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4 |
Aaa | 4.153% | 11/10/38 | 3,167 | 3,253,857 | |||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A |
Aaa | 5.600% | 07/10/46 | 2,000 | 2,031,836 | |||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b) |
Aaa | 5.805% | 06/10/49 | 1,171 | 1,177,013 | |||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, |
Aaa | 5.369% | 10/10/45 | 3,400 | 3,665,492 | |||||||||||
| Bear Stearns Commercial Mortgage Securities, Ser. 2006-PW11, |
AAA(e) | 5.619% | 03/11/39 | 1,200 | 1,348,498 | |||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, |
Aaa | 5.482% | 01/15/46 | 1,000 | 1,113,020 | |||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, |
Aaa | 5.617% | 10/15/48 | 480 | 543,374 | |||||||||||
| Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A |
AA-(e) | 5.440% | 09/15/30 | 511 | 525,916 | |||||||||||
| Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C7, Class A4(b) |
AAA(e) | 5.941% | 06/10/46 | 4,000 | 4,503,900 | |||||||||||
| Commercial Mortgage Pass-Thru Certificates, Ser. 2006-C8, Class A2B |
Aaa | 5.248% | 12/10/46 | 1,492 | 1,498,658 | |||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Ser. 2005-C2, |
Aa2 | 4.832% | 04/15/37 | 900 | 953,805 | |||||||||||
| Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b) |
AAA(e) | 5.593% | 02/15/39 | 4,330 | 4,839,147 | |||||||||||
| Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b) |
AA-(e) | 5.593% | 02/15/39 | 530 | 574,387 | |||||||||||
| CS First Boston Mortgage Securities Corp., Ser. 2004-C4, Class A4 |
Aaa | 4.283% | 10/15/39 | 25 | 25,142 | |||||||||||
| CS First Boston Mortgage Securities Corp., Ser. 2005-C5, Class A4(b) |
AAA(e) | 5.100% | 08/15/38 | 3,000 | 3,307,755 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A11
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4 |
AA-(e) | 5.223% | 08/15/48 | $ | 1,020 | $ | 1,126,679 | |||||||||||
| CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b) |
AAA(e) | 6.007% | 05/15/46 | 2,100 | 2,239,018 | |||||||||||||
| FHLMC Multifamily Structured Pass Through Certificates, I/O, |
Aaa | 1.758% | 08/25/16 | 6,385 | 345,985 | |||||||||||||
| GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5 |
AAA(e) | 4.697% | 05/10/43 | 2,610 | 2,782,223 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2005-GG5, |
Aa2 | 5.224% | 04/10/37 | 1,400 | 1,529,979 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2006-GG7, |
Aaa | 6.071% | 07/10/38 | 1,620 | 1,846,521 | |||||||||||||
| Greenwich Capital Commercial Funding Corp., Ser. 2007-GG9, Class A2 |
Aaa | 5.381% | 03/10/39 | 2,915 | 2,982,539 | |||||||||||||
| GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(b) |
Aaa | 5.778% | 08/10/45 | 999 | 1,007,332 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP1, Class ASB(b) |
Aaa | 4.853% | 03/15/46 | 1,715 | 1,776,471 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class A3 |
Aaa | 4.697% | 07/15/42 | 264 | 266,302 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class AM |
Aa2 | 4.780% | 07/15/42 | 1,000 | 1,062,637 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP2, Class ASB |
Aaa | 4.659% | 07/15/42 | 3,120 | 3,237,743 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2005-LDP4, Class AM(b) |
Aa2 | 4.999% | 10/15/42 | 1,170 | 1,252,252 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-CB16, Class ASB |
Aaa | 5.523% | 05/12/45 | 1,656 | 1,766,576 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2006-LDP6, Class A4(b) |
Aaa | 5.475% | 04/15/43 | 2,436 | 2,722,744 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2007-LD11, Class A2(b) |
Aaa | 5.994% | 06/15/49 | 1,588 | 1,590,355 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp. I/O, |
Aaa | 0.224% | 04/15/43 | 97,332 | 70,565 | |||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Ser. 2012-CBX, Class A3 |
Aaa | 3.139% | 06/15/45 | 1,800 | 1,843,641 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(b) |
AAA(e) | 4.826% | 08/15/29 | 3,677 | 3,739,102 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2005-C3, Class A5 |
Aaa | 4.739% | 07/15/30 | 695 | 753,417 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b) |
AA(e) | 5.263% | 11/15/40 | 1,390 | 1,509,094 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2 |
AAA(e) | 5.084% | 02/15/31 | 3,037 | 3,050,699 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2 |
Aaa | 5.532% | 03/15/32 | 55 | 54,777 | |||||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(b) |
Aaa | 5.661% | 03/15/39 | 1,630 | 1,830,862 | |||||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3 |
Aaa | 4.615% | 08/12/39 | 1,900 | 1,959,894 | |||||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class A4(b) |
AAA(e) | 5.848% | 05/12/39 | 3,400 | 3,860,986 | |||||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b) |
A(e) | 5.848% | 05/12/39 | 780 | 842,774 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-1, |
A(e) | 5.657% | 02/12/39 | 440 | 467,034 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2006-2, |
Aaa | 6.093% | 06/12/46 | 2,210 | 2,505,183 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-5, |
Aaa | 5.364% | 08/12/48 | 440 | 448,448 | |||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser. 2007-6, |
Aaa | 5.331% | 03/12/51 | 2,245 | 2,301,526 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b) |
Aaa | 5.600% | 03/12/44 | 1,500 | 1,671,319 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b) |
AAA(e) | 5.894% | 10/15/42 | 2,600 | 2,927,595 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4 |
AAA(e) | 5.332% | 12/15/43 | 4,080 | 4,634,888 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB |
Aaa | 5.444% | 02/12/44 | 4,172 | 4,368,212 | |||||||||||||
| Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b) |
AAA(e) | 5.824% | 06/11/42 | 1,040 | 1,086,400 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(b) |
Aaa | 5.418% | 01/15/45 | 1,300 | 1,445,014 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b) |
Aaa | 5.922% | 05/15/43 | 5,188 | 5,896,118 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4 |
Aa2 | 5.509% | 04/15/47 | 3,800 | 4,158,823 | |||||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b) |
Aaa | 6.097% | 02/15/51 | 3,850 | 4,314,414 | |||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
112,637,941 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A12
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS — 10.6% | Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Aerospace & Defense |
||||||||||||||||||
| L-3 Communications Corp., Gtd. Notes |
Baa3 | 4.750% | 07/15/20 | $ | 475 | $ | 506,642 | |||||||||||
| Airlines — 0.2% |
||||||||||||||||||
| Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2001-1, |
Baa2 | 6.703% | 06/15/21 | 128 | 137,296 | |||||||||||||
| Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., |
Baa2 | 4.750% | 01/12/21 | 721 | 755,083 | |||||||||||||
| Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 981A |
Baa2 | 6.648% | 09/15/17 | 185 | 194,852 | |||||||||||||
| Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. A |
Baa2 | 7.250% | 11/10/19 | 654 | 737,121 | |||||||||||||
| Delta Air Lines 2011-1 Class A Pass-Through Trust, Pass-thru Certs., |
Baa2 | 5.300% | 04/15/19 | 1,061 | 1,132,875 | |||||||||||||
| Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 071A |
Baa2 | 6.821% | 08/10/22 | 366 | 393,952 | |||||||||||||
| Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2A(a) |
Baa2 | 4.950% | 05/23/19 | 637 | 676,570 | |||||||||||||
| 4,027,749 | ||||||||||||||||||
| Automotive — 0.1% |
||||||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A |
Baa3 | 3.984% | 06/15/16 | 430 | 442,861 | |||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A |
Baa3 | 4.207% | 04/15/16 | 1,440 | 1,495,264 | |||||||||||||
| Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN |
Baa1 | 2.700% | 03/15/17 | 380 | 385,510 | |||||||||||||
| Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN |
Baa1 | 5.750% | 12/15/14 | 495 | 536,024 | |||||||||||||
| Johnson Controls, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.500% | 01/15/16 | 235 | 264,153 | |||||||||||||
| 3,123,812 | ||||||||||||||||||
| Banking — 2.7% |
||||||||||||||||||
| American Express Co., Sr. Unsec’d. Notes |
A3 | 8.125% | 05/20/19 | 2,000 | 2,663,206 | |||||||||||||
| American Express Credit Corp., Sr. Unsec’d. Notes, MTN |
A2 | 2.800% | 09/19/16 | 1,210 | 1,262,230 | |||||||||||||
| Banco Bradesco SA (Brazil), Sub. Notes |
Baa1 | 8.750% | 10/24/13 | 1,690 | 1,816,750 | |||||||||||||
| Bank of America Corp., Jr. Sub. Notes, Ser. K(a)(b) |
B1 | 8.000% | 12/29/49 | 2,100 | 2,187,528 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 4.500% | 04/01/15 | 185 | 190,691 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 5.700% | 01/24/22 | 1,290 | 1,420,669 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes(f) |
Baa2 | 6.000% | 09/01/17 | 1,330 | 1,435,317 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1 |
Baa2 | 3.750% | 07/12/16 | 790 | 796,426 | |||||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Ser. L, MTN(a) |
Baa2 | 5.650% | 05/01/18 | 105 | 112,276 | |||||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 5.300% | 03/15/17 | 850 | 884,961 | |||||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 6.000% | 10/15/36 | 805 | 846,604 | |||||||||||||
| Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes |
A2 | 5.300% | 10/30/15 | 550 | 596,840 | |||||||||||||
| Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes |
A2 | 6.400% | 10/02/17 | 270 | 311,359 | |||||||||||||
| Bear Stearns Cos., Inc. (The), Sr. Unsec’d. Notes |
A2 | 7.250% | 02/01/18 | 1,135 | 1,356,924 | |||||||||||||
| Capital One Bank Corp., Sub. Notes |
Baa1 | 6.500% | 06/13/13 | 10 | 10,481 | |||||||||||||
| Capital One Capital VI, Ltd. Gtd. Notes |
Baa3 | 8.875% | 05/15/40 | 1,130 | 1,148,363 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes(a) |
Baa2 | 4.500% | 01/14/22 | 2,125 | 2,194,815 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 05/15/18 | 745 | 831,848 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.875% | 03/05/38 | 320 | 391,418 | |||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 8.125% | 07/15/39 | 850 | 1,134,321 | |||||||||||||
| Citigroup, Inc., Sub. Notes |
Baa3 | 5.625% | 08/27/12 | 1,900 | 1,911,549 | |||||||||||||
| Citigroup, Inc., Sub. Notes(a) |
Baa3 | 6.125% | 08/25/36 | 725 | 713,093 | |||||||||||||
| Citigroup, Inc., Unsec’d. Notes |
Baa2 | 8.500% | 05/22/19 | 1,195 | 1,475,862 | |||||||||||||
| DEPFA ACS Bank (Ireland), Covered Notes, 144A |
Aa3 | 5.125% | 03/16/37 | 1,325 | 922,857 | |||||||||||||
| Discover Bank, Sub. Notes |
Ba1 | 7.000% | 04/15/20 | 485 | 564,477 | |||||||||||||
| Discover Bank, Sub. Notes |
Ba1 | 8.700% | 11/18/19 | 900 | 1,118,158 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Notes |
A3 | 6.250% | 02/01/41 | 220 | 229,406 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 5.250% | 07/27/21 | 2,305 | 2,341,461 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 5.450% | 11/01/12 | 580 | 588,412 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 5.750% | 01/24/22 | 1,250 | 1,319,505 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/20 | 700 | 747,298 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 5.625% | 01/15/17 | 765 | 802,410 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 6.450% | 05/01/36 | 1,020 | 994,824 | |||||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 6.750% | 10/01/37 | 113 | 110,746 | |||||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes(a) |
Aa3 | 4.875% | 01/14/22 | 1,730 | 1,912,384 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A13
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Banking (continued) |
||||||||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
Aa3 | 5.100% | 04/05/21 | $ | 920 | $ | 1,027,134 | |||||||||
| Huntington BancShares, Inc., Sub. Notes |
Baa2 | 7.000% | 12/15/20 | 150 | 175,639 | |||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b) |
Ba1 | 7.900% | 04/29/49 | 2,000 | 2,192,580 | |||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 3.150% | 07/05/16 | 1,935 | 1,989,962 | |||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 4.250% | 10/15/20 | 2,360 | 2,479,213 | |||||||||||
| JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA |
Baa2 | 7.000% | 11/01/39 | 1,500 | 1,500,000 | |||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes., 144A, MTN |
A2 | 5.800% | 01/13/20 | 1,770 | 1,892,149 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
Baa1 | 5.500% | 07/28/21 | 635 | 625,638 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.625% | 09/23/19 | 2,110 | 2,088,267 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.950% | 12/28/17 | 495 | 508,445 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 6.625% | 04/01/18 | 100 | 104,557 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN(a) |
Baa1 | 5.450% | 01/09/17 | 2,530 | 2,555,024 | |||||||||||
| MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes.(b) |
Ba1 | 6.346% | 07/29/49 | 800 | 859,958 | |||||||||||
| PNC Funding Corp., Gtd. Notes. |
A3 | 2.700% | 09/19/16 | 925 | 958,636 | |||||||||||
| PNC Funding Corp., Gtd. Notes.(a) |
A3 | 6.700% | 09/19/16 | 390 | 484,925 | |||||||||||
| Royal Bank of Scotland Group PLC (United Kingdom), |
Baa1 | 6.400% | 10/21/19 | 1,775 | 1,892,785 | |||||||||||
| Royal Bank of Scotland PLC (The) (United Kingdom), Gtd. Notes, Ser. 2 |
A3 | 3.400% | 08/23/13 | 95 | 95,984 | |||||||||||
| UBS AG London (Switzerland), Covered Notes, 144A |
Aaa | 2.250% | 03/30/17 | 810 | 812,490 | |||||||||||
| USB Capital XIII Trust, Ltd. Gtd. Notes |
A2 | 6.625% | 12/15/39 | 755 | 761,168 | |||||||||||
| 60,350,023 | ||||||||||||||||
| Brokerage |
||||||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g) |
NR | 6.875% | 02/06/12 | 1,850 | 420,875 | |||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(a)(g) |
NR | 6.875% | 05/02/18 | 700 | 162,750 | |||||||||||
| 583,625 | ||||||||||||||||
| Cable — 0.3% |
||||||||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes |
B1 | 8.625% | 09/15/17 | 900 | 1,003,500 | |||||||||||
| Comcast Cable Holdings LLC, Gtd. Notes |
Baa1 | 9.875% | 06/15/22 | 1,440 | 2,092,782 | |||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.400% | 05/15/38 | 310 | 377,894 | |||||||||||
| Comcast Corp., Gtd. Notes(a) |
Baa1 | 6.950% | 08/15/37 | 290 | 372,481 | |||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.500% | 03/01/16 | 605 | 638,118 | |||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.550% | 03/15/15 | 165 | 173,745 | |||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 4.750% | 10/01/14 | 1,755 | 1,883,866 | |||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 5.150% | 03/15/42 | 1,020 | 1,026,578 | |||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
Baa2 | 7.500% | 04/01/14 | 345 | 382,499 | |||||||||||
| 7,951,463 | ||||||||||||||||
| Capital Goods — 0.3% |
||||||||||||||||
| Actuant Corp., Gtd. Notes, 144A |
Ba2 | 5.625% | 06/15/22 | 1,040 | 1,068,600 | |||||||||||
| Deere & Co., Sr. Unsec’d. Notes |
A2 | 3.900% | 06/09/42 | 635 | 630,874 | |||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 5.800% | 10/15/12 | 460 | 465,656 | |||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 6.375% | 10/15/17 | 1,198 | 1,400,242 | |||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 7.000% | 10/15/37 | 390 | 470,121 | |||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
Aa3 | 5.250% | 12/06/17 | 320 | 373,677 | |||||||||||
| Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A |
A1 | 4.875% | 09/15/41 | 180 | 204,819 | |||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A |
Baa3 | 3.125% | 05/11/15 | 420 | 422,512 | |||||||||||
| United Technologies Corp., Sr. Unsec’d. Notes(a) |
A2 | 4.500% | 06/01/42 | 1,540 | 1,691,544 | |||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes, 144A |
Baa2 | 4.875% | 10/01/21 | 1,060 | 1,172,391 | |||||||||||
| 7,900,436 | ||||||||||||||||
| Chemicals — 0.2% |
||||||||||||||||
| Ashland, Inc., Sr. Sec’d. Notes |
Baa3 | 9.125% | 06/01/17 | 1,125 | 1,237,500 | |||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa3 | 7.600% | 05/15/14 | 1,600 | 1,781,066 | |||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa3 | 9.400% | 05/15/39 | 35 | 55,735 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A14
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Chemicals (continued) |
||||||||||||||||
| ICI Wilmington, Inc., Gtd. Notes |
Baa1 | 5.625% | 12/01/13 | $ | 780 | $ | 820,920 | |||||||||
| PPG Industries, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.500% | 11/15/40 | 135 | 158,749 | |||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
Baa3 | 7.500% | 06/01/25 | 500 | 601,323 | |||||||||||
| 4,655,293 | ||||||||||||||||
| Consumer — 0.1% |
||||||||||||||||
| Newell Rubbermaid, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.250% | 04/15/18 | 1,600 | 1,844,438 | |||||||||||
| Sealy Mattress Co., Sr. Sec’d. Notes, 144A |
Ba3 | 10.875% | 04/15/16 | 998 | 1,082,840 | |||||||||||
| 2,927,278 | ||||||||||||||||
| Electric — 0.7% |
||||||||||||||||
| Arizona Public Service Co., Sr. Unsec’d. Notes |
Baa1 | 6.250% | 08/01/16 | 170 | 199,420 | |||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
Baa1 | 6.350% | 10/01/36 | 530 | 701,518 | |||||||||||
| CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2 |
A3 | 5.700% | 03/15/13 | 1,070 | 1,107,956 | |||||||||||
| CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2 |
A3 | 6.950% | 03/15/33 | 300 | 415,512 | |||||||||||
| Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, |
A3 | 5.500% | 12/01/39 | 145 | 182,216 | |||||||||||
| Duke Energy Carolinas LLC, First Mtge. Bonds(a)(i) |
A1 | 6.050% | 04/15/38 | 530 | 703,007 | |||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes(a) |
Baa2 | 6.000% | 05/15/35 | 845 | 996,930 | |||||||||||
| Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes |
Baa2 | 8.625% | 08/01/15 | 1,160 | 1,358,931 | |||||||||||
| ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A |
Baa1 | 6.000% | 10/07/39 | 1,260 | 989,173 | |||||||||||
| Exelon Corp., Sr. Unsec’d. Notes |
Baa2 | 4.900% | 06/15/15 | 195 | 211,942 | |||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
Baa1 | 6.250% | 10/01/39 | 1,375 | 1,489,463 | |||||||||||
| Florida Power & Light Co., First Mtge. Bonds |
Aa3 | 5.950% | 10/01/33 | 380 | 501,171 | |||||||||||
| Georgia Power Co., Sr. Unsec’d. Notes, Ser. B |
A3 | 5.700% | 06/01/17 | 470 | 561,270 | |||||||||||
| Iberdrola International BV (Netherlands), Gtd. Notes |
Baa1 | 6.750% | 09/15/33 | 140 | 132,358 | |||||||||||
| Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF |
Baa2 | 5.050% | 11/15/14 | 575 | 617,084 | |||||||||||
| MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes |
Baa1 | 5.950% | 05/15/37 | 325 | 403,111 | |||||||||||
| Nevada Power Co., Genl. Ref. Mtge., Ser. O |
Baa1 | 6.500% | 05/15/18 | 1,210 | 1,489,290 | |||||||||||
| Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A |
A3 | 4.881% | 08/15/19 | 545 | 616,153 | |||||||||||
| NSTAR, Sr. Unsec’d. Notes |
A3 | 4.500% | 11/15/19 | 605 | 674,674 | |||||||||||
| Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(a) |
Baa1 | 6.375% | 01/15/15 | 465 | 514,244 | |||||||||||
| Public Service Co. of New Mexico, Sr. Unsec’d. Notes |
Baa3 | 7.950% | 05/15/18 | 135 | 161,663 | |||||||||||
| Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN |
A1 | 5.800% | 05/01/37 | 515 | 668,994 | |||||||||||
| Southern California Edison Co., Ser. 04-F |
A1 | 4.650% | 04/01/15 | 610 | 667,322 | |||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
Baa1 | 4.800% | 09/15/41 | 480 | 537,128 | |||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.613% | 04/01/17 | 263 | 304,832 | |||||||||||
| 16,205,362 | ||||||||||||||||
| Energy – Integrated — 0.1% |
||||||||||||||||
| BP Capital Markets PLC (United Kingdom), Gtd. Notes |
A2 | 4.500% | 10/01/20 | 480 | 540,401 | |||||||||||
| BP Capital Markets PLC (United Kingdom), Gtd. Notes |
A2 | 5.250% | 11/07/13 | 960 | 1,017,221 | |||||||||||
| 1,557,622 | ||||||||||||||||
| Energy – Other — 0.4% |
||||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.375% | 09/15/17 | 1,070 | 1,242,948 | |||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes(a) |
Baa3 | 6.450% | 09/15/36 | 305 | 352,619 | |||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.950% | 06/15/19 | 225 | 275,748 | |||||||||||
| Devon Energy Corp., Sr. Unsec’d. Notes(a) |
Baa1 | 4.750% | 05/15/42 | 900 | 944,417 | |||||||||||
| Nabors Industries, Inc., Gtd. Notes |
Baa2 | 4.625% | 09/15/21 | 890 | 924,752 | |||||||||||
| Phillips 66, Gtd. Notes, 144A |
Baa1 | 2.950% | 05/01/17 | 415 | 426,441 | |||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
Baa3 | 6.875% | 05/01/18 | 1,450 | 1,706,411 | |||||||||||
| Transocean, Inc. (Cayman Islands), Gtd. Notes |
Baa3 | 7.350% | 12/15/41 | 140 | 169,386 | |||||||||||
| Weatherford International Ltd. (Bermuda), Gtd. Notes(a) |
Baa2 | 5.125% | 09/15/20 | 685 | 735,381 | |||||||||||
| Weatherford International Ltd. (Bermuda), Gtd. Notes |
Baa2 | 6.500% | 08/01/36 | 25 | 27,162 | |||||||||||
| Woodside Finance Ltd. (Australia), Gtd. Notes, 144A |
Baa1 | 5.000% | 11/15/13 | 1,660 | 1,730,704 | |||||||||||
| 8,535,969 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A15
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Foods — 0.4% |
||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 8.000% | 11/15/39 | $ | 1,160 | $ | 1,823,836 | |||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 8.200% | 01/15/39 | 230 | 365,669 | |||||||||||
| ARAMARK Corp., Gtd. Notes(a) |
B3 | 8.500% | 02/01/15 | 650 | 665,444 | |||||||||||
| Beam, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.375% | 06/15/14 | 708 | 775,526 | |||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
Baa2 | 5.350% | 04/15/14 | 1,000 | 1,055,200 | |||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
Baa2 | 8.500% | 06/15/19 | 860 | 1,073,662 | |||||||||||
| Cargill, Inc., Sr. Unsec’d. Notes, 144A |
A2 | 6.000% | 11/27/17 | 650 | 773,118 | |||||||||||
| Delhaize Group SA (Belgium), Gtd. Notes |
Baa3 | 6.500% | 06/15/17 | 460 | 511,094 | |||||||||||
| Kraft Foods Group, Inc., Gtd. Notes, 144A(a) |
Baa2 | 5.000% | 06/04/42 | 575 | 608,566 | |||||||||||
| Smithfield Foods, Inc., Sr. Sec’d. Notes |
Ba2 | 10.000% | 07/15/14 | 695 | 793,169 | |||||||||||
| Tyson Foods, Inc., Gtd. Notes |
Baa3 | 6.850% | 04/01/16 | 785 | 897,844 | |||||||||||
| 9,343,128 | ||||||||||||||||
| Healthcare & Pharmaceutical — 0.3% |
||||||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.150% | 11/15/41 | 1,365 | 1,424,944 | |||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.375% | 05/15/43 | 995 | 1,076,335 | |||||||||||
| Aristotle Holding, Inc., Gtd. Notes, 144A |
Baa3 | 2.750% | 11/21/14 | 2,060 | 2,104,072 | |||||||||||
| AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes |
A1 | 6.450% | 09/15/37 | 480 | 649,904 | |||||||||||
| Genentech, Inc., Sr. Unsec’d. Notes |
AA-(e) | 4.750% | 07/15/15 | 270 | 298,381 | |||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 5.650% | 12/01/41 | 470 | 547,860 | |||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
Baa2 | 5.625% | 12/15/15 | 560 | 632,344 | |||||||||||
| Merck & Co., Inc., Sr. Unsec’d. Notes |
Aa3 | 5.950% | 12/01/28 | 205 | 268,576 | |||||||||||
| Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.125% | 08/15/19 | 440 | 505,863 | |||||||||||
| 7,508,279 | ||||||||||||||||
| Healthcare Insurance — 0.3% |
||||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.625% | 06/15/36 | 480 | 613,820 | |||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 5.875% | 03/15/41 | 540 | 614,516 | |||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 11/15/36 | 640 | 750,279 | |||||||||||
| Coventry Health Care, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.125% | 01/15/15 | 1,200 | 1,308,864 | |||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/17 | 115 | 138,470 | |||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 06/15/37 | 400 | 530,330 | |||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.625% | 11/15/37 | 410 | 548,777 | |||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 4.625% | 05/15/42 | 435 | 448,431 | |||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.000% | 12/15/14 | 1,085 | 1,178,916 | |||||||||||
| 6,132,403 | ||||||||||||||||
| Insurance — 0.9% |
||||||||||||||||
| Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes |
Baa1 | 5.500% | 11/15/20 | 480 | 504,235 | |||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes |
A3 | 5.200% | 01/15/42 | 115 | 129,157 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 4.250% | 05/15/13 | 655 | 668,077 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.400% | 12/15/20 | 910 | 1,029,644 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 8.250% | 08/15/18 | 900 | 1,086,468 | |||||||||||
| Axis Specialty Finance LLC, Gtd. Notes(a) |
Baa1 | 5.875% | 06/01/20 | 990 | 1,072,137 | |||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(a)(b) |
A3 | 6.375% | 03/29/67 | 1,260 | 1,300,950 | |||||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes |
Baa3 | 5.125% | 04/15/22 | 635 | 653,895 | |||||||||||
| Liberty Mutual Group, Inc., Bonds, 144A |
Baa2 | 7.000% | 03/15/34 | 910 | 972,665 | |||||||||||
| Liberty Mutual Group, Inc., Gtd. Notes, 144A |
Baa2 | 6.500% | 05/01/42 | 215 | 217,622 | |||||||||||
| Lincoln National Corp., Jr. Sub. Notes(b) |
Ba1 | 6.050% | 04/20/67 | 250 | 228,750 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 6.300% | 10/09/37 | 476 | 513,470 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 7.000% | 06/15/40 | 660 | 778,467 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 8.750% | 07/01/19 | 505 | 635,936 | |||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 5.700% | 06/15/35 | 960 | 1,138,033 | |||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 6.375% | 06/15/34 | 85 | 106,979 | |||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 6.750% | 06/01/16 | 270 | 316,602 | |||||||||||
| New York Life Insurance Co., Sub. Notes, 144A |
Aa2 | 6.750% | 11/15/39 | 650 | 859,182 | |||||||||||
| Northwestern Mutual Life Insurance Co. (The), Sub. Notes, 144A |
Aa2 | 6.063% | 03/30/40 | 350 | 426,166 | |||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
Baa1 | 6.350% | 04/01/13 | 1,000 | 1,000,565 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A16
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Insurance (continued) |
||||||||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
Baa1 | 6.375% | 04/30/20 | $ | 640 | $ | 720,112 | |||||||||
| Pacific Life Insurance Co., Sub. Notes, 144A |
A3 | 9.250% | 06/15/39 | 870 | 1,104,884 | |||||||||||
| Progressive Corp. (The), Jr. Sub. Notes(a)(b) |
A2 | 6.700% | 06/15/37 | 715 | 743,600 | |||||||||||
| Teachers Insurance & Annuity Association of America, |
Aa2 | 6.850% | 12/16/39 | 1,430 | 1,846,506 | |||||||||||
| Unum Group, Sr. Unsec’d. Notes |
Baa3 | 5.625% | 09/15/20 | 315 | 338,817 | |||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
Baa2 | 5.600% | 05/15/15 | 705 | 759,209 | |||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 08/15/19 | 575 | 641,413 | |||||||||||
| XL Group PLC (Ireland), Sr. Unsec’d. Notes |
Baa2 | 5.250% | 09/15/14 | 110 | 115,871 | |||||||||||
| 19,909,412 | ||||||||||||||||
| Lodging — 0.3% |
||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
B2 | 10.000% | 10/01/14 | 800 | 912,000 | |||||||||||
| Host Marriott LP, Gtd. Notes, Ser. O |
Ba1 | 6.375% | 03/15/15 | 750 | 761,250 | |||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes(a) |
Baa2 | 3.000% | 03/01/19 | 490 | 495,422 | |||||||||||
| Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.750% | 05/15/18 | 2,700 | 3,136,212 | |||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
Baa3 | 4.250% | 03/01/22 | 890 | 896,177 | |||||||||||
| 6,201,061 | ||||||||||||||||
| Media & Entertainment — 0.3% |
||||||||||||||||
| CBS Corp., Gtd. Notes(a) |
Baa2 | 3.375% | 03/01/22 | 680 | 677,481 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.150% | 03/01/37 | 250 | 283,261 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.150% | 02/15/41 | 475 | 555,445 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.900% | 08/15/39 | 35 | 41,821 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 7.625% | 11/30/28 | 1,265 | 1,492,686 | |||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 6.200% | 03/15/40 | 175 | 203,747 | |||||||||||
| Time Warner, Inc., Gtd. Notes(a) |
Baa2 | 6.250% | 03/29/41 | 495 | 575,572 | |||||||||||
| Time Warner, Inc., Gtd. Notes(a) |
Baa2 | 7.250% | 10/15/17 | 745 | 928,478 | |||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 7.625% | 04/15/31 | 155 | 200,204 | |||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 9.150% | 02/01/23 | 625 | 868,626 | |||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 6.750% | 10/05/37 | 420 | 533,478 | |||||||||||
| 6,360,799 | ||||||||||||||||
| Metals — 0.3% |
||||||||||||||||
| ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a) |
Baa3 | 6.125% | 06/01/18 | 860 | 871,994 | |||||||||||
| ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a) |
Baa3 | 6.250% | 02/25/22 | 480 | 470,116 | |||||||||||
| Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes |
Baa3 | 3.550% | 03/01/22 | 1,005 | 988,797 | |||||||||||
| Newmont Mining Corp., Gtd. Notes |
Baa1 | 6.250% | 10/01/39 | 125 | 142,260 | |||||||||||
| Peabody Energy Corp., Gtd. Notes, 144A(a) |
Ba1 | 6.000% | 11/15/18 | 1,275 | 1,268,625 | |||||||||||
| Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes |
A-(e) | 4.500% | 05/15/13 | 255 | 262,499 | |||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
Baa2 | 7.500% | 07/27/35 | 370 | 424,734 | |||||||||||
| Teck Resources Ltd. (Canada), Gtd. Notes(a) |
Baa2 | 5.200% | 03/01/42 | 585 | 560,500 | |||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
Baa2 | 2.850% | 11/10/14 | 995 | 1,013,916 | |||||||||||
| 6,003,441 | ||||||||||||||||
| Non-Captive Finance — 0.5% |
||||||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a) |
A1 | 5.875% | 01/14/38 | 970 | 1,113,564 | |||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(i) |
A1 | 6.000% | 08/07/19 | 3,010 | 3,521,929 | |||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(a) |
A1 | 6.875% | 01/10/39 | 730 | 941,796 | |||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
Ba3 | 5.750% | 05/15/16 | 230 | 233,354 | |||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes, MTN |
Ba3 | 6.375% | 03/25/13 | 1,750 | 1,787,187 | |||||||||||
| SLM Corp., Sr. Notes, MTN |
Ba1 | 6.250% | 01/25/16 | 365 | 383,250 | |||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.000% | 03/25/20 | 1,000 | 1,095,000 | |||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.450% | 06/15/18 | 1,025 | 1,148,000 | |||||||||||
| 10,224,080 | ||||||||||||||||
| Paper — 0.1% |
||||||||||||||||
| Georgia-Pacific LLC, Gtd. Notes, 144A |
Baa3 | 5.400% | 11/01/20 | 275 | 319,102 | |||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 6.000% | 11/15/41 | 740 | 834,291 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A17
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Paper (continued) |
||||||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 7.950% | 06/15/18 | $ | 615 | $ | 774,979 | |||||||||
| Rock-Tenn Co., Unsec’d. Notes, 144A(a) |
Ba1 | 4.900% | 03/01/22 | 675 | 695,378 | |||||||||||
| 2,623,750 | ||||||||||||||||
| Pipelines & Other — 0.2% |
||||||||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes |
Baa3 | 4.650% | 06/01/21 | 610 | 630,198 | |||||||||||
| NiSource Finance Corp., Gtd. Notes |
Baa3 | 5.450% | 09/15/20 | 500 | 560,962 | |||||||||||
| ONEOK Partners LP, Gtd. Notes |
Baa2 | 6.650% | 10/01/36 | 130 | 152,651 | |||||||||||
| Sempra Energy, Sr. Unsec’d. Notes |
Baa1 | 6.000% | 02/01/13 | 80 | 82,410 | |||||||||||
| Spectra Energy Capital LLC, Gtd. Notes |
Baa2 | 6.200% | 04/15/18 | 3,310 | 3,950,962 | |||||||||||
| Spectra Energy Capital LLC, Gtd. Notes |
Baa2 | 6.250% | 02/15/13 | 205 | 210,875 | |||||||||||
| 5,588,058 | ||||||||||||||||
| Railroads — 0.1% |
||||||||||||||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes |
A3 | 6.700% | 08/01/28 | 735 | 910,200 | |||||||||||
| CSX Corp., Sr. Unsec’d. Notes |
Baa3 | 6.150% | 05/01/37 | 690 | 846,435 | |||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
Baa1 | 5.590% | 05/17/25 | 630 | 761,069 | |||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
Baa1 | 7.800% | 05/15/27 | 24 | 34,514 | |||||||||||
| 2,552,218 | ||||||||||||||||
| Real Estate Investment Trusts — 0.3% |
||||||||||||||||
| HCP, Inc., Sr. Unsec’d. Notes |
Baa2 | 2.700% | 02/01/14 | 670 | 680,702 | |||||||||||
| Mack-Cali Realty LP, Sr. Unsec’d. Notes |
Baa2 | 7.750% | 08/15/19 | 685 | 839,727 | |||||||||||
| Post Apartment Homes LP, Sr. Unsec’d. Notes |
Baa3 | 6.300% | 06/01/13 | 650 | 671,729 | |||||||||||
| ProLogis LP, Gtd. Notes |
Baa2 | 6.875% | 03/15/20 | 68 | 81,331 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 2.800% | 01/30/17 | 235 | 241,910 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 3.375% | 03/15/22 | 190 | 190,839 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 6.125% | 05/30/18 | 2,925 | 3,460,980 | |||||||||||
| 6,167,218 | ||||||||||||||||
| Retailers — 0.3% |
||||||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes(a) |
Baa2 | 5.750% | 05/15/41 | 960 | 1,142,797 | |||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 09/15/39 | 335 | 416,392 | |||||||||||
| Lowe’s Cos., Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 03/15/29 | 345 | 437,730 | |||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes(a) |
Baa3 | 3.875% | 01/15/22 | 300 | 315,412 | |||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes |
Baa3 | 5.875% | 01/15/13 | 2,000 | 2,048,648 | |||||||||||
| Nordstrom, Inc., Sr. Unsec’d. Notes |
Baa1 | 4.000% | 10/15/21 | 220 | 241,298 | |||||||||||
| Target Corp., Sr. Unsec’d. Notes |
A2 | 4.000% | 07/01/42 | 960 | 945,624 | |||||||||||
| Wal-Mart Stores, Inc., Sr. Unsec’d. Notes |
Aa2 | 5.625% | 04/15/41 | 650 | 845,957 | |||||||||||
| 6,393,858 | ||||||||||||||||
| Technology — 0.3% |
||||||||||||||||
| Arrow Electronics, Inc., Sr. Unsec’d. Notes |
Baa3 | 3.375% | 11/01/15 | 370 | 381,996 | |||||||||||
| Fiserv, Inc., Gtd. Notes |
Baa2 | 3.125% | 06/15/16 | 330 | 340,195 | |||||||||||
| NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A |
BB(e) | 10.000% | 07/15/13 | 900 | 967,500 | |||||||||||
| Seagate Technology International (Cayman Islands), |
Baa3 | 10.000% | 05/01/14 | 1,225 | 1,359,750 | |||||||||||
| STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A |
Ba1 | 7.500% | 08/12/15 | 900 | 963,000 | |||||||||||
| Xerox Corp., Sr. Unsec’d. Notes |
Baa2 | 4.250% | 02/15/15 | 2,650 | 2,809,673 | |||||||||||
| 6,822,114 | ||||||||||||||||
| Telecommunications — 0.6% |
||||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
A2 | 6.125% | 03/30/40 | 560 | 689,260 | |||||||||||
| AT&T Corp., Gtd. Notes |
A2 | 8.000% | 11/15/31 | 18 | 26,669 | |||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 5.350% | 09/01/40 | 973 | 1,116,676 | |||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes(a) |
A2 | 5.550% | 08/15/41 | 1,145 | 1,364,791 | |||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 6.550% | 02/15/39 | 1,115 | 1,435,027 | |||||||||||
| British Telecommunications PLC (United Kingdom), |
Baa2 | 9.625% | 12/15/30 | 350 | 526,376 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A18
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Telecommunications (continued) |
||||||||||||||||
| Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes |
A2 | 8.500% | 11/15/18 | $ | 2,400 | $ | 3,284,124 | |||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
Baa3 | 7.082% | 06/01/16 | 325 | 371,976 | |||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
Baa3 | 7.995% | 06/01/36 | 1,645 | 1,718,359 | |||||||||||
| Qwest Corp., Sr. Unsec’d. Notes |
Baa3 | 7.500% | 10/01/14 | 880 | 980,976 | |||||||||||
| Telecom Italia Capital SA (Luxembourg), Gtd. Notes |
Baa2 | 5.250% | 11/15/13 | 170 | 170,425 | |||||||||||
| Telecom Italia Capital SA (Luxembourg), Gtd. Notes |
Baa2 | 7.200% | 07/18/36 | 475 | 402,563 | |||||||||||
| Telefonica Emisiones SAU (Spain), Gtd. Notes |
Baa1 | 5.877% | 07/15/19 | 325 | 290,692 | |||||||||||
| Telefonica Emisiones SAU (Spain), Gtd. Notes |
Baa2 | 7.045% | 06/20/36 | 210 | 183,600 | |||||||||||
| US Cellular Corp., Sr. Unsec’d. Notes |
Baa2 | 6.700% | 12/15/33 | 195 | 201,601 | |||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
A3 | 6.400% | 02/15/38 | 55 | 71,421 | |||||||||||
| Windstream Corp., Gtd. Notes |
Ba3 | 8.125% | 08/01/13 | 700 | 737,625 | |||||||||||
| 13,572,161 | ||||||||||||||||
| Tobacco — 0.3% |
||||||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.700% | 11/10/18 | 3,040 | 4,206,655 | |||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.950% | 11/10/38 | 130 | 206,709 | |||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 10.200% | 02/06/39 | 850 | 1,382,716 | |||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
Baa2 | 8.125% | 06/23/19 | 290 | 359,911 | |||||||||||
| Reynolds American, Inc., Gtd. Notes |
Baa3 | 7.250% | 06/15/37 | 285 | 344,410 | |||||||||||
| 6,500,401 | ||||||||||||||||
| TOTAL CORPORATE BONDS |
|
240,227,655 | ||||||||||||||
| MORTGAGE-BACKED SECURITIES — 12.6% | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
2.523% | 06/01/36 | 647 | 686,364 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
3.000% | TBA 15 YR | 1,500 | 1,568,203 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | TBA 30 YR | 3,500 | 3,671,719 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 9,381 | 9,981,462 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | TBA 30 YR | 2,500 | 2,652,735 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 02/01/19-10/01/41 | 24,436 | 26,234,050 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/18-07/01/37 | 10,155 | 10,947,149 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | TBA 30 YR | 2,500 | 2,686,328 | ||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
5.225% | 12/01/35 | 1,056 | 1,131,980 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 12/01/33-07/01/38 | 11,722 | 12,777,740 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 03/01/32-12/01/33 | 1,247 | 1,397,007 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | TBA 30 YR | 2,000 | 2,191,250 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 12/01/14-09/01/16 | 72 | 73,860 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 05/01/31-10/01/32 | 591 | 698,506 | ||||||||||||
| Federal National Mortgage Association(b) |
2.285% | 07/01/33 | 607 | 641,427 | ||||||||||||
| Federal National Mortgage Association |
2.500% | TBA 15 YR | 1,000 | 1,028,125 | ||||||||||||
| Federal National Mortgage Association |
2.500% | TBA 15 YR | 500 | 515,156 | ||||||||||||
| Federal National Mortgage Association(b) |
2.563% | 07/01/37 | 709 | 760,466 | ||||||||||||
| Federal National Mortgage Association(b) |
2.648% | 06/01/37 | 212 | 226,653 | ||||||||||||
| Federal National Mortgage Association |
3.000% | TBA 15 YR | 4,500 | 4,714,453 | ||||||||||||
| Federal National Mortgage Association |
3.500% | 06/01/39 | 1,778 | 1,870,783 | ||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 15 YR | 9,500 | 10,037,344 | ||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 20,000 | 20,965,626 | ||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 19,500 | 20,496,329 | ||||||||||||
| Federal National Mortgage Association |
4.500% | 11/01/18-03/01/41 | 17,217 | 18,780,411 | ||||||||||||
| Federal National Mortgage Association |
5.000% | 10/01/18-05/01/36 | 7,587 | 8,247,367 | ||||||||||||
| Federal National Mortgage Association |
5.000% | TBA 30 YR | 3,000 | 3,246,094 | ||||||||||||
| Federal National Mortgage Association |
5.500% | 03/01/16-04/01/37 | 14,585 | 16,028,580 | ||||||||||||
| Federal National Mortgage Association |
6.000% | 04/01/13-06/01/38 | 13,605 | 15,173,838 | ||||||||||||
| Federal National Mortgage Association |
6.500% | 07/01/17-01/01/37 | 5,470 | 6,228,576 | ||||||||||||
| Federal National Mortgage Association |
7.000% | 02/01/32-07/01/32 | 416 | 487,335 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A19
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| MORTGAGE-BACKED SECURITIES (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Federal National Mortgage Association |
7.500% | 05/01/32 | $ | 97 | $ | 118,725 | ||||||||||
| Government National Mortgage Association |
3.500% | TBA 30 YR | 4,000 | 4,275,000 | ||||||||||||
| Government National Mortgage Association |
4.000% | 06/15/40-05/20/41 | 2,330 | 2,552,337 | ||||||||||||
| Government National Mortgage Association |
4.000% | TBA 30 YR | 21,500 | 23,451,796 | ||||||||||||
| Government National Mortgage Association |
4.000% | TBA 30 YR | 4,000 | 4,368,125 | ||||||||||||
| Government National Mortgage Association |
4.500% | 01/20/41-02/20/41 | 7,474 | 8,254,578 | ||||||||||||
| Government National Mortgage Association |
4.500% | TBA 30 YR | 10,750 | 11,816,601 | ||||||||||||
| Government National Mortgage Association |
4.500% | TBA 30 YR | 1,000 | 1,093,281 | ||||||||||||
| Government National Mortgage Association |
5.000% | TBA 30 YR | 10,500 | 11,553,281 | ||||||||||||
| Government National Mortgage Association |
5.500% | 08/15/33-04/15/36 | 4,786 | 5,362,878 | ||||||||||||
| Government National Mortgage Association |
6.000% | 11/15/23-07/15/34 | 1,607 | 1,831,889 | ||||||||||||
| Government National Mortgage Association |
6.500% | 10/15/23-09/15/36 | 3,035 | 3,506,966 | ||||||||||||
| Government National Mortgage Association |
8.000% | 01/15/24-07/15/24 | 46 | 55,151 | ||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
|
284,387,524 | ||||||||||||||
| Moody’s Ratings† |
||||||||||||||||
| MUNICIPAL BONDS — 0.6% | ||||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
Aa3 | 6.263% | 04/01/49 | 1,305 | 1,742,005 | |||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
A1 | 6.395% | 01/01/40 | 970 | 1,241,969 | |||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
Aa2 | 6.731% | 07/01/43 | 945 | 1,067,916 | |||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, |
A3 | 7.414% | 01/01/40 | 1,000 | 1,463,380 | |||||||||||
| New York City Transitional Finance Authority, |
Aa1 | 5.767% | 08/01/36 | 1,100 | 1,337,248 | |||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
Aa1 | 4.910% | 06/01/40 | 415 | 500,635 | |||||||||||
| Ohio State Water Development Authority, Revenue Bonds, BABs |
Aaa | 4.879% | 12/01/34 | 275 | 311,902 | |||||||||||
| Oregon State Department of Transportation, Revenue Bonds, |
Aa2 | 5.834% | 11/15/34 | 425 | 547,685 | |||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, |
Aa3 | 5.511% | 12/01/45 | 505 | 602,723 | |||||||||||
| Regional Transportation District, Revenue Bonds, |
Aa2 | 5.844% | 11/01/50 | 625 | 837,737 | |||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.300% | 10/01/39 | 1,250 | 1,561,550 | |||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.500% | 04/01/34 | 350 | 438,137 | |||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.550% | 04/01/39 | 245 | 317,393 | |||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.625% | 03/01/40 | 205 | 264,772 | |||||||||||
| State of Illinois, General Obligation Bonds, Taxable Series |
A2 | 4.421% | 01/01/15 | 630 | 662,981 | |||||||||||
| Texas State Transportation Commission, Revenue Bonds, |
Aaa | 5.028% | 04/01/26 | 305 | 371,197 | |||||||||||
| TOTAL MUNICIPAL BONDS |
|
13,269,230 | ||||||||||||||
| NON-CORPORATE FOREIGN AGENCIES — 0.8% | ||||||||||||||||
| Commonwealth Bank of Australia (Australia), Gov’t Gtd. |
Aaa | 2.700% | 11/25/14 | 7,220 | 7,545,167 | |||||||||||
| Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes |
A1 | 4.000% | 01/29/21 | 460 | 474,822 | |||||||||||
| Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes |
A1 | 5.125% | 06/29/20 | 365 | 407,075 | |||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
A1 | 6.250% | 06/17/14 | 800 | 860,498 | |||||||||||
| Kreditanstalt Fuer Wiederaufbau (Germany), Gtd. Notes |
Aaa | 2.375% | 08/25/21 | 730 | 734,288 | |||||||||||
| Mexico Government International Bond (Mexico), |
Baa1 | 4.750% | 03/08/44 | 846 | 911,565 | |||||||||||
| Pemex Project Funding Master Trust, Gtd. Notes |
Baa1 | 8.625% | 12/01/23 | 350 | 451,500 | |||||||||||
| Petrobras International Finance Co. — Pifco (Cayman Islands), |
A3 | 5.375% | 01/27/21 | 1,760 | 1,896,877 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A20
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| NON-CORPORATE FOREIGN AGENCIES (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A |
Aa2 | 5.250% | 01/20/20 | $ | 285 | $ | 328,605 | |||||||||
| RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), |
Baa1 | 6.299% | 05/15/17 | 2,100 | 2,220,750 | |||||||||||
| Russian Foreign Bond — Eurobond (Russia), Unsec’d. Notes, 144A |
Baa1 | 3.250% | 04/04/17 | 2,200 | 2,213,728 | |||||||||||
| TOTAL NON-CORPORATE FOREIGN AGENCIES |
|
18,044,875 | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2% | ||||||||||||||||
| Federal Home Loan Banks(a) |
5.500% | 07/15/36 | 950 | 1,281,430 | ||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
5.125% | 11/17/17 | 420 | 508,719 | ||||||||||||
| Resolution Funding Corp. Interest Strip, Bonds(j) |
1.340% | 04/15/18 | 2,645 | 2,452,484 | ||||||||||||
| Tennessee Valley Authority |
5.880% | 04/01/36 | 85 | 118,335 | ||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
4,360,968 | ||||||||||||||
| U.S. GOVERNMENT TREASURY OBLIGATIONS — 6.7% | ||||||||||||||||
| U.S. Treasury Bonds(a) |
3.000% | 05/15/42 | 8,190 | 8,577,747 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds(a) |
0.750% | 02/15/42 | 3,121 | 3,273,491 | ||||||||||||
| U.S. Treasury Inflation Indexed Notes |
1.375% | 01/15/20 | 9,175 | 10,667,488 | ||||||||||||
| U.S. Treasury Notes |
0.750% | 08/15/13 | 18,630 | 18,729,708 | ||||||||||||
| U.S. Treasury Notes |
0.750% | 06/30/17 | 810 | 810,823 | ||||||||||||
| U.S. Treasury Notes |
1.000% | 06/30/19 | 6,750 | 6,696,209 | ||||||||||||
| U.S. Treasury Notes |
1.375% | 11/30/15 | 1,555 | 1,600,799 | ||||||||||||
| U.S. Treasury Notes |
1.750% | 05/15/22 | 180 | 181,463 | ||||||||||||
| U.S. Treasury Notes |
1.875% | 10/31/17 | 11,550 | 12,185,250 | ||||||||||||
| U.S. Treasury Notes |
3.125% | 04/30/17 | 5,890 | 6,558,150 | ||||||||||||
| U.S. Treasury Notes |
3.250% | 05/31/16 | 6,300 | 6,951,659 | ||||||||||||
| U.S. Treasury Notes |
3.500% | 02/15/18 | 15,000 | 17,162,115 | ||||||||||||
| U.S. Treasury Notes |
4.250% | 11/15/17 | 6,475 | 7,636,453 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.150% | 05/15/24 | 16,380 | 12,712,453 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.180% | 08/15/24 | 11,695 | 8,987,619 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.280% | 11/15/23 | 12,715 | 10,065,308 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.340% | 02/15/24 | 10,000 | 7,834,870 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.610% | 05/15/25 | 6,000 | 4,472,556 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.970% | 05/15/27 | 2,280 | 1,574,728 | ||||||||||||
| U.S. Treasury Strips Coupon(a)(k) |
3.750% | 08/15/33 | 8,260 | 4,581,830 | ||||||||||||
| TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS |
|
151,260,719 | ||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
2,022,792,569 | ||||||||||||||
| SHORT-TERM INVESTMENTS — 22.6% | ||||||||||||||||
| U.S. GOVERNMENT TREASURY OBLIGATION — 0.1% |
||||||||||||||||
| U.S. Treasury Bill(i)(l) |
0.080% | 09/20/12 | 3,000 | 2,999,517 | ||||||||||||
| Shares |
||||||||||||||||
| Affiliated Mutual Funds — 22.5% |
||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
12,986,385 | 116,747,603 | ||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
392,188,700 | 392,188,700 | ||||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
508,936,303 | ||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
511,935,820 | ||||||||||||||
| TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 111.9% |
|
2,534,728,389 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A21
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| SECURITY SOLD SHORT — (0.2)% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Mortgage-Backed Security |
||||||||||||||||
| Federal National Mortgage Association |
4.500% | TBA 30 YR | $ | 4,000 | $ | (4,290,625 | ) | |||||||||
| TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 111.7% |
|
2,530,437,764 | ||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (11.7)% |
|
(265,207,737 | ) | |||||||||||||
| NET ASSETS — 100.0% |
|
$ | 2,265,230,027 | |||||||||||||
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 | |
| 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 | |
| TBA | To Be Announced |
| * | Non-income producing security. |
| † | The ratings reflected are as of June 30, 2012. Ratings of certain bonds may have changed subsequent to that date. |
| # | Principal amount is shown in U.S. dollars unless otherwise stated. |
| (a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $145,835,231; cash collateral of $148,153,398 (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 June 30, 2012. |
| (c) | Amount is actual; not rounded to thousands. |
| (d) | Indicates a security that has been deemed illiquid. |
| (e) | Standard & Poor’s Rating. |
| (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. |
| (h) | Indicates a restricted security; the aggregate original cost of such securities is $4,997,696. The aggregate value of $5,518,574 is approximately 0.2% of net assets. |
| (i) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (j) | Represents zero coupon bond. Rate shown reflects the effective yield at June 30, 2012. |
| (k) | Rate shown reflects the effective yield at June 30, 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 June 30, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 249 | 2 Year U.S. Treasury Notes | Sep. 2012 | $ | 54,829,883 | $ | 54,826,688 | $ | (3,195 | ) | |||||||||
| 880 | 5 Year U.S. Treasury Notes | Sep. 2012 | 109,029,759 | 109,092,500 | 62,741 | |||||||||||||
| 217 | S&P 500 E-mini | Sep. 2012 | 14,160,212 | 14,716,940 | 556,728 | |||||||||||||
| 84 | S&P 500 Index | Sep. 2012 | 27,638,152 | 28,484,400 | 846,248 | |||||||||||||
| 9 | U.S. Ultra Bond | Sep. 2012 | 1,509,480 | 1,501,594 | (7,886 | ) | ||||||||||||
| 1,454,636 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A22
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Short Positions: | ||||||||||||||||||
| 68 | 10 Year U.S. Treasury Notes | Sep. 2012 | $ | 9,080,396 | $ | 9,069,500 | $ | 10,896 | ||||||||||
| 151 | U.S. Long Bond | Sep. 2012 | 22,295,441 | 22,343,281 | (47,840 | ) | ||||||||||||
| (36,944 | ) | |||||||||||||||||
| $ | 1,417,692 | |||||||||||||||||
Interest rate swap agreements outstanding at June 30, 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) |
$ | 103,404 | $ | — | $ | 103,404 | Credit Suisse International | |||||||||||||||
| 20,000 | 08/31/16 | 0.928% | 3 month LIBOR(1) |
97,863 | — | 97,863 | Citibank, NA | |||||||||||||||||||
| 20,000 | 08/31/16 | 0.977% | 3 month LIBOR(2) |
(137,815 | ) | — | (137,815 | ) | Citibank, NA | |||||||||||||||||
| 6,255 | 08/31/16 | 0.975% | 3 month LIBOR(2) |
(42,629 | ) | — | (42,629 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 6,255 | 08/31/16 | 0.978% | 3 month LIBOR(2) |
(43,525 | ) | — | (43,525 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 1,900 | 09/14/16 | 1.206% | 3 month LIBOR(2) |
(36,863 | ) | — | (36,863 | ) | Deutsche Bank AG | |||||||||||||||||
| 30,590 | 11/30/16 | 0.948% | 3 month LIBOR(2) |
(85,422 | ) | — | (85,422 | ) | Citibank, NA | |||||||||||||||||
| 30,590 | 11/30/16 | 0.945% | 3 month LIBOR(2) |
(82,009 | ) | — | (82,009 | ) | Citibank, NA | |||||||||||||||||
| 19,045 | 11/30/16 | 0.913% | 3 month LIBOR(2) |
(25,787 | ) | — | (25,787 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 5,155 | 07/20/21 | 3.035% | 3 month LIBOR(1) |
670,729 | — | 670,729 | Citibank, NA | |||||||||||||||||||
| 4,650 | 11/23/21 | 2.148% | 3 month LIBOR(2) |
(188,998 | ) | — | (188,998 | ) | Citibank, NA | |||||||||||||||||
| 2,625 | 01/27/22 | 2.071% | 3 month LIBOR(2) |
(101,995 | ) | — | (101,995 | ) | Citibank, NA | |||||||||||||||||
| 1,170 | 01/30/22 | 2.082% | 3 month LIBOR(2) |
(46,260 | ) | — | (46,260 | ) | Citibank, NA | |||||||||||||||||
| 2,510 | 02/07/22 | 2.056% | 3 month LIBOR(2) |
(91,870 | ) | — | (91,870 | ) | Citibank, NA | |||||||||||||||||
| 6,305 | 04/12/22 | 2.111% | 3 month LIBOR(1) |
230,174 | — | 230,174 | Citibank, NA | |||||||||||||||||||
| $ | 218,997 | $ | — | $ | 218,997 | |||||||||||||||||||||
| (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 June 30, 2012:
| Reference Entity/ |
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. |
06/20/14 | 0.650% | $ | 1,110 | $ | 8,215 | $ | — | $ | 8,215 | JPMorgan Chase Bank | |||||||||||||||
| Macy’s Retail Holdings, Inc. |
12/20/12 | 1.000% | 2,000 | (6,772 | ) | 11,818 | (18,590 | ) | Deutsche Bank AG | |||||||||||||||||
| Newell Rubbermaid, Inc. |
06/20/18 | 1.000% | 1,600 | 23,659 | — | 23,659 | Morgan Stanley Capital Services, Inc. | |||||||||||||||||||
| Simon Property Group LP |
06/20/18 | 0.970% | 2,700 | 46,009 | — | 46,009 | Morgan Stanley Capital Services, Inc. | |||||||||||||||||||
| Spectra Energy Capital LLC |
06/20/18 | 1.150% | 2,800 | 40,434 | — | 40,434 | Deutsche Bank AG | |||||||||||||||||||
| Starwood Hotels & Resorts Worldwide, Inc. |
03/20/14 | 7.050% | 1,585 | (176,609 | ) | — | (176,609 | ) | Deutsche Bank AG | |||||||||||||||||
| Starwood Hotels & Resorts Worldwide, Inc. |
06/20/18 | 1.450% | 2,700 | 14,948 | — | 14,948 | Merrill Lynch Capital Services, Inc. | |||||||||||||||||||
| $ | (50,116 | ) | $ | 11,818 | $ | (61,934 | ) | |||||||||||||||||||
| (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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A23
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below.
| Level 1— | quoted prices generally 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 June 30, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 1,125,227,632 | $ | 22,910,582 | $ | — | ||||||
| Exchange Traded Fund |
534,572 | — | — | |||||||||
| Preferred Stocks |
1,253,920 | 155,342 | — | |||||||||
| Right |
1,031 | — | — | |||||||||
| Asset-Backed Securities |
||||||||||||
| Non-Residential Mortgage-Backed Securities |
— | 22,673,559 | 720,000 | |||||||||
| Residential Mortgage-Backed Securities |
— | 9,580,153 | — | |||||||||
| Bank Loans |
— | 8,539,377 | — | |||||||||
| Collateralized Mortgage Obligations |
— | 7,007,489 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 112,637,941 | — | |||||||||
| Corporate Bonds |
— | 240,227,655 | — | |||||||||
| Mortgage-Backed Securities |
— | 284,387,524 | — | |||||||||
| Municipal Bonds |
— | 13,269,230 | — | |||||||||
| Non-Corporate Foreign Agencies |
— | 18,044,875 | — | |||||||||
| U.S. Government Agency Obligations |
— | 4,360,968 | — | |||||||||
| U.S. Government Treasury Obligations |
— | 154,260,236 | — | |||||||||
| Affiliated Mutual Funds |
508,936,303 | — | — | |||||||||
| Mortgage-Backed Security Sold Short |
— | (4,290,625 | ) | — | ||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
1,417,692 | — | — | |||||||||
| Interest Rate Swap Agreements |
— | 218,997 | — | |||||||||
| Credit Default Swap Agreements |
— | (61,934 | ) | — | ||||||||
| Total |
$ | 1,637,371,150 | $ | 893,921,369 | $ | 720,000 | ||||||
| * | 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 June 30, 2012 was as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A24
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
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 June 30, 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 |
Premium paid for swap agreements | $ | 11,818 | Premium received for swap agreements | $ | — | ||||||
| Credit contracts |
Unrealized appreciation on swap agreements | 133,265 | Unrealized depreciation on swap agreements | 195,199 | ||||||||
| Equity contracts |
Due from broker — variation margin | 1,402,976 | * | — | — | |||||||
| Equity contracts |
Unaffiliated investments | 1,031 | — | — | ||||||||
| Interest rate contracts |
Unrealized appreciation on swap agreements | 1,102,170 | Unrealized depreciation on swap agreements | 883,173 | ||||||||
| Interest rate contracts |
Due from broker — variation margin | 73,637 | * | Due from broker — variation margin | 58,921 | * | ||||||
| Total |
$ | 2,724,897 | $ | 1,137,293 | ||||||||
| * | 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.
A25
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 2012 are as follows:
| Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
||||||||||||||||||||||||||||
| Derivatives not designated as |
Options Purchased |
Options Written |
Futures |
Swaps |
Rights |
Warrants |
Total |
|||||||||||||||||||||
| Credit contracts |
$ | — | $ | — | $ | — | $ | (153,818 | ) | $ | — | $ | — | $ | (153,818 | ) | ||||||||||||
| Equity contracts |
— | — | 4,569,875 | — | 14,532 | 56,192 | 4,640,599 | |||||||||||||||||||||
| Interest rate contracts |
263,443 | (223,837 | ) | (2,512,360 | ) | 87,102 | — | — | (2,385,652 | ) | ||||||||||||||||||
| Total |
$ | 263,443 | $ | (223,837 | ) | $ | 2,057,515 | $ | (66,716 | ) | $ | 14,532 | $ | 56,192 | $ | 2,101,129 | ||||||||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Futures |
Swaps |
Total |
|||||||||
| Credit contracts |
$ | — | $ | (75,266 | ) | $ | (75,266 | ) | ||||
| Equity contracts |
251,145 | — | 251,145 | |||||||||
| Interest rate contracts |
194,406 | (278,263 | ) | (83,857 | ) | |||||||
| Total |
$ | 445,551 | $ | (353,529 | ) | $ | 92,022 | |||||
For the six months ended June 30, 2012, the Portfolio’s average volume of derivative activities is as follows:
| Futures |
Futures | |
| $179,615,411 | $37,913,611 |
| Interest Rate Swaps |
Credit Default | |
| $83,835 | $15,328 |
SEE NOTES TO FINANCIAL STATEMENTS.
A26
| CONSERVATIVE BALANCED PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
| Six Months Ended June 30, 2012 |
Year Ended December 31, 2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 23,881,456 | $ | 47,217,513 | ||||
| Net realized gain on investments and foreign currencies |
15,499,722 | 49,113,195 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
105,622,334 | 4,696,647 | ||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
145,003,512 | 101,027,355 | ||||||
| DISTRIBUTIONS | (47,221,872 | ) | (50,030,858 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [305,237 and 648,345 shares, respectively] |
5,228,923 | 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 [4,474,328 and 9,540,307 shares, respectively] |
(76,617,204 | ) | (154,546,244 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(24,166,409 | ) | (94,040,364 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 73,615,231 | (43,043,867 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
2,191,614,796 | 2,234,658,663 | ||||||
| End of period |
$ | 2,265,230,027 | $ | 2,191,614,796 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A27
| DIVERSIFIED BOND PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| LONG-TERM INVESTMENTS — 87.1% ASSET-BACKED SECURITIES — 10.2% |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Non-Residential Mortgage-Backed Securities — 5.7% |
||||||||||||||||
| Apidos CDO (Cayman Islands), 144A |
||||||||||||||||
| Ser. 2006-4A, Class A1(a) |
Aaa | 0.716% | 10/27/18 | $ | 2,000 | $ | 1,934,756 | |||||||||
| Ser. 2011-8A, Class A1(a) |
Aaa | 1.966% | 10/17/21 | 4,000 | 3,954,148 | |||||||||||
| ARES CLO Funds (Cayman Islands), 144A |
||||||||||||||||
| Ser. 2004-8A, Class A1A(a) |
Aaa | 0.897% | 02/26/16 | 222 | 220,635 | |||||||||||
| Ser. 2005-10A, Class A2(a) |
Aaa | 0.708% | 09/18/17 | 338 | 333,517 | |||||||||||
| Ser. 2005-10A, Class A3(a) |
Aaa | 0.708% | 09/18/17 | 287 | 283,643 | |||||||||||
| BA Credit Card Trust, Ser. 2006-C5, Class C5(a) |
A3 | 0.642% | 01/15/16 | 5,750 | 5,718,875 | |||||||||||
| Bank One Issuance Trust, Ser. 2004-C2, Class C2(a) |
Baa2 | 1.042% | 02/15/17 | 2,100 | 2,092,014 | |||||||||||
| Black Diamond CLO Ltd. (Cayman Islands), Ser. 2005-1A, |
Aaa | 0.738% | 06/20/17 | 3,256 | 3,131,111 | |||||||||||
| BlackRock Senior Income Series Corp. (Cayman Islands), |
Aaa | 0.717% | 05/25/17 | 367 | 360,681 | |||||||||||
| Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.716% | 08/03/19 | 4,108 | 3,984,099 | |||||||||||
| Citibank Credit Card Issuance Trust, Ser. 2005-C2, Class C2(a) |
Baa2 | 0.715% | 03/24/17 | 2,320 | 2,291,270 | |||||||||||
| Eaton Vance CDO IV Ltd. (Cayman Islands), Ser. 2007-9A, |
Aaa | 0.676% | 04/20/19 | 1,900 | 1,856,081 | |||||||||||
| First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(a) |
Aaa | 0.816% | 07/27/16 | 4 | 3,935 | |||||||||||
| Four Corners CLO (Cayman Islands), 144A |
||||||||||||||||
| Ser. 2005-1A, Class A3(a) |
Aaa | 0.762% | 03/26/17 | 1,087 | 1,069,616 | |||||||||||
| Ser. 2006-3A, Class A(a) |
Aaa | 0.716% | 07/22/20 | 2,042 | 1,977,104 | |||||||||||
| Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, |
Aa1 | 0.938% | 03/15/20 | 1,500 | 1,340,823 | |||||||||||
| GE Business Loan Trust, Ser. 2006-1A, Class D, 144A(a) |
Baa3 | 1.242% | 05/15/34 | 231 | 87,029 | |||||||||||
| Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.727% | 12/15/17 | 707 | 703,660 | |||||||||||
| Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, Class A, 144A(a) |
Aaa | 0.827% | 07/15/16 | 337 | 335,887 | |||||||||||
| Hewett’s Island CDO Ltd. (Cayman Islands), Ser. 2006-4A, |
Aaa | 0.726% | 05/09/18 | 2,764 | 2,705,614 | |||||||||||
| Highlander Euro CDO Cayman Ltd. (Netherlands), Ser. 2008-4A, |
Baa1 | 5.439% | 08/01/16 | EUR | 2,000 | 2,296,619 | ||||||||||
| Katonah Ltd. (Cayman Islands), Ser. 2005-7A, Class A2, 144A(a) |
Aaa | 0.727% | 11/15/17 | 3,262 | 3,181,915 | |||||||||||
| Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, |
Aaa | 0.706% | 10/19/20 | 1,451 | 1,395,605 | |||||||||||
| LCM LP (Cayman Islands), 144A |
||||||||||||||||
| Ser. 2004-2A, Class A(a) |
Aaa | 0.786% | 10/22/16 | 390 | 382,997 | |||||||||||
| Ser. 2005-3A, Class A(a) |
Aaa | 0.727% | 06/01/17 | 2,398 | 2,337,564 | |||||||||||
| Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, |
Aaa | 0.728% | 09/15/17 | 5,672 | 5,492,674 | |||||||||||
| Marriott Vacation Club Owner Trust, Ser. 2010-1A, Class A, 144A |
A(c) | 3.540% | 10/20/32 | 4,435 | 4,549,227 | |||||||||||
| MBNA Credit Card Master Note Trust, Ser. 2004-C2, Class C2(a) |
A3 | 1.142% | 11/15/16 | 9,800 | 9,801,273 | |||||||||||
| Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, |
Aaa | 0.718% | 03/15/18 | 2,607 | 2,504,499 | |||||||||||
| North Westerly CLO BV (Netherlands), Ser. II-A, Class A, 144A(a) |
Aaa | 1.573% | 09/14/19 | EUR | 4,380 | 5,229,929 | ||||||||||
| Pacifica CDO Ltd. (Cayman Islands), Ser. 2003-2A, |
Aaa | 1.049% | 07/10/15 | 257 | 256,812 | |||||||||||
| Railcar Leasing LLC, Ser. 1997-1, Class A2, 144A |
A1 | 7.125% | 01/15/13 | 587 | 586,621 | |||||||||||
| Stanfield Vantage CLO Ltd. (Cayman Islands), Ser. 2005-1A, |
Aaa | 0.768% | 03/21/17 | 973 | 950,857 | |||||||||||
| Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, |
Aaa | 0.716% | 11/01/18 | 4,500 | 4,382,213 | |||||||||||
| Venture CDO Ltd. (Cayman Islands), Ser. 2003-1A, |
Aaa | 0.966% | 01/21/16 | 1,103 | 1,097,426 | |||||||||||
| 78,830,729 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A28
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Residential Mortgage-Backed Securities — 4.5% |
||||||||||||||||
| ACE Securities Corp., Ser. 2004-FM1, Class M1(a) |
B2 | 1.145% | 09/25/33 | $ | 1,767 | $ | 1,366,512 | |||||||||
| Ameriquest Mortgage Securities, Inc. |
||||||||||||||||
| Ser. 2001-2, Class M3(a) |
Caa2 | 3.170% | 10/25/31 | 549 | 384,583 | |||||||||||
| Ser. 2004-R8, Class M1(a) |
A2 | 1.205% | 09/25/34 | 950 | 733,389 | |||||||||||
| Argent Securities, Inc. |
||||||||||||||||
| Ser. 2003-W2, Class M4(a) |
B2 | 5.870% | 09/25/33 | 2,400 | 1,495,056 | |||||||||||
| Ser. 2004-W6, Class M1(a) |
Baa1 | 0.795% | 05/25/34 | 3,165 | 2,404,405 | |||||||||||
| Ser. 2004-W10, Class A2(a) |
Aaa | 1.025% | 10/25/34 | 1,802 | 1,596,172 | |||||||||||
| Asset Backed Funding Certificates, Ser. 2004-OPT1, Class M1(a) |
Ba3 | 1.295% | 08/25/33 | 2,035 | 1,538,699 | |||||||||||
| Asset Backed Securities Corp. Home Equity |
||||||||||||||||
| Ser. 2003-HE3, Class M1(a) |
Ba2 | 1.487% | 06/15/33 | 1,582 | 1,280,147 | |||||||||||
| Ser. 2004-HE1, Class M1(a) |
Ba1 | 1.292% | 01/15/34 | 281 | 230,656 | |||||||||||
| Ser. 2004-HE5, Class M1(a) |
Baa3 | 1.145% | 08/25/34 | 2,600 | 2,207,847 | |||||||||||
| Bear Stearns Asset Backed Securities Trust |
||||||||||||||||
| Ser. 2004-HE2, Class M1(a) |
Ba1 | 1.145% | 03/25/34 | 4,784 | 3,780,813 | |||||||||||
| Ser. 2004-HE3, Class M2(a) |
B1 | 1.970% | 04/25/34 | 2,025 | 1,750,572 | |||||||||||
| CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M2(a) |
C | 3.620% | 03/25/33 | 272 | 34,912 | |||||||||||
| Centex Home Equity, Ser. 2004-B, Class AF6 |
Aa3 | 4.186% | 03/25/34 | 1,300 | 1,303,124 | |||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Ser. 2002-HE4, |
C | 2.495% | 08/25/32 | 120 | 51,608 | |||||||||||
| Equity One ABS, Inc., Ser. 2004-3, Class M1(a) |
Ba1 | 5.506% | 07/25/34 | 1,099 | 862,002 | |||||||||||
| FBR Securitization Trust, Ser. 2005-2, Class M1(a) |
B2 | 0.965% | 09/25/35 | 3,600 | 2,344,961 | |||||||||||
| Fremont Home Loan Trust, Ser. 2003-B, Class M1(a) |
Ba1 | 1.295% | 12/25/33 | 294 | 234,240 | |||||||||||
| GSAMP Trust, Ser. 2004-FM1, Class M1(a) |
Ba3 | 1.220% | 11/25/33 | 2,997 | 2,364,007 | |||||||||||
| HSBC Home Equity Loan Trust |
Aa1 | 0.524% | 01/20/36 | 793 | 702,234 | |||||||||||
| Ser. 2006-2, Class A1(a) |
Aaa | 0.394% | 03/20/36 | 216 | 203,441 | |||||||||||
| Ser. 2006-2, Class A2(a) |
Aaa | 0.424% | 03/20/36 | 262 | 241,703 | |||||||||||
| IXIS Real Estate Capital Trust, Ser. 2006-HE1, Class A4(a) |
Ca | 0.545% | 03/25/36 | 3,187 | 1,047,527 | |||||||||||
| Long Beach Mortgage Loan Trust, Ser. 2004-1, Class M1(a) |
A3 | 0.995% | 02/25/34 | 4,250 | 3,314,222 | |||||||||||
| Mastr Asset Backed Securities Trust, Ser. 2004-WMC1, Class M1(a) |
Ba2 | 1.025% | 02/25/34 | 2,868 | 2,175,634 | |||||||||||
| Merrill Lynch Mortgage Investors, Inc. |
A-(c) | 1.045% | 08/25/35 | 996 | 752,469 | |||||||||||
| Ser. 2004-OPT1, Class A1A(a) |
AAA(c) | 0.505% | 06/25/35 | 2,673 | 2,227,985 | |||||||||||
| Morgan Stanley ABS Capital I |
C | 3.395% | 11/25/32 | 167 | 45,955 | |||||||||||
| Ser. 2003-HE1, Class M1(a) |
Ba2 | 1.445% | 05/25/33 | 1,811 | 1,519,737 | |||||||||||
| Ser. 2003-HE3, Class M1(a) |
Ba3 | 1.265% | 10/25/33 | 1,345 | 1,062,591 | |||||||||||
| Ser. 2004-NC1, Class M1(a) |
Baa2 | 1.295% | 12/27/33 | 1,096 | 959,996 | |||||||||||
| Ser. 2004-OP1, Class M1(a) |
Aa1 | 1.115% | 11/25/34 | 3,688 | 2,745,071 | |||||||||||
| Ser. 2004-WMC1, Class M1(a) |
Ba1 | 1.175% | 06/25/34 | 2,828 | 2,271,772 | |||||||||||
| Ser. 2004-WMC2, Class M1(a) |
Ba3 | 1.160% | 07/25/34 | 2,431 | 2,027,923 | |||||||||||
| New Century Home Equity Loan Trust |
Baa3 | 1.370% | 10/25/33 | 4,066 | 3,453,032 | |||||||||||
| Ser. 2004-4, Class M1(a) |
Ba1 | 1.010% | 02/25/35 | 3,048 | 2,319,911 | |||||||||||
| Residential Asset Mortgage Products, Inc., Ser. 2004-RS12, Class MII2(a) |
Aa3 | 1.045% | 12/25/34 | 792 | 690,148 | |||||||||||
| Residential Asset Securities Corp., Ser. 2004-KS1, Class AI5 |
Baa3 | 5.221% | 02/25/34 | 1,000 | 948,440 | |||||||||||
| Saxon Asset Securities Trust, Ser. 2002-3, Class M1(a) |
B2 | 1.370% | 12/25/32 | 444 | 344,536 | |||||||||||
| Securitized Asset Backed Receivables LLC Trust |
B1 | 1.025% | 02/25/34 | 4,359 | 3,387,023 | |||||||||||
| Ser. 2006-FR1, Class M1(a) |
C | 0.645% | 11/25/35 | 2,000 | 170,302 | |||||||||||
| Specialty Underwriting & Residential Finance, |
A1 | 1.010% | 02/25/35 | 76 | 67,319 | |||||||||||
| Structured Asset Investment Loan Trust |
AAA(c) | 0.950% | 03/25/34 | 2,297 | 1,699,968 | |||||||||||
| Ser. 2004-7, Class A8(a) |
AAA(c) | 1.445% | 08/25/34 | 1,400 | 1,029,015 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A29
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| ASSET-BACKED SECURITIES (continued) |
Moody’s Ratings† |
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) | 3.245% | 07/25/32 | $ | 1,228 | $ | 989,390 | |||||||||
| 62,361,049 | ||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
141,191,778 | ||||||||||||||
| BANK LOANS — 1.9% | ||||||||||||||||
| Automotive — 0.2% |
||||||||||||||||
| Chrysler Group LLC(a) |
Ba2 | 6.000% | 05/24/17 | 1,377 | 1,384,612 | |||||||||||
| Schaeffler AG(a) |
B1 | 6.000% | 01/27/17 | 1,500 | 1,497,657 | |||||||||||
| 2,882,269 | ||||||||||||||||
| Chemicals — 0.1% |
||||||||||||||||
| Ashland, Inc.(a) |
Baa3 | 3.750% | 08/23/18 | 225 | 225,116 | |||||||||||
| Rockwood Holdings, Inc.(a) |
Ba1 | 3.500% | 02/09/18 | 1,373 | 1,371,315 | |||||||||||
| 1,596,431 | ||||||||||||||||
| Consumer |
||||||||||||||||
| Huish Detergents, Inc.(a) |
Ba3 | 2.250% | 04/26/14 | 200 | 190,375 | |||||||||||
| Foods — 0.2% |
||||||||||||||||
| Del Monte Foods Co.(a) |
B(c) | 4.500% | 03/08/18 | 1,798 | 1,766,777 | |||||||||||
| OSI Restaurant Partners, Inc.(a) |
B3 | 0.061% | 06/14/13 | 442 | 433,651 | |||||||||||
| OSI Restaurant Partners, Inc.(a) |
B3 | 2.563% | 06/14/14 | 1,005 | 986,408 | |||||||||||
| 3,186,836 | ||||||||||||||||
| Gaming — 0.2% |
||||||||||||||||
| CCM Merger, Inc.(a) |
B2 | 6.000% | 03/01/17 | 2,733 | 2,702,483 | |||||||||||
| Healthcare & Pharmaceutical — 0.4% |
||||||||||||||||
| HCA, Inc.(a) |
Ba3 | 3.495% | 05/01/18 | 462 | 447,883 | |||||||||||
| HCA, Inc.(a) |
Ba3 | 3.711% | 03/31/17 | 1,108 | 1,074,852 | |||||||||||
| RPI Finance Trust(a) |
Baa2 | 4.000% | 05/09/18 | 3,954 | 3,910,810 | |||||||||||
| 5,433,545 | ||||||||||||||||
| Media & Entertainment — 0.2% |
||||||||||||||||
| ProSiebenSat.1 Media AG (Germany)(a) |
Ba2 | 3.181% | 07/01/16 | EUR | 2,900 | 3,466,069 | ||||||||||
| Real Estate Investment Trusts — 0.1% |
||||||||||||||||
| C.B. Richard Ellis Services, Inc.(a) |
Ba1 | 3.741% | 09/04/19 | 1,112 | 1,096,988 | |||||||||||
| Technology — 0.5% |
||||||||||||||||
| First Data Corp.(a) |
B1 | 4.245% | 03/26/18 | 2,411 | 2,210,107 | |||||||||||
| First Data Corp.(a) |
B1 | 5.245% | 03/24/17 | 183 | 173,807 | |||||||||||
| Flextronics International Ltd. (Singapore)(a) |
Ba1 | 2.489% | 10/01/14 | 1,084 | 1,059,220 | |||||||||||
| Flextronics International Ltd. (Singapore)(a) |
Ba1 | 2.495% | 10/01/14 | 117 | 114,412 | |||||||||||
| Freescale Semiconductor, Inc.(a) |
B1 | 4.489% | 12/01/16 | 1,750 | 1,652,000 | |||||||||||
| Sensata Technologies, Inc.(a) |
Ba2 | 4.000% | 05/12/18 | 1,272 | 1,261,916 | |||||||||||
| 6,471,462 | ||||||||||||||||
| TOTAL BANK LOANS |
|
27,026,458 | ||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% | ||||||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1 |
Ba3 | 5.250% | 09/25/19 | 911 | 933,423 | |||||||||||
| Mastr Alternative Loans Trust, Ser. 2004-4, Class 4A1 |
Baa1 | 5.000% | 04/25/19 | 193 | 199,520 | |||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, |
Baa1 | 2.740% | 02/25/34 | 1,874 | 1,811,891 | |||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
CCC(c) | 5.000% | 03/25/20 | 741 | 699,434 | |||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
3,644,268 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A30
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 15.4% | Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Banc of America Commercial Mortgage, Inc. |
Aaa | 5.334% | 09/10/45 | $ | 54 | $ | 54,496 | |||||||||
| Ser. 2006-5, Class A2 |
Aaa | 5.317% | 09/10/47 | 2,885 | 2,901,180 | |||||||||||
| Ser. 2006-6, Class A2 |
Aaa | 5.309% | 10/10/45 | 3,458 | 3,533,495 | |||||||||||
| Ser. 2007-1, Class A2 |
Aaa | 5.381% | 01/15/49 | 953 | 952,565 | |||||||||||
| Ser. 2007-1, Class A3 |
Aaa | 5.449% | 01/15/49 | 3,500 | 3,688,083 | |||||||||||
| Ser. 2007-4, Class A3(a) |
AAA(c) | 5.984% | 02/10/51 | 6,460 | 6,723,723 | |||||||||||
| Ser. 2007-5, Class A3 |
AAA(c) | 5.620% | 02/10/51 | 2,445 | 2,602,189 | |||||||||||
| Bear Stearns Commercial Mortgage Securities |
Aaa | 4.735% | 09/11/42 | 834 | 846,852 | |||||||||||
| Ser. 2005-T20, Class A2(a) |
Aaa | 5.127% | 10/12/42 | 1,159 | 1,158,670 | |||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust |
Aaa | 5.408% | 01/15/46 | 39 | 40,058 | |||||||||||
| Ser. 2006-CD2, Class AAB(a) |
Aaa | 5.512% | 01/15/46 | 2,136 | 2,188,989 | |||||||||||
| Ser. 2007-CD4, Class A3 |
Aaa | 5.293% | 12/11/49 | 2,515 | 2,655,143 | |||||||||||
| Commercial Mortgage Pass-Through Certificates |
AAA(c) | 5.879% | 06/10/46 | 2,703 | 2,711,539 | |||||||||||
| Ser. 2006-C7, Class A4(a) |
AAA(c) | 5.941% | 06/10/46 | 4,000 | 4,503,900 | |||||||||||
| Ser. 2006-C8, Class A2B |
Aaa | 5.248% | 12/10/46 | 2,985 | 2,998,918 | |||||||||||
| Credit Suisse Mortgage Capital Certificates |
AAA(c) | 5.593% | 02/15/39 | 4,400 | 4,917,378 | |||||||||||
| Ser. 2006-C1, Class AM(a) |
AA-(c) | 5.593% | 02/15/39 | 970 | 1,051,238 | |||||||||||
| Ser. 2007-C1, Class A2 |
Aaa | 5.268% | 02/15/40 | 1,833 | 1,831,101 | |||||||||||
| Ser. 2007-C4, Class A2(a) |
Aaa | 5.966% | 09/15/39 | 316 | 317,757 | |||||||||||
| Ser. 2007-C4, Class A3(a) |
Aaa | 5.966% | 09/15/39 | 10,550 | 10,999,609 | |||||||||||
| FHLMC Multifamily Structured Pass Through Certificates, I/O |
NR | 2.165% | 08/25/18 | 9,988 | 1,010,205 | |||||||||||
| Ser. K501, Class X1A(a) |
Aaa | 1.880% | 08/25/16 | 12,471 | 675,752 | |||||||||||
| GE Capital Commercial Mortgage Corp., Ser. 2007-C1, |
Aaa | 5.417% | 12/10/49 | 7,779 | 7,771,241 | |||||||||||
| GMAC Commercial Mortgage Securities, Inc., Ser. 2006-C1, |
AAA(c) | 5.238% | 11/10/45 | 1,280 | 1,389,306 | |||||||||||
| Greenwich Capital Commercial Funding Corp. |
Aa2 | 4.859% | 08/10/42 | 1,700 | 1,762,752 | |||||||||||
| Ser. 2005-GG5, Class A2 |
Aaa | 5.117% | 04/10/37 | 5,217 | 5,235,742 | |||||||||||
| Ser. 2005-GG5, Class A5 |
Aa2 | 5.224% | 04/10/37 | 4,900 | 5,354,926 | |||||||||||
| Ser. 2007-GG9, Class A2 |
Aaa | 5.381% | 03/10/39 | 3,651 | 3,735,630 | |||||||||||
| GS Mortgage Securities Corp. II |
AA-(c) | 5.553% | 04/10/38 | 6,700 | 7,450,869 | |||||||||||
| Ser. 2006-GG8, Class A2 |
Aaa | 5.479% | 11/10/39 | 876 | 877,719 | |||||||||||
| Ser. 2007-GG10, Class A2 |
Aaa | 5.778% | 08/10/45 | 3,292 | 3,319,398 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp. |
Aa2 | 4.999% | 10/15/42 | 1,820 | 1,947,948 | |||||||||||
| Ser. 2006-CB14, Class A4(a) |
Aaa | 5.481% | 12/12/44 | 5,000 | 5,575,045 | |||||||||||
| Ser. 2006-LDP6, Class A4 |
Aaa | 5.475% | 04/15/43 | 1,640 | 1,833,046 | |||||||||||
| Ser. 2006-LDP7, Class A2(a) |
Aaa | 6.050% | 04/15/45 | 115 | 114,801 | |||||||||||
| Ser. 2007-LD11, Class A2(a) |
Aaa | 5.994% | 06/15/49 | 8,408 | 8,420,929 | |||||||||||
| Ser. 2007-LD12, Class A3(a) |
Aaa | 6.179% | 02/15/51 | 9,200 | 9,772,875 | |||||||||||
| LB-UBS Commercial Mortgage Trust |
AA(c) | 5.263% | 11/15/40 | 2,100 | 2,279,926 | |||||||||||
| 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 | 995 | 1,011,747 | |||||||||||
| Ser. 2007-C1, Class A2 |
AAA(c) | 5.318% | 02/15/40 | 1,464 | 1,474,443 | |||||||||||
| Ser. 2007-C6, Class A2 |
Aaa | 5.845% | 07/15/40 | 1,707 | 1,744,990 | |||||||||||
| Merrill Lynch Mortgage Trust |
AAA(c) | 5.848% | 05/12/39 | 7,920 | 8,993,826 | |||||||||||
| Ser. 2007-C1, Class A3(a) |
A+(c) | 6.041% | 06/12/50 | 690 | 712,057 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A31
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust |
AAA(c) | 5.607% | 02/12/39 | $ | 3,000 | $ | 3,364,578 | |||||||||
| Ser. 2006-2, Class A4(a) |
Aaa | 6.093% | 06/12/46 | 2,625 | 2,975,614 | |||||||||||
| Ser. 2006-4, Class A2 |
Aaa | 5.112% | 12/12/49 | 979 | 980,680 | |||||||||||
| Ser. 2007-9, Class A2 |
AAA(c) | 5.590% | 09/12/49 | 3,386 | 3,384,790 | |||||||||||
| Morgan Stanley Capital I, Inc. |
Aaa | 5.600% | 03/12/44 | 10,000 | 11,142,130 | |||||||||||
| Ser. 2006-HQ10, Class A4 |
Aaa | 5.328% | 11/12/41 | 2,500 | 2,765,410 | |||||||||||
| Ser. 2006-IQ12, Class A4 |
AAA(c) | 5.332% | 12/15/43 | 2,475 | 2,811,605 | |||||||||||
| Ser. 2006-T23, Class A3(a) |
AAA(c) | 5.984% | 08/12/41 | 1,318 | 1,354,033 | |||||||||||
| Ser. 2007-IQ14, Class AAB(a) |
Aaa | 5.654% | 04/15/49 | 6,005 | 6,437,151 | |||||||||||
| Wachovia Bank Commercial Mortgage Trust |
AAA(c) | 4.608% | 12/15/35 | 346 | 348,065 | |||||||||||
| Ser. 2005-C20, Class AMFX(a) |
Aa1 | 5.179% | 07/15/42 | 3,145 | 3,409,815 | |||||||||||
| Ser. 2006-C23, Class A4 |
Aaa | 5.418% | 01/15/45 | 7,838 | 8,712,321 | |||||||||||
| Ser. 2006-C24, Class A3 |
Aaa | 5.558% | 03/15/45 | 2,050 | 2,303,899 | |||||||||||
| Ser. 2006-C25, Class A4(a) |
Aaa | 5.922% | 05/15/43 | 6,000 | 6,819,606 | |||||||||||
| Ser. 2006-C28, Class A2 |
Aaa | 5.500% | 10/15/48 | 263 | 262,451 | |||||||||||
| Ser. 2007-C31, Class A4 |
Aa2 | 5.509% | 04/15/47 | 5,150 | 5,636,299 | |||||||||||
| Ser. 2007-C33, Class A2(a) |
Aaa | 6.052% | 02/15/51 | 3,918 | 3,914,046 | |||||||||||
| Ser. 2007-C33, Class A3(a) |
Aaa | 6.097% | 02/15/51 | 4,564 | 4,800,963 | |||||||||||
| Ser. 2007-C34, Class A2 |
Aaa | 5.569% | 05/15/46 | 3,488 | 3,530,914 | |||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
214,098,164 | ||||||||||||||
| CORPORATE BONDS — 43.6% | ||||||||||||||||
| Aerospace & Defense — 0.3% |
||||||||||||||||
| BE Aerospace, Inc., Sr. Unsec’d. Notes(d) |
Ba2 | 8.500% | 07/01/18 | 1,480 | 1,618,750 | |||||||||||
| L-3 Communications Corp., Gtd. Notes |
Baa3 | 4.750% | 07/15/20 | 700 | 746,630 | |||||||||||
| L-3 Communications Corp., Gtd. Notes, Ser. B |
Ba1 | 6.375% | 10/15/15 | 1,420 | 1,451,063 | |||||||||||
| 3,816,443 | ||||||||||||||||
| Airlines — 0.5% |
||||||||||||||||
| Continental Airlines 2001-1 Class A-1 Pass Through Trust, Pass-thru Certs., Ser. 01A1(b) |
Baa2 | 6.703% | 06/15/21 | 2 | 2,590 | |||||||||||
| Continental Airlines 2001-1 Class B Pass Through Trust, Pass-thru Certs., Ser. 011B |
Ba1 | 7.373% | 12/15/15 | 394 | 400,794 | |||||||||||
| Continental Airlines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A |
Baa1 | 5.983% | 04/19/22 | 1,687 | 1,830,616 | |||||||||||
| Continental Airlines 2010-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A(d) |
Baa2 | 4.750% | 01/12/21 | 549 | 575,301 | |||||||||||
| Delta Air Lines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 071A |
Baa2 | 6.821% | 08/10/22 | 1,360 | 1,461,562 | |||||||||||
| Delta Air Lines 2010-2 Class A Pass Through Trust, Pass-thru Certs., Ser. 2A |
Baa2 | 4.950% | 05/23/19 | 738 | 783,653 | |||||||||||
| Delta Air Lines 2011-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A |
Baa2 | 5.300% | 04/15/19 | 791 | 844,688 | |||||||||||
| UAL 2007-1 Pass Through Trust, Pass-thru Certs., Ser. 071A, Class A |
Baa3 | 6.636% | 07/02/22 | 1,013 | 1,058,595 | |||||||||||
| 6,957,799 | ||||||||||||||||
| Automotive — 0.6% |
||||||||||||||||
| BorgWarner, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.625% | 09/15/20 | 825 | 898,561 | |||||||||||
| Delphi Corp., Gtd. Notes |
Ba2 | 5.875% | 05/15/19 | 1,400 | 1,494,500 | |||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A |
Baa3 | 3.984% | 06/15/16 | 1,050 | 1,081,404 | |||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A |
Baa3 | 4.207% | 04/15/16 | 3,925 | 4,075,634 | |||||||||||
| Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN |
Baa1 | 5.750% | 12/15/14 | 660 | 714,699 | |||||||||||
| 8,264,798 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A32
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Banking — 9.5% |
||||||||||||||||
| American Express Co., Sr. Unsec’d. Notes |
A3 | 8.125% | 05/20/19 | $ | 2,785 | $ | 3,708,514 | |||||||||
| American Express Credit Corp., Sr. Unsec’d. Notes, MTN |
A2 | 2.800% | 09/19/16 | 3,570 | 3,724,099 | |||||||||||
| Bank of America Corp., Jr. Sub. Notes, Ser. K(a) |
B1 | 8.000% | 12/29/49 | 3,500 | 3,645,880 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 5.700% | 01/24/22 | 2,775 | 3,056,091 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 6.000% | 09/01/17 | 4,590 | 4,953,464 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1 |
Baa2 | 3.750% | 07/12/16 | 1,340 | 1,350,899 | |||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 5.300% | 03/15/17 | 790 | 822,493 | |||||||||||
| Barclays Bank PLC (United Kingdom), Sr. Unsec’d. Notes |
A2 | 6.750% | 05/22/19 | 1,610 | 1,878,139 | |||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
A2 | 7.250% | 02/01/18 | 1,575 | 1,882,957 | |||||||||||
| Capital One Capital V, Ltd. Gtd. Notes(d) |
Baa3 | 10.250% | 08/15/39 | 1,210 | 1,234,200 | |||||||||||
| Capital One Financial Corp., Sr. Unsec’d. Notes |
Baa1 | 5.250% | 02/21/17 | 2,460 | 2,658,623 | |||||||||||
| Capital One Financial Corp., Sub. Notes |
Baa2 | 6.150% | 09/01/16 | 700 | 782,581 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes(d) |
Baa2 | 4.500% | 01/14/22 | 1,000 | 1,032,854 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 11/21/17 | 2,050 | 2,271,242 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 05/15/18 | 2,500 | 2,791,435 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 8.125% | 07/15/39 | 4,120 | 5,498,119 | |||||||||||
| Citigroup, Inc., Unsec’d. Notes |
Baa2 | 8.500% | 05/22/19 | 1,375 | 1,698,168 | |||||||||||
| Depfa ACS Bank (Ireland), Covered Notes, 144A |
Aa3 | 5.125% | 03/16/37 | 3,065 | 2,134,760 | |||||||||||
| Discover Bank, Sub. Notes |
Ba1 | 7.000% | 04/15/20 | 2,005 | 2,333,561 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Notes(d) |
A3 | 6.250% | 02/01/41 | 2,195 | 2,288,847 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(e) |
A3 | 5.250% | 07/27/21 | 2,055 | 2,087,506 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 5.750% | 01/24/22 | 2,250 | 2,375,109 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/20 | 2,420 | 2,583,517 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d) |
A3 | 6.150% | 04/01/18 | 1,355 | 1,468,928 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(d) |
A3 | 6.250% | 09/01/17 | 3,195 | 3,473,825 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 6.750% | 10/01/37 | 440 | 431,223 | |||||||||||
| Hana Bank (South Korea), Sr. Unsec’d. Notes, 144A(d) |
A1 | 4.500% | 10/30/15 | 4,035 | 4,275,458 | |||||||||||
| HSBC Holdings PLC (United Kingdom), Sub. Notes |
A3 | 6.500% | 09/15/37 | 1,625 | 1,802,908 | |||||||||||
| Huntington BancShares, Inc., Sub. Notes |
Baa2 | 7.000% | 12/15/20 | 260 | 304,440 | |||||||||||
| ICICI Bank Ltd. (India), Jr. Sub. Notes, 144A(a) |
Ba3 | 7.250% | 08/29/49 | 2,380 | 2,112,250 | |||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(a) |
Ba1 | 7.900% | 04/29/49 | 6,130 | 6,720,258 | |||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 3.150% | 07/05/16 | 4,245 | 4,365,575 | |||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes(e) |
A2 | 4.250% | 10/15/20 | 600 | 630,308 | |||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes(d) |
A2 | 4.400% | 07/22/20 | 5,100 | 5,379,123 | |||||||||||
| KeyCorp, Sr. Unsec’d. Notes, MTN(d) |
Baa1 | 5.100% | 03/24/21 | 1,155 | 1,288,182 | |||||||||||
| Krung Thai Bank PCL (Thailand), Jr. Sub. Notes(a) |
B2 | 7.378% | 10/29/49 | 1,590 | 1,592,498 | |||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN |
A2 | 5.800% | 01/13/20 | 2,650 | 2,832,879 | |||||||||||
| Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN(d) |
Baa2 | 6.050% | 08/15/12 | 1,500 | 1,508,270 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
Baa1 | 5.500% | 07/28/21 | 1,650 | 1,625,674 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.625% | 09/23/19 | 2,635 | 2,607,860 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes(d) |
Baa1 | 5.750% | 01/25/21 | 1,920 | 1,893,200 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 5.450% | 01/09/17 | 4,035 | 4,074,910 | |||||||||||
| PNC Funding Corp., Gtd. Notes. |
A3 | 2.700% | 09/19/16 | 2,325 | 2,409,544 | |||||||||||
| Royal Bank of Scotland PLC (The) (United Kingdom), |
A3 | 3.400% | 08/23/13 | 1,720 | 1,737,811 | |||||||||||
| Royal Bank of Scotland PLC (The) (United Kingdom), |
Baa1 | 6.400% | 10/21/19 | 1,525 | 1,626,196 | |||||||||||
| Santander Holdings USA, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.625% | 04/19/16 | 525 | 507,336 | |||||||||||
| Shinhan Bank (South Korea), Sr. Unsec’d. Notes, 144A |
A1 | 4.125% | 10/04/16 | 2,200 | 2,315,861 | |||||||||||
| State Street Corp., Jr. Sub. Debs.(a) |
A3 | 4.956% | 03/15/18 | 3,025 | 3,239,630 | |||||||||||
| Turkiye Garanti Bankasi AS (Turkey), Sr. Unsec’d. Notes, 144A |
Baa2 | 6.250% | 04/20/21 | 1,225 | 1,249,500 | |||||||||||
| US Bancorp, Jr. Sub. Notes |
A2 | 3.442% | 02/01/16 | 4,120 | 4,271,818 | |||||||||||
| USB Capital XIII Trust, Ltd. Gtd. Notes |
A2 | 6.625% | 12/15/39 | 1,975 | 1,991,136 | |||||||||||
| Wells Fargo & Co., Sr. Unsec’d. Notes(a) |
A2 | 3.676% | 06/15/16 | 7,240 | 7,706,256 | |||||||||||
| 132,235,915 | ||||||||||||||||
| Brokerage — 0.1% |
||||||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(d)(f) |
NR | 6.875% | 05/02/18 | 2,740 | 637,050 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A33
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Building Materials & Construction — 0.7% |
||||||||||||||||
| Masco Corp., Sr. Unsec’d. Notes |
Ba2 | 7.125% | 08/15/13 | $ | 2,600 | $ | 2,729,516 | |||||||||
| Odebrecht Finance Ltd. (Cayman Islands), Gtd. Notes, 144A |
Baa3 | 5.125% | 06/26/22 | 2,500 | 2,475,750 | |||||||||||
| Toll Brothers Finance Corp., Gtd. Notes |
Ba1 | 5.150% | 05/15/15 | 4,695 | 4,962,470 | |||||||||||
| 10,167,736 | ||||||||||||||||
| Cable — 2.1% |
||||||||||||||||
| Cequel Communications Holdings I LLC and Cequel Capital Corp., |
B3 | 8.625% | 11/15/17 | 2,300 | 2,478,250 | |||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes, 144A(d) |
Ba3 | 6.750% | 11/15/21 | 2,225 | 2,369,625 | |||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes |
Ba3 | 8.500% | 04/15/14 | 3,025 | 3,327,500 | |||||||||||
| CSC Holdings LLC, Sr. Unsec’d. Notes(d) |
Ba3 | 8.625% | 02/15/19 | 1,610 | 1,859,550 | |||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.500% | 03/01/16 | 2,825 | 2,979,643 | |||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.550% | 03/15/15 | 275 | 289,575 | |||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 5.150% | 03/15/42 | 1,375 | 1,383,867 | |||||||||||
| Echostar DBS Corp., Gtd. Notes |
Ba2 | 6.625% | 10/01/14 | 1,400 | 1,501,500 | |||||||||||
| Echostar DBS Corp., Gtd. Notes |
Ba2 | 7.000% | 10/01/13 | 2,000 | 2,105,000 | |||||||||||
| Nara Cable Funding Ltd. (Ireland), Sr. Sec’d. Notes, Reg.-S |
B1 | 8.875% | 12/01/18 | EUR | 800 | 880,790 | ||||||||||
| TCI Communications, Inc., Sr. Unsec’d. Notes |
Baa1 | 7.875% | 02/15/26 | 750 | 1,011,013 | |||||||||||
| Time Warner Cable, Inc., Gtd. Notes |
Baa2 | 6.750% | 07/01/18 | 5,520 | 6,724,370 | |||||||||||
| Videotron Ltee (Canada), Gtd. Notes |
Ba1 | 9.125% | 04/15/18 | 1,996 | 2,185,620 | |||||||||||
| 29,096,303 | ||||||||||||||||
| Capital Goods — 1.0% |
||||||||||||||||
| Case New Holland, Inc., Gtd. Notes |
Ba2 | 7.750% | 09/01/13 | 1,000 | 1,062,500 | |||||||||||
| Clean Harbors, Inc., Sr. Sec’d. Notes |
Ba2 | 7.625% | 08/15/16 | 1,350 | 1,409,063 | |||||||||||
| Hutchison Whampoa International (11) Ltd. (Cayman Islands), |
A3 | 4.625% | 01/13/22 | 1,140 | 1,195,030 | |||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., |
Baa3 | 3.125% | 05/11/15 | 675 | 679,037 | |||||||||||
| Rockwell Automation, Inc., Sr. Unsec’d. Notes |
A3 | 5.200% | 01/15/98 | 1,100 | 1,146,268 | |||||||||||
| Textron, Inc., Sr. Unsec’d. Notes |
Baa3 | 7.250% | 10/01/19 | 2,350 | 2,765,919 | |||||||||||
| United Technologies Corp., Sr. Unsec’d. Notes(d) |
A2 | 4.500% | 06/01/42 | 2,425 | 2,663,632 | |||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes, 144A |
Baa2 | 4.875% | 10/01/21 | 1,960 | 2,167,817 | |||||||||||
| 13,089,266 | ||||||||||||||||
| Chemicals — 0.9% |
||||||||||||||||
| Agrium, Inc. (Canada), Sr. Unsec’d. Notes |
Baa2 | 6.125% | 01/15/41 | 450 | 551,234 | |||||||||||
| Ashland, Inc., Sr. Sec’d. Notes |
Baa3 | 9.125% | 06/01/17 | 750 | 825,000 | |||||||||||
| CF Industries, Inc., Gtd. Notes |
Baa3 | 6.875% | 05/01/18 | 785 | 931,206 | |||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa3 | 9.400% | 05/15/39 | 1,252 | 1,993,723 | |||||||||||
| PPG Industries, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.500% | 11/15/40 | 350 | 411,571 | |||||||||||
| Reliance Holdings USA, Inc., Gtd. Notes, 144A(d) |
Baa2 | 5.400% | 02/14/22 | 4,000 | 3,999,756 | |||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
Baa3 | 7.875% | 04/01/23 | 3,058 | 3,778,480 | |||||||||||
| 12,490,970 | ||||||||||||||||
| Consumer — 0.6% |
||||||||||||||||
| Sealy Mattress Co., Sr. Sec’d. Notes, 144A |
Ba3 | 10.875% | 04/15/16 | 5,231 | 5,675,687 | |||||||||||
| Service Corp. International, Sr. Unsec’d. Notes |
Ba3 | 7.625% | 10/01/18 | 2,000 | 2,270,000 | |||||||||||
| 7,945,687 | ||||||||||||||||
| Electric — 1.8% |
||||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes |
Ba3 | 9.750% | 04/15/16 | 775 | 918,375 | |||||||||||
| Dubai Electricity & Water Authority (United Arab Emirates), |
Ba1 | 8.500% | 04/22/15 | 1,275 | 1,416,844 | |||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes(d) |
Baa2 | 6.000% | 05/15/35 | 2,325 | 2,743,033 | |||||||||||
| Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes |
Baa2 | 8.350% | 08/01/13 | 625 | 664,024 | |||||||||||
| ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A |
Baa1 | 6.000% | 10/07/39 | 3,200 | 2,512,186 | |||||||||||
| Enersis SA (Chile), Sr. Unsec’d. Notes |
Baa2 | 7.375% | 01/15/14 | 3,700 | 3,959,855 | |||||||||||
| Exelon Corp., Sr. Unsec’d. Notes |
Baa2 | 4.900% | 06/15/15 | 500 | 543,440 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A34
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Electric (continued) |
||||||||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
Baa1 | 6.200% | 10/01/17 | $ | 1,930 | $ | 2,225,120 | |||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
Baa1 | 6.250% | 10/01/39 | 1,900 | 2,058,167 | |||||||||||
| Iberdrola International BV (Netherlands), Gtd. Notes |
Baa1 | 6.750% | 09/15/33 | 1,150 | 1,087,226 | |||||||||||
| North American Energy Alliance LLC/North American Energy Alliance Finance Corp., Sec’d. Notes |
Ba3 | 10.875% | 06/01/16 | 1,600 | 1,756,000 | |||||||||||
| Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(d) |
Baa1 | 6.800% | 09/01/18 | 260 | 310,768 | |||||||||||
| Star Energy Geothermal Wayang Windu Ltd. (Virgin Islands (US)), |
B2 | 11.500% | 02/12/15 | 800 | 866,000 | |||||||||||
| TransAlta Corp. (Canada), Sr. Unsec’d. Notes |
Baa2 | 6.650% | 05/15/18 | 1,953 | 2,175,480 | |||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.613% | 04/01/17 | 1,947 | 2,256,688 | |||||||||||
| 25,493,206 | ||||||||||||||||
| Energy – Integrated — 0.2% |
||||||||||||||||
| BP Capital Markets PLC (United Kingdom), Gtd. Notes |
A2 | 4.500% | 10/01/20 | 870 | 979,477 | |||||||||||
| LUKOIL International Finance BV (Netherlands), Gtd. Notes, 144A |
Baa2 | 7.250% | 11/05/19 | 1,300 | 1,462,500 | |||||||||||
| 2,441,977 | ||||||||||||||||
| Energy – Other — 1.2% |
||||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.375% | 09/15/17 | 2,515 | 2,921,510 | |||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.450% | 09/15/36 | 445 | 514,477 | |||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.950% | 06/15/19 | 250 | 306,387 | |||||||||||
| Dolphin Energy Ltd. (United Arab Emirates), Sr. Sec’d. Notes, 144A |
A1 | 5.888% | 06/15/19 | 2,637 | 2,887,863 | |||||||||||
| Forest Oil Corp., Gtd. Notes |
B1 | 8.500% | 02/15/14 | 1,000 | 1,040,000 | |||||||||||
| Nabors Industries, Inc., Gtd. Notes |
Baa2 | 4.625% | 09/15/21 | 1,650 | 1,714,427 | |||||||||||
| Newfield Exploration Co., Sr. Sub. Notes |
Ba2 | 6.625% | 04/15/16 | 1,000 | 1,025,000 | |||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
Baa3 | 6.875% | 05/01/18 | 1,750 | 2,059,461 | |||||||||||
| Precision Drilling Corp. (Canada), Gtd. Notes(d) |
Ba1 | 6.625% | 11/15/20 | 1,000 | 1,030,000 | |||||||||||
| Schahin II Finance Co. SPV Ltd. (Cayman Islands), |
Baa3 | 5.875% | 09/25/22 | 900 | 902,250 | |||||||||||
| Transocean, Inc. (Cayman Islands), Gtd. Notes |
Baa3 | 7.350% | 12/15/41 | 275 | 332,722 | |||||||||||
| Weatherford International Ltd. (Bermuda), Gtd. Notes(d) |
Baa2 | 5.125% | 09/15/20 | 1,165 | 1,250,685 | |||||||||||
| 15,984,782 | ||||||||||||||||
| Foods — 2.6% |
||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 6.875% | 11/15/19 | 2,200 | 2,838,251 | |||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 7.750% | 01/15/19 | 1,640 | 2,166,036 | |||||||||||
| ARAMARK Corp., Gtd. Notes |
B3 | 8.500% | 02/01/15 | 5,369 | 5,496,567 | |||||||||||
| ARAMARK Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A |
B3 | 8.625% | 05/01/16 | 1,185 | 1,213,156 | |||||||||||
| BRF - Brasil Foods SA (Brazil), Gtd. Notes, 144A(d) |
Baa3 | 5.875% | 06/06/22 | 900 | 927,000 | |||||||||||
| Corp. Pesquera Inca SAC (Peru), Gtd. Notes, 144A |
B2 | 9.000% | 02/10/17 | 1,000 | 1,065,000 | |||||||||||
| Dole Food Co., Inc., Sec’d. Notes |
B2 | 13.875% | 03/15/14 | 2,600 | 2,941,250 | |||||||||||
| Ingles Markets, Inc., Sr. Unsec’d. Notes |
B1 | 8.875% | 05/15/17 | 1,500 | 1,633,125 | |||||||||||
| JBS USA LLC/JBS USA Finance, Inc., Sr. Unsec’d. Notes, 144A |
B1 | 7.250% | 06/01/21 | 1,330 | 1,236,900 | |||||||||||
| Kraft Foods Group, Inc., Gtd. Notes, 144A |
Baa2 | 5.000% | 06/04/42 | 900 | 952,538 | |||||||||||
| Minerva Luxembourg SA (Luxembourg), Gtd. Notes, 144A |
B2 | 12.250% | 02/10/22 | 1,325 | 1,378,000 | |||||||||||
| Smithfield Foods, Inc., Sr. Sec’d. Notes |
Ba2 | 10.000% | 07/15/14 | 4,715 | 5,380,994 | |||||||||||
| Stater Bros. Holdings, Inc., Gtd. Notes |
B2 | 7.750% | 04/15/15 | 2,200 | 2,244,000 | |||||||||||
| SUPERVALU, Inc., Sr. Unsec’d. Notes(d) |
B2 | 7.500% | 11/15/14 | 2,415 | 2,451,225 | |||||||||||
| Tyson Foods, Inc., Gtd. Notes(a) |
Baa3 | 6.850% | 04/01/16 | 1,000 | 1,143,750 | |||||||||||
| Wendy’s Co. (The), Gtd. Notes |
B3 | 10.000% | 07/15/16 | 2,750 | 2,959,715 | |||||||||||
| 36,027,507 | ||||||||||||||||
| Gaming — 1.0% |
||||||||||||||||
| Ameristar Casinos, Inc., Gtd. Notes(d) |
B3 | 7.500% | 04/15/21 | 1,550 | 1,658,500 | |||||||||||
| Marina District Finance Co., Inc., Sr. Sec’d. Notes(d) |
B2 | 9.500% | 10/15/15 | 1,710 | 1,658,700 | |||||||||||
| MGM Resorts International, Sr. Sec’d. Notes(d) |
Ba2 | 10.375% | 05/15/14 | 1,115 | 1,257,162 | |||||||||||
| MGM Resorts International, Sr. Sec’d. Notes |
Ba2 | 13.000% | 11/15/13 | 3,875 | 4,417,500 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A35
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Gaming (continued) |
||||||||||||||||
| Pinnacle Entertainment, Inc., Gtd. Notes(d) |
B1 | 8.625% | 08/01/17 | $ | 2,500 | $ | 2,718,750 | |||||||||
| Yonkers Racing Corp., Sec’d. Notes, 144A |
B1 | 11.375% | 07/15/16 | 1,300 | 1,381,250 | |||||||||||
| 13,091,862 | ||||||||||||||||
| Healthcare & Pharmaceutical — 1.2% |
||||||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.150% | 11/15/41 | 2,515 | 2,625,446 | |||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.375% | 05/15/43 | 405 | 438,107 | |||||||||||
| Aristotle Holding, Inc., Gtd. Notes, 144A |
Baa3 | 2.750% | 11/21/14 | 3,750 | 3,830,228 | |||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes |
B3 | 8.000% | 11/15/19 | 2,500 | 2,662,500 | |||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes(d) |
Baa1 | 5.650% | 12/01/41 | 825 | 961,669 | |||||||||||
| HCA, Inc., Gtd. Notes |
B3 | 8.000% | 10/01/18 | 2,250 | 2,525,625 | |||||||||||
| HCA, Inc., Sr. Unsec’d. Notes |
B3 | 6.375% | 01/15/15 | 1,000 | 1,062,500 | |||||||||||
| HCA, Inc., Sr. Unsec’d. Notes, MTN |
B3 | 9.000% | 12/15/14 | 320 | 350,400 | |||||||||||
| Mylan, Inc., Gtd. Notes, 144A(d) |
Ba2 | 7.625% | 07/15/17 | 2,030 | 2,233,000 | |||||||||||
| 16,689,475 | ||||||||||||||||
| Healthcare Insurance — 0.9% |
||||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.750% | 12/15/37 | 1,900 | 2,485,759 | |||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 4.375% | 12/15/20 | 745 | 794,535 | |||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 5.375% | 03/15/17 | 2,125 | 2,387,830 | |||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 5.875% | 03/15/41 | 750 | 853,495 | |||||||||||
| Coventry Health Care, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.125% | 01/15/15 | 4,025 | 4,390,148 | |||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 06/15/37 | 760 | 1,007,626 | |||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.625% | 11/15/37 | 195 | 261,004 | |||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
Baa1 | 4.625% | 05/15/42 | 700 | 721,614 | |||||||||||
| 12,902,011 | ||||||||||||||||
| Insurance — 2.8% |
||||||||||||||||
| Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes |
Baa1 | 5.500% | 11/15/20 | 430 | 451,711 | |||||||||||
| Allied World Assurance Co. Holdings Ltd. (Bermuda), Gtd. Notes |
Baa1 | 7.500% | 08/01/16 | 2,475 | 2,853,603 | |||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes |
A3 | 5.200% | 01/15/42 | 225 | 252,699 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 4.250% | 05/15/13 | 1,820 | 1,856,335 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.050% | 10/01/15 | 315 | 334,335 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.400% | 12/15/20 | 950 | 1,074,903 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 8.250% | 08/15/18 | 2,005 | 2,420,410 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes, MTN |
Baa1 | 5.850% | 01/16/18 | 3,700 | 4,090,435 | |||||||||||
| Axis Capital Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes |
Baa1 | 5.750% | 12/01/14 | 3,350 | 3,549,673 | |||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(a)(d) |
A3 | 6.375% | 03/29/67 | 1,775 | 1,832,687 | |||||||||||
| Endurance Specialty Holdings Ltd. (Bermuda), Sr. Unsec’d. Notes |
Baa1 | 7.000% | 07/15/34 | 1,350 | 1,447,092 | |||||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes |
Baa3 | 5.125% | 04/15/22 | 500 | 514,878 | |||||||||||
| Liberty Mutual Group, Inc., Sr. Unsec’d. Notes, 144A |
Baa2 | 6.500% | 03/15/35 | 1,030 | 1,053,694 | |||||||||||
| Lincoln National Corp., Jr. Sub. Notes(a) |
Ba1 | 6.050% | 04/20/67 | 350 | 320,250 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 7.000% | 06/15/40 | 1,265 | 1,492,062 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 8.750% | 07/01/19 | 1,265 | 1,592,988 | |||||||||||
| Massachusetts Mutual Life Insurance Co., Sub. Notes, 144A |
A1 | 8.875% | 06/01/39 | 1,200 | 1,719,448 | |||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes(d) |
A3 | 7.717% | 02/15/19 | 2,000 | 2,533,002 | |||||||||||
| Northwestern Mutual Life Insurance, Sub. Notes, 144A(d) |
Aa2 | 6.063% | 03/30/40 | 500 | 608,809 | |||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
Baa1 | 6.375% | 04/30/20 | 850 | 956,399 | |||||||||||
| Progressive Corp. (The), Jr. Sub. Notes(a)(d) |
A2 | 6.700% | 06/15/37 | 1,015 | 1,055,600 | |||||||||||
| Teachers Insurance & Annuity Association of America, Sub. Notes, 144A |
Aa2 | 6.850% | 12/16/39 | 2,310 | 2,982,818 | |||||||||||
| Unum Group, Sr. Unsec’d. Notes |
Baa3 | 5.625% | 09/15/20 | 500 | 537,804 | |||||||||||
| Willis Group Holdings PLC (Ireland), Gtd. Notes |
Baa3 | 4.125% | 03/15/16 | 1,280 | 1,338,127 | |||||||||||
| XL Group PLC (Ireland), Jr. Sub. Notes, Ser. E(a)(d) |
Ba1 | 6.500% | 12/31/49 | 1,880 | 1,527,500 | |||||||||||
| XL Group PLC (Ireland), Sr. Unsec’d. Notes |
Baa2 | 5.250% | 09/15/14 | 140 | 147,472 | |||||||||||
| 38,544,734 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A36
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Lodging — 0.8% |
||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
B2 | 10.000% | 10/01/14 | $ | 3,938 | $ | 4,489,320 | |||||||||
| Host Hotels & Resorts LP, Gtd. Notes, Ser. O |
Ba1 | 6.375% | 03/15/15 | 4,715 | 4,785,725 | |||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
Baa3 | 5.750% | 02/01/18 | 2,150 | 2,390,499 | |||||||||||
| 11,665,544 | ||||||||||||||||
| Media & Entertainment — 2.6% |
||||||||||||||||
| British Sky Broadcasting Group PLC (United Kingdom), |
Baa1 | 6.100% | 02/15/18 | 210 | 244,312 | |||||||||||
| CBS Corp., Gtd. Notes |
Baa2 | 8.200% | 05/15/14 | 4,800 | 5,434,219 | |||||||||||
| Historic TW, Inc., Gtd. Notes |
Baa2 | 6.625% | 05/15/29 | 225 | 269,839 | |||||||||||
| Liberty Interactive LLC, Sr. Unsec’d. Notes |
B3 | 5.700% | 05/15/13 | 800 | 818,000 | |||||||||||
| NBCUniversal Media LLC, Sr. Unsec’d. Notes |
Baa2 | 4.375% | 04/01/21 | 1,350 | 1,485,170 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.150% | 03/01/37 | 460 | 521,201 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.150% | 02/15/41 | 1,430 | 1,672,180 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.900% | 08/15/39 | 65 | 77,667 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 7.625% | 11/30/28 | 1,415 | 1,669,684 | |||||||||||
| Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes |
B2 | 11.500% | 05/01/16 | 2,800 | 3,185,000 | |||||||||||
| Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes |
B2 | 11.625% | 02/01/14 | 1,400 | 1,603,000 | |||||||||||
| RR Donnelley & Sons Co., Sr. Unsec’d. Notes |
Ba2 | 4.950% | 04/01/14 | 7,000 | 7,087,500 | |||||||||||
| RR Donnelley & Sons Co., Sr. Unsec’d. Notes |
Ba2 | 8.600% | 08/15/16 | 4,750 | 5,035,000 | |||||||||||
| Time Warner Cos., Inc., Gtd. Notes |
Baa2 | 6.950% | 01/15/28 | 2,153 | 2,683,454 | |||||||||||
| Time Warner Cos., Inc., Gtd. Notes(d) |
Baa2 | 7.250% | 10/15/17 | 1,440 | 1,794,642 | |||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes(d) |
Baa1 | 6.750% | 10/05/37 | 1,820 | 2,311,737 | |||||||||||
| 35,892,605 | ||||||||||||||||
| Metals — 2.4% |
||||||||||||||||
| Adaro Indonesia PT (Indonesia), Gtd. Notes, Reg.-S(d) |
Ba1 | 7.625% | 10/22/19 | 745 | 789,700 | |||||||||||
| ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d) |
Baa3 | 6.125% | 06/01/18 | 1,585 | 1,607,106 | |||||||||||
| ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(d) |
Baa3 | 6.250% | 02/25/22 | 850 | 832,497 | |||||||||||
| Berau Capital Resources Pte Ltd. (Singapore), Gtd. Notes, Reg.-S |
B1 | 12.500% | 07/08/15 | 1,600 | 1,760,000 | |||||||||||
| Bumi Investment Pte Ltd. (Singapore), Sr. Sec’d. Notes, MTN, Reg.-S |
Ba3 | 10.750% | 10/06/17 | 2,260 | 2,231,750 | |||||||||||
| Century Aluminum Co., Sec’d. Notes |
B(c) | 8.000% | 05/15/14 | 2,100 | 2,079,000 | |||||||||||
| Indo Integrated Energy II BV (Netherlands), Sr. Sec’d. Notes, Reg.-S |
B1 | 9.750% | 11/05/16 | 2,025 | 2,181,938 | |||||||||||
| Metals USA, Inc., Sr. Sec’d. Notes(d) |
B2 | 11.125% | 12/01/15 | 7,450 | 7,757,312 | |||||||||||
| Newmont Mining Corp., Gtd. Notes |
Baa1 | 6.250% | 10/01/39 | 2,025 | 2,304,608 | |||||||||||
| Novelis, Inc. (Canada), Gtd. Notes(d) |
B2 | 8.375% | 12/15/17 | 3,525 | 3,771,750 | |||||||||||
| Peabody Energy Corp., Gtd. Notes, 144A(d) |
Ba1 | 6.000% | 11/15/18 | 4,075 | 4,054,625 | |||||||||||
| Raspadskaya OJSC Via Raspadskaya Securities Ltd. (Ireland), |
B1 | 7.750% | 04/27/17 | 1,000 | 985,000 | |||||||||||
| Teck Resources Ltd. (Canada), Sr. Sec’d. Notes |
Baa2 | 10.250% | 05/15/16 | 287 | 320,364 | |||||||||||
| Xstrata Canada Financial Corp. (Canada), Gtd. Notes, 144A |
Baa2 | 2.850% | 11/10/14 | 1,825 | 1,859,695 | |||||||||||
| 32,535,345 | ||||||||||||||||
| Non-Captive Finance — 2.5% |
||||||||||||||||
| CIT Group, Inc., Gtd. Notes, 144A |
B1 | 7.000% | 05/02/17 | 374 | 375,015 | |||||||||||
| GATX Corp., Sr. Unsec’d. Notes |
Baa2 | 4.750% | 10/01/12 | 1,500 | 1,512,478 | |||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(d) |
A1 | 5.875% | 01/14/38 | 675 | 774,902 | |||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(h) |
A1 | 6.000% | 08/07/19 | 6,315 | 7,389,030 | |||||||||||
| General Electric Capital Corp., Sub. Notes(d) |
A2 | 5.300% | 02/11/21 | 1,185 | 1,330,023 | |||||||||||
| HSBC Finance Corp., Sr. Sub. Notes |
Baa2 | 6.676% | 01/15/21 | 295 | 319,401 | |||||||||||
| International Lease Finance Corp., Sr. Sec’d. Notes, 144A |
Ba2 | 6.500% | 09/01/14 | 2,875 | 3,033,125 | |||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
Ba3 | 5.750% | 05/15/16 | 1,125 | 1,141,405 | |||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes(d) |
Ba3 | 6.250% | 05/15/19 | 1,400 | 1,426,250 | |||||||||||
| Nelnet, Inc., Jr. Sub. Notes(a) |
Ba2 | 3.833% | 09/29/36 | 6,100 | 4,943,361 | |||||||||||
| Preferred Term Securities X Ltd./Preferred Term Securities X, Inc. |
Baa1 | 1.194% | 07/03/33 | 2,339 | 1,520,446 | |||||||||||
| SLM Corp., Sr. Notes, MTN |
Ba1 | 6.250% | 01/25/16 | 1,385 | 1,454,250 | |||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN(d) |
Ba1 | 5.050% | 11/14/14 | 4,150 | 4,274,309 | |||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.450% | 06/15/18 | 3,200 | 3,584,000 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A37
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Non-Captive Finance (continued) |
||||||||||||||||
| SLM Corp., Unsec’d. Notes, MTN |
Ba1 | 6.000% | 01/25/17 | $ | 1,075 | $ | 1,110,503 | |||||||||
| Springleaf Finance Corp., Sr. Unsec’d. Notes, MTN(d) |
Caa1 | 6.900% | 12/15/17 | 1,000 | 798,120 | |||||||||||
| 34,986,618 | ||||||||||||||||
| Packaging — 0.8% |
||||||||||||||||
| Greif Luxembourg Finance SCA (Luxembourg), |
Ba2 | 7.375% | 07/15/21 | EUR | 1,470 | 1,925,399 | ||||||||||
| Greif, Inc., Sr. Unsec’d. Notes |
Ba2 | 7.750% | 08/01/19 | 1,815 | 2,069,100 | |||||||||||
| Sealed Air Corp., Sr. Unsec’d. Notes, 144A |
B1 | 5.625% | 07/15/13 | 6,600 | 6,814,500 | |||||||||||
| 10,808,999 | ||||||||||||||||
| Paper — 0.8% |
||||||||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 6.000% | 11/15/41 | 675 | 761,009 | |||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 7.300% | 11/15/39 | 1,000 | 1,248,517 | |||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 7.950% | 06/15/18 | 2,205 | 2,778,584 | |||||||||||
| MeadWestvaco Corp., Sr. Unsec’d. Notes(d) |
Ba1 | 7.375% | 09/01/19 | 4,400 | 5,237,390 | |||||||||||
| Rock-Tenn Co., Unsec’d. Notes, 144A(d) |
Ba1 | 4.450% | 03/01/19 | 1,165 | 1,196,678 | |||||||||||
| 11,222,178 | ||||||||||||||||
| Pipelines & Other — 0.4% |
||||||||||||||||
| Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes |
Baa2 | 7.300% | 08/15/33 | 1,550 | 1,859,228 | |||||||||||
| NiSource Finance Corp., Gtd. Notes |
Baa3 | 5.450% | 09/15/20 | 1,345 | 1,508,988 | |||||||||||
| Sempra Energy, Sr. Unsec’d. Notes |
Baa1 | 6.500% | 06/01/16 | 2,275 | 2,676,374 | |||||||||||
| 6,044,590 | ||||||||||||||||
| Railroads — 0.1% |
||||||||||||||||
| Union Pacific Corp., Sr. Unsec’d. Notes |
Baa2 | 4.163% | 07/15/22 | 1,268 | 1,412,666 | |||||||||||
| Real Estate Investment Trusts — 0.7% |
||||||||||||||||
| Hospitality Properties Trust, Sr. Unsec’d. Notes |
Baa2 | 7.875% | 08/15/14 | 2,900 | 3,136,553 | |||||||||||
| ProLogis LP, Gtd. Notes |
Baa2 | 6.875% | 03/15/20 | 8 | 9,568 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 2.800% | 01/30/17 | 45 | 46,323 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 3.375% | 03/15/22 | 325 | 326,436 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 6.125% | 05/30/18 | 40 | 47,330 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 10.350% | 04/01/19 | 1,685 | 2,363,728 | |||||||||||
| WEA Finance LLC/WT Finance Aust Pty Ltd., Gtd. Notes, 144A |
A2 | 5.750% | 09/02/15 | 4,000 | 4,349,844 | |||||||||||
| 10,279,782 | ||||||||||||||||
| Retailers — 0.5% |
||||||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 09/15/39 | 2,000 | 2,485,922 | |||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes(d) |
Baa3 | 3.875% | 01/15/22 | 600 | 630,824 | |||||||||||
| Susser Holdings LLC/Susser Finance Corp., Gtd. Notes |
B2 | 8.500% | 05/15/16 | 2,565 | 2,789,437 | |||||||||||
| Wal-Mart Stores, Inc., Sr. Unsec’d. Notes |
Aa2 | 5.625% | 04/15/41 | 1,190 | 1,548,752 | |||||||||||
| 7,454,935 | ||||||||||||||||
| Technology — 1.7% |
||||||||||||||||
| Advanced Micro Devices, Inc., Sr. Unsec’d. Notes |
Ba3 | 8.125% | 12/15/17 | 1,530 | 1,660,050 | |||||||||||
| Arrow Electronics, Inc., Sr. Unsec’d. Notes |
Baa3 | 3.375% | 11/01/15 | 600 | 619,453 | |||||||||||
| Avaya, Inc., Gtd. Notes, PIK |
Caa2 | 10.125% | 11/01/15 | 2,500 | 2,075,000 | |||||||||||
| Fiserv, Inc., Gtd. Notes |
Baa2 | 3.125% | 10/01/15 | 195 | 202,129 | |||||||||||
| Fiserv, Inc., Gtd. Notes |
Baa2 | 3.125% | 06/15/16 | 545 | 561,837 | |||||||||||
| NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A |
BB(c) | 10.000% | 07/15/13 | 1,789 | 1,923,175 | |||||||||||
| Seagate HDD Cayman (Cayman Islands), Gtd. Notes(d) |
Ba1 | 6.875% | 05/01/20 | 2,875 | 3,090,625 | |||||||||||
| Seagate HDD Cayman (Cayman Islands), Gtd. Notes |
Ba1 | 7.750% | 12/15/18 | 1,700 | 1,880,625 | |||||||||||
| Seagate Technology International (Cayman Islands), |
Baa3 | 10.000% | 05/01/14 | 2,794 | 3,101,340 | |||||||||||
| SunGard Data Systems, Inc., Gtd. Notes(d) |
Caa1 | 7.625% | 11/15/20 | 1,700 | 1,810,500 | |||||||||||
| SunGard Data Systems, Inc., Gtd. Notes |
Caa1 | 10.250% | 08/15/15 | 2,610 | 2,681,775 | |||||||||||
| TransUnion LLC/TransUnion Financing Corp., Gtd. Notes |
B3 | 11.375% | 06/15/18 | 1,850 | 2,176,063 | |||||||||||
| Xerox Corp., Sr. Unsec’d. Notes |
Baa2 | 4.250% | 02/15/15 | 2,000 | 2,120,508 | |||||||||||
| 23,903,080 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A38
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Telecommunications — 1.9% |
||||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
A2 | 6.125% | 03/30/40 | $ | 795 | $ | 978,503 | |||||||||
| AT&T Corp., Gtd. Notes(a) |
A2 | 8.000% | 11/15/31 | 103 | 152,605 | |||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 5.350% | 09/01/40 | 483 | 554,321 | |||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 6.550% | 02/15/39 | 1,990 | 2,561,170 | |||||||||||
| British Telecommunications PLC (United Kingdom), |
Baa2 | 9.625% | 12/15/30 | 328 | 493,290 | |||||||||||
| CC Holdings GS V LLC/Crown Castle GS III Corp., |
Baa3 | 7.750% | 05/01/17 | 3,000 | 3,251,250 | |||||||||||
| Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec’d. Notes |
A2 | 8.500% | 11/15/18 | 2,960 | 4,050,420 | |||||||||||
| Digicel Ltd. (Bermuda), Sr. Unsec’d. Notes, 144A(d) |
B1 | 12.000% | 04/01/14 | 1,910 | 2,120,100 | |||||||||||
| Eileme 2 AB (Sweden), Gtd. Notes, 144A |
B3 | 11.625% | 01/31/20 | 1,700 | 1,746,750 | |||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
||||||||||||||||
| (original cost $1,303,800; purchased 04/22/10)(b)(g) |
Baa3 | 7.995% | 06/01/36 | 1,250 | 1,305,744 | |||||||||||
| MetroPCS Wireless, Inc., Gtd. Notes(d) |
B2 | 7.875% | 09/01/18 | 775 | 804,062 | |||||||||||
| Nextel Communications, Inc., Gtd. Notes, Ser. E |
B+(c) | 6.875% | 10/31/13 | 1,205 | 1,209,519 | |||||||||||
| Qwest Corp., Sr. Unsec’d. Notes(a) |
Baa3 | 3.718% | 06/15/13 | 3,750 | 3,753,521 | |||||||||||
| Telefonica Emisiones SAU (Spain), Gtd. Notes |
Baa2 | 5.134% | 04/27/20 | 1,090 | 938,909 | |||||||||||
| Telefonica Emisiones SAU (Spain), Gtd. Notes |
Baa2 | 7.045% | 06/20/36 | 5 | 4,371 | |||||||||||
| Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Sr. Unsec’d. Notes, 144A(b) |
Ba3 | 9.125% | 04/30/18 | 200 | 212,500 | |||||||||||
| Vimpel Communications Via Vip Finance Ireland Ltd. OJSC (Ireland), Unsec’d. Notes, 144A |
Ba3 | 7.748% | 02/02/21 | 1,300 | 1,255,462 | |||||||||||
| Wind Acquisition Finance SA (Luxembourg), Gtd. Notes, 144A |
B3 | 11.750% | 07/15/17 | EUR | 450 | 455,581 | ||||||||||
| 25,848,078 | ||||||||||||||||
| Tobacco — 0.4% |
||||||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.950% | 11/10/38 | 2,715 | 4,317,035 | |||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
Baa2 | 3.500% | 08/04/16 | 515 | 536,868 | |||||||||||
| Lorillard Tobacco Co., Gtd. Notes(d) |
Baa2 | 8.125% | 06/23/19 | 895 | 1,110,759 | |||||||||||
| 5,964,662 | ||||||||||||||||
| TOTAL CORPORATE BONDS |
|
603,896,603 | ||||||||||||||
| FOREIGN AGENCIES — 2.7% | ||||||||||||||||
| Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes |
A1 | 4.125% | 09/09/15 | 2,000 | 2,119,832 | |||||||||||
| GAZ Capital SA For Gazprom (Luxembourg), |
Baa1 | 4.950% | 05/23/16 | 1,950 | 2,019,206 | |||||||||||
| GAZ Capital SA For Gazprom (Luxembourg), |
Baa1 | 9.250% | 04/23/19 | 2,845 | 3,548,540 | |||||||||||
| GAZ Capital SA For Gazprom (Luxembourg), |
Baa1 | 9.250% | 04/23/19 | 2,055 | 2,563,181 | |||||||||||
| Gazprom International SA For Gazprom (Luxembourg), |
BBB+(c) | 7.201% | 02/01/20 | 566 | 617,918 | |||||||||||
| IPIC GMTN Ltd. (Cayman Islands), Gtd. Notes, 144A, MTN |
Aa3 | 5.500% | 03/01/22 | 2,375 | 2,588,750 | |||||||||||
| Kazmunaygas National Co. (Kazakhstan), Gtd. Notes, 144A(d) |
Baa3 | 8.375% | 07/02/13 | 1,200 | 1,261,056 | |||||||||||
| Korea Development Bank (The) (South Korea), Sr. Unsec’d. Notes |
A1 | 3.875% | 05/04/17 | 2,600 | 2,764,213 | |||||||||||
| Korea Expressway Corp. (South Korea), Sr. Unsec’d. Notes, |
A1 | 4.500% | 03/23/15 | 1,785 | 1,884,744 | |||||||||||
| Korea Finance Corp. (South Korea), Sr. Unsec’d. Notes |
A1 | 4.625% | 11/16/21 | 600 | 650,482 | |||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
A1 | 4.750% | 07/13/21 | 1,650 | 1,793,733 | |||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
A1 | 6.250% | 06/17/14 | 2,730 | 2,936,448 | |||||||||||
| National Agricultural Cooperative Federation (South Korea), |
A1 | 3.500% | 02/08/17 | 1,575 | 1,613,345 | |||||||||||
| Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(d) |
A3 | 5.375% | 01/27/21 | 4,225 | 4,553,582 | |||||||||||
| Petroleos de Venezuela SA (Venezuela), Sr. Unsec’d. Notes, |
NR | 4.900% | 10/28/14 | 3,435 | 2,954,100 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A39
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| FOREIGN AGENCIES (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Petroleos Mexicanos (Mexico), Gtd. Notes, 144A(d) |
Baa1 | 4.875% | 01/24/22 | $ | 2,100 | $ | 2,268,000 | |||||||||
| Sinopec Group Overseas Development 2012 Ltd. |
Aa3 | 4.875% | 05/17/42 | 1,095 | 1,160,731 | |||||||||||
| TOTAL FOREIGN AGENCIES |
|
37,297,861 | ||||||||||||||
| MORTGAGE-BACKED SECURITIES — 6.4% | ||||||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/19 | 316 | 341,013 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 10/01/33-06/01/34 | 2,399 | 2,665,211 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | TBA 30 YR | 13,000 | 14,127,344 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 11/01/33-06/01/34 | 1,722 | 1,927,305 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | TBA 30 YR | 1,500 | 1,643,438 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 07/01/32-09/01/32 | 1,409 | 1,609,035 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 10/01/32 | 167 | 196,574 | ||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 8,000 | 8,386,250 | ||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 4,000 | 4,204,375 | ||||||||||||
| Federal National Mortgage Association |
4.000% | 05/01/19 | 234 | 252,765 | ||||||||||||
| Federal National Mortgage Association |
4.500% | 12/01/18-02/01/35 | 1,835 | 1,992,685 | ||||||||||||
| Federal National Mortgage Association |
5.500% | 03/01/17-09/01/34 | 6,347 | 6,963,968 | ||||||||||||
| Federal National Mortgage Association |
6.000% | 09/01/17-11/01/36 | 4,722 | 5,272,067 | ||||||||||||
| Federal National Mortgage Association |
6.500% | 12/01/14-11/01/33 | 3,146 | 3,577,483 | ||||||||||||
| Federal National Mortgage Association |
7.000% | 05/01/32-06/01/32 | 238 | 281,813 | ||||||||||||
| Government National Mortgage Association |
4.500% | TBA 30 YR | 20,000 | 21,984,374 | ||||||||||||
| Government National Mortgage Association |
5.500% | 01/15/33-07/15/35 | 4,787 | 5,368,286 | ||||||||||||
| Government National Mortgage Association |
6.000% | 12/15/32-11/15/34 | 3,784 | 4,331,870 | ||||||||||||
| Government National Mortgage Association |
6.500% | 09/15/32-11/15/33 | 3,007 | 3,499,332 | ||||||||||||
| Government National Mortgage Association |
7.500% | 10/15/25-02/15/26 | 74 | 86,950 | ||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
|
88,712,138 | ||||||||||||||
| MUNICIPAL BONDS — 1.8% | ||||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
A1 | 6.907% | 10/01/50 | 1,125 | 1,585,755 | |||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
A1 | 6.395% | 01/01/40 | 1,380 | 1,766,924 | |||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
Aa2 | 6.731% | 07/01/43 | 1,375 | 1,553,846 | |||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, |
A3 | 7.102% | 01/01/41 | 1,175 | 1,658,477 | |||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, |
A3 | 7.414% | 01/01/40 | 2,050 | 2,999,929 | |||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
Aa1 | 4.910% | 06/01/40 | 695 | 838,413 | |||||||||||
| Ohio State Water Development Authority, |
Aaa | 4.879% | 12/01/34 | 450 | 510,386 | |||||||||||
| Oregon State Department of Transportation, Revenue Bonds, |
Aa2 | 5.834% | 11/15/34 | 615 | 792,532 | |||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, |
Aa3 | 5.511% | 12/01/45 | 800 | 954,808 | |||||||||||
| Regional Transportation District, Revenue Bonds, |
Aa2 | 5.844% | 11/01/50 | 1,000 | 1,340,380 | |||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.300% | 10/01/39 | 2,280 | 2,848,267 | |||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.625% | 03/01/40 | 725 | 936,389 | |||||||||||
| State of Illinois, General Obligation Bonds |
A2 | 4.421% | 01/01/15 | 5,030 | 5,293,321 | |||||||||||
| Texas State Transportation Commission, Revenue Bonds, |
Aaa | 5.028% | 04/01/26 | 425 | 517,242 | |||||||||||
| University of California, Revenue Bonds, BABs |
Aa1 | 5.770% | 05/15/43 | 1,400 | 1,708,504 | |||||||||||
| TOTAL MUNICIPAL BONDS |
|
25,305,173 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A40
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| SOVEREIGNS — 2.0% | Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Belgium Government International Bond (Belgium), |
NR | 2.750% | 03/05/15 | $ | 1,945 | $ | 1,973,592 | |||||||||
| Indonesia Government International Bond (Indonesia), |
Baa3 | 4.875% | 05/05/21 | 1,600 | 1,744,000 | |||||||||||
| Indonesia Government International Bond (Indonesia), |
Baa3 | 7.250% | 04/20/15 | 1,600 | 1,794,000 | |||||||||||
| Indonesia Government International Bond (Indonesia), |
Baa3 | 10.375% | 05/04/14 | 1,400 | 1,597,750 | |||||||||||
| Indonesia Government International Bond (Indonesia), |
Baa3 | 3.750% | 04/25/22 | 2,000 | 1,995,000 | |||||||||||
| Ireland Government Bond (Ireland), Bonds |
Ba1 | 4.000% | 01/15/14 | EUR | 800 | 991,732 | ||||||||||
| Ireland Government Bond (Ireland), Bonds |
Ba1 | 4.500% | 04/18/20 | EUR | 1,850 | 2,082,432 | ||||||||||
| Italy Buoni Poliennali del Tesoro (Italy), Bonds |
A3 | 4.750% | 05/01/17 | EUR | 1,415 | 1,769,520 | ||||||||||
| Jamaica Government International Bond (Jamaica), |
B3 | 11.000% | 07/27/12 | EUR | 620 | 782,875 | ||||||||||
| Peru Enhanced Pass-Through Finance Ltd. (Cayman Islands), |
Baa3 | 2.270% | 05/31/18 | 1,186 | 1,043,503 | |||||||||||
| Peruvian Government International Bond (Peru), |
Baa3 | 7.500% | 10/14/14 | EUR | 1,020 | 1,455,068 | ||||||||||
| Philippine Government International Bond (Philippines), |
Ba2 | 6.250% | 03/15/16 | EUR | 200 | 274,930 | ||||||||||
| Qatar Government International Bond (Qatar), |
Aa2 | 5.250% | 01/20/20 | 2,110 | 2,432,830 | |||||||||||
| Qatar Government International Bond (Qatar), |
Aa2 | 6.400% | 01/20/40 | 1,090 | 1,387,025 | |||||||||||
| Russian Foreign Bond — Eurobond (Russia), |
Baa1 | 7.500% | 03/31/30 | 982 | 1,179,100 | |||||||||||
| South Africa Government Bond (South Africa), Bonds, |
A3 | 6.500% | 02/28/41 | ZAR | 18,400 | 1,746,379 | ||||||||||
| Spain Government Bond (Spain), Bonds |
Baa3 | 4.250% | 10/31/16 | EUR | 3,000 | 3,605,581 | ||||||||||
| TOTAL SOVEREIGNS |
|
27,855,317 | ||||||||||||||
| U.S. GOVERNMENT TREASURY SECURITIES — 2.7% | ||||||||||||||||
| U.S. Treasury Bonds(d) |
3.000% | 05/15/42 | 14,365 | 15,045,097 | ||||||||||||
| U.S. Treasury Bonds |
3.125% | 02/15/42 | 3,175 | 3,410,147 | ||||||||||||
| U.S. Treasury Notes |
0.250% | 05/31/14 | 14,271 | 14,253,161 | ||||||||||||
| U.S. Treasury Notes |
0.625% | 05/31/17 | 2,870 | 2,856,772 | ||||||||||||
| U.S. Treasury Notes |
0.375% | 06/15/15 | 615 | 614,471 | ||||||||||||
| U.S. Treasury Notes |
1.750% | 05/15/22 | 1,030 | 1,038,369 | ||||||||||||
| TOTAL U.S. GOVERNMENT TREASURY SECURITIES |
|
37,218,017 | ||||||||||||||
| Shares |
||||||||||||||||
| PREFERRED STOCK — 0.1% | ||||||||||||||||
| Banking — 0.1% |
||||||||||||||||
| Citigroup Capital XIII, 7.875% (Capital Security, fixed to floating preferred)(a) |
45,000 | 1,228,050 | ||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
1,207,473,827 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A41
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| SHORT-TERM INVESTMENTS — 23.6% | Shares |
Value (Note 2) |
||||||||||||
| AFFILIATED MUTUAL FUNDS |
||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund(j) |
16,880,300 | $ | 151,753,893 | |||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund (Note 4)(j)(k) |
175,686,628 | 175,686,628 | ||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
327,440,521 | ||||||||||||
| TOTAL INVESTMENTS — 110.7% |
|
1,534,914,348 | ||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(l) — (10.7)% |
|
(148,774,885 | ) | |||||||||||
| NET ASSETS — 100.0% |
|
$ | 1,386,139,463 | |||||||||||
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 | |
| BTP | Buoni del Tesoro Poliennali — Long Term Treasury Bonds | |
| CDO | Collateralized Debt Obligation | |
| CLO | Collateralized Loan Obligation | |
| FHLMC | Federal Home Loan Mortgage Association | |
| 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 | |
| KRW | South Korean Won | |
| MXN | Mexican Peso | |
| MYR | Malaysian Ringgit | |
| NOK | Norwegian Krone | |
| NZD | New Zealand Dollar | |
| PHP | Philippine Peso | |
| PLN | Polish Zloty | |
| RUB | Russian Rouble | |
| SEK | Swedish Krona | |
| SGD | Singapore Dollar | |
| THB | Thailand Baht | |
| TRY | Turkish Lira | |
| ZAR | South African Rand | |
| BBR | New Zealand Bank Bill Rate | |
| JIBAR | Johannesburg Interbank Agreed Rate | |
| LIBOR | London Interbank Offered Rate | |
| NIBOR | Norway Interbank Offered Rate |
SEE NOTES TO FINANCIAL STATEMENTS.
A42
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| † | The ratings reflected are as of June 30, 2012. Ratings of certain bonds may have changed subsequent to that date. |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at June 30, 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 $99,893,476; cash collateral of $101,412,837 (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 issuer in default on interest payments and/or principal repayment; non-income producing security. |
| (g) | Indicates a restricted security; the aggregate original cost of such securities is $5,498,549. The aggregate value of $5,679,894 is approximately 0.4% of net assets. |
| (h) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (i) | Represents zero coupon bond. Rate shown reflects the effective yield on June 30, 2012. |
| (j) | 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. |
| (k) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (l) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Open futures contracts outstanding at June 30, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 393 | 2 Year U.S. Treasury Notes | Sep. 2012 | $ | 86,545,981 | $ | 86,533,687 | $ | (12,294 | ) | |||||||||
| 1,400 | 5 Year U.S. Treasury Notes | Sep. 2012 | 173,446,824 | 173,556,250 | 109,426 | |||||||||||||
| 23 | 10 Year Euro-BTP | Sep. 2012 | 2,863,599 | 2,924,045 | 60,446 | |||||||||||||
| 333 | U.S. Long Bond | Sep. 2012 | 49,284,294 | 49,273,594 | (10,700 | ) | ||||||||||||
| 227 | U.S. Ultra Bond | Sep. 2012 | 37,395,398 | 37,873,531 | 478,133 | |||||||||||||
| 625,011 | ||||||||||||||||||
| Short Position: | ||||||||||||||||||
| 160 | 10 Year U.S. Treasury Notes | Sep. 2012 | 21,364,456 | 21,340,000 | 24,456 | |||||||||||||
| $ | 649,467 | |||||||||||||||||
Forward currency contracts outstanding at June 30, 2012:
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Payable at Settlement Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Australian Dollar expiring 07/24/12 |
UBS AG | AUD | 1,282 | $ | 1,267,100 | $ | 1,309,018 | $ | 41,918 | |||||||||
| Australian Dollar expiring 07/24/12 |
UBS AG | AUD | 4,034 | 3,957,660 | 4,119,177 | 161,517 | ||||||||||||
| Australian Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | AUD | 2,106 | 2,065,300 | 2,150,681 | 85,381 | ||||||||||||
| Australian Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | AUD | 2,146 | 2,073,800 | 2,190,885 | 117,085 | ||||||||||||
| Australian Dollar expiring 07/24/12 |
UBS AG | AUD | 2,139 | 2,074,100 | 2,183,897 | 109,797 | ||||||||||||
| Australian Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | AUD | 2,814 | 2,762,700 | 2,873,645 | 110,945 | ||||||||||||
| Australian Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | AUD | 2,047 | 2,038,100 | 2,090,117 | 52,017 | ||||||||||||
| Australian Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | AUD | 1,365 | 1,372,200 | 1,393,906 | 21,706 | ||||||||||||
| Australian Dollar expiring 07/24/12 |
Morgan Stanley | AUD | 2,037 | 2,081,100 | 2,080,235 | (865 | ) | |||||||||||
| Brazilian Real expiring 07/11/12 |
UBS AG | BRL | 6,811 | 3,642,480 | 3,382,703 | (259,777 | ) | |||||||||||
| Brazilian Real expiring 08/14/12 |
Citibank NA | BRL | 8,405 | 4,225,700 | 4,146,100 | (79,600 | ) | |||||||||||
| Brazilian Real expiring 08/14/12 |
Citibank NA | BRL | 2,780 | 1,408,400 | 1,371,449 | (36,951 | ) | |||||||||||
| Canadian Dollar expiring 07/23/12 |
UBS AG | CAD | 4,229 | 4,225,100 | 4,151,908 | (73,192 | ) | |||||||||||
| Canadian Dollar expiring 07/23/12 |
UBS AG | CAD | 6,704 | 6,558,883 | 6,581,182 | 22,299 | ||||||||||||
| Canadian Dollar expiring 07/23/12 |
JPMorgan Chase & Co. | CAD | 2,878 | 2,770,900 | 2,824,924 | 54,024 | ||||||||||||
| Canadian Dollar expiring 07/23/12 |
JPMorgan Chase & Co. | CAD | 1,425 | 1,381,400 | 1,398,557 | 17,157 | ||||||||||||
| Canadian Dollar expiring 07/23/12 |
JPMorgan Chase & Co. | CAD | 2,132 | 2,072,000 | 2,092,640 | 20,640 | ||||||||||||
| Canadian Dollar expiring 07/23/12 |
JPMorgan Chase & Co. | CAD | 2,083 | 2,031,900 | 2,044,932 | 13,032 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A43
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Payable at Settlement Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Canadian Dollar expiring 07/23/12 |
Morgan Stanley | CAD | 2,120 | $ | 2,081,100 | $ | 2,081,484 | $ | 384 | |||||||||
| Chilean Peso expiring 07/12/12 |
JPMorgan Chase & Co. | CLP | 1,863,014 | 3,768,994 | 3,713,642 | (55,352 | ) | |||||||||||
| Chilean Peso expiring 08/10/12 |
Citibank NA | CLP | 1,050,040 | 2,150,400 | 2,084,242 | (66,158 | ) | |||||||||||
| Chilean Peso expiring 09/06/12 |
Citibank NA | CLP | 721,499 | 1,385,500 | 1,426,964 | 41,464 | ||||||||||||
| Chilean Peso expiring 09/06/12 |
UBS AG | CLP | 1,072,310 | 2,074,100 | 2,120,788 | 46,688 | ||||||||||||
| Chilean Peso expiring 09/06/12 |
Citibank NA | CLP | 1,064,967 | 2,072,000 | 2,106,265 | 34,265 | ||||||||||||
| Chilean Peso expiring 09/06/12 |
UBS AG | CLP | 1,030,681 | 2,031,900 | 2,038,457 | 6,557 | ||||||||||||
| Chilean Peso expiring 09/06/12 |
Citibank NA | CLP | 1,051,788 | 2,081,100 | 2,080,201 | (899 | ) | |||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
UBS AG | CNY | 98,787 | 15,496,000 | 15,519,542 | 23,542 | ||||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
UBS AG | CNY | 100,235 | 15,790,000 | 15,747,012 | (42,988 | ) | |||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
UBS AG | CNY | 24,658 | 3,895,900 | 3,873,848 | (22,052 | ) | |||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
Morgan Stanley | CNY | 49,235 | 7,782,400 | 7,734,926 | (47,474 | ) | |||||||||||
| Chinese Yuan Renminbi expiring 10/29/12 |
Morgan Stanley | CNY | 14,861 | 2,351,100 | 2,330,212 | (20,888 | ) | |||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
Morgan Stanley | CNY | 5,019 | 791,966 | 788,566 | (3,400 | ) | |||||||||||
| Chinese Yuan Renminbi expiring 03/20/13 |
UBS AG | CNY | 45,787 | 7,232,700 | 7,164,719 | (67,981 | ) | |||||||||||
| Colombian Peso expiring 08/08/12 |
Citibank NA | COP | 5,461,231 | 3,049,263 | 3,038,716 | (10,547 | ) | |||||||||||
| Colombian Peso expiring 08/31/12 |
UBS AG | COP | 3,785,695 | 2,065,300 | 2,099,811 | 34,511 | ||||||||||||
| Colombian Peso expiring 08/31/12 |
Citibank NA | COP | 1,779,486 | 969,800 | 987,028 | 17,228 | ||||||||||||
| Colombian Peso expiring 08/31/12 |
UBS AG | COP | 3,776,936 | 2,074,100 | 2,094,953 | 20,853 | ||||||||||||
| Colombian Peso expiring 08/31/12 |
UBS AG | COP | 2,479,613 | 1,381,400 | 1,375,367 | (6,033 | ) | |||||||||||
| Colombian Peso expiring 08/31/12 |
UBS AG | COP | 3,626,942 | 2,031,900 | 2,011,756 | (20,144 | ) | |||||||||||
| Czech Koruna expiring 07/25/12 |
JPMorgan Chase & Co. | CZK | 55,160 | 2,813,100 | 2,734,960 | (78,140 | ) | |||||||||||
| Czech Koruna expiring 07/25/12 |
UBS AG | CZK | 53,118 | 2,682,949 | 2,633,695 | (49,254 | ) | |||||||||||
| Czech Koruna expiring 07/25/12 |
UBS AG | CZK | 42,117 | 2,072,000 | 2,088,249 | 16,249 | ||||||||||||
| Czech Koruna expiring 07/25/12 |
JPMorgan Chase & Co. | CZK | 27,920 | 1,381,400 | 1,384,340 | 2,940 | ||||||||||||
| Czech Koruna expiring 07/25/12 |
UBS AG | CZK | 41,214 | 2,048,900 | 2,043,473 | (5,427 | ) | |||||||||||
| Czech Koruna expiring 07/25/12 |
JPMorgan Chase & Co. | CZK | 56,111 | 2,774,800 | 2,782,116 | 7,316 | ||||||||||||
| Euro expiring 07/26/12 |
JPMorgan Chase & Co. | EUR | 220 | 281,300 | 278,238 | (3,062 | ) | |||||||||||
| Euro expiring 07/26/12 |
UBS AG | EUR | 541 | 686,500 | 684,282 | (2,218 | ) | |||||||||||
| Euro expiring 07/26/12 |
UBS AG | EUR | 69 | 85,676 | 86,743 | 1,067 | ||||||||||||
| Pound Sterling expiring 07/26/12 |
UBS AG | GBP | 2,890 | 4,537,164 | 4,525,827 | (11,337 | ) | |||||||||||
| Pound Sterling expiring 07/26/12 |
UBS AG | GBP | 1,744 | 2,717,400 | 2,730,941 | 13,541 | ||||||||||||
| Hungarian Forint expiring 07/25/12 |
UBS AG | HUF | 640,359 | 2,715,700 | 2,825,809 | 110,109 | ||||||||||||
| Hungarian Forint expiring 07/25/12 |
UBS AG | HUF | 479,669 | 2,058,200 | 2,116,708 | 58,508 | ||||||||||||
| Hungarian Forint expiring 07/25/12 |
UBS AG | HUF | 314,191 | 1,373,100 | 1,386,478 | 13,378 | ||||||||||||
| Hungarian Forint expiring 07/25/12 |
Citibank NA | HUF | 471,644 | 2,081,100 | 2,081,294 | 194 | ||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 135,639 | 2,492,900 | 2,349,687 | (143,213 | ) | |||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 168,265 | 3,131,100 | 2,914,883 | (216,217 | ) | |||||||||||
| Indian Rupee expiring 01/07/13 |
Citibank NA | INR | 125,401 | 2,353,400 | 2,172,337 | (181,063 | ) | |||||||||||
| Indian Rupee expiring 01/07/13 |
Citibank NA | INR | 82,789 | 1,565,900 | 1,434,167 | (131,733 | ) | |||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 199,718 | 3,834,100 | 3,459,746 | (374,354 | ) | |||||||||||
| South Korean Won expiring 08/02/12 |
UBS AG | KRW | 2,441,852 | 2,072,000 | 2,126,985 | 54,985 | ||||||||||||
| South Korean Won expiring 08/02/12 |
UBS AG | KRW | 2,364,116 | 2,031,900 | 2,059,272 | 27,372 | ||||||||||||
| South Korean Won expiring 08/02/12 |
UBS AG | KRW | 2,397,812 | 2,053,800 | 2,088,623 | 34,823 | ||||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
Citibank NA | MXN | 8,373 | 602,919 | 626,244 | 23,325 | ||||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
JPMorgan Chase & Co. | MXN | 38,842 | 2,813,100 | 2,905,004 | 91,904 | ||||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
Barclays Bank PLC | MXN | 39,718 | 2,765,100 | 2,970,519 | 205,419 | ||||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
JPMorgan Chase & Co. | MXN | 28,372 | 2,031,900 | 2,121,929 | 90,029 | ||||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
JPMorgan Chase & Co. | MXN | 30,646 | 2,165,000 | 2,292,016 | 127,016 | ||||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
Citibank NA | MXN | 44,016 | 3,157,606 | 3,291,962 | 134,356 | ||||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
JPMorgan Chase & Co. | MXN | 18,910 | 1,373,100 | 1,414,252 | 41,152 | ||||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
Citibank NA | MXN | 115 | 8,261 | 8,623 | 362 | ||||||||||||
| Malaysian Ringgit expiring 12/10/12 |
UBS AG | MYR | 6,619 | 2,072,000 | 2,068,323 | (3,677 | ) | |||||||||||
| Malaysian Ringgit expiring 12/10/12 |
UBS AG | MYR | 6,450 | 2,031,900 | 2,015,595 | (16,305 | ) | |||||||||||
| Norwegian Krone expiring 07/25/12 |
UBS AG | NOK | 16,735 | 2,813,100 | 2,810,605 | (2,495 | ) | |||||||||||
| Norwegian Krone expiring 07/25/12 |
UBS AG | NOK | 53,742 | 9,028,146 | 9,026,034 | (2,112 | ) | |||||||||||
| Norwegian Krone expiring 07/25/12 |
UBS AG | NOK | 16,822 | 2,762,700 | 2,825,256 | 62,556 | ||||||||||||
| Norwegian Krone expiring 07/25/12 |
UBS AG | NOK | 16,326 | 2,709,200 | 2,741,960 | 32,760 | ||||||||||||
| Norwegian Krone expiring 07/25/12 |
UBS AG | NOK | 8,166 | 1,366,400 | 1,371,436 | 5,036 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A44
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Payable at Settlement Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Norwegian Krone expiring 07/25/12 |
Barclays Bank PLC | NOK | 8,124 | $ | 1,373,600 | $ | 1,364,421 | $ | (9,179 | ) | ||||||||
| Norwegian Krone expiring 07/25/12 |
Morgan Stanley | NOK | 16,544 | 2,774,800 | 2,778,521 | 3,721 | ||||||||||||
| New Zealand Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | NZD | 2,747 | 2,078,200 | 2,194,855 | 116,655 | ||||||||||||
| New Zealand Dollar expiring 07/24/12 |
UBS AG | NZD | 2,703 | 2,072,000 | 2,159,747 | 87,747 | ||||||||||||
| New Zealand Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | NZD | 2,728 | 2,072,000 | 2,179,722 | 107,722 | ||||||||||||
| New Zealand Dollar expiring 07/24/12 |
UBS AG | NZD | 2,642 | 2,038,100 | 2,111,486 | 73,386 | ||||||||||||
| New Zealand Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | NZD | 1,759 | 1,369,200 | 1,405,383 | 36,183 | ||||||||||||
| New Zealand Dollar expiring 07/24/12 |
UBS AG | NZD | 1,737 | 1,372,200 | 1,388,177 | 15,977 | ||||||||||||
| New Zealand Dollar expiring 07/24/12 |
UBS AG | NZD | 2,598 | 2,081,100 | 2,076,086 | (5,014 | ) | |||||||||||
| Philippine Peso expiring 10/03/12 |
UBS AG | PHP | 93,128 | 2,169,800 | 2,195,269 | 25,469 | ||||||||||||
| Philippine Peso expiring 10/03/12 |
UBS AG | PHP | 61,689 | 1,452,700 | 1,454,170 | 1,470 | ||||||||||||
| Philippine Peso expiring 08/30/12 |
UBS AG | PHP | 89,832 | 2,072,000 | 2,121,679 | 49,679 | ||||||||||||
| Philippine Peso expiring 08/30/12 |
UBS AG | PHP | 58,222 | 1,366,400 | 1,375,118 | 8,718 | ||||||||||||
| Polish Zloty expiring 07/25/12 |
Citibank NA | PLN | 9,564 | 2,813,100 | 2,861,640 | 48,540 | ||||||||||||
| Polish Zloty expiring 07/25/12 |
Barclays Bank PLC | PLN | 4,767 | 1,381,400 | 1,426,269 | 44,869 | ||||||||||||
| Polish Zloty expiring 07/24/12 |
UBS AG | PLN | 7,261 | 2,072,000 | 2,172,882 | 100,882 | ||||||||||||
| Polish Zloty expiring 07/25/12 |
Barclays Bank PLC | PLN | 6,935 | 2,038,000 | 2,074,954 | 36,954 | ||||||||||||
| Polish Zloty expiring 07/25/12 |
UBS AG | PLN | 4,634 | 1,373,100 | 1,386,557 | 13,457 | ||||||||||||
| Polish Zloty expiring 07/25/12 |
UBS AG | PLN | 9,281 | 2,774,800 | 2,776,860 | 2,060 | ||||||||||||
| Russian Rouble expiring 07/17/12 |
Citibank NA | RUB | 128,415 | 4,225,700 | 3,952,718 | (272,982 | ) | |||||||||||
| Russian Rouble expiring 07/17/12 |
Citibank NA | RUB | 68,939 | 2,074,100 | 2,122,000 | 47,900 | ||||||||||||
| Russian Rouble expiring 07/17/12 |
Citibank NA | RUB | 67,881 | 2,072,000 | 2,089,429 | 17,429 | ||||||||||||
| Russian Rouble expiring 07/17/12 |
Citibank NA | RUB | 65,484 | 2,031,900 | 2,015,656 | (16,244 | ) | |||||||||||
| Swedish Krona expiring 07/25/12 |
Citibank NA | SEK | 24,002 | 3,362,573 | 3,466,527 | 103,954 | ||||||||||||
| Swedish Krona expiring 07/25/12 |
UBS AG | SEK | 19,902 | 2,770,900 | 2,874,302 | 103,402 | ||||||||||||
| Swedish Krona expiring 07/25/12 |
Barclays Bank PLC | SEK | 14,493 | 2,031,900 | 2,093,106 | 61,206 | ||||||||||||
| Swedish Krona expiring 07/25/12 |
UBS AG | SEK | 14,379 | 2,032,700 | 2,076,623 | 43,923 | ||||||||||||
| Swedish Krona expiring 07/25/12 |
UBS AG | SEK | 14,413 | 2,081,100 | 2,081,561 | 461 | ||||||||||||
| Singapore Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | SGD | 13,233 | 10,408,755 | 10,446,191 | 37,436 | ||||||||||||
| Singapore Dollar expiring 07/24/12 |
UBS AG | SGD | 3,572 | 2,813,100 | 2,819,929 | 6,829 | ||||||||||||
| Singapore Dollar expiring 07/24/12 |
UBS AG | SGD | 2,672 | 2,078,200 | 2,109,154 | 30,954 | ||||||||||||
| Singapore Dollar expiring 07/24/12 |
UBS AG | SGD | 3,530 | 2,762,700 | 2,786,965 | 24,265 | ||||||||||||
| Singapore Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | SGD | 2,642 | 2,072,000 | 2,085,768 | 13,768 | ||||||||||||
| Singapore Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | SGD | 2,607 | 2,059,600 | 2,057,753 | (1,847 | ) | |||||||||||
| Singapore Dollar expiring 07/25/12 |
JPMorgan Chase & Co. | SGD | 3,515 | 2,774,800 | 2,774,532 | (268 | ) | |||||||||||
| Thai Baht expiring 07/18/12 |
UBS AG | THB | 67,179 | 2,169,800 | 2,112,502 | (57,298 | ) | |||||||||||
| Thai Baht expiring 07/18/12 |
UBS AG | THB | 67,005 | 2,171,200 | 2,107,037 | (64,163 | ) | |||||||||||
| Thai Baht expiring 07/18/12 |
UBS AG | THB | 388,861 | 12,519,687 | 12,228,054 | (291,633 | ) | |||||||||||
| Thai Baht expiring 07/18/12 |
UBS AG | THB | 44,801 | 1,452,700 | 1,408,811 | (43,889 | ) | |||||||||||
| Thai Baht expiring 11/30/12 |
UBS AG | THB | 44,041 | 1,382,600 | 1,374,747 | (7,853 | ) | |||||||||||
| Thai Baht expiring 11/30/12 |
UBS AG | THB | 44,043 | 1,385,500 | 1,374,789 | (10,711 | ) | |||||||||||
| Turkish Lira expiring 07/31/12 |
UBS AG | TRY | 5,114 | 2,753,700 | 2,807,664 | 53,964 | ||||||||||||
| Turkish Lira expiring 07/31/12 |
JPMorgan Chase & Co. | TRY | 3,892 | 2,078,200 | 2,136,684 | 58,484 | ||||||||||||
| Turkish Lira expiring 07/31/12 |
UBS AG | TRY | 3,834 | 2,072,000 | 2,104,971 | 32,971 | ||||||||||||
| Turkish Lira expiring 07/31/12 |
Barclays Bank PLC | TRY | 2,493 | 1,354,600 | 1,368,671 | 14,071 | ||||||||||||
| Turkish Lira expiring 07/31/12 |
Barclays Bank PLC | TRY | 2,488 | 1,373,600 | 1,365,642 | (7,958 | ) | |||||||||||
| South African Rand expiring 07/31/12 |
UBS AG | ZAR | 23,364 | 2,813,100 | 2,844,333 | 31,233 | ||||||||||||
| South African Rand expiring 07/31/12 |
UBS AG | ZAR | 17,765 | 2,078,200 | 2,162,666 | 84,466 | ||||||||||||
| South African Rand expiring 07/31/12 |
UBS AG | ZAR | 17,646 | 2,074,100 | 2,148,181 | 74,081 | ||||||||||||
| South African Rand expiring 07/31/12 |
JPMorgan Chase & Co. | ZAR | 11,586 | 1,381,400 | 1,410,439 | 29,039 | ||||||||||||
| South African Rand expiring 07/31/12 |
UBS AG | ZAR | 16,914 | 2,031,900 | 2,059,054 | 27,154 | ||||||||||||
| South African Rand expiring 07/31/12 |
Barclays Bank PLC | ZAR | 11,356 | 1,373,100 | 1,382,453 | 9,353 | ||||||||||||
| South African Rand expiring 07/25/12 |
UBS AG | ZAR | 17,144 | 2,081,100 | 2,089,055 | 7,955 | ||||||||||||
| $ | 347,053,582 | $ | 348,124,829 | $ | 1,071,247 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A45
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Receivable at Settlement Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Australian Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | AUD | 4,135 | $ | 4,116,800 | $ | 4,221,939 | $ | (105,139 | ) | ||||||||
| Australian Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | AUD | 2,140 | 2,067,300 | 2,184,779 | (117,479 | ) | |||||||||||
| Australian Dollar expiring 07/24/12 |
UBS AG | AUD | 5,287 | 5,213,800 | 5,398,775 | (184,975 | ) | |||||||||||
| Brazilian Real expiring 07/11/12 |
Citibank NA | BRL | 6,811 | 3,551,869 | 3,382,703 | 169,166 | ||||||||||||
| Brazilian Real expiring 08/14/12 |
Citibank NA | BRL | 4,039 | 1,981,932 | 1,992,505 | (10,573 | ) | |||||||||||
| Brazilian Real expiring 08/14/12 |
Citibank NA | BRL | 2,852 | 1,409,200 | 1,406,638 | 2,562 | ||||||||||||
| Brazilian Real expiring 08/14/12 |
UBS AG | BRL | 4,294 | 2,113,700 | 2,118,407 | (4,707 | ) | |||||||||||
| Canadian Dollar expiring 07/23/12 |
Citibank NA | CAD | 4,245 | 4,116,800 | 4,167,513 | (50,713 | ) | |||||||||||
| Canadian Dollar expiring 07/23/12 |
JPMorgan Chase & Co. | CAD | 3,885 | 3,797,700 | 3,813,791 | (16,091 | ) | |||||||||||
| Canadian Dollar expiring 07/23/12 |
JPMorgan Chase & Co. | CAD | 1,853 | 1,830,300 | 1,819,539 | 10,761 | ||||||||||||
| Canadian Dollar expiring 07/23/12 |
UBS AG | CAD | 5,259 | 5,213,800 | 5,163,056 | 50,744 | ||||||||||||
| Chilean Peso expiring 07/12/12 |
UBS AG | CLP | 981,961 | 1,972,800 | 1,957,394 | 15,406 | ||||||||||||
| Chilean Peso expiring 07/12/12 |
UBS AG | CLP | 881,053 | 1,755,434 | 1,756,248 | (814 | ) | |||||||||||
| Chilean Peso expiring 08/10/12 |
UBS AG | CLP | 1,050,040 | 2,083,620 | 2,084,242 | (622 | ) | |||||||||||
| Chilean Peso expiring 09/06/12 |
Citibank NA | CLP | 1,765,095 | 3,430,700 | 3,490,963 | (60,263 | ) | |||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
Morgan Stanley | CNY | 67,431 | 10,630,850 | 10,593,557 | 37,293 | ||||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
Morgan Stanley | CNY | 30,119 | 4,766,100 | 4,731,785 | 34,315 | ||||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
Morgan Stanley | CNY | 19,745 | 3,134,800 | 3,101,888 | 32,912 | ||||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
Morgan Stanley | CNY | 19,173 | 3,032,300 | 3,012,135 | 20,165 | ||||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
Morgan Stanley | CNY | 14,789 | 2,317,300 | 2,323,369 | (6,069 | ) | |||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
UBS AG | CNY | 67,442 | 10,630,850 | 10,595,227 | 35,623 | ||||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
UBS AG | CNY | 24,844 | 3,881,800 | 3,902,944 | (21,144 | ) | |||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
UBS AG | CNY | 19,758 | 3,142,200 | 3,104,026 | 38,174 | ||||||||||||
| Chinese Yuan Renminbi expiring 08/02/12 |
UBS AG | CNY | 14,634 | 2,331,500 | 2,298,963 | 32,537 | ||||||||||||
| Chinese Yuan Renminbi expiring 10/29/12 |
Morgan Stanley | CNY | 14,861 | 2,342,761 | 2,330,212 | 12,549 | ||||||||||||
| Colombian Peso expiring 08/08/12 |
Citibank NA | COP | 5,461,231 | 2,989,998 | 3,038,716 | (48,718 | ) | |||||||||||
| Colombian Peso expiring 08/31/12 |
Citibank NA | COP | 3,727,217 | 2,061,400 | 2,067,376 | (5,976 | ) | |||||||||||
| Colombian Peso expiring 08/31/12 |
Citibank NA | COP | 1,803,011 | 967,800 | 1,000,076 | (32,276 | ) | |||||||||||
| Colombian Peso expiring 08/31/12 |
UBS AG | COP | 6,188,265 | 3,416,100 | 3,432,445 | (16,345 | ) | |||||||||||
| Czech Koruna expiring 07/25/12 |
Barclays Bank PLC | CZK | 68,923 | 3,347,282 | 3,417,360 | (70,078 | ) | |||||||||||
| Czech Koruna expiring 07/25/12 |
JPMorgan Chase & Co. | CZK | 55,935 | 2,754,000 | 2,773,403 | (19,403 | ) | |||||||||||
| Czech Koruna expiring 07/25/12 |
UBS AG | CZK | 53,456 | 2,677,400 | 2,650,481 | 26,919 | ||||||||||||
| Czech Koruna expiring 07/25/12 |
UBS AG | CZK | 42,433 | 2,061,400 | 2,103,930 | (42,530 | ) | |||||||||||
| Euro expiring 07/26/12 |
Barclays Bank PLC | EUR | 781 | 984,548 | 989,138 | (4,590 | ) | |||||||||||
| Euro expiring 07/26/12 |
Citibank NA | EUR | 14,012 | 17,601,894 | 17,735,851 | (133,957 | ) | |||||||||||
| Euro expiring 07/26/12 |
JPMorgan Chase & Co. | EUR | 223 | 277,693 | 282,877 | (5,184 | ) | |||||||||||
| Hungarian Forint expiring 07/25/12 |
Citibank NA | HUF | 476,159 | 2,058,400 | 2,101,218 | (42,818 | ) | |||||||||||
| Hungarian Forint expiring 07/25/12 |
Citibank NA | HUF | 20,766 | 88,190 | 91,637 | (3,447 | ) | |||||||||||
| Hungarian Forint expiring 07/25/12 |
JPMorgan Chase & Co. | HUF | 481,229 | 2,060,900 | 2,123,590 | (62,690 | ) | |||||||||||
| Indian Rupee expiring 01/07/13 |
Citibank NA | INR | 125,143 | 2,350,100 | 2,167,866 | 182,234 | ||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 233,317 | 4,459,000 | 4,041,785 | 417,215 | ||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 199,718 | 3,765,427 | 3,459,746 | 305,681 | ||||||||||||
| Indian Rupee expiring 01/07/13 |
UBS AG | INR | 153,634 | 2,923,145 | 2,661,423 | 261,722 | ||||||||||||
| Malaysian Ringgit expiring 12/10/12 |
UBS AG | MYR | 6,643 | 2,061,400 | 2,075,778 | (14,378 | ) | |||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
JPMorgan Chase & Co. | MXN | 57,612 | 4,116,800 | 4,308,780 | (191,980 | ) | |||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
JPMorgan Chase & Co. | MXN | 29,329 | 2,072,000 | 2,193,560 | (121,560 | ) | |||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
JPMorgan Chase & Co. | MXN | 15,966 | 1,158,760 | 1,194,120 | (35,360 | ) | |||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
JPMorgan Chase & Co. | MXN | 9,705 | 704,600 | 725,821 | (21,221 | ) | |||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
JPMorgan Chase & Co. | MXN | 2,321 | 167,000 | 173,624 | (6,624 | ) | |||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
UBS AG | MXN | 42,611 | 3,029,400 | 3,186,917 | (157,517 | ) | |||||||||||
| Mexican Nuevo Peso expiring 07/23/12 |
UBS AG | MXN | 27,335 | 1,972,800 | 2,044,358 | (71,558 | ) | |||||||||||
| New Zealand Dollar expiring 07/24/12 |
Citibank NA | NZD | 5,249 | 4,116,800 | 4,194,341 | (77,541 | ) | |||||||||||
| New Zealand Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | NZD | 858 | 651,168 | 685,702 | (34,534 | ) | |||||||||||
| Norwegian Krone expiring 07/25/12 |
Deutsche Bank AG | NOK | 16,848 | 2,773,700 | 2,829,642 | (55,942 | ) | |||||||||||
| Norwegian Krone expiring 07/25/12 |
UBS AG | NOK | 54,819 | 9,159,400 | 9,206,870 | (47,470 | ) | |||||||||||
| Norwegian Krone expiring 07/25/12 |
UBS AG | NOK | 16,537 | 2,744,600 | 2,777,387 | (32,787 | ) | |||||||||||
| Norwegian Krone expiring 07/25/12 |
UBS AG | NOK | 16,031 | 2,618,500 | 2,692,388 | (73,888 | ) | |||||||||||
| Philippine Peso expiring 10/03/12 |
UBS AG | PHP | 154,817 | 3,522,966 | 3,649,439 | (126,473 | ) | |||||||||||
| Polish Zloty expiring 07/25/12 |
Citibank NA | PLN | 9,675 | 2,750,000 | 2,894,626 | (144,626 | ) | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A46
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Receivable at Settlement Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Polish Zloty expiring 07/25/12 |
Citibank NA | PLN | 7,053 | $ | 2,058,400 | $ | 2,110,115 | $ | (51,715 | ) | ||||||||
| Polish Zloty expiring 07/25/12 |
Citibank NA | PLN | 4,678 | 1,372,200 | 1,399,760 | (27,560 | ) | |||||||||||
| Pound Sterling expiring 07/26/12 |
UBS AG | GBP | 2,903 | 4,650,200 | 4,546,963 | 103,237 | ||||||||||||
| Pound Sterling expiring 07/26/12 |
UBS AG | GBP | 1,752 | 2,744,300 | 2,744,409 | (109 | ) | |||||||||||
| Russian Rouble expiring 07/17/12 |
Citibank NA | RUB | 128,415 | 4,143,883 | 3,952,717 | 191,166 | ||||||||||||
| Russian Rouble expiring 07/17/12 |
Citibank NA | RUB | 67,942 | 2,045,224 | 2,091,324 | (46,100 | ) | |||||||||||
| Russian Rouble expiring 07/17/12 |
UBS AG | RUB | 134,361 | 4,065,400 | 4,135,761 | (70,361 | ) | |||||||||||
| Singapore Dollar expiring 07/24/12 |
Citibank NA | SGD | 4,443 | 3,522,900 | 3,507,518 | 15,382 | ||||||||||||
| Singapore Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | SGD | 5,288 | 4,116,800 | 4,174,524 | (57,724 | ) | |||||||||||
| Singapore Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | SGD | 4,430 | 3,522,900 | 3,496,730 | 26,170 | ||||||||||||
| Singapore Dollar expiring 07/24/12 |
JPMorgan Chase & Co. | SGD | 3,701 | 2,891,700 | 2,921,590 | (29,890 | ) | |||||||||||
| Singapore Dollar expiring 07/26/12 |
JPMorgan Chase & Co. | SGD | 4,281 | 3,378,300 | 3,379,578 | (1,278 | ) | |||||||||||
| South African Rand expiring 07/31/12 |
Citibank NA | ZAR | 35,204 | 4,116,800 | 4,285,719 | (168,919 | ) | |||||||||||
| South African Rand expiring 07/31/12 |
JPMorgan Chase & Co. | ZAR | 23,518 | 2,756,400 | 2,863,040 | (106,640 | ) | |||||||||||
| South African Rand expiring 07/31/12 |
UBS AG | ZAR | 23,260 | 2,748,600 | 2,831,679 | (83,079 | ) | |||||||||||
| South African Rand expiring 07/31/12 |
UBS AG | ZAR | 14,247 | 1,690,359 | 1,734,456 | (44,097 | ) | |||||||||||
| Swedish Krona expiring 07/25/12 |
UBS AG | SEK | 24,148 | 3,391,900 | 3,487,586 | (95,686 | ) | |||||||||||
| Swedish Krona expiring 07/25/12 |
UBS AG | SEK | 19,447 | 2,744,600 | 2,808,695 | (64,095 | ) | |||||||||||
| Thai Baht expiring 07/18/12 |
UBS AG | THB | 504,456 | 15,951,438 | 15,863,022 | 88,416 | ||||||||||||
| Thai Baht expiring 07/18/12 |
UBS AG | THB | 63,391 | 2,031,700 | 1,993,382 | 38,318 | ||||||||||||
| Turkish Lira expiring 07/31/12 |
JPMorgan Chase & Co. | TRY | 3,914 | 2,067,300 | 2,148,530 | (81,230 | ) | |||||||||||
| Turkish Lira expiring 07/31/12 |
UBS AG | TRY | 5,023 | 2,748,600 | 2,757,371 | (8,771 | ) | |||||||||||
| $ | 270,090,691 | $ | 271,159,338 | (1,068,647 | ) | |||||||||||||
| $ | 2,600 | |||||||||||||||||
Interest rate swap agreements outstanding at June 30, 2012:
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||
|
|
Over-the-counter swap agreements: | |||||||||||||||||||||||
| $ | 4,735 | 01/27/22 | 2.071% | 3 month LIBOR(a) | $ | (183,980 | ) | $ | — | $ | (183,980 | ) | Citibank NA | |||||||||||
| 66,560 | 08/31/16 | 0.934% | 3 month LIBOR(b) | 342,247 | — | 342,247 | Credit Suisse International | |||||||||||||||||
| 66,195 | 08/31/16 | 0.928% | 3 month LIBOR(b) | 323,903 | — | 323,903 | Citibank NA | |||||||||||||||||
| 66,195 | 08/31/16 | 0.977% | 3 month LIBOR(a) | (456,134 | ) | — | (456,134 | ) | Citibank NA | |||||||||||||||
| 20,710 | 08/31/16 | 0.975% | 3 month LIBOR(a) | (141,137 | ) | — | (141,137 | ) | JPMorgan Chase Bank NA | |||||||||||||||
| 20,710 | 08/31/16 | 0.978% | 3 month LIBOR(a) | (144,108 | ) | — | (144,108 | ) | JPMorgan Chase Bank NA | |||||||||||||||
| 58,915 | 11/30/16 | 0.913% | 3 month LIBOR(a) | (79,772 | ) | — | (79,772 | ) | JPMorgan Chase Bank NA | |||||||||||||||
| 4,265 | 01/30/22 | 2.082% | 3 month LIBOR(a) | (168,633 | ) | — | (168,633 | ) | Citibank NA | |||||||||||||||
| 9,095 | 02/07/22 | 2.056% | 3 month LIBOR(a) | (332,893 | ) | — | (332,893 | ) | Citibank NA | |||||||||||||||
| 18,095 | 04/12/22 | 2.111% | 3 month LIBOR(b) | 660,586 | — | 660,586 | Citibank NA | |||||||||||||||||
| CAD | 13,500 | 02/22/17 | 1.708% | 3 month Canadian Bankers Acceptances(a) | 131,345 | — | 131,345 | Citibank NA | ||||||||||||||||
| MXN | 199,700 | 07/05/13 | 5.480% | 28 day Mexican Interbank Rate(b) |
117,574 | — | 117,574 | Barclays Bank PLC | ||||||||||||||||
| MXN | 100,000 | 12/15/16 | 5.750% | 28 day Mexican Interbank Rate(b) |
187,469 | — | 187,469 | Barclays Bank PLC | ||||||||||||||||
| MXN | 54,100 | 02/18/22 | 6.600% | 28 day Mexican Interbank Rate(b) | 246,424 | — | 246,424 | Barclays Bank PLC | ||||||||||||||||
| MXN | 31,200 | 04/15/22 | 6.380% | 28 day Mexican Interbank Rate(b) | 98,028 | — | 98,028 | JPMorgan Chase Bank NA | ||||||||||||||||
| MXN | 48,200 | 05/25/22 | 6.370% | 28 day Mexican Interbank Rate(b) | 149,069 | — | 149,069 | Morgan Stanley Capital Services | ||||||||||||||||
| MXN | 57,000 | 06/03/22 | 6.300% | 28 day Mexican Interbank Rate(b) | 156,642 | — | 156,642 | Citibank NA | ||||||||||||||||
| NOK | 32,000 | 05/07/17 | 3.080% | 6 month NIBOR(b) | 44,766 | — | 44,766 | Barclays Bank PLC | ||||||||||||||||
| NZD | 13,400 | 08/18/16 | 4.173% | 3 month BBR(b) | 580,940 | — | 580,940 | Citibank NA | ||||||||||||||||
| NZD | 4,320 | 03/26/17 | 3.810% | 3 month BBR(b) | 128,652 | — | 128,652 | HSBC Bank USA NA | ||||||||||||||||
| ZAR | 61,000 | 04/11/17 | 6.890% | 3 month JIBAR(b) | 234,615 | — | 234,615 | Citibank NA | ||||||||||||||||
| $ | 1,895,603 | $ | — | $ | 1,895,603 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A47
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| (a) | Portfolio pays the fixed rate and receives the floating rate. |
| (b) | Portfolio pays the floating rate and receives the fixed rate. |
| # | Notional amount is shown in U.S. dollars unless otherwise stated. |
Credit default swap agreements outstanding at June 30, 2012:
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swaps on corporate issues—Buy Protection(1): | ||||||||||||||||||||||||||
| American International Group, Inc. |
03/20/18 | 3.700% | $ | 3,700 | $ | (228,395 | ) | $ | — | $ | (228,395 | ) | Deutsche Bank AG | |||||||||||||
| CBS Corp. |
06/20/14 | 1.000% | 4,800 | (50,760 | ) | 148,604 | (199,364 | ) | Citibank NA | |||||||||||||||||
| Centex Corp. |
06/20/14 | 1.000% | 2,500 | 20,486 | (6,863 | ) | 27,349 | Credit Suisse International | ||||||||||||||||||
| Duke Energy Corp. |
03/20/14 | 0.700% | 3,400 | (30,462 | ) | — | (30,462 | ) | Goldman Sachs International, Inc. | |||||||||||||||||
| GATX Financial Corp. |
12/20/12 | 1.000% | 1,500 | (4,356 | ) | 2,369 | (6,725 | ) | Credit Suisse International | |||||||||||||||||
| Macy’s Retail Holdings, Inc. |
12/20/12 | 1.000% | 7,800 | (26,410 | ) | 46,566 | (72,976 | ) | Deutsche Bank AG | |||||||||||||||||
| Masco Corp. |
09/20/13 | 1.000% | 2,600 | (5,326 | ) | 30,037 | (35,363 | ) | Deutsche Bank AG | |||||||||||||||||
| R.R. Donnelley & Sons Co. |
06/20/14 | 1.000% | 7,000 | 380,614 | 222,214 | 158,400 | Deutsche Bank AG | |||||||||||||||||||
| R.R. Donnelley & Sons Co. |
09/20/16 | 1.000% | 4,750 | 1,015,320 | 356,634 | 658,686 | JPMorgan Chase Bank | |||||||||||||||||||
| Sealed Air Corp. |
06/20/13 | 1.000% | 6,600 | (23,321 | ) | 27,361 | (50,682 | ) | Deutsche Bank AG | |||||||||||||||||
| SLM Corp. |
06/20/14 | 5.000% | 4,150 | (206,327 | ) | 319,032 | (525,359 | ) | JPMorgan Chase Bank | |||||||||||||||||
| Starwood Hotels & Resorts Holdings, Inc. |
03/20/14 | 7.050% | 980 | (109,197 | ) | — | (109,197 | ) | Deutsche Bank AG | |||||||||||||||||
| Toll Brothers Financial Corp. |
03/20/15 | 1.000% | 4,695 | (6,752 | ) | 19,930 | (26,682 | ) | Credit Suisse International | |||||||||||||||||
| Westvaco Corp. |
09/20/19 | 1.000% | 4,400 | 182,261 | 62,536 | 119,725 | JPMorgan Chase Bank | |||||||||||||||||||
| $ | 907,375 | $ | 1,228,420 | $ | (321,045 | ) | ||||||||||||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation |
Counterparty | |||||||||||||||||||
| Over-the-counter credit default swap on credit index—Buy Protection(1): | ||||||||||||||||||||||||||
| Itraxx Euro Ser. 9 |
06/20/13 | 1.650% | EUR | 3,700 | $ | (20,096 | ) | $ | (36,251 | ) | $ | 16,155 | Morgan Stanley Capital Services, Inc. | |||||||||||||
| Reference Entity/Obligation |
Termination Date |
Fixed Rate |
Notional Amount (000)#(3) |
Implied Credit Spread at June 30, 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 | 0.355 | % | $ | (5,686 | ) | $ | (34,653 | ) | $ | 28,967 | Morgan Stanley Capital Services, Inc. | |||||||||||||||
| Republic of Austria |
03/20/13 | 1.000% | 8,250 | 0.573 | % | 28,192 | (37,199 | ) | 65,391 | Morgan Stanley Capital Services, Inc. | ||||||||||||||||||||
| Republic of France |
03/20/13 | 0.250% | 8,250 | 0.571 | % | (18,653 | ) | (88,174 | ) | 69,521 | Morgan Stanley Capital Services, Inc. | |||||||||||||||||||
| $ | 3,853 | $ | (160,026 | ) | $ | 163,879 | ||||||||||||||||||||||||
The Portfolio entered into credit default swaps as the protection seller on 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
A48
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| (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. |
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 June 30, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Asset-Backed Securities |
||||||||||||
| Non-Residential Mortgage-Backed Securities |
$ | — | $ | 73,014,179 | $ | 5,816,550 | ||||||
| Residential Mortgage-Backed Securities |
— | 62,361,049 | — | |||||||||
| Bank Loans |
— | 26,836,083 | 190,375 | |||||||||
| Collateralized Mortgage Obligations |
— | 3,644,268 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 214,098,164 | — | |||||||||
| Corporate Bonds |
— | 603,896,603 | — | |||||||||
| Foreign Agencies |
— | 37,297,861 | — | |||||||||
| Mortgage-Backed Securities |
— | 88,712,138 | — | |||||||||
| Municipal Bonds |
— | 25,305,173 | — | |||||||||
| Sovereigns |
— | 26,811,814 | 1,043,503 | |||||||||
| U.S. Government Treasury Securities |
— | 37,218,017 | — | |||||||||
| Preferred Stock |
1,228,050 | — | — | |||||||||
| Affiliated Mutual Funds |
327,440,521 | — | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
649,467 | — | — | |||||||||
| Forward Currency Contracts |
— | 2,600 | — | |||||||||
| Interest Rate Swap Agreements |
— | 1,895,603 | — | |||||||||
| Credit Default Swap Agreements |
— | (110,549 | ) | (30,462 | ) | |||||||
| Total |
$ | 329,318,038 | $ | 1,200,983,003 | $ | 7,019,966 | ||||||
| * | 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.
A49
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 2012 was as follows:
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with these derivative instruments are credit risk, foreign exchange risk and interest rate risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 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 |
Premium paid for swap agreements | $ | 1,235,283 | Premium received for swap agreements | $ | 203,140 | ||||||
| Credit contracts |
Unrealized appreciation on swap agreements | 1,144,194 | Unrealized depreciation on swap agreements | 1,285,205 | ||||||||
| Foreign exchange contracts |
Unrealized appreciation on forward currency contracts | 6,043,861 | Unrealized depreciation on forward currency contracts | 6,041,261 | ||||||||
| Interest rate contracts |
Due to broker — variation margin | 672,461 | * | Due to broker — variation margin | 22,994 | * | ||||||
| Interest rate contracts |
Unrealized appreciation on swap agreements | 3,402,260 | Unrealized depreciation on swap agreements | 1,506,657 | ||||||||
| Total |
$ | 12,498,059 | $ | 9,059,257 | ||||||||
| * | 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.
A50
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 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 |
$ | — | $ | — | $ | — | $ | — | $ | (104,396 | ) | $ | (104,396 | ) | ||||||||||
| Foreign exchange contracts |
— | — | — | (3,259,635 | ) | — | (3,259,635 | ) | ||||||||||||||||
| Interest rate contracts |
2,501,494 | (483,881 | ) | 7,085,896 | — | (30,766 | ) | 9,072,743 | ||||||||||||||||
| Total |
$ | 2,501,494 | $ | (483,881 | ) | $ | 7,085,896 | $ | (3,259,635 | ) | $ | (135,162 | ) | $ | 5,708,712 | |||||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||||||
| Derivatives not designated as hedging |
Futures |
Forward Currency Contracts |
Swaps |
Total |
||||||||||||||||||||
| Credit contracts |
|
$ | — | $ | — | $ | (603,221 | ) | $ | (603,221 | ) | |||||||||||||
| Foreign exchange contracts |
|
— | 5,342,943 | — | 5,342,943 | |||||||||||||||||||
| Interest rate contracts |
|
(1,989,353 | ) | — | 886,139 | (1,103,214 | ) | |||||||||||||||||
| Total |
|
$ | (1,989,353 | ) | $ | 5,342,943 | $ | 282,918 | $ | 3,636,508 | ||||||||||||||
For the six months ended June 30, 2012, the Portfolio’s average volume of derivative activities is as follows:
|
Options Purchased |
Futures |
Futures |
Forward Currency |
Forward Currency | ||||
| $148,231 | $406,970,676 | $33,444,654 | $382,898,134 | $306,539,575 |
| Inflation Swaps |
Interest Rate Swaps |
Credit Default |
Credit Default | |||
| $1,020 | $223,015 | $67,600 | $16,500 |
SEE NOTES TO FINANCIAL STATEMENTS.
A51
| DIVERSIFIED BOND PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2012 |
Year Ended December 31, 2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 32,946,612 | $ | 73,296,784 | ||||
| Net realized gain on investments and foreign currencies |
21,932,066 | 59,583,846 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
18,438,959 | (22,511,117 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
73,317,637 | 110,369,513 | ||||||
| DISTRIBUTIONS | (90,902,268 | ) | (101,657,374 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [3,432,454 and 2,282,678 shares, respectively] |
40,031,391 | 26,944,061 | ||||||
| Series shares issued in reinvestment of distributions [7,892,429 and 8,678,375 shares, respectively] |
90,902,268 | 101,657,374 | ||||||
| Series shares repurchased [23,671,366 and 8,765,284 shares, respectively] |
(284,108,754 | ) | (103,339,982 | ) | ||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(153,175,095 | ) | 25,261,453 | |||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | (170,759,726 | ) | 33,973,592 | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
1,556,899,189 | 1,522,925,597 | ||||||
| End of period |
$ | 1,386,139,463 | $ | 1,556,899,189 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A52
| EQUITY PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A53
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A54
| EQUITY PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A55
| EQUITY PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2012 |
Year Ended December 31, 2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 12,846,085 | $ | 18,821,831 | ||||
| Net realized gain on investment and foreign currency transactions |
68,126,091 | 204,252,562 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
97,553,660 | (327,809,092 | ) | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
178,525,836 | (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 |
10,193,340 | 19,970,190 | ||||||
| Series shares issued in reinvestment of distributions |
18,822,165 | 22,101,354 | ||||||
| Series shares repurchased |
(132,696,511 | ) | (242,019,698 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(103,681,006 | ) | (199,948,154 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 56,022,665 | (326,784,207 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
2,999,461,237 | 3,326,245,444 | ||||||
| End of period |
$ | 3,055,483,902 | $ | 2,999,461,237 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A56
| FLEXIBLE MANAGED PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A57
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A58
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A59
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A60
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A61
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A62
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A63
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| ASSET-BACKED SECURITIES — 1.2% | Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Non-Residential Mortgage-Backed Securities — 1.0% |
||||||||||||||||||
| AIMCO (Cayman Islands), Ser. 2005-AA, Class A1B, 144A(b) |
Aaa | 0.716% | 10/20/19 | $ | 2,557 | $ | 2,444,474 | |||||||||||
| Apidos CDO (Cayman Islands), Ser. 2006-4A, Class A1, 144A(b) |
Aaa | 0.716% | 10/27/18 | 1,000 | 967,378 | |||||||||||||
| ARES CLO Funds (Cayman Islands), Ser. 2011-16A, Class A, 144A(b) |
Aaa | 2.066% | 05/17/21 | 500 | 501,282 | |||||||||||||
| ARES Enhanced Loan Investment Strategy Ltd. (Cayman Islands), |
Aaa | 0.726% | 01/26/20 | 1,622 | 1,565,335 | |||||||||||||
| BA Credit Card Trust, Ser. 2006-C5, Class C5(b) |
A3 | 0.642% | 01/15/16 | 3,209 | 3,191,629 | |||||||||||||
| Bank One Issuance Trust, Ser. 2003-C3, Class C3 |
Baa2 | 4.770% | 02/16/16 | 5,200 | 5,375,619 | |||||||||||||
| BlackRock Senior Income Series Corp. (Cayman Islands), |
Aaa | 0.717% | 05/25/17 | 734 | 721,363 | |||||||||||||
| Chatham Light CLO Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.716% | 08/03/19 | 411 | 398,410 | |||||||||||||
| Citibank Credit Card Issuance Trust, Ser. 2006-C1, Class C1(b) |
Baa2 | 0.644% | 02/20/15 | 1,350 | 1,348,875 | |||||||||||||
| First CLO Ltd. (Cayman Islands), Ser. 2004-1A1, Class A1, 144A(b) |
Aaa | 0.816% | 07/27/16 | 984 | (c) | 984 | ||||||||||||
| Four Corners CLO (Cayman Islands), Ser. 2006-3A, Class A, 144A(b) |
Aaa | 0.716% | 07/22/20 | 1,225 | 1,186,262 | |||||||||||||
| Fraser Sullivan CLO Ltd. (Cayman Islands), Ser. 2006-1A, |
Aa1 | 0.938% | 03/15/20 | 1,000 | 893,882 | |||||||||||||
| Granite Ventures Ltd. (Cayman Islands), Ser. 2005-2A, |
Aaa | 0.727% | 12/15/17 | 539 | 536,122 | |||||||||||||
| Gulf Stream Compass CLO Ltd. (Cayman Islands), Ser. 2004-1A, |
Aaa | 0.827% | 07/15/16 | 48 | 47,984 | |||||||||||||
| Landmark CDO Ltd. (Cayman Islands), Ser. 2006-8A, Class A1, 144A(b) |
Aaa | 0.706% | 10/19/20 | 1,161 | 1,116,484 | |||||||||||||
| LCM LP (Cayman Islands), Ser. 2004-2A, Class A, 144A(b) |
Aaa | 0.786% | 10/22/16 | 390 | 382,997 | |||||||||||||
| LCM LP (Cayman Islands), Ser. 2005-3A, Class A, 144A(b) |
Aaa | 0.727% | 06/01/17 | 2,302 | 2,244,062 | |||||||||||||
| Lightpoint CLO Ltd. (Cayman Islands), Ser. 2005-3A, Class A1A, 144A(b) |
Aaa | 0.728% | 09/15/17 | 1,783 | 1,726,269 | |||||||||||||
| Mountain Capital CLO Ltd. (Cayman Islands), Ser. 2005-4A, |
Aaa | 0.718% | 03/15/18 | 521 | 500,900 | |||||||||||||
| Race Point CLO Ltd. (Cayman Islands), Ser. 2012-6A, |
AA(e) | 2.967% | 05/24/23 | 1,000 | 994,813 | |||||||||||||
| Slater Mill Loan Fund LP (Cayman Islands), Ser. 2012-1A, |
AA(e) | 2.964% | 08/17/22 | 750 | 720,000 | |||||||||||||
| SVO VOI Mortgage Corp., Ser. 2005-AA, Class A, 144A |
Aaa | 5.250% | 02/20/21 | 140 | 142,207 | |||||||||||||
| Trimaran CLO Ltd. (Cayman Islands), Ser. 2006-2A, Class A1L, 144A(b) |
Aaa | 0.716% | 11/01/18 | 3,500 | 3,408,387 | |||||||||||||
| 30,415,718 | ||||||||||||||||||
| Residential Mortgage-Backed Securities — 0.2% |
||||||||||||||||||
| CDC Mortgage Capital Trust, Ser. 2002-HE3, Class M1(b) |
B2 | 1.895% | 03/25/33 | 381 | 257,543 | |||||||||||||
| Credit-Based Asset Servicing and Securitization LLC, Ser. 2005-CB6, Class A3 |
B3 | 5.120% | 07/25/35 | 312 | 258,702 | |||||||||||||
| Equity One ABS, Inc., Ser. 2004-3, Class M1(b) |
Ba1 | 5.506% | 07/25/34 | 670 | 525,411 | |||||||||||||
| GSAMP Trust, Ser. 2004-HE2, Class A3C(b) |
Aaa | 0.825% | 09/25/34 | 674 | 559,453 | |||||||||||||
| HSBC Home Equity Loan Trust, Ser. 2005-2, Class M2(b) |
Aa1 | 0.734% | 01/20/35 | 287 | 257,818 | |||||||||||||
| Long Beach Mortgage Loan Trust, Ser. 2004-2, Class M1(b) |
B1 | 0.775% | 06/25/34 | 991 | 756,109 | |||||||||||||
| Morgan Stanley ABS Capital I, Ser. 2003-HE1, Class M1(b) |
Ba2 | 1.445% | 05/25/33 | 608 | 509,979 | |||||||||||||
| Morgan Stanley ABS Capital I, Ser. 2004-HE5, Class M1(b) |
B3 | 1.190% | 06/25/34 | 1,208 | 935,250 | |||||||||||||
| Morgan Stanley ABS Capital I, Ser. 2004-NC1, Class M1(b) |
Baa2 | 1.295% | 12/27/33 | 1,096 | 959,996 | |||||||||||||
| Morgan Stanley Dean Witter Capital I, Ser. 2002-HE1, Class M1(b) |
Caa3 | 1.145% | 07/25/32 | 651 | 466,352 | |||||||||||||
| Morgan Stanley Dean Witter Capital I, Ser. 2002-NC4, Class M1(b) |
B2 | 1.520% | 09/25/32 | 665 | 500,629 | |||||||||||||
| Securitized Asset Backed Receivables LLC Trust, Ser. 2004-OP1, Class M1(b) |
Ba3 | 1.010% | 02/25/34 | 1,060 | 810,606 | |||||||||||||
| Securitized Asset Backed Receivables LLC Trust, Ser. 2006-FR3, |
Ca | 0.495% | 05/25/36 | 1,100 | 366,419 | |||||||||||||
| 7,164,267 | ||||||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
37,579,985 | ||||||||||||||||
| BANK LOANS — 0.3% | ||||||||||||||||||
| Foods — 0.1% |
||||||||||||||||||
| Del Monte Foods Co.(b). |
Ba3 | 4.500% | 03/08/18 | 1,098 | 1,078,912 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A64
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| BANK LOANS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||||
| Gaming |
||||||||||||||||||
| Scientific Games Corp.(b) |
Ba1 | 3.000% | 06/30/15 | $ | 650 | $ | 643,094 | |||||||||||
| Healthcare & Pharmaceutical — 0.1% |
||||||||||||||||||
| Davita, Inc.(b) |
Ba2 | 4.500% | 10/20/16 | 1,293 | 1,291,851 | |||||||||||||
| HCA, Inc.(b) |
Ba3 | 3.495% | 05/01/18 | 370 | 358,306 | |||||||||||||
| HCA, Inc.(b) |
Ba3 | 3.711% | 03/31/17 | 886 | 859,882 | |||||||||||||
| RPI Finance Trust(b) |
Baa2 | 4.000% | 11/09/18 | 1,083 | 1,073,518 | |||||||||||||
| 3,583,557 | ||||||||||||||||||
| Metals |
||||||||||||||||||
| Schaeffler AG(b) |
B1 | 6.000% | 01/27/17 | 750 | 748,828 | |||||||||||||
| Pipelines & Other |
||||||||||||||||||
| Energy Transfer Equity LP(b) |
Ba2 | 3.750% | 03/23/17 | 900 | 879,429 | |||||||||||||
| Technology — 0.1% |
||||||||||||||||||
| First Data Corp.(b) |
B1 | 4.250% | 03/26/18 | 2,134 | 1,956,489 | |||||||||||||
| First Data Corp.(b) |
B1 | 5.250% | 03/24/17 | 162 | 153,862 | |||||||||||||
| Flextronics International Ltd. (Singapore)(b) |
Ba1 | 2.489% | 10/01/14 | 536 | 523,394 | |||||||||||||
| Flextronics International Ltd. (Singapore)(b) |
Ba1 | 2.500% | 10/01/14 | 154 | 150,400 | |||||||||||||
| 2,784,145 | ||||||||||||||||||
| TOTAL BANK LOANS |
|
9,717,965 | ||||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS — 0.2% | ||||||||||||||||||
| Banc of America Alternative Loan Trust, Ser. 2005-12, Class 3CB1 |
Caa2 | 6.000% | 01/25/36 | 2,820 | 2,106,771 | |||||||||||||
| Banc of America Mortgage Securities, Inc., Ser. 2005-A, Class 2A1(b) |
B2 | 3.002% | 02/25/35 | 629 | 541,607 | |||||||||||||
| Banc of America Mortgage Securities, Inc., Ser. 2005-B, Class 2A1(b) |
Caa1 | 3.029% | 03/25/35 | 502 | 424,663 | |||||||||||||
| Chase Mortgage Finance Corp., Ser. 2007-A1, Class 1A5(b) |
Ba2 | 2.894% | 02/25/37 | 1,462 | 1,403,701 | |||||||||||||
| Countrywide Alternative Loan Trust, Ser. 2004-18CB, Class 3A1 |
Ba3 | 5.250% | 09/25/19 | 582 | 595,802 | |||||||||||||
| JPMorgan Mortgage Trust, Ser. 2007-A1, Class 4A1(b) |
B1 | 2.880% | 07/25/35 | 940 | 896,083 | |||||||||||||
| MASTR Alternative Loans Trust, Ser. 2004-4, Class 4A1 |
Baa1 | 5.000% | 04/25/19 | 193 | 199,520 | |||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Ser. 2004-1, |
Baa1 | 2.740% | 02/25/34 | 535 | 517,683 | |||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
CCC(e) | 5.000% | 03/25/20 | 247 | 233,145 | |||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
6,918,975 | ||||||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.2% | ||||||||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2004-2, Class A4 |
Aaa | 4.153% | 11/10/38 | 2,409 | 2,475,761 | |||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2006-4, Class A3A |
Aaa | 5.600% | 07/10/46 | 3,700 | 3,758,897 | |||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2007-3, Class A2(b) |
Aaa | 5.805% | 06/10/49 | 1,206 | 1,211,934 | |||||||||||||
| Banc of America Commercial Mortgage, Inc., Ser. 2007-5, Class A3 |
AAA(e) | 5.620% | 02/10/51 | 1,920 | 2,043,437 | |||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2006-6, |
Aaa | 5.369% | 10/10/45 | 3,900 | 4,204,535 | |||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Ser. 2007-2, |
AAA(e) | 5.780% | 04/10/49 | 1,500 | 1,652,677 | |||||||||||||
| Bear Stearns Commercial Mortgage Securities, Inc., Ser. 2005-PW10, |
AAA(e) | 5.405% | 12/11/40 | 2,000 | 2,234,914 | |||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD2, |
Aaa | 5.482% | 01/15/46 | 1,200 | 1,335,624 | |||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser. 2006-CD3, |
Aaa | 5.617% | 10/15/48 | 580 | 656,577 | |||||||||||||
| Commercial Mortgage Acceptance Corp., Ser. 1998-C2, Class F, 144A |
AA-(e) | 5.440% | 09/15/30 | 511 | 525,916 | |||||||||||||
| Commercial Mortgage Pass Through Certificates, Ser. 2006-C7, |
AAA(e) | 5.941% | 06/10/46 | 5,450 | 6,136,564 | |||||||||||||
| Commercial Mortgage Pass Through Certificates, Ser. 2006-C8, |
Aaa | 5.248% | 12/10/46 | 399 | 400,711 | |||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Ser. 2004-C3, |
Aaa | 4.835% | 07/15/36 | 371 | 376,634 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A65
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., |
Aaa | 4.283% | 10/15/39 | $ | 23 | $ | 23,466 | |||||||||
| Credit Suisse First Boston Mortgage Securities Corp., |
Aa2 | 4.832% | 04/15/37 | 1,900 | 2,013,588 | |||||||||||
| Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class A4(b) |
AAA(e) | 5.593% | 02/15/39 | 2,700 | 3,017,482 | |||||||||||
| Credit Suisse Mortgage Capital Certificates, Ser. 2006-C1, Class AM(b) |
AA-(e) | 5.593% | 02/15/39 | 640 | 693,600 | |||||||||||
| CW Capital Cobalt Ltd., Ser. 2006-C1, Class A4 |
AA-(e) | 5.223% | 08/15/48 | 1,230 | 1,358,642 | |||||||||||
| CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(b) |
AAA(e) | 6.007% | 05/15/46 | 2,200 | 2,345,638 | |||||||||||
| FHLMC Multifamily Structured Pass Through Certificates, I/O, |
Aaa | 1.880% | 08/25/16 | 7,882 | 427,075 | |||||||||||
| GE Capital Commercial Mortgage Corp., Ser. 2005-C4, Class A4(b) |
Aaa | 5.486% | 11/10/45 | 2,585 | 2,889,924 | |||||||||||
| GE Capital Commercial Mortgage Corp., Ser. 2006-C1, Class A4(b) |
AAA(e) | 5.481% | 03/10/44 | 2,060 | 2,295,738 | |||||||||||
| GMAC Commercial Mortgage Securities, Inc., Ser. 2005-C1, Class A5 |
AAA(e) | 4.697% | 05/10/43 | 2,720 | 2,899,482 | |||||||||||
| Greenwich Capital Commercial Funding Corp., |
Aaa | 4.569% | 08/10/42 | 949 | 960,560 | |||||||||||
| Greenwich Capital Commercial Funding Corp., |
Aa2 | 5.224% | 04/10/37 | 8,050 | 8,797,378 | |||||||||||
| Greenwich Capital Commercial Funding Corp., |
Aaa | 6.071% | 07/10/38 | 1,940 | 2,211,266 | |||||||||||
| Greenwich Capital Commercial Funding Corp., |
Aaa | 5.381% | 03/10/39 | 2,915 | 2,982,539 | |||||||||||
| GS Mortgage Securities Corp. II, Ser. 2006-GG6, Class AAB(b) |
AAA(e) | 5.587% | 04/10/38 | 5,255 | 5,560,357 | |||||||||||
| GS Mortgage Securities Corp. II, Ser. 2007-GG10, Class A2(b) |
Aaa | 5.778% | 08/10/45 | 1,047 | 1,055,300 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 4.853% | 03/15/46 | 1,801 | 1,865,295 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 4.697% | 07/15/42 | 317 | 319,562 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aa2 | 4.780% | 07/15/42 | 1,000 | 1,062,637 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 4.659% | 07/15/42 | 3,105 | 3,222,519 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aa2 | 4.999% | 10/15/42 | 1,270 | 1,359,282 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 5.523% | 05/12/45 | 3,229 | 3,444,823 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., I/O, |
Aaa | 0.050% | 04/15/43 | 88,483 | 64,151 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 6.064% | 04/15/45 | 563 | 573,224 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 5.827% | 02/15/51 | 1,416 | 1,428,037 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
Aaa | 3.139% | 06/15/45 | 2,100 | 2,150,914 | |||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2004-C6, Class A5(b) |
AAA(e) | 4.826% | 08/15/29 | 2,876 | 2,923,978 | |||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2005-C7, Class AM(b) |
AA(e) | 5.263% | 11/15/40 | 1,510 | 1,639,375 | |||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C1, Class A2 |
AAA(e) | 5.084% | 02/15/31 | 3,093 | 3,107,457 | |||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A2 |
Aaa | 5.532% | 03/15/32 | 55 | 54,777 | |||||||||||
| LB-UBS Commercial Mortgage Trust, Ser. 2006-C3, Class A4(b) |
Aaa | 5.661% | 03/15/39 | 2,676 | 3,005,758 | |||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2004-KEY2, Class A3 |
Aaa | 4.615% | 08/12/39 | 2,000 | 2,063,046 | |||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2006-C1, Class AM(b) |
A(e) | 5.848% | 05/12/39 | 930 | 1,004,845 | |||||||||||
| Merrill Lynch Mortgage Trust, Ser. 2008-C1, Class A2 |
Aaa | 5.425% | 02/12/51 | 130 | 131,054 | |||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
A(e) | 5.657% | 02/12/39 | 530 | 562,564 | |||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
Aaa | 6.093% | 06/12/46 | 1,795 | 2,034,753 | |||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
Aaa | 5.331% | 03/12/51 | 2,495 | 2,557,251 | |||||||||||
| Morgan Stanley Capital I, Ser. 2006-HQ8, Class A4(b) |
Aaa | 5.600% | 03/12/44 | 1,500 | 1,671,319 | |||||||||||
| Morgan Stanley Capital I, Ser. 2006-IQ11, Class A4(b) |
AAA(e) | 5.894% | 10/15/42 | 2,600 | 2,927,595 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A66
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Morgan Stanley Capital I, Ser. 2006-IQ12, Class A4 |
AAA(e) | 5.332% | 12/15/43 | $ | 4,720 | $ | 5,361,929 | |||||||||
| Morgan Stanley Capital I, Ser. 2007-HQ11, Class A31 |
Aaa | 5.439% | 02/12/44 | 1,230 | 1,294,045 | |||||||||||
| Morgan Stanley Capital I, Ser. 2007-HQ11, Class AAB |
Aaa | 5.444% | 02/12/44 | 4,362 | 4,566,767 | |||||||||||
| Morgan Stanley Capital I, Ser. 2007-T27, Class AAB(b) |
AAA(e) | 5.824% | 06/11/42 | 1,105 | 1,154,300 | |||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C23, Class A4(b) |
Aaa | 5.418% | 01/15/45 | 5,000 | 5,557,745 | |||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2006-C25, Class A4(b) |
Aaa | 5.922% | 05/15/43 | 1,000 | 1,136,601 | |||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C31, Class A4 |
Aa2 | 5.509% | 04/15/47 | 4,500 | 4,924,921 | |||||||||||
| Wachovia Bank Commercial Mortgage Trust, Ser. 2007-C33, Class A4(b) |
Aaa | 6.097% | 02/15/51 | 4,610 | 5,166,090 | |||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
134,882,830 | ||||||||||||||
| CORPORATE BONDS — 8.8% | ||||||||||||||||
| Aerospace & Defense |
||||||||||||||||
| L-3 Communications Corp., Gtd. Notes |
Baa3 | 4.750% | 07/15/20 | 515 | 549,307 | |||||||||||
| Airlines — 0.1% |
||||||||||||||||
| Continental Airlines 1998-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 981A |
Baa2 | 6.648% | 09/15/17 | 203 | 213,509 | |||||||||||
| Continental Airlines 2009-2 Class A Pass Through Trust, Pass-thru Certs., Ser. A |
Baa2 | 7.250% | 11/10/19 | 712 | 803,207 | |||||||||||
| Continental Airlines, Inc., Pass Through Trust, Pass-thru Certs., Ser. 2010-A, Class A(a) |
Baa2 | 4.750% | 01/12/21 | 839 | 878,362 | |||||||||||
| Delta Air Lines 2007-1 Class A Pass Through Trust, Pass-thru Certs., Ser. 071A |
Baa2 | 6.821% | 08/10/22 | 381 | 409,710 | |||||||||||
| Delta Air Lines 2011-1 Class A Pass Through Trust, Pass-thru Certs., Ser. A(a) |
Baa2 | 5.300% | 04/15/19 | 1,382 | 1,475,719 | |||||||||||
| Delta Air Lines, Inc., Pass Through Trust, Pass-thru Certs., |
Baa2 | 4.950% | 05/23/19 | 701 | 744,714 | |||||||||||
| 4,525,221 | ||||||||||||||||
| Automotive — 0.1% |
||||||||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A |
Baa3 | 3.984% | 06/15/16 | 415 | 427,412 | |||||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec’d. Notes, 144A |
Baa3 | 4.207% | 04/15/16 | 1,655 | 1,718,516 | |||||||||||
| Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, MTN |
Baa1 | 2.700% | 03/15/17 | 450 | 456,525 | |||||||||||
| Harley-Davidson Funding Corp., Gtd. Notes, 144A, MTN |
Baa1 | 5.750% | 12/15/14 | 500 | 541,439 | |||||||||||
| Johnson Controls, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.500% | 01/15/16 | 245 | 275,393 | |||||||||||
| 3,419,285 | ||||||||||||||||
| Banking — 2.4% |
||||||||||||||||
| American Express Co., Sr. Unsec’d. Notes(a) |
A3 | 8.125% | 05/20/19 | 1,925 | 2,563,336 | |||||||||||
| American Express Credit Corp., Sr. Unsec’d. Notes, MTN |
A2 | 2.800% | 09/19/16 | 2,030 | 2,117,625 | |||||||||||
| Banco Bradesco SA (Brazil), Sub. Notes |
Baa1 | 8.750% | 10/24/13 | 1,760 | 1,892,000 | |||||||||||
| Bank of America Corp., Jr. Sub. Notes, Ser. K(b) |
B1 | 8.000% | 12/29/49 | 2,200 | 2,291,696 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 4.500% | 04/01/15 | 595 | 613,304 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, MTN |
Baa2 | 5.000% | 05/13/21 | 630 | 649,975 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 5.700% | 01/24/22 | 1,260 | 1,387,630 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes |
Baa2 | 6.000% | 09/01/17 | 1,060 | 1,143,937 | |||||||||||
| Bank of America Corp., Sr. Unsec’d. Notes, Ser. 1 |
Baa2 | 3.750% | 07/12/16 | 870 | 877,077 | |||||||||||
| Bank of America Corp., Sub. Notes(a) |
Baa3 | 5.750% | 08/15/16 | 1,775 | 1,845,789 | |||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 5.300% | 03/15/17 | 930 | 968,251 | |||||||||||
| Bank of America NA, Sub. Notes |
Baa1 | 6.000% | 10/15/36 | 410 | 431,190 | |||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
A2 | 5.300% | 10/30/15 | 515 | 558,859 | |||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
A2 | 6.400% | 10/02/17 | 330 | 380,550 | |||||||||||
| Bear Stearns Cos. LLC (The), Sr. Unsec’d. Notes |
A2 | 7.250% | 02/01/18 | 1,175 | 1,404,745 | |||||||||||
| Capital One Bank USA NA, Sub. Notes |
Baa1 | 6.500% | 06/13/13 | 20 | 20,961 | |||||||||||
| Capital One Bank USA NA, Sub. Notes |
Baa1 | 8.800% | 07/15/19 | 1,300 | 1,637,158 | |||||||||||
| Capital One Capital VI, Ltd. Gtd. Notes |
Baa3 | 8.875% | 05/15/40 | 1,080 | 1,097,550 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 3.953% | 06/15/16 | 1,010 | 1,034,905 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes(a) |
Baa2 | 4.500% | 01/14/22 | 1,660 | 1,714,538 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 4.750% | 05/19/15 | 2,265 | 2,377,437 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A67
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Banking (continued) |
||||||||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 05/15/18 | $ | 1,155 | $ | 1,289,643 | |||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.875% | 03/05/38 | 215 | 262,984 | |||||||||||
| Citigroup, Inc., Sr. Unsec’d. Notes |
Baa2 | 8.125% | 07/15/39 | 710 | 947,491 | |||||||||||
| Citigroup, Inc., Sub. Notes |
Baa3 | 5.000% | 09/15/14 | 454 | 465,380 | |||||||||||
| Citigroup, Inc., Sub. Notes |
Baa3 | 5.625% | 08/27/12 | 2,800 | 2,817,020 | |||||||||||
| Citigroup, Inc., Sub. Notes(a) |
Baa3 | 6.125% | 08/25/36 | 570 | 560,639 | |||||||||||
| Citigroup, Inc., Unsec’d. Notes(a) |
Baa2 | 8.500% | 05/22/19 | 1,895 | 2,340,384 | |||||||||||
| Depfa ACS Bank (Ireland), Covered Notes, 144A |
Aa3 | 5.125% | 03/16/37 | 1,380 | 961,165 | |||||||||||
| Discover Bank, Sub. Notes |
Ba1 | 7.000% | 04/15/20 | 570 | 663,406 | |||||||||||
| Discover Bank, Sub. Notes |
Ba1 | 8.700% | 11/18/19 | 900 | 1,118,158 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Notes(a) |
A3 | 6.250% | 02/01/41 | 270 | 281,544 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 3.625% | 02/07/16 | 2,000 | 2,000,220 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes(f) |
A3 | 5.250% | 07/27/21 | 2,055 | 2,087,506 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 5.450% | 11/01/12 | 600 | 608,702 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 5.750% | 01/24/22 | 440 | 464,466 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/20 | 1,000 | 1,067,569 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 5.625% | 01/15/17 | 1,190 | 1,248,193 | |||||||||||
| Goldman Sachs Group, Inc. (The), Sub. Notes |
Baa1 | 6.750% | 10/01/37 | 104 | 101,926 | |||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
Aa3 | 4.875% | 01/14/22 | 1,910 | 2,111,360 | |||||||||||
| HSBC Holdings PLC (United Kingdom), Sr. Unsec’d. Notes |
Aa3 | 5.100% | 04/05/21 | 1,025 | 1,144,361 | |||||||||||
| Huntington BancShares, Inc., Sub. Notes |
Baa2 | 7.000% | 12/15/20 | 170 | 199,057 | |||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes, Ser. 1(b) |
Ba1 | 7.900% | 04/29/49 | 2,000 | 2,192,580 | |||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes |
A2 | 3.150% | 07/05/16 | 3,210 | 3,301,177 | |||||||||||
| JPMorgan Chase & Co., Sr. Unsec’d. Notes(f) |
A2 | 4.250% | 10/15/20 | 2,930 | 3,078,006 | |||||||||||
| JPMorgan Chase Capital XXVII, Ltd. Gtd. Notes, Ser. AA |
Baa2 | 7.000% | 11/01/39 | 1,500 | 1,500,000 | |||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes, 144A, MTN |
A2 | 5.800% | 01/13/20 | 1,870 | 1,999,051 | |||||||||||
| Lloyds TSB Bank PLC (United Kingdom), Gtd. Notes. |
A2 | 6.375% | 01/21/21 | 1,400 | 1,586,592 | |||||||||||
| Merrill Lynch & Co., Inc., Sr. Unsec’d. Notes, MTN |
Baa2 | 6.400% | 08/28/17 | 35 | 38,071 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes |
Baa1 | 5.500% | 07/28/21 | 760 | 748,795 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes(a) |
Baa1 | 5.750% | 01/25/21 | 1,400 | 1,380,459 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.625% | 09/23/19 | 1,415 | 1,400,426 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 5.950% | 12/28/17 | 510 | 523,852 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, MTN |
Baa1 | 6.625% | 04/01/18 | 105 | 109,785 | |||||||||||
| Morgan Stanley, Sr. Unsec’d. Notes, Ser. G, MTN |
Baa1 | 5.450% | 01/09/17 | 2,345 | 2,368,194 | |||||||||||
| MUFG Capital Finance 1 Ltd. (Cayman Islands), Gtd. Notes(b) |
Ba1 | 6.346% | 07/29/49 | 800 | 859,958 | |||||||||||
| PNC Funding Corp., Gtd. Notes. |
A3 | 2.700% | 09/19/16 | 1,110 | 1,150,363 | |||||||||||
| PNC Funding Corp., Gtd. Notes.(a) |
A3 | 6.700% | 06/10/19 | 440 | 547,095 | |||||||||||
| Royal Bank of Scotland Group PLC (United Kingdom), |
Baa1 | 6.400% | 10/21/19 | 1,775 | 1,892,785 | |||||||||||
| UBS AG London (Switzerland), Covered Notes, 144A |
Aaa | 2.250% | 03/30/17 | 950 | 952,920 | |||||||||||
| USB Capital XIII Trust, Ltd. Gtd. Notes |
A2 | 6.625% | 12/15/39 | 775 | 781,332 | |||||||||||
| Wells Fargo Bank NA, Sub. Notes, Ser. AI |
A1 | 4.750% | 02/09/15 | 585 | 626,941 | |||||||||||
| 76,788,069 | ||||||||||||||||
| Brokerage |
||||||||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(g) |
NR | 6.875% | 02/06/12 | 1,715 | 390,162 | |||||||||||
| Lehman Brothers Holdings, Inc., Sr. Unsec’d. Notes, MTN(a)(g) |
NR | 6.875% | 05/02/18 | 700 | 162,750 | |||||||||||
| 552,912 | ||||||||||||||||
| Cable — 0.2% |
||||||||||||||||
| AT&T Broadband LLC, Gtd. Notes |
Baa1 | 9.455% | 11/15/22 | 255 | 371,208 | |||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes |
B1 | 8.625% | 09/15/17 | 1,000 | 1,115,000 | |||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.400% | 05/15/38 | 570 | 694,837 | |||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.450% | 03/15/37 | 155 | 188,495 | |||||||||||
| Comcast Corp., Gtd. Notes |
Baa1 | 6.500% | 11/15/35 | 450 | 547,549 | |||||||||||
| Comcast Corp., Gtd. Notes(a) |
Baa1 | 6.950% | 08/15/37 | 605 | 777,072 | |||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.500% | 03/01/16 | 920 | 970,362 | |||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes |
Baa2 | 3.550% | 03/15/15 | 165 | 173,745 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A68
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Cable (continued) |
||||||||||||||||
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Gtd. Notes(a) |
Baa2 | 5.150% | 03/15/42 | $ | 1,560 | $ | 1,570,060 | |||||||||
| Time Warner Cable, Inc., Gtd. Notes |
Baa2 | 7.500% | 04/01/14 | 345 | 382,499 | |||||||||||
| 6,790,827 | ||||||||||||||||
| Capital Goods — 0.3% |
||||||||||||||||
| Actuant Corp., Gtd. Notes, 144A |
Ba2 | 5.625% | 06/15/22 | 1,205 | 1,238,138 | |||||||||||
| Deere & Co., Sr. Unsec’d. Notes |
A2 | 3.900% | 06/09/42 | 745 | 740,160 | |||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 5.800% | 10/15/12 | 460 | 465,656 | |||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 6.375% | 10/15/17 | 1,302 | 1,521,798 | |||||||||||
| ERAC USA Finance LLC, Gtd. Notes, 144A |
Baa1 | 7.000% | 10/15/37 | 380 | 458,067 | |||||||||||
| General Electric Co., Sr. Unsec’d. Notes |
Aa3 | 5.250% | 12/06/17 | 200 | 233,548 | |||||||||||
| Illinois Tool Works, Inc., Sr. Unsec’d. Notes, 144A |
A1 | 4.875% | 09/15/41 | 215 | 244,645 | |||||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., Unsec’d. Notes, 144A |
Baa3 | 3.125% | 05/11/15 | 500 | 502,990 | |||||||||||
| United Technologies Corp., Sr. Unsec’d. Notes(a) |
A2 | 4.500% | 06/01/42 | 1,830 | 2,010,081 | |||||||||||
| Xylem, Inc., Sr. Unsec’d. Notes, 144A |
Baa2 | 4.875% | 10/01/21 | 1,260 | 1,393,597 | |||||||||||
| 8,808,680 | ||||||||||||||||
| Chemicals — 0.2% |
||||||||||||||||
| Ashland, Inc., Sr. Sec’d. Notes |
Baa3 | 9.125% | 06/01/17 | 1,400 | 1,540,000 | |||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa3 | 7.600% | 05/15/14 | 1,800 | 2,003,699 | |||||||||||
| Dow Chemical Co. (The), Sr. Unsec’d. Notes |
Baa3 | 9.400% | 05/15/39 | 432 | 687,930 | |||||||||||
| ICI Wilmington, Inc., Gtd. Notes |
Baa1 | 5.625% | 12/01/13 | 720 | 757,773 | |||||||||||
| PPG Industries, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.500% | 11/15/40 | 150 | 176,387 | |||||||||||
| Union Carbide Corp., Sr. Unsec’d. Notes |
Baa3 | 7.500% | 06/01/25 | 460 | 553,217 | |||||||||||
| 5,719,006 | ||||||||||||||||
| Consumer — 0.1% |
||||||||||||||||
| Newell Rubbermaid, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.250% | 04/15/18 | 1,700 | 1,959,716 | |||||||||||
| Sealy Mattress Co., Sr. Sec’d. Notes, 144A |
Ba3 | 10.875% | 04/15/16 | 1,254 | 1,360,602 | |||||||||||
| 3,320,318 | ||||||||||||||||
| Electric — 0.5% |
||||||||||||||||
| Arizona Public Service Co., Sr. Unsec’d. Notes |
Baa1 | 6.250% | 08/01/16 | 175 | 205,285 | |||||||||||
| Baltimore Gas & Electric Co., Sr. Unsec’d. Notes |
Baa1 | 6.350% | 10/01/36 | 550 | 727,991 | |||||||||||
| Carolina Power & Light Co., First Mtge. Bonds |
A1 | 5.250% | 12/15/15 | 525 | 597,408 | |||||||||||
| CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. J2 |
A3 | 5.700% | 03/15/13 | 740 | 766,250 | |||||||||||
| CenterPoint Energy Houston Electric LLC, Genl. Ref. Mtge., Ser. K2 |
A3 | 6.950% | 03/15/33 | 590 | 817,173 | |||||||||||
| Consolidated Edison Co. of New York, Inc., Sr. Unsec’d. Notes, Ser. 09-C |
A3 | 5.500% | 12/01/39 | 220 | 276,465 | |||||||||||
| Duke Energy Carolinas LLC, First Mtge. Bonds(a) |
A1 | 6.050% | 04/15/38 | 550 | 729,535 | |||||||||||
| El Paso Electric Co., Sr. Unsec’d. Notes(a) |
Baa2 | 6.000% | 05/15/35 | 670 | 790,465 | |||||||||||
| Empresa Nacional de Electricidad SA (Chile), Sr. Unsec’d. Notes |
Baa2 | 8.625% | 08/01/15 | 1,295 | 1,517,082 | |||||||||||
| ENEL Finance International SA (Luxembourg), Gtd. Notes, 144A |
Baa1 | 6.000% | 10/07/39 | 1,280 | 1,004,874 | |||||||||||
| Exelon Corp., Sr. Unsec’d. Notes |
Baa2 | 4.900% | 06/15/15 | 155 | 168,467 | |||||||||||
| Exelon Generation Co. LLC, Sr. Unsec’d. Notes |
Baa1 | 6.250% | 10/01/39 | 1,425 | 1,543,626 | |||||||||||
| Florida Power & Light Co., First Mtge. Bonds |
Aa3 | 5.950% | 10/01/33 | 295 | 389,067 | |||||||||||
| Georgia Power Co., Sr. Unsec’d. Notes, Ser. B |
A3 | 5.700% | 06/01/17 | 495 | 591,125 | |||||||||||
| Iberdrola International BV (Netherlands), Gtd. Notes |
Baa1 | 6.750% | 09/15/33 | 145 | 137,085 | |||||||||||
| Indiana Michigan Power Co., Sr. Unsec’d. Notes, Ser. INDF |
Baa2 | 5.050% | 11/15/14 | 460 | 493,667 | |||||||||||
| MidAmerican Energy Holdings Co., Sr. Unsec’d. Notes |
Baa1 | 5.950% | 05/15/37 | 300 | 372,102 | |||||||||||
| Nevada Power Co., Genl. Ref. Mtge., Ser. O |
Baa1 | 6.500% | 05/15/18 | 1,260 | 1,550,831 | |||||||||||
| Niagara Mohawk Power Corp., Sr. Unsec’d. Notes, 144A |
A3 | 4.881% | 08/15/19 | 610 | 689,639 | |||||||||||
| NSTAR, Sr. Unsec’d. Notes |
A3 | 4.500% | 11/15/19 | 615 | 685,826 | |||||||||||
| Oncor Electric Delivery Co. LLC, Sr. Sec’d. Notes(a) |
Baa1 | 6.375% | 01/15/15 | 345 | 381,536 | |||||||||||
| Public Service Co. of New Mexico, Sr. Unsec’d. Notes |
Baa3 | 7.950% | 05/15/18 | 140 | 167,650 | |||||||||||
| Public Service Electric & Gas Co., Sr. Sec’d. Notes, MTN |
A1 | 5.800% | 05/01/37 | 535 | 694,974 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A69
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Electric (continued) |
||||||||||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 4.800% | 09/15/41 | $ | 480 | $ | 537,128 | |||||||||
| Xcel Energy, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.613% | 04/01/17 | 199 | 230,653 | |||||||||||
| 16,065,904 | ||||||||||||||||
| Energy-Integrated — 0.1% |
||||||||||||||||
| BP Capital Markets PLC (United Kingdom), Gtd. Notes |
A2 | 4.500% | 10/01/20 | 535 | 602,322 | |||||||||||
| BP Capital Markets PLC (United Kingdom), Gtd. Notes |
A2 | 5.250% | 11/07/13 | 1,040 | 1,101,989 | |||||||||||
| 1,704,311 | ||||||||||||||||
| Energy-Other — 0.4% |
||||||||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.375% | 09/15/17 | 1,195 | 1,388,153 | |||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.450% | 09/15/36 | 325 | 375,742 | |||||||||||
| Anadarko Petroleum Corp., Sr. Unsec’d. Notes |
Baa3 | 6.950% | 06/15/19 | 250 | 306,387 | |||||||||||
| Cameron International Corp., Sr. Unsec’d. Notes |
Baa1 | 4.500% | 06/01/21 | 2,200 | 2,353,111 | |||||||||||
| Devon Energy Corp., Sr. Unsec’d. Notes(a) |
Baa1 | 4.750% | 05/15/42 | 1,065 | 1,117,560 | |||||||||||
| Nabors Industries, Inc., Gtd. Notes |
Baa2 | 4.625% | 09/15/21 | 1,070 | 1,111,780 | |||||||||||
| Phillips 66, Gtd. Notes, 144A |
Baa1 | 2.950% | 05/01/17 | 490 | 503,508 | |||||||||||
| Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
Baa3 | 6.875% | 05/01/18 | 1,500 | 1,765,252 | |||||||||||
| Transocean, Inc. (Cayman Islands), Gtd. Notes |
Baa3 | 7.350% | 12/15/41 | 170 | 205,683 | |||||||||||
| Weatherford International Ltd. (Bermuda), Gtd. Notes(a) |
Baa2 | 5.125% | 09/15/20 | 810 | 869,575 | |||||||||||
| Woodside Finance Ltd. (Australia), Gtd. Notes, 144A |
Baa1 | 5.000% | 11/15/13 | 1,315 | 1,371,010 | |||||||||||
| 11,367,761 | ||||||||||||||||
| Foods — 0.3% |
||||||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 8.000% | 11/15/39 | 1,285 | 2,020,370 | |||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes |
A3 | 8.200% | 01/15/39 | 250 | 397,466 | |||||||||||
| ARAMARK Corp., Gtd. Notes(a) |
B3 | 8.500% | 02/01/15 | 850 | 870,196 | |||||||||||
| Beam, Inc., Sr. Unsec’d. Notes |
Baa2 | 6.375% | 06/15/14 | 727 | 796,338 | |||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
Baa2 | 5.350% | 04/15/14 | 1,040 | 1,097,408 | |||||||||||
| Bunge Ltd. Finance Corp., Gtd. Notes |
Baa2 | 8.500% | 06/15/19 | 985 | 1,229,717 | |||||||||||
| Cargill, Inc., Sr. Unsec’d. Notes, 144A |
A2 | 6.000% | 11/27/17 | 670 | 796,907 | |||||||||||
| Delhaize Group SA (Belgium), Gtd. Notes |
Baa3 | 6.500% | 06/15/17 | 480 | 533,316 | |||||||||||
| Kraft Foods Group, Inc., Gtd. Notes, 144A(a) |
Baa2 | 5.000% | 06/04/42 | 680 | 719,696 | |||||||||||
| Smithfield Foods, Inc., Sr. Sec’d. Notes |
Ba2 | 10.000% | 07/15/14 | 1,321 | 1,507,591 | |||||||||||
| Tyson Foods, Inc., Gtd. Notes |
Baa3 | 6.850% | 04/01/16 | 735 | 840,656 | |||||||||||
| 10,809,661 | ||||||||||||||||
| Gaming — 0.1% |
||||||||||||||||
| MGM Resorts International, Sr. Sec’d. Notes |
Ba2 | 13.000% | 11/15/13 | 1,260 | 1,436,400 | |||||||||||
| Healthcare & Pharmaceutical — 0.3% |
||||||||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.150% | 11/15/41 | 1,640 | 1,712,021 | |||||||||||
| Amgen, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.375% | 05/15/43 | 1,110 | 1,200,736 | |||||||||||
| Aristotle Holding, Inc., Gtd. Notes, 144A |
Baa3 | 2.750% | 11/21/14 | 2,460 | 2,512,629 | |||||||||||
| Genentech, Inc., Sr. Unsec’d. Notes |
AA-(e) | 4.750% | 07/15/15 | 280 | 309,433 | |||||||||||
| Gilead Sciences, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 5.650% | 12/01/41 | 565 | 658,598 | |||||||||||
| Laboratory Corp. of America Holdings, Sr. Unsec’d. Notes |
Baa2 | 5.625% | 12/15/15 | 580 | 654,927 | |||||||||||
| Merck & Co., Inc., Sr. Unsec’d. Notes |
Aa3 | 5.950% | 12/01/28 | 165 | 216,171 | |||||||||||
| Watson Pharmaceuticals, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.125% | 08/15/19 | 445 | 511,611 | |||||||||||
| Wyeth, Gtd. Notes |
A1 | 6.450% | 02/01/24 | 60 | 80,740 | |||||||||||
| 7,856,866 | ||||||||||||||||
| Healthcare Insurance — 0.3% |
||||||||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.500% | 09/15/18 | 1,570 | 1,937,275 | |||||||||||
| Aetna, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.625% | 06/15/36 | 515 | 658,577 | |||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 5.875% | 03/15/41 | 650 | 739,695 | |||||||||||
| CIGNA Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 11/15/36 | 670 | 785,448 | |||||||||||
| Coventry Health Care, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.125% | 01/15/15 | 1,290 | 1,407,029 | |||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 5.950% | 02/15/41 | 730 | 936,167 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A70
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Healthcare Insurance (continued) |
||||||||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.000% | 06/15/17 | $ | 195 | $ | 234,796 | |||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 06/15/37 | 420 | 556,846 | |||||||||||
| UnitedHealth Group, Inc., Sr. Unsec’d. Notes |
A3 | 6.625% | 11/15/37 | 420 | 562,162 | |||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 4.625% | 05/15/42 | 515 | 530,902 | |||||||||||
| WellPoint, Inc., Sr. Unsec’d. Notes |
Baa1 | 5.000% | 12/15/14 | 860 | 934,441 | |||||||||||
| 9,283,338 | ||||||||||||||||
| Insurance — 0.8% |
||||||||||||||||
| Allied World Assurance Co. Holdings Ltd. (Switzerland), Gtd. Notes |
Baa1 | 5.500% | 11/15/20 | 525 | 551,507 | |||||||||||
| Allstate Corp. (The), Sr. Unsec’d. Notes |
A3 | 5.200% | 01/15/42 | 140 | 157,235 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 4.250% | 05/15/13 | 580 | 591,579 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 6.400% | 12/15/20 | 1,055 | 1,193,708 | |||||||||||
| American International Group, Inc., Sr. Unsec’d. Notes |
Baa1 | 8.250% | 08/15/18 | 990 | 1,195,115 | |||||||||||
| AON Corp., Sr. Unsec’d. Notes |
Baa2 | 3.125% | 05/27/16 | 2,655 | 2,766,236 | |||||||||||
| Axis Specialty Finance LLC, Gtd. Notes(a) |
Baa1 | 5.875% | 06/01/20 | 1,030 | 1,115,456 | |||||||||||
| Chubb Corp. (The), Jr. Sub. Notes(a)(b) |
A3 | 6.375% | 03/29/67 | 1,300 | 1,342,250 | |||||||||||
| Hartford Financial Services Group, Inc., Sr. Unsec’d. Notes(a) |
Baa3 | 5.125% | 04/15/22 | 755 | 777,466 | |||||||||||
| Liberty Mutual Group, Inc., Bonds, 144A |
Baa2 | 7.000% | 03/15/34 | 850 | 908,533 | |||||||||||
| Liberty Mutual Group, Inc., Gtd. Notes, 144A |
Baa2 | 6.500% | 05/01/42 | 365 | 369,452 | |||||||||||
| Lincoln National Corp., Jr. Sub. Notes(b) |
Ba1 | 6.050% | 04/20/67 | 260 | 237,900 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 6.300% | 10/09/37 | 492 | 530,729 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 7.000% | 06/15/40 | 705 | 831,545 | |||||||||||
| Lincoln National Corp., Sr. Unsec’d. Notes |
Baa2 | 8.750% | 07/01/19 | 605 | 761,864 | |||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 5.700% | 06/15/35 | 835 | 989,852 | |||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 6.375% | 06/15/34 | 400 | 503,430 | |||||||||||
| MetLife, Inc., Sr. Unsec’d. Notes |
A3 | 6.750% | 06/01/16 | 430 | 504,218 | |||||||||||
| New York Life Insurance Co., Sub. Notes, 144A |
Aa2 | 6.750% | 11/15/39 | 660 | 872,400 | |||||||||||
| Northwestern Mutual Life Insurance, Sub. Notes, 144A |
Aa2 | 6.063% | 03/30/40 | 370 | 450,519 | |||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
Baa1 | 6.350% | 04/01/13 | 1,120 | 1,120,633 | |||||||||||
| Ohio National Financial Services, Inc., Sr. Notes, 144A |
Baa1 | 6.375% | 04/30/20 | 680 | 765,119 | |||||||||||
| Pacific Life Insurance Co., Sub. Notes, 144A |
A3 | 9.250% | 06/15/39 | 995 | 1,263,632 | |||||||||||
| Progressive Corp. (The), Jr. Sub. Notes(a)(b) |
A2 | 6.700% | 06/15/37 | 735 | 764,400 | |||||||||||
| Teachers Insurance & Annuity Association of America, |
Aa2 | 6.850% | 12/16/39 | 1,450 | 1,872,331 | |||||||||||
| Unum Group, Sr. Unsec’d. Notes |
Baa3 | 5.625% | 09/15/20 | 350 | 376,463 | |||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
Baa2 | 5.600% | 05/15/15 | 555 | 597,675 | |||||||||||
| W.R. Berkley Corp., Sr. Unsec’d. Notes |
Baa2 | 6.150% | 08/15/19 | 460 | 513,130 | |||||||||||
| XL Group PLC (Ireland), Sr. Unsec’d. Notes |
Baa2 | 5.250% | 09/15/14 | 85 | 89,536 | |||||||||||
| 24,013,913 | ||||||||||||||||
| Lodging — 0.2% |
||||||||||||||||
| Felcor Lodging LP, Sr. Sec’d. Notes |
B2 | 10.000% | 10/01/14 | 900 | 1,026,000 | |||||||||||
| Host Marriott LP, Gtd. Notes, Ser. O |
Ba1 | 6.375% | 03/15/15 | 750 | 761,250 | |||||||||||
| Marriott International, Inc., Sr. Unsec’d. Notes(a) |
Baa2 | 3.000% | 03/01/19 | 580 | 586,417 | |||||||||||
| Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec’d. Notes |
Baa3 | 6.750% | 05/15/18 | 2,800 | 3,252,368 | |||||||||||
| Wyndham Worldwide Corp., Sr. Unsec’d. Notes |
Baa3 | 4.250% | 03/01/22 | 1,055 | 1,062,323 | |||||||||||
| 6,688,358 | ||||||||||||||||
| Media & Entertainment — 0.2% |
||||||||||||||||
| CBS Corp., Gtd. Notes(a) |
Baa2 | 3.375% | 03/01/22 | 805 | 802,018 | |||||||||||
| Historic TW, Inc., Gtd. Notes |
Baa2 | 9.150% | 02/01/23 | 505 | 701,850 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.150% | 03/01/37 | 620 | 702,488 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.150% | 02/15/41 | 1,315 | 1,537,704 | |||||||||||
| News America, Inc., Gtd. Notes |
Baa1 | 6.900% | 08/15/39 | 90 | 107,539 | |||||||||||
| Time Warner Cos., Inc., Gtd. Notes(a) |
Baa2 | 7.250% | 10/15/17 | 790 | 984,560 | |||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 6.200% | 03/15/40 | 210 | 244,497 | |||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 6.250% | 03/29/41 | 1,465 | 1,703,461 | |||||||||||
| Time Warner, Inc., Gtd. Notes |
Baa2 | 7.625% | 04/15/31 | 180 | 232,495 | |||||||||||
| Viacom, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 6.750% | 10/05/37 | 430 | 546,180 | |||||||||||
| 7,562,792 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A71
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Metals — 0.2% |
||||||||||||||||
| ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a) |
Baa3 | 6.125% | 06/01/18 | $ | 1,030 | $ | 1,044,365 | |||||||||
| ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes(a) |
Baa3 | 6.250% | 02/25/22 | 570 | 558,263 | |||||||||||
| Freeport-McMoRan Copper & Gold, Inc., Sr. Unsec’d. Notes |
Baa3 | 3.550% | 03/01/22 | 1,185 | 1,165,895 | |||||||||||
| Newmont Mining Corp., Gtd. Notes |
Baa1 | 6.250% | 10/01/39 | 880 | 1,001,509 | |||||||||||
| Peabody Energy Corp., Gtd. Notes, 144A(a) |
Ba1 | 6.000% | 11/15/18 | 1,525 | 1,517,375 | |||||||||||
| Rio Tinto Alcan, Inc. (Canada), Sr. Unsec’d. Notes |
A-(e) | 4.500% | 05/15/13 | 115 | 118,382 | |||||||||||
| Southern Copper Corp., Sr. Unsec’d. Notes |
Baa2 | 7.500% | 07/27/35 | 425 | 487,870 | |||||||||||
| Teck Resources Ltd. (Canada), Gtd. Notes(a) |
Baa2 | 5.200% | 03/01/42 | 695 | 665,893 | |||||||||||
| Xstrata Finance Canada Ltd. (Canada), Gtd. Notes, 144A |
Baa2 | 2.850% | 11/10/14 | 1,185 | 1,207,528 | |||||||||||
| 7,767,080 | ||||||||||||||||
| Non-Captive Finance — 0.3% |
||||||||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, MTN(a) |
A1 | 5.875% | 01/14/38 | 1,750 | 2,009,007 | |||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN |
A1 | 6.000% | 08/07/19 | 920 | 1,076,470 | |||||||||||
| General Electric Capital Corp., Sr. Unsec’d. Notes, Ser. G, MTN(i) |
A1 | 6.875% | 01/10/39 | 1,625 | 2,096,464 | |||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
Ba3 | 5.750% | 05/15/16 | 375 | 380,468 | |||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes |
Ba3 | 6.375% | 03/25/13 | 1,850 | 1,889,313 | |||||||||||
| SLM Corp., Sr. Notes, MTN |
Ba1 | 6.250% | 01/25/16 | 570 | 598,500 | |||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.000% | 03/25/20 | 1,050 | 1,149,750 | |||||||||||
| SLM Corp., Sr. Unsec’d. Notes, MTN |
Ba1 | 8.450% | 06/15/18 | 1,070 | 1,198,400 | |||||||||||
| 10,398,372 | ||||||||||||||||
| Paper — 0.1% |
||||||||||||||||
| Georgia-Pacific LLC, Gtd. Notes, 144A |
Baa3 | 5.400% | 11/01/20 | 290 | 336,507 | |||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 6.000% | 11/15/41 | 885 | 997,767 | |||||||||||
| International Paper Co., Sr. Unsec’d. Notes |
Baa3 | 7.950% | 06/15/18 | 685 | 863,188 | |||||||||||
| Rock-Tenn Co., Unsec’d. Notes, 144A(a) |
Ba1 | 4.900% | 03/01/22 | 800 | 824,152 | |||||||||||
| 3,021,614 | ||||||||||||||||
| Pipelines & Other — 0.2% |
||||||||||||||||
| Energy Transfer Partners LP, Sr. Unsec’d. Notes |
Baa3 | 4.650% | 06/01/21 | 675 | 697,350 | |||||||||||
| NiSource Finance Corp., Gtd. Notes |
Baa3 | 5.250% | 09/15/17 | 245 | 273,557 | |||||||||||
| NiSource Finance Corp., Gtd. Notes |
Baa3 | 5.450% | 09/15/20 | 350 | 392,674 | |||||||||||
| ONEOK Partners LP, Gtd. Notes |
Baa2 | 6.650% | 10/01/36 | 145 | 170,265 | |||||||||||
| Sempra Energy, Sr. Unsec’d. Notes |
Baa1 | 6.000% | 02/01/13 | 90 | 92,712 | |||||||||||
| Spectra Energy Capital LLC, Gtd. Notes |
Baa2 | 6.200% | 04/15/18 | 3,190 | 3,807,724 | |||||||||||
| Spectra Energy Capital LLC, Gtd. Notes |
Baa2 | 6.250% | 02/15/13 | 235 | 241,735 | |||||||||||
| 5,676,017 | ||||||||||||||||
| Railroads — 0.1% |
||||||||||||||||
| Burlington Northern Santa Fe LLC, Sr. Unsec’d. Notes |
A3 | 6.700% | 08/01/28 | 670 | 829,707 | |||||||||||
| CSX Corp., Sr. Unsec’d. Notes |
Baa3 | 6.150% | 05/01/37 | 715 | 877,103 | |||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
Baa1 | 5.590% | 05/17/25 | 525 | 634,224 | |||||||||||
| Norfolk Southern Corp., Sr. Unsec’d. Notes |
Baa1 | 7.800% | 05/15/27 | 18 | 25,885 | |||||||||||
| 2,366,919 | ||||||||||||||||
| Real Estate Investment Trusts — 0.2% |
||||||||||||||||
| HCP, Inc., Sr. Unsec’d. Notes |
Baa2 | 2.700% | 02/01/14 | 750 | 761,980 | |||||||||||
| Mack-Cali Realty LP, Sr. Unsec’d. Notes |
Baa2 | 7.750% | 08/15/19 | 765 | 937,798 | |||||||||||
| Post Apartment Homes LP, Sr. Unsec’d. Notes |
Baa3 | 6.300% | 06/01/13 | 660 | 682,063 | |||||||||||
| ProLogis LP, Gtd. Notes |
Baa2 | 6.875% | 03/15/20 | 72 | 86,115 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 2.800% | 01/30/17 | 295 | 303,675 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 3.375% | 03/15/22 | 230 | 231,016 | |||||||||||
| Simon Property Group LP, Sr. Unsec’d. Notes |
A3 | 6.125% | 05/30/18 | 3,080 | 3,644,382 | |||||||||||
| 6,647,029 | ||||||||||||||||
| Retailers — 0.2% |
||||||||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
Baa2 | 5.750% | 05/15/41 | 1,020 | 1,214,222 | |||||||||||
| CVS Caremark Corp., Sr. Unsec’d. Notes |
Baa2 | 6.125% | 09/15/39 | 515 | 640,125 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A72
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| CORPORATE BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Retailers (continued) |
||||||||||||||||
| Lowe’s Cos., Inc., Sr. Unsec’d. Notes |
A3 | 6.500% | 03/15/29 | $ | 385 | $ | 488,481 | |||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes(a) |
Baa3 | 3.875% | 01/15/22 | 360 | 378,494 | |||||||||||
| Macy’s Retail Holdings, Inc., Gtd. Notes |
Baa3 | 5.875% | 01/15/13 | 2,000 | 2,048,648 | |||||||||||
| Nordstrom, Inc., Sr. Unsec’d. Notes(a) |
Baa1 | 4.000% | 10/15/21 | 260 | 285,170 | |||||||||||
| Target Corp., Sr. Unsec’d. Notes |
A2 | 4.000% | 07/01/42 | 1,140 | 1,122,929 | |||||||||||
| Wal-Mart Stores, Inc., Sr. Unsec’d. Notes |
Aa2 | 5.625% | 04/15/41 | 720 | 937,060 | |||||||||||
| 7,115,129 | ||||||||||||||||
| Technology — 0.2% |
||||||||||||||||
| Arrow Electronics, Inc., Sr. Unsec’d. Notes |
Baa3 | 3.375% | 11/01/15 | 400 | 412,969 | |||||||||||
| Fiserv, Inc., Gtd. Notes |
Baa2 | 3.125% | 06/15/16 | 340 | 350,503 | |||||||||||
| NXP BV/NXP Funding LLC (Netherlands), Sr. Sec’d. Notes, 144A |
BB(e) | 10.000% | 07/15/13 | 1,100 | 1,182,500 | |||||||||||
| Seagate Technology International (Cayman Islands), |
Baa3 | 10.000% | 05/01/14 | 1,500 | 1,665,000 | |||||||||||
| STATS ChipPAC Ltd. (Singapore), Gtd. Notes, 144A |
Ba1 | 7.500% | 08/12/15 | 1,000 | 1,070,000 | |||||||||||
| Xerox Corp., Sr. Unsec’d. Notes |
Baa2 | 4.250% | 02/15/15 | 2,720 | 2,883,891 | |||||||||||
| 7,564,863 | ||||||||||||||||
| Telecommunications — 0.5% |
||||||||||||||||
| America Movil SAB de CV (Mexico), Gtd. Notes |
A2 | 6.125% | 03/30/40 | 590 | 726,184 | |||||||||||
| AT&T Corp., Gtd. Notes |
A2 | 8.000% | 11/15/31 | 7 | 10,371 | |||||||||||
| AT&T Mobility LLC, Sr. Unsec’d. Notes |
A-(e) | 7.125% | 12/15/31 | 405 | 536,295 | |||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 5.350% | 09/01/40 | 435 | 499,234 | |||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes(a) |
A2 | 5.550% | 08/15/41 | 1,070 | 1,275,394 | |||||||||||
| AT&T, Inc., Sr. Unsec’d. Notes |
A2 | 6.550% | 02/15/39 | 1,720 | 2,213,675 | |||||||||||
| British Telecommunications PLC (United Kingdom), Sr. |
Baa2 | 9.625% | 12/15/30 | 400 | 601,573 | |||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
Baa3 | 7.082% | 06/01/16 | 325 | 371,976 | |||||||||||
| Embarq Corp., Sr. Unsec’d. Notes |
Baa3 | 7.995% | 06/01/36 | 1,600 | 1,671,352 | |||||||||||
| Qwest Corp., Sr. Unsec’d. Notes |
Baa3 | 7.500% | 10/01/14 | 1,440 | 1,605,233 | |||||||||||
| Telecom Italia Capital SA (Luxembourg), Gtd. Notes |
Baa2 | 5.250% | 11/15/13 | 320 | 320,800 | |||||||||||
| Telecom Italia Capital SA (Luxembourg), Gtd. Notes |
Baa2 | 7.200% | 07/18/36 | 430 | 364,425 | |||||||||||
| Telefonica Emisiones SAU (Spain), Gtd. Notes |
Baa2 | 5.877% | 07/15/19 | 390 | 348,830 | |||||||||||
| Telefonica Emisiones SAU (Spain), Gtd. Notes |
Baa2 | 7.045% | 06/20/36 | 210 | 183,600 | |||||||||||
| United States Cellular Corp., Sr. Unsec’d. Notes |
Baa2 | 6.700% | 12/15/33 | 210 | 217,109 | |||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
A3 | 6.000% | 04/01/41 | 570 | 722,616 | |||||||||||
| Verizon Communications, Inc., Sr. Unsec’d. Notes |
A3 | 6.100% | 04/15/18 | 3,165 | 3,855,910 | |||||||||||
| Windstream Corp., Gtd. Notes |
Ba3 | 8.125% | 08/01/13 | 1,000 | 1,053,750 | |||||||||||
| 16,578,327 | ||||||||||||||||
| Tobacco — 0.2% |
||||||||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 4.750% | 05/05/21 | 1,000 | 1,134,046 | |||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.700% | 11/10/18 | 1,215 | 1,681,278 | |||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 9.950% | 11/10/38 | 140 | 222,610 | |||||||||||
| Altria Group, Inc., Gtd. Notes |
Baa1 | 10.200% | 02/06/39 | 790 | 1,285,113 | |||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
Baa2 | 3.500% | 08/04/16 | 465 | 484,745 | |||||||||||
| Lorillard Tobacco Co., Gtd. Notes |
Baa2 | 8.125% | 06/23/19 | 325 | 403,348 | |||||||||||
| Reynolds American, Inc., Gtd. Notes |
Baa3 | 7.250% | 06/15/37 | 320 | 386,706 | |||||||||||
| 5,597,846 | ||||||||||||||||
| TOTAL CORPORATE BONDS |
|
279,996,125 | ||||||||||||||
| MORTGAGE-BACKED SECURITIES — 10.6% | ||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
2.523% | 06/01/36 | 971 | 1,029,546 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
3.000% | TBA 15 YR | 3,000 | 3,136,406 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
3.500% | TBA 30 YR | 4,500 | 4,720,781 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A73
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| MORTGAGE-BACKED SECURITIES (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | $ | 10,762 | $ | 11,452,238 | ||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | TBA 30 YR | 3,000 | 3,183,281 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 02/01/19-10/01/41 | 29,238 | 31,369,677 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 07/01/18-07/01/37 | 9,724 | 10,478,017 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | TBA 30 YR | 5,000 | 5,372,656 | ||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
5.255% | 12/01/35 | 981 | 1,051,485 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 12/01/33-07/01/38 | 15,475 | 16,858,868 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 03/01/32-12/01/33 | 1,247 | 1,397,007 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | TBA 30 YR | 4,500 | 4,930,312 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 12/01/14 | 55 | 56,251 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 01/01/31-10/01/32 | 637 | 754,441 | ||||||||||||
| Federal National Mortgage Association(b) |
2.285% | 07/01/33 | 498 | 525,580 | ||||||||||||
| Federal National Mortgage Association |
2.500% | TBA 15 YR | 1,000 | 1,030,313 | ||||||||||||
| Federal National Mortgage Association |
2.500% | TBA 15 YR | 1,000 | 1,028,125 | ||||||||||||
| Federal National Mortgage Association(b) |
2.648% | 06/01/37 | 394 | 421,510 | ||||||||||||
| Federal National Mortgage Association |
3.000% | TBA 15 YR | 5,000 | 5,238,281 | ||||||||||||
| Federal National Mortgage Association |
3.500% | 06/01/39 | 2,222 | 2,338,478 | ||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 15 YR | 11,500 | 12,150,469 | ||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 24,000 | 25,226,251 | ||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 30 YR | 21,500 | 22,538,048 | ||||||||||||
| Federal National Mortgage Association |
4.500% | 11/01/18-03/01/41 | 22,411 | 24,399,886 | ||||||||||||
| Federal National Mortgage Association |
5.000% | 10/01/18-02/01/36 | 12,511 | 13,604,184 | ||||||||||||
| Federal National Mortgage Association |
5.500% | 03/01/16-08/01/37 | 17,543 | 19,291,400 | ||||||||||||
| Federal National Mortgage Association |
6.000% | 04/01/13-05/01/38 | 14,017 | 15,595,071 | ||||||||||||
| Federal National Mortgage Association |
6.500% | 07/01/17-09/01/37 | 5,621 | 6,395,463 | ||||||||||||
| Federal National Mortgage Association |
7.000% | 02/01/32-07/01/32 | 388 | 454,064 | ||||||||||||
| Federal National Mortgage Association |
7.500% | 05/01/32 | 97 | 118,725 | ||||||||||||
| Government National Mortgage Association |
3.500% | TBA 30 YR | 5,000 | 5,343,749 | ||||||||||||
| Government National Mortgage Association |
4.000% | 06/15/40-05/20/41 | 4,164 | 4,559,855 | ||||||||||||
| Government National Mortgage Association |
4.000% | TBA 30 YR | 24,500 | 26,724,139 | ||||||||||||
| Government National Mortgage Association |
4.000% | TBA 30 YR | 4,500 | 4,914,140 | ||||||||||||
| Government National Mortgage Association |
4.500% | 01/20/41-02/20/41 | 8,328 | 9,197,553 | ||||||||||||
| Government National Mortgage Association |
4.500% | TBA 30 YR | 12,500 | 13,740,234 | ||||||||||||
| Government National Mortgage Association. |
5.000% | TBA 30 YR | 12,500 | 13,753,906 | ||||||||||||
| Government National Mortgage Association |
5.500% | 11/15/32-02/15/36 | 5,786 | 6,468,876 | ||||||||||||
| Government National Mortgage Association |
6.000% | 02/15/33-10/15/34 | 2,435 | 2,763,233 | ||||||||||||
| Government National Mortgage Association |
6.500% | 10/15/23-07/15/35 | 2,603 | 3,010,242 | ||||||||||||
| Government National Mortgage Association |
8.000% | 01/15/24-04/15/25 | 75 | 87,149 | ||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
|
336,709,890 | ||||||||||||||
| MUNICIPAL BONDS — 0.4% | ||||||||||||||||
| Bay Area Toll Authority, Revenue Bonds, BABs |
Aa3 | 6.263% | 04/01/49 | 1,325 | 1,768,703 | |||||||||||
| Chicago O’Hare International Airport, Revenue Bonds, BABs |
A1 | 6.395% | 01/01/40 | 1,030 | 1,318,791 | |||||||||||
| Metropolitan Government of Nashville & Davidson County Convention Center Authority, Revenue Bonds, BABs |
Aa2 | 6.731% | 07/01/43 | 1,000 | 1,130,070 | |||||||||||
| New Jersey State Turnpike Authority, Revenue Bonds, |
A3 | 7.414% | 01/01/40 | 1,070 | 1,565,817 | |||||||||||
| New York City Transitional Finance Authority, Revenue |
Aa1 | 5.767% | 08/01/36 | 1,130 | 1,373,718 | |||||||||||
| Ohio State University (The), Revenue Bonds, BABs |
Aa1 | 4.910% | 06/01/40 | 455 | 548,889 | |||||||||||
| Ohio State Water Development Authority, Revenue |
Aaa | 4.879% | 12/01/34 | 300 | 340,257 | |||||||||||
| Oregon State Department of Transportation, Revenue Bonds, |
Aa2 | 5.834% | 11/15/34 | 445 | 573,458 | |||||||||||
| Pennsylvania Turnpike Commission, Revenue Bonds, |
Aa3 | 5.511% | 12/01/45 | 550 | 656,430 | |||||||||||
| Regional Transportation District, Revenue Bonds, |
Aa2 | 5.844% | 11/01/50 | 680 | 911,458 | |||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A74
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| MUNICIPAL BONDS (continued) |
Moody’s Ratings† |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
|||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.300% | 10/01/39 | $ | 1,270 | $ | 1,586,535 | |||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.500% | 04/01/34 | 475 | 594,615 | |||||||||||
| State of California, General Obligation Unlimited, BABs(a) |
A1 | 7.550% | 04/01/39 | 245 | 317,393 | |||||||||||
| State of California, General Obligation Unlimited, BABs |
A1 | 7.625% | 03/01/40 | 215 | 277,688 | |||||||||||
| State of Illinois, GO |
A2 | 4.421% | 01/01/15 | 740 | 778,739 | |||||||||||
| Texas State Transportation Commission, Revenue Bonds, Ser. B, BABs |
Aaa | 5.028% | 04/01/26 | 335 | 407,708 | |||||||||||
| TOTAL MUNICIPAL BONDS |
|
14,150,269 | ||||||||||||||
| NON-CORPORATE FOREIGN AGENCIES — 0.5% | ||||||||||||||||
| Commonwealth Bank of Australia (Australia), Gov’t. Gtd. Notes, 144A |
Aaa | 2.700% | 11/25/14 | 7,435 | 7,769,850 | |||||||||||
| Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes |
A1 | 4.000% | 01/29/21 | 515 | 531,595 | |||||||||||
| Export-Import Bank of Korea (South Korea), Sr. Unsec’d. Notes |
A1 | 5.125% | 06/29/20 | 400 | 446,110 | |||||||||||
| Korea Hydro & Nuclear Power Co. Ltd. (South Korea), |
A1 | 6.250% | 06/17/14 | 1,000 | 1,075,622 | |||||||||||
| Kreditanstalt Fuer Wiederaufbau (Germany), Gov’t. Gtd. Notes |
Aaa | 2.375% | 08/25/21 | 880 | 885,169 | |||||||||||
| Pemex Project Funding Master Trust, Gtd. Notes |
Baa1 | 8.625% | 12/01/23 | 350 | 451,500 | |||||||||||
| Petrobras International Finance Co. (Cayman Islands), Gtd. Notes(a) |
A3 | 5.375% | 01/27/21 | 2,100 | 2,263,319 | |||||||||||
| RSHB Capital SA For OJSC Russian Agricultural Bank (Luxembourg), |
Baa1 | 6.299% | 05/15/17 | 2,190 | 2,315,925 | |||||||||||
| TOTAL NON-CORPORATE FOREIGN AGENCIES |
|
15,739,090 | ||||||||||||||
| NON-CORPORATE SOVEREIGNS — 0.1% | ||||||||||||||||
| Mexico Government International Bond (Mexico), |
Baa1 | 4.750% | 03/08/44 | 1,006 | 1,083,965 | |||||||||||
| Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A |
Aa2 | 5.250% | 01/20/20 | 315 | 363,195 | |||||||||||
| Russian Foreign Bond-Eurobond (Russia), Unsec’d. Notes, 144A |
Baa1 | 3.250% | 04/04/17 | 2,400 | 2,414,976 | |||||||||||
| TOTAL NON-CORPORATE SOVEREIGNS |
|
3,862,136 | ||||||||||||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2% | ||||||||||||||||
| Federal Home Loan Banks(a) |
5.500% | 07/15/36 | 1,080 | 1,456,784 | ||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
5.125% | 11/17/17 | 630 | 763,078 | ||||||||||||
| Resolution Funding Corp. Interest Strip, Bonds(j) |
1.340% | 04/15/18 | 2,615 | 2,424,667 | ||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
|
4,644,529 | ||||||||||||||
| U.S. GOVERNMENT TREASURY OBLIGATIONS — 5.9% | ||||||||||||||||
| U.S. Treasury Bonds(a) |
3.000% | 05/15/42 | 6,885 | 7,210,963 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds |
0.750% | 02/15/42 | 3,711 | 3,892,944 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds |
1.375% | 01/15/20 | 5,915 | 6,876,665 | ||||||||||||
| U.S. Treasury Notes |
0.750% | 08/15/13 | 27,635 | 27,782,902 | ||||||||||||
| U.S. Treasury Notes |
0.750% | 06/30/17 | 5,370 | 5,375,456 | ||||||||||||
| U.S. Treasury Notes |
1.000% | 06/30/19 | 7,995 | 7,931,288 | ||||||||||||
| U.S. Treasury Notes |
1.375% | 11/30/15 | 710 | 730,912 | ||||||||||||
| U.S. Treasury Notes(a) |
1.750% | 05/15/22 | 1,655 | 1,668,447 | ||||||||||||
| U.S. Treasury Notes |
3.000% | 09/30/16 | 6,525 | 7,171,380 | ||||||||||||
| U.S. Treasury Notes |
3.125% | 04/30/17 | 7,045 | 7,844,171 | ||||||||||||
| U.S. Treasury Notes |
3.250% | 05/31/16 | 10,880 | 12,005,405 | ||||||||||||
| U.S. Treasury Notes |
3.500% | 02/15/18 | 24,845 | 28,426,183 | ||||||||||||
| U.S. Treasury Notes |
3.625% | 02/15/21 | 4,485 | 5,295,103 | ||||||||||||
| U.S. Treasury Notes |
4.250% | 11/15/17 | 7,015 | 8,273,316 | ||||||||||||
| U.S. Treasury Notes |
4.625% | 02/15/17 | 2,700 | 3,180,937 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
1.980% | 05/15/23 | 3,845 | 3,102,934 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.150% | 05/15/24 | 18,495 | 14,353,895 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.180% | 08/15/24 | 6,520 | 5,010,627 | ||||||||||||
| U.S. Treasury Strips Coupon(a)(k) |
2.250% | 02/15/25 | 4,750 | 3,577,743 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A75
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| U.S. GOVERNMENT TREASURY OBLIGATIONS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.280% | 11/15/23 | $ | 10,490 | $ | 8,303,978 | ||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.310% | 08/15/25 | 1,055 | 778,862 | ||||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.340% | 02/15/24 | 10,000 | 7,834,870 | ||||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.610% | 05/15/25 | 5,000 | 3,727,130 | ||||||||||||||
| U.S. Treasury Strips Coupon(k) |
2.970% | 05/15/27 | 2,280 | 1,574,728 | ||||||||||||||
| U.S. Treasury Strips Coupon(a)(k) |
3.750% | 08/15/33 | 10,730 | 5,951,942 | ||||||||||||||
| TOTAL U.S. GOVERNMENT TREASURY OBLIGATIONS |
|
187,882,781 | ||||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
3,031,295,546 | ||||||||||||||||
| SHORT-TERM INVESTMENTS — 14.6% | ||||||||||||||||||
| U.S. GOVERNMENT TREASURY OBLIGATION |
||||||||||||||||||
| U.S. Treasury Bill(i)(l) |
0.080% | 09/20/12 | 1,000 | 999,839 | ||||||||||||||
| Shares |
||||||||||||||||||
| AFFILIATED MUTUAL FUNDS — 14.6% |
||||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
|
14,702,056 | 132,171,487 | |||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
|
330,895,232 | 330,895,232 | |||||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
463,066,719 | ||||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS |
|
464,066,558 | ||||||||||||||||
| TOTAL INVESTMENTS, BEFORE SECURITY SOLD SHORT — 109.8% |
|
3,495,362,104 | ||||||||||||||||
| Principal Amount (000)# |
||||||||||||||||||
| SECURITY SOLD SHORT — (0.2)% | ||||||||||||||||||
| MORTGAGE-BACKED SECURITY |
||||||||||||||||||
| Federal National Mortgage Association (proceeds received $6,432,422) |
4.500% | TBA 30 YR | $ | 6,000 | (6,435,937 | ) | ||||||||||||
| TOTAL INVESTMENTS, NET OF SECURITY SOLD SHORT — 109.6% |
|
3,488,926,167 | ||||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(o) — (9.6)% |
|
(305,072,445 | ) | |||||||||||||||
| NET ASSETS — 100.0% |
|
$ | 3,183,853,722 | |||||||||||||||
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 | |
| 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 | |
| TBA | To Be Announced |
SEE NOTES TO FINANCIAL STATEMENTS.
A76
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| † | The ratings reflected are as of June 30, 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 $154,348,196; cash collateral of $157,117,393 (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 June 30, 2012. |
| (c) | Amount is actual; not rounded to thousands. |
| (d) | Indicates a security that has been deemed illiquid. |
| (e) | Standard & Poor’s Rating. |
| (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. |
| (h) | Indicates a restricted security; the aggregate original cost of such securities is $5,084,852. The aggregate value of $5,622,263 is approximately 0.2% of net assets. |
| (i) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (j) | Represents zero coupon bond. Rate shown reflects the effective yield at June 30, 2012. |
| (k) | Rate shown reflects the effective yield at June 30, 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 June 30, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 300 | 2 Year U.S. Treasury Notes | Sep. 2012 | $ | 66,061,087 | $ | 66,056,250 | $ | (4,837 | ) | |||||||||
| 875 | 5 Year U.S. Treasury Notes | Sep. 2012 | 108,394,310 | 108,472,656 | 78,346 | |||||||||||||
| 58 | 10 Year U.S. Treasury Notes | Sep. 2012 | 7,735,879 | 7,735,750 | (129 | ) | ||||||||||||
| 15 | U.S. Ultra Bond | Sep. 2012 | 2,511,495 | 2,502,656 | (8,839 | ) | ||||||||||||
| 143 | S&P 500 E-mini | Sep. 2012 | 9,297,460 | 9,698,260 | 400,800 | |||||||||||||
| 465,341 | ||||||||||||||||||
| Short Position: | ||||||||||||||||||
| 146 | U.S. Long Bond | Sep. 2012 | 21,607,404 | 21,603,437 | 3,967 | |||||||||||||
| $ | 469,308 | |||||||||||||||||
Interest rate swap agreements outstanding at June 30, 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) |
$ | 122,378 | $ | — | $ | 122,378 | Credit Suisse International | |||||||||||||||
| 23,670 | 08/31/16 | 0.977% | 3 month LIBOR(2) |
(163,104 | ) | — | (163,104 | ) | Citibank, NA | |||||||||||||||||
| 23,670 | 08/31/16 | 0.928% | 3 month LIBOR(1) |
115,821 | — | 115,821 | Citibank, NA | |||||||||||||||||||
| 7,405 | 08/31/16 | 0.975% | 3 month LIBOR(2) |
(50,465 | ) | — | (50,465 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 7,405 | 08/31/16 | 0.978% | 3 month LIBOR(2) |
(51,527 | ) | — | (51,527 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 2,195 | 09/14/16 | 1.206% | 3 month LIBOR(2) |
(42,587 | ) | — | (42,587 | ) | Deutsche Bank AG | |||||||||||||||||
| 36,200 | 11/30/16 | 0.948% | 3 month LIBOR(1) |
(101,088 | ) | — | (101,088 | ) | Citibank, NA | |||||||||||||||||
| 36,200 | 11/30/16 | 0.945% | 3 month LIBOR(2) |
(97,049 | ) | — | (97,049 | ) | Citibank, NA | |||||||||||||||||
| 22,530 | 11/30/16 | 0.913% | 3 month LIBOR(2) |
(30,506 | ) | — | (30,506 | ) | JPMorgan Chase Bank | |||||||||||||||||
| 6,335 | 07/20/21 | 3.035% | 3 month LIBOR(1) |
824,262 | — | 824,262 | Citibank, NA | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A77
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
Interest rate swap agreements outstanding at June 30, 2012 (continued):
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements (continued): | |||||||||||||||||||||||||
| $ | 5,570 | 11/23/21 | 2.148% | 3 month LIBOR(2) |
$ | (226,392 | ) | $ | — | $ | (226,392 | ) | Citibank, NA | |||||||||||||
| 3,045 | 01/27/22 | 2.071% | 3 month LIBOR(2) |
(118,314 | ) | — | (118,314 | ) | Citibank, NA | |||||||||||||||||
| 1,385 | 01/30/22 | 2.082% | 3 month LIBOR(2) |
(54,761 | ) | — | (54,761 | ) | Citibank, NA | |||||||||||||||||
| 2,975 | 02/07/22 | 2.056% | 3 month LIBOR(2) |
(108,890 | ) | — | (108,890 | ) | Citibank, NA | |||||||||||||||||
| 7,405 | 04/12/22 | 2.111% | 3 month LIBOR(1) |
270,331 | — | 270,331 | Citibank, NA | |||||||||||||||||||
| $ | 288,109 | $ | — | $ | 288,109 | |||||||||||||||||||||
| (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 June 30, 2012:
| Reference |
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 | $ | 8,511 | $ | — | $ | 8,511 | JPMorgan Chase Bank | |||||||||||||||
| Macy’s Retail Holdings, Inc. |
12/20/12 | 1.000% | 2,000 | (6,772 | ) | 11,264 | (18,036 | ) | Deutsche Bank AG | |||||||||||||||||
| Newell Rubbermaid, Inc. |
06/20/18 | 1.000% | 1,700 | 25,137 | — | 25,137 | Morgan Stanley Capital Services, Inc. | |||||||||||||||||||
| Simon Property Group L.P. |
06/20/18 | 0.970% | 2,800 | 47,713 | — | 47,713 | Morgan Stanley Capital Services, Inc. | |||||||||||||||||||
| Spectra Energy Capital LLC |
06/20/18 | 1.150% | 2,200 | 31,770 | — | 31,770 | Deutsche Bank AG | |||||||||||||||||||
| Spectra Energy Capital LLC |
06/20/18 | 1.130% | 500 | 7,783 | — | 7,783 | Merrill Lynch Capital Services, Inc. | |||||||||||||||||||
| Starwood Hotels & Resorts Worldwide, Inc. |
03/20/14 | 7.050% | 1,645 | (183,293 | ) | — | (183,293 | ) | Deutsche Bank AG | |||||||||||||||||
| Starwood Hotels & Resorts Worldwide, Inc. |
06/20/18 | 1.450% | 2,800 | 15,502 | — | 15,502 | Merrill Lynch Capital Services, Inc. | |||||||||||||||||||
| $ | (53,649 | ) | $ | 11,264 | $ | (64,913 | ) | |||||||||||||||||||
| (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.
A78
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
The following is a summary of the inputs used as of June 30, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 1,970,124,191 | $ | 26,997,700 | $ | — | ||||||
| Exchange Traded Fund |
594,524 | — | — | |||||||||
| Preferred Stocks |
1,308,500 | 184,077 | — | |||||||||
| Rights |
1,979 | — | — | |||||||||
| Asset-Backed Securities |
||||||||||||
| Non-Residential Mortgage-Backed Securities |
— | 29,695,718 | 720,000 | |||||||||
| Residential Mortgage-Backed Securities |
— | 7,164,267 | — | |||||||||
| Bank Loans |
— | 9,717,965 | — | |||||||||
| Collateralized Mortgage Obligations |
— | 6,918,975 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 134,882,830 | — | |||||||||
| Corporate Bonds |
— | 279,996,125 | — | |||||||||
| Mortgage-Backed Securities |
— | 336,709,890 | — | |||||||||
| Municipal Bonds |
— | 14,150,269 | — | |||||||||
| Non-Corporate Foreign Agencies |
— | 15,739,090 | — | |||||||||
| Non-Corporate Sovereigns |
— | 3,862,136 | — | |||||||||
| U.S. Government Agency Obligations |
— | 4,644,529 | — | |||||||||
| U.S. Government Treasury Obligations |
— | 188,882,620 | — | |||||||||
| Affiliated Mutual Funds |
463,066,719 | — | — | |||||||||
| Mortgage-Backed Security Sold Short |
— | (6,435,937 | ) | — | ||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
469,308 | — | — | |||||||||
| Interest Rate Swap Agreements |
— | 288,109 | — | |||||||||
| Credit Default Swap Agreements |
— | (64,913 | ) | — | ||||||||
| Total |
$ | 2,435,565,221 | $ | 1,053,333,450 | $ | 720,000 | ||||||
| * | 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 June 30, 2012 were as follows:
SEE NOTES TO FINANCIAL STATEMENTS.
A79
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
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 June 30, 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 |
Premium paid for swap agreements | $ | 11,264 | — | $ | — | ||||||
| Credit contracts |
Unrealized appreciation on swap agreements | 136,416 | Unrealized depreciation on swap agreements | 201,329 | ||||||||
| Equity contracts |
Unaffiliated investments | 1,979 | — | — | ||||||||
| Equity contracts |
Due from broker — variation margin | 400,800 | * | — | — | |||||||
| Interest rate contracts |
Unrealized appreciation on swap agreements | 1,332,792 | Unrealized depreciation on swap agreements | 1,044,683 | ||||||||
| Interest rate contracts |
Due from broker — variation margin | 82,313 | * | Due from broker — variation margin | 13,805 | * | ||||||
| Total |
$ | 1,965,564 | $ | 1,259,817 | ||||||||
| * | 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.
A80
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 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 |
$ | — | $ | — | $ | — | $ | — | $ | (167,210 | ) | $ | (167,210 | ) | ||||||||||
| Equity contracts |
14,401 | — | — | 1,004,255 | — | 1,018,656 | ||||||||||||||||||
| Interest rate contracts |
— | 306,223 | (289,749 | ) | (2,972,678 | ) | 103,720 | (2,852,484 | ) | |||||||||||||||
| Total |
$ | 14,401 | $ | 306,223 | $ | (289,749 | ) | $ | (1,968,423 | ) | $ | (63,490 | ) | $ | (2,001,038 | ) | ||||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||
| Derivatives not designated as hedging instruments, carried at fair value |
Futures |
Swaps |
Total |
|||||||||
| Credit contracts |
$ | — | $ | (81,102 | ) | $ | (81,102 | ) | ||||
| Equity contracts |
85,989 | — | 85,989 | |||||||||
| Interest rate contracts |
384,473 | (325,039 | ) | 59,434 | ||||||||
| Total |
$ | 470,462 | $ | (406,141 | ) | $ | 64,321 | |||||
For the six months ended June 30, 2012, the Portfolio’s average volume of derivative activities is as follows:
| Futures Long Position |
Futures Short Position | |
| $140,812,664 | $30,218,081 |
| Interest Rate Swaps |
Credit Default | |
| $99,527 | $15,628 |
SEE NOTES TO FINANCIAL STATEMENTS.
A81
| FLEXIBLE MANAGED PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2012 |
Year Ended December 31, 2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 31,929,269 | $ | 61,901,155 | ||||
| Net realized gain on investments and foreign currency transactions |
65,528,198 | 202,862,198 | ||||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
136,964,198 | (135,181,474 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
234,421,665 | 129,581,879 | ||||||
| DISTRIBUTIONS | (61,900,998 | ) | (60,257,696 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [457,875 and 664,274 shares, respectively] |
7,756,842 | 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 [5,594,230 and 11,331,831 shares, respectively] |
(95,126,175 | ) | (180,636,555 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(25,468,335 | ) | (109,865,231 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 147,052,332 | (40,541,048 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
3,036,801,390 | 3,077,342,438 | ||||||
| End of period |
$ | 3,183,853,722 | $ | 3,036,801,390 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A82
| GLOBAL PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A83
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A84
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A85
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A86
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| (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) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Forward foreign currency contracts outstanding at June 30, 2012:
| Purchase Contract |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Payable |
Value at June 30, 2012 |
Unrealized Depreciation |
|||||||||||||||||
| Pound Sterling expiring 07/26/12 |
Deutsche Bank | GBP | 6,114 | $ | 9,670,667 | $ | 9,574,898 | $ | (95,769 | ) | ||||||||||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Value at Settlement Date Receivable |
Value at June 30, 2012 |
Unrealized Appreciation |
|||||||||||||||||
| Pound Sterling expiring 07/26/12 |
Deutsche Bank | GBP | 3,277 | $ | 5,285,703 | $ | 5,131,982 | $ | 153,721 | |||||||||||||
| Pound Sterling expiring 07/26/12 |
Deutsche Bank | GBP | 2,837 | 4,599,642 | 4,442,915 | 156,727 | ||||||||||||||||
| Japanese Yen expiring 09/20/12 |
State Street | JPY | 127,450 | 1,596,998 | 1,596,264 | 734 | ||||||||||||||||
| $ | 11,482,343 | $ | 11,171,161 | $ | 311,182 | |||||||||||||||||
| $ | 215,413 | |||||||||||||||||||||
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.
A87
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A88
| GLOBAL PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
The Portfolio invested in derivative instruments during the reporting period. The primary types of risk associated with derivative instruments are equity risk and foreign exchange risk. The effect of such derivative instruments on the Portfolio’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.
Fair values of derivative instruments as of June 30, 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 |
|||||||||
| Foreign exchange contracts |
Unrealized appreciation on forward foreign currency exchange contracts | $ | 311,182 | Unrealized depreciation on forward foreign currency exchange contracts | $ | 95,769 | ||||||
The effects of derivative instruments on the Statement of Operations for the six months ended June 30, 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 |
$ | 45,286 | $ | — | $ | 252,436 | $ | 297,722 | ||||||||
| Foreign exchange contracts |
— | 170,863 | — | 170,863 | ||||||||||||
| Total |
$ | 45,286 | $ | 170,863 | $ | 252,436 | $ | 468,585 | ||||||||
| 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 |
$ | 248,849 | ||
For the six months ended June 30, 2012, the Portfolio’s average volume of derivative activities are as follows:
| Forward Currency |
Forward Currency |
Futures | ||
| $3,565,737 | $7,429,048 | $462,883 |
SEE NOTES TO FINANCIAL STATEMENTS.
A89
| GLOBAL PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2012 |
Year Ended December 31, 2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 6,704,005 | $ | 9,580,870 | ||||
| Net realized gain (loss) on investments and foreign currencies |
(711,939 | ) | 26,174,487 | |||||
| Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
31,214,590 | (78,509,307 | ) | |||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
37,206,656 | (42,753,950 | ) | |||||
| DISTRIBUTIONS | (9,580,386 | ) | (9,684,066 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [206,102 and 843,518 shares, respectively] |
4,595,052 | 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 [1,528,434 and 3,129,794 shares, respectively] |
(27,884,134 | ) | (56,971,187 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(13,708,696 | ) | (31,902,345 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 13,917,574 | (84,340,361 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
564,178,423 | 648,518,784 | ||||||
| End of period |
$ | 578,095,997 | $ | 564,178,423 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A90
| GOVERNMENT INCOME PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| LONG-TERM INVESTMENTS — 99.4% | Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Asset-Backed Securities — 1.2% |
||||||||||||||||
| Citibank Credit Card Issuance Trust, |
||||||||||||||||
| Ser. 2007-A8, Class A8 |
5.650% | 09/20/19 | $ | 1,500 | $ | 1,815,329 | ||||||||||
| Small Business Administration Participation Certificates, |
||||||||||||||||
| Ser. 1996-20J, Class 1 |
7.200% | 10/01/16 | 855 | 918,122 | ||||||||||||
| Ser. 1997-20A, Class 1 |
7.150% | 01/01/17 | 610 | 659,401 | ||||||||||||
| Ser. 1997-20G, Class 1 |
6.850% | 07/01/17 | 333 | 362,402 | ||||||||||||
| Ser. 1998-20I, Class 1 |
6.000% | 09/01/18 | 767 | 835,326 | ||||||||||||
| 4,590,580 | ||||||||||||||||
| Collateralized Mortgage Obligations — 1.5% |
||||||||||||||||
| Federal Home Loan Mortgage Corp., |
5.500% | 09/15/17 | 1,164 | 1,251,600 | ||||||||||||
| Ser. 2002-2501, Class MC |
5.500% | 09/15/17 | 397 | 425,304 | ||||||||||||
| Ser. 2002-2513, Class HC |
5.000% | 10/15/17 | 2,173 | 2,327,973 | ||||||||||||
| Ser. 2002-2518, Class PV |
5.500% | 06/15/19 | 138 | 138,103 | ||||||||||||
| Federal National Mortgage Association, |
||||||||||||||||
| Ser. 2002-18, Class PC |
5.500% | 04/25/17 | 686 | 703,938 | ||||||||||||
| Ser. 2002-57, Class ND |
5.500% | 09/25/17 | 459 | 491,072 | ||||||||||||
| Merrill Lynch Mortgage Investors, Inc., |
||||||||||||||||
| Ser. 2003-E, Class A1(a) |
0.865% | 10/25/28 | 90 | 79,865 | ||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, |
||||||||||||||||
| Ser. 2004-1, Class 4A3(a) |
2.740% | 02/25/34 | 308 | 297,668 | ||||||||||||
| 5,715,523 | ||||||||||||||||
| Commercial Mortgage-Backed Securities — 15.1% |
||||||||||||||||
| Banc of America Commercial Mortgage, Inc., |
5.381% | 01/15/49 | 478 | 478,187 | ||||||||||||
| Citigroup Commercial Mortgage Trust, |
5.889% | 12/10/49 | 2,000 | 2,309,128 | ||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, |
5.293% | 12/11/49 | 1,800 | 1,900,301 | ||||||||||||
| Commercial Mortgage Pass-Thru Certificates, |
5.941% | 06/10/46 | 2,000 | 2,251,950 | ||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., |
4.832% | 04/15/37 | 2,700 | 2,861,414 | ||||||||||||
| CW Capital Cobalt Ltd., Ser. 2007-C3, Class A3(a) |
6.007% | 05/15/46 | 1,300 | 1,386,059 | ||||||||||||
| FHLMC Multifamily Structured Pass Through Certificates, |
5.085% | 03/25/19 | 250 | 293,164 | ||||||||||||
| Ser. 2009-K004, Class A2 |
4.186% | 08/25/19 | 3,725 | 4,201,521 | ||||||||||||
| Ser. 2010-K005, Class A2 |
4.317% | 11/25/19 | 2,700 | 3,071,833 | ||||||||||||
| Ser. 2010-K007, Class A2 |
4.224% | 03/25/20 | 3,600 | 4,084,682 | ||||||||||||
| Ser. 2010-K009, Class A2 |
3.808% | 08/25/20 | 2,900 | 3,218,701 | ||||||||||||
| Ser. 2011-K010, Class A2 |
4.333% | 10/25/20 | 3,600 | 4,113,407 | ||||||||||||
| Ser. 2011-K011, Class A2 |
4.084% | 11/25/20 | 3,600 | 4,054,572 | ||||||||||||
| Ser. 2011-K013, Class A2 |
3.974% | 01/25/21 | 3,525 | 3,953,326 | ||||||||||||
| Ser. 2012-K018, Class A2 |
2.789% | 01/25/22 | 3,600 | 3,737,002 | ||||||||||||
| Ser. 2012-K501, Class X1A, I/O(a) |
1.880% | 08/25/16 | 4,290 | 232,459 | ||||||||||||
| Greenwich Capital Commercial Funding Corp., |
5.381% | 03/10/39 | 1,760 | 1,800,708 | ||||||||||||
| GS Mortgage Securities Corp. II, |
5.778% | 08/10/45 | 952 | 959,364 | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., |
6.009% | 06/15/49 | 1,000 | 1,065,679 | ||||||||||||
| Merrill Lynch Mortgage Trust, |
5.848% | 05/12/39 | 2,000 | 2,271,168 | ||||||||||||
| Merrill Lynch/Countrywide Commercial Mortgage Trust, |
5.590% | 09/12/49 | 1,876 | 1,875,230 | ||||||||||||
| Morgan Stanley Capital I, |
5.332% | 12/15/43 | 1,800 | 2,044,803 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A91
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| LONG-TERM INVESTMENTS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Commercial Mortgage-Backed Securities (continued) |
||||||||||||||||
| NCUA Gtd. Notes, |
2.900% | 10/29/20 | $ | 2,000 | $ | 2,132,500 | ||||||||||
| Wachovia Bank Commercial Mortgage Trust, |
5.922% | 05/15/43 | 2,000 | 2,273,202 | ||||||||||||
| Ser. 2006-C27, Class A3 |
5.765% | 07/15/45 | 2,000 | 2,253,716 | ||||||||||||
| 58,824,076 | ||||||||||||||||
| Corporate Bonds — 1.5% |
||||||||||||||||
| Canada Government International Bond (Canada), Sr. Unsec’d. Notes(b) |
0.875% | 02/14/17 | 1,025 | 1,030,280 | ||||||||||||
| Province of Alberta Canada (Canada), 144A |
1.000% | 06/21/17 | 2,655 | 2,663,860 | ||||||||||||
| DEPFA ACS Bank (Ireland), Covered Notes, 144A |
5.125% | 03/16/37 | 1,520 | 1,058,674 | ||||||||||||
| Kreditanstalt Fuer Wiederaufbau (Germany), Gov’t. Gtd. Notes |
2.375% | 08/25/21 | 660 | 663,877 | ||||||||||||
| UBS AG (Switzerland), Covered Notes, 144A |
2.250% | 03/30/17 | 480 | 481,475 | ||||||||||||
| 5,898,166 | ||||||||||||||||
| Mortgage-Backed Securities — 42.3% |
||||||||||||||||
| Federal Home Loan Mortgage Corp.(a) |
2.354% | 05/01/34 | 665 | 708,586 | ||||||||||||
| Federal Home Loan Mortgage Corp.(c) |
3.000% | TBA 15 Year | 1,500 | 1,568,203 | ||||||||||||
| Federal Home Loan Mortgage Corp.(c) |
3.500% | TBA 30 Year | 2,000 | 2,098,125 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.000% | 06/01/26-12/01/40 | 3,581 | 3,803,085 | ||||||||||||
| Federal Home Loan Mortgage Corp.(c) |
4.000% | TBA 30 Year | 2,000 | 2,122,188 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
4.500% | 09/01/39 | 7,876 | 8,414,703 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.000% | 06/01/33-05/01/34 | 4,210 | 4,579,121 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
5.500% | 05/01/37-05/01/38 | 4,063 | 4,421,010 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.000% | 09/01/34 | 194 | 217,429 | ||||||||||||
| Federal Home Loan Mortgage Corp.(c) |
6.000% | TBA 30 Year | 2,000 | 2,191,250 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
6.500% | 05/01/13-09/01/32 | 174 | 196,873 | ||||||||||||
| Federal Home Loan Mortgage Corp. |
7.000% | 09/01/12-10/01/32 | 38 | 44,981 | ||||||||||||
| Federal National Mortgage Association(a) |
2.139% | 07/01/33 | 2,034 | 2,161,436 | ||||||||||||
| Federal National Mortgage Association(a) |
2.237% | 06/01/34 | 565 | 598,286 | ||||||||||||
| Federal National Mortgage Association(a) |
2.392% | 08/01/33 | 1,236 | 1,286,915 | ||||||||||||
| Federal National Mortgage Association(c) |
2.500% | TBA 15 Year | 1,000 | 1,030,312 | ||||||||||||
| Federal National Mortgage Association(a) |
2.529% | 04/01/34 | 241 | 256,390 | ||||||||||||
| Federal National Mortgage Association(a) |
2.556% | 04/01/34 | 491 | 521,228 | ||||||||||||
| Federal National Mortgage Association |
3.000% | TBA 15 Year | 8,500 | 8,905,078 | ||||||||||||
| Federal National Mortgage Association |
3.500% | 06/01/39 | 889 | 935,391 | ||||||||||||
| Federal National Mortgage Association |
3.500% | TBA 15 Year | 6,000 | 6,339,375 | ||||||||||||
| Federal National Mortgage Association(c) |
3.500% | TBA 30 Year | 15,500 | 16,291,954 | ||||||||||||
| Federal National Mortgage Association(c) |
3.500% | TBA 30 Year | 13,000 | 13,627,657 | ||||||||||||
| Federal National Mortgage Association |
4.000% | TBA 30 Year | 2,000 | 2,128,438 | ||||||||||||
| Federal National Mortgage Association |
4.500% | 05/01/40 | 8,066 | 8,850,099 | ||||||||||||
| Federal National Mortgage Association(c) |
4.500% | TBA 30 Year | 2,000 | 2,143,750 | ||||||||||||
| Federal National Mortgage Association |
5.000% | 07/01/18-05/01/36 | 7,576 | 8,232,269 | ||||||||||||
| Federal National Mortgage Association |
5.500% | 01/01/17-11/01/35 | 15,091 | 16,666,703 | ||||||||||||
| Federal National Mortgage Association |
6.000% | 11/01/14-05/01/38 | 4,915 | 5,460,886 | ||||||||||||
| Federal National Mortgage Association |
6.500% | 01/01/15-10/01/37 | 2,911 | 3,318,876 | ||||||||||||
| Federal National Mortgage Association |
7.000% | 12/01/31-01/01/36 | 541 | 638,329 | ||||||||||||
| Federal National Mortgage Association |
8.000% | 03/01/22-02/01/26 | 21 | 21,700 | ||||||||||||
| Federal National Mortgage Association |
9.000% | 02/01/25-04/01/25 | 87 | 102,155 | ||||||||||||
| Government National Mortgage Association |
3.500% | TBA 30 Year | 2,500 | 2,671,875 | ||||||||||||
| Government National Mortgage Association |
4.000% | 06/15/40 | 972 | 1,064,520 | ||||||||||||
| Government National Mortgage Association |
4.000% | TBA 30 Year | 7,000 | 7,635,469 | ||||||||||||
| Government National Mortgage Association(c) |
4.000% | TBA 30 Year | 2,000 | 2,184,062 | ||||||||||||
| Government National Mortgage Association |
4.500% | 02/20/41 | 2,948 | 3,255,392 | ||||||||||||
| Government National Mortgage Association(c) |
4.500% | TBA 30 Year | 2,000 | 2,186,562 | ||||||||||||
| Government National Mortgage Association |
4.500% | TBA 30 Year | 7,500 | 8,244,140 | ||||||||||||
| Government National Mortgage Association |
5.000% | 07/15/33-04/15/34 | 1,714 | 1,901,559 | ||||||||||||
| Government National Mortgage Association(c) |
5.000% | TBA 30 Year | 2,000 | 2,200,625 | ||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A92
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
| LONG-TERM INVESTMENTS (continued) |
Interest Rate |
Maturity Date |
Principal Amount (000)# |
Value (Note 2) |
||||||||||||
| Mortgage-Backed Securities (continued) |
||||||||||||||||
| Government National Mortgage Association |
5.500% | 03/15/34-03/15/36 | $ | 1,424 | $ | 1,587,909 | ||||||||||
| Government National Mortgage Association |
6.500% | 07/15/32-08/15/32 | 392 | 456,744 | ||||||||||||
| Government National Mortgage Association |
7.000% | 03/15/23-08/15/28 | 922 | 1,084,433 | ||||||||||||
| Government National Mortgage Association |
7.500% | 12/15/25-02/15/26 | 175 | 207,763 | ||||||||||||
| Government National Mortgage Association |
8.500% | 09/15/24-04/15/25 | 219 | 264,178 | ||||||||||||
| 164,828,012 | ||||||||||||||||
| Municipal Bond — 0.2% |
||||||||||||||||
| State of Utah, BABs, Ser. D |
4.554% | 07/01/24 | 630 | 747,665 | ||||||||||||
| U.S. Government Agency Obligations — 1.8% |
||||||||||||||||
| Federal Home Loan Mortgage Corp.(b) |
5.125% | 11/17/17 | 1,270 | 1,538,269 | ||||||||||||
| Financing Corp. FICO, Ser. 1P(d) |
1.540% | 05/11/18 | 4,000 | 3,656,344 | ||||||||||||
| Tennessee Valley Authority |
5.250% | 09/15/39 | 870 | 1,134,359 | ||||||||||||
| Tennessee Valley Authority |
5.500% | 06/15/38 | 465 | 621,058 | ||||||||||||
| 6,950,030 | ||||||||||||||||
| U.S. Treasury Securities — 35.8% |
||||||||||||||||
| U.S. Treasury Bonds(b) |
3.000% | 05/15/42 | 3,290 | 3,445,762 | ||||||||||||
| U.S. Treasury Bonds(b) |
3.750% | 08/15/41 | 4,165 | 5,022,732 | ||||||||||||
| U.S. Treasury Bonds |
9.250% | 02/15/16 | 8,500 | 11,145,625 | ||||||||||||
| U.S. Treasury Inflation Indexed Bonds(b) |
0.750% | 02/15/42 | 2,744 | 2,878,139 | ||||||||||||
| U.S. Treasury Notes |
0.375% | 06/15/15 | 15,080 | 15,067,046 | ||||||||||||
| U.S. Treasury Notes |
0.750% | 06/30/17 | 5,580 | 5,585,669 | ||||||||||||
| U.S. Treasury Notes |
1.000% | 06/30/19 | 5,870 | 5,823,222 | ||||||||||||
| U.S. Treasury Notes |
3.250% | 05/31/16 | 5,725 | 6,317,183 | ||||||||||||
| U.S. Treasury Notes(e) |
4.500% | 02/15/16 | 4,395 | 5,020,259 | ||||||||||||
| U.S. Treasury Notes |
4.625% | 11/15/16 | 1,840 | 2,153,519 | ||||||||||||
| U.S. Treasury Notes |
4.625% | 02/15/17 | 20,000 | 23,562,500 | ||||||||||||
| U.S. Treasury Strip Principal(d) |
0.580% | 02/15/16 | 15,870 | 15,539,666 | ||||||||||||
| U.S. Treasury Strips Coupon(b)(f) |
0.460% | 05/15/15 | 12,430 | 12,268,597 | ||||||||||||
| U.S. Treasury Strips Coupon(f) |
2.150% | 05/15/24 | 6,605 | 5,126,114 | ||||||||||||
| U.S. Treasury Strips Coupon(f) |
2.180% | 08/15/24 | 10,095 | 7,758,018 | ||||||||||||
| U.S. Treasury Strips Coupon(f) |
2.250% | 02/15/25 | 925 | 696,718 | ||||||||||||
| U.S. Treasury Strips Coupon(f) |
2.610% | 05/15/25 | 5,815 | 4,334,652 | ||||||||||||
| U.S. Treasury Strips Coupon(f) |
2.970% | 05/15/27 | 5,240 | 3,619,111 | ||||||||||||
| U.S. Treasury Strips Coupon(f) |
3.240% | 08/15/29 | 3,700 | 2,366,187 | ||||||||||||
| U.S. Treasury Strips Coupon(f) |
3.750% | 08/15/33 | 2,725 | 1,511,560 | ||||||||||||
| 139,242,279 | ||||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
386,796,331 | ||||||||||||||
| Shares |
||||||||||||||||
| SHORT-TERM INVESTMENTS — 27.5% | ||||||||||||||||
| AFFILIATED MUTUAL FUNDS |
||||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Short-Term Bond Fund |
5,427,398 | 48,792,305 | ||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund |
58,371,889 | 58,371,889 | ||||||||||||||
| TOTAL AFFILIATED MUTUAL FUNDS |
|
107,164,194 | ||||||||||||||
| TOTAL INVESTMENTS — 126.9% |
|
493,960,525 | ||||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS(i) — (26.9)% |
|
(104,644,089 | ) | |||||||||||||
| NET ASSETS — 100.0% |
|
$ | 389,316,436 | |||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A93
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
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 Association | |
| FICO | Financing Corp. | |
| 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 June 30, 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 $16,698,850; cash collateral of $17,148,245 (included in liabilities) was received with which the Portfolio purchased highly liquid short-term investments. |
| (c) | All or partial principal amount totaling $29,500,000 represents to-be-announced (“TBA”) securities acquired under mortgage dollar roll agreement. |
| (d) | Represents zero coupon bond. Rate shown reflects the effective yield on June 30, 2012. |
| (e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
| (f) | Rate shown reflects the effective yield at June 30, 2012. |
| (g) | 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. |
| (h) | Represents security, or a portion thereof, purchased with cash collateral received for securities on loan. |
| (i) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at June 30, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2012 |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||
| Long Positions: | ||||||||||||||||||
| 177 | 2 Year U.S. Treasury Notes | Sep. 2012 | $ | 38,978,873 | $ | 38,973,187 | $ | (5,686 | ) | |||||||||
| 427 | 5 Year U.S. Treasury Notes | Sep. 2012 | 52,881,336 | 52,934,656 | 53,320 | |||||||||||||
| 28 | U.S. Ultra Bond | Sep. 2012 | 4,605,652 | 4,671,625 | 65,973 | |||||||||||||
| 113,607 | ||||||||||||||||||
| Short Positions: |
| |||||||||||||||||
| 219 | 10 Year U.S. Treasury Notes | Sep. 2012 | 29,320,758 | 29,209,125 | 111,633 | |||||||||||||
| 115 | U.S. Long Bond | Sep. 2012 | 16,985,645 | 17,016,406 | (30,761 | ) | ||||||||||||
| 80,872 | ||||||||||||||||||
| $ | 194,479 | |||||||||||||||||
Interest rate swap agreements outstanding at June 30, 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) |
$ | 92,452 | $ | — | $ | 92,452 | Credit Suisse International | |||||||||||||||
| 17,880 | 08/31/16 | 0.977% | 3 month LIBOR(2) |
(123,207 | ) | — | (123,207 | ) | Citibank, NA | |||||||||||||||||
| 17,880 | 08/31/16 | 0.928% | 3 month LIBOR(1) |
87,490 | — | 87,490 | Citibank, NA | |||||||||||||||||||
| 5,595 | 08/31/16 | 0.975% | 3 month LIBOR(2) |
(38,130 | ) | — | (38,130 | ) | JPMorgan Chase Bank, NA | |||||||||||||||||
| 5,595 | 08/31/16 | 0.978% | 3 month LIBOR(2) |
(38,932 | ) | — | (38,932 | ) | JPMorgan Chase Bank, NA | |||||||||||||||||
| 880 | 09/14/16 | 1.206% | 3 month LIBOR(2) |
(17,073 | ) | — | (17,073 | ) | Deutsche Bank AG | |||||||||||||||||
| 26,910 | 11/30/16 | 0.948% | 3 month LIBOR(2) |
(75,146 | ) | — | (75,146 | ) | Citibank, NA | |||||||||||||||||
| 26,910 | 11/30/16 | 0.945% | 3 month LIBOR(2) |
(72,144 | ) | — | (72,144 | ) | Citibank, NA | |||||||||||||||||
| 16,695 | 11/30/16 | 0.913% | 3 month LIBOR(2) |
(22,605 | ) | — | (22,605 | ) | JPMorgan Chase Bank, NA | |||||||||||||||||
| 4,700 | 02/15/19 | 1.656% | 3 month LIBOR(2) |
(111,949 | ) | — | (111,949 | ) | Citibank, NA | |||||||||||||||||
| 4,700 | 02/15/19 | 1.794% | 3 month LIBOR(1) |
153,493 | — | 153,493 | JPMorgan Chase Bank, NA | |||||||||||||||||||
| 4,550 | 07/20/21 | 3.035% | 3 month LIBOR(2) |
592,011 | — | 592,011 | Citibank, NA | |||||||||||||||||||
| 4,560 | 11/23/21 | 2.148% | 3 month LIBOR(2) |
(185,340 | ) | — | (185,340 | ) | Citibank, NA | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
A94
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
Interest rate swap agreements outstanding at June 30, 2012 (continued):
| Notional Amount (000)# |
Termination Date |
Fixed Rate |
Floating |
Fair Value |
Upfront Premium Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Counterparty | |||||||||||||||||||
|
|
Over-the-counter swap agreements (continued): | |||||||||||||||||||||||||
| $ | 2,290 | 01/27/22 | 2.071% | 3 month LIBOR(2) |
$ | (88,979 | ) | $ | — | $ | (88,979 | ) | Citibank, NA | |||||||||||||
| 1,130 | 01/30/22 | 2.082% | 3 month LIBOR(2) |
(44,679 | ) | — | (44,679 | ) | Citibank, NA | |||||||||||||||||
| 2,410 | 02/07/22 | 2.056% | 3 month LIBOR(2) |
(88,210 | ) | — | (88,210 | ) | Citibank, NA | |||||||||||||||||
| 5,830 | 04/12/22 | 2.111% | 3 month LIBOR(1) |
212,833 | — | 212,833 | Citibank, NA | |||||||||||||||||||
| $ | 231,885 | $ | — | $ | 231,885 | |||||||||||||||||||||
| # | 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. |
The following is a summary of the inputs used as of June 30, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
||||||||||||
| Asset-Backed Securities |
$ | — | $ | 4,590,580 | $ | — | ||||||
| Collateralized Mortgage Obligations |
— | 5,715,523 | — | |||||||||
| Commercial Mortgage-Backed Securities |
— | 58,824,076 | — | |||||||||
| Corporate Bonds |
— | 5,898,166 | — | |||||||||
| Mortgage-Backed Securities |
— | 164,828,012 | — | |||||||||
| Municipal Bond |
— | 747,665 | — | |||||||||
| U.S. Government Agency Obligations |
— | 6,950,030 | — | |||||||||
| U.S. Treasury Securities |
— | 139,242,279 | — | |||||||||
| Affiliated Mutual Funds |
107,164,194 | — | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures Contracts |
194,479 | — | — | |||||||||
| Interest Rate Swap Agreements |
— | 231,885 | — | |||||||||
| Total |
$ | 107,358,673 | $ | 387,028,216 | $ | — | ||||||
| * | 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 June 30, 2012 were as follows:
| Mortgage-Backed Securities |
42.3 | % | ||
| U.S. Treasury Securities |
35.8 | |||
| Affiliated Mutual Funds (including 4.4% of collateral received for securities on loan) |
27.5 | |||
| Commercial Mortgage-Backed Securities |
15.1 | |||
| U.S. Government Agency Obligations |
1.8 | |||
| Collateralized Mortgage Obligations |
1.5 | |||
| Corporate Bonds |
1.5 | |||
| Asset-Backed Securities |
1.2 | |||
| Municipal Bond |
0.2 | |||
| 126.9 | ||||
| Liabilities in excess of other assets |
(26.9 | ) | ||
| 100.0 | % | |||
SEE NOTES TO FINANCIAL STATEMENTS.
A95
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
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 June 30, 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 |
$ | 230,926 | * | Due from broker — variation margin |
$ | 36,447 | * | ||||
| Interest rate contracts |
Unrealized appreciation on swap agreements |
1,138,279 | Unrealized depreciation on swap agreements |
906,394 | ||||||||
| Total |
$ | 1,369,205 | $ | 942,841 | ||||||||
| * | Includes cumulative appreciation/depreciation of futures contracts as reported in 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 six months ended June 30, 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 | ) | $ | (2,554,647 | ) | $ | 63,987 | $ | (2,449,081 | ) | |||||||
| Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
||||||||||||||||
| Derivatives not designated as hedging instruments, carried |
Futures |
Swaps |
Total |
|||||||||||||
| Interest rate contracts |
$ | 566,102 | $ | (210,719 | ) | $ | 355,383 | |||||||||
For the six months ended June 30, 2012, the Portfolio’s average volume of derivative activities are as follows:
| Futures |
Futures |
Interest Rate Swaps | ||
| $53,348,217 | $45,573,890 | $78,137 |
SEE NOTES TO FINANCIAL STATEMENTS.
A96
| GOVERNMENT INCOME PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS
(Unaudited)
| Six Months Ended June 30, 2012 |
Year Ended December 31, 2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 4,082,542 | $ | 10,051,753 | ||||
| Net realized gain on investments and foreign currency transactions |
4,232,529 | 12,493,569 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
(189,846 | ) | 7,373,827 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
8,125,225 | 29,919,149 | ||||||
| DISTRIBUTIONS | (16,720,027 | ) | (18,318,094 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [494,917 and 2,166,785 shares, respectively] |
6,127,237 | 26,321,036 | ||||||
| Series shares issued in reinvestment of distributions [1,382,466 and 1,519,181 shares, respectively] |
16,720,027 | 18,318,094 | ||||||
| Series shares repurchased [3,360,688 and 3,193,994 shares, respectively] |
(41,589,952 | ) | (38,827,001 | ) | ||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(18,742,688 | ) | 5,812,129 | |||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | (27,337,490 | ) | 17,413,184 | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
416,653,926 | 399,240,742 | ||||||
| End of period |
$ | 389,316,436 | $ | 416,653,926 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A97
| STOCK INDEX PORTFOLIO | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A98
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A99
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A100
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A101
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A102
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
A103
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
Open future contracts outstanding at June 30, 2012:
| Number of Contracts |
Type |
Expiration Date |
Value at Trade Date |
Value at June 30, 2012 |
Unrealized Appreciation |
|||||||||||||
| Long Position: | ||||||||||||||||||
| 128 | S&P 500 Index | Sept. 2012 | $ | 42,035,162 | $ | 43,404,800 | $ | 1,369,638 | ||||||||||
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 June 30, 2012 in valuing such portfolio securities:
| Level 1 |
Level 2 |
Level 3 |
||||||||||
| Investments in Securities |
|
|||||||||||
| Common Stocks |
$ | 2,220,589,814 | $ | — | $ | — | ||||||
| Affiliated Money Market Mutual Fund |
263,988,671 | — | — | |||||||||
| U.S. Government Obligation |
— | 2,999,517 | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Futures |
1,369,638 | — | — | |||||||||
| Total |
$ | 2,485,948,123 | $ | 2,999,517 | $ | — | ||||||
| * | 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.
A104
| STOCK INDEX PORTFOLIO (continued) | ||||||
| SCHEDULE OF INVESTMENTS | June 30, 2012 (Unaudited) | |||||
The industry classification of portfolio holdings and liabilities in excess of other assets shown as a percentage of net assets as of June 30, 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 June 30, 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 | $ | 1,369,638 | * | — | $ | — | |||||
| * | 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 period ended June 30, 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 |
$ | 3,536,064 | ||
| Change in Unrealized Appreciation on Derivatives Recognized in Income |
||||
| Derivatives not designated as hedging instruments, carried at fair value |
Futures |
|||
| Equity contracts |
$ | 421,936 | ||
For the six months ended June 30, 2012, the average value at trade date for futures long position was $43,224,575.
SEE NOTES TO FINANCIAL STATEMENTS.
A105
| STOCK INDEX PORTFOLIO (continued) | ||||||
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
| Six Months Ended June 30, 2012 |
Year Ended December 31, 2011 |
|||||||
| INCREASE (DECREASE) IN NET ASSETS | ||||||||
| OPERATIONS: | ||||||||
| Net investment income |
$ | 20,797,417 | $ | 38,928,475 | ||||
| Net realized gain on investments |
30,049,423 | 31,044,681 | ||||||
| Net change in unrealized appreciation (depreciation) on investments |
150,909,134 | (25,573,488 | ) | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
201,755,974 | 44,399,668 | ||||||
| DISTRIBUTIONS | (45,812,464 | ) | (36,002,280 | ) | ||||
| SERIES SHARE TRANSACTIONS: | ||||||||
| Series shares sold [498,903 and 1,251,307 shares, respectively] |
16,870,599 | 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 [3,451,842 and 6,278,327 shares, respectively] |
(117,412,383 | ) | (199,110,942 | ) | ||||
| NET DECREASE IN NET ASSETS RESULTING FROM SERIES SHARE TRANSACTIONS |
(54,729,320 | ) | (123,537,335 | ) | ||||
| TOTAL INCREASE (DECREASE) IN NET ASSETS | 101,214,190 | (115,139,947 | ) | |||||
| NET ASSETS: | ||||||||
| Beginning of period |
2,162,411,347 | 2,277,551,294 | ||||||
| End of period |
$ | 2,263,625,537 | $ | 2,162,411,347 | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
A106
NOTES TO THE FINANCIAL STATEMENTS OF THE PRUDENTIAL SERIES FUND
(Unaudited)
| 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 (“1940 Act”), as amended. 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 seven Portfolios which are listed below along with each Portfolio’s investment objective.
Conservative Balanced Portfolio: Total investment return consistent with a conservatively managed diversified portfolio.
Diversified Bond Portfolio: High level of income over a longer term while providing reasonable safety of capital.
Equity Portfolio: Long-term growth of capital.
Flexible Managed Portfolio: Total return consistent with an aggressively managed diversified portfolio.
Global Portfolio: Long-term growth of capital.
Government Income Portfolio: High level of income over the long-term consistent with the preservation of capital.
Stock Index Portfolio: Achieve investment results that generally correspond to the performance of publicly traded common stocks.
The ability of 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 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. 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 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
B1
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 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 adjustment factors are classified as Level 2 of the fair value hierarchy.
Investments in open end, non exchange-traded mutual funds are valued at their net asset value as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 as these securities 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, 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 model with input from deal term, tranche level attributes, yield curve, prepayment speeds, and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.
The Portfolios value short-term debt securities of sufficient credit quality which mature in 60 days or less at amortized cost, which approximates fair value. The amortized cost method involves valuing a security at its cost at the time of purchase and thereafter 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 swaps 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
B2
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.
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.
B3
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.
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
B4
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 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.
B5
As of June 30, 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 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 securities loaned and recognizes any unrealized gain or loss in the market price of the securities loaned that may occur during the term of the loan.
Dollar Rolls: Certain Portfolios of the Series Fund enter into mortgage dollar rolls in which the Portfolio sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sales proceeds and the lower repurchase price is recorded as a realized gain. The Portfolio maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls.
When-Issued/Delayed Delivery Securities: Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains or losses from investment and currency transactions on sales of securities are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date and 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.
B6
Distributions: Distributions from each Portfolio are made in cash and automatically reinvested in additional shares of the same Portfolio. The Diversified Bond and Government Income Portfolios make distributions, if any, quarterly. 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 | ||||
| Stock Index Portfolio |
0.35% up to $4 billion 0.30% over $4 billion* |
0.30 | ||||
| * | Effective August 1, 2010, PI has voluntarily agreed to waive a portion of its management fee equal to an annual rate of 0.05% of the average daily net assets of the Portfolio. |
At June 30, 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 | |
| Stock Index Portfolio |
QMA |
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.
B7
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”).
| 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 six months ended June 30, 2012, PIM was compensated as follows for these services by the Series Fund Portfolios:
| Portfolio |
PIM |
|||
| Conservative Balanced Portfolio |
$ | 47,196 | ||
| Diversified Bond Portfolio |
34,030 | |||
| Equity Portfolio |
217,208 | |||
| Flexible Managed Portfolio |
33,215 | |||
| Global Portfolio |
17,320 | |||
| Government Income Portfolio |
3,980 | |||
| Stock Index Portfolio |
51,277 | |||
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, as amended, and managed by PI. Earnings from the Core Funds are disclosed on the Statement of Operations as affiliated dividend income.
| Note 5: | Portfolio Securities |
The aggregate cost of purchases and the proceeds from the sales of securities (excluding government securities and short-term issues) for the six months ended June 30, 2012 were as follows:
| Portfolio |
Cost of Purchases |
Proceeds from Sales |
||||||
| Conservative Balanced Portfolio |
$ | 1,507,016,155 | $ | 1,629,326,531 | ||||
| Diversified Bond Portfolio |
510,187,964 | 753,603,723 | ||||||
| Equity Portfolio |
762,012,527 | 906,034,742 | ||||||
| Flexible Managed Portfolio |
2,683,598,285 | 2,811,891,108 | ||||||
| Global Portfolio |
150,362,586 | 170,353,647 | ||||||
| Government Income Portfolio |
2,212,213,661 | 2,243,817,611 | ||||||
| Stock Index Portfolio |
16,053,121 | 91,730,899 | ||||||
Options written transactions, during the six months ended June 30, 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 June 30, 2012 |
— | $ | — | |||||
| 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 June 30, 2012 |
— | $ | — | |||||
B8
| 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 June 30, 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 June 30, 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 June 30, 2012, the Equity Portfolio has Class II shares outstanding.
Transactions in shares of beneficial interest of the Equity Portfolio were as follows:
Equity Portfolio:
| Class I |
Shares |
Amount |
||||||
| Six months ended June 30, 2012: |
||||||||
| Series shares sold |
397,380 | $ | 10,120,740 | |||||
| Series shares issued in reinvestment of distributions |
764,646 | 18,817,932 | ||||||
| Series shares repurchased |
(5,095,065 | ) | (132,337,576 | ) | ||||
| Net increase (decrease) in shares outstanding |
(3,933,039 | ) | $ | (103,398,904 | ) | |||
| 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 | ) | |||
B9
Equity Portfolio (cont’d):
| Class II |
Shares |
Amount |
||||||
| Six months ended June 30, 2012: |
||||||||
| Series shares sold |
2,739 | $ | 72,600 | |||||
| Series shares issued in reinvestment of distributions |
170 | 4,233 | ||||||
| Series shares repurchased |
(14,560 | ) | (358,935 | ) | ||||
| Net increase (decrease) in shares outstanding |
(11,651 | ) | $ | (282,102 | ) | |||
| 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 | |||||
| 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 December 16, 2011 through December 14, 2012. The Funds pay an annualized commitment fee of 0.08% of the unused portion of the SCA. 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 Portfolio utilized the SCA during the six months ended June 30, 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 June 30, 2012 |
||||||||||||
| Equity Portfolio |
$ | 340,000 | 1 | 1.49 | % | $ | — | |||||||||
| Note 9: | Ownership and Affiliates |
As of June 30, 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.
B10
(Unaudited)
| Conservative Balanced Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2012 |
Year Ended December 31, |
|||||||||||||||||||||||
| 2011 |
2010 |
2009 |
2008 |
2007(a) |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 16.32 | $ | 15.96 | $ | 14.65 | $ | 12.69 | $ | 16.69 | $ | 16.21 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.54 | .36 | .37 | .39 | .50 | .50 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
.54 | .37 | 1.31 | 2.08 | (3.98 | ) | .49 | |||||||||||||||||
| Total from investment operations |
1.08 | .73 | 1.68 | 2.47 | (3.48 | ) | .99 | |||||||||||||||||
| Less Distributions |
(.36 | ) | (.37 | ) | (.37 | ) | (.51 | ) | (.52 | ) | (.51 | ) | ||||||||||||
| Net Asset Value, end of period |
$ | 17.04 | $ | 16.32 | $ | 15.96 | $ | 14.65 | $ | 12.69 | $ | 16.69 | ||||||||||||
| Total Return(b) |
6.66 | % | 4.60 | % | 11.74 | % | 20.01 | % | (21.41 | )% | 6.12 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 2,265.2 | $ | 2,191.6 | $ | 2,234.7 | $ | 2,138.7 | $ | 1,957.5 | $ | 2,721.9 | ||||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||||||
| Expenses |
.59 | %(d) | .59 | % | .59 | % | .59 | % | .59 | % | .59 | % | ||||||||||||
| Net investment income |
2.12 | %(d) | 2.12 | % | 2.32 | % | 2.68 | % | 3.12 | % | 2.95 | % | ||||||||||||
| Portfolio turnover rate(f) |
99 | %(e) | 215 | % | 185 | % | 250 | % | 336 | % | 178 | % | ||||||||||||
| Diversified Bond Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2012 |
Year Ended December 31, |
|||||||||||||||||||||||
| 2011 |
2010 |
2009 |
2008 |
2007 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 11.74 | $ | 11.67 | $ | 11.16 | $ | 9.89 | $ | 10.90 | $ | 10.85 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.29 | .56 | .52 | .50 | .54 | .58 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
.28 | .30 | .63 | 1.46 | (.90 | ) | .02 | |||||||||||||||||
| Total from investment operations |
.57 | .86 | 1.15 | 1.96 | (.36 | ) | .60 | |||||||||||||||||
| Less Distributions |
(.79 | ) | (.79 | ) | (.64 | ) | (.69 | ) | (.65 | ) | (.55 | ) | ||||||||||||
| Net Asset Value, end of period |
$ | 11.52 | $ | 11.74 | $ | 11.67 | $ | 11.16 | $ | 9.89 | $ | 10.90 | ||||||||||||
| Total Return(b) |
4.95 | % | 7.51 | % | 10.57 | % | 20.51 | % | (3.46 | )% | 5.71 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 1,386.1 | $ | 1,556.9 | $ | 1,522.9 | $ | 1,363.5 | $ | 1,134.8 | $ | 1,218.3 | ||||||||||||
| Ratios to average net assets(c): |
||||||||||||||||||||||||
| Expenses |
.44 | %(d) | .42 | % | .46 | % | .44 | % | .44 | % | .44 | % | ||||||||||||
| Net investment income |
4.48 | %(d) | 4.76 | % | 4.46 | % | 4.79 | % | 5.07 | % | 5.39 | % | ||||||||||||
| Portfolio turnover rate(f) |
72 | %(e) | 167 | % | 191 | % | 401 | % | 723 | % | 476 | % | ||||||||||||
| (a) | Calculated based on average shares outstanding during the period. |
| (b) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported 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 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. Total returns for periods less than one full year are not annualized. |
| (c) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (d) | Annualized. |
| (e) | Not annualized. |
| (f) | 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
(Unaudited)
| Equity Portfolio |
||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||
| Six Months Ended June 30, 2012(c) |
Year Ended December 31, |
|||||||||||||||||||||||
| 2011 |
2010 |
2009 |
2008(c) |
2007 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 23.73 | $ | 24.75 | $ | 22.30 | $ | 16.40 | $ | 29.67 | $ | 27.45 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.10 | .13 | .15 | .16 | .29 | .35 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.28 | (.98 | ) | 2.48 | 6.04 | (10.52 | ) | 2.21 | ||||||||||||||||
| Total from investment operations |
1.38 | (.85 | ) | 2.63 | 6.20 | (10.23 | ) | 2.56 | ||||||||||||||||
| Less Distributions: |
(.15 | ) | (.17 | ) | (.18 | ) | (.30 | ) | (3.04 | ) | (.34 | ) | ||||||||||||
| Net Asset Value, end of period |
$ | 24.96 | $ | 23.73 | $ | 24.75 | $ | 22.30 | $ | 16.40 | $ | 29.67 | ||||||||||||
| Total Return(a) |
5.84 | % | (3.47 | )% | 11.90 | % | 38.17 | % | (38.16 | )% | 9.32 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 3,053.7 | $ | 2,997.5 | $ | 3,324.3 | $ | 3,195.1 | $ | 2,521.0 | $ | 4,423.9 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses |
.48 | %(e) | .48 | % | .48 | % | .48 | % | .48 | % | .47 | % | ||||||||||||
| Net investment income |
.81 | %(e) | .58 | % | .71 | % | .90 | % | 1.21 | % | 1.16 | % | ||||||||||||
| Portfolio turnover rate |
24 | %(d) | 49 | % | 68 | % | 98 | % | 67 | % | 57 | % | ||||||||||||
| Equity Portfolio |
||||||||||||||||||||||||
| Class II |
||||||||||||||||||||||||
| Six Months Ended June 30, 2012(c) |
Year Ended December 31, |
|||||||||||||||||||||||
| 2011 |
2010 |
2009 |
2008(c) |
2007 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 23.99 | $ | 25.00 | $ | 22.46 | $ | 16.47 | $ | 29.81 | $ | 27.52 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.05 | .06 | .04 | .09 | .19 | .28 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.29 | (1.03 | ) | 2.54 | 6.07 | (10.61 | ) | 2.20 | ||||||||||||||||
| Total from investment operations |
1.34 | (.97 | ) | 2.58 | 6.16 | (10.42 | ) | 2.48 | ||||||||||||||||
| Less Distributions: |
(.06 | ) | (.04 | ) | (.04 | ) | (.17 | ) | (2.92 | ) | (.19 | ) | ||||||||||||
| Net Asset Value, end of period |
$ | 25.27 | $ | 23.99 | $ | 25.00 | $ | 22.46 | $ | 16.47 | $ | 29.81 | ||||||||||||
| Total Return(a) |
5.58 | % | (3.87 | )% | 11.50 | % | 37.58 | % | (38.47 | )% | 8.91 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 1.8 | $ | 2.0 | $ | 1.9 | $ | .4 | $ | .4 | $ | 1.3 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses |
.88 | %(e) | .88 | % | .88 | % | .88 | % | .88 | % | .87 | % | ||||||||||||
| Net investment income |
.41 | %(e) | .19 | % | .34 | % | .52 | % | .78 | % | .74 | % | ||||||||||||
| Portfolio turnover rate |
24 | %(d) | 49 | % | 68 | % | 98 | % | 67 | % | 57 | % | ||||||||||||
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported 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. Total returns for periods of less than one year are not annualized. |
| (b) | Does not include expenses of the underlying fund in which the Portfolio invests. |
| (c) | Calculation based on average shares outstanding during the period. |
| (d) | Not annualized. |
| (e) | Annualized. |
SEE NOTES TO FINANCIAL STATEMENTS.
C2
Financial Highlights
(Unaudited)
| Flexible Managed Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2012 |
Year Ended December 31, |
|||||||||||||||||||||||
| 2011 |
2010 |
2009 |
2008 |
2007 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 15.99 | $ | 15.63 | $ | 14.28 | $ | 12.34 | $ | 18.30 | $ | 18.36 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.18 | .33 | .31 | .34 | .45 | .50 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
1.04 | .34 | 1.37 | 2.05 | (4.62 | ) | .65 | |||||||||||||||||
| Total from investment operations |
1.22 | .67 | 1.68 | 2.39 | (4.17 | ) | 1.15 | |||||||||||||||||
| Less Distributions |
(.33 | ) | (.31 | ) | (.33 | ) | (.45 | ) | (1.79 | ) | (1.21 | ) | ||||||||||||
| Net Asset Value, end of period |
$ | 16.88 | $ | 15.99 | $ | 15.63 | $ | 14.28 | $ | 12.34 | $ | 18.30 | ||||||||||||
| Total Return(a) |
7.69 | % | 4.34 | % | 12.03 | % | 19.95 | % | (24.82 | )% | 6.30 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 3,183.9 | $ | 3,036.8 | $ | 3,077.3 | $ | 2,906.0 | $ | 2,621.6 | $ | 3,716.3 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses |
.63 | %(c) | .63 | % | .64 | % | .63 | % | .64 | % | .63 | % | ||||||||||||
| Net investment income |
2.01 | %(c) | 2.01 | % | 2.06 | % | 2.50 | % | 2.85 | % | 2.53 | % | ||||||||||||
| Portfolio turnover rate(e) |
112 | %(d) | 246 | % | 205 | % | 248 | % | 321 | % | 212 | % | ||||||||||||
| Global Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2012 |
Year Ended December 31, |
|||||||||||||||||||||||
| 2011 |
2010 |
2009 |
2008 |
2007 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 16.94 | $ | 18.49 | $ | 16.68 | $ | 13.07 | $ | 24.62 | $ | 22.53 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.22 | .29 | .28 | .28 | .40 | .36 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
.91 | (1.56 | ) | 1.79 | 3.75 | (10.38 | ) | 2.00 | ||||||||||||||||
| Total from investment operations |
1.13 | (1.27 | ) | 2.07 | 4.03 | (9.98 | ) | 2.36 | ||||||||||||||||
| Less Distributions |
(.30 | ) | (.28 | ) | (.26 | ) | (.42 | ) | (1.57 | ) | (.27 | ) | ||||||||||||
| Net Asset Value, end of period |
$ | 17.77 | $ | 16.94 | $ | 18.49 | $ | 16.68 | $ | 13.07 | $ | 24.62 | ||||||||||||
| Total Return(a) |
6.71 | % | (6.97 | )% | 12.74 | % | 31.39 | % | (42.92 | )% | 10.48 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 578.1 | $ | 564.2 | $ | 648.5 | $ | 619.5 | $ | 512.7 | $ | 985.0 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses |
.85 | %(c) | .84 | % | .87 | % | .85 | % | .84 | % | .81 | % | ||||||||||||
| Net investment income |
2.26 | %(c) | 1.54 | % | 1.60 | % | 1.77 | % | 2.01 | % | 1.43 | % | ||||||||||||
| Portfolio turnover rate |
26 | %(d) | 69 | % | 69 | % | 50 | % | 65 | % | 48 | % | ||||||||||||
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported 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 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. Total returns for periods less than one full year are not annualized. |
| (b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (c) | Annualized. |
| (d) | Not annualized. |
| (e) | 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
(Unaudited)
| Government Income Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2012 |
Year Ended December 31, |
|||||||||||||||||||||||
| 2011 |
2010 |
2009 |
2008 |
2007 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 12.37 | $ | 12.03 | $ | 11.86 | $ | 11.40 | $ | 11.38 | $ | 11.26 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.13 | .30 | .35 | .37 | .45 | .53 | ||||||||||||||||||
| Net realized and unrealized gain on investments |
.12 | .60 | .47 | .49 | .03 | .10 | ||||||||||||||||||
| Total from investment operations |
.25 | .90 | .82 | .86 | .48 | .63 | ||||||||||||||||||
| Less Distributions |
(.53 | ) | (.56 | ) | (.65 | ) | (.40 | ) | (.46 | ) | (.51 | ) | ||||||||||||
| Net Asset Value, end of period |
$ | 12.09 | $ | 12.37 | $ | 12.03 | $ | 11.86 | $ | 11.40 | $ | 11.38 | ||||||||||||
| Total Return(a) |
2.07 | % | 7.63 | % | 6.99 | % | 7.71 | % | 4.30 | % | 5.70 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 389.3 | $ | 416.7 | $ | 399.2 | $ | 375.4 | $ | 370.5 | $ | 340.3 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses |
.48 | %(c) | .46 | % | .50 | % | .47 | % | .52 | %(e) | .52 | % | ||||||||||||
| Net investment income |
2.04 | %(c) | 2.48 | % | 2.87 | % | 3.11 | % | 3.98 | %(e) | 4.62 | % | ||||||||||||
| Portfolio turnover rate(f) |
561 | %(d) | 1554 | % | 1122 | % | 1179 | % | 2707 | % | 2377 | % | ||||||||||||
| Stock Index Portfolio |
||||||||||||||||||||||||
| Six Months Ended June 30, 2012 |
Year Ended December 31, |
|||||||||||||||||||||||
| 2011 |
2010 |
2009 |
2008 |
2007 |
||||||||||||||||||||
| Per Share Operating Performance: |
||||||||||||||||||||||||
| Net Asset Value, beginning of period |
$ | 31.47 | $ | 31.37 | $ | 27.89 | $ | 22.76 | $ | 36.84 | $ | 35.64 | ||||||||||||
| Income (Loss) From Investment Operations: |
||||||||||||||||||||||||
| Net investment income |
.32 | .54 | .48 | .49 | .64 | .68 | ||||||||||||||||||
| Net realized and unrealized gain (loss) on investments |
2.60 | .07 | 3.51 | 5.32 | (14.02 | ) | 1.14 | |||||||||||||||||
| Total from investment operations |
2.92 | .61 | 3.99 | 5.81 | (13.38 | ) | 1.82 | |||||||||||||||||
| Less Distributions |
(.69 | ) | (.51 | ) | (.51 | ) | (.68 | ) | (.70 | ) | (.62 | ) | ||||||||||||
| Net Asset Value, end of period |
$ | 33.70 | $ | 31.47 | $ | 31.37 | $ | 27.89 | $ | 22.76 | $ | 36.84 | ||||||||||||
| Total Return(a) |
9.35 | % | 1.95 | % | 14.59 | % | 26.07 | % | (36.94 | )% | 5.10 | % | ||||||||||||
| Ratios/Supplemental Data: |
||||||||||||||||||||||||
| Net assets, end of period (in millions) |
$ | 2,263.6 | $ | 2,162.4 | $ | 2,277.6 | $ | 2,098.1 | $ | 1,815.8 | $ | 3,122.4 | ||||||||||||
| Ratios to average net assets(b): |
||||||||||||||||||||||||
| Expenses |
.32 | %(c) | .33 | % | .36 | % | .37 | % | .37 | % | .37 | % | ||||||||||||
| Net investment income |
1.83 | %(c) | 1.74 | % | 1.70 | % | 2.06 | % | 2.04 | % | 1.73 | % | ||||||||||||
| Portfolio turnover rate |
1 | %(d) | 2 | % | 4 | % | 5 | % | 4 | % | 3 | % | ||||||||||||
| (a) | Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of each period reported 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 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. Total returns for periods less than one full year are not annualized. |
| (b) | Does not include expenses of the underlying portfolios in which the Portfolio invests. |
| (c) | Annualized. |
| (d) | Not annualized. |
| (e) | Includes interest expense of $0.03%. |
| (f) | 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.
C4
Approval of Advisory Agreements
The VCA-10 Committee
The Committee of the Prudential Variable Contract Account-10 (“VCA-10”) (the “Committee”) consists of ten individuals, eight of whom are not “interested persons” of VCA-10, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-10 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Board has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.
Annual Approval of VCA-10’s Advisory Agreements
As required under the 1940 Act, the Committee determines annually whether to renew VCA-10’s management agreement with Prudential Investments LLC (“PI”) and VCA-10’s subadvisory agreement with Jennison Associates LLC (“Jennison”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 5-7, 2012 and approved the renewal of the agreements through July 31, 2013, after concluding that the renewal of the agreements was in the best interests of VCA-10 and its investors.
In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and Jennison. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.
In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadvisers, the performance of VCA-10, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-10 and its investors as VCA-10’s assets grow. In its deliberations, the Committee did not did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-10. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 5-7, 2012.
The Committee determined that the overall arrangements between VCA-10 and PI, which serves as VCA-10’s investment manager pursuant to a management agreement, and between PI and Jennison, which serves as VCA-10’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-10 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.
Nature, quality and extent of services
The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-10 by PI and Jennison. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-10, as well as the provision of recordkeeping, compliance, and other services to VCA-10. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by Jennison, as well as adherence to VCA-10’s investment restrictions and compliance with applicable VCA-10 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.
The Committee reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-10 and Jennison, and also reviewed the qualifications, backgrounds and responsibilities of Jennison’s portfolio managers who are responsible for the day-to-day management of VCA-10’s portfolio. The Committee was provided with information pertaining to PI’s and Jennison’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and Jennison. The Committee also noted that it received favorable compliance reports from VCA-10’s Chief Compliance Officer (“CCO”) as to both PI and Jennison. The Committee noted that Jennison is affiliated with PI.
The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-10 by Jennison, and that there was a reasonable basis on which to conclude that VCA-10 benefits from the services provided by PI and Jennison under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-10’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.
Economies of Scale
The Committee noted that the advisory fee schedule for VCA-10 does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Committee received and discussed information concerning whether PI realizes economies of scale as VCA-10’s assets grow beyond current levels. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services. In light of VCA-10’s current size and expense structure, the Committee concluded that the absence of breakpoints in VCA-10’s fee schedule is acceptable at this time.
Other Benefits to PI and Jennison
The Committee considered potential ancillary benefits that might be received by PI and Jennison and their affiliates as a result of their relationship with VCA-10. The Committee concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as VCA-10’s securities lending agent, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with VCA-10. The Committee concluded that the potential benefits to be derived by Jennison included the ability to use soft dollar credits, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Committee concluded that the benefits derived by PI and Jennison were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of VCA-10 / Fees and Expenses
The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-10 for the one-, three-, five- and ten-year periods ended December 31, 2011. The Committee also considered VCA-10’s actual management fee, as well as VCA-10’s net total expense ratio, for the fiscal year ended December 31, 2011. The Committee considered the management fee for VCA-10 as compared to the management fee charged by PI to other funds and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-10 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-10 represents the actual expense ratio incurred by VCA-10 investors.
The mutual funds included in the Peer Universe (the Lipper VA Large-Cap Core Funds Performance Universe)1 and the Peer Group were objectively determined by Lipper Inc. (“Lipper”), an independent provider of mutual fund data. To the extent that PI deemed appropriate, and for reasons addressed in detail with the Board, PI may have provided supplemental data compiled by Lipper for the Committee’s consideration. The comparisons placed VCA-10 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).
The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-10’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
|
Performance |
1 Year | 3 Years | 5 Years | 10 Years | ||||
| 4th Quartile | 1st Quartile | 3rd Quartile | 1st Quartile | |||||
|
Actual Management Fees: 1st Quartile | ||||||||
|
Net Total Expenses: 4th Quartile | ||||||||
| • | The Committee noted that VCA-10 outperformed its benchmark index over the three- and ten-year periods, though it underperformed over the one- and five-year periods. |
| • | The Committee concluded that, in light of VCA-10’s competitive performance over longer time periods, it would be in the best interests of VCA-10 and its investors to renew the agreements. |
| • | The Committee concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
* * *
After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-10 and its investors.
| 1 | Although Lipper classifies VCA-10 in its VA Multi-Cap Core Funds Performance Universe, the VA Large-Cap Core Funds Performance Universe was utilized because PI believes that the funds included in this Universe are more consistent with VCA-10’s investment approach, and therefore, provide a more appropriate basis for VCA-10 performance comparisons. |
Approval of Advisory Agreements
The VCA-11 Committee
The Committee of the Prudential Variable Contract Account-11 (“VCA-11”) (the “Committee”) consists of ten individuals, eight of whom are not “interested persons” of VCA-11, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Committee Members”). The Committee is responsible for the oversight of VCA-11 and its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Committee Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Committee is an Independent Committee Member. The Board has established three standing committees: the Audit Committee, the Nominating and Governance Committee, and the Investment Committee. Each committee is chaired by, and composed of, Independent Committee Members.
Annual Approval of VCA-11’s Advisory Agreements
As required under the 1940 Act, the Committee determines annually whether to renew VCA-11’s management agreement with Prudential Investments LLC (“PI”) and VCA-11’s subadvisory agreement with Prudential Investment Management, Inc. (“PIM”). In considering the renewal of the agreements, the Committee, including all of the Independent Committee Members, met on June 5-7, 2012 and approved the renewal of the agreements through July 31, 2013, after concluding that the renewal of the agreements was in the best interests of VCA-11 and its investors.
In advance of the meetings, the Committee requested and received materials relating to the agreements, and had the opportunity to ask questions and request further information in connection with its consideration. Among other things, the Committee considered comparative fee information from PI and PIM. Also, the Committee considered comparisons with other mutual funds in relevant Peer Universes and Peer Groups, as is further discussed below.
In approving the agreements, the Committee, including the Independent Committee Members advised by independent legal counsel, considered the factors it deemed relevant, including the nature, quality and extent of services provided by PI and the subadviser, the performance of VCA-11, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with VCA-11 and its investors. In its deliberations, the Committee did not identify any single factor which alone was responsible for the Committee’s decision to approve the agreements with respect to VCA-11. In connection with its deliberations, the Committee considered information provided by PI throughout the year at regular Committee meetings, presentations from portfolio managers and other information, as well as information furnished at or in advance of the meetings on June 5-7, 2012.
The Committee determined that the overall arrangements between VCA-11 and PI, which serves as VCA-11’s investment manager pursuant to a management agreement, and between PI and PIM, which serves as VCA-11’s subadviser pursuant to the terms of a subadvisory agreement with PI, are in the best interests of VCA-11 and its investors in light of the services performed, fees charged and such other matters as the Committee Members considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Committee’s reaching its determinations to approve the continuance of the agreements are separately discussed below.
Nature, quality and extent of services
The Committee received and considered information regarding the nature, quality and extent of services provided to VCA-11 by PI and PIM. The Committee considered the services provided by PI, including but not limited to the oversight of the subadviser for VCA-11, as well as the provision of recordkeeping, compliance, and other services to VCA-11. With respect to PI’s oversight of the subadviser, the Committee noted that PI’s Strategic Investment Research Group (“SIRG”), which is a business unit of PI, is responsible for monitoring and reporting to PI’s senior management on the performance and operations of the subadviser. The Committee also considered that PI pays the salaries of all of the officers and Committee Members. The Committee also considered the investment subadvisory services provided by PIM, as well as adherence to VCA-11’s investment restrictions and compliance with applicable VCA-11 policies and procedures. The Committee considered PI’s evaluation of the subadviser, as well as PI’s recommendation, based on its review of the subadviser, to renew the subadvisory agreement.
The Committee reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of VCA-11 and PIM, and also reviewed the qualifications, backgrounds and responsibilities of PIM portfolio managers who are responsible for the day-to-day management of VCA-11’s portfolio. The Committee was provided with information pertaining to PI’s and PIM’s organizational structure, senior management, investment operations, and other relevant information pertaining to both PI and PIM. The Committee also noted that it received favorable compliance reports from VCA-11’s Chief Compliance Officer (“CCO”) as to both PI and PIM. The Committee noted that PIM is affiliated with PI.
The Committee concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to VCA-11 by PIM, and that there was a reasonable basis on which to conclude that VCA-11 benefits from the services provided by PI and PIM under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Committee was provided with information on the profitability of PI and its affiliates in serving as VCA-11’s investment manager. The Committee discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Committee recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. Taking these factors into account, the Committee concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable. The Committee did not separately consider the profitability of the subadviser, an affiliate of PI, as its profitability was reflected in the profitability report for PI.
Economies of Scale
The Committee noted that the advisory fee schedule for VCA-11 does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Committee received and discussed information concerning whether PI realizes economies of scale as VCA-11’s assets grow beyond current levels. The Board recognized the inherent limitations of any analysis of economies of scale, stemming largely from the Board’s understanding that most of PI’s costs are not specific to individual funds, but rather are incurred across a variety of products and services. In light of VCA-11’s current size and expense structure, the Committee concluded that the absence of breakpoints in VCA-11’s fee schedule is acceptable at this time.
Other Benefits to PI and PIM
The Committee considered potential ancillary benefits that might be received by PI and PIM and their affiliates as a result of their relationship with VCA 11. The Committee concluded that potential benefits to be derived by PI included benefits to its reputation or other intangible benefits resulting from PI’s association with VCA 11. The Committee concluded that the potential benefits to be derived by PIM included those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to its reputation. The Board concluded that the benefits derived by PI and PIM were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of VCA-11 / Fees and Expenses
The Committee considered certain additional specific factors and made related conclusions relating to the historical performance of VCA-11 for the one-, three-, five- and ten-year periods ended December 31, 2011. The Committee also considered VCA-11’s actual management fee, as well as VCA-11’s net total expense ratio, for the fiscal year ended December 31, 2011. The Committee considered the management fee for VCA-11 as compared to the management fee charged by PI to other funds and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by VCA-11 investors and includes any fee waivers or reimbursements. The net total expense ratio for VCA-11 represents the actual expense ratio incurred by VCA-11 investors.
The mutual funds included in the Peer Universe (the Lipper VA Money Market Funds Performance Universe) and the Peer Group were objectively determined by Lipper Inc. (“Lipper”), an independent provider of mutual fund data. The comparisons placed VCA-11 in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds).
The section below summarizes key factors considered by the Committee and the Committee’s conclusions regarding VCA-11’s performance, fees and overall expenses. The table sets forth gross performance comparisons (which do not reflect the impact on performance of any fund expenses, or subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
|
Performance |
1 Year | 3 Years | 5 Years | 10 Years | ||||
| 3rd Quartile | 2nd Quartile | 2nd Quartile | 2nd Quartile | |||||
|
Actual Management Fees: 2nd Quartile | ||||||||
|
Net Total Expenses: 4th Quartile | ||||||||
| • | The Board concluded that, in light of VCA-11’s competitive performance over longer time periods, it would be in the best interests of VCA-11 and its investors to renew the agreements. |
| • | The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
* * *
After full consideration of these factors, the Committee concluded that the approval of the agreements was in the best interests of VCA-11 and its investors.
Approval of Advisory Agreements
The Trust’s Board of Trustees
The Board of Trustees (the “Board”) of The Prudential Series Fund (the “Trust”) consists of ten individuals, seven of whom are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”). The Board is responsible for the oversight of the Trust and each of its Portfolios, its operations, and performs the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Trustees have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Trustee. The Board has established four standing committees: the Audit Committee, the Governance Committee, the Compliance Committee and the Investment Review and Risk Committee. Each committee is chaired by an Independent Trustee.
Annual Approval of the Trust’s Advisory Agreements
As required under the 1940 Act, the Board determines annually whether to renew the Trust’s management agreement with Prudential Investments LLC (“PI”) and each Portfolio’s subadvisory agreement(s). As is further discussed and explained below, in considering the renewal of the agreements, the Board, including all of the Independent Trustees, met on June 13-15, 2012 (the “Meeting”) and approved the renewal of the agreements through July 31, 2013, after concluding that renewal of the agreements was in the best interests of the Trust, each Portfolio and its shareholders.
In advance of the meetings, the Trustees requested and received materials relating to the agreements, and the Trustees had the opportunity to ask questions and request further information in connection with their consideration of those agreements. Among other things, the Board considered comparisons with other mutual funds in a relevant Peer Universe and Peer Group, as is further discussed below.
In approving the agreements, the Trustees, including the Independent Trustees advised by independent legal counsel, considered the factors they deemed relevant, including the nature, quality and extent of services provided by PI and each subadviser, the performance of each Portfolio, the profitability of PI and its affiliates, expenses and fees, and the potential for economies of scale that may be shared with each Portfolio and its shareholders. In their deliberations, the Trustees did not identify any single factor that alone was responsible for the Board’s decision to approve the agreements. In connection with its deliberations, the Board considered information provided at or in advance of the Meeting as well as information provided throughout the year at regular and special Board meetings, including presentations from PI and subadviser personnel such as portfolio managers.
The Trustees determined that the overall arrangements between the Trust and PI, which serves as the Trust’s investment manager pursuant to a management agreement, and between PI and each subadviser, each of which serves pursuant to the terms of a subadvisory agreement with PI, are in the best interests of the Trust, each Portfolio and its shareholders in light of the services performed, fees charged and such other matters as the Trustees considered relevant in the exercise of their business judgment.
The material factors and conclusions that formed the basis for the Trustees’ determinations to approve the renewal of the agreements are discussed separately below.
Nature, quality and extent of services
The Board received and considered information regarding the nature, quality and extent of services provided to the Trust by PI and each subadviser. The Board considered the services provided by PI, including but not limited to the oversight of the subadvisers, as well as the provision of recordkeeping and compliance services to the Trust. With respect to PI’s oversight of the subadvisers, the Board noted that PI’s Strategic Investment Research Group (“SIRG”), a business unit of PI, is responsible for screening and recommending new subadvisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the subadvisers. The Board also considered that PI pays the salaries of all of the officers and management Trustees of the Trust. The Board also considered the investment subadvisory services provided by each subadviser, as well as compliance with the Trust’s investment restrictions, policies and procedures. The Board considered PI’s evaluation of the subadvisers, as well as PI’s recommendation, based on its review of the subadvisers, to renew the subadvisory agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of PI’s senior management responsible for the oversight of the Trust and each subadviser, and also reviewed the qualifications, backgrounds and responsibilities of the subadvisers’
portfolio managers who are responsible for the day-to-day management of each Portfolio. The Board was provided with information pertaining to PI’s and each subadviser’s organizational structure, senior management, investment operations and other relevant information pertaining to both PI and each subadviser. The Board also noted that it received favorable compliance reports from the Trust’s Chief Compliance Officer (“CCO”) as to PI and each subadviser. The Board noted that Prudential Investment Management, Inc. (“PIM”), Jennison Associates LLC (“Jennison”) and Quantitative Management Associates LLC (“QMA”), each of which serve as subadvisers to various Portfolios of the Trust, are affiliated with PI.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PI and the subadvisory services provided to the Portfolios by each subadviser, and that there was a reasonable basis on which to conclude that the Portfolios benefit from the services provided by PI and each subadviser under the management and subadvisory agreements.
Costs of Services and Profits Realized by PI
The Board was provided with information on the profitability of PI and its affiliates in serving as the Trust’s investment manager. The Board discussed with PI the methodology utilized in assembling the information regarding profitability and considered its reasonableness. The Board recognized that it is difficult to make comparisons of profitability from fund management contracts because comparative information is not generally available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the adviser’s capital structure and cost of capital. The Board did not separately consider the profitability of PIM, Jennison or QMA, which are affiliates of PI, as their profitability was included in the profitability report for PI. Taking these factors into account, the Board concluded that the profitability of PI and its affiliates in relation to the services rendered was not unreasonable.
Economies of Scale
The Board noted that, with the exception of the Stock Index Portfolio, the management fee schedule for the Portfolios generally does not contain breakpoints that would reduce the fee rate on assets above specified levels. The Board received and discussed information concerning whether PI realizes economies of scale as the Portfolios’ assets grow beyond current levels. However, because of the nature of PI’s business, the Board could not reach definitive conclusions as to whether PI might realize economies of scale on a particular Portfolio or how great they may be. In light of each Portfolio’s current size and fee rate, the Board concluded that the fact that the Portfolios other than the Stock Index Portfolio do not have breakpoints is acceptable at this time.
With respect to the Stock Index Portfolio, the Board noted that the management fee schedule includes a breakpoint, which has the effect of decreasing the fee rate as assets increase, but that at its current level of assets, the Stock Index Portfolio does not realize the effect of any rate reduction. The Board took note, however, that the Stock Index Portfolio’s fee structure would result in a benefit to shareholders when (and if) assets reach the level at which the fee rate is reduced. The Board also noted that the management fee was subject to a voluntary waiver by PI of 0.05% of the management fee at each breakpoint level, and that PI had agreed to retain this waiver.
Other Benefits to PI and the Subadvisers
The Board considered potential ancillary benefits that might be received by PI, the subadvisers, and their affiliates as a result of their relationship with the Trust. The Board concluded that potential benefits to be derived by PI included fees received by affiliates of PI for serving as the Portfolios’ securities lending agent, compensation received by insurance company affiliates of PI from the subadvisers, as well as benefits to its reputation or other intangible benefits resulting from PI’s association with the Trust. The Board also considered information provided by PI regarding the regulatory requirement that insurance companies determine that the fees and charges under their variable contracts are reasonable. The Board noted that the insurance company affiliates of PI at least annually review and represent that the fees and charges of the variable contracts using the Trust’s Portfolios are reasonable. The Board concluded that the potential benefits to be derived by the subadvisers included the ability to use soft dollar credits, brokerage commissions that may be received by affiliates of the subadvisers, as well as the potential benefits consistent with those generally resulting from an increase in assets under management, specifically, potential access to additional research resources and benefits to their reputations. The Board concluded that the benefits derived by PI and the subadvisers were consistent with the types of benefits generally derived by investment managers and subadvisers to mutual funds.
Performance of the Portfolios / Fees and Expenses / Other Factors
With respect to each Portfolio, the Board also considered certain additional specific factors and made related conclusions relating to the historical performance of the Portfolios for the one-, three-, five- and ten-year periods ended December 31, 2011.
The Board also considered each Portfolio’s actual management fee, as well as each Portfolio’s net total expense ratio, for the calendar year 2011. The Board considered the management fee for each Portfolio as compared to the management fee charged by PI to other funds and accounts and the fee charged by other advisers to comparable mutual funds in a Peer Group. The actual management fee represents the fee rate actually paid by Portfolio shareholders and includes any fee waivers or reimbursements. The net total expense ratio for each Portfolio represents the actual expense ratio incurred by Portfolio shareholders, but does not include the charges associated with the variable contracts.
The mutual funds included in each Peer Universe and each Peer Group were objectively determined by Lipper Inc. (“Lipper”), an independent provider of mutual fund data. The comparisons placed the Portfolios in various quartiles, with the first quartile being the best 25% of the mutual funds (for performance, the best performing mutual funds and, for expenses, the lowest cost mutual funds). To the extent that PI deems appropriate, and for reasons addressed in detail with the Board, PI may have provided supplemental data compiled by Lipper for the Board’s consideration.
The sections below summarize key factors considered by the Board and the Board’s conclusions regarding each Portfolio’s performance, fees and overall expenses. Each section sets forth gross performance comparisons (which do not reflect the impact on performance of any subsidies, expense caps or waivers that may be applicable) with the Peer Universe, actual management fees with the Peer Group (which reflect the impact of any subsidies or fee waivers), and net total expenses with the Peer Group, each of which were key factors considered by the Board.
| Conservative Balanced Portfolio | ||||||||
| Performance |
1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 2nd Quartile | 1st Quartile | 2nd Quartile | |||||
|
Actual Management Fees: 2nd Quartile | ||||||||
|
Net Total Expenses: 2nd Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • | The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements. |
| • | The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
| Diversified Bond Portfolio | ||||||||
| Performance |
1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 1st Quartile | 1st Quartile | 1st Quartile | |||||
|
Actual Management Fees: 1st Quartile | ||||||||
|
Net Total Expenses: 1st Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • | The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements. |
| • | The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
| Equity Portfolio | ||||||||
| Performance |
1 Year | 3 Years | 5 Years | 10 Years | ||||
| 3rd Quartile | 2nd Quartile | 1st Quartile | 1st Quartile | |||||
|
Actual Management Fees: 1st Quartile | ||||||||
|
Net Total Expenses: 1st Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, though it underperformed its benchmark index over the one-year period. |
| • | The Board concluded that in light of the Portfolio’s competitive long-term performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements. |
| • | The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
| Flexible Managed Portfolio | ||||||||
| Performance |
1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 3rd Quartile | 1st Quartile | 1st Quartile | |||||
|
Actual Management Fees: 3rd Quartile | ||||||||
|
Net Total Expenses: 2nd Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over all periods. |
| • | The Board concluded that, in light of the Portfolio’s competitive performance, it would be in the best interests of the Portfolio and its shareholders to renew the agreements. |
| • | The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
| Global Portfolio | ||||||||
| Performance |
1 Year | 3 Years | 5 Years | 10 Years | ||||
| 2nd Quartile | 3rd Quartile | 3rd Quartile | 3rd Quartile | |||||
|
Actual Management Fees: 2nd Quartile | ||||||||
|
Net Total Expenses: 2nd Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over the three-year period, although it underperformed the index over the one-, five- and ten-year periods. |
| • | The Board noted, however, the continued improved performance of the Portfolio against its Peer Group, including in the last quarter of 2011 and the first quarter of 2012, when the Portfolio ranked in the second quartile. |
| • | The Board further noted information furnished by PI indicating that the Portfolio’s recent underperformance was attributable to the Portfolio’s domestic equity subadvisers. |
| • | The Board further noted PI’s recommendation that each of the Portfolio’s subadvisers be retained based on the complementary investment philosophies utilized by each subadviser. |
| • | The Board concluded that it would be in the best interests of the Portfolio and its shareholders to renew the agreements. |
| • | The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
| Government Income Portfolio | ||||||||
| Performance |
1 Year | 3 Years | 5 Years | 10 Years | ||||
| 3rd Quartile | 2nd Quartile | 2nd Quartile | 2nd Quartile | |||||
|
Actual Management Fees: 1st Quartile | ||||||||
|
Net Total Expenses: 1st Quartile | ||||||||
| • | The Board noted that the Portfolio outperformed its benchmark index over the three-, five- and ten-year periods, although it underperformed over the one-year period. |
| • | The Board concluded that, in light of the Portfolio’s competitive performance over the longer-term, it would be in the best interests of the Portfolio and its shareholders to renew the agreements. |
| • | The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
| Stock Index Portfolio | ||||||||
| Performance |
1 Year | 3 Years | 5 Years | 10 Years | ||||
| 1st Quartile | 3rd Quartile | 1st Quartile | 1st Quartile | |||||
|
Actual Management Fees: 4th Quartile | ||||||||
|
Net Total Expenses: 3rd Quartile | ||||||||
| • | The Board noted that the Portfolio’s performance over all periods closely tracked the benchmark index, which was consistent with the Portfolio’s operation as an index fund. |
| • | The Board accepted PI’s recommendation to retain the existing voluntary waiver of 0.05% of the management fee at each breakpoint level. |
| • | The Board concluded that, in light of the Portfolio’s consistent performance to that of the benchmark index, it would be in the best interests of the Portfolio and its shareholders to renew the agreements. |
| • | The Board concluded that the management fees (including subadvisory fees) and total expenses were reasonable in light of the services provided. |
**********
After full consideration of these factors, the Board concluded that the approval of the agreements was in the best interests of the Trust, each Portfolio and its shareholders.
The toll-free number shown below can be used to make transfers and reallocations, review how your premiums are being allocated, and receive current investment option values in your contract. Unit values for each investment option are available to all participants from the toll-free number. Please be sure to have your contract number available when you call.
(800) 458-6333
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The Prudential Insurance Company of America 751 Broad Street Newark, NJ 07102-3777
|
Presorted Standard U.S. Postage PAID Prudential | |||
Prudential Retirement, Prudential, the Prudential logo, the Rock symbol, and Bring Your Challenges are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.
0228795-00001-00 MD.RS.011
| Item 2 – | Code of Ethics – Not required, as this is not an annual filing. | |
| Item 3 – | Audit Committee Financial Expert – Not required, as this is not an annual filing. | |
| Item 4 – | Principal Accountant Fees and Services – Not required, as this is not an annual filing. | |
| 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 – Not required, as this is not an annual filing. | ||||
| (2) | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT. | |||||
| (3) | Any written solicitation to purchase securities under Rule 23c-1. – Not applicable. | |||||
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT. | |||||
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: The Prudential Variable Contract Account-11
| By: | /s/ Deborah A. Docs | |
| Deborah A. Docs | ||
| Secretary | ||
| Date: | August 23, 2012 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Stuart S. Parker | |
| Stuart S. Parker | ||
| President and Principal Executive Officer | ||
| Date: | August 23, 2012 | |
| By: | /s/ Grace C. Torres | |
| Grace C. Torres | ||
| Treasurer and Principal Financial Officer | ||
| Date: | August 23, 2012 | |